<PAGE>
THE DIVERSIFIED PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- -----------
<S> <C> <C>
EQUITIES (60.1%)
COMMON STOCKS (60.0%)
FOREIGN EQUITIES (10.7%)
AUSTRALIA (0.2%)
Broken Hill Proprietary Co. Ltd.
(Energy Sources)...............
5,300 $ 74,848
CSR Ltd. (Multi-Industry).......
12,000 39,066
National Australia Bank Ltd.
(Banks)........................
6,850 61,606
News Corporation Bank Ltd.
(Broadcasting).................
6,800 36,290
Southcorp Holdings Ltd. (Food &
Household Products)............
16,600 38,619
TNT Ltd. (Transportation) (a)...
17,000 22,491
Western Mining Corp. Holdings
Ltd. (Non-Ferrous Metals)......
7,000 44,953
-----------
317,873
-----------
AUSTRIA (0.0%)*
VA Technologie AG (Industrial
Machinery).....................
200 25,401
-----------
BELGIUM (0.1%)
Arbed SA NPV (Steel)(a).........
200 22,630
Banque Bruxelles Lambert NPV
(Banks)........................
200 34,658
Petrofina SA NPV (Energy
Sources).......................
100 30,615
Solvay and Cie Ord NPV
(Chemicals)....................
70 37,997
Tractebel Capital NPV
(Multi-Industry)...............
200 82,569
-----------
208,469
-----------
CANADA (0.0%)*
Scott Paper Ltd (Paper
Products)......................
700 12,303
-----------
DENMARK (0.1%)
Carlsberg B (Food & Household
Products)......................
450 25,124
Den Danske Bank (Banks).........
300 20,693
International Service System
(Business & Public Services)...
830 18,685
Novo Nordisk AS, Series B
(Health & Personal Care).......
240 32,850
Sophus Berendsen, Class B
(Conglomerates)................
200 22,512
<CAPTION>
SHARES VALUE
--------- -----------
<S> <C> <C>
DENMARK (CONTINUED)
Teledanmark AS
(Telecommunications)...........
500 $ 27,285
-----------
147,149
-----------
FRANCE (0.9%)
Air Liquide (Chemicals).........
433 71,710
AXA (Multi-Industry)............
1,023 68,938
Bouygues (Homebuilders).........
306 30,825
Carrefour Supermarkets (Retail
Trade).........................
110 66,737
Cetelum (Financial Services)....
300 56,300
Christian Dior SA (Retail)......
570 61,458
Compagnie Financiere de Paribas,
Class A (Banks)................
43 2,358
Compagnie Financiere de St.
Gobain (Containers & Glass)....
451 49,180
Credit Commercial de France
(Banks)........................
1,200 61,237
Credit Local de France
(Financial Services)...........
550 44,027
Eaux Cie Generale (Business
Services)......................
998 99,637
Eridania Beghin - Say
(Insurance)....................
310 53,175
Groupe Danone (Food &
Beverages).....................
435 71,775
Lafarge SA (Construction
Materials).....................
309 19,908
LaGardere Groupe (Leisure &
Tourism) (a)...................
3,240 59,547
Peugeot SA (Automobiles)........
415 54,746
Promodes (Retail Trade).........
420 98,718
Rhone Poulenc SA, Class A
(Chemicals)....................
900 19,279
Roussel Uclaf
(Pharmaceuticals)..............
220 37,288
SGS Thomson (Electronics) (a)...
800 30,631
Sanofi (Pharmaceuticals)........
990 63,459
SEITA (Tobacco).................
1,000 36,247
Sidel (Technology)..............
150 46,743
Societe Generale (Banks)........
430 53,124
Societe Nationale Elf Aquitaine
(Energy Sources)...............
500 36,839
Synthelabo (Health & Personal
Care)..........................
600 37,590
Television Francaise
(Broadcasting).................
470 50,388
Total B (Petroleum Services)....
2,290 154,553
Union Assurance Federal
(Insurance)....................
350 41,811
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
16
<PAGE>
THE DIVERSIFIED PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- -----------
FRANCE (CONTINUED)
<S> <C> <C>
Usinor Sacilor (Metals,
Materials & Paper) (a).........
2,600 $ 34,378
Valeo (Automobiles).............
800 37,051
-----------
1,649,657
-----------
GERMANY (0.7%)
Allianz AG Holdings
(Insurance)....................
66 128,641
Ava Allgemeine Handels Der Verbr
(Retail Grocery)...............
150 50,715
Bayer AG (Chemicals)............
360 94,988
Bilfinger & Berger Bau AG
(Homebuilders).................
80 30,282
Daimler-Benz AG (Automobiles)...
100 50,331
Deutsche Bank AG (Banks)........
2,650 125,563
Deutsche Pfandbrief Und
Hypotheken Bank (Banks)........
1,210 46,983
Hoechst AG (Chemicals)..........
130 35,253
Man AG (Industrial Machinery)...
270 73,029
Munchener Ruckversicherungs AG
(Insurance)....................
44 95,699
Munchener Ruckversicherungs AG
New (Insurance)................
5 10,756
Rheinisch Westfalisches Elect AG
(Utilities)....................
250 69,711
Siemens AG (Electrical
Equipment).....................
315 172,377
Thyssen AG (Steel) (a)..........
255 46,325
Veba AG (Electric Utilities)
(a)............................
2,600 110,380
Volkswagen AG (Automobiles).....
245 81,911
-----------
1,222,944
-----------
HONG KONG (0.3%)
Citic Pacific Ltd.
(Transportation)...............
23,000 78,674
Henderson Land Development Co.
(Building & Contractors).......
31,000 186,822
Hong Kong Electric Holdings Ltd.
(Electric Utilities)...........
18,000 59,011
Hong Kong Telecomm
(Telecommunications)...........
19,600 34,980
HSBC Holdings PLC (Banks).......
5,600 84,733
Television Broadcasts Ltd.
(Broadcasting).................
13,000 46,317
-----------
490,537
-----------
JAPAN (4.2%)
Achilles Corp. (Tire &
Rubber)........................
10,000 38,644
Asahi Bank Ltd. (Banks).........
8,000 100,726
<CAPTION>
SHARES VALUE
--------- -----------
<S> <C> <C>
JAPAN (CONTINUED)
Chugai Pharmaceutical Co.
(Health & Personal Care).......
12,000 $ 114,944
Cosmo Oil Co. Ltd. (Energy
Sources).......................
20,000 109,249
Dai-Ichi Kangyo Bank (Banks)....
8,000 157,288
Daido Steel Co. (Metals,
Materials & Paper).............
12,000 60,436
Daiei Inc. (Retail Trade).......
10,000 121,065
Daikin Industries (Industrial
Machinery).....................
10,000 97,821
Daishi Bank (Banks) (a).........
15,000 84,843
Daiso Co. (Chemicals)...........
13,000 61,947
Daito Trust Construction Co.
Ltd. (Construction & Mining
Equipment).....................
2,000 23,632
Daiwa Bank (Banks)..............
25,000 202,179
Daiwa Securities Co. Ltd.
(Financial Services)...........
5,000 76,513
East Japan Railway Co.
(Railroads & Equipment)........
15 72,930
Ebara Corp. (Capital Goods).....
6,000 87,748
Eisai Co. Ltd. (Health &
Personal Care).................
4,000 70,121
Familymart (Retail).............
1,000 45,133
Fuji Denki Reiki (Retail
Trade).........................
2,000 26,731
Fuji Electric Co. Ltd.
(Electrical Equipment).........
20,000 101,695
Fuji Heavy Industries
(Automobiles) (a)..............
3,000 11,826
Fukui Bank (Banks)..............
15,000 79,903
Gakken Co. Ltd. (Broadcasting)
(a)............................
10,000 65,860
Hitachi Ltd. (Electrical
Equipment).....................
15,000 151,090
Hokkai Can Co. Ltd. (Non-Ferrous
Metals)........................
10,000 68,475
Hokkaido Takushoku Bank
(Banks)........................
28,000 82,983
Honda Motor Co. Ltd.
(Automobiles)..................
7,000 144,407
Ishikawajima-Harima Heavy
Industries (Industrial
Machinery).....................
30,000 126,392
Ishizuka Glass Co. Ltd.
(Materials & Commodities)......
10,000 50,557
Itoki Crebio Corp (Transport &
Trade Service).................
4,000 30,993
Japan Airport Terminals (Media &
Leisure).......................
3,000 36,320
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE DIVERSIFIED PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- -----------
JAPAN (CONTINUED)
<S> <C> <C>
Japan Tobacco Inc. (Food &
Beverages).....................
10 $ 86,683
Kagawa Bank (Banks).............
3,000 29,056
Kanematsu Corp. (Wholesale &
Industrial Trade)..............
20,000 78,063
Kubato Corp. (Capital Goods)....
5,000 32,203
Kurabo Industries (Textiles)....
15,000 57,385
Kyowa Hakko Kogyo (Chemicals)...
7,000 66,034
Marubeni Corp. (Transport &
Trade Service).................
15,000 81,211
Matsushita Electrical Industrial
Co. Ltd. (Electronics).........
15,000 244,068
Mitsubishi Electric Corp. Ltd.
(Electrical Equipment).........
17,000 122,334
Mitsubishi Motors Corp.
(Automobiles)..................
12,000 97,743
Mitsui Mining & Smelting
(Metals, Materials & Paper)....
6,000 24,058
Mitsui Petrochemical Industries
(Chemicals)....................
5,000 40,920
Mitsui Toatsu Chemicals Inc.
(Chemicals)....................
20,000 80,387
Mizuno Corp. (Retail)...........
14,000 121,356
Nagase & Co. Ltd. (Transport &
Trade Services)................
6,000 51,603
NEC Corp (Electrical
Equipment).....................
10,000 122,034
Nichias Corp. (Materials, Metals
& Papers)......................
8,000 41,918
Nippon Credit Bank (Banks)......
30,000 137,143
Nippon Paper Industries
(Paper)........................
