DIVERSIFIED INVESTORS
FUNDS GROUP
1996 SEMI-ANNUAL REPORT
INTERNATIONAL EQUITY FUND
HIGH YIELD BOND FUND
AGGRESSIVE EQUITY
SPECIAL EQUITY FUND
EQUITY GROWTH FUND
GROWTH AND INCOME FUND
EQUITY VALUE FUND
EQUITY INCOME FUND
BALANCED FUND
GOVERNMENT/CORPORATE BOND FUND
INTERMEDIATE GOVERNMENT FUND
HIGH QUALITY BOND FUND
MONEY MARKET FUND
[DIVERSIFIED INVESTMENT
ADVISORS LOGO]
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1
<PAGE>
DIVERSIFIED INVESTORS FUNDS GROUP
STATEMENTS OF ASSETS & LIABILITIES
JUNE 30, 1996
(UNAUDITED)
<TABLE><CAPTION>
HIGH INTERMEDIATE GOVERNMENT/
MONEY QUALITY GOVERNMENT CORPORATE EQUITY
MARKET BOND BOND BOND BALANCED INCOME
-------- -------- ------------ ----------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Investment in Diversified
Investors Portfolios, at
value (Note 2)............ $804,286 $268,429 $ 92,608 $ 489,877 $2,258,242 $1,681,215
-------- -------- ------------ ----------- ---------- ----------
Receivable from investment
advisor................... 4,040 2,369 2,653 2,294 1,962 2,464
-------- -------- ------------ ----------- ---------- ----------
Total assets...... 808,326 270,798 95,261 492,171 2,260,204 1,683,679
-------- -------- ------------ ----------- ---------- ----------
LIABILITIES:
Accrued expenses:
Professional fees..... 2,656 1,832 1,302 1,865 2,317 2,215
Directors fees........ 138 870 61 986 1,922 1,158
Insurance............. -- -- 55 -- 850 566
Accounting fees....... 2,322 2,322 4,125 2,322 2,322 2,322
Reports to
shareholders.............. 578 111 65 289 1,781 1,289
Distribution fees..... 451 130 30 209 1,166 820
Registration fees..... 7,299 7,115 7,350 7,241 7,310 7,310
Administration fees... 385 115 -- 182 994 715
-------- -------- ------------ ----------- ---------- ----------
Total
liabilities............... 13,829 12,495 12,988 13,094 18,662 16,395
-------- -------- ------------ ----------- ---------- ----------
Net assets................ $794,497 $258,303 $ 82,273 $ 479,077 $2,241,542 $1,667,284
-------- -------- ------------ ----------- ---------- ----------
-------- -------- ------------ ----------- ---------- ----------
Net assets consist of:
Paid-in capital....... $784,216 $254,035 $ 81,575 $ 472,339 $2,142,985 $1,561,490
Undistributed net
investment income
(loss).................... 10,292 4,220 789 7,808 22,637 13,032
Accumulated net
realized gains
(losses).................. (11) (124) (334) (635) 108,594 33,461
Net unrealized
appreciation
(depreciation) on
investments............... -- 172 243 (435) (32,674) 59,301
-------- -------- ------------ ----------- ---------- ----------
Net assets........ $794,497 $258,303 $ 82,273 $ 479,077 $2,241,542 $1,667,284
-------- -------- ------------ ----------- ---------- ----------
-------- -------- ------------ ----------- ---------- ----------
Outstanding shares of
capital stock of $.00001
par value per share,
unlimited number of
shares of beneficial
interest authorized....... 78,920 24,055 8,242 42,111 177,091 119,274
-------- -------- ------------ ----------- ---------- ----------
-------- -------- ------------ ----------- ---------- ----------
Net asset value per
share..................... $ 10.07 $ 10.74 $ 9.98 $ 11.38 $ 12.66 $ 13.98
-------- -------- ------------ ----------- ---------- ----------
-------- -------- ------------ ----------- ---------- ----------
</TABLE>
See notes to financial statements.
2
<PAGE>
<TABLE><CAPTION>
EQUITY GROWTH & EQUITY SPECIAL AGGRESSIVE HIGH YIELD INTERNATIONAL
VALUE INCOME GROWTH EQUITY EQUITY BOND EQUITY
- ------ ---------- ---------- ---------- ---------- ---------- -------------
<S> <C> <C> <C> <C> <C> <C>
6,083
$ $1,282,921 $1,303,581 $1,645,838 $7,947 $ 66,432 $ 263,171
- ------ ---------- ---------- ---------- ---------- ---------- -------------
9,034 1,121 420 4,012 9,037 2,588 3,164
- ------ ---------- ---------- ---------- ---------- ---------- -------------
15,117 1,284,042 1,304,001 1,649,850 16,984 69,020 266,335
- ------ ---------- ---------- ---------- ---------- ---------- -------------
1,255 (5,423) 1,950 1,771 1,256 1,285 1,438
6 625 -- 1,823 7 42 228
5 428 384 779 5 36 168
412 2,322 2,322 2,322 412 4,125 4,125
6 936 958 1,279 6 43 200
-- 604 662 805 -- 18 62
7,350 7,310 7,310 7,310 7,350 7,350 7,350
-- 526 561 706 -- -- --
- ------ ---------- ---------- ---------- ---------- ---------- -------------
9,034 7,328 14,147 16,795 9,036 12,899 13,571
- ------ ---------- ---------- ---------- ---------- ---------- -------------
$6,083 $1,276,714 $1,289,854 $1,633,055 $7,948 $ 56,121 $ 252,764
- ------ ---------- ---------- ---------- ---------- ---------- -------------
- ------ ---------- ---------- ---------- ---------- ---------- -------------
$6,174 $1,221,881 $1,144,662 $1,438,962 $8,249 $ 55,666 $ 249,411
3 2,604 (3,157) (1,897) (2) 718 253
4 17,568 16,033 89,370 (301) (94) 608
)
(98 34,661 132,316 106,620 2 (169) 2,492
- ------ ---------- ---------- ---------- ---------- ---------- -------------
$6,083 $1,276,714 $1,289,854 $1,633,055 $7,948 $ 56,121 $ 252,764
- ------ ---------- ---------- ---------- ---------- ---------- -------------
- ------ ---------- ---------- ---------- ---------- ---------- -------------
617 100,586 85,296 99,114 845 5,614 23,627
- ------ ---------- ---------- ---------- ---------- ---------- -------------
- ------ ---------- ---------- ---------- ---------- ---------- -------------
$ 9.85 $ 12.69 $ 15.12 $ 16.48 $ 9.40 $ 10.00 $ 10.70
- ------ ---------- ---------- ---------- ---------- ---------- -------------
- ------ ---------- ---------- ---------- ---------- ---------- -------------
</TABLE>
3
<PAGE>
DIVERSIFIED INVESTORS FUNDS GROUP
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED JUNE 30, 1996
(UNAUDITED)
<TABLE><CAPTION>
HIGH INTERMEDIATE GOVERNMENT/
MONEY QUALITY GOVERNMENT CORPORATE EQUITY
MARKET BOND BOND(1) BOND BALANCED INCOME
------- ------- ------------ ----------- -------- -------
<S> <C> <C> <C> <C> <C> <C>
Allocated net income (loss) from
Diversified Investors
Portfolios
(Note 2)....................... $11,319 $ 4,641 $ 806 $ 8,326 $ 26,451 $15,526
------- ------- ------------ ----------- -------- -------
Expenses: (Note 3)
Professional fees............ 1,912 1,461 1,314 1,633 3,077 2,601
Directors fees............... 795 252 76 460 2,192 1,621
Insurance.................... 574 183 55 332 1,584 1,171
Accounting fees.............. 4,950 4,950 4,950 4,950 4,950 4,950
Reports to shareholders...... 685 218 66 396 1,888 1,396
Distribution fees............ 527 180 30 322 1,788 1,234
Registration fees............ 7,350 7,350 7,350 7,350 7,350 7,350
Administration fees.......... 632 216 -- 387 2,146 1,481
------- ------- ------------ ----------- -------- -------
Total expenses before
reimbursement from investment
advisor.......................... 17,425 14,810 13,841 15,830 24,975 21,804
Reimbursement from investment
advisor.......................... 16,398 14,389 13,824 15,075 21,161 19,310
------- ------- ------------ ----------- -------- -------
Net expenses................. 1,027 421 17 755 3,814 2,494
------- ------- ------------ ----------- -------- -------
Net investment income (loss)..... 10,292 4,220 789 7,571 22,637 13,032
------- ------- ------------ ----------- -------- -------
Realized and unrealized gains
(losses) on investments (Note
2)
Net realized gains (losses)
on investments............. (2) (124) (334) (635) 108,758 33,384
Net realized gains on foreign
currency transactions............ -- -- -- -- -- --
Net increase (decrease) in
unrealized appreciation
(depreciation) on
investments...................... -- (1,503) 243 (8,252) (70,109) 3,457
Net increase in unrealized
appreciation on translation
of assets and liabilities
in foreign currencies...... -- -- -- -- -- --
------- ------- ------------ ----------- -------- -------
Net realized and unrealized
gains (losses) on investments.... (2) (1,627) (91) (8,887) 38,649 36,841
------- ------- ------------ ----------- -------- -------
Net increase (decrease) in net
assets resulting from
operations....................... $10,290 $ 2,593 $ 698 $(1,316) $ 61,286 $49,873
------- ------- ------------ ----------- -------- -------
------- ------- ------------ ----------- -------- -------
</TABLE>
- ------------
(1) February 22, 1996, Commencement of Operations
(2) June 13, 1996, Commencement of Operations
(3) June 11, 1996, Commencement of Operations
(4) January 18, 1996, Commencement of Operations
(5) January 30, 1996, Commencement of Operations
See notes to financial statements.
4
<PAGE>
<TABLE><CAPTION>
EQUITY GROWTH & EQUITY SPECIAL AGGRESSIVE HIGH YIELD INTERNATIONAL
VALUE(2) INCOME GROWTH EQUITY EQUITY(3) BOND(5) EQUITY(4)
- -------- -------- -------- -------- ---------- ---------- -------------
<S> <C> <C> <C> <C> <C> <C>
4
$ $ 4,351 $ (1,183) $ 1,164 $ (2) $ 745 $ 224
- -------- -------- -------- -------- ---------- ---------- -------------
1,255 2,260 2,280 2,590 1,256 1,292 1,443
6 1,211 1,236 1,609 7 51 232
5 875 893 1,162 5 37 168
413 4,950 4,950 4,950 413 4,950 4,950
6 1,044 1,065 1,386 6 44 200
-- 917 1,088 1,226 -- 18 62
7,350 7,350 7,350 7,350 7,350 7,350 7,350
-- 1,101 1,306 1,472 -- -- --
- -------- -------- -------- -------- ---------- ---------- -------------
9,035 19,708 20,168 21,745 9,037 13,742 14,405
9,034 17,961 18,194 18,684 9,037 13,715 14,434
- -------- -------- -------- -------- ---------- ---------- -------------
1 1,747 1,974 3,061 -- 27 (29)
- -------- -------- -------- -------- ---------- ---------- -------------
3 2,604 (3,157) (1,897) (2) 718 253
- -------- -------- -------- -------- ---------- ---------- -------------
4 18,053 23,960 91,346 (301) (94) 592
-- -- -- -- -- -- 16
)
(98 45,647 93,341 64,650 2 (169) 2,179
-- -- -- -- -- -- 313
- -------- -------- -------- -------- ---------- ---------- -------------
)
(94 63,700 117,301 155,996 (299) (263) 3,100
- -------- -------- -------- -------- ---------- ---------- -------------
(91)
$ $66,304 $114,144 $154,099 $ (301) $ 455 $ 3,353
- -------- -------- -------- -------- ---------- ---------- -------------
- -------- -------- -------- -------- ---------- ---------- -------------
</TABLE>
5
<PAGE>
DIVERSIFIED INVESTORS FUNDS GROUP
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED JUNE 30, 1996
(UNAUDITED)
<TABLE><CAPTION>
HIGH INTERMEDIATE GOVERNMENT/
MONEY QUALITY GOVERNMENT CORPORATE EQUITY
MARKET BOND BOND(1) BOND BALANCED INCOME
--------- -------- ------------ ----------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
From operations:
Net investment income
(loss).................... $ 10,292 $ 4,220 $ 789 $ 7,571 $ 22,637 $ 13,032
Net realized gains
(losses) on
investments............... (2) (124) (334) (635) 108,758 33,384
Net realized gains on
foreign currency
transactions.............. -- -- -- -- -- --
Net increase
(decrease) in
unrealized
appreciation
(depreciation) on
investments............... -- (1,503) 243 (8,252) (70,109) 3,457
Net increase in
unrealized
appreciation on
translation of
assets and
liabilities in
foreign currencies........ -- -- -- -- -- --
--------- -------- ------------ ----------- ---------- ----------
Net increase (decrease) in
net assets resulting
from operations......... 10,290 2,593 698 (1,316) 61,286 49,873
--------- -------- ------------ ----------- ---------- ----------
From capital share
transactions:
Proceeds from issuance
of shares................. 1,289,965 203,201 82,275 333,685 1,396,075 1,117,302
Value of shares
redeemed.................. (619,249) (18,658) (700) (28,371) (111,170) (90,272)
--------- -------- ------------ ----------- ---------- ----------
Net increase from
capital share
transactions.............. 670,716 184,543 81,575 305,314 1,284,905 1,027,030
--------- -------- ------------ ----------- ---------- ----------
Total increase in net
assets.................... 681,006 187,136 82,273 303,998 1,346,191 1,076,903
Net assets:
Beginning of period... 113,491 71,167 -- 175,079 895,351 590,381
--------- -------- ------------ ----------- ---------- ----------
End of period......... $ 794,497 $258,303 $ 82,273 $ 479,077 $2,241,542 $1,667,284
--------- -------- ------------ ----------- ---------- ----------
--------- -------- ------------ ----------- ---------- ----------
Shares beginning of
period.................... 11,542 6,706 -- 15,091 74,370 45,109
Shares issued during
period.................... 129,362 19,101 8,313 29,504 111,625 80,697
Shares redeemed during
period.................... (61,984) (1,752) (71) (2,484) (8,904) (6,532)
--------- -------- ------------ ----------- ---------- ----------
Shares outstanding end of
period.................... 78,920 24,055 8,242 42,111 177,091 119,274
--------- -------- ------------ ----------- ---------- ----------
--------- -------- ------------ ----------- ---------- ----------
</TABLE>
- ------------
(1) February 22, 1996, Commencement of Operations
(2) June 13, 1996, Commencement of Operations
(3) June 11, 1996, Commencement of Operations
(4) January 18, 1996, Commencement of Operations
(5) January 30, 1996, Commencement of Operations
See notes to financial statements.
6
<PAGE>
<TABLE><CAPTION>
EQUITY GROWTH & EQUITY SPECIAL AGGRESSIVE HIGH YIELD INTERNATIONAL
VALUE(2) INCOME GROWTH EQUITY EQUITY(3) BOND(5) EQUITY(4)
- --------- ---------- ---------- ---------- ---------- ---------- -------------
<S> <C> <C> <C> <C> <C> <C>
$ 3 $ 2,604 $ (3,157) $ (1,897) $ (2) $ 718 $ 253
4 18,053 23,960 91,346 (301) (94) 592
-- -- -- -- -- -- 16
)
(98 45,647 93,341 64,650 2 (169) 2,179
-- -- -- -- -- -- 313
- --------- ---------- ---------- ---------- ---------- ---------- -------------
)
(91 66,304 114,144 154,099 (301) 455 3,353
- --------- ---------- ---------- ---------- ---------- ---------- -------------
6,526 811,174 596,016 904,186 8,249 55,727 255,281
)
(352 (44,402) (38,623) (25,524) -- (61) (5,870)
- --------- ---------- ---------- ---------- ---------- ---------- -------------
6,174 766,772 557,393 878,662 8,249 55,666 249,411
- --------- ---------- ---------- ---------- ---------- ---------- -------------
6,083 833,076 671,537 1,032,761 7,948 56,121 252,764
-- 443,638 618,317 600,294 -- -- --
- --------- ---------- ---------- ---------- ---------- ---------- -------------
$ 6,083 $1,276,714 $1,289,854 $1,633,055 $7,948 $ 56,121 $ 252,764
- --------- ---------- ---------- ---------- ---------- ---------- -------------
- --------- ---------- ---------- ---------- ---------- ---------- -------------
-- 38,683 46,276 43,043 -- -- --
653 65,502 41,701 57,721 845 5,620 24,180
)
(36 (3,599) (2,681) (1,650) -- (6) (553)
- --------- ---------- ---------- ---------- ---------- ---------- -------------
617 100,586 85,296 99,114 845 5,614 23,627
- --------- ---------- ---------- ---------- ---------- ---------- -------------
- --------- ---------- ---------- ---------- ---------- ---------- -------------
</TABLE>
7
<PAGE>
DIVERSIFIED INVESTORS FUNDS GROUP
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1995
<TABLE>
<CAPTION>
HIGH GOVERNMENT/
MONEY QUALITY CORPORATE EQUITY GROWTH
MARKET BOND BOND BALANCED INCOME &INCOME
-------- ------- ----------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
From operations:
Net investment income (loss)............................ $ 3,270 $ 2,860 $ 4,132 $ 15,888 $ 6,771 $ 1,939
Net realized gains (losses) on investments.............. (2) (80) 436 46,806 5,403 60,927
Net increase (decrease) in unrealized appreciation on
investments................................................ 0 1,828 7,786 38,415 57,407 (11,518)
-------- ------- ----------- -------- -------- --------
Net increase in net assets resulting from operations.... 3,268 4,608 12,354 101,109 69,581 51,348
-------- ------- ----------- -------- -------- --------
Dividends and distributions to shareholders from:
Net investment income................................... (3,270) (2,860) (3,895) (15,888) (6,771) (1,939)
Net realized gains from investment transactions......... 0 0 (616) (33,999) (1,606) (30,065)
Tax return of capital distribution...................... (20) (32) 0 (7,809) (3,588) (31,070)
-------- ------- ----------- -------- -------- --------
Total dividends and distributions....................... (3,290) (2,892) (4,511) (57,696) (11,965) (63,074)
-------- ------- ----------- -------- -------- --------
From capital share transactions:
Proceeds from issuance of shares........................ 163,096 57,142 141,520 673,479 474,260 366,911
Proceeds from dividends reinvested...................... 3,290 2,892 4,511 57,696 11,965 63,074
Value of shares redeemed................................ (77,965) (11,455) (1,732) (30,866) (24,315) (35,096)
-------- ------- ----------- -------- -------- --------
Net increase from capital share transactions............ 88,421 48,579 144,299 700,309 461,910 394,889
-------- ------- ----------- -------- -------- --------
Total increase in net assets............................... 88,399 50,295 152,142 743,722 519,526 383,163
Net assets:
Beginning of year....................................... 25,092 20,872 22,937 151,629 70,855 60,475
-------- ------- ----------- -------- -------- --------
End of year (including undistributed net investment
income of $237 in the Government/Corporate Bond
Fund)...................................................... $113,491 $71,167 $ 175,079 $895,351 $590,381 $443,638
-------- ------- ----------- -------- -------- --------
-------- ------- ----------- -------- -------- --------
Shares beginning of year................................... 2,611 2,115 2,315 15,087 7,133 5,918
Shares issued during year.................................. 16,358 5,398 12,536 56,925 39,030 30,176
Shares received for reinvestment of dividends and
distributions.............................................. 335 274 393 4,880 929 5,629
Shares redeemed during year................................ (7,762) (1,081) (153) (2,522) (1,983) (3,040)
-------- ------- ----------- -------- -------- --------
Shares outstanding end of year............................. 11,542 6,706 15,091 74,370 45,109 38,683
-------- ------- ----------- -------- -------- --------
-------- ------- ----------- -------- -------- --------
<CAPTION>
EQUITY SPECIAL
GROWTH EQUITY
-------- --------
<S> <C> <C>
From operations:
Net investment income (loss)............................ $ 592 $ (464)
Net realized gains (losses) on investments.............. 3,954 47,480
Net increase (decrease) in unrealized appreciation on
investments................................................ 33,374 40,739
-------- --------
Net increase in net assets resulting from operations.... 37,920 87,755
-------- --------
Dividends and distributions to shareholders from:
Net investment income................................... (592) 0
Net realized gains from investment transactions......... 0 (34,337)
Tax return of capital distribution...................... (3,456) (13,116)
-------- --------
Total dividends and distributions....................... (4,048) (47,453)
-------- --------
From capital share transactions:
Proceeds from issuance of shares........................ 485,033 429,750
Proceeds from dividends reinvested...................... 4,048 47,453
Value of shares redeemed................................ (25,006) (4,916)
-------- --------
Net increase from capital share transactions............ 464,075 472,287
-------- --------
Total increase in net assets............................... 497,947 512,589
Net assets:
Beginning of year....................................... 120,370 87,705
-------- --------
End of year (including undistributed net investment
income of $237 in the Government/Corporate Bond
Fund)...................................................... $618,317 $600,294
-------- --------
-------- --------
Shares beginning of year................................... 10,602 8,155
Shares issued during year.................................. 37,337 31,730
Shares received for reinvestment of dividends and
distributions.............................................. 317 3,534
Shares redeemed during year................................ (1,980) (376)
-------- --------
Shares outstanding end of year............................. 46,276 43,043
-------- --------
-------- --------
</TABLE>
See notes to financial statements.
8
<PAGE>
DIVERSIFIED INVESTORS FUNDS GROUP
NOTES TO FINANCIAL STATEMENTS
1. ORGANIZATION
The Diversified Investors Funds Group (the "Trust"), a Massachusetts
business trust, is registered under the Investment Company Act of 1940 (the
"1940 Act"), as amended, as an open-end management investment company. The Trust
is composed of thirteen different series that are, in effect, separate
investment funds: the Money Market Fund, the High Quality Bond Fund, the
Intermediate Government Bond Fund, the Government/Corporate Bond Fund, the
Balanced Fund, the Equity Income Fund, the Equity Value, the Growth & Income
Fund, the Equity Growth Fund , the Special Equity Fund, the Aggressive Equity
Fund, the International Fund, and the High Yield Bond Fund, (collectively, the
"Funds"). The Trust established and designated each of the Funds as separate
series on April 23, 1993, with the exception of the Intermediate Government Bond
Fund, the High-Yield Bond Fund and the International Equity Fund which were
established on October 2, 1995, and the Equity Value Fund and the Aggressive
Equity Fund which were established on May 1, 1996. Each Fund seeks to achieve
its investment objective by investing all of its investable assets in a
corresponding series of Diversified Investors Portfolios (the "Series
Portfolio"). The Series Portfolio is an open-end management investment company
registered under the 1940 Act.
At June 30, 1996 each Fund's investment in the corresponding Series
Portfolios was as follows:
<TABLE>
<CAPTION>
FUND PERCENTAGE INVESTMENT IN SERIES PORTFOLIO
- ------------------------------------------ -----------------------------------------
<S> <C>
Money Market.............................. 0.58%
High Quality Bond......................... 0.16
Intermediate Government Bond.............. 0.10
Government/Corporate Bond................. 0.13
Balanced.................................. 1.04
Equity Income............................. 0.20
Equity Value.............................. 0.04
Growth & Income........................... 0.67
Equity Growth............................. 0.50
Special Equity............................ 0.37
Aggressive Equity......................... 0.05
International Equity...................... 0.26
High Yield Bond........................... 0.61
</TABLE>
The financial statements of the Series Portfolio, including the Schedule of
Portfolio Investments, are contained elsewhere in this report and should be read
in conjunction with the Funds' financial statements.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Funds in the preparation of their financial statements. The
policies are in conformity with generally accepted accounting principles.
A. INVESTMENT VALUATION:
The value of any Fund's investment in a corresponding series of the Series
Portfolio reflects that Fund's proportional interest in the net assets of the
corresponding series of the Series Portfolio. Valuation of the securities held
by the Series Portfolio is discussed in Note 2A of the Series Portfolio's notes
to financial statements which are included elsewhere in this report.
9
<PAGE>
DIVERSIFIED INVESTORS FUNDS GROUP
NOTES TO FINANCIAL STATEMENTS--(CONT'D)
B. INVESTMENT INCOME:
Each Fund earns income, net of expenses, daily on its investment in a
corresponding series of the Series Portfolio. All of the net investment income
and realized and unrealized gains and losses from the security transactions of
the Series Portfolio are allocated pro rata among the investors at the time of
such determination.
C. ORGANIZATION EXPENSES:
Costs incurred by the Funds in connection with their organization and
initial registration were borne by Diversified Investment Advisors, Inc. (the
"Advisor").
D. DIVIDENDS AND DISTRIBUTION:
Dividends and distributions to shareholders are recorded on the ex-dividend
date. Dividends from net investment income and distributions from net realized
capital gains will normally be declared annually and reinvested in additional
full and fractional shares.
Dividends and distributions are determined in accordance with U.S. federal
income tax regulations which may differ from generally accepted accounting
principles. For the year ended December 31, 1995 and 1994, distributions in
excess of tax basis earnings and profits were reported in the financial
statements as returns of capital.
E. FEDERAL INCOME TAXES:
Each Fund is a separate entity for federal income tax purposes and intends
to comply with the requirements of the Internal Revenue Code applicable to
regulated investment companies and to distribute all of its taxable income to
shareholders. Therefore, no federal income tax provision is required.
For federal income tax purposes, the Funds indicated below have capital loss
carryforwards at December 31, 1995 which are available to offset future realized
capital gains, if any:
<TABLE><CAPTION>
CAPITAL LOSS
CARRYFORWARD EXPIRATION
------------ ----------
<S> <C> <C>
Equity Growth Fund................................... $ 578 2002
7,349 2003
</TABLE>
F. OPERATING EXPENSES:
The Trust accounts separately for the assets, liabilities and operations of
each Fund. Expenses directly attributable to a Fund are charged to that Fund,
while expenses attributable to all Funds are allocated among them.
G. OTHER:
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities at the
date of the financial statements and the reported amounts of revenues and
expenses during the reporting period. Actual results could differ from those
estimates.
10
<PAGE>
DIVERSIFIED INVESTORS FUNDS GROUP
NOTES TO FINANCIAL STATEMENTS--(CONT'D)
3. FEES AND TRANSACTIONS WITH AFFILIATES
The Trust has entered into an Administrative Services Agreement with the
Advisor, an indirect, wholly-owned subsidiary of AEGON USA, Inc., under which
the Advisor provides administration, transfer agency and shareholder services.
For providing these services, facilities and for bearing the related expenses,
the Advisor receives a monthly fee from each Fund at an annual rate equal to
0.30% of the average daily net assets of each Fund during the month. The Advisor
has voluntarily undertaken to reimburse expenses of the Funds, to the extent
necessary, to limit expenses to a rate equal to the percentages specified in the
table below of the corresponding Funds' average daily net assets.
For the period ended June 30, 1996, the Advisor has voluntarily undertaken
to reimburse fees in accordance with the expense caps as follows:
<TABLE><CAPTION>
FUND EXPENSE CAP
- ------------------------------------------------------ ---------------------
<S> <C>
Money Market.......................................... 50 basis points (bp)
High Quality Bond..................................... 60 bp
Intermediate Government Bond.......................... 60 bp
Government/Corporate Bond............................. 60 bp
Balanced.............................................. 60 bp
Equity Income......................................... 50 bp
Equity Value.......................................... 50 bp
Growth & Income....................................... 50 bp
Equity Growth......................................... 50 bp
Special Equity........................................ 65 bp
Aggressive Equity..................................... 50 bp
International Equity.................................. 50 bp
High Yield Bond....................................... 50 bp
</TABLE>
The Trust has also entered into a Distribution Agreement with Diversified
Investors Securities Corp. (the "Distributor"), a wholly-owned subsidiary of the
Advisor. Pursuant to Rule 12b-1 of the 1940 Act, the Distributor may receive a
fee from each Fund at an annual rate not to exceed 0.25% of the Fund's average
daily net assets as reimbursement for expenses incurred in connection with the
sale of shares of the Fund. The aggregate distribution fees incurred by the
Funds amounted to $7,392 for the period ended June 30,1996.
Each of the Funds is subject to such limitations as may from time to time be
imposed by the Blue Sky Laws of states in which each of the Funds sells it
shares. Currently, the most restrictive jurisdiction imposes expense limitations
of 2.5% of the first $30,000,000 of the average daily net assets, 2.0% of the
next $70,000,000, and 1.5% of any excess over $100,000,000.
Certain trustees and officers of the Trust are also directors, officers or
employees of the Advisor or its affiliates. None of the trustees so affiliated
receive compensation for services as trustees of the Trust. Similarly, none of
the Trust's officers receive compensation from the Funds. Aggregate remuneration
incurred to non-affiliated trustees of the Trust for the period ended June 30,
1996 amounted to $9,748.
