<PAGE> 1
- --------------------------------------------------------------------------------
Global High Yield Securities Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ----------- ------------------------------------------- ------------
<C> <S> <C>
CORPORATE DEBENTURES - 60.50%
BRAZIL - 2.04%
$ 400,000 Comp Vale Do Rio Doce 10.00%, 4/02/04(c)... $ 403,000
---------
CANADA - 5.53%
500,000 Call-Net Enterprises, 12/1/04(d)(f)........ 368,750
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ----------- ------------------------------------------- ------------
<C> <S> <C>
$ 500,000 Rogers Cablesystems 10.00%, 3/15/05........ $ 520,000
200,000 Rogers Cablesystems 9.625%, 8/01/02........ 206,000
---------
1,094,750
---------
COLUMBIA - 2.44%
500,000 Celcaribe, 3/15/04(b)(c)(f)................ 482,500
---------
</TABLE>
See Notes to Financial Statements on Pages 48 - 50
30
<PAGE> 2
- --------------------------------------------------------------------------------
Global High Yield Securities Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ----------- ------------------------------------------- ------------
<C> <S> <C>
HONG KONG - 13.87%
$ 260,000 China Overseas Land 5.25%, 12/08/00........ $ 228,800
250,000 China Resources Entertainment 3.00%,
11/24/05.................................. 294,219
740,000 Hysan Development Finance 6.75%, 6/01/00... 861,175
500,000 Lai Fung Overseas Finance 5.50%, 1/05/98... 432,500
400,000 New World Development 4.375%, 12/11/00..... 430,000
500,000 Station Casinos 10.125%, 3/15/06........... 500,000
---------
2,746,694
---------
SOUTH AFRICA - 9.30%
550,000 Investec Overseas Finance 6.375%,
11/30/02(c)............................... 592,625
360,000 Investec Overseas Finance 6.375%,
11/30/02.................................. 388,350
640,000 Liberty Life International 6.50%,
9/30/04................................... 860,400
---------
1,841,375
---------
TAIWAN - 2.53%
500,000 Winbond Electronics 2.00%, 3/13/03......... 500,000
---------
UNITED KINGDOM - 1.83%
500,000 Videotron Holdings PLC, 7/1/04(d)(f)....... 361,250
---------
UNITED STATES - 22.96%
1,000,000 American Communication Services,
4/01/06(c)(d)(f).......................... 527,500
95,000 Barlow International Investments 7.00%,
9/20/04................................... 142,381
500,000 Dominion Textile USA 9.25%, 4/01/06........ 502,500
500,000 Giant Industries 9.75%, 11/15/03........... 507,500
250,000 Ivac Corporation 9.25%, 12/01/02........... 256,250
1,000,000 Pricellular, 10/01/03(d)(f)................ 795,000
500,000 Schuller International Group 10.875%,
12/15/04.................................. 546,250
500,000 Tenet Healthcare 8.625%, 12/01/03.......... 516,250
250,000 United Meridian 10.375%, 10/15/05.......... 265,000
500,000 Vintage Petroleum 9.00%, 12/15/05.......... 487,500
---------
4,546,131
---------
TOTAL CORPORATE DEBENTURES
(Cost $11,462,316)....................................... $ 11,975,700
---------
GOVERNMENT BONDS - 31.97%
ARGENTINA - 9.37%
1,750,000 Argentina Par Series L-GL 6.562%,
3/31/23(a)................................ 1,125,469
1,400,000 Argentina Par Series L-GP 5.25%,
3/31/23(a)................................ 728,875
---------
1,854,344
---------
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ----------- ------------------------------------------- ------------
<C> <S> <C>
BRAZIL - 12.11%
$ 590,552 Brazil C 8.00%, 4/15/14.................... $ 347,687
1,273,452 Brazil C Series L 8.00%, 4/15/14........... 749,744
1,000,000 Brazil DCB Series L 6.875%, 4/15/12(a)..... 620,000
1,000,000 Brazil New Money Bond 6.875%, 4/15/09(a)... 680,000
---------
2,397,431
---------
MEXICO - 1.61%
500,000 Mexico Par Series B 6.25%, 12/31/19........ 318,438
---------
MOROCCO - 2.82%
800,000 Morocco Reconstruction & Consolidation
Agreement Ser A 6.593%, 1/1/09(a)......... 558,000
---------
PANAMA - 2.88%
700,000 Panama Refinance Loan 7.01%,(e)............ 570,500
---------
POLAND - 3.18%
275,000 Poland Discount 6.875%, 10/27/24(a)........ 243,375
145,000 Poland Series PDI 3.75%, 10/27/14(a)....... 109,838
521,000 Poland Series RSTA 2.75%, 10/27/24(a)...... 276,781
---------
629,994
---------
TOTAL GOVERNMENT BONDS
(Cost $5,852,589)........................................ $ 6,328,707
---------
<CAPTION>
SHARES
- -----------
<C> <S> <C>
PREFERRED STOCKS - 4.64%
SOUTH AFRICA - 4.64%
24,185 Bidvest Group Limited...................... 157,992
2,180 City Lodge Hotels Limited.................. 19,719
46,135 Fedsure Holdings Limited................... 368,037
11,450 South African Breweries, Class B........... 373,995
TOTAL PREFERRED STOCKS
(Cost $779,795).......................................... $ 919,743
---------
</TABLE>
See Notes to Financial Statements on Pages 48 - 50
31
<PAGE> 3
- --------------------------------------------------------------------------------
Global High Yield Securities Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------------- ------------
<C> <S> <C>
COMMON STOCK - 0.02%
SOUTH AFRICAN - 0.02%
115 South African Breweries (Cost $3,481)...... $ 3,640
---------
OTHER SECURITIES - 0.01%
UNITED STATES - 0.01%
500 IHF Holdings-Warrants Series I Expire
11/14/99 (Cost $0)........................ 1,500
---------
TOTAL INVESTMENTS
(Cost $18,098,181) - 97.14%.............................. 19,229,290
Other Assets in Excess of Liabilities - $2.86%............ 566,761
---------
NET ASSETS - 100.00%...................................... $ 19,796,051
---------
</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 $2,005,625 or 10.13% of net
assets.
(d) Debt obligations initially issued in zero coupon form which converts to
coupon form at specified rate and date.
(e) Non-Income Producing Security.
(f) Zero coupon.
See Notes to Financial Statements on Pages 48 - 50
32
<PAGE> 4
- --------------------------------------------------------------------------------
BT Portfolios
STATEMENTS OF ASSETS AND LIABILITIES March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL HIGH LATIN
CAPITAL YIELD INTERMEDIATE INTERNATIONAL AMERICAN
APPRECIATION SECURITIES TAX FREE EQUITY EQUITY
------------ ----------- ------------ ------------- -----------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments, at Value+.......................... $197,485,269 $19,229,290 $ 19,594,157 $ 121,337,441 $14,699,142
Cash++.......................................... -- 454,149 38,835 39,147 26,582
Receivable for Securities Sold.................. 3,669,701 1,545,903 2,850,349 1,058,112 586,302
Dividends and Interest Receivable............... 6,319 409,534 310,409 348,797 37,362
Receivable for Foreign Taxes Withheld........... -- -- -- 100,262 --
Net Unrealized Appreciation on Forward Currency
Contracts...................................... -- -- -- 24,156 --
Prepaid Expenses and Other...................... 738 113 110 409 67
Due from Bankers Trust.......................... -- -- 14,485 -- 1,415
------------ ----------- ----------- ------------ -----------
Total Assets....................................... 201,162,027 21,638,989 22,808,345 122,908,324 15,350,870
------------ ----------- ----------- ------------ -----------
LIABILITIES
Due to Bankers Trust............................ 86,252 14,905 -- 53,414 42,449
Due to Custodian................................ 3,952 913,650 -- -- --
Payable for Securities Purchased................ 11,628,216 899,509 -- 4,558,261 322,698
Net Unrealized Depreciation on Forward Currency
Contracts...................................... -- -- -- -- --
Accrued Expenses and Other...................... 16,693 14,874 17,579 15,513 24,577
------------ ----------- ----------- ------------ -----------
Total Liabilities.................................. 11,735,113 1,842,938 17,579 4,627,188 389,724
------------ ----------- ----------- ------------ -----------
NET ASSETS......................................... $189,426,914 $19,796,051 $ 22,790,766 $ 118,281,136 $14,961,146
============ =========== =========== ============ ===========
COMPOSITION OF NET ASSETS
Paid-in Capital................................. $172,833,659 $18,670,897 $ 22,044,349 $ 102,905,836 $15,358,688
Net Unrealized Appreciation (Depreciation) on
Investments, Foreign Currencies and Forward
Currency Contracts............................. 16,593,255 1,125,154 746,417 15,375,300 (397,542)
------------ ----------- ----------- ------------ -----------
NET ASSETS, MARCH 31, 1996......................... $189,426,914 $19,796,051 $ 22,790,766 $ 118,281,136 $14,961,146
============ =========== =========== ============ ===========
<CAPTION>
PACIFIC
BASIN
EQUITY SMALL CAP
------------ ------------
<S> <C> <C>
ASSETS
Investments, at Value+.......................... $ 26,791,964 $206,964,055
Cash++.......................................... 1,328,888 626,749
Receivable for Securities Sold.................. 659,540 1,505,247
Dividends and Interest Receivable............... 29,678 713
Receivable for Foreign Taxes Withheld........... -- --
Net Unrealized Appreciation on Forward Currency
Contracts...................................... -- --
Prepaid Expenses and Other...................... 121 606
Due from Bankers Trust.......................... -- --
----------- -----------
Total Assets....................................... 28,810,191 209,097,370
----------- -----------
LIABILITIES
Due to Bankers Trust............................ 22,425 119,227
Due to Custodian................................ -- --
Payable for Securities Purchased................ 306,628 2,666,864
Net Unrealized Depreciation on Forward Currency
Contracts...................................... 38,665 --
Accrued Expenses and Other...................... 25,810 14,835
----------- -----------
Total Liabilities.................................. 393,528 2,800,926
----------- -----------
NET ASSETS......................................... $ 28,416,663 $206,296,444
=========== ===========
COMPOSITION OF NET ASSETS
Paid-in Capital................................. $ 26,858,121 $162,346,209
Net Unrealized Appreciation (Depreciation) on
Investments, Foreign Currencies and Forward
Currency Contracts............................. 1,558,542 43,950,235
----------- -----------
NET ASSETS, MARCH 31, 1996......................... $ 28,416,663 $206,296,444
=========== ===========
</TABLE>
- ------------------
+ The cost of Capital Appreciation Portfolio for the period ended March 31,
1996 was $180,892,014, Global High Yield Securities Portfolio $18,098,181,
Intermediate Tax Free Portfolio $18,847,740, International Equity Portfolio
$105,942,091, Latin American Equity Portfolio $15,092,320, Pacific Basin
Equity Portfolio $25,194,870 and Small Cap Portfolio $163,013,820.