8,000 55,554
Nippon Road Co. Ltd. (General
Construction)..................
10,000 84,262
Nippon Sheet Glass (Household
Products)......................
13,000 56,533
Nippon Zeon Co. Ltd. (Chemicals)
(a)............................
8,000 43,002
Nishi Nippon Railroad Co.
(Railroads & Equipment)........
20,000 78,257
Nissan Motor Co.
(Automobiles)..................
10,000 76,804
Nomura Securities Co. Ltd.
(Financial Services)...........
8,000 174,334
Osaka Gas Co. Ltd. (Gas &
Pipeline Utilities)............
30,000 103,729
Ricoh Corp. Ltd. (Computers &
Business Equipment)............
5,000 54,722
Sakura Bank Ltd. (Banks)........
12,000 152,252
<CAPTION>
SHARES VALUE
--------- -----------
<S> <C> <C>
JAPAN (CONTINUED)
San-In Godo Bank (Banks)........
8,000 $ 66,402
Sankyo Aluminium Industry Co.
Ltd. (Building &
Contractors)...................
10,000 53,559
Sankyu Inc. (Transport & Trade
Service).......................
15,000 62,034
Sanwa Bank (Banks)..............
5,000 101,695
Sekisui House Ltd. (Building &
Contractors)...................
5,000 63,922
Shimadzu Corp. (Technology).....
18,000 104,426
Shinmaywa Industries Ltd.
(Machinery & Engineering)......
5,000 41,259
Shin Nippon Air Technologies Co.
(Building & Contractors).......
3,000 45,327
Shinobu Foods Products Co. (Food
& Household Products)..........
6,000 38,063
Showa Denko K.K. (Chemicals)
(a)............................
25,000 78,450
Snow Brand Milk Products Co.
Ltd. (Food & Beverages)........
10,000 63,922
Sony Corp. (Electronics)........
2,000 119,903
Sumitomo Forestry Co. (Home
Construction)..................
6,000 91,816
Sumitomo Metal Industries
(Steel) (a)....................
55,000 166,731
Takashimaya Co Ltd. (Retail
Trade).........................
6,000 95,884
Tobu Railway Co Ltd. (Railroads
& Equipment)...................
10,000 62,567
Toenec Corp (Electrical
Equipment).....................
5,000 44,552
Tohoku Electric Power Co. Inc.
(Electric Utilities)...........
6,900 166,402
Tokio Marine & Fire Insurance
Co. Ltd. (Insurance)...........
12,000 156,901
Tokyo Electric Power (Electric
Utilities).....................
1,800 48,116
Tokyu Land Corp. (Financial
Services)......................
19,000 82,809
Toshiba Corp. (Industrial
Machinery).....................
8,000 62,683
Toyo Construction Co.
(Construction Materials).......
15,000 87,458
Toyo Trust & Banking Co. Ltd.
(Banks)........................
27,000 238,489
Toyota Motor Corp.
(Automobiles)..................
10,000 212,107
Tsubakimoto Chain (Capital
Goods).........................
8,000 48,116
Ube Industries Ltd. (Chemicals)
(a)............................
20,000 75,545
Uni-Charm Corp. (Household
Products)......................
3,000 75,545
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE DIVERSIFIED PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- -----------
JAPAN (CONTINUED)
<S> <C> <C>
Yaskawa Electric Manufacturing
Co. Ltd. (Technology) (a)......
15,000 $ 70,751
Yasuda Trust & Banking Co. Ltd.
(Banks)........................
10,000 59,177
Zexel Corp. (Railroads &
Equipment).....................
8,000 54,392
-----------
7,635,102
-----------
MALAYSIA (0.0%)*
Commerce Asset-Holdings
(Financial Services)...........
11,000 55,440
Tan Chong Motor Holdings Berhad
(Industrial Machinery).........
18,000 17,790
Telekom Malaysia Berhad
(Telecommunications)...........
3,000 23,389
-----------
96,619
-----------
NETHERLANDS (1.6%)
ABN Amro Holdings (Banking).....
1,380 62,864
Dutch State Mines NV
(Chemicals)....................
500 41,129
Elsevier NV (Publishing)........
3,200 42,675
Internationale Nederlanden Groep
(Insurance)....................
1,100 73,484
Koninklijke KNP NV (Metals,
Materials & Paper).............
1,200 30,809
Koninklijke PTT Nederland
(Telecommunications)...........
800 29,065
Philips Electronics (Household
Appliances Furnishings)........
700 25,301
Royal Dutch Petroleum (Petroleum
Services)......................
1,850 258,472
Royal Dutch Petroleum (Petroleum
Services) (ADR)................
16,700 2,356,788
Unilever NV (Food)..............
600 84,315
-----------
3,004,902
-----------
NEW ZEALAND (0.0%)*
Independent Newspapers
(Broadcasting).................
12,000 36,480
Lion Nathan Ltd. (Food &
Beverages).....................
20,000 47,725
-----------
84,205
-----------
NORWAY (0.2%)
Aker As, Series B (Building
Materials).....................
2,500 30,391
<CAPTION>
SHARES VALUE
--------- -----------
<S> <C> <C>
NORWAY (CONTINUED)
Hafslund Nycomed, Series B
(Health & Personal Care).......
2,500 $ 63,348
Kvaerner AS, Series B (Capital
Goods).........................
1,300 43,511
Norsk Hydro AS (Petroleum
Services)......................
3,000 125,985
Orkla AS, A Free
(Multi-Industry)...............
900 42,911
Orkla AS, B Free
(Multi-Industry)...............
300 14,919
-----------
321,065
-----------
SINGAPORE (0.1%)
Development Bank of Singapore
(Banks)........................
4,000 49,770
Sembawang Corporation Limited
(Industrial Machinery).........
5,000 27,748
Sime Darby Berhad
(Conglomerates)................
7,000 18,310
Singapore Airlines Ltd.
(Transportation)...............
3,000 27,996
Singapore Press Holdings Ltd.
(Media)........................
3,000 53,022
United Overseas Bank (Banks)....
3,000 28,844
United Overseas Land (Building &
Contractors)...................
20,000 38,035
-----------
243,725
-----------
SPAIN (0.2%)
Banco Intercont Espana
(Banking)......................
500 48,640
Banco Popular Espanol
(Banking)......................
300 55,326
Empresa Nacional de Electidad
(Utilities)....................
1,500 84,955
Fuerzas Electricas de Cataluna
(Utilities)....................
9,500 67,745
Repsol (Energy Sources).........
2,000 65,540
Telefonica de Espana
(Telecommunications)...........
1,400 19,390
-----------
341,596
-----------
SWITZERLAND (0.6%)
BBC AG Brown Boveri & Cie
(Electrical Equipment).........
232 52,494
Bil GT Gruppe AG (Banks)........
70 41,266
Ciba Geigy AG (Healthcare)......
200 175,986
CS Holding (Banks)..............
700 71,760
Nestle SA (Food & Beverages)....
145 160,399
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE DIVERSIFIED PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- -----------
SWITZERLAND (CONTINUED)
<S> <C> <C>
Roche Holdings Genusscheine NPY
(Health & Personal Care).......
14 $ 110,750
Sandoz AG (Drugs & Health
Care)..........................
200 183,095
Schweizerische Bankgesellschaft
(Banks)........................
40 43,346
Schweizerische Bankverein
(Banks)........................
170 69,415
Schweizerische
Ruchversicherungs-Gesellschaft
(Insurance)....................
50 58,171
Societe Generale de Surveillance
Holdings SA (Transport & Trade
Service).......................
160 54,790
Zurich Versicherungs
(Insurance)....................
200 59,818
-----------
1,081,290
-----------
UNITED KINGDOM (1.5%)
Allied Colloids Group PLC
(Chemicals)....................
15,500 32,016
Amersham International PLC
(Drugs & Healthcare)...........
1,400 19,286
Argos (Retail Trade)............
2,000 18,497
Argyll Group PLC (Retail
Trade).........................
7,900 41,715
Barclays Bank (Banks)...........
5,000 57,307
BAT Industries PLC (Tobacco)....
9,900 87,176
BICC (Capital Goods)............
3,500 14,948
BOC Group PLC (Chemicals).......
1,700 23,788
British Gas PLC (Gas & Pipeline
Utilities).....................
11,800 46,547
British Petroleum Co. Ltd.
(Energy Sources)...............
9,347 78,024
British Telecommunications PLC
(Telecommunications)...........
19,600 107,451
BTR (Multi-Industry) (a)........
12,800 65,203
Cable & Wireless PLC
(Telecommunication Services)...
5,000 35,797
Caradon PLC (Building &
Contractors)...................
12,000 36,434
Forte PLC (Leisure & Tourism)...
8,000 41,062
General Electric Co. PLC
(Electrical Equipment).........
8,800 48,380
Glaxo Holdings PLC (Health &
Personal Care).................
11,858 168,505
Glynwed International PLC
(Materials)....................
5,900 29,230
Granada Group PLC (Leisure &
Tourism).......................
4,800 48,082
<CAPTION>
SHARES VALUE
--------- -----------
<S> <C> <C>
UNITED KINGDOM (CONTINUED)
Grand Metropolitan PLC (Food &
Beverages).....................
5,800 $ 41,750
Guardian Royal Exchange PLC
(Insurance)....................
16,200 69,439
Guinness PLC (Food &
Beverages).....................
8,700 63,977
Hanson Trust PLC
(Multi-Industry)...............
9,300 27,731
Hillsdown Holdings PLC (Food)...
18,700 49,371
HSBC Holdings (Banks)...........
4,150 64,805
Inchcape PLC (Transport &
Services)......................
6,000 23,202
Kingfisher (Retail Trade).......
5,300 44,613
Ladbroke Group (Media &
Leisure).......................
5,000 11,376
Lloyds TSB Group PLC (Banks)....
10,816 55,684
Marks & Spencer PLC (Retail
Trade).........................
5,700 39,835
MEPC (Real Estate)..............