11
<PAGE>
DIVERSIFIED INVESTORS FUNDS GROUP
NOTES TO FINANCIAL STATEMENTS--(CONT'D)
4. FINANCIAL HIGHLIGHTS
For one share outstanding throughout the period:
<TABLE><CAPTION>
INTERMEDIATE
GOVERNMENT GOVERNMENT/
MONEY MARKET HIGH QUALITY BOND BOND (1) CORPORATE BOND
------------------------------- -------------------------------- ------ ---------------------
BOND FOR THE
FOR THE FOR THE FOR THE FOR THE FOR THE YEAR
PERIOD YEAR ENDED PERIOD YEAR ENDED FOR THE PERIOD ENDED
ENDED -------------------- ENDED ------------------- PERIOD ENDED ENDED --------
6/30/96 1995 1994 6/30/96 1995 1994 6/30/96 6/30/96 1995
-------- -------- ------- -------- ------- ------- ------------ -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of
period............ $ 9.83 $ 9.61 $ 10.00 $ 10.61 $ 9.87 $ 10.00 $ 10.00 $ 11.60 $ 9.91
-------- -------- ------- -------- ------- ------- ----- -------- --------
Income from
investment
operations:
Net investment
income (loss)..... 0.24 0.31 0.66 0.31 0.42 0.18 0.21 0.32 0.30
Net gains (losses)
on investments
(both realized
and unrealized)... 0.00 0.22 (0.39) (0.18) 0.74 (0.12) (0.23) (0.54) 1.71
-------- -------- ------- -------- ------- ------- ----- -------- --------
Total income
(loss) from
investment
operations........ 0.24 0.53 0.27 0.13 1.16 0.06 (0.02) (0.22) 2.01
-------- -------- ------- -------- ------- ------- ----- -------- --------
Less: Dividends
and distributions
from:
Net investment
income............ -- (0.31) (0.66) -- (0.42) (0.18) -- -- (0.28)
Net realized
gain on
investments....... -- -- -- -- -- -- -- -- (0.04)
Tax return of
capital........... -- -- -- -- -- (0.01) -- -- --
-------- -------- ------- -------- ------- ------- ----- -------- --------
Total from
dividends and
distributions..... -- (0.31) (0.66) -- (0.42) (0.19) -- -- (0.32)
-------- -------- ------- -------- ------- ------- ----- -------- --------
Net asset value,
end of period..... $ 10.07 $ 9.83 $ 9.61 $ 10.74 $ 10.61 $ 9.87 $ 9.98 $ 11.38 $ 11.60
-------- -------- ------- -------- ------- ------- ----- -------- --------
-------- -------- ------- -------- ------- ------- ----- -------- --------
Ratios/supplemental
data:
Net assets end
of period......... $794,497 $113,491 $25,092 $258,303 $71,167 $20,872 $ 82,273 $479,077 $175,079
-------- -------- ------- -------- ------- ------- ----- -------- --------
-------- -------- ------- -------- ------- ------- ----- -------- --------
Ratio of
expenses to
average net assets
(6)............... 8.88% 67.48% 59.27% 20.18% 91.16% 284.62% 107.00% 12.12% 56.91%
Ratio of
expenses to
average net
assets (net of
reimbursement)
(6)............... 0.83% 0.76% 0.51% 0.98% 1.00% 0.55% 0.57% 0.94% 0.85%
Ratio of net
investment
income to
average net
assets (6)........ (3.00)% (61.47)% (55.80)% (13.57)% (83.53)% (279.12)% (100.36)% (5.56)% (50.11)%
Ratio of net
investment
income to
average net
assets (net of
reimbursement)
(6)............... 5.05% 5.24% 2.90% 5.63% 6.63% 4.96% 6.07% 5.61% 5.92%
Total return...... 2.42% 5.50% 3.45% 1.21% 11.85% 0.67% (0.20)% (1.91)% 20.30%
<CAPTION>
BALANCED
------------------------------------
FOR THE
FOR THE YEAR ENDED
PERIOD ENDED ---------------------
1994 6/30/96 1995 1994
------- ------------ -------- --------
<S> <C> <C> <C> <C>
Net asset value,
beginning of
period............ $ 10.00 $ 12.04 $ 10.05 $ 10.00
------- ------------ -------- --------
Income from
investment
operations:
Net investment
income (loss)..... 0.19 0.19 0.24 0.07
Net gains (losses)
on investments
(both realized
and unrealized)... (0.09) 0.43 2.61 0.07
------- ------------ -------- --------
Total income
(loss) from
investment
operations........ 0.10 0.62 2.85 0.14
------- ------------ -------- --------
Less: Dividends
and distributions
from:
Net investment
income............ (0.19) -- (0.24) (0.07)
Net realized
gain on
investments....... -- -- (0.51) --
Tax return of
capital........... -- -- (0.11) (0.02)
------- ------------ -------- --------
Total from
dividends and
distributions..... (0.19) -- (0.86) (0.09)
------- ------------ -------- --------
Net asset value,
end of period..... $ 9.91 $ 12.66 $ 12.04 $ 10.05
------- ------------ -------- --------
------- ------------ -------- --------
Ratios/supplementa
data:
Net assets end
of period......... $22,937 $ 2,241,542 $895,351 $151,629
------- ------------ -------- --------
------- ------------ -------- --------
Ratio of
expenses to
average net assets
(6)............... 257.24% 3.95% 9.95% 71.47%
Ratio of
expenses to
average net
assets (net of
reimbursement)
(6)............... 0.54% 1.01% 0.87% 0.49%
Ratio of net
investment
income to
average net
assets (6)........ (251.51)% (.20)% (5.68)% (68.13)%
Ratio of net
investment
income to
average net
assets (net of
reimbursement)
(6)............... 5.18% 3.14% 3.40% 2.86%
Total return...... 1.10% 5.15% 28.47% 1.43%
</TABLE>
- ------------
(1) February 22, 1996, Commencement of Operations
(2) June 13, 1996, Commencement of Operations
(3) June 11, 1996, Commencement of Operations
(4) January 18, 1996, Commencement of Operations
(5) January 30, 1996, Commencement of Operations
(6) Annualized, except for year ended 12/31/95, and Money Market for year ended
12/31/94.
12
<PAGE>
DIVERSIFIED INVESTORS FUNDS GROUP
NOTES TO FINANCIAL STATEMENTS--(CONT'D)
<TABLE>
<CAPTION>
EQUITY EQUITY GROWTH & EQUITY SPECIAL
INCOME VALUE (2) INCOME GROWTH EQUITY
- -------------------------------- --------- -------------------------------- -------------------------------- ----------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
PERIOD YEAR ENDED PERIOD PERIOD YEAR ENDED PERIOD YEAR ENDED PERIOD
ENDED ------------------- ENDED ENDED ------------------- ENDED ------------------- ENDED
6/30/96 1995 1994 6/30/96 6/30/96 1995 1994 6/30/96 1995 1994 6/30/96
- ---------- -------- ------- --------- ---------- -------- ------- ---------- -------- -------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 13.09 $ 9.93 $ 10.00 $ 10.00 $ 11.47 $ 10.22 $ 10.00 $ 13.36 $ 11.35 $ 10.00 $ 13.95
- ---------- -------- ------- --------- ---------- -------- ------- ---------- -------- -------- ----------
0.18 0.16 0.09 -- 0.04 0.06 0.03 0.05 0.01 (0.01) (0.03)
0.71 3.28 (0.07) (0.15) 1.18 3.18 0.22 1.71 2.09 1.36 2.56
- ---------- -------- ------- --------- ---------- -------- ------- ---------- -------- -------- ----------
0.89 3.44 0.02 (0.15) 1.22 3.24 0.25 1.76 2.10 1.35 2.53
- ---------- -------- ------- --------- ---------- -------- ------- ---------- -------- -------- ----------
-- (0.16) (0.09) -- -- (0.06) (0.03) -- (0.01) -- --
-- (0.04) -- -- -- (0.95) -- -- -- -- --
-- (0.08) -- -- -- (0.98) -- -- (0.08) -- --
- ---------- -------- ------- --------- ---------- -------- ------- ---------- -------- -------- ----------
-- (0.28) (0.09) -- -- (1.99) (0.03) -- (0.09) -- --
- ---------- -------- ------- --------- ---------- -------- ------- ---------- -------- -------- ----------
$ 13.98 $ 13.09 $ 9.93 $ 9.85 $ 12.69 $ 11.47 $ 10.22 $ 15.12 $ 13.36 $ 11.35 $ 16.48
- ---------- -------- ------- --------- ---------- -------- ------- ---------- -------- -------- ----------
- ---------- -------- ------- --------- ---------- -------- ------- ---------- -------- -------- ----------
$1,667,284 $590,381 $70,855 $ 6,083 $1,276,714 $443,638 $60,475 $1,289,854 $618,317 $120,370 $1,633,055
- ---------- -------- ------- --------- ---------- -------- ------- ---------- -------- -------- ----------
- ---------- -------- ------- --------- ---------- -------- ------- ---------- -------- -------- ----------
%
4.80 17.40% 106.54% 3197.35% 5.89% 21.07% 140.33% 5.35% 13.60% 70.79% 5.19%
%
0.97 0.43% 0.42% 0.35% 1.12% 0.39% 0.43% 1.21% 0.28% 0.42% 1.47%
)%
(1.24 (14.15)% (103.39)% (3195.94)% (4.08)% (19.66)% (138.93)% (4.85)% (13.13)% (71.00)% (4.10)%
%
2.58 2.82% 2.74% 1.06% 0.69% 1.02% 0.97% (0.72)% 0.20% (0.21)% (0.38)%
6.82% 34.62% 0.24% (1.50)% 10.66% 32.11% 2.49% 13.17% 18.50% 13.58% 18.18%
<CAPTION>
HIGH
AGGRESSIVE BOND INTERNATIONAL
EQUITY(3) YIELD(5) EQUITY(4)
- ---------- ----- ------- ------
FOR THE FOR THE FOR THE FOR THE FOR THE
PERIOD YEAR ENDED PERIOD PERIOD PERIOD
ENDED -------------------- ENDED ENDED ENDED
6/30/96 1995 1994 6/30/96 6/30/96 6/30/96
- ---------- -------- ------- ---------- ------- -------------
<S> <C> <C> <C> <C> <C>
$ 13.09 $ 10.75 $ 10.00 $ 10.00 $ 10.00 $ 10.00
- ---------- -------- ------- ----- ------- ------
0.18 -- -- -- 0.36 0.04
0.71 4.43 0.84 (0.60) (0.36) 0.66
- ---------- -------- ------- ----- ------- ------
0.89 4.43 0.84 (0.60) -- 0.70
- ---------- -------- ------- ----- ------- ------
-- -- -- -- -- --
-- (0.89) (0.09) -- -- --
-- (0.34) -- -- -- --
- ---------- -------- ------- ----- ------- ------
-- (1.23) (0.09) -- -- --
- ---------- -------- ------- ----- ------- ------
$ 13.98 $ 13.95 $ 10.75 $ 9.40 $ 10.00 $ 10.70
- ---------- -------- ------- ----- ------- ------
- ---------- -------- ------- ----- ------- ------
$1,667,284 $600,294 $87,705 $ 7,948 $56,121 $ 252,764
- ---------- -------- ------- ----- ------- ------
- ---------- -------- ------- ----- ------- ------
%
4.80 15.12% 99.91% 2190.83% 170.89% 17.69%
%
0.97 0.71% 0.54% 0.48% 1.00% 0.42%
(1.24 (14.58)% (99.33)% (2190.83)% (160.99)% (16.97)%
%
2.58 (0.18)% 0.04% (.48)% 8.89% 0.30%
6.82 41.50% 8.54% (6.00)% -- 7.00%
</TABLE>
13
<PAGE>
ECONOMIC AND MARKET REVIEW
Over the last three months, investors were busy analyzing numerous economic
reports in an attempt to decide the fate of short-term interest rates. The
general conclusion is that the economy is running on all cylinders and the only
questions remaining are: when will the Federal Reserve raise interest rates? and
by how much? The strength of the economy is primarily attributable to a
resurgence in consumer confidence.
Despite rising interest rates on mortgages, the housing market showed
remarkable strength, as did the retail sector with generally better than
expected comparable same store sales. Both of these events boosted new factory
orders. Perhaps the increase in consumer spending and confidence is directly
correlated to a buoyant labor market, as the economy created more jobs than
anticipated, and to a decrease in the nation's unemployment rate. Most
important, inflation, as measured by both the Producer Price Index and the
Consumer Price Index, seems to be behaving nicely. In fact, producer prices
actually fell in June for the first time in three months. However, many skeptics
believe that inflation, constrained over the past few years by marginal wage
pressures and commodity prices, now present the main economic risk on the
horizon.
During the quarter, the stock market, as measured by the S&P 500 Index,
continued its trend upward by returning 4.5%. The bond market's return, as
measured by the Lehman Brothers Government/Corporate Index was 0.4%
The stock market's climb during the quarter was attributable to exploding
retail demand as individuals continued to pour money into mutual funds. Net
sales persisted at a record pace as $124 billion was deposited into equity
mutual funds through May (a level nearly matching the full year 1995). In
addition, investors were pleasantly surprised with the release of the first
quarter's earnings reports, as the majority of the companies in the S&P 500
posted better than expected results. Small company stocks, as measured by the
Russell 2000 Index, returned 5.0%, outperforming their bethren large company
stocks. The relative outperformance of small companies was attributable to their
ability to grow profits at a faster pace, the recent strength in the U.S.
economy, and a resurgence in the value of the dollar versus other major
currencies.
Investors, worried that the stronger than expected growth in the economy
would potentially lead to inflationary pressures, bid down the prices on bonds.
As in the first quarter, yields continued to rise across the maturity spectrum.
In terms of maturities, the shortest maturities performed best.
MONEY MARKET PORTFOLIO
During the second quarter of 1996, the economy showed continued, if not
accelerating growth. In particular, the employment and housing sectors as well
as consumer spending proved that the economy was more resilient than had
previously been expected.
These areas of growth, and most importantly their potential effect on wages
in the labor market, led to widespread speculation by investors that inflation
concerns would lead the Federal Reserve to tighten credit.
Consequently, the rates on benchmark 30-day commercial paper moved upward
from 5.25% at the beginning of April to 5.38% at the end of the quarter. Current
economic growth, while moving upwards, has not yet been threatening enough to
stimulate action by the Fed. However, continued strength could lead to a 25
basis point tightening by the Fed sometime in the third quarter.
The Portfolio continues to be invested in high-quality short-term
instruments, principally commercial paper. Maturities will be kept short to
provide flexibility should higher rates appear. The average maturity of the
portfolio has shortened slightly, to 30.5 days as of June 28, 1996.
14
<PAGE>
HIGH QUALITY BOND PORTFOLIO
Interest rates rose across the maturity spectrum during the second quarter.
The rise in interest rates, thus causing the prices of bonds to fall, was
largely attributable to the belief that the greater than anticipated strength in
the economy would eventually create inflationary pressures.
Early in the quarter, Treasury prices fell in response to the continued
strength in the consumer sector, primarily from buoyant housing and retail
markets, renewed vigor in the manufacturing sector led by durable goods orders,
and an unexpected increase in construction spending. In addition, there were two
other economic statistics released in April that significantly affected the bond
market. First, the employment report, released on April 5, indicated that job
growth remained strong and unemployment was low. Secondly, the Producer Price
Index was reported higher than expected. This in and of itself was not
significant, but when coupled with a surge in commodity prices and a tight labor
market, initiated speculation that inflation was not far behind.
A sharp rise in consumer confidence, and the unexpectedly strong first
quarter Gross Domestic Product report, send yields soaring from 6.84% to 7.12%
during the first three trading days in May. Supply created by the Treasury's
quarterly refunding kept yields above 7.00% until May 10. A calming inflation
report sparked a rally that brought bond yields down to 6.85%. Yields fluctuated
in a very narrow range of 6.82% to 6.86% for the rest of the month.
The month of June was turning out to be a replay of the prior months, but a
late rally across the maturity spectrum during the last week caused the bond
market to post positive results. This late rally was attributable to optimism
that the Federal Reserve Board will leave monetary policy unchanged at its
meeting in early July.
Merganser's outlook over the next 12-18 months is for the economy to grow at
a moderate 2.5% - 3.0% rate. They believe that the economy has some residual
steam, with inflation remaining under control.
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
The Lehman Brothers Intermediate Government Index returned .67% for the
three month period ending in June although much of the positive return could be
attributed to a strong rally on the final day of the quarter. The bond market
witnessed a dramatic steepening of the yield curve during this period as
long-term rates increased much more than short-term rates. Therefore, as was
true for the first quarter of 1996, shorter-term issues generally outperformed
their longer-term counterparts.
The quarter started off on a down note for bondholders as most of the
economic reports released suggested an economy that was growing rapidly. The
employment report in April indicated the economy added almost three times as
many jobs as analysts expected. Bond prices dropped driving the yield on the
30-year Treasury up to almost 7% on fears that a much stronger economy would
bring with it higher inflation, which erodes the value of any fixed income
investment. Data released in mid-April, confirming that inflation was not yet a
problem, caused bonds to rally somewhat until month end. However, in late April
and early May, bond prices once again came under pressure due to a sharp rise in
consumer confidence levels as well as the release of a much higher than
anticipated first quarter GDP figure. Once again though, inflation indicators
(CPI, PPI) were reported at levels below traders' expectations, and bonds
recouped some of their losses. June activity followed the trend set in the
previous two months as very strong economic reports released early in the month
pushed bond prices lower. The number of new jobs added for the month was more
than twice the anticipated number and the housing sector remained strong despite
increasing interest rates. The yield on the 30-year Treasury rose to 7.2%, the
highest level in over a year. Inflation levels remained subdued despite the
apparent increase in economic activity, but traders were now apprehensive that
the Federal Reserve might attempt to slow down the economy by bumping up
short-term interest rates at its meeting in early July. However, as the month
ended traders stepped in and bought bonds at levels they thought represented a
good value, confident that the Fed would not take action at its upcoming
meeting.
15
<PAGE>
The Portfolio has maintained a duration very close to that of its benchmark,
the Lehman Intermediate Government Bond Index, throughout the second quarter of
this year. The Portfolio will continue to seek high quality Government issues,
and it is expected to maintain a duration close to that of its benchmark over
the near term.
GOVERNMENT/CORPORATE BOND PORTFOLIO
Due to a significant rally during the final few days of June, bonds in this
segment of the market managed to post a positive return for the three month
period ending June 20th. As measured by the Lehman Brothers Government/Corporate
Index, bonds returned .47% during the second quarter. Consistent with the first
quarter of 1996, shorter duration issues generally outperformed those with
longer durations as interest rates went higher.
Most of the economic data released during the period pointed toward an
economy that seemed to be expanding at a healthy rate, and many bond traders
expected it to continue to do so. For example, the housing sector remained
strong even though mortgage rates were pushed higher, and manufacturing was
making a comeback due to a need for businesses to replenish inventories that
were at low levels. However, the single biggest factor driving interest rates
higher over the past few months was the much larger than anticipated creation of
new jobs. Traders feared the large employment gains, coupled with the other
indicators of accelerating growth, might signal the end of the period of
favorable inflation readings. In addition to the large number of jobs being
created, reports show employers are also increasing compensation. In that the
labor market is tight currently (unemployment 5.3%), employers may be raising
salaries in order to keep and/or attract qualified workers. It may be just a
matter of time until the increased costs are reflected in the inflation
indicators. The Federal Reserve has been watching closely for any signs of
higher inflation. If these costs are passed on to the consumer, the Fed may take
action to slow the pace of growth by increasing short-term interest rates.
The Portfolio was kept at a slightly shorter duration than its benchmark
during the quarter, the Lehman Brothers Government/Corporate Index, and has
outperformed as interest rates climbed higher. Also benefiting the portfolio was
exposure to the asset backed and mortgage sectors relative to the Index as these
were the two best performing sectors of the investment grade market. The
Portfolio will be managed to a duration at or slightly below that of its Index
until clearer evidence emerges as to the strength and direction of the economy.
BALANCED PORTFOLIO
Balanced investors continued to earn fair returns in the second quarter as
the Lipper Balanced Fund Index gained 2.2%--this puts its year-to-date total
return at about 4.5%. However, there continues to be a wide discrepancy between
stock and bond asset classes. The broad stock and bond markets, as defined by
the S&P 500 and Lehman Government/Corporate Bond Indices, returned 4.5% and 0.5%
respectively. Stocks have now outperformed for six consecutive quarters and hold
a 34.6% advantage for the entire period. This environment has clearly favored
portfolios with a strong equity bias. Some of the key factors behind the equity
market's relative strength were earnings that generally surpassed expectations,
data releases indicative of a fairly healthy economy, and cash flows to equity
mutual funds continuing at a record pace. A short-term technical rally late in
the quarter enabled the bond market to post a slightly positive return. However,
many bond investors continue to be concerned about the strength of the recent
economic data and the prospect of tighter monetary policy going forward.
The second quarter results of the Balanced Portfolio were most impacted by
asset allocation and equity segment results. The Portfolio's increasingly
conservative asset allocation had a slightly negative impact on total return for
the quarter. The reduction in equity exposure by about 7% during the quarter
detracted from return as stocks continued to outperform. This move was based on
the view that stronger than expected economic growth may bring even higher
interest rates. Higher rates hurt the equity markets, as they lower corporate
profits and provide more competition for investors' funds.
16
<PAGE>
Equity segment results were greatly influenced by investment style. Value
oriented strategies, such as that utilized in the Portfolio, underperformed
their more aggressive, growth counterparts due to the fact that technology and
non-cyclical sectors led the market. It is very difficult for value managers to
get participation in these sectors as they typically carry the highest
valuations in the market.
EQUITY INCOME PORTFOLIO
Income oriented stock investors generally realized fair returns in the
second quarter. The Lipper Equity Income Fund Index has now returned 7.1%
year-to-date after the most recent quarterly return of 2.7%. Moreover, equity
income funds generally underperformed more aggressive capital appreciation and
small company funds, whose comparable indices returned 4.5% and 8.1% for the
quarter, respectively. These results show how the market was led by smaller,
growth oriented companies for most of the period. However, the nearly 40% total
return for the Equity Income Index over the past sixteen months is still quite
high by historical standards, inasmuch as these portfolios are considered among
the least risky equity funds. Some of the key catalysts behind the market's
advance in the second quarter were earnings reports that were somewhat stronger
than anticipated, government data releases indicative of a healthy U.S. economy,
and several mergers which served to expand valuations in several sectors.
Second quarter performance of the Equity Income Portfolio was also impacted
by sector allocation and stock selection. The Portfolio's underweighted
positions in technology and consumer non-cyclicals hurt relative results as
these two areas were the best performing groups of the broad market. However,
this result is in line with expectations, as it is very difficult to reconcile
these growth oriented and lower yielding companies with the conservative,
dividend oriented strategy of the Portfolio.
The benefits from superior stock selection were evident in the utility
sector. A bias toward large telecommunication companies paid off as this
industry is currently benefiting from a more relaxed regulatory environment due
to the telecommunications reform bill; improved earnings resulting from leaner
cost structures, and large mergers boosting valuations. The Portfolio
participated in this group through Pacific Telesis, Bellsouth, and Sprint which
all returned over 11% for the quarter.
EQUITY VALUE PORTFOLIO
Stock selection among the finance, consumer cyclical and utility sectors,
outweighed positive sector selection, particularly in the energy sector.
The finance sector was the largest detractor to performance. The June labor
report, which was stronger than expected, caused interest rates to rise
threatening profits among insurers and brokerage firms, which comprise
approximately 80% of this sector's weighting. In addition, an underweighted
position in the banking stocks also hindered the Portfolio's relative
performance. The Portfolio's underweighted position in banks is largely due to
relatively high multiples.
The consumer cyclical sector's underperformance was attributable to the
retail, media and entertainment stocks. After a strong showing, investors took
profits from the retail stocks. Additionally, these stocks sold off as investors
believe that a slowing economy in the second half of the year would crimp
profits. The media and entertainment stocks have been weak for quite some time
reflecting over capacity in these areas.
GROWTH & INCOME PORTFOLIO
The stock market, as measured by the S&P 500 Index, continued its upward
pattern by returning 4.5% for the quarter. As in the prior quarter, the market's
performance was buoyed by exploding demand in retail mutual funds. Net sales
persisted at a record pace, with over $100 billion flowing into equity mutual
funds through May. In addition, generally better-than-expected earnings reports
released early in the quarter were greeted positively by investors.
The Portfolio benefited from strong stock selection in the consumer cyclical
and technology sectors, while the utility sector detracted from performance.
17
<PAGE>
The consumer cyclical sector benefited from its relative overweighted
position in retail stocks. This group's performance was largely attributable to
stronger than expected consumer spending, which was a result of improving
incomes and job prospects, as the economy continued to show signs of resurging.
In addition, solid earnings reports and positive comparable same store sales
released during the quarter made investors believe that stronger earnings
reports were on the way. Portfolio stocks such as Dayton Hudson Corp., TJX
Company, Inc. and Home Depot led the way.
Despite a late quarter sell-off, the Portfolio's technology sector
contributed positively to performance as it was the best performing sector for
the quarter. The Portfolio's exposure in the telecommunication equipment area
and computer software companies were the primary drivers. Telecommunication
stocks such as Cascade Communications, Tellabs, Inc., and US Robotics, Inc.
benefited from the introduction of new products, and announced acquisitions that
will enhance and complement existing products and better-than-expected earnings.
Microsoft Corp. led the software manufacturers. The company's stock price
reached an all-time high after it received commitments for its new Windows NT
product and a solid earnings report.
Stock selection in the utility sector detracted from performance impacted
largely by MCI Corp. and SBC Communications, Inc. MCI Corp. stock price fell.
The company will most likely report that volume growth will fall approximately
7% as the company steers away from carrying other long distance company calls
and a contracting customer base. SBC Communications, Inc. fell after it
announced plans to purchase Pacific Telesis Group for an estimated $16.5
million.
EQUITY GROWTH PORTFOLIO
Growth investing continued to do fairly well in the second quarter as the
Russell 1000 Growth Index and the Lipper Growth Fund Index returned 6.4% and
3.3%, respectively. These returns were quite strong relative to value investing,
the other major investment style, which returned only 1.7% as measured by the
Russell 1000 Value Index. One of the main factors behind the relative strength
of growth investing was the uncertainty regarding the economy. Investors, unsure
of the prospects for the economy, turned to sectors which offered the best
growth potential regardless of economic conditions. This resulted in the
non-cyclical and technology sectors, the primary domain of most growth
strategies, leading the market with returns of 8.0% and 7.5% respectively.
Although growth portfolios led the market, most other equity indices continued
to post good returns in the second quarter. Some of the key catalysts to this
advance were earnings reports that were somewhat better than anticipated, strong
cash flows to equity mutual funds, and several large mergers that helped raise
valuations.
The Growth Portfolio's holdings in the technology sector had the largest
impact on second quarter total return. This sector currently comprises about 36%
of total equities but is diversified among several industries within the broad
technology group. Some of the best performers were computer networking,
telecommunications infrastructure, and internet companies. The networking area
was led by 3Com and Cisco Systems, which both returned over 14% for the quarter
on good earnings reports. The Portfolio's telecommunications stocks continued to
outperform as rising call volume and increasing demand for data transmission
technology resulted in generally good earnings for this group as well. Finally,
internet companies UUNET and Netscape both saw their stocks rise dramatically,
due to a corporate takeover and the announcements of key strategic alliances,
respectively.
SPECIAL EQUITY PORTFOLIO
Small company stocks, as measured by the Russell 2000 Index, outperformed
their brethren large company stocks, as measured by the S&P 500 Index. Small
company and large company stock returns were 5.0% and 4.5%, respectively. This
relative outperformance was primarily attributable to: small companies being
able to grow profits at a faster pace, the recent strength of the US economy,
and a resurgence in the value of the U.S. dollar versus other major currencies.
18
<PAGE>
The Special Equity Portfolio continues to demonstrate superior results
relative to its benchmark, the Russell 2000 Index. Strong stock selection in the
technology and business equipment and services sectors were the primary
catalysts to performance.
The outperformance of the technology sector was specifically due to a lack
of exposure in the semiconductor stocks, which significantly underperformed for
the quarter, and to stock selection in the communication equipment and computer
software companies. The underperformance in the semiconductor stocks was due to
lower expected earnings resulting from a substantial inventory correction. The
Portfolio strategically eliminated these stocks late in 1995. The communication
equipment stocks responded well to the rapid changes in the communication
industry, as a result of new government legislation and the popularity among
Internet users. The software stocks have also responded to the Internet arena as
these companies are learning that they can cater to this market by making little
changes to existing products. In addition, corporate America continues to expand
data capabilities, which also benefited these stocks.
The business service and equipment sector's strong result was primarily
attributable to vocational education stocks, such as ITT Educational Services
and National Education Corp. In addition, the computer service company Cambridge
Technology Partners, and security service and product company Checkpoint
Systems, boosted performance. The vocational training stocks have benefited from
an indirect play from the growth in the technology field, as people are
continually receiving the required training needed to perform their
responsibilities. Checkpoint Systems rose after reporting better than expected
earnings, as did Cambridge Technology Partners.
AGGRESSIVE EQUITY PORTFOLIO
July was a very difficult month for aggressively invested portfolios,
particularly those focused on smaller cap, technology stocks. The NASDAQ market,
where many of these companies trade, experienced a sharp correction in July
(-10%) due to an abrupt shift in investor sentiment. Investors turned bearish on
technology issues as a result of disappointing earnings from industry leaders
such as Hewlett-Packard, Motorola, and Texas Instruments. Also contributing to
the correction were signs of speculative excesses in the IPO market.
Sector emphasis was the key factor in terms of performance attribution.
Small cap technology stocks, as measured by the technology sector of the Russell
2000, returned -13.8% in July. This obviously hurt the Portfolio as the vast
majority of funds are invested in this sector as it offers fundamentals
consistent with rapid earnings acceleration.
HIGH YIELD BOND PORTFOLIO
As measured by the Salomon Brothers Cash Pay Index, high yield bonds
returned about 1.4% for the second quarter of 1996, well ahead of most other
fixed income indices. Strong mutual fund inflows combined with positive company
specific news were, however, partially offset by the negative effect of rising
interest rates and heavy new supply during the period. Consistent with the high
yield sector in the first quarter of this year, the lower rated, shorter
duration issues generally outperformed all other high yield issues.
The Treasury market continued its influence on the high yield market during
the second quarter. Accelerating economic growth was apparent in many of the
economic indicators released during the period. The housing sector continued to
exhibit strength, retailers were doing better and the manufacturing sector was
trending upwards. This evidence of stronger growth had traders concerned that
inflationary pressures would soon enter the equation. Thus, yields were pushed
up on both investment and non-investment grade bonds. However, while the ten
year Treasury fell 2.45% in price, high yield prices fell by just 1%. High yield
issues were supported by investors who believed upbeat first quarter earnings
reports and stronger economic activity would positively impact credit quality
and valuations.
Credit quality had a noticeable effect on return for the quarter. The CCC
rated sector, which benefits most from an expanding economy, returned 2.2%. B
rated issues returned 1.9%, and the higher
19
<PAGE>
quality BB issues returned .7%. Demonstrating the diversification benefits of
investing in this asset class, the high yield market has returned 2.8% in 1996
while the ten year Treasury's return was -5%.
The outlook for the high yield market remains positive, particularly
relative to other fixed income investments. Investor demand for these securities
is likely to remain strong, especially in light of the recent volatility of the
broader stock and bond markets. The Portfolio remains defensively positioned
with respect to industry exposure, and slightly overweighted in top tier BB
rated issues. Under either of the most likely economic scenarios--continued
acceleration or moderating growth--a portfolio consisting of BB and B rated
securities is likely to outperform similar duration investment grade instruments
by virtue of their relative credit safety and yield premium.
INTERNATIONAL EQUITY PORTFOLIO
The International equity market, as measured by the Morgan Stanley Capital
International Gross Domestic Product Europe, Australia, Far East Index,
continued its upward trend by returning 2.5% for the quarter. In fact, 17 of the
22 countries that comprise the Index posted positive returns in U.S. dollars.
The best performers were Italy, Spain and Ireland, while the traditional market
favorites such as Hong Kong, Germany and Japan were laggards.
The Italian market not only gained a remarkable 11% in local currency, but
the lira was the world's strongest currency. The Italian market reacted very
positive to its election which ended with a moderate left wing government led by
Mr. Prodi who seems determined to implement a wide range of reforms to bring the
public sector deficits under control. Ireland is a model for what good policies
consistently pursued can achieve. Over the last ten years, admittedly with the
help of substantial European Union aid, the country has transformed itself from
a debt-ridden agricultural backwater to the fastest growing economy in Europe,
combined with healthy public finances and minimal inflation. Politics have also
been important in the third best performer, Spain.
Looking more broadly in Europe, the European markets are balanced between
generally gloomy economic news and difficult profit comparisons on one hand, and
easy money policies on the other. The inventory adjustment which weighed on the
economies over the last 12 months appears to have come to an end, but there are
very few signs of economic recovery. In these circumstances, the central banks
continue to reduce interest rates by small amounts. Corporate restructuring and
the concept of shareholder value, which have been so important in the American
market in the last ten years, are increasingly the subject of discussion in
Europe.
Across the world in Japan, there is also some tentative discussion of
restructuring and return on equity. More important in the shorter term is that
the Japanese economic recovery is finally underway. First quarter gross domestic
product figures showed an unexpectedly 12.7% (annualized) growth, with a
particularly encouraging improvement in consumption. The market was also aided
by corporate profits which started to recover from very depressed levels. Japan
also seems to be reaching the bottom of the banking and real estate crisis.
