<PAGE> 1
PACIFIC BASIN EQUITY PORTFOLIO 10
---------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
- ---------------------------------------------------------------------------------------------------------------
March 31, 1995 (unaudited)
- ---------------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- ---------------------------------------------------------------------------------------------------------------
Investments, at Value (Cost $20,090,927) $ 18,619,271
- ---------------------------------------------------------------------------------------------------------------
Foreign Cash (Cost $409,977) 420,644
- ---------------------------------------------------------------------------------------------------------------
Cash 1,652,534
- ---------------------------------------------------------------------------------------------------------------
Receivable for Securities Sold 850,690
- ---------------------------------------------------------------------------------------------------------------
Dividends and Interest Receivable 26,996
- ---------------------------------------------------------------------------------------------------------------
Deferred Organizational Expenses 12,926
- ---------------------------------------------------------------------------------------------------------------
Prepaid Expenses 1,522
- ---------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Forward Foreign Currency Contracts 31,759
- ---------------------------------------------------------------------------------------------------------------
Total Assets 21,616,342
- ---------------------------------------------------------------------------------------------------------------
LIABILITIES
- ---------------------------------------------------------------------------------------------------------------
Due to Bankers Trust 14,808
- ---------------------------------------------------------------------------------------------------------------
Payable for Securities Purchased 712,428
- ---------------------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 29,028
- ---------------------------------------------------------------------------------------------------------------
Total Liabilities 756,264
- ---------------------------------------------------------------------------------------------------------------
NET ASSETS $ 20,860,078
- ---------------------------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS
- ---------------------------------------------------------------------------------------------------------------
Paid-in Capital $ 22,287,820
- ---------------------------------------------------------------------------------------------------------------
Net Unrealized (Depreciation) on Securities (1,471,656)
- ---------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Foreign Currency Translation 12,155
- ---------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Forward Foreign Currency Contracts 31,759
- ---------------------------------------------------------------------------------------------------------------
NET ASSETS, MARCH 31, 1995 $ 20,860,078
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 2
PACIFIC BASIN EQUITY PORTFOLIO 11
---------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
- ---------------------------------------------------------------------------------------------------------------
For the six months ended March 31, 1995 (unaudited)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- ---------------------------------------------------------------------------------------------------------------
Dividends (net of foreign withholding tax of $6,955) $ 218,433
- ---------------------------------------------------------------------------------------------------------------
EXPENSES
- ---------------------------------------------------------------------------------------------------------------
Advisory Fee $ 85,753
- ---------------------------------------------------------------------------------------------------------------
Administration and Services Fee 28,584
- ---------------------------------------------------------------------------------------------------------------
Professional Fees 10,106
- ---------------------------------------------------------------------------------------------------------------
Transfer Tax 8,794
- ---------------------------------------------------------------------------------------------------------------
Insurance 1,363
- ---------------------------------------------------------------------------------------------------------------
Interest 1,045
- ---------------------------------------------------------------------------------------------------------------
Trustees Fees 806
- ---------------------------------------------------------------------------------------------------------------
Amortization of Organizational Expenses 1,785
- ---------------------------------------------------------------------------------------------------------------
Miscellaneous 733
- ---------------------------------------------------------------------------------------------------------------
Total Expenses 138,969
- ---------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (24,632) 114,337
- ---------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 104,096
- ---------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FOREIGN CURRENCY
- ---------------------------------------------------------------------------------------------------------------
Net Realized (Loss) from Securities Transactions (777,702)
- ---------------------------------------------------------------------------------------------------------------
Net Realized (Loss) from Foreign Currency Transactions (48,952)
- ---------------------------------------------------------------------------------------------------------------
Net Unrealized (Depreciation) on Securities (2,709,369)
- ---------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Foreign Currency Translation 19,675
- ---------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Forward Foreign Currency Contracts 35,912
- ---------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED (LOSS) ON SECURITIES AND FOREIGN CURRENCY (3,480,436)
- ---------------------------------------------------------------------------------------------------------------
NET (DECREASE) IN NET ASSETS FROM OPERATIONS $(3,376,340)
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 3
PACIFIC BASIN EQUITY PORTFOLIO 12
---------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
- ----------------------------------------------------------------------------------------------------------------
For the period
For the November 1, 1993
six months ended (Commencement
March 31, 1995 of Operations) to
(unaudited) September 30, 1994
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
- ----------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
- ----------------------------------------------------------------------------------------------------------------
Net Investment Income $ 104,096 $ 24,084
- ----------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities and
Foreign Currency Transactions (826,654) 744,140
- ----------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation (Depreciation) on
Securities and Foreign Currency (2,653,782) 1,226,040
- ----------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations (3,376,340) 1,994,264
- ----------------------------------------------------------------------------------------------------------------
FROM CAPITAL TRANSACTIONS
- ----------------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 4,694,607 27,367,327
- ----------------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (5,824,463) (3,995,317)
- ----------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Capital Transactions (1,129,856) 23,372,010
- ----------------------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (4,506,196) 25,366,274
- ----------------------------------------------------------------------------------------------------------------
NET ASSETS
- ----------------------------------------------------------------------------------------------------------------
Beginning of Period 25,366,274 --
- ----------------------------------------------------------------------------------------------------------------
End of Period $20,860,078 $25,366,274
- ----------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 4
PACIFIC BASIN EQUITY PORTFOLIO 13
---------------------------------------------------
FINANCIAL HIGHLIGHTS
- -------------------------------------------------------------------------------
Contained below are selected ratios and supplemental data for each of the
periods indicated for the Pacific Basin Equity Portfolio.
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the period
For the November 1, 1993
six months ended (Commencement
March 31, 1995 of Operations) to
(unaudited) September 30, 1994
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average Net Assets 0.91%* 0.16%*
Ratio of Expenses to Average Net Assets 1.00%* 1.00%*
Decrease Reflected in Above Ratio of Expenses to Average
Net Assets Due to Absorption of Expenses by Bankers Trust 0.22%* 0.26%*
Portfolio Turnover Rate 42% 40%
Net Assets, End of Period (000's omitted) $20,860 $25,366
</TABLE>
* Annualized
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 5
PACIFIC BASIN EQUITY PORTFOLIO 14
---------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
- ------------------------------------------------------------------------------------------------------------------
March 31, 1995 (unaudited)
SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 86.17%
- ------------------------------------------------------------------------------------------------------------------
HONG KONG - 26.01%
- ------------------------------------------------------------------------------------------------------------------
44,000 Citic Pacific, LTD
(Holding Company-Diversified) $ 108,691
- ------------------------------------------------------------------------------------------------------------------
252,000 Consolidated Electric Power
(Utility-Electric) 521,469
- ------------------------------------------------------------------------------------------------------------------
223,000 Hong Kong Electric
(Utility-Electric) 713,819
- ------------------------------------------------------------------------------------------------------------------
801,000 Hopewell Holdings, LTD
(Property Infrastructure) 564,595
- ------------------------------------------------------------------------------------------------------------------
426 HSBC Holdings (Banking) 4,807
- ------------------------------------------------------------------------------------------------------------------
169,000 Hutchison Whampoa (Diversified) 745,331
- ------------------------------------------------------------------------------------------------------------------
30,000 Jardine Matheson Holdings
(Diversified) 270,000
- ------------------------------------------------------------------------------------------------------------------
1,200,000 Manhattan Card, LTD
(Financial Services) 484,997
- ------------------------------------------------------------------------------------------------------------------
570,000 National Mutual Asia, LTD
(Financial Services) 352,011
- ------------------------------------------------------------------------------------------------------------------
450,000 Orient Overseas International, LTD
(Transportation-Shipping) 256,079
- ------------------------------------------------------------------------------------------------------------------
260,000 San Miguel Brewery (Beverages) 174,858
- ------------------------------------------------------------------------------------------------------------------
1,530,000 Shanghai Petrochemical (Chemicals) 469,963
- ------------------------------------------------------------------------------------------------------------------
58,000 Swire Pacific, LTD Cl. A (Diversified) 395,693
- ------------------------------------------------------------------------------------------------------------------
484,000 Tomei International Holdings
(Electronics) 33,802
- ------------------------------------------------------------------------------------------------------------------
101,000 Wharf Holdings (Diversified) 329,831
- ------------------------------------------------------------------------------------------------------------------
5,425,946
==================================================================================================================
INDIA - 2.60%
- ------------------------------------------------------------------------------------------------------------------
35,000 Calcutta Electric, GDR
(Utility-Electric) (a) 201,250
- ------------------------------------------------------------------------------------------------------------------
700 Core Healthcare LTD, GDR
(Health Care) (a) 3,938
- ------------------------------------------------------------------------------------------------------------------
16,000 Indian Petrochemicals, GDR
(Chemicals) (a) 236,000
- ------------------------------------------------------------------------------------------------------------------
10,000 Mahindra & Mahindra Limited,
GDR (Automotive) 100,000
- ------------------------------------------------------------------------------------------------------------------
541,188
==================================================================================================================
INDONESIA - 9.51%
- ------------------------------------------------------------------------------------------------------------------
52,700 Bank International Indonesia PT
(Banking) 127,747
- ------------------------------------------------------------------------------------------------------------------