6,600 40,436
National Grid Group PLC
(Utilities)....................
3,329 10,288
National Power (Utilities)......
3,000 20,943
National Westminster Bank
(Banks)........................
6,000 60,429
Pearson PLC (Media & Leisure)...
5,700 55,194
Peninsular & Oriental Steam
Navigation Co.
(Transportation)...............
3,300 24,395
Racal Electronics PLC
(Electronics)..................
7,500 33,138
Reckitt & Colman PLC (Health &
Personal Care).................
3,400 37,622
Reuters Holdings PLC
(Publishing)...................
4,800 43,945
Rexam PLC (Paper)...............
4,300 23,640
Rolls-Royce PLC (Capital
Goods).........................
19,400 56,642
Royal Bank Of Scotland PLC
(Banks)........................
5,900 53,695
RTZ Corp. PLC (Non-Ferrous
Metals)........................
2,800 40,702
Sainsbury (J.) PLC (Retail).....
7,000 42,670
Scottish & Newcastle PLC (Food &
Beverages).....................
5,300 50,457
Scottish Hydro Electric PLC
(Electric Utilities)...........
5,100 28,474
Sears Holdings (Retail Trade)...
26,400 42,640
Shell Transport & Trading Co.
(Energy Sources)...............
6,600 87,279
Smithkline Beecham (Health &
Personal Care).................
6,600 72,775
Standard Chartered Bank
(Banks)........................
5,200 44,255
Tarmac PLC (Building)...........
29,000 46,389
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE DIVERSIFIED PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- -----------
UNITED KINGDOM (CONTINUED)
<S> <C> <C>
Thorn EMI PLC (Household
Appliances)....................
1,500 $ 35,328
Tomkins (Multi-Industry)........
9,200 40,221
United Biscuits Holdings PLC
(Food & Beverages).............
9,200 36,506
Vickers PLC (Industrial
Machinery).....................
7,500 29,585
Videotron Holdings Plc (ADR)
(Telecommunications)...........
1,100 14,094
Vodafone Group PLC
(Telecommunications)...........
11,000 39,463
Willis Corroon Group PLC
(Insurance)....................
16,500 36,131
Yorkshire Electricity Group
(Utilities)....................
3,400 35,273
Yorkshire Water (Business &
Public Services)...............
6,000 55,071
Zeneca Group PLC (Health &
Personal Care).................
1,100 21,277
-----------
2,750,188
-----------
TOTAL FOREIGN COMMON STOCKS (COST
$18,229,744)...................
19,633,025
-----------
UNITED STATES (49.3%)
BASIC INDUSTRIES (3.2%)
AGRICULTURE (0.0%)*
Dekalb Genetics Corp. - Class
B..............................
1,800 81,225
-----------
CHEMICALS (1.5%)
Albemarle Corp..................
2,700 52,312
Applied Extrusion Technologies
Inc. (a).......................
200 2,525
Brady (WH) Co., Class A.........
1,800 47,700
Dow Chemical Co.................
6,900 485,588
Du Pont (E.I.) de Nemours & Co.,
Inc............................
15,200 1,062,100
Georgia Gulf Corp...............
700 21,525
Lyondell Petrochemical Co.......
2,000 45,750
Monsanto Co.....................
3,000 367,500
PPG Industries Inc..............
4,400 201,300
Praxair Inc.....................
1,100 36,988
Rohm & Haas Co..................
1,700 109,437
Union Carbide Corp..............
5,900 221,250
Wellman Inc.....................
100 2,275
-----------
2,656,250
-----------
<CAPTION>
SHARES VALUE
--------- -----------
<S> <C> <C>
METALS & MINING (1.1%)
Allegheny Ludlum Corp...........
4,100 $ 75,850
Aluminum Co. of America.........
9,600 507,600
Commercial Metals Co............
3,400 84,150
Crown Cork & Seal Co., Inc.
(a)............................
7,200 300,600
Inland Steel Industries, Inc....
2,000 50,250
Intermet Corp...................
4,600 47,150
Maverick Tube Corp. (a).........
1,700 12,856
Nucor Corp......................
4,500 257,062
Oregon Steel Mills, Inc.........
1,600 22,400
Phelps Dodge Corp...............
3,600 224,100
Reynolds Metals Co..............
4,600 260,475
Schnitzer Steel Industries,
Inc., Class A..................
100 3,050
Steel Technologies, Inc.........
5,800 50,750
USX-U.S. Steel Group, Inc.......
2,100 64,575
Worthington Industries, Inc.....
3,200 66,600
-----------
2,027,468
-----------
PAPERS & FOREST PRODUCTS (0.6%)
Boise Cascade Corp..............
1,800 62,325
Bowater Inc.....................
1,900 67,450
Champion International Corp.....
500 21,000
Georgia-Pacific Corp............
2,500 171,563
International Paper Co..........
13,200 499,950
James River Corp. of Virginia...
3,200 77,200
Louisiana Pacific Corp..........
100 2,425
Mead Corp.......................
2,900 151,525
-----------
1,053,438
-----------
Total Basic Industries.......
5,818,381
-----------
CONSUMER GOODS & SERVICES (12.2%)
AUTOMOTIVE (1.7%)
Cooper Tire & Rubber Co.........
1,600 39,400
Dana Corp.......................
2,800 81,900
Excel Industries, Inc...........
2,100 29,400
Ford Motor Co...................
31,100 901,900
General Motors Corp.............
17,800 941,175
General Motors Corp. - Class
H..............................
17,700 869,512
Goodyear Tire & Rubber Co.......
3,600 163,350
Simpson Industries, Inc.........
7,200 63,900
-----------
3,090,537
-----------
BEVERAGES, FOOD, SOAP & TOBACCO (5.1%)
Anheuser Busch Companies Inc....
11,400 762,375
Bush Boake Allen, Inc. (a)......
1,000 27,375
Coca-Cola Co....................
12,800 950,400
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE DIVERSIFIED PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- -----------
BEVERAGES, FOOD, SOAP & TOBACCO (CONTINUED)
<S> <C> <C>
Coca-Cola Enterprises, Inc......
5,500 $ 147,125
Colgate Palmolive Co............
6,200 435,550
Coors (Adolph) Co...............
800 17,750
CPC International, Inc..........
6,000 411,750
Dreyer's Grand Ice Cream,
Inc............................
400 13,450
Eskimo Pie Corp.................
600 11,063
John B. Sanfilippo & Son, Inc.
(a)............................
300 2,812
Nabisco Holdings Corp. Class
A..............................
2,100 68,513
PepsiCo., Inc...................
30,200 1,687,425
Philip Morris Cos. Inc..........
25,700 2,325,850
Procter & Gamble Co.............
23,200 1,925,600
Ralston Purina Co...............
4,100 255,738
Riviana Foods Inc...............
1,300 16,981
Sara Lee Corp...................
6,600 210,375
-----------
9,270,132
-----------
ENTERTAINMENT, LEISURE & MEDIA (2.6%)
Ascent Entertainment Group......
1,400 22,225
Boyd Gaming Corp. (a)...........
900 10,463
Carmike Cinemas Inc. (a)........
100 2,250
Carnival Corp., Class A.........
5,300 129,187
Circus Circus Enterprises Inc.
(a)............................
5,700 158,888
CKS Group, Inc. (a).............
100 3,888
Comcast Corp., Class A..........
7,700 140,044
Cox Communications, Inc. (a)....
2,900 56,550
Disney (Walt) Co................
22,200 1,309,800
Doubletree Corp. (a)............
400 10,350
Emmis Broadcasting Corp. (a)....
400 12,400
Harrah's Enterprises Inc. (a)...
5,700 138,225
Heritage Media Corp. Class A
(a)............................
1,100 28,188
International Game Technology...
6,600 71,775
ITT Corporation (New) (a).......
5,200 275,600
Johnson Worldwide Associates
Inc. Class A (a)...............
1,200 27,450
K III Communications Corp.
(a)............................
1,300 15,763
Mirage Resorts, Inc.............
4,400 151,800
Norwood Promotional Products,
Inc. (a).......................
500 8,563
Paging Network Inc (a)..........
5,600 134,750
People's Choice TV Corp. (a)....
600 11,325
Pixar, Inc. (a).................
100 2,881
Players International, Inc.
(a)............................
400 4,300
SCP Pool Corp. (a)..............
500 5,125
Sports Club Company, Inc. (a)...
900 2,813
TeleCommunications, Inc. - TCI
Group Series A (a).............
34,600 689,838
<CAPTION>
SHARES VALUE
--------- -----------
<S> <C> <C>
ENTERTAINMENT, LEISURE & MEDIA (CONTINUED)
Telewest Communications PLC
(a)............................
700 $ 16,844
Thomas Nelson, Inc..............
500 6,500
Time Warner Inc.................
20,400 772,650
Trans World Entertainment
Corp...........................
1,800 3,712
Turner Broadcasting Systems,
Inc............................
4,300 111,800
U.S. West, Inc. Media Group.....
23,800 452,200
-----------
4,788,147
-----------
HOME CONSTRUCTION (0.0%)*
D.R. Horton, Inc................
5,030 59,105
-----------
MERCHANDISING (2.5%)
Aaron Rents Inc.................
300 5,437
Borders Group Inc. (a)..........
500 9,250
Catherines Stores Corp. (a).....
2,200 17,875
Chaus Bernard Inc. (a)..........
2,800 10,150
Circuit City Stores, Inc........
3,700 102,213
Collins & Aikman Corp. (a)......
2,300 15,238
Dayton-Hudson Corp..............
2,300 172,500
Duracell International, Inc.....
4,400 227,700
Fruit of the Loom Inc., Class A
(a)............................
6,000 146,250
Garden Ridge Corp. (a)..........
500 19,187
Gucci Group NV (a)..............
600 23,325
Heartland Express Inc. (a)......
461 9,335
Home Depot, Inc.................
10,200 488,325
Leslie's Poolmart (a)...........
800 10,900
Limited Inc.....................
11,600 201,550
Lowe's Companies, Inc...........