20
<PAGE>
THIS PAGE INTENTIONALLY LEFT BLANK
21
<PAGE>
DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT/
MONEY HIGH GOVERNMENT CORPORATE EQUITY
MARKET QUALITY BOND BOND BOND BALANCED INCOME
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments, at cost... $137,557,989 $170,802,435 $126,880,568 $424,859,559 $290,476,627 $664,072,694
------------ ------------ ------------ ------------ ------------ ------------
------------ ------------ ------------ ------------ ------------ ------------
Investments, at market
(Note 2)............... $137,557,989 $169,531,984 $125,622,486 $424,894,620 $297,039,104 $827,414,656
Repurchase agreement,
at value.............. 65,243 1,012,512 48,474 15,194 5,125,633 32,854
Cash................... -- 2,520 4,272 7,064 35,194 15,728
Receivable for
securities sold....... -- 130,443 -- -- 4,715,158 8,359,870
Receivable for forward
currency contracts..... -- -- -- -- -- --
Interest receivable.... -- 2,096,827 1,235,944 4,871,524 1,571,816 --
Dividends receivable... -- -- -- -- 130,541 1,452,810
Receivable from
securities lending.... -- 5,540 1,094 4,086 30,342 11,412
Reimbursement from
advisor................ -- -- 6,501 1,743 18,407 6,869
------------ ------------ ------------ ------------ ------------ ------------
Total assets...... 137,623,232 172,779,826 126,918,771 429,794,231 308,666,195 837,294,199
------------ ------------ ------------ ------------ ------------ ------------
LIABILITIES:
Deposit for securities
loaned................. -- 9,514,650 35,893,750 52,256,250 85,726,849 8,944,200
Payable for securities
purchased.............. -- -- -- -- 5,011,068 --
Payable for forward
currency contracts..... -- -- -- -- -- --
Payable for shares
repurchased............ -- -- 338 -- -- --
Payable to advisor..... 6,240 109,177 -- -- -- --
Accrued expenses:
Investment advisory
fees................... 57,845 93,712 53,428 209,574 157,653 606,912
Custody fees........ 3,848 2,387 2,543 19,377 11,383 56,035
Professional fees... 11,819 11,805 10,429 12,601 11,517 23,690
Reports to
shareholders........... 1,239 1,277 695 2,725 1,476 5,920
Miscellaneous
fees................... 10,341 1,800 1,969 2,228 2,286 2,229
------------ ------------ ------------ ------------ ------------ ------------
Total
liabilities............ 91,332 9,734,808 35,963,152 52,502,755 90,922,232 9,638,986
------------ ------------ ------------ ------------ ------------ ------------
NET ASSETS............. $137,531,900 $163,045,018 $ 90,955,619 $377,291,476 $217,743,963 $827,655,213
------------ ------------ ------------ ------------ ------------ ------------
------------ ------------ ------------ ------------ ------------ ------------
Net assets consist of:
Paid-in capital..... $137,531,900 $164,315,469 $ 92,213,701 $377,256,415 $211,181,486 $664,313,251
Net unrealized
appreciation
(depreciation) on
investments, and
translation of
assets and
liabilities in
foreign currencies..... -- (1,270,451) (1,258,082) 35,061 6,562,477 163,341,962
------------ ------------ ------------ ------------ ------------ ------------
NET ASSETS...... $137,531,900 $163,045,018 $ 90,955,619 $377,291,476 $217,743,963 $827,655,213
------------ ------------ ------------ ------------ ------------ ------------
------------ ------------ ------------ ------------ ------------ ------------
</TABLE>
See notes to financial statements.
22
<PAGE>
<TABLE>
<CAPTION>
EQUITY GROWTH & EQUITY SPECIAL AGGRESSIVE HIGH YIELD INTERNATIONAL
VALUE INCOME GROWTH EQUITY EQUITY BOND EQUITY
----------- ------------ ------------ ------------ ----------- ----------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
$15,904,433 $161,814,858 $215,342,107 $356,424,333 $15,290,049 $10,288,502 $ 89,469,597
----------- ------------ ------------ ------------ ----------- ----------- -------------
----------- ------------ ------------ ------------ ----------- ----------- -------------
$15,828,138 $180,278,224 $275,996,486 $430,611,973 $16,726,450 $10,122,132 $ 95,467,804
1,402,167 15,423,094 18,828,043 46,181,174 5,243,168 -- --
2,763 3,357 3,498 4,017 -- 1,618,658 7,396,129
53,681 148,102 231,280 1,359,535 656,326 264,875 163,848
-- -- -- -- -- -- 880,090
-- -- 35,947 -- -- 249,809 61,802
31,147 240,635 52,683 268,296 375 -- 353,844
-- 1,241 52,300 15,933 -- -- --
17,187 5,586 -- -- 16,952 11,759 45,606
----------- ------------ ------------ ------------ ----------- ----------- -------------
17,335,083 196,100,239 295,200,237 478,440,928 22,643,271 12,267,233 104,369,123
----------- ------------ ------------ ------------ ----------- ----------- -------------
-- 3,597,800 31,838,735 31,000,946 -- -- --
145,136 1,843,320 -- 4,695,925 5,641,737 1,400,387 765,922
-- -- -- -- -- -- 283,543
-- -- -- -- -- -- --
-- 11,814 19,928
14,336 167,045 283,153 551,424 20,364 9,241 121,948
1,048 9,893 9,591 19,802 740 -- 35,932
9,145 2,467 11,202 12,304 9,131 11,737 14,370
107 1,150 1,636 2,837 78 148 --
7,239 2,201 2,362 2,906 7,207 7,967 6,978
----------- ------------ ------------ ------------ ----------- ----------- -------------
177,011 5,623,876 32,158,493 36,306,072 5,679,257 1,429,480 1,228,693
----------- ------------ ------------ ------------ ----------- ----------- -------------
$17,158,072 $190,476,363 $263,041,744 $442,134,856 $16,964,014 $10,837,753 $ 103,140,430
----------- ------------ ------------ ------------ ----------- ----------- -------------
----------- ------------ ------------ ------------ ----------- ----------- -------------
$17,234,367 $172,012,997 $202,387,365 $367,947,216 $15,527,613 $11,004,123 $ 96,547,018
)
(76,295 18,463,366 60,654,379 74,187,640 1,436,401 (166,370) 6,593,412
----------- ------------ ------------ ------------ ----------- ----------- -------------
$17,158,072 $190,476,363 $263,041,744 $442,134,856 $16,964,014 $10,837,753 $ 103,140,430
----------- ------------ ------------ ------------ ----------- ----------- -------------
----------- ------------ ------------ ------------ ----------- ----------- -------------
</TABLE>
23
<PAGE>
DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT/
MONEY HIGH GOVERNMENT CORPORATE EQUITY
MARKET QUALITY BOND BOND BOND BALANCED INCOME
---------- ------------ ------------ ------------ ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Investment income (Note
2):
Dividend income........ $ -- $ -- $ -- $ -- $ 1,309,563 $11,622,339
Less Withholding
Tax....................... -- -- -- -- 9,882 8,733
Interest income........ 4,029,400 5,286,475 2,774,417 11,820,818 2,711,669 2,899,314
---------- ------------ ------------ ------------ ----------- -----------
Total income......... 4,029,400 5,286,475 2,774,417 11,820,818 4,011,350 14,512,920
---------- ------------ ------------ ------------ ----------- -----------
Expenses:
Investment advisory
fees...................... 184,202 286,441 162,617 631,865 446,066 1,844,838
Custody fees........... 23,923 23,409 19,181 50,270 30,952 97,432
Professional fees...... 10,715 11,505 10,220 12,451 11,533 23,090
Reports to
shareholders.............. 855 1,024 566 2,305 1,332 5,157
Miscellaneous fees..... 8,100 8,297 7,770 9,773 8,651 13,064
---------- ------------ ------------ ------------ ----------- -----------
Total expenses....... 227,795 330,676 200,354 706,664 498,534 1,983,581
Expenses waived by the
investment advisor........ 9,550 14,522 15,691 25,742 7,016 46,840
---------- ------------ ------------ ------------ ----------- -----------
Net expenses......... 218,245 316,154 184,663 680,922 491,518 1,936,741
---------- ------------ ------------ ------------ ----------- -----------
Net investment income
(loss).................... 3,811,155 4,970,321 2,589,754 11,139,896 3,519,832 12,576,179
---------- ------------ ------------ ------------ ----------- -----------
Net realized and
unrealized gains (losses)
on investments:
Net realized gains
(losses) on investments... (1,771) 235,780 (573,024) (704,264) 14,358,120 24,542,271
Net realized (loss) on
foreign currency
transactions.............. -- -- -- -- -- --
Net unrealized
appreciation
(depreciation) on
investments............... -- (2,874,615) (2,325,387) (15,975,824) (7,757,647) 18,262,060
Net increase in
unrealized
appreciation on
translation of assets
and liabilities in
foreign currencies........ -- -- -- -- -- --
---------- ------------ ------------ ------------ ----------- -----------
Net realized and
unrealized gains (losses)
on investments........... (1,771) (2,638,835) (2,898,411) (16,680,088) 6,600,473 42,804,331
---------- ------------ ------------ ------------ ----------- -----------
Net increase (decrease) in
net assets resulting from
operations................ $3,809,384 $ 2,331,486 $ (308,657) $ (5,540,192) $10,120,305 $55,380,510
---------- ------------ ------------ ------------ ----------- -----------
---------- ------------ ------------ ------------ ----------- -----------
</TABLE>
- ------------
* April 19, 1996 Commencement of Operations
See notes to financial statements.
24
<PAGE>
<TABLE>
<CAPTION>
EQUITY GROWTH & EQUITY SPECIAL AGGRESSIVE HIGH YIELD INTERNATIONAL
VALUE* INCOME GROWTH EQUITY EQUITY* BOND EQUITY
------- ----------- ----------- ----------- ---------- ---------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
$67,321 $ 1,171,731 $ 203,784 $ 1,055,479 $ 1,215 $ -- $ 1,103,663
452 2,730 -- 6,621 -- -- 132,868
196 240,807 238,715 872,619 732 432,353 168,131
------- ----------- ----------- ----------- ---------- ---------- -------------
67,065 1,409,808 442,499 1,921,477 1,947 432,353 1,138,926
------- ----------- ----------- ----------- ---------- ---------- -------------
15,522 461,373 812,912 1,460,066 22,285 27,437 341,942
1,048 39,620 31,043 89,923 740 20,956 106,017
9,183 10,643 11,432 13,628 9,160 8,864 12,354
107 1,104 1,564 2,700 78 66 644
7,238 8,390 8,919 10,230 7,205 7,193 7,858
------- ----------- ----------- ----------- ---------- ---------- -------------
33,098 521,130 865,870 1,576,547 39,468 64,516 468,815
17,187 23,010 2,697 30,402 16,952 34,594 62,659
------- ----------- ----------- ----------- ---------- ---------- -------------
15,911 498,120 863,173 1,546,145 22,516 29,922 406,156
------- ----------- ----------- ----------- ---------- ---------- -------------
51,154 911,688 (420,674) 375,332 (20,569) 402,431 732,770
------- ----------- ----------- ----------- ---------- ---------- -------------
44,319 3,862,020 7,572,610 31,575,957 (543,670) 28,472 925,745
-- -- -- -- -- -- (3,852)
)
(76,295 10,272,512 21,104,611 28,702,307 1,436,401 (328,416) 4,823,291
-- -- -- -- -- -- 435,382
------- ----------- ----------- ----------- ---------- ---------- -------------
)
(31,976 14,134,532 28,677,221 60,278,264 892,731 (299,944) 6,180,566
------- ----------- ----------- ----------- ---------- ---------- -------------
19,178
$ $15,046,220 $28,256,547 $60,653,596 $ 872,162 $ 102,487 $ 6,913,336
------- ----------- ----------- ----------- ---------- ---------- -------------
------- ----------- ----------- ----------- ---------- ---------- -------------
</TABLE>
25
<PAGE>
DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT/
MONEY HIGH GOVERNMENT CORPORATE EQUITY
MARKET QUALITY BOND BOND BOND BALANCED INCOME
------------ ------------ ------------ ------------ ------------ -------------
<S> <C> <C> <C> <C> <C> <C>
From operations:
Net investment
income (loss).... $ 3,811,155 $ 4,970,321 $ 2,589,754 $ 11,139,896 $ 3,519,832 $ 12,576,179
Net realized gains
(losses) on
investments........... (1,771) 235,780 (573,024) (704,264) 14,358,120 24,542,271
Net realized (loss)
on foreign
currency
transactions.......... -- -- -- -- -- --
Net unrealized
appreciation
(depreciation) on
investments........... -- (2,874,615) (2,325,387) (15,975,824) (7,757,647) 18,262,060
Net increase in
unrealized
appreciation on
translation of
assets and
liabilities in
foreign currencies.... -- -- -- -- -- --
------------ ------------ ------------ ------------ ------------ -------------
Net increase
(decrease) in net
assets resulting
from
operations............ 3,809,384 2,331,486 (308,657) (5,540,192) 10,120,305 55,380,510
------------ ------------ ------------ ------------ ------------ -------------
From capital
transactions:
Proceeds from
capital
invested.............. 241,237,410 63,296,550 25,812,053 72,008,232 61,289,658 131,241,991
Value of capital
withdrawn............. (249,153,142) (75,109,121) (20,539,391) (25,715,974) (20,698,955) (123,269,818)
------------ ------------ ------------ ------------ ------------ -------------
Net increase
(decrease) in net
assets resulting from
capital
transactions.......... (7,915,732) (11,812,571) 5,272,662 46,292,258 40,590,703 7,972,173
------------ ------------ ------------ ------------ ------------ -------------
Net increase
(decrease) in net
assets................ (4,106,348) (9,481,085) 4,964,005 40,752,066 50,711,008 63,352,683
Net assets:
Beginning of
period................ 141,638,248 172,526,103 85,991,614 336,539,410 167,032,955 764,302,530
------------ ------------ ------------ ------------ ------------ -------------
End of period...... $137,531,900 $163,045,018 $ 90,955,619 $377,291,476 $217,743,963 $ 827,655,213
------------ ------------ ------------ ------------ ------------ -------------
------------ ------------ ------------ ------------ ------------ -------------
</TABLE>
- ------------
* April 19, 1996 Commencement of Operations
See notes to financial statements.
26
<PAGE>
<TABLE>
<CAPTION>
EQUITY GROWTH & EQUITY SPECIAL AGGRESSIVE HIGH YIELD INTERNATIONAL
VALUE* INCOME GROWTH EQUITY EQUITY* BOND EQUITY
----------- ------------ ------------ ------------ ----------- ----------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
51,154
$ $ 911,688 $ (420,674) $ 375,332 $ (20,569) $ 402,431 $ 732,770
44,319 3,862,020 7,572,610 31,575,957 (543,670) 28,472 925,745
-- -- -- -- -- -- (3,852)
)
(76,295 10,272,512 21,104,611 28,702,307 1,436,401 (328,416) 4,823,291
-- -- -- -- -- -- 435,382
----------- ------------ ------------ ------------ ----------- ----------- -------------
19,178 15,046,220 28,256,547 60,653,596 872,162 102,487 6,913,336
----------- ------------ ------------ ------------ ----------- ----------- -------------
17,708,452 76,639,265 62,536,681 120,944,021 16,724,362 2,264,426 24,753,684
)
(569,558 (26,020,853) (50,113,874) (54,920,986) (632,510) (526,755) (11,972,905)
----------- ------------ ------------ ------------ ----------- ----------- -------------
17,138,894 50,618,412 12,422,807 66,023,035 16,091,852 1,737,671 12,780,779
----------- ------------ ------------ ------------ ----------- ----------- -------------
17,158,072 65,664,632 40,679,354 126,676,631 16,964,014 1,840,158 19,694,115
-- 124,811,731 222,362,390 315,458,225 -- 8,997,595 83,446,315
----------- ------------ ------------ ------------ ----------- ----------- -------------
$17,158,072 $190,476,363 $263,041,744 $442,134,856 $16,964,014 $10,837,753 $ 103,140,430
----------- ------------ ------------ ------------ ----------- ----------- -------------
----------- ------------ ------------ ------------ ----------- ----------- -------------
</TABLE>
27
<PAGE>
DIVERSIFIED INVESTORS PORTFOLIOS
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED DECEMBER 31, 1995
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT/
MONEY HIGH GOVERNMENT CORPORATE
MARKET QUALITY BOND BOND BOND BALANCED
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
From operations:
Net investment income.......... $ 8,949,654 $ 9,914,104 $ 4,558,386 $ 18,181,947 $ 5,658,158
Net realized gains (losses) on
investments....................... (4,226) (634,835) 379,479 1,365,500 11,609,960
Net realized gains (losses) on
foreign currency
transactions...................... -- -- -- -- --
Net unrealized appreciation on
investments....................... -- 7,048,911 5,777,385 29,472,541 17,788,835
Net increase in unrealized
appreciation on translation
of assets and liabilities in
foreign currencies................ -- -- -- -- --
------------ ------------ ------------ ------------ ------------
Net increase in net assets
resulting from operations.... 8,945,428 16,328,180 10,715,250 49,019,988 35,056,953
------------ ------------ ------------ ------------ ------------
From capital transactions:
Proceeds from capital
invested.......................... 393,166,782 141,659,639 38,046,469 151,446,357 80,590,418
Value of capital withdrawn..... 421,983,754 129,457,932 49,408,845 110,912,327 74,123,531
------------ ------------ ------------ ------------ ------------
Net increase (decrease) in net
assets resulting from capital
transactions...................... (28,816,972) 12,201,707 (11,362,376) 40,534,030 6,466,887
------------ ------------ ------------ ------------ ------------
Net increase (decrease) in net
assets............................ (19,871,544) 28,529,887 (647,126) 89,554,018 41,523,840
Net assets:
Beginning of year.............. 161,509,792 143,996,216 86,638,740 246,985,392 125,509,115
------------ ------------ ------------ ------------ ------------
End of year.................... $141,638,248 $172,526,103 $ 85,991,614 $336,539,410 $167,032,955
------------ ------------ ------------ ------------ ------------
------------ ------------ ------------ ------------ ------------
</TABLE>
- ------------
* August 22, 1995 Commencement of Operations
** September 29, 1995 Commencement of Operations
See notes to financial statements.
28
<PAGE>
<TABLE>
<CAPTION>
EQUITY GROWTH & EQUITY SPECIAL HIGH YIELD INTERNATIONAL
VALUE* INCOME GROWTH EQUITY BOND * EQUITY **
------------ ------------ ------------ ------------ ------------ ----------------
<S> <C> <C> <C> <C> <C> <C>
$ 21,635,258 $ 1,556,678 $ 868,631 $ 763,542 $ 223,398 $ 102,394
9,847,566 19,009,812 4,768,375 45,159,729 6,659 16,793
-- -- -- -- -- (8,241)
158,219,366 9,319,254 24,304,762 40,748,255 162,046 1,174,916
-- -- -- -- -- 159,823
------------ ------------ ------------ ------------ ------------ ----------------
189,702,190 29,885,744 29,941,768 86,671,526 392,103 1,445,685
------------ ------------ ------------ ------------ ------------ ----------------
231,491,356 93,751,429 93,276,744 113,103,544 9,081,530 86,991,521
245,585,114 93,408,742 49,673,952 101,988,710 476,038 4,990,891
------------ ------------ ------------ ------------ ------------ ----------------
)
(14,093,758 342,687 43,602,792 11,114,834 8,605,492 82,000,630
------------ ------------ ------------ ------------ ------------ ----------------
175,608,432 30,228,431 73,544,560 97,786,360 8,997,595 83,446,315
588,694,098 94,583,300 148,817,830 217,671,865 -- --
------------ ------------ ------------ ------------ ------------ ----------------
$764,302,530 $124,811,731 $222,362,390 $315,458,225 $ 8,997,595 $ 83,446,315
------------ ------------ ------------ ------------ ------------ ----------------
------------ ------------ ------------ ------------ ------------ ----------------
</TABLE>
29
<PAGE>
MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
PRINCIPAL VALUE NET ASSETS
- ---------- ------------ ----------
US GOVERNMENT AGENCY SECURITIES
<C> <S> <C> <C>
$ 100,000 Federal Home Loan Mortgage Corp., 5.23%, 07/15/96...... $ 99,767
100,000 Federal Home Loan Mortgage Corp., 5.28%, 07/22/96...... 99,663
------------
TOTAL US GOVERNMENT AGENCY SECURITIES
(COST $199,430).................................. 199,430 0.15%
------------ ----------
COMMERCIAL PAPER
800,000 American Express Credit Corp., 5.34%, 07/15/96......... 798,101
3,900,000 American Express Credit Corp., 5.27%, 07/24/96......... 3,885,727
100,000 American Express Credit Corp., 5.29%, 09/11/96......... 98,912
5,000,000 Avco Financial Services, Canada 5.34%, 07/08/96........ 4,993,325
4,700,000 Banco Real S.A., 5.30%, 10/02/96....................... 4,634,265
5,000,000 Bank Of New York, 5.29%, 07/31/96...................... 4,976,489
3,000,000 Bank Of Nova Scotia, 5.29%, 11/25/96................... 2,934,316
2,700,000 Bell South Telecommunications Inc., 5.45%, 07/09/96.... 2,695,913
1,600,000 Canadian Wheat Board, 5.35%, 07/26/96.................. 1,593,580
6,000,000 Capital One Funding Corp., 5.50%, 07/05/96............. 6,024,525
6,700,000 Colonial Pipeline Co., 5.27%, 07/02/96................. 6,697,058
5,000,000 Columbus Certificates, 5.33%, 07/03/96................. 4,997,039
1,220,000 Cooperative Finance Corp., 5.30%, 07/10/96............. 1,218,024
5,000,000 Copley Financing Corp., 5.36%, 07/19/96................ 4,985,111
2,000,000 Enterprise Funding Corp., 5.40%, 07/24/96.............. 1,992,500
4,600,000 Enterprise Funding Corp., 5.35%, 08/23/96.............. 4,562,402
4,200,000 General Electric Capital Corp., 5.34%, 07/16/96........ 4,189,409
6,500,000 General Motors Acceptance Corp., 5.35%, 08/28/96....... 6,442,041
1,500,000 Household Finance Corp., 5.28%, 08/20/96............... 1,488,560
3,600,000 JHM Funding Inc., 5.30%, 07/18/96...................... 3,589,930
2,300,000 JHM Funding Inc., 5.33%, 07/18/96...................... 2,293,530
5,000,000 Lucent Technologies Inc., 5.27%, 08/02/96.............. 4,975,114
1,200,000 Merrill Lynch and Co. Inc., 5.33%, 08/08/96............ 1,192,894
2,100,000 Norwest Corp., 5.27%, 07/17/96......................... 2,094,466
1,700,000 NYNEX Corp., 5.42%, 07/29/96........................... 1,692,322
2,900,000 Penney (JC) Funding Corp., 5.28%, 07/12/96............. 2,894,471
2,100,000 Pepsico Inc., 5.37%, 09/25/96.......................... 2,072,435
4,600,000 Prudential Funding Corp., 5.30%, 08/05/96.............. 4,574,942
1,700,000 Prudential Funding Corp., 5.39%, 08/16/96.............. 1,687,783
4,900,000 Quebec Province, 5.35%, 10/22/96....................... 4,816,258
6,000,000 Royal Bank Of Canada, 5.19%, 07/01/96.................. 5,998,270
3,500,000 Seagram and Sons Inc., 5.37%, 07/22/96................. 3,487,992
300,000 Sears Roebuck Acceptance Corp., 5.29%, 07/01/96........ 299,912
1,300,000 Sears Roebuck Acceptance Corp., 5.35%, 07/09/96........ 1,298,068
2,200,000 Sears Roebuck Acceptance Corp., 5.38%, 07/25/96........ 2,191,452
2,000,000 Sears Roebuck Acceptance Corp., 5.30%, 09/04/96........ 1,980,272
6,400,000 SmithKline Beecham Corp., 5.26%, 07/10/96.............. 6,389,713
200,000 SmithKline Beecham Corp., 5.27%, 07/16/96.............. 199,502
3,000,000 Toronto Dominion Bank, 5.29%, 07/15/96................. 2,992,947
2,600,000 Walt Disney Company, 5.28%, 09/13/96................... 2,571,018
</TABLE>
See notes to financial statements.
30
<PAGE>
MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
PRINCIPAL VALUE NET ASSETS
- ---------- ------------ ----------
COMMERCIAL PAPER--(CONT'D)
<C> <S> <C> <C>
$2,000,000 Whirlpool Corp., 5.39%, 07/26/96....................... $ 1,991,915
2,500,000 Whirlpool Finance Inc., 5.40%, 07/25/96................ 2,490,250
4,400,000 Xerox Corp., 5.35%, 08/05/96........................... 4,375,806
------------
TOTAL COMMERCIAL PAPER (COST $137,358,559)......... 137,358,559 99.87%
------------ ----------
</TABLE>
<TABLE>
<C> <S> <C> <C>
REPURCHASE AGREEMENT
65,234 Repurchase Agreement with Investors Bank & Trust, dated
06/28/96, 5.03%, proceeds at maturity $65,262, due
07/01/96 (Collateralized by Federal National Mortgage
Association, 6.253%, due 06/01/26 with a market value
of $70,000) (Cost $65,243)............................. 65,243 0.05%
------------ ----------
Total Investments (Cost $137,623,232).................. 137,623,232 100.07%
Liabilities in excess of Assets........................ (91,332) (0.07)%
------------ ----------
NET ASSETS............................................. $137,531,900 100.00%
------------ ----------
------------ ----------
</TABLE>
See notes to financial statements.
31
<PAGE>
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
PRINCIPAL VALUE NET ASSETS
- ---------- ------------ ----------
US GOVERNMENT SECURITIES
<C> <S> <C> <C>
$5,000,000 US Treasury Note, 5.875%, 04/30/98 (a)................. $ 4,981,250
5,000,000 US Treasury Note, 5.00%, 02/15/99 (a).................. 4,851,555
------------
TOTAL US GOVERNMENT SECURITIES (COST $9,986,951)... 9,832,805 6.03%
------------ ----------
US GOVERNMENT AGENCY SECURITIES
FEDERAL HOME LOAN MORTGAGE CORP.
6,611 Federal Home Loan Mortgage Corp., Pl# 230115, 5.25%,
07/01/97............................................... 5,755
2,671,876 Federal Home Loan Mortgage Corp., Pl# 850082, 9.00%,
10/01/05............................................... 2,751,202
680,546 Federal Home Loan Mortgage Corp., REMIC Series MH-1,
10.15%, 04/15/06....................................... 687,548
1,307,539 Federal Home Loan Mortgage Corp., Pl# 0677, 7.50%,
03/01/08............................................... 1,317,698
395,316 Federal Home Loan Mortgage Corp., Pl# 273991, 6.50%,
03/01/13............................................... 392,754
807,058 Federal Home Loan Mortgage Corp., Pl# 306816, 7.00%,
01/01/18............................................... 799,867
------------
TOTAL FEDERAL HOME LOAN MORTGAGE CORP.............. 5,954,824 3.65%
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
1,230,790 Federal National Mortgage Association, REMIC Series
119G, 8.00%, 07/25/97.................................. 1,238,235
550,014 Federal National Mortgage Association, Pl# 6346, 6.75%,
02/01/03............................................... 549,612
331,466 Federal National Mortgage Association, Pl# 137455,
7.00%, 04/01/04........................................ 332,042
------------
TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION........ 2,119,889 1.30%
------------
RESOLUTION TRUST FUNDING CORPORATION
2,053,357 Resolution Trust Corp., 6.77% 07/25/25................. 2,039,423
1,885,729 Resolution Trust Corp., 7.00%, 02/15/04................ 1,888,213
------------
TOTAL RESOLUTION TRUST FUNDING CORPORATION......... 3,927,636 2.41%
------------ ----------
TOTAL US GOVERNMENT AGENCY SECURITIES
(COST $14,326,620)............................... 12,002,349 7.36%
------------ ----------
SHORT TERM OBLIGATIONS
COMMERCIAL PAPER
3,000,000 Bank Of Tokyo, 5.38%, 07/01/96......................... 2,999,104 1.84%
------------
TIME DEPOSITS
2,514,650 Bank Of Boston (Nassau), 5.725%, 07/01/96 (d).......... 2,516,038 1.54%
------------ ----------
TOTAL SHORT TERM OBLIGATIONS (COST $5,515,142)..... 5,515,142 3.38%
------------ ----------
CORPORATE BONDS AND NOTES
BANKS
1,000,000 Banque National of Paris, 9.875%, 05/25/98............. 1,049,508
5,000,000 Chevy Chase Receivable Trust, 6.60%, 12/15/02.......... 5,017,188
1,000,000 European Investment Bank, 6.60%, 05/15/97.............. 1,006,595
</TABLE>
See notes to financial statements.
32
<PAGE>
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
PRINCIPAL VALUE NET ASSETS
- ---------- ------------ ----------
BANKS--(CONT'D)
<C> <S> <C> <C>
$4,000,000 First Hawaiian Bank, Medium-Term Note, 7.50%,
11/20/96............................................. $ 4,023,332
2,408,235 Fleet Finance, Series 1191-A, 8.45%, 04/15/06.......... 2,456,638
3,000,000 Korea Development Bank, 7.73%, 05/05/97................ 3,039,447
750,000 Korea Development Bank, 7.90%, 02/01/02................ 769,561
153,469 Shawmut REMIC Trust, 6.40%, 09/15/96................... 151,054
2,099,171 Western Finance Grantor Trust, 4.60%, 04/01/99......... 2,076,728
3,344,374 Western Finance Grantor Trust, 5.875%, 03/01/02........ 3,321,094
------------
TOTAL BANKS........................................ 22,911,145 14.05%
------------
BROKERAGE
6,250,000 Bear Stearns, 7.625%, 09/15/99......................... 6,397,444
725,000 Lehman Brothers Inc., Medium-Term Note, 6.08%,
07/08/98............................................. 712,305
5,000,000 Lehman Brothers Inc., 7.625%, 08/01/98................. 5,090,155
526,778 Merrill Lynch Mortgage Investors, 10.10%, 11/15/07..... 558,605
940,652 Merrill Lynch Mortgage Investors, 10.35%, 05/15/09..... 1,029,251
584,530 Merrill Lynch Mortgage Investors, 9.40%, 09/15/09...... 628,042
1,235,385 Merrill Lynch Mortgage Investors, 9.00%, 07/15/11...... 1,278,796
------------
TOTAL BROKERAGE.................................... 15,694,598 9.63%
------------
EXPORT
1,000,000 Guaranteed Export Certificates, Series 93-2, 4.61%,
09/01/98............................................. 986,182
2,341,944 Guaranteed Export Certificates, 4.813%, 12/15/98....... 2,258,636
------------
TOTAL EXPORT....................................... 3,244,818 1.99%
------------
FINANCE
1,250,000 Associates Corp of North America, 8.89%, 04/12/98...... 1,303,649
2,000,000 Associates Corp of North America, 6.46%, 09/18/00...... 1,973,878
4,000,000 Associates Corp of North America, 5.99%, 12/15/00...... 3,870,916
1,000,000 British Gas Finance Inc., 8.75%, 09/15/98.............. 1,035,259
5,000,000 CARCO, 8.125%, 10/15/99................................ 5,093,750
727,346 Chemical Financial Acceptance Corp., 9.40%, 03/17/97... 728,975
2,642,657 Chemical Financial Acceptance Corp., 9.25%, 05/15/98... 2,753,302
533,831 Chrysler Financial Corp, 8.65%, 10/15/96............... 533,649
3,974,464 Ford Motor Credit Co., 6.27%, 01/02/00................. 3,978,057
1,000,000 Ford Motor Credit Co., 7.15%, 01/26/00................. 1,010,269
3,000,000 Ford Motor Credit Co., 5.99%, 02/27/01................. 2,885,487
742,991 General Motors Acceptance Corp, Grantor Trust, Series
95-A, 7.15%, 03/15/00.................................. 751,230
3,200,394 Navistar Finance, 6.55%, 11/20/01...................... 3,246,508
1,000,000 Norwest Financial, 6.00%, 08/15/97..................... 997,916
1,258,302 Pemex Exp Grantor Trust, 7.66%, 08/15/01............... 1,284,862
1,000,000 Signet Medium-Term Note, Series 93-1A, 5.20%,
02/15/02............................................. 975,979
------------
TOTAL FINANCE...................................... 32,423,686 19.89%
------------
</TABLE>
See notes to financial statements.