58,833 Duta Anggada Realty (Property) 37,461
- ------------------------------------------------------------------------------------------------------------------
101,000 Bank Dagang Nasional Indonesia PT
(Banking) 151,184
- ------------------------------------------------------------------------------------------------------------------
40,000 Gadjah Tunggal PT (Tire & Rubber) 42,895
- ------------------------------------------------------------------------------------------------------------------
237,000 Indah Kiat Pulp & Paper
(Pulp & Paper) 320,342
- ------------------------------------------------------------------------------------------------------------------
9,500 Indosat (Indonesia Satellite), ADR
(Telecommunications) (a) 334,875
- ------------------------------------------------------------------------------------------------------------------
47,000 Modern Photo Film PT
(Photo &Optical) 192,158
- ------------------------------------------------------------------------------------------------------------------
254,700 Mulia Industrindo PT
(Glass Manufacturing) (a) 443,847
- ------------------------------------------------------------------------------------------------------------------
32,000 Tempo Scan Pacific PT
(Pharmaceuticals) 135,836
- ------------------------------------------------------------------------------------------------------------------
9,000 TriPolyta Indonesia PT, ADR
(Chemicals) (a) 198,000
- ------------------------------------------------------------------------------------------------------------------
1,984,345
==================================================================================================================
MALAYSIA - 14.51%
- ------------------------------------------------------------------------------------------------------------------
123,000 Commerce Asset Holding (Banking) 500,899
- ------------------------------------------------------------------------------------------------------------------
16,000 Industrial Oxygen Berhad
(Diversified) 21,255
- ------------------------------------------------------------------------------------------------------------------
192,000 Pilecon Engineering Berhad
(Construction) 227,735
- ------------------------------------------------------------------------------------------------------------------
176,000 Tanjong PLC (Gaming) 518,415
- ------------------------------------------------------------------------------------------------------------------
207,000 Technology Resources Industrial
(Telecommunications) 593,358
- ------------------------------------------------------------------------------------------------------------------
199,000 United Engineers Berhad
(Construction) 1,164,456
- ------------------------------------------------------------------------------------------------------------------
3,026,118
==================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 6
PACIFIC BASIN EQUITY PORTFOLIO 15
---------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
- ------------------------------------------------------------------------------------------------------------------
March 31, 1995 (unaudited)
SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
PHILIPPINES - 7.05%
- ------------------------------------------------------------------------------------------------------------------
24,364 Benpres Holdings, GDR
(Diversified) (a) $ 191,745
- ------------------------------------------------------------------------------------------------------------------
10,625 Metropolitan Trust &Bank
(Banking) 196,911
- ------------------------------------------------------------------------------------------------------------------
4,560 Philippine Long Distance Telephone
(Telecommunications) 271,135
- ------------------------------------------------------------------------------------------------------------------
54 Philippine National Bank (Banking) 460
- ------------------------------------------------------------------------------------------------------------------
8,100 Philippine Savings Bank
(Banking) (a) 184,517
- ------------------------------------------------------------------------------------------------------------------
729,000 SM Prime Holding, Cl. B
(Diversified) (a) 219,544
- ------------------------------------------------------------------------------------------------------------------
5,000,000 Southeast Asia Cement Holdings
(Cement) (a) 405,406
- ------------------------------------------------------------------------------------------------------------------
1,469,718
==================================================================================================================
SINGAPORE - 11.92%
- ------------------------------------------------------------------------------------------------------------------
98,000 City Developments (Real Estate) 538,080
- ------------------------------------------------------------------------------------------------------------------
52,000 Oversea Chinese Banking
(Banking) 523,131
- ------------------------------------------------------------------------------------------------------------------
58,000 Overseas Union Bank (Banking) 345,165
- ------------------------------------------------------------------------------------------------------------------
133,000 Singapore Land
(Property Development) 843,323
- ------------------------------------------------------------------------------------------------------------------
14,000 Singapore Press Holdings (Media) 237,053
- ------------------------------------------------------------------------------------------------------------------
2,486,752
==================================================================================================================
SOUTH KOREA - 4.09%
- ------------------------------------------------------------------------------------------------------------------
18,600 Samsung Electronics (Non-Voting),
GDS (Electronics) (a)(b) 827,700
- ------------------------------------------------------------------------------------------------------------------
397 Samsung Electronics (Voting), GDS
(Electronics) (a)(b) 25,805
- ------------------------------------------------------------------------------------------------------------------
853,505
==================================================================================================================
SRI LANKA - 0.50%
- ------------------------------------------------------------------------------------------------------------------
14,000 John Keells Holdings LTD, GDR
(Diversified) 105,000
- ------------------------------------------------------------------------------------------------------------------
TAIWAN - 0.36%
- ------------------------------------------------------------------------------------------------------------------
4,000 Yageo, GDR (Electronics)(a) $ 76,000
==================================================================================================================
THAILAND - 9.62%
- ------------------------------------------------------------------------------------------------------------------
125,000 Electricity Generating Publishing
(Utility-Electric) (a) 332,487
- ------------------------------------------------------------------------------------------------------------------
46,500 Hana Microelectronics (Electronics) 241,706
- ------------------------------------------------------------------------------------------------------------------
38,800 Hemaraj Land Development
(Real Estate) 81,933
- ------------------------------------------------------------------------------------------------------------------
201,500 Sahaviriya Steel Industries
(Metals-Steel) (a) 531,878
- ------------------------------------------------------------------------------------------------------------------
3,700 Siam Cement, LTD (Cement) 212,459
- ------------------------------------------------------------------------------------------------------------------
28,400 Thai Petrochemical (Chemicals) (a) 48,439
- ------------------------------------------------------------------------------------------------------------------
52,000 TPI Polyne Company (Cement) 282,964
- ------------------------------------------------------------------------------------------------------------------
39,300 Unithai Line Public
(Transportation-Shipping) 274,502
- ------------------------------------------------------------------------------------------------------------------
2,006,368
==================================================================================================================
TOTAL COMMON STOCKS
(Cost $19,461,234) $17,974,940
- ------------------------------------------------------------------------------------------------------------------
WARRANTS - 0.15%
- ------------------------------------------------------------------------------------------------------------------
HONG KONG - 0.15%
- ------------------------------------------------------------------------------------------------------------------
41,000 Henderson Investment
(Real Estate) (a) $ 3,128
- ------------------------------------------------------------------------------------------------------------------
470,000 Hutchison Whampoa
(Diversified) (a) 27,050
- ------------------------------------------------------------------------------------------------------------------
30,178
==================================================================================================================
MALAYSIA - 0.00%
- ------------------------------------------------------------------------------------------------------------------
250 Development and Commercial
Bank (Banking) (a) 178
==================================================================================================================
TOTAL WARRANTS
(Cost $52,367) $ 30,356
==================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 7
PACIFIC BASIN EQUITY PORTFOLIO 16
---------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
- ------------------------------------------------------------------------------------------------------------------
March 31, 1995 (unaudited)
PRINCIPAL
AMOUNT DESCRIPTION VALUE
==================================================================================================================
<S> <C>
CORPORATE DEBENTURES - 2.94%
==================================================================================================================
INDIA - 0.98%
- ------------------------------------------------------------------------------------------------------------------
$ 130,000 Essar Gujarat (Conv.) (Iron & Steel),
5.50%, 8/5/98 $ 159,250
- ------------------------------------------------------------------------------------------------------------------
35,000 Gujarat Ambuja (Conv.) (Cement),
3.50%, 6/30/99 45,850
- ------------------------------------------------------------------------------------------------------------------
205,100
==================================================================================================================
TAIWAN - 1.96%
- ------------------------------------------------------------------------------------------------------------------
125,000 United Micro Electronics (Conv.)
(Electronics), 1.25%, 6/8/04 198,438
- ------------------------------------------------------------------------------------------------------------------
175,000 Walsin Lihwa Electric Wire and
Cable (Conv.) (Electronics),
3.25%, 6/16/04 210,437
- ------------------------------------------------------------------------------------------------------------------
408,875
==================================================================================================================
TOTAL CORPORATE DEBENTURES
(Cost $577,326) $ 613,975
==================================================================================================================
TOTAL INVESTMENTS
(Cost $20,090,927) 89.26% $ 18,619,271
==================================================================================================================
Other Assets in Excess of
Liabilities 10.74% 2,240,807
- ------------------------------------------------------------------------------------------------------------------
NET ASSETS 100.00% $ 20,860,078
==================================================================================================================
</TABLE>
(a) Non-Income Producing Security
(b) Securities exempt from registation under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period
end, the value of these securities amounted to $853,505 or 4.09% of net
assets.
<TABLE>
<CAPTION>
Industry Diversification (as a percentage of Total Value of Investments):
<S> <C>
Banking . . . . . . . . . . . . . . . . . . . 8.24%
Cement . . . . . . . . . . . . . . . . . . . 5.08%
Chemicals . . . . . . . . . . . . . . . . . . 5.12%
Construction . . . . . . . . . . . . . . . . 7.48%
Diversified . . . . . . . . . . . . . . . . . 12.97%
Electronics . . . . . . . . . . . . . . . . . 8.67%
Financial . . . . . . . . . . . . . . . . . . 4.50%
Other* . . . . . . . . . . . . . . . . . . . 20.89%
Property . . . . . . . . . . . . . . . . . . 7.76%
Real Estate . . . . . . . . . . . . . . . . . 3.35%
Telecommunication . . . . . . . . . . . . . . 6.44%
Utility . . . . . . . . . . . . . . . . . . . 9.50%
-------
100.00%
=======
</TABLE>
* No one industry represents more than 3% of Portfolio holdings
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 8
PACIFIC BASIN EQUITY PORTFOLIO 19
---------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
The Pacific Basin Equity Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 (the "Act"), as amended, as an open-end
management investment company. The Portfolio was organized on August 6, 1993 as
an unincorporated trust under the laws of New York and commenced operations on
November 1, 1993. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue beneficial interests in the Portfolio.