5,100 170,850
Melville Corp...................
3,300 101,475
Nine West Group, Inc............
1,300 48,750
Oakley, Inc. (a)................
300 10,200
One Price Clothing Stores, Inc.
(a)............................
2,400 6,900
Penn Traffic Co. (a)............
1,900 28,500
Penney (J.C.) Inc...............
7,900 376,238
St. John Knits, Inc.............
200 10,625
Tiffany & Company...............
100 5,037
TJX Companies, Inc..............
5,400 101,925
Toys 'R' Us, Inc. (a)...........
8,700 189,225
Urban Outfitters, Inc. (a)......
600 14,175
V.F. Corp.......................
4,500 237,375
Wal-Mart Stores Inc.............
81,000 1,812,375
Warnaco Group, Inc. - Class A...
2,900 72,500
Wolverine World Wide, Inc.......
400 12,600
-----------
4,657,985
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE DIVERSIFIED PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- -----------
PERSONAL CARE (0.2%)
<S> <C> <C>
Avon Products, Inc..............
2,900 $ 218,587
International Flavors &
Fragrance......................
4,600 220,800
-----------
439,387
-----------
RESTAURANTS & HOTELS (0.1%)
Brinker International, Inc.
(a)............................
2,200 33,275
Cracker Barrel Old Country
Store, Inc.....................
3,300 57,131
Extended Stay America, Inc.
(a)............................
200 5,450
Felcor Suite Hotels Inc.........
400 11,150
Sbarro, Inc.....................
500 10,750
Starbucks Corp. (a).............
700 14,656
-----------
132,412
-----------
Total Consumer Goods &
Services....................
22,437,705
-----------
ENERGY (3.6%)
NATURAL GAS (0.5%)
Devon Energy Corp...............
1,900 48,450
El Paso Natural Gas Co..........
1,200 34,050
Enron Corp......................
11,600 442,250
Panhandle Eastern Corp..........
5,400 150,525
Providence Energy Corp..........
1,600 27,200
Sonat Inc.......................
3,000 106,875
TransCanada Pipelines Ltd.......
800 11,000
United Cities Gas Co............
1,600 30,400
-----------
850,750
-----------
OIL-PRODUCTION (3.0%)
Anadarko Petroleum Corp.........
2,500.... 135,313
Atlantic Richfield Co...........
6,800 753,100
Chevron Corp....................
27,700 1,454,250
Cooper Cameron Corp. (a)........
1,300 49,345
Exxon Corp......................
12,900 1,033,613
Occidental Petroleum Corp.......
14,200 303,525
Oryx Energy Co. (a).............
4,400 58,850
Phillips Petroleum Co...........
11,100 378,787
Pogo Producing Co...............
1,000 28,250
Sun Co., Inc....................
3,600 98,550
Tejas Power Corp. (a)...........
1,100 10,037
Texaco Inc......................
11,200 879,200
Texas Meridian Resources Corp.
(a)............................
1,800 24,525
Union Texas Petroleum Holdings,
Inc............................
3,200 62,000
Unocal Corp.....................
10,500 305,813
<CAPTION>
SHARES VALUE
--------- -----------
<S> <C> <C>
OIL PRODUCTION (CONTINUED)
Vintage Petroleum, Inc..........
2,100 $ 47,250
-----------
5,622,408
-----------
OIL-SERVICES (0.1%)
Ashland Oil Co..................
2,100 73,763
Camco International, Inc........
200 5,600
Dreco Energy Services Ltd. Class
A (a)..........................
1,200 20,850
Input/Output Inc. (a)...........
500 28,875
Noble Drilling Corp. (a)........
1,900 16,981
Oceaneering International, Inc.
(a)............................
1,200 15,450
Smith International, Inc. (a)...
300 7,050
-----------
168,569
-----------
Total Energy.................
6,641,727
-----------
FINANCE (6.8%)
BANKING (3.5%)
Ahmanson (H.F.) & Co............
2,500 66,250
Banc One Corp...................
13,500 509,625
Bank of Boston Corp.............
2,500 115,625
BankAmerica Corp................
13,300 861,175
Bankers Trust New York Corp.....
1,900 126,350
Banknorth Group, Inc............
700 26,775
Barnett Banks Inc...............
2,400 141,600
Bay View Capital Corp...........
700 20,213
BayBanks, Inc...................
600 58,800
Central Fidelity Banks, Inc.....
800 25,500
Charter One Financial Inc.......
2,000 61,000
Chase Manhattan Corp............
5,400 327,375
Chemical Banking Corp...........
7,200 423,000
Cole Taylor Financial Group,
Inc............................
500 14,781
Colonial Bancgroup, Inc. Class
A..............................
1,100 35,475
Comerica, Inc...................
2,800 112,350
Commerce Bancorp, Inc...........
800 17,650
Community First Bankshares,
Inc............................
600 13,800
Corestates Financial Corp.......
4,100 155,287
First Chicago Corp..............
7,800 308,100
First Commerce Corp.............
800 25,450
First Fidelity Bancorp..........
1,800 135,675
First Union Corp................
6,800 378,250
Firstar Corp....................
2,500 99,063
FirstFed Financial Corp. (a)....
1,200 16,950
Fleet Financial Group Inc.......
6,300 256,725
GBC Bancorp.....................
1,100 19,525
Golden Western Financial
Corp...........................
1,400 77,350
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE DIVERSIFIED PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- -----------
BANKING (CONTINUED)
<S> <C> <C>
Great Western Financial Corp....
5,100 $ 130,050
HUBCO, Inc......................
700 15,487
Integra Financial Corp..........
3,500 220,500
Irwin Financial Corp............
300 11,963
Mark Twain Bancshares Inc.......
500 19,500
Mercantile Bancorp..............
1,600 73,600
Meriden Bancorp., Inc...........
1,700 79,156
National Commerce
Bancorporation.................
1,500 39,375
NationsBank Corp................
10,600 738,025
Northern Trust Corp.............
1,000 55,688
Pinnacle Financial Services,
Inc............................
400 7,200
PNC Bank Corp...................
4,700 151,575
Republic New York Corp..........
1,200 74,534
Roosevelt Financial Group,
Inc............................
2,800 53,900
Silicon Valley Bancshares (a)...
700 16,975
South Trust Corp................
2,700 69,525
Southern National Corp..........
3,600 94,500
Standard Federal
Bancorporation.................
100 3,938
State Street Boston Corp........
2,000 90,000
Sterling Bancshares Inc.........
450 7,988
Trustco Bank Corp. of New
York...........................
1,100 24,269
UJB Financial Corp..............
400 14,300
Washington Fed Inc..............
300 7,725
Washington Mutual Savings
Bank...........................
2,400 69,000
Westamerica Bancorporation......
1,000 43,000
Wilmington Trust Corp...........
200 6,200
-----------
6,547,692
-----------
FINANCIAL SERVICES (1.3%)
A G Edwards Inc.................
1,500 35,812
Amresco Inc. (a)................
500 6,250
Bear Stearns Cos., Inc..........
2,900 57,638
Beneficial Corp.................
1,300 60,612
Capstone Capital Corporation
Inc............................
1,400 26,775
CCB Financial Corporation.......
200 11,100
Dean Witter Discover & Co.......
6,400 300,800
Donaldson, Lufkin & Jenrette
(a)............................
300 9,375
Federal Home Loan Mortgage
Corp...........................
4,500 375,750
Federal National Mortgage
Association....................
9,200 1,141,950
First USA Inc...................
1,700 75,438
Lehman Brothers Holdings,
Inc............................
2,600 55,250
Litchfield Financial Corp.......
600 7,950
Mercury Financial Co............
4,300 56,975
Merrill Lynch & Co., Inc........
600 30,411
Paine Webber Group Inc..........
1,000 20,000
<CAPTION>
SHARES VALUE
--------- -----------
<S> <C> <C>
FINANCIAL SERVICES (CONTINUED)
Southwest Securities Group
Inc............................
1,300 $ 14,219
WFS Financial, Inc. (a).........
600 11,850
-----------
2,298,155
-----------
INSURANCE (1.8%)
Aetna Life & Casualty Co........
3,000 207,750
Allstate Corp...................
1,600 65,800
AMBAC Inc.......................
900 42,187
American General Corp...........
5,600 195,300
American International Group,
Inc............................
10,900 1,008,250
Capital Re Corp.................
5,000 153,750
Chubb Corp......................
2,800 270,900
Cigna Corp......................
2,100 216,825
First Colony Corp...............
700 17,763
Fremont General Corp............
700 25,725
ITT Hartford Group, Inc. (a)....
7,100 343,462
Lincoln National Corp...........
2,300 123,625
MBIA, Inc.......................
1,300 97,500
MMI Companies, Inc..............
3,100 74,400
Providian Corp..................
2,100 85,575
Renaissance Re Holdings Ltd.
(a)............................
800 24,100
St. Paul Companies, Inc.........
1,900 105,688
Torchmark Corp..................
900 40,725
UNUM Corp.......................
2,400 132,000
USLIFE Corp.....................
700 20,913
-----------
3,252,238
-----------
REAL ESTATE (0.2%)
Associated Estates Realty
Corp...........................
600 12,900
Cali Realty Corp................
1,100 24,063
CenterPoint Properties Corp.....
700 16,187
Chelsea GCA Realty, Inc.........
700 21,000
Colonial Properties Trust.......
400 10,200
Developers Diversified Realty
Corp...........................
600 18,000
Gables Residential Trust........
400 9,150
Healthcare Realty Trust, Inc....
2,500 57,500
Home Properties of New York,
Inc............................
300 5,138
Hospitality Properties Trust....
400 10,700
Liberty Property Trust..........
1,300 26,975
MerryLand & Investment Company
Inc............................
600 14,175
Oasis Residential, Inc..........
600 13,650
Patriot American Hospitality,
Inc............................
400 10,300
Public Storage, Inc.............
600 11,400
ROC Communities, Inc............
1,400 33,600
Sovran Self Storage, Inc........