++ Includes foreign cash of $454,149, $35,462, $24,056 and $766,809 for Global
High Yield Securities, International Equity, Latin American Equity and
Pacific Basin Equity with a cost of $460,102, $74,005, $28,362 and $767,082,
respectively.
See Notes to Financial Statements on Pages 48 - 50
42
<PAGE> 5
- --------------------------------------------------------------------------------
BT Portfolios
STATEMENTS OF OPERATIONS For the period ended March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GLOBAL
CAPITAL HIGH YIELD INTERMEDIATE INTERNATIONAL
APPRECIATION SECURITIES TAX FREE EQUITY
------------ ---------- ------------ -------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends+................................................ $ 100,098 $ 15,224 -- $ 689,466
Interest.................................................. 407,356 834,345 $ 290,590 141,259
------------ ---------- --------- ----------
TOTAL INVESTMENT INCOME...................................... 507,454 849,569 290,590 830,725
------------ ---------- --------- ----------
EXPENSES
Advisory.................................................. 546,623 81,613 22,501 302,602
Administration and Services............................... 84,096 20,403 2,813 69,831
Professional.............................................. 19,062 7,075 5,733 13,709
Trustees.................................................. 1,532 1,446 796 1,560
Transfer Tax.............................................. -- -- -- 2,322
Shareholders Reports...................................... 925 -- 63 650
Miscellaneous............................................. 735 5,860 -- 726
------------ ---------- --------- ----------
Total Expenses............................................ 652,973 116,397 31,906 391,400
Less: Expenses Absorbed by Bankers Trust.................. (148,398) (39,885) (6,593) (88,798)
------------ ---------- --------- ----------
Net Expenses........................................... 504,575 76,512 25,313 302,602
------------ ---------- --------- ----------
NET INVESTMENT INCOME (LOSS)................................. 2,879 773,057 265,277 528,123
------------ ---------- --------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY TRANSACTIONS
Net Realized Gain (Loss) from:
Investment Transactions.................................. 16,902,854 360,334 263,100 1,390,252
Foreign Currency Transactions............................ -- (9,321) -- 690,674
Net Change in Unrealized Appreciation (Depreciation) of:
Investments.............................................. (16,152,731) 1,101,125 (717,956) 3,530,486
Foreign Currencies and Forward Currency Contracts........ -- (5,964) -- 77,506
------------ ---------- --------- ----------
NET GAIN (LOSS) ON INVESTMENTS, FOREIGN CURRENCIES AND
FORWARD CURRENCY CONTRACTS.................................. 750,123 1,446,174 (454,856) 5,688,918
------------ ---------- --------- ----------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS........ $ 753,002 $2,219,231 $ (189,579) $ 6,217,041
============ ========== ========= ==========
<CAPTION>
LATIN
AMERICAN PACIFIC
EQUITY BASIN EQUITY SMALL CAP
------------- ------------ -----------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends+................................................ $ 109,693 $ 93,734 $ 19,858
Interest.................................................. 46,167 4,860 455,753
-------- ---------- -----------
TOTAL INVESTMENT INCOME...................................... 155,860 98,594 475,611
-------- ---------- -----------
EXPENSES
Advisory.................................................. 62,306 100,363 511,914
Administration and Services............................... 12,461 33,454 78,756
Professional.............................................. 12,409 15,367 14,729
Trustees.................................................. 1,585 1,560 1,532
Transfer Tax.............................................. 427 6,804 --
Shareholders Reports...................................... 650 650 500
Miscellaneous............................................. -- 887 693
-------- ---------- -----------
Total Expenses............................................ 89,838 159,085 608,124
Less: Expenses Absorbed by Bankers Trust.................. (27,532) (25,268) (135,587)
-------- ---------- -----------
Net Expenses........................................... 62,306 133,817 472,537
-------- ---------- -----------
NET INVESTMENT INCOME (LOSS)................................. 93,554 (35,223) 3,074
-------- ---------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY TRANSACTIONS
Net Realized Gain (Loss) from:
Investment Transactions.................................. 542,302 835,679 2,392,080
Foreign Currency Transactions............................ (21,948) (129,447) --
Net Change in Unrealized Appreciation (Depreciation) of:
Investments.............................................. 2,298 1,075,673 21,647,288
Foreign Currencies and Forward Currency Contracts........ (3,696) 78,159 --
-------- ---------- -----------
NET GAIN (LOSS) ON INVESTMENTS, FOREIGN CURRENCIES AND
FORWARD CURRENCY CONTRACTS.................................. 518,956 1,860,064 24,039,368
-------- ---------- -----------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS........ $ 612,510 $ 1,824,841 $24,042,442
======== ========== ===========
</TABLE>
- ------------------
+ Net of foreign withholding tax of $1,142 Capital Appreciation Portfolio,
$78,541 International Equity Portfolio, $9,309 Latin American Equity Portfolio
and $10,050 Pacific Basin Equity Portfolio.