33
<PAGE>
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
PRINCIPAL VALUE NET ASSETS
- ---------- ------------ ----------
PAPER AND FOREST PRODUCTS
<C> <S> <C> <C>
$5,000,000 First Sierra Receivables LI, 6.85%, 06/10/03........... $ 5,007,422 3.07%
------------
PRIVATE ASSET BACKED: CONSTRUCTION
5,915,000 Case Equipment Loan Trust, Series 1194-C A2, 8.10%,
06/15/01............................................... 6,067,246 3.72%
------------
PRIVATE ASSET BACKED: CREDIT CARDS
5,000,000 Discover Card Master Trust I, Series 93-2A, 5.40%,
11/16/01............................................. 4,894,845
2,540,000 First Chicago Master Trust, 6.25%, 08/15/99............ 2,543,223
1,000,000 Household Affinity Credit Card Master Trust, 7.00%,
12/15/99............................................. 1,012,549
1,000,000 Maryland Bank of NA Master Credit Card Trust, Series
93-3A, 5.40%, 09/15/00................................. 978,819
3,000,000 National Credit Card Trust, 9.45%, 12/31/97............ 3,015,957
2,500,000 Peoples' Bank Credit Card Trust, Series 93-1, 4.80%,
12/15/99............................................. 2,493,597
5,833,333 Private Label Credit Card Master Trust, 7.15%,
06/20/01............................................... 5,865,411
1,250,000 Sears Credit Account, 5.90%, 11/16/98.................. 1,250,161
------------
TOTAL PRIVATE ASSET BACKED: CREDIT CARDS........... 22,054,562 13.53%
------------
PRIVATE ASSET BACKED: RECEIVABLES
3,755,647 IBM Credit Receivable Lease Asset Master Trust, 4.55%,
11/15/00............................................... 3,713,291
1,673,579 IBM Credit Receivable Lease Asset Master Trust, 6.55%,
07/16/01............................................... 1,676,841
------------
TOTAL PRIVATE ASSET BACKED: RECEIVABLES............ 5,390,132 3.30%
------------
REAL ESTATE
729,841 Daiwa Home Equity Loans, 7.875%, 11/25/19.............. 732,563
3,400,000 Midstate Trust II, Series A3, 9.35%, 04/01/98.......... 3,548,226
243,091 Security Pacific Home Equity Loan, Series 91-2, 8.10%,
06/15/20............................................... 245,052
3,761,184 Travelers Mortgage Corp., 12.00%, 03/01/14............. 4,188,564
69,173 US Home Equity Loan, 9.25%, 01/15/21................... 69,022
569,717 US Home Equity Loan, 8.50%, 04/15/21................... 578,815
------------
TOTAL REAL ESTATE.................................. 9,362,242 5.74%
------------
UTILITIES: ELECTRIC
5,000,000 Hydro Quebec, 6.36%, 01/15/02.......................... 4,843,750 2.97%
------------ ----------
TOTAL CORPORATE BONDS AND NOTES (COST
$125,343,175).......................................... 126,999,601 77.89%
------------ ----------
FOREIGN GOVERNMENT OBLIGATIONS
1,000,000 Kingdom of Denmark, 7.75%, 12/15/96.................... 1,009,474
7,000,000 Province Of Ontario, 7.375%, 01/27/03.................. 7,172,613
------------
TOTAL FOREIGN GOVERNMENT OBLIGATIONS
(COST $8,630,547)................................ 8,182,087 5.02%
------------ ----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
- ----------
<C> <S> <C> <C>
COMMON STOCK
INVESTMENTS
7,000,000 Janus Institutional Money Market Fund (d).............. 7,000,000 4.30%
------------ ----------
TOTAL COMMON STOCK (COST $7,000,000)............... 7,000,000 4.30%
------------ ----------
</TABLE>
See notes to financial statements.
34
<PAGE>
HIGH QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
PRINCIPAL VALUE NET ASSETS
- ---------- ------------ ----------
REPURCHASE AGREEMENT
<C> <S> <C> <C>
$1,012,371 Repurchase Agreement with Investors Bank & Trust, dated
06/28/96, 5.03%, proceeds at maturity $1,012,795, due
07/01/96 (Collateralized by Federal Home Loan
Mortgage Corporation, 7.915%, due
06/01/26 with a market value of $1,200,000) (Cost
$1,012,512)............................................ $ 1,012,512 0.62%
------------ ----------
Total Investments (Cost $171,814,947).................. 170,544,496 104.60%
Liabilities in excess of Assets........................ (7,499,478) (4.60)%
------------ ----------
NET ASSETS............................................. $163,045,018 100.00%
------------ ----------
------------ ----------
The aggregate cost of securities for Federal Income tax purposes at June 30, 1996 is
$171,814,947.
The following amount is based on costs for Federal Income tax purposes:
Gross unrealized appreciation.......................... $ 592,907
Gross unrealized depreciation.......................... (1,863,358)
------------
Net unrealized depreciation............................ $ (1,270,451)
------------
------------
</TABLE>
- ------------
(a) All or part of this security is on loan.
(d) Collateral for securities on loan.
See notes to financial statements.
35
<PAGE>
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
PRINCIPAL VALUE NET ASSETS
- ---------- ------------ ----------
SHORT TERM OBLIGATIONS
COMMERCIAL PAPER
<C> <S> <C> <C>
$5,000,000 AT&T Capital Corp., 5.4948%, 10/17/96 (d).............. $ 5,000,666
5,000,000 Republic New York Securities Corp, 5.755%,
11/08/96 (d)......................................... 5,000,666
------------
TOTAL COMMERCIAL PAPER............................. 10,001,332 11.00%
------------
TIME DEPOSITS
5,393,750 Bank Of Boston (Nassau), 5.725%, 07/01/96 (d).......... 5,394,469
4,500,000 First Union National Bank of North Carolina (Nassau),
5.50%, 07/01/96 (d).................................... 4,500,599
5,500,000 Harris Trust & Savings Bank (Nassau), 5.375%, 07/01/96
(d).................................................... 5,500,732
5,500,000 Norwest Bank Minnesota, N.A. (Nassau), 5.375%, 07/01/96
(d).................................................... 5,500,732
------------
TOTAL TIME DEPOSITS................................ 20,896,532 22.97%
------------ ----------
TOTAL SHORT TERM OBLIGATIONS (COST $30,897,864).... 30,897,864 33.97%
------------ ----------
US GOVERNMENT SECURITIES
US TREASURY NOTE
3,000,000 US Treasury Note, 5.375%, 11/30/97..................... 2,974,683
5,000,000 US Treasury Note, 5.875%, 04/30/98 (a)................. 4,981,250
10,000,000 US Treasury Note, 5.25%, 07/31/98 (a).................. 9,828,110
9,000,000 US Treasury Note, 6.375%, 05/15/99 (a)................. 9,022,500
7,000,000 US Treasury Note, 7.75%, 12/31/99 (a).................. 7,295,302
2,500,000 US Treasury Note, 8.875%, 05/15/00..................... 2,707,027
------------
TOTAL US TREASURY NOTE............................. 36,808,872 40.47%
------------
US TREASURY BOND
8,000,000 US Treasury Bond, 5.625%, 06/30/97 (a)................. 7,985,000 8.78%
------------ ----------
TOTAL US GOVERNMENT SECURITIES (COST
$45,336,058)........................................... 44,793,872 49.25%
------------ ----------
US GOVERNMENT AGENCY SECURITIES
FEDERAL HOME LOAN BANK
5,000,000 Federal Home Loan Bank, REMIC Series KJ-2001, 6.34%,
03/19/01............................................... 4,902,440
5,000,000 Federal Home Loan Bank, REMIC Series ZZ01, 7.39%,
08/22/01............................................... 5,133,850
------------
TOTAL FEDERAL HOME LOAN BANK....................... 10,036,290 11.04%
------------
FEDERAL HOME LOAN MORTGAGE CORP.
100,000 Federal Home Loan Mortgage Corp., 5.23%, 07/15/96...... 99,767
800,000 Federal Home Loan Mortgage Corp., 5.25%, 07/18/96...... 797,783
100,000 Federal Home Loan Mortgage Corp., 5.26%, 07/22/96...... 99,664
100,000 Federal Home Loan Mortgage Corp., 5.28%, 07/22/96...... 99,663
3,000,000 Federal Home Loan Mortgage Corp., 5.30%, 07/31/96...... 2,985,866
3,000,000 Federal Home Loan Mortgage Corp., REMIC Series 1574,
6.50%, 02/15/21........................................ 2,883,657
</TABLE>
See notes to financial statements.
36
<PAGE>
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
PRINCIPAL VALUE NET ASSETS
- ---------- ------------ ----------
FEDERAL HOME LOAN MORTGAGE CORP--(CONT'D)
<C> <S> <C> <C>
$5,300,000 Federal Home Loan Mortgage Corp., REMIC Series 1500,
7.00%, 06/15/22........................................ $ 5,164,580
1,481,012 Federal Home Loan Mortgage Corp., REMIC Series 31,
5.90%, 08/25/23........................................ 1,469,281
2,000,000 Federal Home Loan Mortgage Corp., REMIC Series 1710,
6.00%, 02/15/24........................................ 2,007,618
------------
TOTAL FEDERAL HOME LOAN MORTGAGE CORP.............. 15,607,879 17.16%
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
200,000 Federal National Mortgage Association, 5.28%,
07/12/96............................................... 199,618
880,000 Federal National Mortgage Association, 5.27%,
07/23/96............................................... 876,909
400,000 Federal National Mortgage Association, 5.27%,
07/30/96............................................... 398,185
2,000,000 Federal National Mortgage Association, REMIC Series
94-75, 7.00%, 01/25/03................................. 1,993,698
3,000,000 Federal National Mortgage Association, Medium Term
Note, 7.00%, 06/15/05.................................. 2,887,377
------------
TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION........ 6,355,787 6.99%
------------
TENNESSEE VALLEY AUTHORITY
2,500,000 Tennessee Valley Authority, Series A, 6.375%,
06/15/05............................................... 2,395,645 2.63%
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
10,090 Government National Mortgage Association, Pl# 209631,
7.50%, 04/15/02........................................ 10,162
38,002 Government National Mortgage Association, Pl# 328000,
7.50%, 06/15/07........................................ 38,275
13,952 Government National Mortgage Association, Pl# 328084,
7.50%, 07/15/07........................................ 14,052
582,321 Government National Mortgage Association, Pl# 323189,
7.50%, 08/15/07........................................ 586,506
125,974 Government National Mortgage Association, Pl# 322072,
7.50%, 08/15/07........................................ 126,880
366,172 Government National Mortgage Association, Pl# 328188,
7.50%, 08/15/07........................................ 368,803
581,652 Government National Mortgage Association, Pl# 328192,
7.50%, 08/15/07........................................ 585,832
136,336 Government National Mortgage Association, Pl# 328200,
7.50%, 08/15/07........................................ 137,316
592,386 Government National Mortgage Association, Pl# 329060,
7.50%, 08/15/07........................................ 596,644
495,570 Government National Mortgage Association, Pl# 332267,
7.50%, 08/15/07........................................ 499,131
17,525 Government National Mortgage Association, Pl# 335542,
7.50%, 08/15/07........................................ 17,651
347,060 Government National Mortgage Association, Pl# 335995,
7.50%, 08/15/07........................................ 349,554
511,489 Government National Mortgage Association, Pl# 297619,
7.50%, 09/15/07........................................ 511,489
495,007 Government National Mortgage Association, Pl# 332704,
7.50%, 09/15/07........................................ 498,564
89,838 Government National Mortgage Association, Pl# 333320,
7.50%, 09/15/07........................................ 90,483
</TABLE>
See notes to financial statements.
37
<PAGE>
INTERMEDIATE GOVERNMENT BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
PRINCIPAL VALUE NET ASSETS
- ---------- ------------ ----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION--(CONT'D)
<C> <S> <C> <C>
$ 493,785 Government National Mortgage Association, Pl# 333709,
7.50%, 09/15/07........................................ $ 497,334
211,375 Government National Mortgage Association, Pl# 369749,
6.50%, 09/15/08........................................ 204,967
436,953 Government National Mortgage Association, Pl# 345975,
6.50%, 10/15/08........................................ 423,707
799,831 Government National Mortgage Association, Pl# 374726,
6.50%, 10/15/08........................................ 775,586
172,989 Government National Mortgage Association, Pl# 363874,
6.50%, 11/15/08........................................ 167,746
660,753 Government National Mortgage Association, Pl# 370448,
6.50%, 11/15/08........................................ 640,725
690,900 Government National Mortgage Association, Pl# 371094,
6.50%, 11/15/08........................................ 669,958
389,406 Government National Mortgage Association, Pl# 345973,
6.50%, 11/15/08........................................ 377,602
402,691 Government National Mortgage Association, Pl# 366531,
7.00%, 11/15/08........................................ 390,484
------------
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION..... 8,579,451 9.43%
------------
STUDENT LOAN MARKETING ASSOCIATION
2,000,000 Student Loan Marketing Association, 6.52%, 09/26/00.... 1,955,698 2.15%
------------ ----------
TOTAL US GOVERNMENT AGENCY SECURITIES
(COST $45,646,646)............................... 44,930,750 49.40%
------------ ----------
COMMON STOCK
<CAPTION>
SHARES
- ----------
INVESTMENTS
<C> <S> <C> <C>
5,000,000 Janus Institutional Money Market Fund (d).............. 5,000,000 5.50%
------------ ----------
TOTAL COMMON STOCK (COST $5,000,000)............... 5,000,000 5.50%
------------ ----------
<CAPTION>
PRINCIPAL
- ----------
REPURCHASE AGREEMENT
<C> <S> <C> <C>
$ 48,467 Repurchase Agreement with Investors Bank & Trust, dated
06/28/96, 5.03%, proceeds at maturity $48,487, due
07/01/96 (Collateralized by Federal National Mortgage
Association, 6.253%, due 06/01/26 with a market value
of $50,000) (Cost $48,474)............................. 48,474 0.05%
------------ ----------
Total Investments (Cost $126,929,042).............. 125,670,960 138.17%
Liabilities in excess of Assets.................... (34,715,341) (38.17)%
------------ ----------
NET ASSETS......................................... $ 90,955,619 100.00%
------------ ----------
------------ ----------
The aggregate cost of securities for Federal Income tax purposes at June 30, 1996 is
$126,929,042.
The following amount is based on costs for Federal Income tax purposes:
Aggregate gross unrealized appreciation................ $ 41,183
Aggregate gross unrealized depreciation................ (1,299,265)
------------
Net unrealized depreciation............................ $ (1,258,082)
------------
------------
</TABLE>
- ------------
(a) All or part of this security is on loan
(d) Collateral for securities on loan
See notes to financial statements.
38
<PAGE>
GOVERNMENT/CORPORATE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
PRINCIPAL VALUE NET ASSETS
- ----------- ------------ ----------
US GOVERNMENT SECURITIES
<C> <S> <C> <C>
$ 5,000,000 US Treasury Note, 6.00%, 05/31/98 (a)................. $ 4,989,060
15,000,000 US Treasury Note, 7.75%, 12/31/99 (a)................. 15,632,790
5,000,000 US Treasury Note, 5.625%, 11/30/00.................... 4,839,060
18,000,000 US Treasury Note, 6.375%, 03/31/01 (a)................ 17,915,598
10,000,000 US Treasury Note, 6.50%, 05/31/01 (a)................. 10,000,000
5,000,000 US Treasury Note, 6.875%, 05/15/06 (a)................ 5,054,680
------------
TOTAL US GOVERNMENT SECURITIES (COST $58,942,616)... 58,431,188 15.49%
------------ ----------
US GOVERNMENT AGENCY SECURITIES
FEDERAL HOME LOAN MORTGAGE CORP.
300,000 Federal Home Loan Mortgage Corp., 5.28%, 07/22/96..... 298,988
100,000 Federal Home Loan Mortgage Corp., 5.30%, 07/31/96..... 99,528
3,992,182 Federal Home Loan Mortgage Corp., Series 1377-F,
6.00%, 09/15/07 (e)................................... 4,021,920
4,443,037 Federal Home Loan Mortgage Corp., Series 31-F, 5.90%,
08/25/23 (e).......................................... 4,407,843
5,000,000 Federal Home Loan Mortgage Corp., Series 1666-E,
6.00%, 02/15/24....................................... 4,767,145
6,345,486 Federal Home Loan Mortgage Corp., Series 1710-AC,
6.00%, 02/15/24 (e)................................... 6,369,656
------------
TOTAL FEDERAL HOME LOAN MORTGAGE CORP............... 19,965,080 5.29%
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
10,000,000 Federal National Mortgage Association, 6.25%,
10/28/98.............................................. 9,933,860
2,986 Federal National Mortgage Association, REMIC Series
G93-37 A, 12/25/18 (f)................................ 2,972
2,014,734 Federal National Mortgage Association, REMIC Series
93-219 A, 08/25/23 (f)................................ 1,899,529
118,072 Federal National Mortgage Association, Pl# 250510,
7.00%, 12/01/25....................................... 113,607
------------
TOTAL FEDERAL NATIONAL MORTGAGE ASSOCIATION......... 11,949,968 3.17%
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
978,346 Government National Mortgage Association, Pl # 413611,
7.00%, 01/15/26....................................... 938,287
978,182 Government National Mortgage Association, Pl # 292340,
7.00%, 02/15/26....................................... 938,129
978,233 Government National Mortgage Association, Pl # 373622,
7.00%, 03/15/26....................................... 938,178
978,483 Government National Mortgage Association, Pl # 373637,
7.00%, 03/15/26....................................... 938,418
978,427 Government National Mortgage Association, Pl # 428420,
7.00%, 04/15/26....................................... 938,364
------------
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION...... 4,691,376 1.24%
------------
</TABLE>
See notes to financial statements.
39
<PAGE>
GOVERNMENT/CORPORATE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
PRINCIPAL VALUE NET ASSETS
- ----------- ------------ ----------
STUDENT LOAN MARKETING ASSOCIATION
<C> <S> <C> <C>
$ 3,000,000 Student Loan Marketing Association, Medium Term Note,
6.52%, 09/26/00....................................... $ 2,933,547
5,000,000 Student Loan Marketing Association, REMIC Series 96-2
A2, 5.81%, 07/27/09 (e)............................... 5,011,523
------------
TOTAL STUDENT LOAN MARKETING ASSOCIATION............ 7,945,070 2.11%
------------ ----------
TOTAL US GOVERNMENT AGENCY SECURITIES
(COST $44,733,463)................................ 44,551,494 11.81%
------------ ----------
SHORT TERM OBLIGATIONS
COMMERCIAL PAPER
1,000,000 American Express Credit Corp., 5.34%, 07/19/96........ 997,033
4,000,000 AT&T Capital Corp., 5.495%, 10/17/96 (d).............. 4,000,576
4,000,000 Barclay's Bank PLC, 5.30%, 07/08/96................... 3,994,700
2,000,000 Capital One Funding Corp., 5.50%, 07/05/96............ 2,015,765
1,000,000 Enterprise Funding Corp., 5.40%, 07/24/96............. 996,250
150,000 Ford Motor Credit Company, 5.36%, 07/29/96............ 149,330
300,000 General Electric Capital Corp., 5.34%, 07/16/96....... 299,244
500,000 General Motors Acceptance Corp., 5.42%, 07/26/96...... 497,967
4,800,000 Household Finance Corp., 5.28%, 08/20/96.............. 4,763,392
2,500,000 Lucent Technologies, Inc., 5.32%, 07/10/96............ 2,495,936
5,000,000 Mellon Bank Corp., 5.32%, 07/08/96.................... 4,993,350
600,000 Merrill Lynch and Company Inc., 5.30%, 07/03/96....... 599,646
2,200,000 Merrill Lynch and Company Inc., 5.33%, 08/08/96....... 2,186,971
3,200,000 Metlife, 5.32%, 07/15/96.............................. 3,192,434
6,300,000 Norwest Corp., 5.27%, 07/17/96........................ 6,283,400
750,000 PHH Corp., 5.33%, 07/16/96............................ 748,113
200,000 Prudential Funding Corp., 5.39%, 08/16/96............. 198,563
9,000,000 Republic New York Securities Corp., 5.755%, 11/08/ 96
(d)................................................... 9,001,296
250,000 Sears Roebuck Acceptance, 5.29%, 07/01/96............. 249,926
200,000 Sears Roebuck Acceptance, 5.35%, 07/09/96............. 199,703
2,000,000 Whirlpool Corp., 5.39%, 07/26/96...................... 1,991,915
500,000 Xerox Corp., 5.35%, 08/05/96.......................... 497,250
------------
TOTAL COMMERCIAL PAPER.............................. 50,352,760 13.35%
------------
TIME DEPOSITS
19,756,250 Bank of Boston (Nassau), 5.725%, 07/01/96 (d)......... 19,759,094
1,000,000 First Union National Bank of North Carolina (Nassau),
5.50%, 07/01/96 (d)................................... 1,000,144
2,500,000 Norwest Bank Minnesota , N.A. (Nassau), 5.375%, 07/
01/96 (d)............................................. 2,500,360
------------
TOTAL TIME DEPOSITS................................. 23,259,598 6.16%
------------ ----------
TOTAL SHORT TERM OBLIGATIONS (COST $73,612,358)..... 73,612,358 19.51%
------------ ----------
</TABLE>
See notes to financial statements.
40
<PAGE>
GOVERNMENT/CORPORATE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
PRINCIPAL VALUE NET ASSETS
- ----------- ------------ ----------
CORPORATE BONDS AND NOTES
AEROSPACE
<C> <S> <C> <C>
$ 5,000,000 Lockheed Martin, 6.85%, 05/15/01...................... $ 4,976,010
5,000,000 Boeing Company, 8.625%, 11/15/31...................... 5,611,825
------------
TOTAL AEROSPACE..................................... 10,587,835 2.81%
------------
BANKS
5,000,000 BankAmerica Corporation, 6.625%, 05/30/01............. 4,945,340
4,000,000 Bank Of New York, 6.50%, 12/01/03..................... 3,846,420
5,000,000 Chase Manhattan Corp., 8.00%, 05/01/05................ 5,064,810
5,000,000 International Bank of Reconstruction & Development,
8.625%, 10/15/16...................................... 5,634,390
5,000,000 Midland Bank PLC, 5.91%, 06/29/49 (e)................. 4,183,000
5,000,000 Republic New York Corp., 7.00%, 03/22/11.............. 4,773,555
5,000,000 Swiss Bank Corp., 7.50%, 07/15/25..................... 4,890,355
------------
TOTAL BANKS......................................... 33,337,870 8.84%
------------
CONSUMER GOODS AND SERVICES
5,200,000 Proctor & Gamble, 9.36%, 01/01/21..................... 6,206,710
5,000,000 RJR Nabisco Inc., 8.75%, 04/15/04..................... 5,036,105
------------
TOTAL CONSUMER GOODS AND SERVICES................... 11,242,815 2.98%
------------
FINANCE
5,000,000 Advanta Credit Card, 6.12%, 02/10/01.................. 5,020,845
5,100,000 American Express Credit Corp., 5.29%, 09/11/96........ 5,044,544
6,000,000 Dow Capital BV, 9.20%, 06/01/10....................... 6,813,072
5,000,000 Ford Holdings, 9.375%, 03/01/20....................... 5,746,000
5,000,000 General Electric Capital Corp., 8.50%, 07/24/08....... 5,496,425
5,000,000 General Motors Acceptance Corp., 8.40%, 10/15/99...... 5,229,555
5,000,000 General Motors Acceptance Corp., 8.80%, 03/01/21...... 5,596,535
5,000,000 Paccar Financial Corp., 5.52%, 09/03/96............... 5,000,665
5,000,000 Smurfit Capital Funding PLC, 7.50%, 11/20/25.......... 4,649,135
4,000,000 Texaco Capital Corp., 9.75, 03/15/20.................. 4,913,824
10,000,000 Xerox Credit Corp., 6.78%, 05/21/01................... 9,913,281
------------
TOTAL FINANCE....................................... 63,423,881 16.81%
------------
FOOD AND BEVERAGE
2,900,000 Pepsico Inc, 5.37%, 09/25/96.......................... 2,861,933
5,000,000 Seagrams (Joseph E.) & Sons, 9.65%, 08/15/18.......... 6,069,795
------------
TOTAL FOOD AND BEVERAGE............................. 8,931,728 2.37%
------------
LEISURE AND RECREATION
5,000,000 Marriott International Inc, 7.875%, 04/15/05.......... 5,094,480 1.35%
------------
INSURANCE
5,000,000 Prudential Insurance, 8.10%, 07/15/15................. 4,928,345 1.31%
------------
</TABLE>
See notes to financial statements.
41
<PAGE>
GOVERNMENT/CORPORATE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
PRINCIPAL VALUE NET ASSETS
- ----------- ------------ ----------
INDUSTRIAL
<C> <S> <C> <C>
$ 5,000,000 Celara, 6.75%, 12/15/03............................... $ 4,677,845 1.24%
------------
MEDICAL AND OTHER HEALTH SERVICES
5,000,000 Columbia Healthcare, 7.50%, 12/15/23.................. 4,853,425
1,000,000 Eli Lilly, 6.77%, 01/01/36............................ 899,437
------------
TOTAL MEDICAL AND OTHER HEALTH SERVICES............. 5,752,862 1.52%
------------
OIL & GAS
5,000,000 Apache Corporation, 7.95%, 04/15/26................... 4,921,760
5,000,000 Occidental Petroleum, 10.125%, 09/15/09............... 5,987,880
------------
TOTAL OIL & GAS..................................... 10,909,640 2.89%
------------
PAPER & FOREST PRODUCTS
7,500,000 Westvaco, 10.125%, 06/01/19........................... 8,320,208 2.21%
------------
PRIVATE ASSET BACKED: CREDIT CARD
5,000,000 Advanta Credit Card Master Trust, Series 96-CA,
5.667%, 11/15/03 (e).................................. 4,991,695
10,000,000 Chase Manhattan Credit Card Master Trust,
Series 96-3A, 7.04%, 02/15/04....................... 10,126,563
7,040,000 Discover Card Master Trust, Series 94-2A, 5.85%, 10/
16/04 (e)............................................. 7,097,299
5,880,000 Structured Asset Securities Corp., Series 96-C,
Class A-1C, 5.944%, 02/25/28........................ 5,678,951
3,000,000 Standard Credit Card Master Trust, Series 95-11,
5.59%, 11/15/00..................................... 2,997,387
------------
TOTAL PRIVATE ASSET BACKED: CREDIT CARD............. 30,891,895 8.19%
------------
TIRE AND RUBBER
4,000,000 BF Goodrich, 8.65%, 04/15/25.......................... 4,381,796 1.16%
------------
UTILITIES: ELECTRIC
10,000,000 Commonwealth Edison, 8.125%, 01/15/07................. 9,846,590
5,000,000 Commonwealth Edison, 8.50%, 07/15/22.................. 4,963,005
5,000,000 Hydro-Quebec, 8.50%, 12/01/29......................... 5,319,345
5,000,000 Philadelphia Electric, 5.375%, 08/15/98............... 4,877,905
------------
TOTAL UTILITIES: ELECTRIC........................... 25,006,845 6.63%
------------
UTILITIES: TELEPHONE
5,000,000 GTE South, 7.50%, 03/15/26............................ 4,811,535 1.28%
------------ ----------
TOTAL CORPORATE BONDS AND NOTES (COST
$231,571,122)......................................... 232,299,580 61.57%
------------ ----------
<CAPTION>
SHARES COMMON STOCK
- -----------
INVESTMENTS
<C> <S> <C> <C>
16,000,000 Janus Institutional Money Market Fund (d)............. 16,000,000 4.24%
------------ ----------
TOTAL COMMON STOCK (COST 16,000,000)................ 16,000,000 4.24%
------------ ----------
</TABLE>
See notes to financial statements.
42
<PAGE>
GOVERNMENT/CORPORATE BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
PRINCIPAL VALUE NET ASSETS
- -------- ------------ ----------
REPURCHASE AGREEMENT
<C> <S> <C> <C>
$ 15,192 Repurchase Agreement with Investors Bank & Trust, dated
06/28/96, 5.03%, proceeds at maturity $15,198, due 07/
01/96 (Collateralized by Federal National Mortgage
Association, 6.253%, due 06/01/26 with a market value of
$20,000) (Cost $15,194)................................... $ 15,194 0.01%
------------ ----------
Total Investments (Cost $424,874,753)................... 424,909,814 112.63%
Liabilities in excess of Assets....................... (47,618,338) (12.63)%
------------ ----------
NET ASSETS............................................ $377,291,476 100.00%
------------ ----------
------------ ----------
The aggregate cost of securities for Federal Income tax purposes at June 30, 1996 is
$424,874,753.
The following amount is based on costs for Federal Income tax purposes:
Gross unrealized appreciation............................. $ 4,393,152
Gross unrealized depreciation............................. (4,358,091)
------------
Net unrealized appreciation............................... $ 35,061
------------
------------
</TABLE>
- ------------
(a) All or part of this security is on loan
(d) Collateral for securities on loan
(e) Floating rate security. The rate shown was in effect at June 30, 1996
(f) Zero coupon bond
See notes to financial statements.