B. Security Valuation
The Portfolio's investments are valued each business day by an independent
pricing service (the "Service") approved by the Trustees. Securities traded
primarily on a principal securities exchange (domestic or foreign) are valued
at their last reported sale price on that exchange. If no sale is reported, or
if local custom or regulation so provides, the mean of the latest bid and asked
price is used. Securities traded over-the-counter are valued using either the
mean between the bid and asked price or, where local custom or regulations so
provide, the last sales price. Short-term obligations with remaining maturities
of 60 days or less are valued at amortized cost which with accrued interest
approximates value. Securities for which quotations are not available are
stated at fair value as determined by the Trustees.
C. Foreign Currency Transactions
The books and records of the Portfolio are maintained in U.S. dollars. All
assets and liabilities initially expressed in foreign currencies are converted
into U.S. dollars at prevailing exchange rates. Purchases and sales of
investment securities, dividend and interest income, and certain expenses are
translated at the rates of exchange prevailing on the respective dates of such
transactions. The portfolio does not isolate that portion of the results of
operations resulting from changes in foreign exchange rates on investments from
the fluctuations arising from changes in the market prices of securities held.
Such fluctuations are included with the net realized and unrealized gain or
loss from securities.
D. Forward Foreign Currency Contracts
The Portfolio may enter into forward foreign currency contracts for the purpose
of settling specific purchases or sales of securities denominated in a foreign
currency or with respect to the Portfolio's investments generally. The net U.S.
dollar value of foreign currency underlying all contractual commitments held by
the Portfolio and the resulting unrealized appreciation or depreciation are
determined using prevailing exchange rates. With respect to forward foreign
currency contracts, losses in excess of amounts recognized in the Statement of
Assets and Liabilities may arise due to changes in the value of the foreign
currency or if the counterparty does not perform under the contract.
E. Security Transactions and Investment Income
Security transactions are accounted for on a trade date basis (date the order
to buy or sell is executed). Dividend income, less foreign taxes withheld (if
any), is recorded on the ex-dividend date or upon receipt of ex-dividend
notification in the case of certain foreign securities. Interest income is
recorded on the accrual basis and includes amortization of premium and discount
on investments. Realized gains and losses from security transactions are
recorded on the identified cost basis.
All of the net investment income and realized and unrealized gains and losses
from securities and foreign currency transactions of the Portfolio are
allocated pro rata among the investors of the Portfolio at the time of such
determination.
<PAGE> 9
PACIFIC BASIN EQUITY PORTFOLIO 20
---------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
F. Organizational Expenses
Costs incurred by the Portfolio in connection with its organization and initial
registration are being amortized over a five year period on a straight-line
basis.
G. Federal Income Taxes
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code applicable to it. Therefore, no federal income tax provision is
required.
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of 0.25 of 1% of the Portfolio's average daily
net assets. For the six months ended March 31, 1995, this fee aggregated
$28,584.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, Bankers Trust manages the Portfolio in accordance with
the Portfolio's investment objective and stated investment policies in return
for a fee computed daily and paid monthly at an annual rate of 0.75 of 1% of
the Portfolio's average daily net assets. For the six months ended March 31,
1995, this fee aggregated $85,753.
Bankers Trust has entered into a Sub-Advisory Agreement with BT Fund Managers
International Limited ("BT Fund Managers International"), a wholly owned
subsidiary of Bankers Trust Australia Limited. Under this Sub-Advisory
Agreement, BT Fund Managers International receives a fee from Bankers Trust for
providing investment advice and research services, computed daily and paid
monthly at an annual rate of 0.60 of 1% of the Portfolio's average daily net
assets.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 1.00 of 1% of the
average daily net assets of the Portfolio. For the six months ended March 31,
1995, expenses of the Portfolio have been reduced $24,632.
Certain trustees and officers of the Portfolio are also directors, officers
and/or employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Portfolio. Similarly, none of the
Portfolio's officers received compensation from the Portfolio.
NOTE 3 - PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the six months ended March 31, 1995, were
$8,865,474 and $8,436,329, respectively. The aggregate gross unrealized
appreciation for all investments was $1,274,661 and the aggregate gross
unrealized depreciation for all investments was $2,746,317.
NOTE 4 - OPEN FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
As of March 31, 1995, the Portfolio has entered into the following open forward
foreign currency exchange contracts:
<TABLE>
<CAPTION>
Net
Contracts In Unrealized
to Exchange Settlement Value (Depreciation)
Deliver For Date (US $) (US $)
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sales
- --------------------------------------------------------------------------
IDR 4,254,278,689 USD 1,908,504 4/3/95 1,904,253 4,251
- --------------------------------------------------------------------------
IDR 3,247,476,047 USD 1,445,861 5/3/95 1,445,861 0
- --------------------------------------------------------------------------
PHP 28,070,900 USD 1,093,818 5/16/95 1,066,118 27,700
- --------------------------------------------------------------------------
4,448,183 4,416,232 $31,951
- --------------------------------------------------------------------------
Purchases
- --------------------------------------------------------------------------
USD 452,641 HKD 3,500,000 4/3/95 452,664 23
- --------------------------------------------------------------------------
USD 3,306,229 IDR 906,802,642 4/3/95 3,308,034 1,805
- --------------------------------------------------------------------------
USD 151,959 PHP 3,947,899 5/16/95 149,939 (2,020)
- --------------------------------------------------------------------------
3,910,829 $3,910,637 (192)
- --------------------------------------------------------------------------
$31,759
-------
</TABLE>
<PAGE> 10
LATIN AMERICAN EQUITY PORTFOLIO 10
------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
==============================================================================================================================
March 31, 1995 (unaudited)
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- ------------------------------------------------------------------------------------------------------------------------------
Investments, at Value (Cost $12,627,935) $ 9,880,599
- ------------------------------------------------------------------------------------------------------------------------------
Foreign Cash (Cost $572,939) 567,679
- ------------------------------------------------------------------------------------------------------------------------------
Cash 24,104
- ------------------------------------------------------------------------------------------------------------------------------
Dividends and Interest Receivable 21,099
- ------------------------------------------------------------------------------------------------------------------------------
Deferred Organizational Expenses 12,848
- ------------------------------------------------------------------------------------------------------------------------------
Prepaid Expense 1,521
- ------------------------------------------------------------------------------------------------------------------------------
Due from Bankers Trust 10,708
- ------------------------------------------------------------------------------------------------------------------------------
Total Assets 10,518,558
- ------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
- ------------------------------------------------------------------------------------------------------------------------------
Payable for Securities Purchased 328,587
- ------------------------------------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 28,970
- ------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 357,557
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS $10,161,001
==============================================================================================================================
COMPOSITION OF NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------
Paid-in Capital $12,913,819
- ------------------------------------------------------------------------------------------------------------------------------
Net Unrealized (Depreciation) on Securities (2,747,336)
- ------------------------------------------------------------------------------------------------------------------------------
Net Unrealized (Depreciation) on Foreign Currency Translation (5,482)
- ------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, MARCH 31, 1995 $10,161,001
==============================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 11
LATIN AMERICAN EQUITY PORTFOLIO 11
------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
==============================================================================================================================
For the six months ended March 31, 1995 (unaudited)
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- ------------------------------------------------------------------------------------------------------------------------------
Dividends (net of foreign withholding tax of $3,083) $ 86,922
- ------------------------------------------------------------------------------------------------------------------------------
Interest 85,391
- ------------------------------------------------------------------------------------------------------------------------------
Total Investment Income $ 172,313
- ------------------------------------------------------------------------------------------------------------------------------
EXPENSES
- ------------------------------------------------------------------------------------------------------------------------------
Advisory Fee 107,096
- ------------------------------------------------------------------------------------------------------------------------------
Administration and Services Fee 21,419
- ------------------------------------------------------------------------------------------------------------------------------
Transfer Tax 66,511
- ------------------------------------------------------------------------------------------------------------------------------
Professional Fees 10,106
- ------------------------------------------------------------------------------------------------------------------------------
Amortization of Organizational Expenses 1,794
- ------------------------------------------------------------------------------------------------------------------------------
Insurance 1,363
- ------------------------------------------------------------------------------------------------------------------------------
Trustees Fees 806
- ------------------------------------------------------------------------------------------------------------------------------
Miscellaneous 726
- ------------------------------------------------------------------------------------------------------------------------------
Total Expenses 209,821
- ------------------------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (102,725) 107,096
- ------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 65,217
- ------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FOREIGN CURRENCY
- ------------------------------------------------------------------------------------------------------------------------------
Net Realized (Loss) from Securities Transactions (8,615,214)
- ------------------------------------------------------------------------------------------------------------------------------
Net Realized (Loss) from Foreign Currency Transactions (137,303)
- ------------------------------------------------------------------------------------------------------------------------------
Net Unrealized (Depreciation) on Securities (5,529,789)
- ------------------------------------------------------------------------------------------------------------------------------
Net Unrealized (Depreciation) on Foreign Currency Translation (3,098)
- ------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED (LOSS) ON SECURITIES AND FOREIGN CURRENCY (14,285,404)
- ------------------------------------------------------------------------------------------------------------------------------
NET (DECREASE) IN NET ASSETS FROM OPERATIONS $ (14,220,187)
==============================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 12
LATIN AMERICAN EQUITY PORTFOLIO 12