See Notes to Financial Statements on Pages 48 - 50
43
<PAGE> 6
- --------------------------------------------------------------------------------
BT Portfolios
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAPITAL APPRECIATION GLOBAL HIGH YIELD SECURITIES
------------------------------------- -------------------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE PERIOD MONTHS ENDED
MARCH 31, 1996 JANUARY 1, 1995 TO MARCH 31, 1996 FOR THE YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 1995 (UNAUDITED) SEPTEMBER 30, 1995
-------------- ------------------ -------------- ------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
Net Investment Income (Loss).................. $ 2,879 $ 10,500 $ 773,057 $ 1,706,048
Net Realized Gain (Loss) from Investments
and Foreign Currency Transactions........ 16,902,854 11,774,764 351,013 (516,419)
Net Unrealized Appreciation (Depreciation)
on Investments, Foreign Currencies and
Forward Currency Contracts............... (16,152,731) 23,909,639 1,095,161 (3,411)
-------------- ------------------ -------------- ------------------
Net Increase (Decrease) in Net Assets from
Operations................................... 753,002 35,694,903 2,219,231 1,186,218
-------------- ------------------ -------------- ------------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested............. 64,319,770 63,887,608 7,086,285 18,275,555
Value of Capital Withdrawn................. (25,533,747) (23,328,952) (12,512,930) (11,187,306)
-------------- ------------------ -------------- ------------------
Net Increase (Decrease) in Net Assets from
Capital Transactions......................... 38,786,023 40,558,656 (5,426,645) 7,088,249
-------------- ------------------ -------------- ------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS....... 39,539,025 76,253,559 (3,207,414) 8,274,467
NET ASSETS
Beginning of Period........................... 149,887,889 73,634,330 23,003,465 14,728,998
-------------- ------------------ -------------- ------------------
End of Period................................. $189,426,914 $149,887,889 $ 19,796,051 $ 23,003,465
=============== =================== =============== ===================
</TABLE>
<TABLE>
<CAPTION>
LATIN AMERICAN EQUITY PACIFIC BASIN EQUITY
------------------------------------- -------------------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED MONTHS ENDED
MARCH 31, 1996 FOR THE YEAR ENDED MARCH 31, 1996 FOR THE YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 1995 (UNAUDITED) SEPTEMBER 30, 1995
-------------- ------------------ -------------- ------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
Net Investment Income (Loss).................. $ 93,554 $ 220,235 $ (35,223) $ 201,609
Net Realized Gain (Loss) from Investments
and Foreign Currency Transactions........ 520,354 (9,485,483) 706,232 (481,527)
Net Unrealized Appreciation (Depreciation)
on Investments, Foreign Currencies and
Forward Currency Contracts............... (1,398) (3,176,213) 1,153,832 (821,330)
-------------- ------------------ -------------- ------------------
Net Increase (Decrease) in Net Assets from
Operations................................... 612,510 (12,441,461) 1,824,841 (1,101,248)
-------------- ------------------ -------------- ------------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested............. 14,659,306 18,611,709 21,951,488 12,695,645
Value of Capital Withdrawn................. (13,968,585) (19,878,349) (20,015,964) (12,304,373)
-------------- ------------------ -------------- ------------------
Net Increase (Decrease) in Net Assets from
Capital Transactions......................... 690,721 (1,266,640) 1,935,524 391,272
-------------- ------------------ -------------- ------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS....... 1,303,231 (13,708,101) 3,760,365 (709,976)
NET ASSETS
Beginning of Period........................... 13,657,915 27,366,016 24,656,298 25,366,274
-------------- ------------------ -------------- ------------------
End of Period................................. $ 14,961,146 $ 13,657,915 $ 28,416,663 $ 24,656,298
=============== =================== =============== ===================
</TABLE>
See Notes to Financial Statements on Pages 48 - 50
44
<PAGE> 7
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERMEDIATE TAX FREE INTERNATIONAL EQUITY
------------------------------------ -------------------------------------
FOR THE THREE FOR THE SIX
MONTHS ENDED FOR THE YEAR MONTHS ENDED FOR THE PERIOD
MARCH 31, 1996 ENDED MARCH 31, 1996 JANUARY 1, 1995 TO
(UNAUDITED) DECEMBER 31, 1995 (UNAUDITED) SEPTEMBER 30, 1995
-------------- ----------------- -------------- ------------------
<S> <C> <C> <C>
$ 265,277 $ 1,200,250 $ 528,123 $ 1,188,602
263,100 373,137 2,080,926 1,956,124
(717,956) 1,660,679 3,607,992 6,955,471
-------------- ----------------- -------------- ------------------
(189,579) 3,234,066 6,217,041 10,100,197
-------------- ----------------- -------------- ------------------
5,268,772 4,536,602 52,306,802 35,819,720
(4,541,131) (10,844,181) (23,556,138) (18,648,629)
-------------- ----------------- -------------- ------------------
727,641 (6,307,579) 28,750,664 17,171,091
-------------- ----------------- -------------- ------------------
538,062 (3,073,513) 34,967,705 27,271,288
22,252,704 25,326,217 83,313,431 56,042,143
-------------- ----------------- -------------- ------------------
$ 22,790,766 $ 22,252,704 $118,281,136 $ 83,313,431
================= ====================== ================= ======================
</TABLE>
<TABLE>
<CAPTION>
SMALL CAP
-------------------------------------
FOR THE SIX
MONTHS ENDED
MARCH 31, 1996 FOR THE YEAR ENDED
(UNAUDITED) SEPTEMBER 30, 1995
-------------- ------------------
<S> <C>
$ 3,074 $ 114,355
2,392,080 11,205,496
21,647,288 19,127,783
-------------- ------------------
24,042,442 30,447,634
-------------- ------------------
136,769,130 89,963,488
(78,343,080) (17,910,681)
-------------- ------------------
58,426,050 72,052,807
-------------- ------------------
82,468,492 102,500,441
123,827,952 21,327,511
-------------- ------------------
$206,296,444 $123,827,952
=============== ===================
</TABLE>
45
<PAGE> 8
- --------------------------------------------------------------------------------
BT Portfolios
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Contained below are selected ratios and supplemental data for each of the
periods indicated for each of the Portfolios.
<TABLE>
<CAPTION>
CAPITAL APPRECIATION
-----------------------------------------------------------
FOR THE SIX
MONTHS ENDED FOR THE PERIOD FOR THE YEAR
MARCH 31, 1996 JANUARY 1, 1995 TO ENDED
(UNAUDITED) SEPTEMBER 30, 1995 DECEMBER 31, 1994
-------------- ------------------ -----------------
<S> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted)................... $189,427 $149,888 $73,634
Ratios to Average Net Assets
Net Investment Income....................................... (0.00)%+ 0.01%* 0.08%
Expenses.................................................... 0.60%* 0.60%* 0.60%
Decrease Reflected in Above Expense Ratio Due to Absorption
of Expenses by Bankers Trust.............................. 0.18%* 0.18%* 0.23%
Portfolio Turnover Rate..................................... 193% 125% 157%
<CAPTION>
CAPITAL APPRECIATION
--------------------
FOR THE PERIOD
MARCH 9, 1993
(COMMENCEMENT OF
OPERATIONS) TO
DECEMBER 31,
1993
----------------
<S> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted)................... $ 37,076
Ratios to Average Net Assets
Net Investment Income....................................... 0.38%*
Expenses.................................................... 0.60%*
Decrease Reflected in Above Expense Ratio Due to Absorption
of Expenses by Bankers Trust.............................. 0.41%*
Portfolio Turnover Rate..................................... 137%
</TABLE>
<TABLE>
<CAPTION>
GLOBAL HIGH YIELD
----------------------------------------------------------
FOR THE PERIOD
DECEMBER 14,
1993
FOR THE SIX (COMMENCEMENT OF
MONTHS ENDED OPERATIONS) TO
MARCH 31, 1996 FOR THE YEAR ENDED SEPTEMBER 30,
(UNAUDITED) SEPTEMBER 30, 1995 1994
-------------- ------------------ ----------------
<S> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted)................... $ 19,796 $ 23,003 $ 14,729
Ratios to Average Net Assets
Net Investment Income....................................... 7.58%* 9.63% 6.44%*
Expenses.................................................... 0.75%* 0.75% 0.75%*
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust................... 0.39%* 0.45% 0.59%*
Portfolio Turnover Rate..................................... 118% 169% 347%
</TABLE>
<TABLE>
<CAPTION>
INTERMEDIATE TAX FREE
--------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31,
FOR THE THREE
MONTHS ENDED -------------------------------
MARCH 31, 1996 1995 1994 1993
-------------- ------- ------- -------
<S> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted)................... $ 22,791 $22,253 $25,326 $31,745
Ratios to Average Net Assets
Net Investment Income....................................... 4.72%* 4.97% 4.58% 4.29%
Expenses.................................................... 0.45%* 0.45% 0.45% 0.45%
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust................... 0.12%* 0.08% 0.14% 0.18%
Portfolio Turnover Rate..................................... 37% 95% 118% 40%
<CAPTION>
INTERMEDIATE TAX FREE
---------------------
FOR THE PERIOD
JULY 20, 1992
(COMMENCEMENT OF
OPERATIONS) TO
DECEMBER 31,
1992
----------------
<S> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted)................... $9,995
Ratios to Average Net Assets
Net Investment Income....................................... 4.11%*
Expenses.................................................... 0.45%*
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust................... 0.43%*
Portfolio Turnover Rate..................................... 132%
</TABLE>
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY
-------------------------------------------------------------
FOR THE
FOR THE SIX YEAR ENDED
MONTHS ENDED FOR THE PERIOD DECEMBER 31,
MARCH 31, 1996 JANUARY 1, 1995 TO -------------------
(UNAUDITED) SEPTEMBER 30, 1995 1994 1993
-------------- ------------------ ------- -------
<S> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted)................... $118,281 $ 83,313 $56,042 $33,907
Ratios to Average Net Assets
Net Investment Income....................................... 1.13%* 2.39%* 1.69% 1.64%
Expenses.................................................... 0.65%* 0.65%* 0.65% 0.65%
Decrease Reflected in Above Expense Ratio Due to Absorption
of Expenses by Bankers Trust.............................. 0.19%* 0.22%* 0.24% 0.39%
Portfolio Turnover Rate..................................... 30% 21% 15% 17%
<CAPTION>
INTERNATIONAL EQUITY
--------------------
FOR THE PERIOD
AUGUST 4, 1992
(COMMENCEMENT OF
OPERATIONS) TO
DECEMBER 31,
1992
----------------
<S> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted)................... $8,225
Ratios to Average Net Assets
Net Investment Income....................................... 1.87%*
Expenses.................................................... 0.60%*
Decrease Reflected in Above Expense Ratio Due to Absorption
of Expenses by Bankers Trust.............................. 0.93%*
Portfolio Turnover Rate..................................... 7%
</TABLE>
- ------------------
* Annualized
+ Less than 0.01%
See Notes to Financial Statements on Pages 48 - 50
46