600 15,825
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE DIVERSIFIED PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- -----------
REAL ESTATE (CONTINUED)
<S> <C> <C>
Starwood Lodging Trust..........
700 $ 20,825
Storage Trust Realty............
1,100 25,025
Summit Properties, Inc..........
300 5,963
Sun Communities Inc.............
300 7,913
Wellsford Residential Property
Trust..........................
600 13,800
-----------
384,289
-----------
Total Finance................
12,482,374
-----------
HEALTHCARE (5.5%)
BIOTECHNOLOGY (0.2%)
Athena Neurosciences, Inc.
(a)............................
2,000 24,250
Fuisz Technologies Limited
(a)............................
400 6,000
Genemedicine Inc. (a)...........
1,000 7,375
Human Genome Sciences, Inc.
(a)............................
300 11,438
Incyte Pharmaceuticals, Inc.
(a)............................
1,600 40,000
Kensey Nash Corporation (a).....
400 5,100
Keravision Inc. (a).............
1,600 20,400
Myriad Genetics Inc. (a)........
300 9,806
Neurogen Corp. (a)..............
600 16,313
Oncor, Inc. (a).................
1,600 7,200
Pharmacopeia, Inc. (a)..........
300 7,237
SangStat Medical Corp. (a)......
1,600 16,500
Sequana Therapeutics, Inc.
(a)............................
1,100 25,369
Somatogen, Inc. (a).............
1,300 24,619
Targeted Genetics Corp. (a).....
1,400 7,613
Vertex Pharmaceuticals, Inc.
(a)............................
1,200 31,350
Vical, Inc. (a).................
2,000 23,875
-----------
284,445
-----------
HEALTH SERVICES (1.6%)
Advocat, Inc. (a)...............
900 10,013
American Oncology Resources,
Inc. (a).......................
500 24,313
Amisys Managed Care Systems Inc.
(a)............................
100 1,913
Apria Healthcare Group, Inc.
(a)............................
2,900 82,650
Columbia Healthcare Corp........
27,900 1,415,925
Health Care & Retirement Corp.
(a)............................
2,200 77,000
Health Management Associates,
Inc. Class A (a)...............
4,100 107,112
Humana Inc. (a).................
12,500 342,188
IDX Systems Corp. (a)...........
200 6,925
Manor Care Inc..................
3,500 122,500
Mariner Health Group, Inc.
(a)............................
3,700 62,437
Raytel Medical Corp. (a)........
600 5,250
<CAPTION>
SHARES VALUE
--------- -----------
<S> <C> <C>
HEALTH SERVICES (CONTINUED)
Sierra Health Services, Inc.
(a)............................
400 $ 12,700
Summit Care Corp. (a)...........
2,100 47,906
Summit Medical Systems, Inc.
(a)............................
100 2,125
Tenet Healthcare Corp. (a)......
11,400 236,550
United Healthcare Corp..........
5,200 340,600
Vivra, Inc. (a).................
2,300 57,788
-----------
2,955,895
-----------
HOSPITAL SUPPLIES (0.5%)
Bausch & Lomb Inc...............
3,200 126,800
Baxter International Inc.
15,500 649,063
Fresenius USA, Inc. (a).........
3,500 69,562
Instent Inc. (a)................
1,100 16,638
Metra Biosystems Inc. (a).......
700 11,900
Neuromedical Systems, Inc.
(a)............................
200 4,013
Norland Medical Systems, Inc.
(a)............................
100 2,288
North American Biologicals, Inc.
(a)............................
3,154 34,300
Physicians Sales & Services,
Inc. (a).......................
600 16,950
Research Industries Corp. (a)...
400 10,750
Sterling House Corp. (a)........
1,500 14,437
Vital Signs, Inc................
800 21,300
-----------
978,001
-----------
PHARMACEUTICALS (3.2%)
Alza Corp. Class A (a)..........
4,200 103,950
American Home Products Corp.....
14,700 1,425,900
Eli Lilly & Co..................
29,400 1,653,750
Forest Laboratories, Inc........
2,300 104,075
Johnson & Johnson, Inc..........
2,600 222,625
Merck & Co., Inc................
10,200 670,650
Pfizer, Inc.....................
14,700 926,100
Schering Plough Corp............
600 32,850
Warner-Lambert Co...............
7,800 757,575
-----------
5,897,475
-----------
Total Healthcare.............
10,115,816
-----------
INDUSTRIAL PRODUCTS & SERVICES (5.2%)
CAPITAL GOODS (0.6%)
Charter Power Systems Inc.......
300 8,512
Cummins Engine Inc..............
700 25,900
Eaton Corp......................
2,900 155,512
Gardner Denver Machinery, Inc.
(a)............................
1,600 29,900
Ingersoll-Rand Co...............
4,700 165,088
Kaydon Corp.....................
1,900 57,712
Measurex Corp...................
700 19,775
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
25
<PAGE>
THE DIVERSIFIED PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- -----------
CAPITAL GOODS (CONTINUED)
<S> <C> <C>
Trinova Corp....................
400 $ 11,450
Tyco International Ltd..........
13,300 473,813
USG Corporation (a).............
2,600 78,000
-----------
1,025,662
-----------
COMMERCIAL SERVICES (0.5%)
Advo System, Inc................
1,200 31,200
Applied Power Inc. Class A......
1,700 51,000
Banta Corp......................
800 35,500
Boca Research Inc...............
800 21,500
Consolidated Graphics, Inc.
(a)............................
1,800 46,125
Dames & Moore Inc...............
2,100 25,462
DeVRY Inc. (a)..................
1,300 35,100
R.R. Donnelley & Sons Co........
8,600 338,625
Equity Corporation International
(a)............................
500 11,938
Leasing Solutions, Inc. (a).....
300 4,537
Payco American Corp. (a)........
2,300 20,700
Perseptive Biosystems Inc.
(a)............................
4,600 38,813
Pinkerton's, Inc. (a)...........
2,000 39,750
Robert Half International, Inc.
(a)............................
500 20,937
Safety 1st, Inc. (a)............
2,400 35,850
Service Corp. International.....
4,500 198,000
SPS Transaction Services, Inc.
(a)............................
400 11,850
Stewart Enterprises Inc.........
400 14,700
-----------
981,587
-----------
DIVERSIFIED MANUFACTURING (2.7%)
Allied Signal, Inc..............
24,600 1,168,500
Apogee Enterprises, Inc.........
800 13,700
Coltec Industries Inc. (a)......
3,800 44,175
Cooper Industries, Inc..........
4,800 176,400
General Electric Co.............
19,800 1,425,600
Greenfield Industries, Inc......
500 15,563
IDEX Corporation................
100 4,075
ITT Industries..................
8,900 213,600
Johnson Controls Inc............
3,200 220,000
Libbey, Inc.....................
1,100 24,750
Modine Mfg. Co..................
5,400 130,950
Paccar Inc......................
1,700 71,613
Parker Hannifin Corporation.....
3,200 109,600
Raychem Corp....................
4,000 227,500
Regal Beloit Corp...............
100 2,175
Tenneco Inc.....................
15,100 749,338
Whirlpool Corp..................
5,200 276,900
Whittaker Corp. (a).............
500 10,875
Worldtex, Inc. (a)..............
800 4,600
<CAPTION>
SHARES VALUE
--------- -----------
<S> <C> <C>
DIVERSIFIED MANUFACTURING (CONTINUED)
Zoltek Cos, Inc. (a)............
400 $ 6,650
-----------
4,896,564
-----------
ELECTRICAL EQUIPMENT (0.6%)
Avnet Inc.......................
1,500 67,125
Black & Decker Corp.............
8,000 282,000
Cellpro Inc. (a)................
1,900 30,163
Emerson Electric Co.............
1,800 147,150
Encore Wire Corp. (a)...........
1,200 12,000
Exide Corp......................
1,400 64,225
Grainger (W.W.) Inc.............
1,900 125,875
Imax Corp.......................
1,600 36,000
Kuhlman Corp....................
600 7,500
Magnetek Inc. (a)...............
1,100 8,938
National Service Industries
Inc............................
4,100 132,737
Raytheon Co.....................
3,700 174,825
-----------
1,088,538
-----------
MACHINERY (0.3%)
Caterpillar Inc.................
8,300 487,625
General Signal Corp.............
1,900 61,513
-----------
549,138
-----------
POLLUTION CONTROL (0.5%)
Browning Ferris Industries,
Inc............................
18,000 531,000
Culligan Water Technologies,
Inc. (a).......................
600 14,550
Mid-American Waste Systems, Inc.
(a)............................
2,800 9,800
Sevenson Environmental Services,
Inc............................
1,000 18,125
Tetra Technologies, Inc. (a)....
2,300 40,250
Wheelabrator Technologies
Inc............................
9,100 152,425
WMX Technologies, Inc...........
3,300 98,587
-----------
864,737
-----------
Total Industrial Products &
Services....................
9,406,226
-----------
TECHNOLOGY (6.3%)
AEROSPACE (1.3%)
Boeing Co.......................
18,500 1,449,938
General Dynamics Corp...........
1,400 82,775
Lockheed Corp...................
4,000 316,000
Loral Corp......................
3,500 123,813
McDonnell Douglas Corp..........
3,000 276,000
Northrop Grumman Corp...........
300 19,200
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
26
<PAGE>
THE DIVERSIFIED PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- -----------
AEROSPACE (CONTINUED)
<S> <C> <C>
Orbital Sciences Corp. (a)......
2,200 $ 27,500
Rohr Industries, Inc. (a).......
3,600 51,750
-----------
2,346,976
-----------
COMPUTER-PERIPHERALS (0.1%)
Mylex Corp. (a).................
1,400 27,037
Network Appliance, Inc. (a).....
200 8,038
Network Computing Devices,
Inc............................
2,000 14,250
Planar Systems, Inc. (a)........
2,900 55,462
Quantum Corp. (a)...............
600 9,713
Read-Rite Corp. (a).............