43
<PAGE>
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
PRINCIPAL VALUE NET ASSETS
- ----------- ------------ ----------
US GOVERNMENT SECURITIES
<C> <S> <C> <C>
$18,050,000 US Treasury Bond, 7.875%, 11/15/04 (a)................ $ 19,403,750
10,400,000 US Treasury Note, 6.375%, 7/15/99 (a)................. 10,422,734
12,000,000 US Treasury Note, 8.500%, 2/15/00..................... 12,802,500
18,700,000 US Treasury Note, 7.500%, 5/15/02 (a)................. 19,559,004
16,350,000 US Treasury Note, 5.750%, 8/15/03 (a)................. 15,558,022
24,775,000 US Treasury Note, 6.500%, 5/15/05 (a)................. 24,426,564
------------
TOTAL US GOVERNMENT SECURITIES (COST
$102,877,770)......................................... 102,172,574 46.92%
------------ ----------
SHORT TERM OBLIGATIONS
COMMERCIAL PAPER
13,500,000 AT&T Capital Corp., 5.495%, 10/17/96 (d).............. 13,502,065
11,000,000 Republic New York Securities Corp, 5.375%,
11/08/96 (d)........................................ 11,001,683
1,000,000 Walt Disney Company, 5.26%, 07/01/96.................. 995,178
------------
TOTAL COMMERCIAL PAPER............................ 25,498,926 11.71%
------------
TIME DEPOSITS
14,726,849 Bank of Boston (Nassau), 5.725%, 07/01/96 (d)......... 14,729,102
14,000,000 First Union National Bank of North Carolina (Nassau),
5.50%, 07/01/96 (d)................................... 14,002,142
4,500,000 Harris Trust & Savings Bank (Nassau), 5.3750%,
07/01/96 (d)........................................ 4,500,688
14,000,000 Norwest Bank Minnesota, N.A. (Nassau), 5.375%,
07/01/96 (d)........................................ 14,002,142
------------
TOTAL TIME DEPOSITS............................... 47,234,074 15.63%
------------ ----------
TOTAL SHORT TERM OBLIGATIONS (COST $72,733,000)... 72,733,000 33.40%
------------ ----------
<CAPTION>
SHARES
- -----------
COMMON STOCK
AEROSPACE
<C> <S> <C> <C>
30,800 Boeing Company........................................ 2,683,450
19,300 Northrop Grumman Corp................................. 1,314,813
------------
TOTAL AEROSPACE................................... 3,998,263 1.84%
------------
AUTOMOBILES
70,500 General Motors Corp................................... 3,692,438 1.70%
------------
BANKS
25,850 Citicorp.............................................. 2,135,856
36,200 KeyCorp. ............................................. 1,402,750
12,650 Wells Fargo & Company................................. 3,021,769
------------
TOTAL BANKS....................................... 6,560,375 3.01%
------------
CHEMICALS
41,100 Du Pont (E.I.) De Nemours............................. 3,252,038
22,700 Duracell International Inc............................ 978,938
94,050 Hoechst AG-ADR........................................ 3,188,248
24,750 Grace W.R. & Company.................................. 1,754,156
------------
TOTAL CHEMICALS................................... 9,173,380 4.21%
------------
</TABLE>
See notes to financial statements.
44
<PAGE>
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
SHARES VALUE NET ASSETS
- ----------- ------------ ----------
COMPUTER AND OFFICE EQUIPMENT
<C> <S> <C> <C>
28,050 Compaq Computer (c)................................... $ 1,381,463
32,750 International Business Machine........................ 3,242,250
47,450 Silicon Graphics (c).................................. 1,138,800
------------
TOTAL COMPUTER AND OFFICE EQUIPMENT............... 5,762,513 2.65%
------------
FOOD AND BEVERAGE
26,400 American Home Products Corp........................... 1,587,300
8,800 Kroger Company........................................ 347,600
------------
TOTAL FOOD AND BEVERAGE........................... 1,934,900 0.89%
------------
INSURANCE
90,250 Allstate Corp. ....................................... 4,117,655
60,250 Travelers Inc. ....................................... 2,748,906
------------
TOTAL INSURANCE................................... 6,866,561 3.15%
------------
INVESTMENTS
14,000,000 Janus Institutional Money Market Fund (d)............. 14,000,000 6.43%
------------
LEISURE & RECREATION
46,400 Carnival Corp......................................... 1,339,800
35,300 Harrah's Entertainment Inc............................ 997,225
36,900 Hasbro Inc............................................ 1,319,175
54,400 Loews Corp............................................ 4,290,800
10,700 Marriott International Inc............................ 575,125
29,835 Mattel................................................ 854,027
72,200 Time Warner Inc....................................... 2,833,850
------------
TOTAL LEISURE & RECREATION........................ 12,210,002 5.61%
------------
MANUFACTURING
45,400 Allegheny Ludlum Corp. (a)............................ 856,925
32,250 Aluminum Company of America........................... 1,850,343
94,200 Philips Electronic N.V................................ 3,073,274
------------
TOTAL MANUFACTURING............................... 5,780,542 2.65%
------------
MEDIA
66,000 Dun & Bradstreet Corp................................. 4,125,000
69,100 E.W. Scripps Company.................................. 3,221,787
174,000 The News Corp. (a).................................... 3,501,750
------------
TOTAL MEDIA....................................... 10,848,537 4.98%
------------
MEDICAL AND OTHER HEALTH SERVICES
82,000 Abbott Laboratories................................... 3,567,000
35,950 Bristol-Myers Squibb Company.......................... 3,235,500
63,150 Ciba-Geigy Corp....................................... 3,847,091
36,700 Tenet Healthcare Corp. (c)............................ 784,463
------------
TOTAL MEDICAL AND OTHER HEALTH SERVICES........... 11,434,054 5.25%
------------
OIL AND GAS
38,600 Amoco Corp............................................ 2,793,675
26,550 Mobil Corp............................................ 2,976,919
------------
TOTAL OIL AND GAS................................. 5,770,594 2.65%
------------
</TABLE>
See notes to financial statements.
45
<PAGE>
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
SHARES VALUE NET ASSETS
- ----------- ------------ ----------
RETAIL
<C> <S> <C> <C>
53,150 Federated Department Stores (c)....................... $ 1,813,744 0.83%
------------
TELECOMMUNICATIONS
62,700 AT&T Corp............................................. 3,887,400
41,400 ITT Industries Inc.................................... 1,040,175
49,700 Nokia Corp............................................ 1,838,900
104,050 Pacific Telesis Group................................. 3,511,688
------------
TOTAL TELECOMMUNICATIONS.......................... 10,278,163 4.72%
------------
TOBACCO
36,100 Philip Morris Companies Inc........................... 3,754,400 1.72%
------------
TRANSPORTATION: AIR
34,000 Trans World Airlines (c).............................. 484,500 0.22%
------------
TRANSPORTATION: RAIL
28,850 Burlington Northern Santa Fe.......................... 2,333,244
28,650 Conrail, Inc.......................................... 1,901,644
50,600 Union Pacific Corp.................................... 3,535,676
------------
TOTAL TRANSPORTATION: RAIL........................ 7,770,564 3.57%
------------ ----------
TOTAL COMMON STOCK (COST $114,865,857)............ 122,133,530 56.09%
------------ ----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
- ----------
REPURCHASE AGREEMENT
<C> <S> <C> <C>
$5,124,917 Repurchase Agreement with Investors Bank & Trust, dated
06/28/96, 5.03%, proceeds at maturity $5,127,066, due
07/01/96 (Collateralized by Federal National Mortgage
Association, 6.253%, due 06/01/26 with a market value
of $6,325,000) (Cost $5,125,633)....................... 5,125,633 2.35%
------------ ----------
Total Investments (Cost $295,602,260).................. 302,164,737 138.77%
Liabilities in excess of Assets........................ (84,420,774) (38.77)%
------------ ----------
NET ASSETS............................................. $217,743,963 100.00%
------------ ----------
------------ ----------
The aggregate cost of securities for Federal Income tax purposes at June 30, 1996 is
$295,602,260.
The following amount is based on costs for Federal Income tax purposes:
Gross unrealized appreciation.......................... $ 9,357,933
Gross unrealized depreciation.......................... (2,795,456)
------------
Net unrealized appreciation............................ $ 6,562,477
------------
------------
</TABLE>
- ------------
(a) All or part of this security is on loan.
(c) Non-income producing security.
(d) Collateral for securities on loan
See notes to financial statements.
46
<PAGE>
EQUITY INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
PRINCIPAL VALUE NET ASSETS
- ---------- ------------ ----------
US GOVERNMENT SECURITIES
<C> <S> <C> <C>
$ 200,000 Federal Home Loan Mortgage Corp., 5.30%, 07/31/96...... $ 199,058
100,000 Federal Home Loan Mortgage Corp., 5.29%, 07/31/96...... 99,530
------------
TOTAL US GOVERNMENT SECURITIES (COST $298,588)..... 298,588 0.01%
------------ ----------
SHORT TERM OBLIGATIONS
COMMERCIAL PAPER
2,700,000 American Express Credit Corp., 5.27%, 07/24/96......... 2,690,119
1,700,000 American Express Credit Corp., 5.29%, 09/11/96......... 1,681,515
4,000,000 Associates Corporate NA, 5.29%, 09/06/96............... 3,959,443
500,000 Associates Corporate NA, 5.36%, 07/17/96............... 498,660
1,755,000 Associates Corporate NA, 5.36%, 07/17/96............... 1,750,297
3,500,000 AT&T Capital Corp., 5.495%, 10/17/96 (d)............... 3,500,505
1,000,000 AVCO Financial Services, 5.34%, 07/08/96............... 998,665
3,100,000 Bell South Telecommunications Inc., 5.45%, 07/09/96.... 3,095,307
3,545,000 Cooperative Finance Corp., 5.35%, 08/08/96............. 3,523,927
940,000 Enterprise Funding Corp., 5.35%, 08/23/96.............. 932,317
2,500,000 Enterprise Funding Corp., 5.29%, 08/27/96.............. 2,478,326
1,550,000 Household Finance Corp., 5.29%, 07/31/96............... 1,542,710
4,200,000 Household Finance Corp., 5.28%, 08/20/96............... 4,167,968
4,400,000 JHM Funding Inc., 5.30%, 07/18/96...................... 4,387,692
5,000,000 JHM Funding Inc., 5.30%, 07/18/96...................... 4,986,014
3,000,000 Mellon Bank Corp., 5.32%, 07/08/96..................... 2,996,010
1,800,000 Metlife, 5.32%, 07/15/96............................... 1,795,744
4,600,000 Norwest Corp., 5.27%, 07/17/96......................... 4,587,879
3,000,000 Philip Morris Companies Inc., 5.30%, 07/16/96.......... 2,992,492
6,000,000 Philip Morris Companies Inc., 5.30%, 08/01/96.......... 5,970,850
1,000,000 Prudential Funding Corp., 5.35%, 08/12/96.............. 993,460
240,000 Prudential Funding Corp., 5.39%, 08/16/96.............. 238,275
4,000,000 Republic New York Securities Corp., 5.755%,
11/08/96 (d)......................................... 4,000,577
5,500,000 Seagram's and Sons Inc., 5.37%, 07/22/96............... 5,481,130
1,400,000 Sears Roebuck Acceptance Corp., 5.35%, 07/09/96........ 1,397,920
1,000,000 Sears Roebuck Acceptance Corp., 5.30%, 09/04/96........ 990,136
1,100,000 Toronto Dominion Bank, 5.29%, 07/15/96................. 1,097,414
5,300,000 Walt Disney Company, 5.28%, 07/10/96................... 5,291,449
3,300,000 Xerox Corp., 5.35%, 08/05/96........................... 3,281,855
------------
TOTAL COMMERCIAL PAPER............................. 81,308,655 9.82%
------------
TIME DEPOSITS
1,444,200 Bank of Boston (Nassau), 5.725%, 07/01/96 (d).......... 1,444,408 0.17%
------------ ----------
TOTAL SHORT TERM OBLIGATIONS (COST $82,753,064).... 82,753,064 10.00%
------------ ----------
CORPORATE BOND
COMMUNICATIONS EQUIPMENT
2,000,000 Motorola Inc., 09/07/09 (f)............................ 2,300,000 0.28%
------------ ----------
TOTAL CORPORATE BOND (COST $1,710,000)............. 2,300,000 0.28%
------------ ----------
</TABLE>
See notes to financial statements.
47
<PAGE>
EQUITY INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
SHARES VALUE NET ASSETS
- ---------- ------------ ----------
COMMON STOCK
AEROSPACE
<C> <S> <C> <C>
120,000 Northrop Grumman Corp.................................. $ 8,175,000
320,000 Ogden Corp............................................. 5,800,000
100,000 Textron Inc............................................ 7,987,500
80,000 United Technologies.................................... 9,200,000
------------
TOTAL AEROSPACE.................................... 31,162,500 3.77%
------------
AUTOMOBILES
80,000 Chrysler Corp.......................................... 4,960,000
150,000 Ford Motor Company..................................... 4,856,250
90,000 General Motors Corp.................................... 4,713,750
------------
TOTAL AUTOMOBILES.................................. 14,530,000 1.76%
------------
BANKS
150,000 Banc One Corp.......................................... 5,100,000
110,000 Bank of New York....................................... 5,637,500
90,000 Bankamerica Corp....................................... 6,817,500
65,000 Bankers Trust New York Corp............................ 4,801,875
120,000 Chase Manhattan Corp................................... 8,475,000
100,000 First Union Corp. (N.E.)............................... 6,087,500
80,000 Nationsbank Corp....................................... 6,610,000
25,000 Wells Fargo & Company.................................. 5,971,875
------------
TOTAL BANKS........................................ 49,501,250 5.98%
------------
CHEMICALS
80,000 Dow Chemical Company................................... 6,080,000
110,000 Du Pont (E.I.) De Nemours.............................. 8,703,750
130,000 Grace W.R. & Company................................... 9,213,750
325,000 Monsanto Company....................................... 10,562,500
63,000 OLIN Corp.............................................. 5,622,750
------------
TOTAL CHEMICALS.................................... 40,182,750 0.68%
------------
CONSTRUCTION
140,000 Carpenter Technology................................... 4,480,000
100,000 GATX Corp.............................................. 4,825,000
50,000 Halliburton Company.................................... 2,775,000
160,000 USX-US Steel Group Inc................................. 4,540,000
------------
TOTAL CONSTRUCTION................................. 16,620,000 2.01%
------------
CONSUMER GOODS & SERVICES
200,000 Avon Products Inc...................................... 9,025,000
80,000 Colgate--Palmolive Company............................. 6,780,000
270,000 Dana Corp.............................................. 8,370,000
130,000 Eastman Kodak Company.................................. 10,107,500
185,000 General Electric Company............................... 16,002,500
------------
TOTAL CONSUMER GOODS & SERVICES.................... 50,285,000 1.93%
------------
</TABLE>
See notes to financial statements.
48
<PAGE>
EQUITY INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
SHARES VALUE NET ASSETS
- ---------- ------------ ----------
CONTAINERS AND PACKAGING
<C> <S> <C> <C>
90,000 Stone Container Corp................................... $ 1,237,500
150,000 Union Camp Corp........................................ 7,312,500
------------
TOTAL CONTAINERS AND PACKAGING..................... 8,550,000 0.01%
------------
ELECTRONICS
190,000 AMP Inc................................................ 7,623,750
60,000 Eaton Corp............................................. 3,517,500
120,000 Emerson Electric....................................... 10,845,000
200,000 Thomas & Betts Corp.................................... 7,500,000
------------
TOTAL ELECTRONICS.................................. 29,486,250 3.56%
------------
FINANCE
270,000 Ahmanson (HF) & Company................................ 7,290,000
160,000 American Express Company............................... 7,140,000
290,000 Federal National Mortgage Association.................. 9,715,000
290,000 Great Western Financial................................ 6,923,750
------------
TOTAL FINANCE...................................... 31,068,750 3.75%
------------
INSURANCE
95,000 Aetna Life & Casualty.................................. 6,792,500
110,000 Allstate Corp.......................................... 5,018,750
70,000 Cigna Corp............................................. 8,251,250
120,000 Lincoln National Corp.................................. 5,550,000
------------
TOTAL INSURANCE.................................... 25,612,500 3.09%
------------
MACHINERY
210,000 Deere & Company........................................ 8,400,000
163,000 General Signal......................................... 6,173,625
160,000 Goulds Pumps........................................... 4,100,000
110,000 Harsco Corp............................................ 7,397,500
30,000 TRW, Inc............................................... 2,696,250
------------
TOTAL MACHINERY.................................... 28,767,375 3.48%
------------
MEDIA
100,000 Readers Digest Association Inc......................... 4,250,000
120,000 Dun & Bradstreet Corp.................................. 7,500,000
240,000 McGraw--Hill Companies Inc............................. 10,980,000
------------
TOTAL MEDIA........................................ 22,730,000 2.75%
------------
MEDICAL AND OTHER HEALTH SERVICES
130,000 Baxter International, Inc.............................. 6,142,500
40,000 Meditrust Corp......................................... 1,335,000
130,000 US Healthcare Inc...................................... 7,150,000
------------
TOTAL MEDICAL AND OTHER HEALTH SERVICES............ 14,627,500 1.61%
------------
</TABLE>
See notes to financial statements.
49
<PAGE>
EQUITY INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
SHARES VALUE NET ASSETS
- ---------- ------------ ----------
METALS AND MINING
<C> <S> <C> <C>
180,000 Freeport McMoran Resources............................. $ 5,377,500
110,000 Minnesota Mining and Manufacturing..................... 7,590,000
60,000 Phelps Dodge Corp...................................... 3,742,500
120,000 Reynolds Metals Company................................ 6,255,000
150,000 Timken Company......................................... 5,812,500
------------
TOTAL METALS AND MINING............................ 28,777,500 0.70%
------------
OFFICE EQUIPMENT
100,000 Harris Corp. Inc....................................... 6,100,000
120,000 Honeywell Inc.......................................... 6,540,000
120,000 Pitney Bowes Inc....................................... 5,730,000
270,000 Xerox Corp............................................. 14,445,000
------------
TOTAL OFFICE EQUIPMENT............................. 32,815,000 3.96%
------------
OIL & GAS
90,000 Amoco Corp............................................. 6,513,750
65,000 Atlantic Richfield Company............................. 7,702,500
60,774 British Petroleum PLC.................................. 6,495,253
150,000 Chevron Corp........................................... 8,850,000
40,000 Consolidated Natural Gas............................... 2,090,000
200,000 Dresser Industries Inc................................. 5,900,000
120,000 Exxon Corp............................................. 10,425,000
200,000 McDermott International Inc............................ 4,175,000
70,000 Mobil Corp............................................. 7,848,750
17,000 Noram Energy Corp...................................... 184,875
50,000 Questar Corp........................................... 1,700,000
60,000 Royal Dutch Petroleum (a).............................. 9,225,000
40,000 Sonat Inc.............................................. 1,800,000
150,000 Tenneco Inc............................................ 7,668,750
90,000 Texaco Inc............................................. 7,548,750
200,000 Williams Companies Inc................................. 9,900,000
100,000 WITCO Corp............................................. 3,437,500
------------
TOTAL OIL AND GAS.................................. 101,465,128 12.26%
------------
PAPER & FOREST PRODUCTS
80,000 Georgia--Pacific Corp. 5,680,000
170,000 International Paper Company............................ 6,268,750
180,000 Weyerhauser Company.................................... 7,650,000
------------
TOTAL PAPER & FOREST PRODUCTS...................... 19,598,750 3.40%
------------
PHARMACUETICALS
160,000 American Home Products Corp............................ 9,620,000
80,000 Bristol--Myers Squibb Company.......................... 7,200,000
100,000 Merck & Company Inc.................................... 6,462,500
90,000 Pfizer Inc............................................. 6,423,750
170,000 Pharmacia & UpJohn Inc................................. 7,543,750
100,000 Schering--Plough Corp.................................. 6,275,000
</TABLE>
See notes to financial statements.
50
<PAGE>
EQUITY INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
SHARES VALUE NET ASSETS
- ---------- ------------ ----------
PHARMACEUTICALS--(CONT'D)
<C> <S> <C> <C>
160,000 SmithKline Beecham PLC................................. $ 8,700,000
160,000 Warner Lambert Company................................. 8,800,000
------------
TOTAL PHARMACUETICALS.............................. 61,025,000 8.49%
------------
REAL ESTATE
59,000 Avalon Properties Inc.................................. 1,283,250
70,000 Bay Apartment Communities.............................. 1,811,250
65,000 Developers Divers Realty Corp.......................... 2,071,875
60,000 Equity Residential Properties.......................... 1,972,500
64,000 Felcor Suite Hotels Inc. (a)........................... 1,952,000
200,000 Health Care PPTY Investment Inc........................ 6,750,000
80,000 Healthcare Realty Trust................................ 1,900,000
100,000 Irvine Apartment Communities........................... 2,012,500
45,000 Redwood Trust Inc...................................... 1,260,000
------------
TOTAL REAL ESTATE.................................. 21,013,375 2.54%
------------
RETAIL
90,000 May Department Stores.................................. 3,937,500
80,000 Penney (JC) Company Inc................................ 4,200,000
------------
TOTAL RETAIL....................................... 8,137,500 0.98%
------------
TIRE AND RUBBER
140,000 Cooper Industries Inc. (a) 5,810,000 0.70%
------------
TOBACCO
140,000 American Brands, Inc................................... 6,352,500
100,000 Philip Morris Companies Inc............................ 10,400,000
------------
TOTAL TOBACCO...................................... 16,752,500 2.02%
------------
TRANSPORTATION: AIRLINE
150,000 US West, Inc........................................... 4,781,250 0.58%
------------
TRANSPORTATION: RAILROADS
95,000 Conrail Inc............................................ 6,305,626
110,000 Norfolk Southern Corp.................................. 9,322,500
------------
TOTAL TRANSPORTATION: RAILROADS.................... 15,628,126 1.89%
------------
UTILITIES: ELECTRIC
150,000 American Electric Power Inc............................ 6,393,750
160,000 Carolina Power & Limited Company....................... 6,080,000
110,000 FPL Group Inc.......................................... 5,060,000
210,000 Southern Company....................................... 5,171,250
------------
TOTAL UTILITIES: ELECTRIC.......................... 22,705,000 2.74%
------------
UTILITIES: TELEPHONE
80,000 Ameritech Corp......................................... 4,750,000
70,000 Bell Atlantic Corp..................................... 4,462,500
120,000 Bell South Corp........................................ 5,085,000
120,000 GTE Corp............................................... 5,370,000
80,000 NYNEX Corp............................................. 3,800,000
</TABLE>
See notes to financial statements.
51
<PAGE>
EQUITY INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
SHARES VALUE NET ASSETS
- ---------- ------------ ----------
UTILITIES: TELEPHONE--(CONT'D)
<C> <S> <C> <C>
170,000 Pacific Telesis Group.................................. $ 5,737,500
100,000 SBC Communications Inc. (a)............................ 4,925,000
150,000 Sprint Corp............................................ 6,300,000
------------
TOTAL UTILITIES: TELEPHONE......................... 40,430,000 5.21%
------------ ----------
TOTAL COMMON STOCK (COST $579,311,042)................. 742,063,004 89.66%
------------ ----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
- ----------
REPURCHASE AGREEMENT
<C> <S> <C> <C>
$ 32,849 Repurchase Agreement with Investors Bank & Trust, dated
06/28/96, 5.03%, proceeds at maturity $32,861, due
07/01/96 (Collateralized by Federal National Mortgage
Association, 6.253%, due 06/01/26 with a market value
of $35,000) (Cost $32,854)............................. 32,854 0.01%
------------ ----------
Total Investments (cost $664,105,548).................. 827,447,510 99.98%
Assets in excess of Liabilities........................ 207,703 0.02%
------------ ----------
NET ASSETS............................................. $827,655,213 100.00%
------------ ----------
------------ ----------
The aggregate cost of securities for Federal Income tax purposes
at June 30, 1996 is $664,105,548.
The following amount is based on costs for Federal Income tax purposes:
Gross unrealized appreciation.......................... $169,812,296
Gross unrealized depreciation.......................... (6,470,334)
------------
Net unrealized appreciation............................ $163,341,962
------------
------------
</TABLE>
- ------------
(a) All or part of this security is on loan
(d) Collateral for secuities on loan
(f) Zero Coupon
See notes to financial statements.
52
<PAGE>
EQUITY VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
SHARES VALUE NET ASSETS
- ---------- ----------- ----------
COMMON STOCK
AEROSPACE
<C> <S> <C> <C>
5,800 Allied Signal Inc. ..................................... $ 331,325
1,600 General Dynamics........................................ 99,200
5,000 Rockwell International.................................. 286,250
-----------
TOTAL AEROSPACE......................................... 716,775 4.18%
-----------
AUTOMOBILES
4,100 General Motors Corp. ................................... 214,737 1.25%
-----------
BANKS
3,300 Chase Manhattan Corp. .................................. 233,062
6,100 First Chicago National Corp. ........................... 238,662
1,400 Nations Bank Corp. ..................................... 115,675
-----------
TOTAL BANKS............................................. 587,399 3.42%
-----------
CHEMICALS
2,200 Air Products and Chemicals ............................. 127,050
3,700 Du Pont (E.I.) De Nemours............................... 292,762
1,300 Eastman Chemical Company................................ 79,137
3,600 PPG Industry............................................ 175,500
7,300 WMX Technologies........................................ 239,075
-----------
TOTAL CHEMICALS......................................... 913,524 5.32%
-----------
COMPUTER AND OFFICE EQUIPMENT
5,700 AMP Inc. ............................................... 228,713
6,600 Digital Equipment Corp. (c)............................. 297,000
6,800 International Business Machine.......................... 673,200
2,900 Texas Instruments....................................... 144,638
8,600 Xerox Corp. ............................................ 460,100
-----------
TOTAL COMPUTER AND OFFICE EQUIPMENT..................... 1,803,651 10.51%
-----------
CONSTRUCTION
1,500 Deere and Company....................................... 60,000
6,900 MASCO Corp. ............................................ 208,725
-----------
TOTAL CONSTRUCTION...................................... 268,725 1.57%
-----------
CONSUMER GOODS AND SERVICES
1,000 Eastman Kodak Company................................... 77,750
1,500 General Electric Company................................ 129,750
3,400 Kimberly-Clark Corp. ................................... 262,650
-----------
TOTAL CONSUMER GOODS AND SERVICES....................... 470,150 2.74%
-----------
DEFENSE
1,500 Raytheon Company........................................ 77,438 0.45%
-----------
EQUIPMENT LEASE
3,800 Ryder System............................................ 106,875 0.62%
-----------
FINANCE
3,300 American Express Company................................ 147,263
]6,400 Dean Witter Discover and Company........................ 366,400
-----------
TOTAL FINANCE........................................... 513,663 2.99%
-----------
FOOD AND BEVERAGE
5,300 Archer Daniels Midland.................................. 101,363
2,700 CPC International Inc. ................................. 194,400
-----------
TOTAL FOOD AND BEVERAGE................................. 295,763 1.72%
-----------
</TABLE>
See notes to financial statements.
53
<PAGE>
EQUITY VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
SHARES VALUE NET ASSETS
- ---------- ----------- ----------
INSURANCE
<C> <S> <C> <C>
3,400 Aetna Life and Casualty................................. $ 243,100
13,000 Allstate Corp. ......................................... 593,125
2,000 American International Group............................ 197,250
6,200 Chubb Corp. ............................................ 309,225
2,100 General Re Corp. ....................................... 319,725
3,500 Unum Corp. ............................................. 217,875
-----------
TOTAL INSURANCE......................................... 1,880,300 10.96%
-----------
LEISURE AND ENTERTAINMENT
2,200 Loews Corp. ............................................ 173,525
8,000 Time Warner Inc. ....................................... 314,000
-----------
TOTAL LEISURE AND ENTERTAINMNET......................... 487,525 2.84%
-----------
MEDIA
3,200 Dun and Bradstreet Corp. ............................... 200,000
18,200 Tele-Communications,Inc. ............................... 329,875
-----------
TOTAL MEDIA............................................. 529,875 3.09%
-----------
MEDICAL AND OTHER HEALTH SERVICES
6,400 Columbia/HCA Healthcare Corp. .......................... 341,600
9,100 Humana, Inc. ........................................... 162,662
4,300 Tenet Healthcare Corp. (c).............................. 91,913
-----------
TOTAL MEDICAL AND OTHER HEALTH SERVICES................. 596,175 3.47%
-----------
METALS AND MINING
5,000 LTV Corp. .............................................. 56,875
3,400 Newmont Mining.......................................... 167,875
-----------
TOTAL METALS AND MINING................................. 224,750 1.31%
-----------
OIL AND GAS
4,000 Amerada Hess Corp. ..................................... 214,500
2,400 Atlantic Richfield Company.............................. 284,400
3,700 British Petroleum PLC (ADR)............................. 395,438
3,000 Burlington Resources Inc. .............................. 129,000
2,400 Dresser Industries, Inc. ............................... 70,800
2,400 Exxon Corp. ............................................ 208,500
2,200 Mobil Corp. ............................................ 246,675
11,900 Occidental Petroleum.................................... 294,525
2,000 Oryx Energy Company..................................... 32,500
6,700 Panenergy Corp. ........................................ 220,263
3,200 Union Pacific Resources Group........................... 85,600
3,700 Unocal Corp. ........................................... 124,875
9,400 USX-Marathon Group...................................... 189,175
-----------
TOTAL OIL AND GAS....................................... 2,496,251 14.55%
-----------
PAPER AND FOREST PRODUCTS
4,200 Champion International.................................. 175,350
2,500 International Paper Company............................. 92,187
-----------
TOTAL PAPER AND FOREST PRODUCTS......................... 267,537 1.56%
-----------
PHARMACEUTICALS
5,400 Bristol-Myers Squibb Company............................ 486,000
2,100 Pharmacia and Upjohn Inc. .............................. 93,188
-----------
TOTAL PHARMACEUTICALS................................... 579,188 3.38%
-----------
</TABLE>
See notes to financial statements.
54
<PAGE>
EQUITY VALUE PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
SHARES VALUE NET ASSETS
- ---------- ----------- ----------
RETAIL
<C> <S> <C> <C>
3,900 Dillard Department Stores............................... $ 142,350
4,200 Federated Department Stores (c)......................... 143,325
4,000 May Department Stores................................... 175,000
2,300 Penney (JC) Company, Inc. .............................. 120,750
-----------
TOTAL RETAIL............................................ 581,425 3.39%
-----------
TELECOMMUNICATIONS
10,200 AT & T Corp. ........................................... 632,400
3,700 GTE Corp. .............................................. 165,575
5,900 MCI Communications Corp. ............................... 151,187
200 NYNEX Corp. ............................................ 9,500
5,600 SBC Communications, Inc. ............................... 275,800
9,600 Sprint Corp. ........................................... 403,200
11,100 US West Media Group (c)................................. 202,575
-----------
TOTAL TELECOMMUNICATIONS................................ 1,840,237 10.73%
-----------
TIRE AND RUBBER
1,600 Goodyear Tire and Rubber Company........................ 77,200 0.45%
-----------
TRANSPORTATION: RAIL
3,300 CSX Corp. .............................................. 159,225
2,000 Union Pacific Corp. .................................... 139,750
-----------
TOTAL TRANSPORTATION: RAIL.............................. 298,975 1.75%
----------- ----------
TOTAL COMMON STOCK (COST $15,904,433)................... 15,828,138 92.25%
----------- ----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
- -----------
REPURCHASE AGREEMENT
<C> <S> <C> <C>
$ 1,401,971 Repurchase Agreement with Investors bank & Trust, dated
06/28/96, 5.03%, proceeds at maturity $1,402,558, due
07/01/96 (Collateralized by Federal Home Loan
Mortgage Corporation, 7.915%, due 11/01/ 23 with a
market value of $1,500,000) (Cost $1,402,167)........ 1,402,167 8.17%
----------- ----------
Total Investments (Cost $17,306,600)................... 17,230,305 100.42%
Liabilities in excess of Assets........................ (72,233) (0.42)%
----------- ----------
NET ASSETS............................................. $17,158,072 100.00%
----------- ----------
----------- ----------
The aggregate cost of securities for Federal Income tax purposes at June 30, 1996 is
$17,306,600.
The following amount is based on costs for Federal Income tax purposes:
Gross unrealized appreciation.......................... $ 388,500
Gross unrealized depreciation.......................... (464,795)
-----------
Net unrealized depreciation............................ $ (76,295)
-----------
-----------
</TABLE>
- ------------
(c) Non-income producing security
See notes to financial statements.