<PAGE> 9
- --------------------------------------------------------------------------------
BT Portfolios
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LATIN AMERICAN EQUITY
------------------------------------------------------
FOR THE PERIOD
OCTOBER 25, 1993
(COMMENCEMENT OF
FOR THE SIX OPERATIONS) TO
MONTHS ENDED FOR THE YEAR ENDED SEPTEMBER 30,
MARCH 31, 1996 SEPTEMBER 30, 1995 1994
-------------- ------------------ ----------------
<S> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted).............................. $ 14,961 $ 13,658 $ 27,366
Ratios to Average Net Assets
Net Investment Income.................................................. 1.50%* 1.27% 1.03%*
Expenses............................................................... 1.00%* 1.00% 1.00%*
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust.............................. 0.44%* 0.80% 0.79%*
Portfolio Turnover Rate................................................ 95% 161% 124%
</TABLE>
<TABLE>
<CAPTION>
PACIFIC BASIN EQUITY
------------------------------------------------------
FOR THE PERIOD
NOVEMBER 1, 1993
FOR THE SIX (COMMENCEMENT OF
MONTHS ENDED OPERATIONS) TO
MARCH 31, 1996 FOR THE YEAR ENDED SEPTEMBER 30,
(UNAUDITED) SEPTEMBER 30, 1995 1994
-------------- ------------------ ----------------
<S> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted).............................. $ 28,417 $ 24,656 $ 25,366
Ratios to Average Net Assets
Net Investment Income.................................................. (0.26)%* 0.87% 0.16%*
Expenses............................................................... 1.00%* 1.00% 1.00%*
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust.............................. 0.19%* 0.20% 0.26%*
Portfolio Turnover Rate................................................ 59% 104% 40%
</TABLE>
<TABLE>
<CAPTION>
SMALL CAP
------------------------------------------------------
FOR THE PERIOD
OCTOBER 21, 1993
FOR THE SIX (COMMENCEMENT OF
MONTHS ENDED OPERATIONS) TO
MARCH 31, 1996 FOR THE YEAR ENDED SEPTEMBER 30,
(UNAUDITED) SEPTEMBER 30, 1995 1994
-------------- ------------------ ----------------
<S> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted).............................. $206,296 $123,828 $ 21,328
Ratios to Average Net Assets
Net Investment Income.................................................. (0.00)%+ 0.19% 0.07%*
Expenses............................................................... 0.60%* 0.60% 0.60%*
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust.............................. 0.17%* 0.19% 0.38%*
Portfolio Turnover Rate................................................ 93% 161% 154%
</TABLE>
- ------------------
* Annualized
+ Less than 0.01%
See Notes to Financial Statements on Pages 48 - 50
47
<PAGE> 10
- --------------------------------------------------------------------------------
BT Portfolios
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
Capital Appreciation Portfolio, Global High Yield Securities Portfolio,
Intermediate Tax Free Portfolio, International Equity Portfolio, Latin American
Equity Portfolio, Pacific Basin Equity Portfolio, and Small Cap Portfolio (each
a "Portfolio", and collectively, the "Portfolios") are registered under the
Investment Company Act of 1940 ("the Act"), as amended, as an open-end
management investment company. The following portfolios were organized as an
unincorporated trust under the laws of New York and commenced operations as
follows:
<TABLE>
<CAPTION>
ORGANIZATION COMMENCEMENT OF
PORTFOLIO DATE OPERATION
- ------------------------------------------- ------------------- -----------------
<S> <C> <C>
Capital Appreciation Portfolio............. October 28, 1992 March 9, 1993
Global High Yield Securities Portfolio..... August 6, 1993 December 14, 1993
Intermediate Tax Free Portfolio............ December 11, 1991 July 20, 1992
International Equity Portfolio............. December 11, 1991 August 4, 1992
Latin American Equity Portfolio............ August 6, 1993 October 25, 1993
Pacific Basin Equity Portfolio............. August 6, 1993 November 1, 1993
Small Cap Portfolio........................ August 6, 1993 October 21, 1993
</TABLE>
The Declaration of Trust permits the Board of Trustees (the "Trustees") to issue
beneficial interests in the Portfolios.
During fiscal year 1996 and 1995, Intermediate Tax Free Portfolio and Capital
Appreciation Portfolio and International Equity Portfolio changed its year-end
to September 30th.
B. Security Valuation
The Portfolios' investments listed or traded on the National Stock Exchanges or
other domestic or foreign exchanges are valued based on the closing price of a
security traded on that exchange prior to the time when the Portfolio assets are
valued. In cases where securities are traded on more than one exchange, the
securities valued on the exchange designated as the primary market by the
Trustees. All other portfolio securities for which over-the-counter market
quotations are readily available including circumstances under which it is
determined by the Investment Manager that sale or bid prices are not reflective
of a security's market value, portfolio securities are valued at their fair
value as determined in good faith under procedures established by and under the
general supervision of the Trustees. Short-term obligations with remaining
maturities of 60 days or less are valued at amortized cost. Other short-term
debt securities are valued on a mark-to-market basis until such time as they
reach a remaining maturity of 60 days, whereupon they will be valued at
amortized cost using their value on the 61st day. All other securities and other
assets are valued at their fair value as determined in good faith under
procedures established by and under the general supervision of the Trustees.
C. Security Transactions and Interest Income
Security transactions are accounted for on a trade date basis. 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.
Each Portfolio may enter into repurchase agreements with financial institutions
deemed to be creditworthy by the Portfolio's Investment Advisers, 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 security and foreign currency transactions of the Portfolios are
allocated pro rata among the investors in the Portfolios at the time of such
determination.
D. Foreign Currency Transactions
The books and records of the Portfolios 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 Portfolios do 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 and loss
from securities.
E. Forward Foreign Currency Contracts
Global High Yield Securities Portfolio, International Equity Portfolio, Latin
American Equity Portfolio and Pacific Basin Equity 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 Portfolios' investments generally. The net U.S. dollar value of
foreign currency underlying all contractual commitments held by the Portfolios
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.
F. Option Contracts
Each Portfolio may enter into Option Contracts with the exception of the
Intermediate Tax Free Portfolio. Upon the purchase of a put option or a call
option by a 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.
48
<PAGE> 11
- --------------------------------------------------------------------------------
BT Portfolios
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (Continued)
- --------------------------------------------------------------------------------
G. Organizational Expenses
Costs incurred by each of the Portfolios in connections with their organization
and initial registration are being amortized evenly over a five year period.
H. Federal Income Taxes
It is each Portfolio's policy to comply with the requirements of the Internal
Revenue Code. Therefore, no federal income tax provision is required.
I. Other
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements.
NOTE 2 -- FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolios have 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 each of the Portfolios in return for a fee computed
daily and paid monthly at an annual rate of the Portfolio's average daily net
assets. The following provides a table of annual rates and aggregated fees for
each of the Portfolios for the period ended March 31, 1996:
<TABLE>
<CAPTION>
ADMIN. & SERVICES ADMIN. & SERVICES
PORTFOLIO ANNUAL RATE AGGREGATED FEES
- --------------------------------------------- ----------------- -----------------
<S> <C> <C>
Capital Appreciation Portfolio............... .10 of 1% $84,096
Global High Yield Securities Portfolio....... .20 of 1% 20,403
Intermediate Tax Free Portfolio*............. .05 of 1% 2,813
International Equity Portfolio............... .15 of 1% 69,831
Latin American Equity Portfolio.............. .20 of 1% 12,461
Pacific Basin Equity Portfolio............... .25 of 1% 33,454
Small Cap Portfolio.......................... .10 of 1% 78,756
</TABLE>
The Portfolios have entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio's pay Bankers Trust an advisory fee
computed daily and paid monthly at an annual rate of the Portfolios' average
daily net assets. The following provides a table of annual rates and aggregated
fees for each of the Portfolios for the period ended March 31, 1996:
<TABLE>
<CAPTION>
ADVISORY ADVISORY
PORTFOLIO ANNUAL RATE AGGREGATED FEES
- ---------------------------------------------------- ----------- ---------------
<S> <C> <C>
Capital Appreciation Portfolio...................... .65 of 1% $ 546,623
Global High Yield Securities Portfolio.............. .80 of 1% 81,613
Intermediate Tax Free Portfolio*.................... .40 of 1% 22,501
International Equity Portfolio...................... .65 of 1% 302,602
Latin American Equity Portfolio..................... 1.00 of 1% 62,306
Pacific Basin Equity Portfolio...................... .75 of 1% 100,363
Small Cap Portfolio................................. .65 of 1% 511,914
</TABLE>
Bankers Trust has entered into a Sub-Advisory Agreement with BT Portfolio
Managers International Limited ("BT Portfolio Managers International"), a wholly
owned subsidiary of Bankers Trust Australia Limited, for Pacific Basin Equity
Portfolio. Under this Sub-Advisory Agreement, BT Portfolio 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 .60
of 1% of the Portfolio's average daily net assets.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of each
Portfolio, to the extent necessary, to limit all expenses based upon the average
daily net assets of the Portfolio for the period ended March 31, 1996:
<TABLE>
<CAPTION>
PORTFOLIO ANNUAL RATE EXPENSES REDUCED
- -------------------------------------------------- ----------- ----------------
<S> <C> <C>
Capital Appreciation Portfolio.................... .60 of 1% $148,398
Global High Yield Securities Portfolio............ .75 of 1% 39,885
Intermediate Tax Free Portfolio*.................. .45 of 1% 6,593
International Equity Portfolio.................... .65 of 1% 88,798
Latin American Equity Portfolio................... 1.00 of 1% 27,532
Pacific Basin Equity Portfolio.................... 1.00 of 1% 25,268
Small Cap Portfolio............................... .60 of 1% 135,587
</TABLE>
Certain trustees and officers of the Portfolios are also directors, officers
and/or employees of Signature Broker-Dealer Services, Inc., the distributor of
the BT Investment Funds. None of the trustees so affiliated received
compensation for services as trustees of the Portfolios. Similarly, none of the
Portfolios' officers received compensation from the Portfolios.