1,700 39,419
Visioneer, Inc. (a).............
100 2,200
-----------
156,119
-----------
COMPUTER-SOFTWARE (0.5%)
Adept Technology Inc. (a).......
1,000 10,125
Astea International, Inc. (a)...
100 2,312
Autodesk, Inc...................
1,000 34,250
Checkfree Corp. (a).............
300 6,413
Citrix Systems, Inc. (a)........
100 3,275
Clarify Inc. (a)................
100 3,012
Cooper & Chyan Technology (a)...
100 1,563
Cycare Systems, Inc. (a)........
200 5,125
DST Systems, Inc. (a)...........
600 17,100
Fractal Design Corp. (a)........
100 1,400
Inso Corp. (a)..................
500 21,312
Intersolv (a)...................
1,200 15,450
Logic Works, Inc. (a)...........
500 6,188
Microsoft Corp. (a).............
1,400 122,938
Microtec Research, Inc. (a).....
700 8,662
Novell, Inc. (a)................
13,300 188,694
On Technology Corp. (a).........
700 9,188
Oracle Systems Corp. (a)........
7,800 330,525
Phoenix Technology Ltd. (a).....
1,100 17,187
Pinnacle Systems Inc. (a).......
800 20,100
Quarterdeck Corp. (a)...........
300 8,250
Rational Software Corp. (a).....
2,200 49,500
SQA, Inc. (a)...................
100 1,888
Sybase Inc. (a).................
2,400 86,100
TechForce Corporation (a).......
700 5,994
Vantive Corp. (a)...............
500 11,250
Verity, Inc. (a)................
200 8,750
-----------
996,551
-----------
ELECTRONICS (0.9%)
AMP Inc.........................
7,100 272,463
<CAPTION>
SHARES VALUE
--------- -----------
<S> <C> <C>
ELECTRONICS (CONTINUED)
Dynamics Corp. of America.......
200 $ 4,900
FEI Company (a).................
1,000 11,000
Motorola Inc....................
22,200 1,265,400
Nimbus CD International, Inc.
(a)............................
1,900 15,081
-----------
1,568,844
-----------
INFORMATION PROCESSING (2.7%)
Apple Computer Corp.............
4,000 127,250
Bush Industries Inc.............
700 13,738
Compaq Computer Corp. (a).......
10,000 480,000
Dell Computer Corp. (a).........
3,100 107,919
Gateway 2000, Inc. (a)..........
700 17,106
Hewlett-Packard Co..............
20,200 1,691,750
International Business
Machines.......................
21,400 1,963,450
Network General Corp. (a).......
1,200 39,750
Silicon Graphics Inc. (a).......
5,100 140,250
Sun Microsystems Inc. (a).......
6,400 292,400
Tandem Computers, Inc. (a)......
3,900 41,438
-----------
4,915,051
-----------
SEMICONDUCTORS (0.4%)
Advanced Micro Devices, Inc.
(a)............................
4,100 67,650
Advanced Technology Materials,
Inc. (a).......................
2,400 24,450
Asyst Technologies, Inc. (a)....
300 10,613
Brooktree Corp. (a).............
2,300 27,456
Credence Systems Corp. (a)......
1,100 25,025
Intel Corp......................
700 39,769
Mentor Graphics Corp. (a).......
1,300 23,562
Micrel, Inc. (a)................
2,800 54,950
Micrion Corp. (a)...............
800 8,500
Microchip Technology Inc. (a)...
400 14,650
SDL, Inc. (a)...................
1,200 29,400
Telcom Semiconductor, Inc.
(a)............................
700 5,031
Texas Instruments, Inc. (a).....
6,200 320,850
Xilinx, Inc. (a)................
2,300 69,863
-----------
721,769
-----------
TELECOMMUNICATIONS-EQUIPMENT (0.4%)
Alantec Corp....................
1,100 64,075
Applied Digital Access, Inc.
(a)............................
2,100 25,200
Bay Networks Inc. (a)...........
5,400 221,738
Broadband Technologies Inc.
(a)............................
600 9,675
Celeritek, Inc. (a).............
300 3,225
Comcast UK Cable Partners
Ltd............................
1,100 13,750
Comdial Corp. (a)...............
3,300 30,525
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
27
<PAGE>
THE DIVERSIFIED PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- -----------
TELECOMMUNICATIONS-EQUIPMENT (CONTINUED)
<S> <C> <C>
Digital Microwave Corp. (a).....
1,300 $ 12,837
Echostar Communications Corp.
Class A (a)....................
200 4,913
General Instrument Corp. (a)....
4,600 107,525
Harris Corp.....................
1,300 71,012
Heartland Wireless Communication
Inc. (a).......................
600 17,550
International Cabletel Inc.
(a)............................
600 14,550
Metrocall Inc (a)...............
500 9,500
Mobilemedia Corp. (a)...........
1,600 35,400
Security Dynamics Technologies,
Inc. (a).......................
300 16,425
Spectrian Corp. (a).............
600 13,200
Wireless One, Inc. (a)..........
400 6,750
Xcellenet Inc. (a)..............
1,900 28,262
-----------
706,112
-----------
Total Technology.............
11,411,422
-----------
TRANSPORTATION (0.8%)
AIRLINES (0.1%)
AMR Corp. (a)...................
1,800 133,650
Mesa Airlines, Inc. (a).........
6,700 59,881
-----------
193,531
-----------
RAILROADS (0.6%)
Burlington Northern Inc.........
3,400 265,200
Conrail Inc.....................
2,000 140,000
CSX Corp........................
5,000 228,125
Union Pacific Corp..............
7,800 514,800
-----------
1,148,125
-----------
TRUCK & FREIGHT CARRIERS (0.1%)
American Freightways Corp.......
1,400 14,612
Federal Express Corp. (a).......
1,300 96,038
Rollins Truck Leasing Company...
1,100 12,237
Ryder Systems, Inc..............
1,300 32,175
USA Truck, Inc. (a).............
400 4,450
Werner Enterprises, Inc.........
1,000 20,000
-----------
179,512
-----------
Total Transportation.........
1,521,168
-----------
UTILITIES (5.7%)
ELECTRIC (2.0%)
Allegheny Power System Inc......
3,000 85,875
<CAPTION>
SHARES VALUE
--------- -----------
<S> <C> <C>
ELECTRIC (CONTINUED)
Baltimore Gas & Electric Co.....
2,700 $ 76,950
Centerior Energy Corp...........
5,000 44,375
Central Hudson Gas & Electric
Corp...........................
2,800 86,450
Central Louisiana Electric......
800 21,500
CMS Energy Corp.................
3,000 89,625
Consolidated Edison Co..........
6,500 208,000
Detroit Edison Co...............
3,600 124,200
Dominion Resources Inc..........
5,900 243,375
Entergy Corp....................
6,400 187,200
FPL Group Inc...................
5,500 255,063
General Public Utilities
Corp...........................
3,900 132,600
Houston Industries Inc..........
9,000 218,250
Illinova Corp...................
2,600 78,000
Maine Public Service Co.........
100 2,137
Niagara Mohawk Power Corp.......
1,900 18,288
Northeast Utilities.............
4,200 102,375
Pacific Gas & Electric Co.......
13,200 374,550
Pinnacle West Capital Corp......
1,800 51,750
Potomac Electric Power Co.......
5,700 149,625
P P & L Resources, Inc..........
5,400 135,000
Public Service Enterprise
Group..........................
6,900 211,312
Scecorp.........................
14,200 252,050
Texas Utilities Co..............
7,000 287,875
Unicom Corp.....................
7,300 239,075
Western Resources Inc...........
2,100 70,088
-----------
3,745,588
-----------
TELEPHONE (3.7%)
AT&T............................
43,600 2,823,100
GTE Corp........................
32,900 1,447,600
MCI Communications Corp.........
23,000 602,313
Pacific Telesis Group...........
14,500 487,562
SBC Communications, Inc.........
5,800 333,500
Sprint Corp.....................
11,800 470,525
U.S. West, Inc. Communications
Group..........................
16,000 572,000
-----------
6,736,600
-----------
WATER (0.0%)*
Aquarion Co.....................
400 10,200
E'Town Corp.....................
500 15,063
SJW Corp........................
200 7,550
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
28
<PAGE>
THE DIVERSIFIED PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
--------- -----------
WATER (CONTINUED)
<S> <C> <C>
Southern California Water Co....
1,300 $ 26,325
-----------
59,138
-----------
Total Utilities..............
10,541,326
-----------
TOTAL UNITED STATES COMMON STOCKS
(COST $74,860,868)...............
90,376,145
-----------
TOTAL COMMON STOCKS (COST
$93,090,612)...................
110,009,170
-----------
PREFERRED STOCKS (0.1%)
FRANCE (0.0%)*
Legrand (Electrical
Equipment).....................
560 56,034
-----------
GERMANY (0.0%)*
Henkel (Healthcare).............
150 56,413
-----------
TOTAL PREFERRED STOCKS
(COST $102,540)..................
112,447
-----------
TOTAL EQUITY SECURITIES
(COST $93,193,152)...............
110,121,617
-----------
<CAPTION>
PRINCIPAL
AMOUNT
(IN YEN)
---------
<S> <C> <C>
FIXED INCOME SECURITIES (35.6%)
CONVERTIBLE BONDS (0.3%)
JAPAN (0.2%)
BOT Cayman Finance 4.250% due
03/31/49 (Banking).............
30,000,000 400,969
Izumiya Corp. 0.800% due
08/31/99 (Retail)..............
5,000,000 56,659
-----------
457,628
-----------
<CAPTION>
PRINCIPAL
AMOUNT
(IN USD)
---------
<S> <C> <C>
UNITED STATES (0.0%)*
Boston Chicken Inc. 4.500%
debenture due 2/01/04..........
16,000 19,040
-----------
TOTAL CONVERTIBLE BONDS (COST
$419,454)......................