55
<PAGE>
GROWTH AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
PRINCIPAL VALUE NET ASSETS
- ----------- ------------ ----------
SHORT TERM OBLIGATIONS
COMMERCIAL PAPER
<C> <S> <C> <C>
$ 1,500,000 AT&T Capital Corp., 5.495%, 10/17/96 (d).............. $ 1,500,225
------------
TIME DEPOSITS
2,097,800 Bank of Boston (Nassau), 5.725% ,7/1/96 (d)........... 2,098,114
TOTAL SHORT TERM OBLIGATIONS (COST $3,598,339).... 3,598,339 1.89%
------------ ----------
<CAPTION>
SHARES
- -----------
<C> <S> <C> <C>
COMMON STOCK
AEROSPACE
50,100 Boeing Company........................................ 4,364,963
22,500 Textron Inc........................................... 1,797,188
15,600 United Technologies................................... 1,794,000
------------
TOTAL AEROSPACE................................... 7,956,151 4.18%
------------
APPAREL
18,100 Gucci Group........................................... 1,167,450 0.61%
------------
AUTOMOBILES
25,400 General Motors Corp................................... 1,527,175 0.80%
------------
BANKS
45,200 Bank of Boston Corp................................... 2,237,400
38,600 BankAmerica Corp...................................... 2,923,950
39,200 Chase Manhattan Corp.................................. 2,768,500
56,700 Citicorp.............................................. 4,684,837
33,700 Nationsbank Corp...................................... 2,784,462
------------
TOTAL BANKS....................................... 15,399,149 8.08%
------------
CHEMICALS
38,100 Du Pont (E.I.) De Nemours............................. 3,014,662
119,500 Monsanto Company...................................... 3,883,750
48,000 Praxair Inc........................................... 2,028,000
------------
TOTAL CHEMICALS................................... 8,926,412 4.69%
------------
COMPUTERS AND OFFICE EQUIPMENT
73,700 Cisco Systems Inc..................................... 4,173,262
36,900 Hewlett Packard....................................... 3,676,162
52,700 Honeywell............................................. 2,872,150
30,600 Intel Corp............................................ 2,247,187
------------
TOTAL COMPUTERS AND OFFICE EQUIPMENT.............. 12,968,761 6.81%
------------
COMPUTER SOFTWARE AND SERVICES
33,100 Cadence Design Systems, Inc........................... 1,117,125
43,800 Computer Associates International, Inc................ 3,120,750
23,700 Computer Sciences Corp. (c)........................... 1,771,575
42,400 Electronic Data Systems Corp.......................... 2,279,000
36,200 Microsoft Corp. (c)................................... 4,348,525
55,100 Parametric Technology Corp............................ 2,389,963
34,700 Peoplesoft............................................ 2,472,375
------------
TOTAL COMPUTER SOFTWARE AND SERVICES.............. 17,499,313 9.19%
------------
</TABLE>
See notes to financial statements.
56
<PAGE>
GROWTH AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
SHARES VALUE NET ASSETS
- ----------- ------------ ----------
CONSTRUCTION
<C> <S> <C> <C>
48,200 Case Corporation...................................... $ 2,313,600
34,700 Caterpiller Tractor Inc............................... 2,350,925
51,200 Halliburton Company................................... 2,841,600
------------
TOTAL CONSTRUCTION................................ 7,506,125 3.94%
------------
CONSUMER GOODS AND SERVICES
9,300 Clorox Company........................................ 824,212
36,100 Eastman Kodak Company................................. 2,806,775
33,800 Nike Inc.............................................. 3,472,950
19,600 Sherwin Williams Company.............................. 911,400
------------
TOTAL CONSUMER GOODS AND SERVICES................. 8,015,337 4.21%
------------
FINANCE
36,800 First Data Corp....................................... 3,169,075
23,700 Franklin Resources Inc................................ 1,445,700
26,600 J.P. Morgan & Company Inc............................. 2,251,025
77,050 MBNA Corp............................................. 2,195,925
------------
TOTAL FINANCE..................................... 9,061,725 4.76%
------------
FOOD AND BEVERAGE
135,500 Pepsico Inc........................................... 4,793,313 2.52%
------------
INSURANCE
21,375 American International Group.......................... 2,108,109
60,150 Travelers Inc......................................... 2,744,344
TOTAL INSURANCE................................... 4,852,453 2.55%
------------
LEISURE AND RECREATION
45,300 Harrah's Entertainment Inc............................ 1,279,725
26,100 Marriott International Inc............................ 1,402,875
33,500 Mirage Resorts Inc. (c)............................... 1,809,000
------------
TOTAL LEISURE AND RECREATION...................... 4,491,600 2.36%
------------
MEDIA
25,500 Gannett Company Inc................................... 1,804,125
44,600 Liberty Media Group, (c).............................. 1,181,900
39,418 Walt Disney Company................................... 2,478,407
------------
TOTAL MEDIA....................................... 5,464,432 2.87%
------------
MEDICAL AND OTHER HEALTH SERVICES
26,200 Becton Dickinson & Company............................ 2,102,550
31,500 HBO & Company......................................... 2,134,125
30,000 Medtronic Inc......................................... 1,680,000
32,800 Service Corp International............................ 1,886,000
18,800 US Robotics Corp...................................... 1,607,400
------------
TOTAL MEDICAL AND OTHER HEALTH SERVICES........... 9,410,075 4.94%
------------
METALS AND MINING
43,300 Freeport McMoran Resources............................ 1,293,588 0.68%
------------
</TABLE>
See notes to financial statements.
57
<PAGE>
GROWTH AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
SHARES VALUE NET ASSETS
- ----------- ------------ ----------
OIL AND GAS
<C> <S> <C> <C>
20,700 British Petroleum PLC (ADR)........................... $ 2,212,313
37,100 Enron................................................. 1,516,463
22,200 Schlumberger Ltd...................................... 1,870,350
42,200 Sonat Inc............................................. 1,899,000
------------
TOTAL OIL AND GAS................................. 7,498,126 3.93%
------------
PHARMACEUTICALS
28,200 Amgen Inc............................................. 1,522,800
35,100 Eli Lilly & Company................................... 2,281,500
77,300 Johnson & Johnson..................................... 3,826,350
38,200 Pfizer Inc............................................ 2,726,525
79,700 Pharmacia & Upjohn Inc................................ 3,536,688
31,900 Warner Lambert Company................................ 1,754,500
------------
TOTAL PHARMACEUTICALS............................. 15,648,363 8.21%
------------
RETAIL
25,300 Dayton-Hudson Corp.................................... 2,609,062
62,900 Federated Department Stores (c)....................... 2,146,462
38,900 Home Depot............................................ 2,100,600
59,400 Officemax Inc......................................... 1,418,175
58,600 Safeway Inc. (a)...................................... 1,933,800
90,400 Sears Roebuck & Company............................... 4,395,700
32,000 TJX Cos Inc........................................... 1,080,000
49,600 Walgreen Company...................................... 1,661,600
------------
TOTAL RETAIL...................................... 17,345,399 9.10%
------------
TELECOMMUNICATIONS
30,900 Ascend Communications Inc............................. 1,738,125
27,000 Cascade Communications Corp. (a)...................... 1,836,000
25,500 Tellabs Inc. (c)...................................... 1,705,313
------------
TOTAL TELECOMMUNICATIONS.......................... 5,279,438 2.77%
------------
TOBACCO
33,700 Philip Morris Company Inc............................. 3,504,800 1.84%
------------
TRANSPORTATION: RAIL
23,800 Burlington Northern Sante Fe.......................... 1,924,825 1.01%
------------
UTILITIES: TELEPHONE
57,500 GTE Corp.............................................. 2,573,125
100,400 MCI Communications Corp............................... 2,572,750
------------
TOTAL UTILITIES: TELEPHONE........................ 5,145,875 2.70%
------------ ----------
TOTAL COMMON STOCK (COST $158,216,519)............ 176,679,885 92.75%
------------ ----------
</TABLE>
See notes to financial statements.
58
<PAGE>
GROWTH AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
PRINCIPAL VALUE NET ASSETS
- ----------- ------------ ----------
REPURCHASE AGREEMENT
<C> <S> <C> <C>
$ 3,720,965 Repurchase Agreement with Investors Bank & Trust,
dated 06/28/96, 5.03%, proceeds at maturity
$3,722,525, due 07/01/96 (Collateralized by
Federal National Mortgage Association, 7.50%,
due 02/01/10 with a market value of $4,000,000)
(Cost $3,721,485)................................. $ 3,721,485
11,700,000 Repurchase Agreement with Morgan Stanley, dated
06/28/96, 4.95%, proceeds at maturity $11,704,826,
due 07/01/96 (Collateralized by US Treasury Note,
8.00%, due 02/15/19 with a market value of
$12,105,268) (Cost $11,701,609)..................... 11,701,609
------------
TOTAL REPURCHASE AGREEMENT (COST $15,423,094)... 15,423,094 8.10%
------------ ----------
Total Investments (Cost $177,237,952)........... 195,701,318 102.74%
Liabilities in excess of Assets................. (5,224,955) (2.74)%
------------ ----------
NET ASSETS...................................... $190,476,363 100.00%
------------ ----------
------------ ----------
The aggregate cost of securities for Federal Income tax purposes at June 30, 1996 is
$177,237,952.
The following amount is based on costs for Federal Income tax purposes:
Gross unrealized appreciation................... $ 19,628,086
Gross unrealized depreciation................... (1,164,720)
------------
Net unrealized appreciation..................... $ 18,463,366
------------
------------
</TABLE>
- ------------
(a) All or part of this security is on loan
(c) Non-income producing security
(d) Collateral for securities on loan
See notes to financial statements.
59
<PAGE>
EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
PRINCIPAL VALUE NET ASSETS
- ----------- ------------ ----------
SHORT TERM OBLIGATIONS
COMMERCIAL PAPER
<C> <S> <C> <C>
$ 6,000,000 AT&T Capital Corp., 5.495%, 10/17/96 (d).............. $ 6,001,246
1,000,000 Republic New York Securities Corp., 5.775%,
11/08/96 (d)........................................ 1,000,207
------------
TOTAL COMMERCIAL PAPER............................ 7,001,453 2.66%
------------
TIME DEPOSITS
14,338,735 Bank of Boston (Nassau), 5.725%, 07/01/96 (d)......... 14,341,742
500,000 First Union National Bank of North Carolina (Nassau),
5.375%, 07/01/96 (d).................................. 500,104
------------
TOTAL TIME DEPOSITS............................... 14,841,816 5.64%
------------ ----------
TOTAL SHORT TERM OBLIGATIONS (COST $21,843,269)... 21,843,269 8.30%
------------ ----------
CORPORATE BONDS AND NOTES
MEDICAL AND OTHER HEALTH SERVICES
2,099,000 Phycor Inc., 4.50%, 02/15/03.......................... 2,419,098 0.92%
------------ ----------
TOTAL CORPORATE BONDS AND NOTES (COST
$2,128,829)........................................... 2,419,098 0.92%
------------ ----------
</TABLE>
<TABLE>
COMMON STOCK
COMPUTER AND OFFICE EQUIPMENT
<C> <S> <C> <C>
50,400 Hewlett-Packard Inc................................... 5,021,100 1.91%
------------
COMPUTER SOFTWARE AND SERVICES
43,900 Computer Sciences Corp. (c)........................... 3,281,525
101,900 Intuit Inc............................................ 4,814,775
68,700 Microsoft Corp. (c)................................... 8,252,588
86,700 Netscape Communications Corp. (a)..................... 5,397,075
217,875 Oracle Systems Corp................................... 8,592,445
71,300 Peoplesoft Inc........................................ 5,080,125
57,400 UUNET Technologies (c)................................ 3,802,750
------------
TOTAL COMPUTER SOFTWARE AND SERVICES.............. 39,221,283 14.91%
------------
CONSUMER GOODS AND SERVICES
73,250 CUC International Inc................................. 2,600,375
242,100 Lowes Co's Inc........................................ 8,745,862
------------
TOTAL CONSUMER GOODS AND SERVICES................. 11,346,237 4.31%
------------
FINANCE
36,300 First Data Corp....................................... 2,890,387 1.10%
------------
FOOD AND BEVERAGE
193,300 Boston Chicken Inc. (a) (c)........................... 6,282,250
366,100 Starbucks Corp........................................ 10,342,325
------------
TOTAL FOOD AND BEVERAGE........................... 16,624,575 6.32%
------------
INVESTMENTS
10,000,000 Janus Institutional Money Market Fund (d)............. 10,000,000 3.80%
------------
</TABLE>
See notes to financial statements.
60
<PAGE>
EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
SHARES VALUE NET ASSETS
- ----------- ------------ ----------
MEDICAL & OTHER HEALTH SERVICES
<C> <S> <C> <C>
125,800 Biogen Inc............................................ $ 6,903,275
142,000 Boston Scientific Corp. (a) (c)....................... 6,390,000
98,600 Genzyme Corp. (c)..................................... 4,954,650
99,800 HBO & Co.............................................. 6,761,450
45,700 Medtronic Inc......................................... 2,559,200
110,400 Oxford Health Plans................................... 4,540,200
25,950 Phycor Inc............................................ 986,100
77,400 United Healthcare Corp................................ 3,908,700
------------
TOTAL MEDICAL & OTHER HEALTH SERVICES............. 37,003,575 14.07%
------------
OIL AND GAS
79,200 Baker Hughes Inc...................................... 2,603,700
29,200 Schlumberger Ltd...................................... 2,460,100
80,800 Smith International................................... 2,434,100
------------
TOTAL OIL AND GAS................................. 7,497,900 2.85%
------------
PHARMACEUTICALS
116,300 Eli Lilly & Company................................... 7,559,500
110,300 Merck & Co. Inc....................................... 7,128,137
------------
TOTAL PHARMACEUTICALS............................. 14,687,637 5.58%
------------
RETAIL
222,900 Autozone Inc. (c)..................................... 7,745,775
84,798 Home Depot............................................ 9,979,092
72,300 Kohls Corporation..................................... 2,647,987
161,650 Petsmart Inc. (c)..................................... 7,718,788
192,750 Officemax Inc......................................... 4,601,906
406,143 Staples Inc. (a)...................................... 7,919,789
------------
TOTAL RETAIL...................................... 40,613,337 15.44%
------------
TELECOMMUNICATIONS
117,700 3 Com Corp............................................ 5,384,775
223,700 Airtouch Communications Inc. (c)...................... 6,319,525
147,000 Cascade Communications Corp. (a)...................... 9,996,000
140,600 Cisco Systems Inc..................................... 7,961,475
77,600 LCI International Inc. (a)............................ 2,434,700
122,000 MFS Communications Co. Inc. (a)....................... 4,590,250
171,300 Paging Network Inc.................................... 4,111,200
124,600 Tellabs Inc. (c)...................................... 8,332,625
86,200 US Robotics Corporation............................... 7,370,100
186,500 Worldcom Inc. (c)..................................... 10,327,438
------------
TOTAL TELECOMMUNICATIONS.......................... 66,828,088 25.41%
------------ ----------
TOTAL COMMON STOCK (COST $191,370,009)............ 251,734,119 95.70%
------------ ----------
</TABLE>
See notes to financial statements.
61
<PAGE>
EQUITY GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
PRINCIPAL VALUE NET ASSETS
- ----------- ------------ ----------
REPURCHASE AGREEMENT
<C> <S> <C> <C>
$18,825,413 Repurchase Agreement with Investors Bank & Trust,
dated 06/28/96, 5.03%, proceeds at maturity
$18,833,304, due 07/01/96 (Collateralized by Federal
National Mortgage Association, 7.00%, due 02/20/96
with a market value of $9,300,000, Federal National
Mortgage Association, 5.73%, due 02/01/26 with a
market value of $4,200,000, Government National
Mortgage Association, 7.50%, due 05/20/25 with a
market value of $4,500,000, and Governement National
Mortgage Association, 7.00%, due 04/01/09 with a
market value of $1,500,000, for a total market value
of $19,500,000) (Cost $18,828,043).................. $ 18,828,043 7.16%
------------ ----------
Total Investments (Cost $234,170,150)............. 294,824,529 112.08%
Liabilities in excess of Assets................... (31,782,785) (12.08)%
------------ ----------
NET ASSETS........................................ $263,041,744 100.00%
------------ ----------
------------ ----------
The aggregate cost of securities for Federal Income tax purposes at June 30, 1996 is
$234,170,150.
The following amount is based on costs for Federal Income tax purposes:
Gross unrealized appreciation......................... $ 62,006,226
Gross unrealized depreciation......................... (1,351,847)
------------
Net unrealized appreciation........................... $ 60,654,379
------------
------------
</TABLE>
- ------------
(d) Collateral for securities on loan
See notes to financial statements.
62
<PAGE>
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
PRINCIPAL VALUE NET ASSETS
- ----------- ------------ ----------
SHORT TERM OBLIGATIONS
COMMERCIAL PAPER
<C> <S> <C> <C>
$ 6,500,000 AT&T Capital Corp., 5.495%,
10/17/96 (d)........................................ $ 6,501,460 1.47%
TIME DEPOSITS
16,500,946 Bank of Boston (Nassau), 5.725%,
07/01/96 (d)........................................ 16,504,654 3.73%
------------ ----------
TOTAL SHORT TERM OBLIGATIONS (COST $23,006,114)... 23,006,114 5.20%
------------ ----------
<CAPTION>
SHARES
- -----------
COMMON STOCK
ADVERTISING
<C> <S> <C> <C>
51,050 Ha-Lo Industries Inc.................................. 1,327,300 0.30%
------------
AEROPACE
144,600 AAR Corp.............................................. 2,946,225 0.67%
------------
AUTOMOTIVE PRODUCTS
10,000 Armor All Products Corp............................... 148,750
35,600 Autozone Inc. (c)..................................... 1,237,100
24,300 Wolverine Tube Inc. (c)............................... 850,500
------------
TOTAL AUTOMOTIVE PRODUCTS......................... 2,236,350 0.51%
------------
BANKS
114,000 American Federal Bank................................. 1,909,500
60,788 Banc One Corp......................................... 2,066,792
63,873 First Republic Bancorp Inc. (c)....................... 982,047
103,000 First Saving Bank of Washington....................... 1,609,375
87,500 Norwalk Savings Society............................... 1,903,125
110,000 Peoples Bank Bridgeport............................... 2,447,500
140,000 Roosevelt Financial Group Inc......................... 2,695,000
60,000 Washington Mutual Inc. (a)............................ 1,792,500
------------
TOTAL BANKS....................................... 15,405,839 3.48%
------------
BUSINESS SERVICES
191,300 Accustaff Inc......................................... 5,212,925
37,100 Alternative Resources Corp. (c)....................... 1,363,425
35,800 Career Horizons Inc................................... 1,253,000
41,900 Iron Mountain Inc. (c)................................ 879,900
51,600 Manpower Inc.......................................... 2,025,300
67,275 McAfee Associates Inc................................. 3,296,475
------------
TOTAL BUSINESS SERVICES........................... 14,031,025 3.17%
------------
CHEMICALS
13,400 Monsanto Company...................................... 435,500
63,877 TETRA Tech Inc........................................ 1,277,539
------------
TOTAL CHEMICALS................................... 1,713,039 0.39%
------------
</TABLE>
See notes to financial statements.
63
<PAGE>
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
SHARES VALUE NET ASSETS
- ----------- ------------ ----------
COMMERCIAL SERVICES
<C> <S> <C> <C>
14,500 Greenwich Air Services................................ $ 268,250
80,000 Protection One Inc. (c)............................... 1,310,000
------------
TOTAL COMMERICAL SERVICES......................... 1,578,250 0.36%
------------
COMPUTERS AND OFFICE EQUIPMENT
111,300 3 Com Corp............................................ 5,091,975
33,100 Acxiom Corp........................................... 1,129,538
52,800 American Business Information......................... 963,600
70,000 Amplicon Inc.......................................... 1,172,500
14,500 Cabletron Systems Inc................................. 995,063
68,000 Ciber Inc............................................. 1,496,000
133,600 Cisco Systems Inc..................................... 7,565,100
90,000 Converse Technology Inc. (a) (c)...................... 2,745,000
51,325 Concord EFS Inc....................................... 1,822,038
44,500 Electronics for Imaging............................... 3,087,188
24,600 Fair Issac & Company Inc.............................. 1,088,550
87,300 May & Speh Inc. (c)................................... 1,374,975
11,100 Medic Computer Systems Inc. (c)....................... 900,488
31,400 National Data Corp.................................... 1,075,450
35,500 Pomeroy Computer Resources (c)........................ 532,500
22,000 Renaissance Solutions Inc. (c)........................ 624,250
52,300 Stratacom Inc......................................... 2,941,875
23,000 Summit Care Corp. (c)................................. 506,000
67,700 US Office Products Company (a) (c).................... 2,843,400
12,200 Wind River Systems.................................... 420,900
32,600 Zebra Technologies Corp............................... 578,650
------------
TOTAL COMPUTERS AND OFFICE EQUIPMENT.............. 38,955,040 8.81%
------------
COMPUTER SOFTWARE AND SERVICES
20,600 Aspen Technologies, Inc. (c).......................... 1,133,000
49,600 Astea International Inc............................... 1,202,800
20,000 Computer Associates International, Inc................ 1,425,000
35,000 Computer Horizons Corp................................ 1,382,500
4,900 Cytyc Corporation (c)................................. 126,788
31,900 Dialogic Corp. (c).................................... 1,902,038
23,900 INSO Corp. (a)........................................ 1,251,763
42,100 Integrated Systems Inc................................ 1,686,631
45,500 JDA Software Group Inc. (c)........................... 938,438
44,500 Macromedia Inc........................................ 973,438
24,200 MDL Information Systems Inc. (c)...................... 719,950
38,800 Metromail Corp. (c)................................... 868,150
17,800 Netscape Communications Corp. (a)..................... 1,108,050
64,600 Newbridge Network Corp. (c)........................... 4,231,300
89,100 Parametric Technology Corp............................ 3,864,713
41,600 Peoplesoft............................................ 2,964,000
26,500 Project Software & Development........................ 1,242,188
</TABLE>
See notes to financial statements.
64
<PAGE>
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
SHARES VALUE NET ASSETS
- ----------- ------------ ----------
COMPUTER SOFTWARE AND SERVICES--(CONT'D)
<C> <S> <C> <C>
26,400 Pure Software Inc. (c)................................ $ 897,600
27,300 Rational Software Corp. (c)........................... 1,467,375
7,900 Sapient Corporation (c)............................... 333,775
58,800 Scopus Technology Inc. (c)............................ 911,400
64,400 Sterling Software (c)................................. 4,958,800
48,150 TCSI Corporation...................................... 1,161,619
28,300 Veritas Software Corp. (c)............................ 1,216,900
26,400 Visio Corp. (c)....................................... 950,400
------------
TOTAL COMPUTER SOFTWARE AND SERVICES.............. 38,918,616 8.80%
------------
CONSTRUCTION
123,300 Daniel Industries..................................... 1,787,850
18,300 Fibreboard Corp. (c).................................. 505,538
------------
TOTAL CONSTRUCTION................................ 2,293,388 0.52%
------------
CONSUMER GOODS AND SERVICES
35,600 CUC International Inc................................. 1,263,800
69,000 Parlux Fragrances Inc................................. 698,625
22,800 USA Detergents Inc.................................... 909,150
------------
TOTAL CONSUMER GOODS AND SERVICES................. 2,871,575 0.65%
------------
EDUCATION
48,000 Alrenco Inc. (c)...................................... 864,000
40,038 Apple South Inc....................................... 1,071,003
186,750 ITT Educational Services Inc.......................... 5,392,406
152,500 Kinder Care Learning Centers (c)...................... 2,344,688
31,500 Landauer Inc.......................................... 665,438
485,800 National Education Corp. (c).......................... 6,922,650
47,000 Sylvan Inc. (c)....................................... 628,625
------------
TOTAL EDUCATION................................... 17,888,810 4.05%
------------
ELECTRICAL EQUIPMENT
33,600 California Amplifier, Inc............................. 772,800
144,900 Cambridge Tech Partners Inc........................... 4,419,450
38,500 Etec Systems Inc. (c)................................. 856,625
------------
TOTAL ELECTRICAL EQUIPMENT........................ 6,048,875 1.37%
------------
ELECTRONICS
100,300 Alpha Industries Inc. (c)............................. 890,163
24,500 Analog Devices Inc.................................... 624,750
54,100 Charter Power Systems................................. 1,879,975
67,500 Electro Rent Corp..................................... 1,670,625
50,000 Gentex Corp........................................... 975,000
93,400 ILC Technology Inc. (c)............................... 1,085,775
86,900 Input/Output Inc...................................... 2,813,388
49,030 Richardson Electronics................................ 465,785
44,200 SDL Inc .............................................. 1,226,550
</TABLE>
See notes to financial statements.
65
<PAGE>
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
SHARES VALUE NET ASSETS
- ----------- ------------ ----------
ELECTRONICS--(CONT'D)
<C> <S> <C> <C>
279,300 Sensormatic Electronics Corp. (a)..................... $ 4,573,538
62,600 Sterling Electronics.................................. 845,100
29,800 Uniphase Corp......................................... 1,057,900
------------
TOTAL ELECTRONICS................................. 18,108,549 4.10%
------------
ENGINEERING
7,200 Fluke Corporation..................................... 290,700
106,500 URS Corp. (c)......................................... 838,688
------------
TOTAL ENGINEERING................................. 1,129,388 0.26%
------------
ENVIRONMENTAL MANAGEMENT
30,800 ABM Industries Inc.................................... 1,205,050
15,700 BHA Group, Inc........................................ 208,025
44,500 National Sanitary Supply.............................. 589,625
23,900 Roto Rooter Inc....................................... 824,550
21,500 Sanifill Inc. (c)..................................... 1,058,875
20,000 Superior Services Inc. (c)............................ 340,000
48,500 US Filter Corp. (a) (c)............................... 1,685,375
129,600 United Waste Systems Inc. (a)......................... 4,179,600
------------
TOTAL ENVIRONMENTAL MANAGEMENT.................... 10,091,100 2.28%
------------
FINANCE
63,500 AT&T Capital Corp..................................... 2,778,125
64,392 Allied Capital Lending Co............................. 845,145
109,600 Cash American Investments Inc......................... 712,400
101,400 Charter One Finance Inc............................... 3,536,325
50,700 Contifinancial Corporation (c)........................ 1,495,650
316,950 Home Financial Corp................................... 4,120,350
95,200 Phoenix Duff & Phelps Corp............................ 714,000
47,800 RFS Hotel Investors Inc............................... 740,900
77,000 The Money Store Inc................................... 1,703,625
------------
TOTAL FINANCE..................................... 16,646,520 3.77%
------------
FOOD AND BEVERAGE
24,000 Dairymart Coven Stores Class A (c).................... 141,000
15,200 Glacier Water Services Inc. (c)....................... 298,300
29,100 Landry's Seafood Restaurants (c)...................... 720,225
32,300 Midwest Grain Products Inc............................ 419,900
8,900 Pete's Brewing Company................................ 133,500
238,300 Ruby Tuesday Inc...................................... 5,391,538
------------
TOTAL FOOD AND BEVERAGE........................... 7,104,463 1.61%
------------
INSURANCE
101,200 American Travellers Corp.............................. 2,327,600
62,200 HCC Insurance Holding Inc............................. 1,399,500
40,500 Intercargo Inc........................................ 349,313
</TABLE>
See notes to financial statements.
66
<PAGE>
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
SHARES VALUE NET ASSETS
- ----------- ------------ ----------
INSURANCE--(CONT'D)
<C> <S> <C> <C>
38,600 National Western Life Insurance Class A (c)........... $ 2,576,550
47,600 Western National Corp................................. 874,650
208,800 Willis Corroon Group (ADR)............................ 2,479,500
------------
TOTAL INSURANCE................................... 10,007,113 2.26%
------------
INVESTMENTS
8,000,000 Janus Institutional Money Market Fund (d)............. 8,000,000 1.81%
------------
LEISURE AND RECREATION
37,900 Harrah's Entertainment Inc............................ 1,070,675
59,300 Harveys Casinos Resorts............................... 1,260,125
15,600 HFS Inc............................................... 1,092,000
20,000 International Game Technology......................... 337,500
15,000 Nimbus CD International Inc. (c)...................... 196,875
12,200 Sun International Hotels Ltd.......................... 591,700
19,100 West Marine Inc. (c).................................. 1,365,650
------------
TOTAL LEISURE AND RECREATION...................... 5,914,525 1.34%
------------
MANUFACTURING
16,600 Astec Industries (c).................................. 153,550
54,000 Chase Brass Industries Inc. (c)....................... 1,005,750
6,700 Delta & Pine Land Co.................................. 283,075
44,700 DT Industries Inc..................................... 815,775
139,800 Lydall Inc. (c)....................................... 3,075,600
39,800 NN Ball & Roller Inc.................................. 825,850
24,200 Scotsman Industries Inc............................... 487,025
20,550 Watsco Inc............................................ 431,550
------------
TOTAL MANUFACTURING............................... 7,078,175 1.60%
------------
MEDIA
21,400 Comcast UK Cable Partners (c)......................... 272,850
48,900 Granite Broadcasting Corp. (a) (c).................... 632,644
73,500 Houghton Mifflin Company.............................. 3,656,625
14,650 Jack Henry & Associates............................... 498,100
83,300 Jones Intercable Inc. Class A (c)..................... 1,114,138
103,000 Osborn Communications (c)............................. 1,133,000
281,300 Steck Vaughn Publishing Corp. (c)..................... 3,516,250
------------
TOTAL MEDIA....................................... 10,823,607 2.45%
------------
MEDICAL AND OTHER HEALTH SERVICES
72,400 Advocat Inc. (c)...................................... 687,800
40,000 Chemed Corp........................................... 1,495,000
26,500 Coherent Inc. (c)..................................... 1,378,000
21,500 Community Care Of America (c)......................... 258,000
28,300 Conmed Corporation.................................... 753,488
28,900 Genzyme Corp. (c)..................................... 1,452,225
28,000 Gulf South Medical Supply Inc. (c).................... 1,092,000
</TABLE>
See notes to financial statements.
67
<PAGE>
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
SHARES VALUE NET ASSETS
- ----------- ------------ ----------
MEDICAL AND OTHER HEALTH SERVICES--(CONT'D)
<C> <S> <C> <C>
16,700 HBO & Company......................................... $ 1,131,425
20,100 Healthsource Inc...................................... 351,750
23,600 Hologic Inc........................................... 1,044,300
50,800 Lifeline Systems Inc. (c)............................. 679,450
35,500 Living Centers of America (c)......................... 1,220,313
21,700 Lunar Corp............................................ 748,650
41,300 National Computer System Inc.......................... 882,788
8,900 Neuromedical Systems Inc. (a) (c)..................... 133,500
63,200 Omnicare Inc. (a)..................................... 1,674,800
46,100 Ornda Healthcorp (c).................................. 1,106,400
35,800 Orthodontic Centers Of Amererica...................... 948,700
265,000 Owens & Minor Holding Co.............................. 3,080,625
22,300 Oxford Health Plans (c)............................... 917,088
39,300 Oxford Resources Corp. Class A........................ 913,725
76,400 Physician Reliance (a)................................ 1,699,900
56,200 Physician Sales & Service............................. 1,362,850
37,900 Physicians Resource Group Inc. (c).................... 1,264,913
21,500 Quintiles Transnational Corp.......................... 1,413,625
34,600 Quorum Health Group Inc. (c).......................... 912,575
89,300 Renal Treatment Centers Inc........................... 2,567,375
54,600 Retirement Care Associates............................ 600,600
102,600 Unilab Corporation (c)................................ 160,313
194,400 Universal Health Services Class B (a)................. 5,078,700
------------
TOTAL MEDICAL AND OTHER HEALTH SERVICES........... 37,010,878 8.37%
------------
METALS AND MINING
24,500 Furon Company......................................... 606,375
85,000 Rogers Corp........................................... 2,114,375
------------
TOTAL METALS AND MINING........................... 2,720,750 0.62%
------------
OIL & GAS
87,900 Berry Petroleum Class A............................... 999,863
16,700 Chesapeake Energy Corp. (a)........................... 1,500,913
34,000 Pride Petroleum Services Inc. (c)..................... 484,500
88,900 Tosco Corp............................................ 4,467,225
46,400 World Fuel Services Corp.............................. 841,000
------------
TOTAL OIL & GAS................................... 8,293,501 1.88%
------------
PHARMACEUTICALS
28,900 Dura Pharmaceuticals, Inc. (c)........................ 1,618,400
52,200 Vitalink Pharmacy Services (c)........................ 1,213,650
------------
TOTAL PHARMACEUTICALS............................. 2,832,050 0.64%
------------
REAL ESTATE INVESTMENT TRUST
108,500 Allied Capital Commercial Corp........................ 2,142,875
78,500 Allied Capital Corp. (a).............................. 1,079,375
</TABLE>
See notes to financial statements.