------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
==============================================================================================================================
For the period
For the six October 25, 1993
months ended (Commencement
March 31, 1995 of Operations) to
(unaudited) September 30, 1994
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
- ------------------------------------------------------------------------------------------------------------------------------
Net Investment Income $ 65,217 $ 106,308
- ------------------------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities and Foreign Currency Transactions (8,752,517) 201,391
- ------------------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation (Depreciation) on Securities
and Foreign Currency Translation (5,532,887) 2,780,069
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations (14,220,187) 3,087,768
- ------------------------------------------------------------------------------------------------------------------------------
FROM CAPITAL TRANSACTIONS
- ------------------------------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 12,909,191 27,627,247
- ------------------------------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (15,894,019) (3,348,999)
- ------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Capital Transactions (2,984,828) 24,278,248
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (17,205,015) 27,366,016
==============================================================================================================================
NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------
Beginning of Period 27,366,016 -
- ------------------------------------------------------------------------------------------------------------------------------
End of Period $ 10,161,001 $27,366,016
==============================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 13
LATIN AMERICAN EQUITY PORTFOLIO 13
------------------------------------------
FINANCIAL HIGHLIGHTS
================================================================================
Contained below are selected ratios and supplemental data for each of the
periods indicated for the Latin American Equity Portfolio.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
For the period
For the six October 25, 1993
months ended (Commencement
March 31, 1995 of Operations) to
(unaudited) September 30, 1994
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average Net Assets 0.61%* 1.03%*
Ratio of Expenses to Average Net Assets 1.00%* 1.00%*
Decrease Reflected in Above Ratio of Expenses to Average
Net Assets Due to Absorption of Expenses by Bankers Trust 0.96%* 0.79%*
Portfolio Turnover Rate 78% 124%
Net Assets, End of Period (000's omitted) $10,161 $27,366
</TABLE>
* Annualized
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 14
LATIN AMERICAN EQUITY PORTFOLIO 14
------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
======================================================================================================
March 31, 1995 (unaudited)
SHARES DESCRIPTION VALUE
- ------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKs - 57.23%
======================================================================================================
BRAZIL - 20.44%
- ------------------------------------------------------------------------------------------------------
18,028 Aracruz Celulose S.A., ADR
(Paper) $ 216,336
- ------------------------------------------------------------------------------------------------------
5,000 Cesp (Cia Energetica de Sao Paulo),
ADR (Utility-Electric) (a) 58,526
- ------------------------------------------------------------------------------------------------------
7,000,000 Cesp (Cia Energetica de Sao Paulo)
(Utility-Electric) (a) 236,959
- ------------------------------------------------------------------------------------------------------
23,865,600 Compania Acos Especiais Itabira
(Steel) 158,927
- ------------------------------------------------------------------------------------------------------
4,184,000 Compania Paulista de Forca Luz
(Utility-Electric) (a) 183,427
- ------------------------------------------------------------------------------------------------------
3,000 Compania Siderurgica Nacional,
ADR (Steel) 70,125
- ------------------------------------------------------------------------------------------------------
9,435,000 Compania Siderurgica Nacional (Steel) 219,801
- ------------------------------------------------------------------------------------------------------
2,344 Compania Vale do Rao Doce,
ADR (Steel) 79,989
- ------------------------------------------------------------------------------------------------------
1,669,270 Electrobras (Utility-Electric) 327,925
- ------------------------------------------------------------------------------------------------------
6,100 Telebras, ADR (Telecommunications) 164,563
- ------------------------------------------------------------------------------------------------------
7,768,000 Telebras, "ON"
(Telecommunications) 180,190
- ------------------------------------------------------------------------------------------------------
15,500 Usiminas, ADR (Steel) (a)(b) 180,188
- ------------------------------------------------------------------------------------------------------
2,076,956
======================================================================================================
CHILE - 7.58%
- ------------------------------------------------------------------------------------------------------
13,565 Chilgener S.A., ADR (Utility-Energy) 339,125
- ------------------------------------------------------------------------------------------------------
17,500 Chilquinta S.A., ADR (Utility) (b) 209,452
- ------------------------------------------------------------------------------------------------------
13,055 Maderas Y Sinteticos S.A., ADR
(Building & Construction) 221,935
- ------------------------------------------------------------------------------------------------------
770,512
======================================================================================================
COLOMBIA - 7.87%
- ------------------------------------------------------------------------------------------------------
10,000 Carulla & CIA S.A., ADR, Cl 'B'
(Retail) (a)(b) 188,800
- ------------------------------------------------------------------------------------------------------
6,000 Cementos Diamante, ADR, Cl 'B'
(Building & Construction) (b) $ 116,220
- ------------------------------------------------------------------------------------------------------
14,000 Cementos Paz del Rio S.A., ADR
(Building & Construction) (a)(b) 250,250
- ------------------------------------------------------------------------------------------------------
15,125 Gran Cadenalco, ADR (Retail) (a)(b) 243,891
- ------------------------------------------------------------------------------------------------------
799,161
======================================================================================================
MEXICO - 7.06%
- ------------------------------------------------------------------------------------------------------
24 Controladora de Valores 0
- ------------------------------------------------------------------------------------------------------
63,600 Grupo Carso S.A. de CV, Cl 'A1'
(Diversified) (a) 277,928
- ------------------------------------------------------------------------------------------------------
24,867 Grupo Industrial Durango, ADR
(Paper) (a) 149,202
- ------------------------------------------------------------------------------------------------------
1,480 Telefonos de Mexico S.A., ADR, Cl 'L'
(Telecommunications) 42,180
- ------------------------------------------------------------------------------------------------------
175,000 Telefonos de Mexico S.A., Cl 'L'
(Telecommunications) 247,605
- ------------------------------------------------------------------------------------------------------
716,915
======================================================================================================
PANAMA - 2.07%
- ------------------------------------------------------------------------------------------------------
8,069 Panamerican Beverages, ADR, Cl 'A'
(Beverages) 210,802
======================================================================================================
PERU - 6.50%
- ------------------------------------------------------------------------------------------------------
92,294 Backus Y Johnson Brewery, Cl 'T'
(Beverages) 169,703
- ------------------------------------------------------------------------------------------------------
71,114 Banco de Credito del Peru (Banks) 115,951
- ------------------------------------------------------------------------------------------------------
62,701 Cementos Norte Pacasmayo
(Building & Construction) 187,520
- ------------------------------------------------------------------------------------------------------
12,901 Cervezeria San Juan (Beverages) 21,949
- ------------------------------------------------------------------------------------------------------
89,033 Compania Peruana de Telefonos S.A.,
Cl 'B' (Telecommunications) (a) 103,352
- ------------------------------------------------------------------------------------------------------
48,792 Enrique Ferreyros (Capital Goods) 61,828
- ------------------------------------------------------------------------------------------------------
660,303
======================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 15
LATIN AMERICAN EQUITY PORTFOLIO 15
------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
======================================================================================================
March 31, 1995 (unaudited)
SHARES DESCRIPTION VALUE
======================================================================================================
<S> <C> <C>
VENEZUELA - 5.71%
- ------------------------------------------------------------------------------------------------------
14,700 Banco Mercantil, Series 'A-B'
(Banks) $ 20,952
- ------------------------------------------------------------------------------------------------------
2,352 Banco Mercantil, Series 'B' (Banks) 3,082
- ------------------------------------------------------------------------------------------------------
6,376 Banco Provincial (Banks) 14,158
- ------------------------------------------------------------------------------------------------------
2,016 Banco Venezolano de Credito,
Series 'A-B' (Banks) 80,148
- ------------------------------------------------------------------------------------------------------
40,800 Ceramica Carabobo, ADR, Cl 'B'
(Building & Construction) 30,600
- ------------------------------------------------------------------------------------------------------
25,960 Corimon Saca, ADR
(Building & Construction) 184,965
- ------------------------------------------------------------------------------------------------------
93,111 Electricidad de Caracas
(Utility-Energy) 98,713
- ------------------------------------------------------------------------------------------------------
722,587 Sudamtex (Textiles) 106,397
- ------------------------------------------------------------------------------------------------------
304,500 Venaseta, Cl 'A' (Finance) (a) 26,005
- ------------------------------------------------------------------------------------------------------
60,900 Venaseta, Cl 'B' (Finance) 5,022
- ------------------------------------------------------------------------------------------------------
20,000 Venezolana Pulpa Y Papel (Paper) 10,602
- ------------------------------------------------------------------------------------------------------
580,644
======================================================================================================
TOTAL COMMON STOCKS
(Cost $7,985,437) $5,815,293
======================================================================================================
PREFERRED STOCKS - 15.80%
- ------------------------------------------------------------------------------------------------------
BRAZIL - 15.80%
- ------------------------------------------------------------------------------------------------------
824,000 Compania Cervejaria Brahma
(Beverages) $ 196,635
- ------------------------------------------------------------------------------------------------------
23,212 Compania Siderurgica Paulista,
Series 'B' (Steel) (a) 40,447
- ------------------------------------------------------------------------------------------------------
366,000 Compania Tecidos Norte de Minas
(Textile) 95,461
- ------------------------------------------------------------------------------------------------------
2,022,900 Compania Vale do Rao Doce (Steel) 272,788
- ------------------------------------------------------------------------------------------------------
459,000 Iochpe-Maxion
(Consumer Goods) 221,604
- ------------------------------------------------------------------------------------------------------
6,683,800 Lojas Renner S.A. (Retail) 117,653
- ------------------------------------------------------------------------------------------------------
610,800 Mesbla (Retail) (a) 60,334
- ------------------------------------------------------------------------------------------------------
109,855,971 Refrigeracao Parana S.A.