476,668
-----------
<CAPTION>
PRINCIPAL
AMOUNT
(IN USD) VALUE
--------- -----------
<S> <C> <C>
COLLATERALIZED OBLIGATIONS (3.8%)
FINANCE (3.8%)
Green Tree Financial Corp.
Series 1994-1 7.200% due
04/15/19.......................
3,000,000 $ 3,144,090
Green Tree Financial Corp.
Series 95-A 7.250% due
07/15/05.......................
1,777,721 1,802,720
Premier Auto Trust Series 1993-6
4.65% due 11/02/99.............
1,892,059 1,874,047
Prudential Home Mortgage
Securities Co. Series 1992-36
6.500% due 11/25/99............
119,152 118,676
Resolution Trust Corp. Mtg. Pass
Thru Series 1993 6.975% due
05/25/24 (b)...................
84,357 84,634
-----------
TOTAL COLLATERALIZED OBLIGATIONS
(COST $6,848,399)................
7,024,167
-----------
CORPORATE OBLIGATIONS (15.1%)
FINANCE (9.0%)
FINANCIAL SERVICES (9.0%)
Access Financial Corp. 6.375%
due 05/15/21...................
3,000,000 3,023,910
Bank of America Inc. 9.500% due
04/01/01.......................
1,025,000 1,185,064
Chemical Banking Corp. 10.125%
due 11/01/00...................
800,000 938,008
Chrysler Financial Corp. 8.460%
due 01/19/00...................
1,000,000 1,082,720
Chrysler Financial Corp. 6.50%
due 08/21/97...................
500,000 505,950
Comerica Bank Detroit, Michigan
6.750% due 05/12/98............
2,000,000 2,052,560
First Union Corp 6.550% due
10/15/35.......................
2,800,000 2,871,988
Ford Motor Credit 8.625% due
01/24/00.......................
1,140,000 1,241,888
General Motors Acceptance Corp.
6.250% due 01/06/00............
1,500,000 1,511,010
NationsBank Corp. 6.500% due
08/15/03.......................
2,000,000 2,023,540
-----------
Total Finance................
16,436,638
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
29
<PAGE>
THE DIVERSIFIED PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(IN USD) VALUE
--------- -----------
INDUSTRIAL PRODUCTS & SERVICES (2.7%)
<S> <C> <C>
DIVERSIFIED MANUFACTURING (2.7%)
ITT Corp. 7.400% due 11/15/25...
800,000 $ 838,792
Sears Roebuck & Co. 8.52% due
05/13/02.......................
2,300,000 2,574,689
Texas Eastern Corp. 8.500% due
02/10/97.......................
1,000,000 1,025,000
USG Corp 8.500% due 08/01/05....
500,000 516,250
-----------
Total Industrial Products &
Services....................
4,954,731
-----------
UTILITIES (2.9%)
Cooperative Util Tr. Big Rivers
Electric Co. 9.500% due
02/15/17.......................
2,000,000 2,214,680
Cleveland Electric Illumination
Co. 9.500% due 05/15/05........
1,900,000 1,974,822
Commonwealth Edison Co. 6.000%
due 03/15/98...................
1,090,000 1,090,327
-----------
Total Utilities..............
5,279,829
-----------
TELEPHONE (0.6%)
GTE Corp. 8.850% due 03/01/98...
1,000,000 1,059,220
-----------
TOTAL CORPORATE OBLIGATIONS
(COST $26,968,427)...............
27,730,418
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS (8.8%)
Federal Home Loan 200052 8.500%
due 09/01/01...................
27,788 28,617
Federal Home Loan E20081 6.000%
due 03/01/09...................
50,277 49,827
Federal Home Loan E20199 6.000%
due 09/01/10...................
573,912 568,391
Federal Home Loan E61029 6.000%
due 08/01/10...................
1,998,664 1,979,477
Federal Home Loan E61184 6.000%
due 09/01/10...................
378,210 374,567
Federal Home Loan E61237 6.000%
due 09/01/10...................
100,811 99,843
Federal Home Loan E61351 6.000%
due 09/01/10...................
554,857 549,536
Federal Home Loan E61707 6.000%
due 10/01/10...................
278,539 275,851
Federal Home Loan E64105 7.000%
due 10/01/25...................
713,405 720,083
<CAPTION>
PRINCIPAL
AMOUNT
(IN USD) VALUE
--------- -----------
<S> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS (CONTINUED)
Federal Home Loan E65049 7.000%
due 11/01/25...................
989,267 $ 998,537
Federal Home Loan E65081 7.000%
due 11/01/25...................
206,599 208,535
Federal Home Loan E65216 7.000%
due 11/01/25...................
1,582,841 1,597,672
FHLMC Gold 30 Yr Pass Thru TBA
7.500% due 01/01/99 (a)........
2,250,000 2,308,359
FHLMC 30 Yr Pass Thru TBA 7.00%
due 01/01/2099 (a).............
2,270,000 2,291,281
GNMA 348471 7.000% due
05/15/23.......................
436,711 441,969
GNMA 353265 7.000% due
05/15/23.......................
103,161 104,405
GNMA 333096 7.000% due
06/15/23.......................
427,665 432,810
GNMA 337448 7.000% due
06/15/23.......................
93,983 95,117
GNMA 342722 7.000% due
06/15/23.......................
432,234 437,460
GNMA 354303 7.000% due
06/15/23.......................
423,187 428,283
GNMA 333864 7.000% due
07/15/23.......................
447,907 453,349
GNMA 344934 7.000% due
07/15/23.......................
103,349 104,591
GNMA 351588 7.000% due
07/15/23.......................
430,039 435,213
GNMA 353972 7.000% due
07/15/23.......................
401,293 406,108
GNAM 359017 7.000% due
07/15/23.......................
417,034 422,067
GNMA 364318 7.000% due
08/15/23.......................
130,783 132,361
GNMA 376371 7.000% due
01/15/24.......................
91,278 92,381
-----------
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS (COST
$15,517,647).....................
16,036,690
-----------
U.S. TREASURY OBLIGATIONS (7.6%)
U.S. Treasury Bonds 10.375% due
11/15/12.......................
3,960,000 5,475,056
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
30
<PAGE>
THE DIVERSIFIED PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(IN USD) VALUE
--------- -----------
U.S. TREASURY OBLIGATIONS (CONTINUED)
<S> <C> <C>
U.S. Treasury Bonds 8.125% due
08/15/19 (c)...................
2,865,000 $ 3,600,818
U.S. Treasury Bonds 8.500% due
02/15/20.......................
25,000 32,662
U.S. Treasury Notes 6.500% due
04/30/99.......................
2,400,000 2,488,056
U.S. Treasury Notes 7.500% due
11/30/99.......................
1,200,000 1,300,344
U.S. Treasury SC Strip Int
0.010% due 05/15/02............
1,425,000 1,013,004
-----------
TOTAL U.S. TREASURY OBLIGATIONS
(COST $13,051,437)...............
13,909,940
-----------
TOTAL FIXED INCOME SECURITIES
(COST $62,805,364)...............
65,177,883
-----------
SHORT-TERM INVESTMENTS (6.3%)
REPURCHASE AGREEMENT (6.1%)
Goldman Sachs Repurchase
Agreement, 5.92% dated 12/29/95
due 01/02/96, proceeds
$11,006,235 (collateralized by
$11,037,000 U.S. Treasury Note,
6.125% due 05/31/97, valued at
$11,219,781) (cost
$10,999,000)...................
10,999,000 10,999,000
-----------
<CAPTION>
SHARES VALUE
--------- -----------
<S> <C> <C>
OTHER MUTUAL FUNDS (0.2%)
Seven Seas Money Market Fund....
386,432 $ 386,432
-----------
FOREIGN CURRENCY*
(COST $67,189)...................
67,047
-----------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL SHORT-TERM INVESTMENTS (COST
$11,452,621)...................... 11,452,479
------------
TOTAL INVESTMENTS (102.0%)
(COST $167,451,137)........................
186,751,979
OTHER LIABILITIES IN EXCESS OF
ASSETS (-2.0%)...................
(3,601,205)
------------
NET ASSETS (100.0%)...............
$183,150,774
------------
------------
</TABLE>
(a) Non-income producing securities.
(b) Floating Rate Note.
(c) $2,500,000 par segregated as collateral for initial margin on futures
contracts.
* Less than 0.1%.
For federal income tax purposes, the cost of securities owned at December
31, 1995 was substantially the same as the cost of securities for financial
statement purposes.
Abbreviations:
ADR -- American Depository Receipt
GNMA -- Government National Mortgage Association
FHLMC -- Federal Home Loan Mortgage Corp.
The Accompanying Notes are an Integral Part of the Financial Statements.