68
<PAGE>
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
SHARES VALUE NET ASSETS
- ----------- ------------ ----------
REAL ESTATE INVESTMENT TRUST--(CONT'D)
<C> <S> <C> <C>
99,900 Equity Inns Inc....................................... $ 1,148,850
30,800 Health Care Property Invest Inc....................... 1,039,500
19,900 Remedy Corp........................................... 1,452,700
44,500 Roc Communities Inc................................... 1,062,438
30,000 Sun Communities Inc................................... 806,250
------------
TOTAL REAL ESTATE INVESTMENT TRUST................ 8,731,988 1.97%
------------
RETAIL
32,700 ACC Corp. (c)......................................... 1,590,038
80,300 American Safety Razor Company (c)..................... 813,038
61,000 Blyth Industries Inc.................................. 2,767,875
74,700 Catherines Stores Corp. (c)........................... 737,663
15,600 Chicago Minature Lamp Inc . (c)....................... 592,800
111,200 Consolidated Stores Corp. (c)......................... 4,086,600
75,100 Fred's Inc............................................ 826,100
8,600 Gadzooks Inc.......................................... 277,350
14,500 Gucci Group........................................... 935,250
40,400 Helen of Troy Ltd (c)................................. 1,151,400
175,000 MacFrugals Bargains Close-Outs (c).................... 3,106,250
155,200 Michael Anthony Jewellers Inc. (c).................... 514,100
11,100 Nautica Enterprises Inc............................... 319,125
29,200 Pentech International Inc. (c)........................ 51,100
52,100 Sunglass Hut Inc...................................... 1,269,938
11,700 The Men's Wearhouse Inc............................... 377,325
69,500 Tommy Hilfiger Corp. (c).............................. 3,726,938
52,600 Travel Ports of America (A)........................... 157,800
15,600 Wet Seal Inc. (c)..................................... 371,475
------------
TOTAL RETAIL...................................... 23,672,165 5.35%
------------
SECURITY SYSTEMS
753,692 Automated Security Holdings (ADR) (c)................. 847,904
64,600 Qualcomm Inc. (c)..................................... 3,431,875
------------
TOTAL SECURITY SYSTEMS............................ 4,279,779 0.96%
------------
TELECOMMUNCIATIONS
68,000 Aaron Rents Inc. Class B.............................. 858,500
6,900 Adtran Inc. (c)....................................... 489,038
44,600 Arch Communications Group Inc. (c).................... 830,675
84,600 Ascend Communications Inc............................. 4,758,750
35,600 Aspect Telecommunications Corp. (a)................... 1,762,200
6,275 Associated Group Inc. Class A (c)..................... 189,819
25,675 Associated Group Inc. Class B (c)..................... 767,041
55,550 Cable Design Technologies............................. 1,819,263
17,000 Cellular Communications of Puerto Rico (c)............ 552,500
84,575 Centennial Cellular Corp. Class A (c)................. 1,427,203
</TABLE>
See notes to financial statements.
69
<PAGE>
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
SHARES VALUE NET ASSETS
- ----------- ------------ ----------
TELECOMMUNCIATIONS--(CONT'D)
<C> <S> <C> <C>
14,100 CommNet Cellular Inc. (c)............................. $ 423,000
121,600 Communications Central Inc. (c)....................... 942,400
55,000 Davel Communications Group (c)........................ 1,086,250
21,600 DSP Communications, Inc............................... 1,109,700
17,000 E Z Communications Inc. (c)........................... 403,750
29,100 Emmis Broadcasting Corp. Class A (c).................. 1,455,000
95,700 Glenayre Technologies, Inc............................ 4,785,000
23,200 Globalstar Telecommunication (c)...................... 1,026,600
12,200 Intelcom Group Inc. (c)............................... 305,000
64,300 Inter Tel Inc. (c).................................... 1,683,856
11,100 ITT Corp. (c)......................................... 735,375
53,400 Loral Space & Communications (c)...................... 727,575
94,600 MFS Communications Company, Inc. (a).................. 3,559,305
23,700 Octel Communication................................... 468,075
35,400 P-Com Inc............................................. 1,115,100
26,700 Pairgain Technologies Inc............................. 1,655,400
56,400 Picturetel Corp....................................... 2,220,750
176,200 Pittston Services Group............................... 5,131,825
64,000 Premisys Communications Inc........................... 3,904,000
78,100 Pronet Inc. (c)....................................... 956,725
23,400 Tellabs Inc. (c)...................................... 1,564,875
25,900 Teltrend Inc. (c)..................................... 1,003,625
29,600 Vanguard Cellular Systems Inc. (c).................... 643,800
28,900 Westell Technologies Inc.............................. 1,134,325
------------
TOTAL TELECOMMUNICATIONS.......................... 51,496,300 11.64%
------------
TRANSPORTATION
104,200 Air Express International Corp. (a)................... 2,943,650
215,000 Airborne Freight Corp................................. 5,590,000
42,100 Atlas Air Inc. (c).................................... 2,420,750
105,700 Consolidated Freightways Inc.......................... 2,232,913
65,374 Fritz Companies Inc................................... 2,108,312
45,200 Global Directmail Corp. (c)........................... 1,785,400
194,700 Harper Group Inc...................................... 3,796,650
190,050 Pittston Burlington Group............................. 4,109,831
65,000 Sea Containers Ltd.................................... 1,235,000
------------
TOTAL TRANSPORTATION.............................. 26,222,506 5.92%
------------ ----------
VETERINARY SERVICES
33,400 Veterinary Centers of America (c)..................... 747,325 0.17%
------------ ----------
TOTAL COMMON STOCKS (COST $332,993,074)........... 407,125,014 92.08%
------------ ----------
PREFERRED STOCK
------------------------------------------------------
TELECOMMUNICATIONS
9,094 Cellular Communications Inc. (c)...................... $ 480,845 0.11%
------------ ----------
TOTAL PREFERRED STOCK (COST $425,145)................. 480,845 0.11%
------------ ----------
</TABLE>
See notes to financial statements.
70
<PAGE>
SPECIAL EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
PRINCIPAL VALUE NET ASSETS
- ----------- ------------ ----------
REPURCHASE AGREEMENT
<C> <S> <C> <C>
$46,174,825 Repurchase Agreement with Morgan Stanley, dated
06/28/96, 4.95%, proceeds at maturity $46,193,872,
due 07/01/96 (Collateralized by US Treasury Note,
8.00%, due 02/15/19 with a market value of
$7,336,807) (Cost $46,181,174)........................ $ 46,181,174 10.45%
------------ ----------
Total Investments (Cost $402,605,507) 476,793,147 107.84%
Liabilities in Excess of Assets (34,658,291) (7.84)%
------------ ----------
NET ASSETS............................................ $442,134,856 100.00%
------------ ----------
------------ ----------
The cost for Federal Income tax purposes at June 30, 1996 is $402,605,507.
The following amount is based on costs for Federal Income tax purposes:
Gross unrealized appreciation......................... $ 87,411,606
Gross unrealized depreciation......................... (13,223,966)
------------
Net unrealized appreciation........................... $ 74,187,640
------------
------------
</TABLE>
- ------------
(a) All or part of this security is on loan
(c) Non--income producing securities
(d) Collateral for securities on loan.
See notes to financial statements.
71
<PAGE>
AGGRESSIVE EQUITY
PORTFOLIO OF INVESTMENTS
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
SHARES VALUE NET ASSETS
- ---------- ----------- ----------
COMMON STOCK
COMMUNICATIONS EQUIPMENT
<C> <S> <C> <C>
7,500 Andrew Corp............................................. $ 403,125
10,000 Ascend Communications Inc. ............................. 562,500
5,000 Cascade Communications Corp. ........................... 340,000
10,000 Cisco Systems Inc. ..................................... 566,250
7,500 Glenayre Technologies Inc. ............................. 375,000
6,000 Pairgain Technologies Inc. ............................. 372,000
7,500 Stanford Telecommunications (c)......................... 421,875
10,000 Tellabs Inc. (c)........................................ 668,750
-----------
TOTAL COMMUNICATIONS EQUIPMENT.......................... 3,709,500 21.87%
-----------
COMPUTER AND OFFICE EQUIPMENT
3,000 Ceridian Corp. ......................................... 151,500
5,000 HNC Software Inc. ...................................... 231,250
6,000 Intel Corp. ............................................ 440,625
5,000 Microsoft Corp. ........................................ 600,625
10,000 P-Com Inc. ............................................. 315,000
7,500 Project Software and Development........................ 351,562
15,800 Radisys Corp. .......................................... 537,200
10,000 Software 2000 Inc. ..................................... 161,250
7,500 Sun Microsystems Inc. .................................. 441,563
-----------
TOTAL COMPUTER AND OFFICE EQUIPMENT..................... 3,230,575 19.04%
-----------
COMPUTER SOFTWARE AND SERVICES
10,000 Adaptec Inc. ........................................... 473,750
10,000 Compuware Corp. ........................................ 392,500
7,000 Electronics for Imaging................................. 485,625
7,500 McAfee Associates Inc. ................................. 367,500
10,000 Oracle Corp. ........................................... 394,375
7,000 Peoplesoft.............................................. 498,750
10,000 Rational Software Corp. ................................ 537,500
6,000 Reynolds & Reynolds Inc. ............................... 319,500
6,000 SunGard Data Systems.................................... 240,000
-----------
TOTAL COMPUTER SOFTWARE AND SERVICES.................... 3,709,500 21.87%
-----------
ELECTRICAL EQUIPMENT
20,000 Amati Communications Corp. ............................. 397,500
10,000 Fore Systems Inc. ...................................... 361,250
10,000 Newbridge Network Corp. ................................ 655,000
-----------
TOTAL ELECTRICAL EQUIPMENT.............................. 1,413,750 8.34%
-----------
ENVIRONMENTAL MANAGEMENT
10,000 United Waste Systems Inc. .............................. 322,500 1.90%
-----------
INDUSTRIAL AND COMMERCIAL MACHINE EQUIPMENT
15,000 Cognos Inc. ............................................ 345,000
6,000 Shiva Corp. ............................................ 480,000
-----------
TOTAL INDUSTRIAL AND COMMERCIAL MACHINE EQUIPMENT....... 825,000 4.86%
-----------
</TABLE>
72
<PAGE>
AGGRESSIVE EQUITY
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
SHARES VALUE NET ASSETS
- ---------- ----------- ----------
MEDICAL & OTHER HEALTH SERVICES
<C> <S> <C> <C>
5,000 Access Health Inc. ..................................... $ 236,250
10,000 Galileo Electro Optics Corp. ........................... 240,000
5,000 Guidant Corp. .......................................... 246,250
7,500 HBO & Company........................................... 508,125
7,500 Jones Medical Industries Inc. .......................... 249,375
10,000 Safeskin Corp. ......................................... 415,000
-----------
TOTAL MEDICAL & OTHER HEALTH SERVICES................... 1,895,000 11.17%
-----------
TELECOMMUNICATIONS
10,000 Aspect Telecommunication Corp. ......................... 495,000
15,000 DSP Communications Inc. ................................ 770,625
10,000 US Long Distance Corp. (c).............................. 355,000
-----------
TOTAL TELECOMMUNICATIONS................................ 1,620,625 9.55%
----------- ----------
TOTAL COMMON STOCK (COST $15,290,049)................... 16,726,450 98.60%
----------- ----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
- ----------
REPURCHASE AGREEMENT
<C> <S> <C> <C>
$5,242,436 Repurchase Agreement with Investors Bank & Trust, dated
06/28/96, 5.03%, proceeds at maturity $5,244,633, due
07/01/96 (Collateralized by Federal Home Loan Mortgage
Corp, 7.604%, due 11/01/22 with a market value of
$2,500,000, and Federal Home Loan Mortgage Corp,
7.877%, due 12/01/22 with a market value of
$3,200,000, for a total market value of $5,700,000)
(Cost $5,243,168)..................................... 5,243,168 30.91%
----------- ----------
Total Investments (Cost $20,533,217).................... 21,969,618 129.51%
Liabilities in excess of Assets......................... (5,005,604) (29.51)%
----------- ----------
NET ASSETS.............................................. $16,964,014 100.00%
----------- ----------
----------- ----------
The aggregate cost of securities for Federal Income tax purposes at June 30, 1996 is
$20,533,217.
The following amount is based on costs for Federal Income tax purposes:
Gross unrealized appreciation........................... $ 1,575,483
Gross unrealized depreciation........................... (139,082)
-----------
Net unrealized appreciation............................. $ 1,436,401
-----------
-----------
</TABLE>
- ------------
(c) Non-income producing security
73
<PAGE>
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENT
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
PRINCIPAL VALUE NET ASSETS
- ---------- ------------ ----------
CORPORATE BONDS AND NOTES
AEROSPACE
<C> <S> <C> <C>
$ 250,000 BE Aerospace, 9.75%, 03/01/03.......................... $ 255,000 2.35%
------------
BUILDING AND CONSTRUCTION
120,000 Toll Corp., 10.50%, 03/15/02........................... 124,200 1.15%
------------
CHEMICALS
140,000 General Chemical Inc., 9.25%, 08/15/03................. 138,250 1.28%
------------
CONTAINERS AND PACKAGES
200,000 Container Corporation of America, 11.25%, 05/01/04..... 206,000
100,000 Sea Containers, 9.50%, 07/01/03........................ 99,750
150,000 Stone Container Corp., 10.75%, 10/01/02................ 151,500
------------
TOTAL CONTAINERS AND PACKAGES...................... 457,250 4.22%
------------
FINANCE
250,000 Ferrellgas LP Financial Corp., 10.00%, 08/01/01........ 258,125
136,000 GI Holdings, 10/01/98 (f).............................. 109,480
130,000 GI Holdings, 10.00%, 02/15/06.......................... 126,750
400,000 Mesa Operating, 11.625%, 07/01/06...................... 236,000
100,000 Primark Corp., 8.75%, 10/15/00......................... 99,375
------------
TOTAL FINANCE...................................... 829,730 7.66%
------------
FOOD AND BEVERAGE
100,000 Cott Corp., 9.375%, 07/01/05........................... 95,625
150,000 Ralphs Grocery, 10.45%, 06/15/04....................... 143,625
120,000 Smith Food & Drug, 11.25%, 05/15/07.................... 121,500
------------
TOTAL FOOD AND BEVERAGE............................ 360,750 3.33%
------------
FREIGHT AND CARGO
100,000 Teekay Shipping, 8.32%, 02/01/08....................... 93,250 0.86%
------------
INDUSTRIAL
100,000 Calpine Corp., 9.25%, 02/01/04......................... 93,500
100,000 Carrols Corp., 11.50%, 08/15/03........................ 101,500
80,000 Foamex Limited Partnership, 11.25%, 10/01/02........... 82,400
180,000 Oregon Steel Mills, 11.00%, 06/15/03................... 184,725
140,000 Riverwood International, 10.25%, 04/01/06.............. 138,950
100,000 Samsonite Corp., 11.125%, 07/15/05..................... 103,000
100,000 Schuller International Group, 10.875%, 12/15/04........ 107,125
100,000 Scotsman Group, 9.50%, 12/15/00........................ 100,500
100,000 Westpoint Stevens, 9.375%, 12/15/05.................... 97,000
------------
TOTAL INDUSTRIAL................................... 1,008,700 9.31%
------------
LEISURE & RECREATION
200,000 Act III Theatres, 11.875%, 02/01/03.................... 216,000
100,000 AIM Management Group, 9.00%, 11/15/03.................. 99,500
150,000 Aztar Corp., 11.00%, 10/01/02.......................... 155,625
100,000 Host Marriott, 9.50%, 05/15/05......................... 95,625
110,000 Jitney-Jungle Stores, 12.00%, 03/01/06................. 112,200
150,000 Trump Atlantic City, 11.25%, 05/01/06.................. 150,750
------------
TOTAL LEISURE & RECREATION......................... 829,700 7.66%
------------
</TABLE>
See notes to financial statements.
74
<PAGE>
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENT--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
PRINCIPAL VALUE NET ASSETS
- ---------- ------------ ----------
MANUFACTURING
<C> <S> <C> <C>
$ 250,000 American Standard, 10.88%, 05/15/99.................... $ 263,750
225,000 Buckeye Cellulose Corp., 8.50%, 12/05/05............... 213,750
75,000 Idex Corp., 9.75%, 09/15/02............................ 76,875
250,000 Viking Star Ship, 9.625%, 07/15/03..................... 253,750
100,000 Westinghouse Air, 9.375%, 06/15/05..................... 102,000
------------
TOTAL MANUFACTURING................................ 910,125 8.40%
------------
MEDIA
100,000 ARA Group, 8.50%, 06/01/03............................. 99,250
100,000 Groupe Videotron, 10.625%, 02/15/05.................... 104,750
200,000 Infinity Broadcasting, 10.38%, 03/15/02................ 211,250
50,000 Jones Intercable, 9.63%, 03/15/02...................... 50,750
25,000 Rogers Cablesystems Ltd, 11.00%, 12/01/15.............. 25,688
125,000 Rogers Cablesystems Ltd, 9.625%, 08/01/02.............. 123,437
150,000 Tele-Communications Inc., 7.875%, 02/15/26............. 131,903
250,000 Viacom International, 8.00%, 07/07/06.................. 232,485
------------
TOTAL MEDIA........................................ 979,513 9.04%
------------
MEDICAL & OTHER HEALTH SERVICES
210,000 Owens & Minor, 10.875%, 06/01/06....................... 213,150
120,000 Quorum Health, 8.75%, 11/01/05......................... 117,000
------------
TOTAL MEDICAL & OTHER HEALTH SERVICES.............. 330,150 3.05%
------------
METALS AND MINING
250,000 Freeport McMoran Resources, 8.75%, 02/15/04............ 252,575
100,000 Renco Metals Inc., 12.00%, 07/15/00.................... 112,500
180,000 Renco Metals Inc., 11.50%, 07/01/03.................... 187,326
------------
TOTAL METALS AND MINING............................ 552,401 5.10%
------------
OIL AND GAS
175,000 Gulf Canada Resources Limited, 9.25%, 01/15/04......... 169,750
25,000 Louis Dreyfus Natural Gas, 9.25%, 06/15/04............. 25,438
80,000 Vintage Pettro, 9.00%, 12/15/05........................ 75,200
------------
TOTAL OIL AND GAS.................................. 270,388 2.49%
------------
PAPER & FOREST PRODUCTS
100,000 Crown Paper Company, 11.00%, 09/01/05.................. 95,000
125,000 REPAP New Brunswick, 9.875%, 07/15/00.................. 123,750
------------
TOTAL PAPER & FOREST PRODUCTS...................... 218,750 2.02%
------------
PHARMACEUTICAL
210,000 Ivac Corp., 9.25%, 03/15/02............................ 208,950 1.93%
------------
PUBLISHER
110,000 Hollinger International Publishing, 9.25%, 02/01/06.... 100,925 0.92%
------------
RETAIL
75,000 Finlay Fine Jewelry, 10.625%, 05/01/03................. 75,000 0.69%
------------
</TABLE>
See notes to financial statements.
75
<PAGE>
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENT--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
PRINCIPAL VALUE NET ASSETS
- ---------- ------------ ----------
TELECOMMUNICATIONS
<C> <S> <C> <C>
$ 200,000 Allbritton Communications, 11.50%, 08/15/04............ $ 203,500
200,000 Bell & Howell Company, 11.50%, 03/01/05................ 136,500
250,000 Century Communications, 9.75%, 02/15/02................ 248,750
200,000 Essex Group, 10.00%, 05/01/03.......................... 198,500
250,000 K-III Communications Corp., 10.625%, 05/01/02.......... 260,625
100,000 Lenfest Communications, 8.375%, 11/01/05............... 91,125
250,000 Metocall Inc., 10.38%, 10/01/07........................ 233,750
100,000 Paging Network, 10.125%, 08/01/07...................... 98,500
190,000 Rogers Cantel, 9.375%, 06/01/08........................ 183,825
360,000 Teleport Communications, 07/01/07...................... 212,850
------------
TOTAL TELECOMMUNICATIONS........................... 1,867,925 17.23%
------------
UTILITIES: ELECTRIC
200,000 California Energy Company Inc., 9.875%, 06/30/03....... 204,500
200,000 El Paso Electric Company, 8.90%, 02/01/06.............. 197,500
110,000 El Paso Electric Company, 9.40%, 05/01/11.............. 109,175
------------
TOTAL UTILITIES: ELECTRIC.......................... 511,175 4.71%
------------ ----------
TOTAL CORPORATE BONDS AND NOTES (COST
$10,288,502)........................................... 10,122,132 93.40%
------------ ----------
Total Investments (Cost $10,288,502)............... 10,122,132 93.40%
Assets in excess of Liabilities.................... 715,621 6.60%
------------ ----------
NET ASSETS......................................... $ 10,837,753 100.00%
------------ ----------
------------ ----------
The aggregate cost of securities for Federal Income tax purposes at June 30, 1996 is
$10,288,502.
The following amount is based on costs for Federal Income tax purposes:
Aggregate gross unrealized appreciation............ $ 37,198
Aggregate gross unrealized depreciation............ (203,568)
------------
Net unrealized depreciation........................ $ (166,370)
------------
------------
</TABLE>
- ------------
(f) Zero coupon
See notes to financial statements.
76
<PAGE>
INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF COUNTRY
PRINCIPLE VALUE NET ASSETS CODE
- --------- ------------ ---------- --------
<C> <S> <C> <C> <C>
CORPORATE BONDS AND NOTES
------------------------------------------------
NONCONVERTIBLE BONDS AND NOTES
BANK
$ 277,000 Bangkok Bank Public Co., 3.25%, 03/03/04........ $ 315,780 0.31% TH
------------
CONSTRUCTION
136,861 Sekisui House, Ltd., 2.50%, 01/31/02............ 185,025 0.18% JP
------------
FINANCE
310,400 British Air Capital, 9.75%, 06/15/05............ 756,700 0.73% UK
------------ ----------
TOTAL NONCONVERTIBLE BONDS AND NOTES........ 1,257,505 1.22%
------------ ----------
CONVERTIBLE BONDS AND NOTES
BANKS
390,000 Sumitomo Bank, 3.125% , 03/31/04................ 327,356 JP
54,745 Fujitsu 10, 2.00%, 03/31/04..................... 60,720 JP
390,000 Renong Berhad, 2.50% 01/15/05................... 439,725 MA
------------
TOTAL BANKS................................. 827,801 0.80%
------------
COMMUNICATIONS
2,000 Ericson LM, 4.25%, 06/30/00..................... 5,811 0.01% SW
------------
TIRE AND RUBBER
271,718 Michelin, 6.00%, 01/02/98....................... 305,937 0.29% FR
------------ ----------
TOTAL CONVERTIBLE BONDS..................... 1,139,549 1.10%
------------ ----------
TOTAL CORPORATE BONDS AND NOTES
(COST $2,229,228)......................... 2,397,054 2.32%
------------ ----------
<CAPTION>
SHARES
- ---------
<C> <S> <C> <C> <C>
COMMON STOCKS, WARRANTS, AND RIGHTS
------------------------------------------------
AEROSPACE
99,400 CAE Industries.................................. 827,361 0.80% GE
------------
AUTOMOBILES
23,400 Autoliv AB...................................... 712,877 NE
1,200 Daimler-Benz Ag................................. 643,699 GE
1,200 Daimler-Benz Ag--Rights, (expires, 7/9/96)...... -- GE
107,000 Kawasaki Steel.................................. 385,339 JP
5,900 Mannesmann AG................................... 2,031,089 GE
54,000 Mitsubishi Motor Corp........................... 472,640 JP
66,000 Suzuki Motor Corp............................... 866,507 JP
32,000 Toyota Motor Company............................ 799,405 JP
11,000 Valeo........................................... 588,665 FR
900 Volkswagen AG................................... 334,956 GE
30,000 Volvo Aktiebolag B.............................. 682,692 SW
------------
TOTAL AUTOMOBILES........................... 7,517,869 7.29%
------------
</TABLE>
See notes to financial statements.
77
<PAGE>
INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF COUNTRY
SHARES VALUE NET ASSETS CODE
- --------- ------------ ---------- --------
<C> <S> <C> <C> <C>
BANKS
15,000 ABN AMRO Holdings............................... $ 804,932 NE
2,000 Banco Popular Espanola.......................... 356,288 SP
19,000 Bangkok Bank Co., Ltd........................... 257,330 UK
70,000 Barclay's PLC................................... 838,313 UK
9,000 CS Holdings..................................... 855,676 SZ
1,210 Holderbank Financial Glaris Class B............. 966,731 SZ
69,000 National Westminster Bank....................... 660,427 SI
25,000 Overseas Chinese Banking Corp................... 292,253 SI
2,500 Overseas Chinese Banking Corp.--Rights,
(Expires: 7/9/96)............................. 1,150 SI
28,000 The Bank Of Tokyo--Mitsubishi................... 648,421 JP
196,000 Westpac Banking Corp............................ 868,496 AU
------------
TOTAL BANKS................................. 6,550,017 6.35%
------------
BUILDING MATERIALS
74,000 Italcenenti Frabbriche Riunit................... 593,754 0.58% GE
------------
CHEMICALS
32,000 AGA AB.......................................... 549,770 SW
1,900 Akzo Dutch...................................... 227,625 NE
99,000 Morgan Crucible Company PLC..................... 649,143 UK
20,000 Norsk Hydro..................................... 979,014 NO
------------
TOTAL CHEMICALS............................. 2,405,552 2.33%
------------
CONSTRUCTION
15,000 Rohm Company.................................... 990,140 JP
66,000 Sekisui House, Ltd.............................. 752,176 JP
4,000 Softbank Corp................................... 696,562 JP
------------
TOTAL CONSTRUCTION.......................... 2,438,878 2.36%
------------
CONSUMER GOODS AND SERVICES
89,000 Hutchison Whampoa............................... 559,944 HK
44,000 Nikon Corp...................................... 505,463 JP
56,000 Reckitt and Colman PLC.......................... 588,202 UK
9,000 Secom Company Ltd............................... 594,084 JP
9,700 Sony Corp....................................... 637,636 JP
25,346 Thorn EMI PLC................................... 706,522 UK
------------
TOTAL CONSUMER GOODS AND SERVICES........... 3,591,851 3.48%
------------
</TABLE>
See notes to financial statements.
78
<PAGE>
INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF COUNTRY
SHARES VALUE NET ASSETS CODE
- --------- ------------ ---------- --------
<C> <S> <C> <C> <C>
ELECTRONICS
750 BBC Brown Boveri & Cie.......................... $ 927,582 SZ
79,000 Bomardier Inc., Class B......................... 1,184,768 CA
24,000 Fuji Photo Film................................. 757,099 JP
75,000 Hitachi Ltd..................................... 697,470 JP
12,000 Kyocera Corp.................................... 847,909 JP
17,000 Murata Manufacturing Company, Ltd............... 643,226 JP
8,800 Philips Electronics N.V......................... 286,120 NE
24,600 Philips Electronics N.V. ADR.................... 802,575 NE
------------
TOTAL ELECTRONICS........................... 6,146,749 5.96%
------------
ENGINEERING
17,000 Chudenko Corp................................... 616,876 JP
27,000 Transocean Drilling (c)......................... 700,318 JP
------------
TOTAL ENGINEERING........................... 1,317,194 1.28%
------------
ENTERTAINMENT
162,000 Euro Disneyland SCA (c)......................... 445,257 FR
18,100 Nintendo Corp., Ltd............................. 1,346,589 JP
56,000 Thompson Corp................................... 887,064 UK
------------
TOTAL ENTERTAINMENT......................... 2,678,910 2.60%
------------
ENVIRONMENTAL MANAGEMENT
20,900 Kurita Water Industries......................... 508,773 0.49% JP
------------
FINANCIAL SERVICES
17,100 Grupo Televisa--GDS............................. 525,825 MX
3,000 Hong Kong Credit Berhad......................... 14,187 HK
42,600 HSBC Holdings PLC............................... 665,225 UK
24,000 Komori Corp..................................... 612,682 JP
20,953 Lend Lease Corp., Ltd........................... 321,576 AU
24,000 Nomura Securities Company, Ltd.................. 468,264 JP
12,400 Orix Corp....................................... 459,001 AU
53,000 Siebe PLC....................................... 753,512 UK
30,000 Swedish Match AB................................ 93,135 SW
76,000 Wako Securities Company, Ltd.................... 607,681 JP
------------
TOTAL FINANCIAL SERVICES.................... 4,521,088 4.38%
------------
FOOD AND BEVERAGES
98,000 Amatil Ltd., Coca Cola.......................... 1,089,858 AU
35,500 Cadbury Schweppes PLC........................... 280,486 UK
2,300 Heineken NV..................................... 513,903 NZ
24,000 Izumi........................................... 479,206 JP
116,000 Lion Nathan..................................... 302,772 NZ
1,200 Nestle.......................................... 1,370,041 SZ
1,200 Nestle (Malaysia) Berhad........................ 9,666 MA
21,000 Seagram and Sons Company, Ltd................... 706,125 CA
------------
TOTAL FOOD AND BEVERAGES.................... 4,752,057 4.61%
------------
</TABLE>
See notes to financial statements.