(Consumer Goods) $ 210,933
- ------------------------------------------------------------------------------------------------------
5,731,000 Telebras (Telecommunications) 153,929
- ------------------------------------------------------------------------------------------------------
2,286,426 Telecomunicacoes de Sao Paulo S.A.
(Telecommunications) 236,002
======================================================================================================
TOTAL PREFERRED STOCKS
(Cost $2,171,730) $ 1,605,786
======================================================================================================
CALL OPTION - 0.05%
- ------------------------------------------------------------------------------------------------------
BRAZIL - 0.05%
- ------------------------------------------------------------------------------------------------------
3,100 Compania Paulista de Forca
Luz, Call Option, Strike price 70,
Expires 10/16/95 (Cost $37) (a) $ 5,161
- ------------------------------------------------------------------------------------------------------
PRINCIPAL FOREIGN TREASURY
AMOUNT (c) CERTIFICATES - 7.81%
- ------------------------------------------------------------------------------------------------------
$ 189,611 Mexican Government Cetes, 4/6/95 $ 188,152
- ------------------------------------------------------------------------------------------------------
614,672 Mexican Government Cetes, 4/12/95 605,048
======================================================================================================
TOTAL FOREIGN TREASURY CERTIFICATES
(Cost $809,572) $ 793,200
- ------------------------------------------------------------------------------------------------------
TIME DEPOSITS - 16.35%
- ------------------------------------------------------------------------------------------------------
$ 1,661,159 Canadian Imperial Bank, 6.313%,
4/3/95 (Cost $1,661,159) $ 1,661,159
======================================================================================================
TOTAL INVESTMENTS
(Cost $12,627,935) 97.24% $ 9,880,599
- ------------------------------------------------------------------------------------------------------
Other Assets in Excess of Liabilities 2.76% 280,402
- ------------------------------------------------------------------------------------------------------
Net Assets 100.00% $10,161,001
======================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 16
LATIN AMERICAN EQUITY PORTFOLIO 16
------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
================================================================================
March 31, 1995 (unaudited)
FOOTNOTES
================================================================================
(a) Non-Income Producing Security
(b) Security exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period
end, the value of these securities amounted to $1,188,801 or 11.7% of
net assets.
(c) Principal amount stated in U.S. dollars unless otherwise noted.
<TABLE>
<S> <C>
Industry Diversification (as a percentage of Total Investments):
Beverages . . . . . . . . . . . . . . . . . . . . . . . 6.06%
Building & Construction . . . . . . . . . . . . . . . . 10.03%
Consumer Goods . . . . . . . . . . . . . . . . . . . . 4.38%
Foreign Treasury Certificates . . . . . . . . . . . . . 8.03%
Other* . . . . . . . . . . . . . . . . . . . . . . . . 8.17%
Paper . . . . . . . . . . . . . . . . . . . . . . . . . 3.81%
Retail . . . . . . . . . . . . . . . . . . . . . . . . 6.18%
Steel . . . . . . . . . . . . . . . . . . . . . . . . . 10.35%
Telecommunications . . . . . . . . . . . . . . . . . . 11.41%
Time Deposits . . . . . . . . . . . . . . . . . . . . . 16.81%
Utilities . . . . . . . . . . . . . . . . . . . . . . . 14.77%
-------
100.00%
=======
</TABLE>
* No one industry represents more than 3% of Portfolio holdings
See Notes to Financial Statements on Pages 19 and 20
<PAGE> 17
LATIN AMERICAN EQUITY PORTFOLIO 19
------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
================================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
The Latin American Equity Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 (the "Act"), as amended, as an open-end
management investment company. The Portfolio was organized on August 6, 1993 as
an unincorporated trust under the laws of New York and commenced operations on
October 25, 1993. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue beneficial interests in the Portfolio.
B. Security Valuation
The Portfolio's investments are valued each business day by an independent
pricing service (the "Service") approved by the Trustees. Securities traded
primarily on a principal securities exchange (domestic or foreign) are valued
at their last reported sale price on that exchange. If no sale is reported, or
if local custom or regulation so provides, the mean of the latest bid and asked
price is used. Securities traded over-the-counter are valued using either the
mean between the bid and asked price or, where local custom or regulations so
provide, the last sales price. Short-term obligations with remaining maturities
of 60 days or less are valued at amortized cost which with accrued interest
approximates value. Securities for which quotations are not available are
stated at fair value as determined by the Trustees.
C. Foreign Currency Transactions
The books and records of the Portfolio are maintained in U.S. dollars. All
assets and liabilities initially expressed in foreign currencies are converted
into U.S. dollars at prevailing exchange rates. Purchases and sales of
investment securities, dividend and interest income, and certain expenses are
translated at the rates of exchange prevailing on the respective dates of such
transactions.
The portfolio does not isolate that portion of the results of operations
resulting from changes in foreign exchange rates on investments from the
fluctuations arising from changes in market prices of securities held. Such
fluctuations are included with the net realized and unrealized gain or loss
from securities.
D. Forward Foreign Currency Contracts
The Portfolio may enter into forward foreign currency contracts for the purpose
of settling specific purchases or sales of securities denominated in a foreign
currency or with respect to the Portfolio's investments generally. The net U.S.
dollar value of foreign currency underlying all contractual commitments held by
the Portfolio and the resulting unrealized appreciation or depreciation are
determined using prevailing exchange rates. With respect to forward foreign
currency contracts, losses in excess of amounts recognized in the Statement of
Assets and Liabilities may arise due to changes in the value of the foreign
currency or if the counterparty does not perform under the contract.
E. Option Contracts
Upon the purchase of a put option or a call option by the Portfolio, the
premium paid is recorded as an investment, the value of which is
marked-to-market daily to reflect the current market value. When a purchased
option expires, the Portfolio will realize a loss in the amount of the cost of
the option. When the Portfolio enters into a closing sale transaction, the
Portfolio will realize a gain or loss depending on whether the sale proceeds
from the closing sale transaction are greater or less than the cost of the
option. When the Portfolio exercises a put option, it realizes a gain or loss
from the sale of the underlying security and the proceeds from such sale will
be decreased by the premium originally paid. When the Portfolio exercises a
call option, the cost of the security which the Portfolio purchases upon
exercise will be increased by the premium originally paid.
<PAGE> 18
LATIN AMERICAN EQUITY PORTFOLIO 20
------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
================================================================================
F. Security Transactions and Investment Income
Security transactions are accounted for on a trade date basis (date the order
to buy or sell is executed). Dividend income, less foreign taxes withheld (if
any), is recorded on the ex-dividend date or upon receipt of ex-dividend
notification in the case of certain foreign securities. 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.
All of the net investment income and realized and unrealized gains and losses
from security and foreign currency transactions of the Portfolio are allocated
pro rata among the investors of the Portfolio at the time of such
determination.
G. Organizational Expenses
Costs incurred by the Portfolio in connection with its organization and initial
registration are being amortized over a five year period on a straight-line
basis.
H. Federal Income Taxes
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code applicable to it. Therefore, no federal income tax provision is
required.
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of 0.20 of 1% of the Portfolio's average daily
net assets. For the six months ended March 31, 1995, this fee aggregated
$21,419.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, Bankers Trust manages the Portfolio in accordance with
the Portfolio's investment objective and stated investment policies in return
for a fee computed daily and paid monthly at an annual rate of 1.00 of 1% of
the Portfolio's average daily net assets. For the six months ended March 31,
1995, this fee aggregated $107,096.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 1.00 of 1% of the
average daily net assets of the Portfolio. For the six months ended March 31,
1995, expenses of the Portfolio have been reduced $102,725.
Certain trustees and officers of the Portfolio are also directors, officers
and/or employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Portfolio. Similarly, none of the
Portfolio's officers received compensation from the Portfolio.
NOTE 3 - PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations and options purchased, for the six months ended
March 31, 1995, were $15,294,965 and $21,705,050, respectively. The aggregate
gross unrealized appreciation for all investments was $179,207 and the
aggregate gross unrealized depreciation for all investments was $2,926,543.
<PAGE> 19
SMALL CAP PORTFOLIO 10
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
March 31, 1995 (unaudited)
<TABLE>
<S> <C>
Assets
Investments, at Value (Cost $32,624,286) $41,699,048
Cash 13,937
Receivable for Securities Sold 752,858
Deferred Organizational Expenses 12,828
Prepaid Expenses 1,521
-----------
Total Assets 42,480,192
-----------
Liabilities
Due to Bankers Trust 30,502
Payable for Securities Purchased 947,267
Accrued Expenses and Accounts Payable 26,076
-----------
Total Liabilities 1,003,845
-----------
Net Assets $41,476,347
===========
Composition of Net Assets
Paid-in Capital $32,401,585
Net Unrealized Appreciation on Securities 9,074,762
-----------
Net Assets, March 31, 1995 $41,476,347
===========
</TABLE>
See Notes to Financial Statements on Pages 19 and 20.