NOTE 3 -- PURCHASE AND SALE OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the period ended March 31, 1996 were as
follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS FROM
PORTFOLIO PURCHASES SALE OF SECURITIES
- -------------------------------------------------- ------------ ------------------
<S> <C> <C>
Capital Appreciation Portfolio.................... $347,499,684 $300,112,811
Global High Yield Securities Portfolio............ 23,194,948 27,045,156
Intermediate Tax Free Portfolio*.................. 7,484,961 9,737,253
International Equity Portfolio.................... 58,380,801 27,069,480
Latin American Equity Portfolio................... 12,865,023 10,276,354
Pacific Basin Equity Portfolio.................... 16,512,157 13,939,260
Small Cap Portfolio............................... 182,200,296 133,321,553
</TABLE>
For Federal income tax purposes, the tax basis of investments held at March 31,
1996 was $182,110,912 for Capital Appreciation Portfolio, $18,178,725 for Global
High Yield Securities Portfolio, $25,245,528 for Pacific Basin Equity Portfolio
and $163,070,079 Small Cap Portfolio. Tax basis of investments held at March 31,
1996 for Intermediate Tax Free Portfolio, International Equity Portfolio and
Latin American Equity Portfolio, were substantially the same as the basis used
for the financial statement reporting purposes. The aggregate gross unrealized
appreciation and depreciation for all investments as of March 31, 1996 was as
follows:
<TABLE>
<CAPTION>
GROSS UNREALIZED GROSS UNREALIZED
PORTFOLIO APPRECIATION DEPRECIATION
- ----------------------------------------------- ---------------- ----------------
<S> <C> <C>
Capital Appreciation Portfolio................. $ 19,322,136 $3,947,779
Global High Yield Securities Portfolio......... 1,387,578 337,013
Intermediate Tax Free Portfolio*............... 789,508 43,091
International Equity Portfolio................. 18,110,513 2,715,163
Latin American Equity Portfolio................ 812,379 1,205,557
Pacific Basin Equity Portfolio................. 3,057,020 1,510,584
Small Cap Portfolio............................ 46,686,450 2,792,474
</TABLE>
NOTE 4 -- CREDIT RISK
The Global High Yield Securities Portfolio invests in primarily high yield,
non-investment grade debt securities issued in many of the world's securities
markets. Investments in higher yielding securities are accompanied by a greater
degree of credit risk and the risk tends to be more sensitive to economic
conditions than higher rated securities. The risk of loss due to default by the
issuer may be significantly greater for the holders of high yielding securities
because such securities are generally unsecured and are often subordinated to
other creditors of the issuer.
- --------------------------------------------------------------------------------
* The amount represents three months of activity since Intermediate Tax Free
Portfolio changed its year-end to September 30th during the fiscal year of
1996.
49
<PAGE> 12
- --------------------------------------------------------------------------------
BT Portfolios
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (Continued)
- --------------------------------------------------------------------------------
NOTE 5 -- OPEN FORWARD FOREIGN CURRENCY CONTRACTS
As of March 31, 1996, the International Equity Portfolio and Pacific Basin
Equity Portfolio had entered into the following open forward foreign currency
contract:
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY PORTFOLIO
- -------------------------------------------------------------------------------------------------
CONTRACTS TO NET UNREALIZED
DELIVER IN EXCHANGE FOR SETTLEMENT DATE VALUE (US$) APPRECIATION (US$)
- -------------------------------------------------------------------------------------------------
SALES
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
ATS 1,203,706 USD 115,908 4/1/96 115,939 $ (31)
DEM 8,863,200 USD 6,010,375 4/10/96 6,002,914 7,461
DEM 14,800,000 USD 10,016,582 4/12/96 10,025,769 (9,187)
JPY 639,840,000 USD 6,001,013 4/9/96 5,976,195 24,818
NLG 1,432,868 USD 868,457 4/1/96 867,091 1,366
- -------------------------------------------------------------------------------------------------
23,012,335 22,987,908 $ 24,427
- -------------------------------------------------------------------------------------------------
PURCHASES
- -------------------------------------------------------------------------------------------------
USD 1,093,424 GBP 716,060 4/2/96 1,093,066 $ (358)
USD 712,196 MYR 1,802,569 4/2/96 712,588 392
USD 209,563 ZAR 832,490 4/2/96 209,258 (305)
- -------------------------------------------------------------------------------------------------
2,015,183 2,014,912 (271)
- -------------------------------------------------------------------------------------------------
$ 24,156
==================
</TABLE>
<TABLE>
<CAPTION>
PACIFIC BASIN EQUITY PORTFOLIO
- -------------------------------------------------------------------------------------------------
CONTRACTS TO NET UNREALIZED
DELIVER IN EXCHANGE FOR SETTLEMENT DATE VALUE (US$) DEPRECIATION (US$)
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
SALES
- -------------------------------------------------------------------------------------------------
MYR 11,085,646 USD 4,316,000 4/23/96 4,374,965 $(58,965)
- -------------------------------------------------------------------------------------------------
PURCHASES
- -------------------------------------------------------------------------------------------------
USD 4,316,000 MYR 10,987,673 4/23/96 4,336,300 20,300
- -------------------------------------------------------------------------------------------------
$(38,665)
==================
</TABLE>
50
<PAGE> 13
- --------------------------------------------------------------------------------
Small Cap Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------ -------------
<C> <S> <C>
COMMON STOCKS - 89.73%
AMERICA'S CHANGING LEISURE TIME - 6.41%
46,300 EchoStar Communications(a).......... $ 1,562,625
48,300 Gemstar International Group
Ltd.(a)............................ 1,207,500
99,200 New World Communications Group(a)... 1,946,800
82,650 Papa John's International Inc.(a)... 3,688,256
7,500 Penske Motorsports(a)............... 279,375
50,150 Regal Cinemas(a).................... 1,855,550
54,500 Renaissance Hotel Group N.V.(a)..... 1,171,750
63,800 Sodak Gaming(a)..................... 1,515,250
----------
13,227,106
----------
CLIENT-SERVER COMPUTING - 11.14%
34,700 Business Objects S.A., ADR(a)....... 2,949,500
32,700 CBT Group PLC, ADR(a)............... 2,403,450
16,000 Citrix Systems Inc.(a).............. 708,000
27,100 Dialogic Corp.(a)................... 1,144,975
49,100 Indus Group Inc.(a)................. 957,450
65,000 Microcom Inc.(a).................... 1,941,875
41,500 Network Appliance Inc.(a)........... 1,317,625
51,000 Network Equipment Technologies
Inc.(a)............................ 1,549,125
149,500 PowerCerv Corp.(a).................. 2,226,148
24,000 Prism Solutions Inc.(a)............. 636,000
93,900 Rational Software(a)................ 3,709,050
37,900 Segue Software(a)................... 795,900
52,700 Structural Dynamics Research(a)..... 1,778,625
39,500 Workgroup Technology Corp.(a)....... 854,187
----------
22,971,910
----------
FLOURISHING IN THE MANAGED
CARE ENVIRONMENT - 7.61%
36,800 CRA Managed Care(a)................. 1,315,600
50,300 Henry Schein(a)..................... 1,471,275
42,900 MedPartners/Mullikin(a)............. 1,222,650
77,600 Multicare Companies Inc.(a)......... 2,201,900
40,400 NCS HealthCare Inc.(a).............. 989,800
65,200 OccuSystems(a)...................... 1,483,300
62,700 Pediatrix Medical Group(a).......... 2,225,850
84,300 Physician Reliance Network(a)....... 3,340,387