79
<PAGE>
INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF COUNTRY
SHARES VALUE NET ASSETS CODE
- --------- ------------ ---------- --------
<C> <S> <C> <C> <C>
INSURANCE
101,100 Alleanza Assicuraz.............................. $ 654,895 IT
395 Baloise Holdings................................ 858,393 SZ
267,825 GIO Australian Holdings, Ltd.................... 659,760 AU
12,000 Mapfre Vida Seguros............................. 673,889 SP
62,000 Mitsui Marine & Fire Insurance.................. 492,348 JP
327 Muenchener Rueckversicherungs................... 668,119 GE
20 Muenchener Rueckversicherungs Warrant, (Expires:
03/13/98)....................................... 2,483 GE
95,000 Yasuda Fire and Marine Insurance................ 709,365 JP
------------
TOTAL INSURANCE............................. 4,719,252 4.58%
------------
INVESTMENT HOLDING COMPANIES
477,000 Brierley Investments, Ltd....................... 450,908 NZ
337,000 Sime Darby Berhad............................... 931,872 MA
------------
TOTAL INVESTMENT HOLDING COMPANIES.......... 1,382,780 1.34%
------------
MACHINERY PRODUCTION
19,800 ASM Lithography Holding NV (c).................. 811,800 NE
15,000 Atlas Copco AB--Class A......................... 279,180 SW
151,000 Mitsubishi Heavy................................ 1,311,994 JP
100 Sidel........................................... 25,427 FR
------------
TOTAL MACHINERY PRODUCTION.................. 2,428,401 2.35%
------------
MEDIA
95,000 British Sky Broadcasting PLC.................... 649,487 JP
2,000 Canal Plus...................................... 489,113 FR
135,000 Television Broadcasts, Ltd...................... 506,642 HK
35,000 Tokyo Broadcasting.............................. 619,063 JP
------------
TOTAL MEDIA................................. 2,264,305 2.20%
------------
METALS AND MINING
17,000 Alcan Aluminum, Ltd............................. 518,500 CA
26,000 Inco, Ltd....................................... 838,500 CA
21,500 Pechiney SA..................................... 868,254 FR
216,000 Placer Pacific, Ltd............................. 314,496 AU
90,000 Western Mining Corp. Holding, Ltd............... 644,589 AU
------------
TOTAL METALS AND MINING..................... 3,184,339 3.09%
------------
OIL AND GAS
98,000 British Gas Corp................................ 274,086 UK
15,600 Societe National Elf-Aquitaine.................. 1,147,252 FR
15,000 YPF Sociedad Anonima--ADR....................... 337,500 AR
------------
TOTAL OIL AND GAS........................... 1,758,838 1.71%
------------
</TABLE>
See notes to financial statements.
80
<PAGE>
INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF COUNTRY
SHARES VALUE NET ASSETS CODE
- --------- ------------ ---------- --------
<C> <S> <C> <C> <C>
PHARMACEUTICALS
49,000 Astra AB........................................ $ 2,163,673 SW
52,000 Banyu Pharmaceutical Co......................... 734,854 JP
20,000 Hoechst Ag...................................... 675,364 GE
3,600 Hoechst Warrant, (Expires: 3/19/99)............. 101,588 GE
74,000 Sankyo Company, Ltd............................. 1,916,089 JP
6,900 Synthelabo...................................... 583,031 FR
200,000 Technology Resources Industry (c)............... 697,320 MA
24,800 Zeneca Group PLC................................ 548,727 UK
------------
TOTAL PHARMACEUTICALS....................... 7,420,646 7.19%
------------
PUBLISHING
93,207 News Corporation, Ltd........................... 528,911 AU
30,000 News Corporation, Ltd.--ADR..................... 705,000 AU
29,000 Singapore Press Holdings, Ltd................... 569,134 SI
------------
TOTAL PUBLISHING............................ 1,803,045 1.75%
------------
REAL ESTATE
62,000 City Developments............................... 483,191 SI
77,000 Mitsui Fudosan.................................. 1,039,007 JP
------------
TOTAL REAL ESTATE........................... 1,522,198 1.48%
------------
RETAIL
13,000 Electrolux...................................... 653,381 SW
12,700 Hennes and Mauritz.............................. 1,177,082 SW
------------
TOTAL RETAIL................................ 1,830,463 1.77%
------------
SEMICONDUCTOR
18,200 Advantest Corp.................................. 721,816 0.70% JP
------------
TELECOMMUNICATIONS
86,000 Cable and Wireless.............................. 569,243 UK
84 DDI Corp........................................ 732,156 JP
32,000 Ericsson AB..................................... 689,626 SW
400,000 Hong Kong Telecommunications.................... 718,280 HK
800 Hong Kong Telecommunications--ADR............... 14,400 HK
79 Nippon Telegraph and Telephone Corp............. 584,857 JP
8,300 Nokia AB--Class K............................... 303,172 FI
10,800 Nokia AB--Class A............................... 397,511 FI
53,000 Rogers Communications--Class B (c).............. 497,507 FI
709,000 Telecom Italia Mobile........................... 1,363,710 IT
18,500 Telecomunicacoes Brasileiras--ADR............... 1,322,933 BR
44,000 Telefonica De Espana............................ 809,912 SP
25,600 Telefonos De Mexico ADR......................... 857,600 MX
18,000 Vodafone Group PLC ADR.......................... 663,750 UK
------------
TOTAL TELECOMMUNICATIONS.................... 9,524,657 9.23%
------------
TEXTILES
28,000 Wacoal Corp..................................... 380,372 0.36% JP
------------
</TABLE>
See notes to financial statements.
81
<PAGE>
INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF COUNTRY
SHARES VALUE NET ASSETS CODE
- --------- ------------ ---------- --------
<C> <S> <C> <C> <C>
TIRE AND RUBBER
81,000 Bridgestone Corp................................ $ 1,543,463 JP
6,000 Michelin--Class B............................... 293,235 FR
------------
TOTAL TIRE AND RUBBER....................... 1,836,698 1.78%
------------
TOBACCO
58,000 B.A.T. Industries............................... 451,500 0.44% UK
------------
TRANSPORTATION: AIR
17,000 British Airways PLC............................. 146,336 UK
109,000 Citic Pacific, Ltd.............................. 440,752 SI
1,100 Swissair (c).................................... 1,064,283 SZ
------------
TOTAL TRANSPORTATION: AIR................... 1,651,371 1.60%
------------
TRANSPORTATION: FREIGHT
122,000 Kawasaki Kisen (c).............................. 411,555 0.40% JP
------------
UTILITIES: ELECTRIC
10,400 Asea............................................ 1,101,835 SW
401,600 Consolidated Electric Power Asia................ 664,086 HK
228,000 Hong Kong Electric.............................. 695,126 HK
------------
TOTAL UTILITIES: ELECTRIC................... 2,461,047 2.39%
------------
UTILITIES: TELEPHONE
15,000 Northern Telecom, Ltd........................... 815,625 AU
22,300 Portugal Telecom S.A. ADR....................... 585,375 PT
34,600 Tele Danmark--ADR............................... 877,975 DE
300 Tele Danmark--Class B........................... 15,018 DE
------------
TOTAL UTILITIES: TELEPHONE.................. 2,293,993 2.23%
------------ ----------
TOTAL COMMON STOCKS, WARRANTS, AND RIGHTS
(COST $85,918,854)........................ 91,897,329 89.10%
------------ ----------
PREFERRED STOCK
------------------------------------------------
PHARMACEUTICALS
200 Wella AG........................................ 116,875 0.11% GE
------------
</TABLE>
See notes to financial statements.
82
<PAGE>
INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS--(CONT'D)
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF COUNTRY
SHARES VALUE NET ASSETS CODE
- --------- ------------ ---------- --------
<C> <S> <C> <C> <C>
COMPUTER SOFTWARE AND SERVICES
4,900 SAP AG Vorzug................................... $ 728,171 GE
244,000 TNT Ltd......................................... 328,375 NZ
------------
TOTAL COMPUTER SOFTWARE AND SERVICES........ 1,056,546 1.03%
------------ ----------
TOTAL PREFERRED STOCK (COST $1,321,515)..... 1,173,421 1.14%
------------ ----------
Total Investments (Cost $89,469,597)........ 95,467,804 92.56%
Assets in Excess of Liabilities............. 7,672,626 7.44%
------------ ----------
NET ASSETS.................................. $103,140,430 100.00%
------------ ----------
------------ ----------
The aggregate cost of securities for Federal Income tax purposes at June 30, 1996
is $89,469,597.
The following amount is based on costs for Federal Income tax purposes:
Gross unrealized appreciation................... $ 8,515,396
Gross unrealized depreciation................... (2,517,189)
------------
Net unrealized appreciation..................... $ 5,998,207
------------
------------
</TABLE>
- ------------
(c) Non-income producing security.
See notes to financial statements.
83
<PAGE>
COUNTRY COMPOSITION
<TABLE>
<S> <C>
Argentina (AR)........................................................... 0.33%
Australia (AU)........................................................... 6.21%
Brazil (BR).............................................................. 1.28%
Canada (CA).............................................................. 3.15%
Denmark (DE)............................................................. 0.87%
Finland (FI)............................................................. 1.16%
France (FR).............................................................. 4.60%
Germany (GE)............................................................. 6.51%
Hong Kong (HK)........................................................... 3.08%
Italy (IT)............................................................... 1.96%
Japan (JP)............................................................... 27.20%
Malasia (MA)............................................................. 2.02%
Mexico (MX).............................................................. 1.34%
Netherlands (NE)......................................................... 3.53%
Norway (NO).............................................................. 0.95%
New Zealand (NZ)......................................................... 1.55%
Portugal (PT)............................................................ 0.57%
Singapore (SI)........................................................... 2.37%
Spain (SP)............................................................... 1.78%
Sweden (SW).............................................................. 7.17%
Switzerland (SZ)......................................................... 5.86%
Thailand (TH)............................................................ 0.31%
United Kingdom (UK)...................................................... 8.76%
United States (US)....................................................... 7.44%
--------
Total:............................................................. 100.00%
--------
--------
</TABLE>
84
<PAGE>
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS
1. ORGANIZATION AND BUSINESS
Diversified Investors Portfolios (the "Series Portfolio"), a series trust
organized on September 1, 1993 under the laws of the State of New York, is
composed of thirteen different series that are, in effect, separate investment
funds: the Money Market Series, the High Quality Bond Series, the Intermediate
Government Bond Series, the Government/Corporate Bond Series, the Balanced
Series, the Equity Income Series,the Equity Value Series, the Growth & Income
Series, the Equity Growth Series, the Special Equity Series, the Aggressive
Equity Series, the High-Yield Bond Series, and the International Equity Series
(each a "Series"). The Declaration of Trust permits the Board of Trustees to
issue an unlimited number of beneficial interests in each Series. Investors in a
Series (e.g., investment companies, insurance company separate accounts and
common and commingled trust funds) will each be liable for all obligations of
that Series (and of no other Series). On January 3, 1994 (commencement of
operations for each series except the Equity Value Series, Aggressive Equity
Series, High-Yield Bond Series and the International Equity Series), MONY Pooled
Separate Accounts transferred all of their investable assets at a market value
of $1,183,075,019 to those Series with corresponding investment objectives in
exchange for interests in those Series. The High-Yield Bond Series and
International Equity Series commenced operations on August 22, 1995 and
September 29, 1995, respectively. The Equity Value Series and Aggressive Value
Series commenced operations on April 19, 1996.
The International Equity Series was established by a redemption of assets
in-kind, valued at $77,137,079 from the Non-U.S. Equity Fund for Participant
Directed Plans within the Capital Guardian Collective Trust for Employee Benefit
Plans, a bank collective trust fund established and maintained by Capital
Guardian Trust Company, which were immediately invested at market value into the
Portfolio. The transaction resulted in a non-taxable event.
2. SIGNIFICANT ACCOUNTING POLICIES
A. SECURITY VALUATION:
Short-term securities having remaining maturities of 60 days or less are
valued at amortized cost or original cost plus accrued interest receivable, both
of which approximate market. The amortized cost of a security is determined by
valuing it at original cost and thereafter amortizing any discount or premium at
a constant rate until maturity. Securities traded on national securities
exchanges are valued at the last sales price as of the close of business on each
day or at the closing bid price for over-the-counter securities. Equity
securities are valued at the last sale price on the exchange on which they are
primarily traded or at the ask price on the NASDAQ system for unlisted national
market issues, or at the last quoted bid price for securities not reported on
the NASDAQ system. Bonds are valued at the last available price provided by an
independent pricing service for securities traded on a national securities
exchange. Bonds that are listed on a national securities exchange but are not
traded and bonds that are regularly traded in the over-the-counter market are
valued at the mean of the last available bid and asked prices by an independent
pricing service. All other securities will be valued at their fair value as
determined by the Board of Trustees.
B. REPURCHASE AGREEMENTS:
Each Series, along with other affiliated entities of the investment advisor,
may enter into repurchase agreements with financial institutions deemed to be
creditworthy by the Series investment advisor, subject to the seller's agreement
to repurchase and the Series agreement to resell such securities at a mutually
agreed upon price. Securities purchased subject to repurchase agreements are
deposited with a third party custodian, and pursuant to the terms of the
repurchase agreement must have an aggregate market value greater than or equal
to 102% and 105% of domestic and international securities, respectively, of the
repurchase price plus accrued interest at all times. If the value of the
85
<PAGE>
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS--(CONT'D)
underlying securities falls below the value of the repurchase price plus accrued
interest, the Series will require the seller to deposit additional collateral by
the next business day. If the request for additional collateral is not met or
the seller defaults on its repurchase obligation, the Series maintains the right
to sell the underlying securities at market value and may claim any resulting
loss against the seller. However, in the event of default or bankruptcy by the
seller, realization and/or retention of the collateral may be subject to legal
proceedings.
C. FOREIGN CURRENCY TRANSLATION:
The accounting records of the International Equity Series are maintained in
U.S. dollars. The market values of foreign securities, currency holdings and
other assets and liabilities are translated to U.S. dollars based on the
prevailing exchange rates each business day. Income and expenses denominated in
foreign currencies are translated at prevailing exchange rates when accrued or
incurred. The Series does not isolate realized gains and losses attributable to
changes in exchange rates from gains and losses that arise from changes in the
market value of investments. Such fluctuations are included with net realized
and unrealized gains or losses on investments. Net realized gains and losses on
foreign currency transactions represent net exchange gains and losses on
disposition of foreign currencies, the difference between the amount of
investment income receivable and foreign withholding taxes receivable recorded
on the Series' books and the U.S. dollar equivalent amounts actually received or
paid. Net unrealized foreign exchange gains and losses arise from changes in the
value of assets and liabilities other than investments in securities at fiscal
year end, resulting from changes in the exchange rate.
D. FORWARD CURRENCY CONTRACTS:
The International Equity Series may enter into forward currency contracts
and forward cross currency contracts in connection with settling planned
purchases or sales of securities or to hedge the currency exposure associated
with some or all of the Series' portfolio securities. A forward currency
contract is an agreement between two parties to buy and sell a currency at a set
price on a future date. The market value of a forward currency contract
fluctuates with changes in forward currency exchange rates. Forward currency
contracts are marked to market daily and the change in value is recorded by the
Series as an unrealized gain or loss. When a forward currency contract is
extinguished, through delivery or offset by entering into another forward
currency contract, the Series 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 of the contract at the time it was extinguished or offset. These contracts
may involve market risk in excess of the unrealized gain or loss reflected in
the Series' Statement of Assets and Liabilities and the Statement of Operations.
In addition, the Series could be exposed to risk if the counterparties are
unable to meet the terms of the contracts or if the value of the currency
changes unfavorably to the U.S. dollar.
E. FEDERAL INCOME TAXES:
It is the Series policy to comply with the applicable provisions of the
Internal Revenue Code. Therefore, no federal income tax provision is required.
F. SECURITY TRANSACTIONS AND INVESTMENT INCOME:
Security transactions are accounted for on a trade date basis (the day after
the date the order to buy or sell is executed). Dividend income is recorded on
the ex-dividend date. Interest income is recorded on the accrual basis and
includes amortization of premium and discount on investments. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
86
<PAGE>
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS--(CONT'D)
All of the net investment income and realized and unrealized gains and
losses from security transactions are determined on each valuation day and
allocated pro rata among the investors in a Series at the time of such
determination.
G. OPERATING EXPENSES:
The Series Portfolio accounts separately for the assets, liabilities and
operations of each Series. Expenses directly attributable to a Series are
charged to that Series, while expenses attributable to all Series are allocated
among them.
H. OTHER:
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of liabilities at the date of the
financial statements and the reported amounts of expenses during the reporting
period. Actual results could differ from those estimates.
3. FEES AND TRANSACTIONS WITH AFFILIATES
AUSA Life Insurance Company, Inc. ("AUSA") is the parent company of
Diversified Investment Advisors, Inc. (the "Advisor"). AUSA has sub-accounts
which invest in the corresponding Portfolios as follows:
<TABLE>
<CAPTION>
AUSA SUBACCOUNT PERCENTAGE INVESTMENT IN PORTFOLIO
- ----------------------------------------------- ----------------------------------
<S> <C>
Money Market Series............................ 40.84%
High Quality Bond Series....................... 46.84%
Intermediate Government Bond Series............ 58.13%
Government/Corporate Bond Series............... 27.38%
Balanced Series................................ 89.77%
Equity Income Series........................... 69.82%
Equity Value Series............................ 48.45%
Growth & Income Series......................... 71.14%
Equity Growth Series........................... 89.36%
Special Equity Series.......................... 53.73%
Aggressive Equity Series....................... 47.09%
High Yield Bond Series......................... 44.55%
International Equity Series.................... 29.39%
</TABLE>
The Advisor manages the assets of each Series of the Series Portfolio
pursuant to an Investment Advisory Agreement (the "Advisory Agreement") with the
Series Portfolio with respect to each Series. Subject to such further policies
as the Board of Trustees may determine, the Advisor provides general investment
advice to each Series. For its services under the Advisory Agreement, the
Adviser receives from each Series fees accrued daily and paid monthly at an
annual rate equal to the percentages specified in the table below of the
corresponding Series' average daily net assets. The Advisor is currently waiving
a portion of its investment advisory fee.
For each Series, the Advisor has entered into an Investment Subadvisory
Agreement (each a "Subadvisory Agreement") with the subadvisors listed in the
table below (each a "Subadvisor", collectively the "Subadvisors"). It is the
responsibility of a Subadvisor to make the day-to-day investment decisions of
the Series and to place the purchase and sales orders for securities
transactions of such series, subject in all cases to the general supervision of
the Advisor. For its services under each
87
<PAGE>
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS--(CONT'D)
Subadvisory Agreement, the Subadvisors receive a fee from the Advisor at an
annual rate equal to the percentages specified in the table below of the
corresponding Series' average daily net assets.
<TABLE>
<CAPTION>
DIVERSIFIED ADVISOR SUBADVISORS
PORTFOLIO SERIES PORTFOLIO SUBADVISORS FEE(1) FEE
- -------------------------------------- ------------------------------ ---------- -----------
<S> <C> <C> <C>
Money Market Series................... Capital Management Group 0.25% 0.05%
High Quality Bond Series.............. Merganser Capital
Management Corporation 0.35 (2)
Intermediate Government Bond Series... Capital Management Group 0.35 0.15
Government/Corporate Bond Series...... Capital Management Group 0.35 0.15
Balanced Series....................... Institutional Capital
Corporation 0.45 (3)
Equity Income Series.................. Asset Management Group 0.45 0.25
Equity Value Series................... Ark Asset Managment Co., Inc. 0.57 (4)
Growth & Income Series................ Putnam Advisory Company, Inc. 0.60 (5)
Equity Growth Series.................. Jundt Associates, Inc. 0.70 0.63
Special Equity Series................. (6) 0.80 0.50
Aggressive Equity Series.............. McKinley Capital Management 0.97 (7)
High-Yield Bond Series................ Delaware Investment Advisers 0.55 (8)
International Equity Series........... Capital Guardian Trust Company 0.75 (9)
</TABLE>
- ------------
(1) The Advisor is currently waiving a portion of its fee.
(2) 0.50 on the first $10,000,000 in net assets, 0.375% on the next $15,000,000
in net assets, 0.25 on the next $75,000,000 in net assets and 0.1875% on all
net assets in excess of $100,000,000.
(3) 0.55% on the first $25,000,000 in net assets, 0.45% on the next $25,000,000
in net assets, and 0.35% on all net assets in excess of $50,000,000.
(4) 0.45% on the first $100,000,000 in assets, 0.40% on the next $50,000,000 in
assets and 0.35% on the nest $50,000,000 in assets; when the Portfolio
achieves $200,000,000 in assets, the rate shall be 0.40% on assets up to
$200,000,000 and 0.35% on assets in excess of $200,000,000 so long as the
Portfolio continues to have more than $200,000,000 in assets
(5) 0.30% on the first $100,000,000 in net assets, 0.20% on net assets in excess
of $100,000,000.
(6) The Special Equity Series has four Subadvisors: Pilgrim Baxter & Associates,
Ltd., Ark Asset Management Co., Inc.; Liberty Investment Management, Inc.;
and Westport Asset Management, Inc.
(7) 0.90% on the first $10,000,000 in assets, 0.80% on the next $15,000,000 in
assets, 0.60% on the next $25,000,000 in assets, 0.40% on the next
$50,000,000 in assets and 0.35% on assets in excess of $100,000,000.
(8) 0.40% on the first $20,000,000 in net assets, 0.30% on the next $20,000,000
in net assets, and 0.20% on all net assets in excess of $40,000,000.
(9) 0.75% on the first $25,000,000 in net assets, 0.60% on the next $25,000,000
to $50,000,000 in net assets, 0.425% on the next $50,000,000 to $250,000,000
in net assets and 0.375% on all net assets in excess of $250,000,000.
88
<PAGE>
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS--(CONT'D)
For the period ended June 30, 1996, the Advisor has voluntarily undertaken
to waive fees in accordance with the expense caps as follows:
<TABLE>
<CAPTION>
FUND EXPENSE CAP
- ------------------------------------------------------ --------------------
<S> <C>
Money Market Series................................... 30 basis points (bp)
High Quality Bond Series.............................. 40 bp
Intermediate Government Bond Series................... 40 bp
Government/Corporate Bond Series...................... 40 bp
Balanced Series....................................... 50 bp
Equity Income Series.................................. 50 bp
Equity Value Series................................... 60 bp
Growth & Income Series................................ 65 bp
Equity Growth Series.................................. 75 bp
Special Equity Series................................. 85 bp
Aggressive Equity Series.............................. 100 bp
High-Yield Bond Series................................ 60 bp
International Equity Series........................... 80 bp
</TABLE>
Certain trustees and officers of the Series Portfolio are also directors,
officers or employees of the Advisor or its affiliates. None of the trustees so
affiliated receive compensation for services as trustees of the Series
Portfolio. Similarly, none of the Series Portfolio officers receive compensation
from the Series Portfolio.
4. FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
RATIO OF NET
INVESTMENT
INCOME, NET
OF WAIVERS
RATIO OF EXPENSES, NET RATIO OF NET INVESTMENT TO PORTFOLIO
RATIO OF GROSS EXPENSES OF WAIVERS TO AVERAGE INCOME TO PORTFOLIO AVERAGE
TO AVERAGE NET ASSETS NET ASSETS AVERAGE NET ASSETS NET ASSETS
--------------------------- --------------------------- --------------------------- -------------
FOR THE
FOR THE YEAR ENDED FOR THE
FOR THE YEAR ENDED FOR THE FOR THE YEAR ENDED FOR THE
PERIOD ENDED ----------- PERIOD ENDED ----------- PERIOD ENDED ----------- PERIOD ENDED
JUNE 30, 1996 1995 1994 JUNE 30, 1996 1995 1994 JUNE 30, 1996 1995 1994 JUNE 30, 1996
------------- ---- ---- ------------- ---- ---- ------------- ---- ---- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Money Market Series....... .31% .31% .32% .30% .30 % .30 % 5.26% 5.70% 4.05% 5.24%
High Quality Bond
Series..................... .41 .41 .41 .39 .40 .40 6.11 5.83 5.77 6.09
Intermediate Government
Bond Series................ .44 .45 .45 .40 .40 .40 5.65 5.57 5.71 5.62
Government/Corporate Bond
Series..................... .40 .39 .40 .38 .39 .40 6.25 5.90 5.71 6.24
Balanced Series........... .51 .54 .53 .50 .50 .50 3.61 4.19 3.57 3.60
Equity Income Series...... .49 .49 .49 .48 .49 -- 3.12 3.37 3.43 3.11
Equity Value Series *..... 1.00 -- .67 .48 -- .65 1.54 -- 1.35 1.02
Growth & Income Series.... .68 .68 .76 .65 .65 .75 1.19 1.49 .08 1.16
Equity Growth Series...... .75 .75 .88 .74 .75 .85 (.36) .41 .27 (.36)
Special Equity Series..... .86 .88 -- .84 .85 -- .21 .33 -- .19
Aggressive Equity Series
*.......................... 1.41 -- -- .80 -- -- (.73) -- -- (1.34)
High-Yield Bond Series.... 1.31 1.32 -- .61 .60 -- 8.16 8.45 -- 7.46
International Equity
Series..................... 1.01 .83 -- .88 .80 -- 1.58 .53 -- 1.45
<CAPTION>
PORTFOLIO TURNOVER
---------------------------
FOR THE FOR THE
YEAR ENDED FOR THE YEAR ENDED
----------- PERIOD ENDED -----------
1995 1994 JUNE 30, 1996 1995 1994
---- ---- ------------- ---- ----
<S> <C> <C> <C> <C> <C>
Money Market Series....... 5.69% 4.07% -- -- --
High Quality Bond
Series..................... 5.82 5.79 129% 25 % 37 %
Intermediate Government
Bond Series................ 5.52 5.76 98 59 21
Government/Corporate Bond
Series..................... 5.90 5.72 95 122 122
Balanced Series........... 4.15 3.61 53 124 118
Equity Income Series...... 3.37 3.43 71 23 30
Equity Value Series *..... -- 1.37 13 -- 21
Growth & Income Series.... 1.47 .11 63 155 75
Equity Growth Series...... .41 .30 29 62 90
Special Equity Series..... .30 -- 60 155 --
Aggressive Equity Series
*.......................... -- -- 28 -- --
High-Yield Bond Series.... 7.73 -- 70 21 --
International Equity
Series..................... .50 -- 14 7 --
</TABLE>
- ------------
* Annualized (except "Portfolio Turnover")
5. SECURITIES LENDING
The Series may lend its securities to certain firms of the New York Stock
Exchange. The loans are collateralized at all times with cash or securities with
a market value at least equal to the market value of the securities on loan. Any
deficiencies or excess of collateral must be delivered or transferred by the
member firms no later than the close of business on the next business day. As
with other extensions of credit, the Series 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 Series receives compensation, net of related
expenses, for
89
<PAGE>
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS--(CONT'D)
lending its securities which is included in interest income on the Statement of
Operations. At June 30, 1996, the Series loaned securities having market values
as follows:
<TABLE>
<CAPTION>
MARKET VALUE COLLATERAL
------------ -----------
<S> <C> <C>
High Quality Series............................. $ 9,392,883 $ 9,514,650
Intermediate Government Bond Series............. 34,954,923 35,893,750
Government/Corporate Bond Series................ 50,975,425 52,256,250
Balanced Series................................. 64,654,409 85,726,849
Equity Income Series............................ 8,654,350 8,944,200
Growth & Income Series.......................... 3,674,600 3,597,800
Equity Growth Series............................ 32,311,381 31,838,735
Special Equity Series........................... 31,806,900 31,000,946
</TABLE>
6. PURCHASE AND SALES OF INVESTMENTS
The aggregate cost of investments purchased and proceeds from sales or
maturities for the period ended June 30, 1996, except for the Equity Value
Series and the Aggressive Equity Series, which commenced operations on April 19,
1996 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
------------ ------------
<S> <C> <C> <C>
High Quality Bond Series.............. Government Obligations $ 75,009,856 $ 36,203,226
.............................. Other 167,430,246 177,127,989
Intermediate Government Bond Series... Government Obligations 164,919,383 91,635,796
Government/Corporate Bond Series...... Government Obligations 217,185,029 395,170,974
.............................. Other 127,255,378 109,963,248
Balanced Series....................... Government Obligations 60,066,148 15,819,922
.............................. Other 101,196,996 89,984,709
Equity Income Series.................. Other 614,974,715 580,549,234
Equity Value Series................... Other 18,132,688 2,239,292
Growth & Income Series................ Other 156,471,246 98,290,687
Equity Growth Series.................. Other 79,295,888 67,401,753
Special Equity Series................. Other 298,875,020 222,832,646
Aggressive Equity Series.............. Other 19,274,103 3,984,554
High-Yield Bond Series................ Other 9,041,467 6,983,381
International Equity Series........... Other 24,499,104 12,925,524
</TABLE>
90
<PAGE>
DIVERSIFIED INVESTORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS--(CONT'D)
7. FORWARD CURRENCY CONTRACTS
At June 30, 1996, the International Equity Series had entered into forward
currency contracts which contractually obligate the Portfolio to deliver/receive
currency at specified future dates. The open contracts are as follows:
<TABLE>
<CAPTION>
IN EXCHANGE SETTLEMENT UNREALIZED
CONTRACT FOREIGN CURRENCY FOR DATE VALUE APPRECIATION/DEPRECIATION
- ------------------- ---------------- ----------- ---------- ---------- -------------------------
<S> <C> <C> <C> <C> <C>
PURCHASES:
German Deutsche
Mark............... 623,831 $ 410,334 07/01/96 $ 409,464 $ (870)
Japanese Yen....... 27,041,925 255,540 07/05/96 246,983 (9,557)
Japanese Yen....... 27,041,925 260,369 07/05/96 246,983 (13,386)
Japanese Yen....... 54,811,440 509,447 07/05/96 500,612 (8,835)
Japanese Yen....... 86,801,400 806,030 08/16/96 797,679 (8,351)
Japanese Yen....... 66,522,200 656,815 10/15/96 616,489 (40,326)
Japanese Yen....... 19,026,000 187,855 10/15/96 176,322 (11,533)
Japanese Yen....... 150,000,000 1,461,561 10/15/96 1,390,112 (71,449)
Japanese Yen....... 46,783,000 456,464 10/15/96 433,558 (22,906)
Japanese Yen....... 93,267,250 962,610 10/30/96 866,260 (96,330)
-----------
Total $(283,543)
-----------
-----------
SALES:
Canadian Dollar.... 1,066,524 $ 783,000 07/23/96 $ 782,564 $ 436
Canadian Dollar.... 549,098 403,600 07/24/96 402,910 690
Canadian Dollar.... 408,390 300,000 07/29/96 299,696 304
German Deutsche
Mark............... 623,831 424,000 07/01/96 409,464 14,536
German Deutsche
Mark............... 414,250 270,398 07/11/96 272,062 (1,664)
Japanese Yen....... 54,083,850 530,000 07/05/96 493,966 36,034
Japanese Yen....... 54,811,440 538,000 07/05/96 500,612 37,388
Japanese Yen....... 86,801,400 830,000 08/16/96 797,679 32,321
Japanese Yen....... 115,409,370 1,126,000 10/08/96 1,068,434 57,566
Japanese Yen....... 55,923,000 541,548 10/08/96 517,722 23,826
Japanese Yen....... 377,578,600 3,962,000 10/15/96 3,499,176 462,822
Japanese Yen....... 19,026,000 200,000 10/15/96 176,322 23,678
Japanese Yen....... 96,931,000 948,630 10/15/96 898,300 50,330
Japanese Yen....... 66,833,000 650,000 10/15/96 619,369 30,631
Japanese Yen....... 93,267,250 965,000 10/30/96 866,280 98,720
Japanese Yen....... 30,528,000 300,000 05/19/97 291,499 8,501
Japanese Yen....... 35,139,000 340,000 05/30/97 336,029 3,971
-----------
Total $ 880,090
-----------
-----------
</TABLE>
91
<PAGE>
DIVERSIFIED INVESTORS SECURITIES CORPORATION Bulk Rate
4 Manhattanville Road, Purchase, New York 10577 U.S. Postage
PAID
Permit No. 8048
New York, New York