<PAGE> 20
SMALL CAP PORTFOLIO 11
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
For the six months ended March 31, 1995 (unaudited)
<TABLE>
<S> <C> <C>
Investment Income
Dividends $ 3,042
Interest 96,545
--------
Total Investment Income $ 99,587
----------
Expenses
Advisory Fee 101,472
Administration and Services Fee 15,611
Professional Fees 3,881
Amortization of Organizational Expenses 1,785
Insurance 1,363
Trustees Fees 806
Miscellaneous 705
--------
Total Expenses 125,623
Less: Expenses Absorbed by Bankers Trust (31,957) 93,666
-------- ----------
Net Investment Income 5,921
----------
Net Realized and Unrealized Gain (Loss) on Securities
Net Realized Gain from Securities Transactions 1,222,600
Net Unrealized Appreciation on Securities 5,899,598
----------
Net Realized and Unrealized Gain on Securities 7,122,198
----------
Net Increase in Net Assets from Operations $7,128,119
==========
</TABLE>
See Notes to Financial Statements on Pages 19 and 20.
<PAGE> 21
SMALL CAP PORTFOLIO 12
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the period
For the six October 21, 1993
months ended (Commencement
March 31, 1995 of Operations) to
(unaudited) September 30, 1994
-------------- ------------------
<S> <C> <C>
Increase (Decrease) in Net Assets
From Operations
Net Investment Income $ 5,921 $ 7,187
Net Realized Gain (Loss) from Securities Transactions 1,222,600 (1,172,477)
Net Unrealized Appreciation on Securities 5,899,598 3,175,164
----------- -----------
Net Increase in Net Assets from Operations 7,128,119 2,009,874
----------- -----------
From Capital Transactions
Proceeds from Capital Invested 17,348,575 21,058,530
Value of Capital Withdrawn (4,327,858) (1,740,893)
----------- -----------
Net Increase in Net Assets from Capital Transactions 13,020,717 19,317,637
----------- -----------
Total Increase in Net Assets 20,148,836 21,327,511
=========== ===========
Net Assets
Beginning of Period 21,327,511 -
End of Period $41,476,347 $21,327,511
=========== ===========
</TABLE>
See Notes to Financial Statements on Pages 19 and 20.
<PAGE> 22
SMALL CAP PORTFOLIO 13
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Contained below are selected ratios and supplemental data for each of the
periods indicated for the Small Cap Portfolio.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the period
For the six October 21, 1993
months ended (Commencement
March 31, 1995 of Operations) to
(unaudited) September 30, 1994
-------------- ------------------
<S> <C> <C>
Ratios and Supplemental Data
Ratio of Net Investment Income to Average Net Assets 0.04%* 0.07%*
Ratio of Expenses to Average Net Assets 0.60%* 0.60%*
Decrease Reflected in Above Ratio of Expenses to Average
Net Assets Due to Absorption of Expenses by Bankers Trust 0.20%* 0.38%*
Portfolio Turnover Rate 70% 154%
Net Assets, End of Period (000's omitted) $41,476 $21,328
</TABLE>
*Annualized
See Notes to Financial Statements on Pages 19 and 20.
<PAGE> 23
SMALL CAP PORTFOLIO 14
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
- --------------------------------------------------------------------------------
March 31, 1995 (unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ------ ----------- -----
<C> <S> <C>
COMMON STOCKS 91.70%
America's Changing
Leisure Time-0.96%
8,200 Applebees International (a) $ 181,425
8,900 Rock Bottom Restaurants (a) 183,562
2,700 Sodak Gaming (a) 31,725
-----------
396,712
===========
America's Educational
Crisis-0.53%
8,200 Apollo Group (a) 218,325
===========
Client Server Computing-20.09%
9,500 Alantec (a) 420,375
16,700 Atria Software (a) 793,250
13,900 Business Objects SA-SP, ADR (a) 437,850
3,700 Cable Design Technologies (a) 55,500
7,200 Chipcom (a) 271,800
5,000 C*ATS Software (a) 75,000
11,800 Dialogic (a) 334,825
11,900 Digital Link (a) 365,925
900 Fair Issac & Company (a) 43,200
24,000 Frame Technology (a) 456,000
13,200 FTP Software 419,100
8,300 Hyperion Software (a) 388,025
4,200 Integrated Silicon Systems (a) 121,800
7,000 Mercury Interactive (a) 118,125
9,000 National Instruments (a) 162,000
7,100 NetManage (a) 298,200
12,400 Network General (a) 353,400
15,400 Oak Technology (a) 458,150
11,600 ParcPlace Systems (a) 176,900
7,700 Platinum Technology (a) 160,738
18,100 PRI Automation (a) 402,725
3,200 Progress Software (a) 166,400
15,000 Santa Cruz Operation (a) 206,250
<CAPTION>
Shares Description Value
- ------ ----------- -----
<C> <S> <C>
8,800 Security Dynamics Tech (a) $ 297,000
17,300 Software Artistry (a) 415,200
9,500 Systemsoft (a) 81,938
20,900 Transactions Systems Architects (a) 436,287
5,100 Veritas Software (a) 146,625
9,400 XcelleNet (a) 270,250
-----------
8,332,838
===========
Environmental Crisis-1.01%
21,400 Tetra Technologies (a) 417,300
===========
Greying of America-4.43%
12,500 Advocat (a) 159,375
8,900 Living Centers of America (a) 334,862
7,000 Medaphis (a) 441,000
36,700 Regency Health Services (a) 486,275
11,400 Target Therapeutics (a) 416,100
-----------
1,837,612
===========
Interactive Media-3.16%
17,000 Antec (a) 408,000
21,400 Macromedia (a) 722,250
11,600 Pinnacle Systems (a) 179,800
-----------
1,310,050
===========
Life Sciences Revolution-1.61%
14,000 Idexx Laboratories (a) 581,000
8,100 Martek Biosciences (a) 74,925
700 Minntech 10,675
-----------
666,600
===========
Moved to Outsourcing-8.74%
20,600 Adflex Solutions (a) 412,000
28,600 Affiliated Computer Services (a) 836,550
20,100 Alternative Resources (a) 798,975
30,300 CareerStaff Unlimited (a) 590,850
11,100 Credence Systems (a) 346,875
</TABLE>
See Notes to Financial Statements on Pages 19 and 20.
<PAGE> 24
SMALL CAP PORTFOLIO 15
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
- --------------------------------------------------------------------------------
March 31, 1995 (unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ------ ----------- -----
<C> <S> <C>
23,000 Daisytek International (a) $ 497,375
4,800 Kent Electronics (a) 141,600
-----------
3,624,225
===========
New Consumer-1.39%
7,150 Blyth Industries (a) 196,625
15,000 ITI Technologies (a) 378,750
-----------
575,375
===========
New Health Care
Paradigm-20.29%
23,200 A.L. Pharmaceuticals Cl A (a) 530,700
2,400 CareLine (a) 15,600
7,400 Cerner (a) 358,900
19,500 Corvel (a) 550,875
9,400 Express Scripts (a) 263,200
13,000 Gulf South Medical Supply (a) 529,750
20,000 HCIA (a) 490,000
10,400 Medic Computer Systems (a) 452,400
13,900 MediSense (a) 274,525
35,000 Medpartners (a) 774,375
7,700 Nellcor (a) 293,563
10,500 Omnicare 551,250
22,300 Pediatric Services America (a) 373,525
17,500 Phamis (a) 380,625
15,600 Physician Reliance Network (a) 401,700
14,000 Professional Sports Care Management (a) 154,000
10,900 Quintiles Transactional (a) 395,125
18,700 RightCHOICE Managed Care (a) 336,600
15,600 Rotech Medical (a) 487,500
28,000 TheraTx(a) 469,000
11,300 Watson Pharmaceutical (a) 333,350
-----------
8,416,563
===========
<CAPTION>
Shares Description Value
- ------ ----------- -----
<C> <S> <C>
Productivity Enhancement-16.03%
20,200 Applix (a) $ 457,025
18,000 Aspen Technology (a) 355,500
8,000 Boole & Babbage (a) 228,000
12,300 Cheyenne Software (a) 175,275
12,500 Datastream Systems (a) 253,125
21,000 Delrina (a) 299,250
8,000 Digi International (a) 176,000
14,700 DSP Communications (a) 194,775
3,900 Electroglas (a) 170,625
9,200 Epic Design Technology (a) 246,100
6,300 Information Storage Devices (a) 135,450
11,100 Integrated Silicon Solution (a) 388,500
14,900 Mcafee Associates (a) 432,100
8,700 Micrel (a) 152,250
8,500 Microchip Technology (a) 239,063
20,000 Pheriphonics (a) 325,000
12,000 Quickresponse Services (a) 231,000
20,000 Remedy (a) 717,500
20,000 SDL (a) 515,000
10,100 Symbol Technologies (a) 310,575
17,500 Tivoli Systems (a) 647,500
-----------
6,649,613
===========
Special Situations-2.27%
23,800 Toy Biz (a) 467,075
16,700 Wackenhut Corrections (a) 473,862
-----------
940,937
===========
Stores of Value-5.04%
8,400 Baby Superstore (a) 329,700
21,600 Corporate Express (a) 572,400
29,500 Dollar Tree Stores (a) 619,500
13,000 Hechinger (a) 144,625
25,400 Lechters (a) 425,450
-----------
2,091,675
===========
</TABLE>
See Notes to Financial Statements on Pages 19 and 20.