61,400 Renal Treatment Centers Inc.(a)..... 1,458,250
----------
15,709,012
----------
LIFE ON THE NET - 5.94%
10,200 Documentum(a)....................... 359,550
179,700 IDT Corp.(a)........................ 1,797,000
49,550 McAfee Associates(a)................ 2,712,863
30,800 Security Dynamics Tech Inc.(a)...... 1,632,400
10,200 Shiva(a)............................ 925,650
39,400 TCSI Corp.(a)....................... 1,201,700
44,100 Transaction Systems Architects(a)... 1,797,075
43,400 Verifone Inc.(a).................... 1,822,800
----------
12,249,038
----------
<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------ -------------
<C> <S> <C>
LIFE SCIENCE REVOLUTION - 7.09%
29,100 Agouron Pharmaceuticals(a).......... $ 1,127,625
150,000 ChiRex Inc.(a)...................... 1,537,500
50,000 Endovascular Technologies(a)........ 500,000
69,600 Isls Pharmaceuticals(a)............. 809,100
66,500 Martek Biosciences Corp.(a)......... 2,394,000
28,600 NeoPath(a).......................... 664,950
72,400 Neurogen(a)......................... 2,497,800
48,200 NeXstar Pharmaceuticals(a).......... 951,950
70,000 Protein Design Labs Inc.(a)......... 1,723,750
55,800 Sequus Pharmaceuticals(a)........... 770,737
62,400 Vertex Pharmaceuticals(a)........... 1,653,600
----------
14,631,012
----------
MANAGING THE INFORMATION AGE - 8.85%
40,700 Atria Software Inc.(a).............. 2,228,325
126,100 Cheyenne Software(a)................ 1,986,075
65,600 DSP Communications(a)............... 1,640,000
33,900 FileNet Corp.(a).................... 1,957,725
42,000 Imnet Systems(a).................... 1,270,500
20,000 IntelliQuest Information Group(a)... 550,000
90,900 National Data Corp. ................ 3,101,963
20,000 Raptor Systems Inc.(a).............. 597,500
15,000 Red Brick Systems Inc.(a)........... 645,000
39,400 Sitel(a)............................ 1,782,850
144,000 Triple P.N.V.(a).................... 1,620,000
31,200 Visio(a)............................ 873,600
----------
18,253,538
----------
MOVE TO OUTSOURCING - 8.54%
123,000 Accustaff(a)........................ 3,105,750
75,400 Career Horizons(a).................. 2,243,150
63,000 Corestaff(a)........................ 1,921,500
49,100 Data Processing Resources(a)........ 1,350,250
61,200 HealthPlan Services(a).............. 1,399,950
50,600 HPR Inc.(a)......................... 1,954,425
20,300 Interim Services Inc.(a)............ 776,475
44,000 MSC Industrial Direct Co.(a)........ 1,270,500
32,100 Pharmaceutical Product
Development(a)..................... 1,131,525
28,600 Quintiles Transnational Corp.(a).... 1,859,000
46,000 Superior Services Inc.(a)........... 609,500
----------
17,622,025
----------
NEW CONSUMER - 4.60%
72,500 Authentic Fitness................... 1,875,939
57,600 Blyth Industries(a)................. 1,915,200
35,600 Gucci Group(a)...................... 1,708,800
37,300 Mossimo Inc.(a)..................... 1,207,588
36,000 Nautica Enterprises Inc.(a)......... 1,719,000
23,000 West Maine Inc.(a).................. 1,069,500
----------
9,496,027
----------
</TABLE>
See Notes to Financial Statements on Page 13
9
<PAGE> 14
- --------------------------------------------------------------------------------
Small Cap Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------ -------------
<C> <S> <C>
NEW HEALTH CARE PARADIGM - 9.84%
55,900 ALPHARMA Inc........................ $ 1,299,675
22,000 ABR Information Services Inc.(a).... 1,023,000
26,400 American Homepatient Inc.(a)........ 1,036,200
22,300 Amerisource Health Corp. Cl. A(a)... 735,900
58,400 Gulf South Medical Supply(a)........ 2,204,600
103,900 Mariner Health Group(a)............. 1,714,350
37,800 Neuromedical Systems Inc.(a)........ 822,150
78,600 Owen Healthcare Inc.(a)............. 1,837,275
61,200 Physician Sales & Service(a)........ 1,514,700
36,200 Physician Support Systems(a)........ 619,925
5,300 Respironics Inc.(a)................. 111,300
75,300 Rexall Sundown Inc.(a).............. 2,268,412
22,800 RoTech Medical Corp.(a)............. 843,600
59,200 Sofamor/Danek Group(a).............. 2,005,400
25,000 Summit Medical Systems(a)........... 487,500
56,900 Total Renal Care Holdings(a)........ 1,771,012
-------------
20,294,999
-------------
PRODUCTIVITY ENHANCEMENT - 4.81%
5,800 CKS Group Inc.(a)................... 147,900
40,000 Engineering Animation(a)............ 835,000
63,000 HMT Technology Corp.(a)............. 657,562
69,700 Inso Corp.(a)....................... 3,214,913
157,500 OrCad Inc.(a)....................... 1,850,625
17,200 Quick Response Services Inc.(a)..... 442,900
103,500 Saville Systems PLC.(a)............. 1,953,563
42,400 Xelikon N.V., ADR(a)................ 821,500
-------------
9,923,963
-------------
STORES OF VALUE - 4.31%
74,400 Dollar Tree Stores Inc.(a).......... 3,273,600
52,700 Just For Feet(a).................... 2,193,638
39,800 Sunglass Hut International(a)....... 1,318,375
68,000 US Office Products(a)............... 2,108,000
-------------
8,893,613
-------------
TELECOMMUNICATIONS - 7.87%
53,800 APAC Teleservices(a)................ 3,833,250
40,400 Aspect Telecommunication(a)......... 1,848,300
56,700 CIDCO Inc.(a)....................... 1,828,575
<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------ -------------
<C> <S> <C>
41,000 Colonial Data Technologies(a)....... $ 907,125
56,500 CSG Systems International Inc.(a)... 1,299,500
120,300 IntelCom Group(a)................... 2,135,325
43,400 Level One Communications Inc.(a).... 1,204,350
18,000 Teltrend Inc.(a).................... 819,000
63,600 TresCom International(a)............ 938,100
38,400 Westell Technologies(a)............. 1,420,800
-------------
16,234,325
-------------
THE GREYING OF AMERICA - 2.72%
30,000 ESC Medical Systems Ltd.(a)......... 1,035,000
45,700 Genesis Health Ventures Inc.(a)..... 1,845,137
73,400 Living Centers of America(a)........ 2,734,150
-------------
5,614,287
-------------
TOTAL COMMON STOCK
(Cost $141,170,594).............................. $ 185,120,855
-------------
<CAPTION>
PRINCIPLE
AMOUNT
- -----------
<C> <S> <C>
U.S. TREASURY BILLS - 10.59%
$8,350,000 5.76%, 4/04/96...................... 8,346,595
2,445,000 5.01%, 4/18/96...................... 2,439,330
4,225,000 5.20%, 5/16/96...................... 4,198,560
6,935,000 5.15%, 6/20/96...................... 6,858,715
-------------
TOTAL U.S. TREASURY BILLS
(Amortized Cost $21,843,226)..................... $ 21,843,200
-------------
TOTAL INVESTMENTS
(Cost $163,013,820) - 100.32%.................... 206,964,055
Liabilities in Excess of Other Assets - (0.32)%... (667,611)
-------------
NET ASSETS - 100.00%.............................. $ 206,296,444
-------------
</TABLE>
- ------------------
(a) Non-Income Producing Securities
See Notes to Financial Statements on Page 13
10
<PAGE> 15
- --------------------------------------------------------------------------------
Pacific Basin Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------------- ------------
<C> <S> <C>
COMMON STOCKS - 92.13%
HONG KONG - 26.10%
72,000 Arnoy Properties (Real Estate)............. $ 84,244
87,000 Cheung Kong, LTD (Real Estate)............. 613,017
288,000 China Merchants (Chemicals)................ 90,294
2,099,000 China Resources Enterprises, LTD (Real
Estate)................................... 1,207,616
886,000 CP Pokphand (Agriculture).................. 420,966
73,600 Dah Sing Financial (Financial Services).... 232,180
580,000 Founder (Hong Kong) (Consumer
Services)(a).............................. 208,088
<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------------- ------------
<C> <S> <C>
728,000 Goldlion Holdings, LTD (Consumer Goods).... $ 583,552
200 Hang Seng Bank (Banking)................... 2,043
588,000 HKR International, LTD (Real Estate)....... 638,577
704,000 Hopewell Holdings, LTD (Property