<PAGE> 25
SMALL CAP PORTFOLIO 16
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
- --------------------------------------------------------------------------------
March 31, 1995 (unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ------ ----------- -----
<C> <S> <C>
Telecommunications-6.15%
29,900 Applied Digital Access (a) $ 478,400
10,000 Ascend Communications (a) 647,500
2,200 Aspect Telecommunications (a) 80,850
16,500 CIDCO (a) 497,063
4,200 National Data (a) 72,975
8,400 P-COM (a) 161,700
4,400 Spectrian (a) 132,550
12,700 Summa Four (a) 307,975
28,400 Telebit (a) 173,950
-----------
2,552,963
===========
Total Common Stocks
(Cost $28,957,132) $38,030,788
===========
<CAPTION>
Principal
Amount Description Value
- --------- ----------- -----
<C> <S> <C>
U.S. Treasury Bills-8.84%
$ 69,000 5.624%, 4/6/95 $ 68,946
115,000 5.62%, 4/13/95 114,787
53,000 5.70%, 4/20/95 52,840
43,000 5.71%, 4/27/95 42,823
57,000 5.84%, 5/4/95 56,705
137,000 5.67%, 5/18/95 135,986
189,000 5.80%, 5/25/95 187,390
1,329,000 5.69%, 6/1/95 1,316,649
1,529,000 5.68%, 6/15/95 1,511,452
183,000 5.76%, 6/22/95 180,682
-----------
Total U.S. Treasury Bills
(Cost $3,667,154) $ 3,668,260
===========
Total Investments
(Cost $32,624,286) 100.54% $41,699,048
Liabilities in Excess of Other Assets (0.54%) (222,701)
------- -----------
Net Assets 100.00% $41,476,347
======= ===========
(a) Non-Income Producing Securities
</TABLE>
See Notes to Financial Statements on Pages 19 and 20.
<PAGE> 26
SMALL CAP PORTFOLIO 19
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
- --------------------------------------------------------------------------------
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
The Small Cap Portfolio (the "Portfolio") is registered under the Investment
Company Act of 1940 (the "Act"), as amended, as an open-end management
investment company. The Portfolio was organized on August 6, 1993 as an
unincorporated trust under the laws of New York and commenced operations on
October 21, 1993. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue beneficial interests in the Portfolio.
B. Security Valuation
The Portfolio's investments are valued each business day by an independent
pricing service (the "Service") approved by the Trustees. Securities traded on
national exchanges or traded in the NASDAQ National Market System are valued at
the last sales prices reported at the close of business on each day. Over-the-
counter securities not included in the NASDAQ National Market System and listed
securities for which no sale was reported are valued at the mean of the bid and
asked prices. Short-term obligations with remaining maturities of 60 days or
less, are valued at amortized cost which with accrued interest approximates
value. Securities for which quotations are not available are stated at fair
value as determined by the Trustees.
C. Security Transactions and Investment Income
Security transactions are accounted for on a trade date basis (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.
The Portfolio may enter into repurchase agreements with financial institutions
deemed to be creditworthy by the Portfolio's Investment Adviser, subject to the
seller's agreement to repurchase such securities at a mutually agreed upon
price. Securities purchased subject to repurchase agreements are deposited with
the Portfolio's custodian, and pursuant to the terms of the repurchase agreement
must have an aggregate market value greater than or equal to the repurchase
price plus accrued interest at all times. If the value of the underlying
securities falls below the value of the repurchase price plus accrued interest,
the Portfolio 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 Portfolio maintains the right
to sell the underlying securities at market value and may claim any resulting
loss against the seller.
All of the net investment income and realized and unrealized gains and losses
from the securities transactions of the Portfolio are allocated pro rata among
the investors in the Portfolio at the time of such determination.
D. Organizational Expenses
Costs incurred by the Portfolio in connection with its organization and initial
registration are being amortized over a five year period on a straight-line
basis.
E. Federal Income Taxes
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code applicable to it. Therefore, no federal income tax provision is
required.
<PAGE> 27
SMALL CAP PORTFOLIO 20
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
- --------------------------------------------------------------------------------
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of 0.10 of 1% of the Portfolio's average daily
net assets. For the six months ended March 31, 1995, this fee aggregated
$15,611.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, Bankers Trust manages the Portfolio in accordance with
the Portfolio's investment objective and stated investment policies in return
for a fee computed daily and paid monthly at an annual rate of 0.65 of 1% of the
Portfolio's average daily net assets. For the six months ended March 31, 1995,
this fee aggregated $101,472.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 0.60 of 1% of the
average daily net assets of the Portfolio. For the six months ended March 31,
1995, expenses of the Portfolio have been reduced $31,957.
Certain trustees and officers of the Portfolio are also directors, officers
and/or employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Portfolio. Similarly, none of the
Portfolio's officers received compensation from the Portfolio.
NOTE 3 - PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the six months ended March 31, 1995, were
$31,994,593 and $20,129,226, respectively. The aggregate gross unrealized
appreciation for all investments was $9,441,308 and the aggregate gross
unrealized depreciation for all investments was $366,546.
<PAGE> 28
GLOBAL HIGH YIELD SECURITIES PORTFOLIO 10
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
March 31, 1995 (unaudited)
<TABLE>
<S> <C>
Assets
Investments, at Value (Cost $15,477,592) $13,653,421
Cash 462,894
Interest Receivable 440,921
Prepaid Expenses 1,526
Deferred Organizational Expenses 13,350
-----------
Total Assets 14,572,112
-----------
Liabilities
Due to Bankers Trust 7,750
Payable for Securities Purchased 465,260
Accrued Expenses and Accounts Payable 28,041
-----------
Total Liabilities 501,051
-----------
Net Assets $14,071,061
===========
Composition of Net Assets
Paid-in Capital $15,895,776
Net Unrealized (Depreciation) on Securities (1,824,171)
Net Unrealized (Depreciation) on Foreign Currency Translation (544)
-----------
Net Assets, March 31, 1995 $14,071,061
===========
</TABLE>
See Notes to Financial Statements on Pages 18 and 19
<PAGE> 29
GLOBAL HIGH YIELD SECURITIES PORTFOLIO 11
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
For the six months ended March 31, 1995 (unaudited)
<TABLE>
<S> <C> <C>
Investment Income
Interest (net of foreign withholding tax of $1,298) $ 834,882
Expenses
Advisory Fee $ 59,368
Administration and Services Fee 14,842
Professional Fees 10,106
Insurance 1,359
Trustees Fees 806
Amortization of Organizational Expenses 1,795
Miscellaneous 732
--------
Total Expenses 89,008
Less: Expenses Absorbed by Bankers Trust (33,351) 55,657
-------- -----------
Net Investment Income 779,225
-----------
Net Realized and Unrealized Gain (Loss) on Securities and Foreign Currency
Net Realized (Loss) from Securities Transactions (631,017)
Net Realized (Loss) from Foreign Currency Transactions (1,325)
Net Unrealized (Depreciation) on Securities (1,861,168)
Net Unrealized Appreciation on Foreign Currency Translation 3,049
-----------
Net Realized and Unrealized (Loss) on Securities and Foreign Currency (2,490,461)
-----------
Net (Decrease) in Net Assets from Operations $(1,711,236)
===========
</TABLE>
See Notes to Financial Statements on Pages 18 and 19
<PAGE> 30
GLOBAL HIGH YIELD SECURITIES PORTFOLIO 12
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the Period
For the six December 14, 1993
months ended (Commencement
March 31, 1995 of Operations) to
(unaudited) September 30, 1994
-------------- ------------------
<S> <C> <C>
Increase (Decrease) in Net Assets
From Operations
Net Investment Income $ 779,225 $ 531,903
Net Realized (Loss) from Securities and Foreign
Currency Transactions (632,342) (183,030)
Net Unrealized Appreciation (Depreciation) on Securities
and Foreign Currency Translation (1,858,119) 33,404
----------- -----------
Net Increase (Decrease) in Net Assets from Operations (1,711,236) 382,277
----------- -----------
From Capital Transactions
Proceeds from Capital Invested 6,202,581 21,182,075
Value of Capital Withdrawn (5,149,282) (6,835,354)
----------- -----------
Net Increase in Net Assets from Capital Transactions 1,053,299 14,346,721
----------- -----------
Total Increase (Decrease) in Net Assets (657,937) 14,728,998
=========== ===========
Net Assets
Beginning of Period 14,728,998 -
End of Period $14,071,061 $14,728,998
=========== ===========
</TABLE>
See Notes to Finanacial Statements on Pages 18 and 19
<PAGE> 31
GLOBAL HIGH YIELD SECURITIES PORTFOLIO 13
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Contained below are selected ratios and supplemental data for each of the
periods indicated for the Global High Yield Securities Portfolio.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
For the period
For the six December 14, 1993
months ended (Commencement
March 31, 1995 of Operations) to
(unaudited) September 30, 1994
-------------- ------------------
<S> <C> <C>
Ratios and Supplemental Data
Ratio of Net Investment Income to Average Net Assets 10.50%* 6.44%*
Ratio of Expenses to Average Net Assets 0.75%* 0.75%*
Decrease Reflected in Above Ratio of Expenses to Average
Net Assets Due to Absorption of Expenses by Bankers Trust 0.45%* 0.59%*
Portfolio Turnover Rate 63% 347%
Net Assets, End of Period (000's omitted) $14,071 $14,729
</TABLE>
* Annualized
See Notes to Finanacial Statements on Pages 18 and 19
<PAGE> 32
GLOBAL HIGH YIELD SECURITIES PORTFOLIO 14
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
- --------------------------------------------------------------------------------
March 31, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Description Value
- --------- ----------- -----