Infrastructure)........................... 409,583
19,400 HSBC Holdings (Banking).................... 290,948
45,000 Hutchinson Whampoa (Diversified)........... 283,915
34,000 New World Development (Real Estate)........ 158,248
866,000 NG Fung Hong (Foods)(a).................... 408,665
</TABLE>
See Notes to Financial Statements on Pages 48 - 50
37
<PAGE> 16
- --------------------------------------------------------------------------------
Pacific Basin Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------------- ------------
<C> <S> <C>
252,000 Orient Overseas International, LTD
(Transportation-Shipping)................. $ 198,741
734,000 Qingling Motors (Auto & Trucks)............ 227,753
1,014,000 Regal Hotels International Holdings, LTD
(Hotels).................................. 250,396
333,000 Sinocan Holdings, LTD (Packaging &
Container)................................ 125,929
1,447,000 Siu Fung Ceramics Holdings
(Manufacturing)........................... 252,557
193,000 Wharf Holdings (Diversified)............... 728,613
---------
7,415,925
---------
INDIA - 2.34%
4,900 Bajaj Auto, LTD, GDR (Automotive)(a)....... 152,537
1,400 Core Healthcare, LTD, GDR (Health Care).... 3,325
1,800 Indian Hotels (Hotels)(a).................. 47,700
5,000 Indian Petrochemicals, GDR (Chemicals)..... 82,500
10,000 Larsen & Toubro (Manufacturing)(a)......... 157,500
23,000 Mahindra & Mahindra Limited, GDR
(Automotive)(a)(b)........................ 221,375
---------
664,937
---------
INDONESIA - 7.50%
55,000 Bank International Indonesia PT (Banking).. 231,715
34,000 Indonesian Satellite PT, ADR
(Telecommunications)...................... 116,702
45,500 Jaya Real Property PT (Real Estate)........ 144,012
42,000 Lippo Life Insurance PT (Insurance)(a)..... 185,030
32,500 Modern Photo Film PT (Photo & Optical)..... 176,540
375,665 Mulia Industrindo PT (Glass
Manufacturing)............................ 654,762
80,000 Semen Gresik PT (Building Materials)....... 283,148
158,000 Telekomunikasi PT
(Telecommunications)(a)................... 246,664
35,000 Tempo Scan Pacific PT (Pharmaceuticals).... 92,814
---------
2,131,387
---------
MALAYSIA - 19.64%
223,000 Commerce Asset Holdings Berhad (Banking)... 1,275,291
55,000 Gadek Berhad (Diversified)................. 295,011
36,666 Gadek Capital (Financial Services)(a)...... 40,491
68,000 Konsortuim Perkapalan Berhad
(Transportation-Shipping)(a).............. 236,009
72,000 Malaysian International Shipping
(Transportation-Shipping)................. 203,037
142,000 Rashid Hussain Berhad (Financial
Services)................................. 450,838
22,000 Sungel Way Holdings Bhd (Diversified)...... 95,445
212,000 Tanjong PLC (Gaming)....................... 785,959
249,000 Technology Resources Industries
(Telecommunications)(a)................... 893,670
189,000 United Engineers Berhad (Engineering &
Constructions)............................ 1,304,476
---------
5,580,227
---------
<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------------- ------------
<C> <S> <C>
PAKISTAN - 0.51%
22,100 Engro Chemical Pakistan, LTD (Chemicals)... $ 94,846
16,500 Karachi Electric Supply
(Utility-Electric)(a)..................... 13,875
4,100 Pakistan State Oil
(Oil-International)(a).................... 36,024
---------
144,745
---------
PHILIPPINES - 5.70%
2,436 Benpres Holdings, GDR (Diversified)(a)..... 15,834
85,100 C & P Homes (Construction)................. 64,199
1,233,100 Engineering & Equipment (Engineering &
Construction)............................. 87,607
270,000 Filinvest Development (Real Estate)(a)..... 195,951
140,000 International Container Terminal (Packaging
& Containers)(a).......................... 81,551
284,000 Marsman & Co., Cl. B. (Pharmaceuticals).... 170,855
98,400 Megaworld Properties & Holdings (Real
Estate)(a)................................ 55,439
12,120 Philippine Commercial International Bank
(Banking)(a).............................. 138,885
20,000 Philippine National Bank (Banking)(a)...... 261,650
124,729 Philippine Savings Bank (Banking).......... 245,361
263,000 Republic Glass (Wholesale
Distributor)(a)........................... 94,431
1,059,000 Southeast Asia Cement Holdings (Building
Material)(a).............................. 135,510
464,600 Vitarich Corp (Agriculture)................ 72,760
---------
1,620,033
---------
SINGAPORE - 11.43%
60,000 City Developments, LTD (Real Estate)....... 532,293
105,000 Overseas Chinese Banking (Banking)......... 1,408,446
118,000 Overseas Union Bank (Banking).............. 837,473
50,000 Parkway Holdings, LTD (Real Estate)........ 142,654
45,000 Singapore Land (Property Development)...... 328,957
---------
3,249,823
---------
SOUTH KOREA - 5.48%
12,820 Cho Hung Bank, LTD (Banking)............... 176,997
12,000 Commercial Bank of Korea (Banking)......... 134,228
3,340 Daehan City Gas (Utility).................. 268,993
8,201 Dong-Ah Construction Industrial
(Engineering & Construction).............. 308,949
8,400 Korea Housing Bank (Banking)(a)............ 230,872
1,540 Korea Mobile Telecom Corp
(Telecommunications)...................... 192,143
4,030 Korean Air Lines
(Transportation-Shipping)................. 136,070
28 Samsung Electronics New (Voting), GDS
(Electronics)(a)(b)....................... 1,613
279 Samsung Electronics (Voting), GDS
(Electronics)(a)(b)....................... 16,226
3,750 Shinhan Bank (Banking)..................... 91,642
---------
1,557,733
---------
</TABLE>
See Notes to Financial Statements on Pages 48 - 50
38
<PAGE> 17
- --------------------------------------------------------------------------------
Pacific Basin Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------------- ------------
<S> <C>
THAILAND - 13.43%
46,600 Finance One Public (Financial Services).... $ 348,808
17,800 Hana Microelectronics (Electronics)........ 100,103
179,820 Krung Thai Bank Public (Banking)........... 847,468
87,000 Nawarat Palanakarn Public (Engineering &
Construction(a)........................... 323,881
45,000 Phatra Thanakit (Financial Services)....... 413,465
223,400 Sahaviriya Steel Industries (Metals)(a).... 210,129
8,000 Siam Cement Public Co., LTD (Building
Materials)................................ 411,881
365,000 Siam City Bank, LTD (Banking).............. 455,347
48,000 SP Suzuki (Consumer Goods)(a).............. 161,584
83,900 TelecomAsia Corporation Public
(Telecommunications)(a)................... 230,933
21,550 TPI Polene, LTD (Building Materials)(a).... 116,925
39,300 Unithai Line Public (Transportation-
Shipping)(a).............................. 196,111
---------
3,816,635
---------
TOTAL COMMON STOCKS
(Cost $24,592,188)....................................... $ 26,181,445
----------
OTHER SECURITIES - 2.15%
HONG KONG - 1.44%
1,602,000 Bank of East Asia Warrants (Banking)(a).... 118,058
1,313,000 Citic Pacific Warrants (Diversified)(a).... 132,409
100,000 HSBC Warrants (Banking)(a)................. 28,443
577,000 Swire Pacific Warrants (Diversified)(a).... 130,548
---------
409,458
---------
MALAYSIA - 0.28%
55,000 Gadek Berhad Rights (Ordinary shares)
(Diversified)(a).......................... 78,091
---------
<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------------- ------------
<S> <C>
THAILAND - 0.43%
27,000 Land & House Warrants (Real Estate)(a)..... $ 122,970
---------
TOTAL OTHER SECURITIES
(Cost $602,682).......................................... $ 610,519
---------
TOTAL INVESTMENTS
(Cost $25,194,870) - 94.28%.............................. $ 26,791,964
Other Assets in Excess of Liabilities - 5.72%............. 1,624,699
----------
NET ASSETS - 100.00%...................................... $ 28,416,663
==========
</TABLE>
- ------------------
(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 the securities amounted to $239,214 or 0.84% of net assets.