<S> <C> <C>
GOVERNMENT BONDS - 39.20%
Argentina - 11.78%
$2,000,000 Argentina Par Series L-GL
7.125%, 3/31/23 (a) $1,082,500
1,400,000 Argentina Par Series L-GP
4.25%, 3/31/23 (a) 574,875
----------
1,657,375
==========
Brazil - 10.95%
357,000 Brazil C 8.00%,
4/15/14 131,867
1,224,000 Brazil C Series L 8.00%,
4/15/14 452,115
1,000,000 Brazil Series EI-L, 6.687%,
4/15/06 (a) 505,000
1,000,000 Brazil New Money Bond
6.75%, 4/15/09 (a) 452,500
----------
1,541,482
==========
Bulgaria - 2.40%
1,000,000 Bulgaria IAB Series PDI 7.563%,
7/28/11 (a) 337,500
==========
Mexico - 4.18%
1,000,000 Mexico Discount Series D 7.25%,
12/31/19 (a) 587,500
==========
Morocco - 3.30%
800,000 Morocco Reconstruction &
Consolidation Agreement Series A
7.375%, 1/1/09 (a) 464,000
==========
Panama - 2.00%
700,000 Panama Refinance Loan 0.00%,
1/1/00 (d) 281,750
==========
Poland - 2.88%
275,000 Poland Discount 6.813%,
10/27/24 176,516
<CAPTION>
Principal
Amount Description Value
- --------- ----------- -----
<S> <C> <C>
$145,000 Poland Series PDI 3.25%,
10/27/14 $ 58,181
521,000 Poland Series RSTA 2.75%,
10/27/24 171,279
----------
405,976
==========
Uruguay - 1.71%
500,000 Uruguay Discount Note Series B
7.875%, 2/18/07 (a) 240,000
==========
Total Government Bonds (Cost $7,258,034) $5,515,583
==========
CORPORATE DEBENTURES - 53.30%
Argentina - 1.13%
$ 200,000 Baesa Embotelladora 8.50%,
12/29/00 (c) $ 159,500
==========
Canada - 4.97%
1,000,000 Call - Net Enterprises 0.00%,
12/1/04 (d) 552,500
250,000 Rogers Cablesystems 9.65%,
1/15/14 146,612
----------
699,112
==========
Colombia - 2.86%
500,000 Celcaribe 0.00%,
3/15/04 (b) (c) 402,500
==========
Costa Rica - 2.14%
700,000 Banco Central de Costa Rica
Series A 6.25%, 5/21/10 301,000
==========
Hong Kong - 2.77%
500,000 Goldlion Capital 4.875%,
2/1/99 389,375
==========
Indonesia - 4.57%
700,000 PT Polysindo 13.00%,
6/15/01 644,000
==========
South Africa - 3.81%
500,000 Liberty Life Association 6.50%,
9/30/04 536,250
==========
</TABLE>
See Notes to Financial Statements on Pages 18 and 19
<PAGE> 33
GLOBAL HIGH YIELD SECURITIES PORTFOLIO 15
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
- --------------------------------------------------------------------------------
March 31, 1995 (unaudited)
<TABLE>
<CAPTION>
Principal
Amount Description Value
- --------- ----------- -----
<S> <C> <C>
United Kingdom - 4.23%
$1,000,000 Videotron Holdings 0.00%,
7/1/04 (d) $ 595,000
===========
United States - 26.82%
250,000 Cencall Communications 0.00%,
1/15/04 (b) 93,750
500,000 Crown Packaging 10.75%,
11/1/00 495,000
250,000 Fort Howard Corporation 14.125%,
11/1/04 251,250
500,000 Hollywood Casino 14.00%,
4/1/98 532,500
500,000 Icon Health and Fitness 13.00%,
7/15/02 (c) 532,500
500,000 Petroleum Heat and Water
12.25%, 2/1/05 522,500
750,000 Pricellular 0.00%,
11/15/01 (d) 555,000
250,000 S.D. Warren 12.00%,
12/15/04 (c) 263,750
500,000 Schuller International Group
10.875%, 12/15/04 527,500
-----------
3,773,750
===========
Total Corporate Debentures (Cost $7,678,565) $ 7,500,487
===========
OTHER SECURITIES - 0.00%
Mexico - 0.00%%
$3,540,650 Mexico Recovery Rights
Expire 6/30/03 $ 0
===========
<CAPTION>
Shares Description Value
- ------ ----------- -----
<S> <C> <C>
PREFERRED STOCK - 4.53%
South Africa - 4.53%
8,800 Sasol 8.5% Convertible $ 84,201
10,000 South African Breweries,
Cl. A 276,575
10,000 South African Breweries,
Cl. B 276,575
-----------
Total Preferred Stock (Cost $540,993) $ 637,351
===========
Total Investments
(Cost $15,477,592) 97.03% $13,653,421
Other Assets in Excess of Liabilities 2.97% 417,640
------- -----------
Net Assets 100.00% $14,071,061
======= ===========
</TABLE>
(a) Floating Rate Security
(b) Purchased at Deep Discount
(c) Securities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period
end, the value of these securities amounted to $1,358,250 or 9.65% of net
assets.
(d) Debt obligation initially issued in zero coupon form which converts to
coupon form at a specified rate and date.
See Notes to Financial Statements on Pages 18 and 19
<PAGE> 34
GLOBAL HIGH YIELD SECURITIES PORTFOLIO 18
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
- --------------------------------------------------------------------------------
NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
The Global High Yield Securities Portfolio (the "Portfolio") is registered under
the Investment Company Act of 1940 (the "Act"), as amended, as an open-end
management investment company. The Portfolio was organized on August 6, 1993 as
an unincorporated trust under the laws of New York and commenced operations on
December 14, 1993. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue beneficial interests in the Portfolio.
B. Security Valuation
The Portfolio's investments are valued each business day by an independent
pricing service (the "Service") approved by the Trustees. Investments for which
quoted bid prices in the judgment of the Service are readily available and are
representative of the bid side of the market are valued at the mean between the
quoted bid prices (as obtained by the Service from dealers in such securities)
and asked prices (as calculated by the Service based upon its evaluation of the
market for such securities). Other investments (which constitute a majority of
the portfolio securities) are carried at fair value as determined by the
Service, based on methods which include consideration of: yields or prices of
securities of comparable quality, coupon, maturity and type; indications as to
values from dealers; and general market conditions. Securities traded primarily
on a principal securities exchange (domestic or foreign) are valued at their
last reported sale price on that exchange. If no sale is reported, or if local
custom or regulation so provides, the mean of the latest bid and asked price is
used. Securities traded over-the-counter are valued using either the mean
between the bid and asked price or, where local custom or regulations so
provide, the last sales price. Short-term obligations with remaining maturities
of 60 days or less are valued at amortized cost which with accrued interest
approximates value. Securities for which quotations are not available are stated
at fair value as determined by the Trustees.
C. Foreign Currency Transactions
The books and records of the Portfolio are maintained in U.S. dollars. All
assets and liabilities initially expressed in foreign currencies are converted
into U.S. dollars at prevailing exchange rates. Purchases and sales of
investment securities and interest income, and certain expenses are translated
at the rates of exchange prevailing on the respective dates of such
transactions.
D. Forward Foreign Currency Contracts
The Portfolio may enter into forward foreign currency contracts for the purpose
of settling specific purchases or sales of securities denominated in a foreign
currency or with respect to the Portfolio's investments generally. The net U.S.
dollar value of foreign currency underlying all contractual commitments held by
the Portfolio and the resulting unrealized appreciation or depreciation are
determined using prevailing exchange rates. With respect to forward foreign
currency contracts, losses in excess of amounts recognized in the Statement of
Assets and Liabilities may arise due to changes in the value of the foreign
currency or if the counterparty does not perform under the contract.
E. Security Transactions and Investment Income
Security transactions are accounted for on a trade date basis (date the order to
buy or sell is executed). 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.
All of the net investment income and realized and unrealized gains and losses
from securities and foreign currency transactions of the Portfolio are allocated
pro rata among investors of the Portfolio at the time of such
determination.
F. Organizational Expenses
Costs incurred by the Portfolio in connection with its organization and initial
registration are being amortized over a five year period on a straight-line
basis.
G. Federal Income Taxes
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code applicable to it. Therefore, no federal income tax provision is
required.
<PAGE> 35
GLOBAL HIGH YIELD SECURITIES PORTFOLIO 19
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
- --------------------------------------------------------------------------------
NOTE 2 -- FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of 0.20 of 1% of the Portfolio's average daily
net assets. For the six months ended March 31, 1995, this fee aggregated
$14,842.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, Bankers Trust manages the Portfolio in accordance with
the Portfolio's investment objective and stated investment policies in return
for a fee computed daily and paid monthly at an annual rate of 0.80 of 1% of the
Portfolio's average daily net assets. For the six months ended March 31, 1995,
this fee aggregated $59,368.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 0.75 of 1% of the
average daily net assets of the Portfolio. For the six months ended March 31,
1995, expenses of the Portfolio have been reduced $33,351.
Certain trustees and officers of the Portfolio are also directors, officers
and/or employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Portfolio. Similarly, none of the
Portfolio's officers received compensation from the Portfolio.
NOTE 3 -- PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the six months ended March 31, 1995, were
$10,670,086 and $9,015,105, respectively. The aggregate gross unrealized
appreciation for all investments was $319,657 and the aggregate gross unrealized
depreciation for all investments was $2,143,828.
NOTE 4 -- CREDIT RISKS
Although the Portfolio's investments are diversified, the Portfolio invests in
primarily high yield, non-investment grade debt securities issued in many of the
world's securities markets. Investments in higher yielding securities are
accompanied by a greater degree of credit risk and the risk tends to be more
sensitive to economic conditions than higher rated securities. The risk of loss
due to default by the issuer may be significantly greater for the holders of
high yielding securities because such securities are generally unsecured and are
often subordinated to other creditors of the issuer.