Industry Diversification (as a percentage of Total Investments):
<TABLE>
<S> <C>
Banking....................................... 25.29%
Building Materials............................ 3.54%
Diversified................................... 6.57%
Engineering & Construction.................... 7.56%
Financial Services............................ 5.55%
Other*........................................ 27.06%
Real Estate................................... 14.54%
Telecommunications............................ 6.27%
Transportation-Shipping....................... 3.62%
-------
100.00%
-------
</TABLE>
*No one industry represents more than 3% of Portfolio holdings
See Notes to Financial Statements on Pages 48 - 50
39
<PAGE> 18
- --------------------------------------------------------------------------------
Latin American Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ----------- ------------------------------------------- ------------
<C> <S> <C>
COMMON STOCKS - 73.19%
ARGENTINA - 15.69%
15,900 Banco del Sudsa S.A. Cl 'B'(Banks)......... $ 135,164
15,287 Banco Frances del Rio de la Plata SP, ADR
(Banks)................................... 418,482
40,700 Compania Interamericana de Automotive (Auto
Related)(a)............................... 187,239
6,400 Inversiones Y Representaciones IRSA (Real
Estate)................................... 180,000
36,000 Irsa Inversiones y Representaciones (Real
Estate)................................... 100,810
68,938 Juan Minetti (Building & Construction)..... 255,096
71,512 Mirgor Sacifia, ADR (Materials)(b)......... 212,748
69,571 Perez Companc S.A. (Oil & Gas)............. 393,811
15,000 Quilmes Industrial Quins, ADR (Beverages).. 161,250
11,800 Telefonica de Argentina S.A. ADR
(Utility)................................. 302,375
---------
2,346,975
---------
BRAZIL - 8.33%
1,641,059 Centrais Eletricas Brasileiras S.A.
Electrobras (Utility)..................... 428,687
50,773 Compania Siderurgica Paulista Series 'B'
(Steel)(a)................................ 69,401
2,429,365 Lojas Americanas (Retail).................. 51,655
5,896,500 Telec Brasileiras-Telebras 'ON'
(Telecommunications)...................... 233,436
7,900 Telecommunicacoes Brasileiras S.A. Telebras
ADR (Telecommunications).................. 393,025
6,500 Usiminas, ADR (Steel)(b)................... 69,843
---------
1,246,047
---------
CHILE - 7.11%
10,744 Chile Fund (Diversified)................... 249,798
10,056 Chilgener S.A. ADR (Utility)............... 233,802
2,506 Comapania Telefonica de Chile S.A., ADR
(Telecommunications)...................... 212,383
6,859 Empresa Nacional Electricidad S.A.
(Utility)................................. 132,036
9,450 Madeco S.A., ADR (Metal Fabrication &
Hardware)................................. 236,250
---------
1,064,269
---------
COLOMBIA - 4.61%
20,000 Banco de Columbia GDR (Banks).............. 150,000
16,000 Carulla CIA S.A., ADR, Cl 'B'
(Retail)(b)............................... 106,000
14,100 Cementos Diamante S.A., ADR, Cl 'B'
(Building & Construction)(b).............. 218,550
14,794 Gran Cadena de Almacenes Columbiano, ADR
(Banks)................................... 214,513
---------
689,063
---------
MEXICO - 28.29%
97,500 Cemex S.A. de CV, Cl 'B' (Building &
Construction)............................. 375,748
24 Controladora de Farmacia (Retail).......... 19
<CAPTION>
SHARES SECURITY VALUE
- ----------- ------------------------------------------- ------------
<C> <S> <C>
103,200 Corporacion GEO S.A. de CV Ser 'B'
(Building & Construction)................. $ 351,086
36,200 Corporacion Industrial SanLuis S.A. de CV
(Auto Related)............................ 195,552
92,300 Formento Economico Mexicano S.A. de CV
(Beverages)............................... 266,167
120,519 Gruma S.A. Cl 'B' (Diversified)(a)......... 427,622
33,698 Grupo Carso S.A. de CV, Cl
'A1'(Diversified)(a)...................... 262,419
1,038,000 Grupo Financiero Bancomer S.A. de CV
(Finance)................................. 417,959
290,400 Grupo Financiero Banorte, Cl
'B'(Banks)(a)............................. 362,759
13,000 Grupo Televisa S.A. GDR (Radio-TV)......... 323,375
5,391 Panamerican Beverages ADR, Cl
'A'(Beverages)............................ 217,662
27,500 Sigma Alimentos S.A. Series 'BCP'
(Beverages)............................... 186,379
175,000 Telefonos de Mexico S.A., Cl 'L'
(Telecommunications)...................... 290,698
16,860 Telefonos de Mexico S.A., ADR Cl 'L'
(Telecommunications)...................... 554,273
---------
4,231,718
---------
PERU - 3.50%
8,300 Compania de Minas Buenaventura S.A. 'C'
(Metals & Mining)......................... 62,581
7,367 Credicorp Limited (Banks).................. 132,606
92,000 La Fabril Pacifico S.A. (Diversified)(a)... 125,588
98,641 Telefonica del Peru, Cl 'B'
(Telecommunications)...................... 203,448
---------
524,223
---------
VENEZUELA - 5.66%
14,700 Banco Mercantil Series 'A-B' (Banks)....... 19,443
9,172 Banco Mercantil Series 'B' (Banks)......... 8,291
12,407 Banco Provincial (Banks)................... 15,042
2,419 Banco Venezolano de Credito Series 'A-B'
(Banks)................................... 62,535
130,423 Electricidad de Caracas (Utility).......... 87,820
67,867 Mavesa S.A., ADR (Consumer Goods).......... 254,501
42,200 Mavesa, ADR (Consumer Goods)(b)............ 158,250
50,000 Siderurgica Venezolana Sivensa, ADR
(Steel)................................... 106,500
45,000 Siderurgica Venezolana Sivensa, (Steel).... 20,291
758,716 Sudamtex (Textiles)........................ 65,380
334,950 Venaseta Cl 'A' (Finance).................. 16,110
66,990 Venaseta Cl 'B' (Finance).................. 3,088
10,000 Venezolana de Cementos (Building &
Construction)............................. 15,952
20,000 Venezolana Pulpa y Papel (Paper)........... 13,427
---------
846,630
---------
TOTAL COMMON STOCKS
(Cost $11,199,739)....................................... $ 10,948,925
---------
</TABLE>
See Notes to Financial Statements on Pages 48 - 50
36
<PAGE> 19
- --------------------------------------------------------------------------------
Latin American Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- ----------- ------------------------------------------- ------------
<S> <C>
PREFERRED STOCKS - 17.89%
BRAZIL - 17.71%
35,625,366 Banco Bradesco PN (Banks).................. $ 373,333
943,116 Banco Itau S.A. (Banks).................... 335,173
1,354,711 Brasmotor PN (Auto Related)................ 349,771
4,463,600 Casa Anglo Bras S.A. (Furniture & Home
Appliance)................................ 232,750
325,000 Centrais Electricas Brasileiras S.A.
Electrobras Pref 'B' (Utility)............ 88,847
379,608 Compania Cervejaria Brahma (Beverages)..... 183,337
921,079 Iochpe Maxion PN (Consumer Goods).......... 102,585
1,697,600 Lojas Americanas (Retail).................. 40,908
610,800 Mesbla (Retail)(a)......................... 13,296
3,243,900 Petroleo Brasileiro S.A. Petrobras (Oil &
Gas)...................................... 387,567
124,280,971 Refrigeracao Parana S.A. (Consumer
Goods).................................... 328,429
2,131,000 Telebras PN (Telecommunications)........... 106,156
98,266,396 Usiminas PN (Steel)........................ 108,450
---------
2,650,602
---------
COLOMBIA - 0.18%
1,800 Banco Ganadero S.A. ADR (Banks)............ 26,550
---------
TOTAL PREFERRED STOCKS
(Cost $2,819,486)........................................ $ 2,677,152
---------
<CAPTION>
PRINCIPAL
AMOUNT SECURITY VALUE
- ----------- ------------------------------------------- ------------
<C> <S> <C>
SHORT-TERM INVESTMENTS - 7.17%
$1,085,000 U.S. Treasury Bills, 5.15%, 6/20/96,
(Cost $1,073,095)......................... $1,073,065
---------
<CAPTION>
SHARES SECURITY VALUE
- ----------- ------------------------------------------- ------------
<S> <C>
TOTAL INVESTMENTS
(Cost $15,092,320) - 98.25%.............................. $ 14,699,142
Other Assets Less Liabilities - 1.75%..................... 262,005
----------
NET ASSETS - 100.00%...................................... $ 14,961,147
----------
</TABLE>
- ------------------
(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 March 31, 1996,
the value of these securities amounted to $765,391 or 5.12% of net assets.
Industry Diversification (as a percentage of Total Investments):
<TABLE>
<S> <C>
Auto Related.................................. 4.98%
Banks......................................... 15.33%
Beverages & Foods............................. 6.90%
Building & Construction....................... 8.28%
Consumer Goods................................ 5.74%
Diversified................................... 7.25%
Finance....................................... 2.97%
Oil & Gas..................................... 5.32%
Other......................................... 8.95%*
Radio & TV.................................... 2.20%
Steel......................................... 2.55%
Telecommunications............................ 13.57%
U.S. Government............................... 7.30%
Utilities..................................... 8.66%
------
100.00%
-------
</TABLE>
*No one industry represents more than 2% of Portfolio holdings.
See Notes to Financial Statements on Pages 48 - 50
37