31
<PAGE>
THE DIVERSIFIED PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INDUSTRY DIVERSIFICATION
PERCENT OF
PORTFOLIO
-----------
<S> <C>
Financial Services................................................................ 14.1%
U.S. Government Agency Obligations................................................ 8.6%
U.S. Treasury Obligations......................................................... 7.4%
Drugs & Healthcare................................................................ 5.7%
Beverages, Food, Soap & Tobacco................................................... 5.5%
Diversified Manufacturing......................................................... 5.3%
Banking........................................................................... 5.2%
Electric Utilities................................................................ 5.2%
Oil-Production.................................................................... 4.6%
Telephone......................................................................... 4.2%
Merchandising..................................................................... 3.0%
Entertainment, Leisure & Media.................................................... 2.9%
Information Processing............................................................ 2.6%
Insurance......................................................................... 2.2%
Automotive & Automotive Supplies.................................................. 2.1%
Chemicals......................................................................... 1.7%
Metals & Mining................................................................... 1.4%
Aerospace......................................................................... 1.3%
Electrical Equipment.............................................................. 1.1%
Electronics....................................................................... 1.1%
Railroads......................................................................... 0.8%
Capital Goods..................................................................... 0.7%
Paper & Forest Products........................................................... 0.6%
Health & Personal Care............................................................ 0.6%
Machinery & Engineering........................................................... 0.5%
Telecommunications - Equipment.................................................... 0.5%
Natural Gas....................................................................... 0.5%
Computer Software................................................................. 0.5%
Commercial Services............................................................... 0.5%
Pollution Control................................................................. 0.4%
Home Construction................................................................. 0.4%
Semiconductors.................................................................... 0.4%
Truck & Freight Carriers.......................................................... 0.3%
Real Estate....................................................................... 0.2%
Energy Sources.................................................................... 0.2%
Multi-Industry.................................................................... 0.2%
Oil - Services.................................................................... 0.1%
Restaurants & Hotels.............................................................. 0.1%
Transportation & Trade Service.................................................... 0.1%
Construction Materials............................................................ 0.1%
Pharmaceuticals................................................................... 0.1%
Miscellaneous..................................................................... 0.9%
Short Term Investments............................................................ 6.1%
-----------
100.0%
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
32
<PAGE>
THE DIVERSIFIED PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $167,451,137) $186,751,979
Cash 16,317
Dividends and Interest Receivable 1,092,001
Receivable for Investments Sold 359,801
Unrealized Appreciation on Forward Foreign Currency Contracts 63,355
Receivable for Expense Reimbursements 39,834
Foreign Tax Reclaim Receivable 25,787
Variation Margin Receivable on Futures Contracts 4,485
Deferred Organization Expenses 2,515
Other Assets 6,956
------------
Total Assets 188,363,030
------------
LIABILITIES
Payable for Investments Purchased 5,009,556
Advisory Fee Payable 116,267
Custody Fee Payable 59,051
Administration Fee Payable 1,024
Fund Services Fee Payable 821
Administrative Services Fee Payable 380
Accrued Expenses 25,157
------------
Total Liabilities 5,212,256
------------
NET ASSETS
Applicable to Investor's Beneficial Interests $183,150,774
------------
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
33
<PAGE>
THE DIVERSIFIED PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Interest (Net of Foreign Withholding Tax of $58) $ 2,524,120
Dividends (Net of Foreign Withholding Tax of $26,751) 1,320,532
-----------
Net Investment Income 3,844,652
EXPENSES
Advisory Fee $ 533,800
Custodian Fees and Expenses 163,331
Professional Fees 23,644
Financial and Fund Accounting Services Fee 18,839
Printing Expense 9,075
Fund Services Fee 7,265
Administration Fees 5,631
Trustees' Fees and Expenses 2,208
Amortization of Organization Expenses 505
Administrative Services Fees 380
Miscellaneous 1,814
------------
Total Expenses 766,492
Less: Reimbursement of Expenses (135,639)
------------
Net Expenses (630,853)
-----------
NET INVESTMENT INCOME 3,213,799
NET REALIZED GAIN ON
Investment Transactions (including $44,443 net realized gains from futures contracts) 10,000,592
Foreign Currency Transactions 375,437
------------
Net Realized Gain 10,376,029
NET CHANGE IN UNREALIZED APPRECIATION OF
Investments (including $36,959 net unrealized gains from futures contracts) 6,777,007
Foreign Currency Contracts and Translations 97,226
------------
Net Change in Unrealized Appreciation 6,874,233
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $20,464,061
-----------
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
34
<PAGE>
THE DIVERSIFIED PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FISCAL
DECEMBER 31, 1995 YEAR ENDED
(UNAUDITED) JUNE 30, 1995
----------------- --------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 3,213,799 $ 4,471,528
Net Realized Gain on Investments and Foreign Currency Transactions 10,376,029 3,210,462
Net Change in Unrealized Appreciation of Investment and Foreign Currency
Translations 6,874,233 14,857,024
----------------- --------------
Net Increase in Net Assets Resulting from Operations 20,464,061 22,539,014
----------------- --------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 38,053,379 114,559,561
Withdrawals (62,443,457) (15,109,920)
----------------- --------------
Net Increase (Decrease) from Investors' Transactions (24,390,078) 99,449,641
----------------- --------------
Total Increase (Decrease) in Net Assets (3,926,017) 121,988,655
NET ASSETS
Beginning of Period 187,076,791 65,088,136
----------------- --------------
End of Period $183,150,774 $ 187,076,791
----------------- --------------
----------------- --------------
</TABLE>
- --------------------------------------------------------------------------------
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX FOR THE PERIOD
MONTHS ENDED FOR THE FISCAL JULY 8, 1993
DECEMBER 31, 1995 YEAR ENDED (COMMENCEMENT OF OPERATIONS)
(UNAUDITED) JUNE 30, 1995 THROUGH JUNE 30, 1994
----------------- -------------- ----------------------------
<S> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Expenses 0.65%(a) 0.65% 0.70%(a)
Net Investment Income 3.31%(a) 3.71% 2.88%(a)
Decrease reflected in Expense
Ratio due to Expense
Reimbursement 0.14%(a) 0.32% 0.48%(a)
Portfolio Turnover 69%(b) 136% 115%(b)
</TABLE>
- ------------------------
(a) Annualized.
(b) Not Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
35
<PAGE>
THE DIVERSIFIED PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Diversified Portfolio (the "Portfolio") is registered under the Investment
Company Act of 1940, as amended, (the "Act") as a no-load, diversified, open-end
management investment company which was organized as a trust under the laws of
the State of New York. The Portfolio commenced operations on July 8, 1993. The
Declaration of Trust permits the Trustees to issue an unlimited number of
beneficial interests in the Portfolio.
The following is a summary of the significant accounting policies of the
Portfolio:
a)The value of each security for which readily available market quotations
exists is based on a decision as to the broadest and most representative
market for such security. The value of such security will be based either
on the last sale price on a national securities exchange, or, in the
absence of recorded sales, at the readily available closing bid price on
such exchanges. Securities listed on a foreign exchange are valued at the
last quoted sale price available before the time when net assets are
valued. Unlisted securities are valued at the average of the quoted bid
and asked prices in the over-the-counter market. Securities or other
assets for which market quotations are not readily available are valued at
fair value in accordance with procedures established by the Portfolio's
Trustees. Such procedures include the use of independent pricing services,
which use prices based upon yields or prices of securities of comparable
quality, coupon, maturity and type; indications as to values from dealers;
and general market conditions. Portfolio securities with a remaining
maturity of less than 60 days are valued by the amortized cost method.
Trading in securities on most foreign exchanges and over-the-counter
markets is normally completed before the close of the domestic market and
may also take place on days on which the domestic market is closed. If
events materially affecting the value of foreign securities occur between
the time when the exchange on which they are traded closes and the time
when the Fund's net asset value is calculated, such securities will be
valued at fair value in accordance with procedures established by and
under the general supervision of the Portfolio's Trustees.
b)The books and records of the Portfolio are maintained in U.S. dollars. The
market value of investment securities, other assets and liabilities and
forward contracts stated in foreign currencies are translated at the
prevailing exchange rates at the end of the period. Purchases, sales,
income and expense are translated at the exchange rate prevailing on the
respective dates of such transactions. Translation gains and losses
resulting from changes in the exchange rate during the reporting period
and gains and losses realized upon settlement of foreign currency
transactions are reported in the Statement of Operations.
Since the net assets of the Portfolio are presented at the exchange rates
and market values prevailing at the end of the period, the Portfolio does
not isolate the portion of the results of operations arising as a result
of changes in foreign exchange rates from the fluctuations arising from
changes in the market prices of securities during the period.
c)The Portfolio may enter into forward foreign currency contracts to protect
securities and related receivables and payables against fluctuations in
future foreign currency rates. A forward contract is
36
<PAGE>
THE DIVERSIFIED PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
an agreement to buy or sell currencies of different countries on a
specified future date at a specified rate. Risks associated with such
contracts include the movement in the value of the foreign currency
relative to the U.S. Dollar (USD) and the ability of the counterparty to
perform. The market value of the contract will fluctuate with changes in
currency exchange rates. Contracts are valued daily based on procedures
established by and under the general supervision of the Portfolio's
Trustees and the change in the market value is recorded by the Portfolio
as unrealized appreciation or depreciation of foreign currency
translations. At December 31, 1995, the Portfolio had open forward foreign
currency contracts as follows:
SUMMARY OF OPEN FORWARD FOREIGN CURRENCY CONTRACTS
<TABLE>
<CAPTION>
U.S. DOLLAR NET UNREALIZED
COST/ VALUE AT APPRECIATION
PURCHASE CONTRACTS PROCEEDS 12/31/95 (DEPRECIATION)
- -------------------------------------------------- ---------- ----------- --------------
<S> <C> <C> <C>
Japanese Yen 45,648,000, expiring 01/30/96........ $ 450,000 $ 444,336 $(5,664)
<CAPTION>
SALE CONTRACTS
- --------------------------------------------------
<S> <C> <C> <C>
Japanese Yen 293,119,758, expiring 01/30/96....... 2,922,238 2,853,219 69,019
-------
NET UNREALIZED APPRECIATION (DEPRECIATION) ON
FORWARD FOREIGN CURRENCY CONTRACTS............... $63,355
-------
-------
</TABLE>
d)Futures -- A futures contract is an agreement to purchase/sell a specified
quantity of an underlying instrument at a specified future date. The price
at which the purchase and sale will take place is fixed when the Portfolio
enters in the contract. Upon entering into such a contract the Portfolio
is required to pledge to the broker an amount of cash and/or securities
equal to the minimum "initial margin" requirements of the exchange.
Pursuant to the contract, the Portfolio agrees to receive from or pay to
the broker an amount of cash equal to the daily fluctuation in the value
of the contract. Such receipts or payments are known as "variation margin"
and are recorded by the Portfolio as unrealized gains or losses. When the
contract is closed, the Portfolio records a realized gain or loss equal to
the difference between the value of the contract at the time it was opened
and the value at the time when it was closed. The Portfolio invests in
futures contracts solely for the purpose of hedging its existing portfolio
securities, or securities the Portfolio intends to purchase, against
fluctuations in value caused by changes in prevailing market interest
rates. The use of futures transactions involves the risk of imperfect
correlation in movements in the price of futures contracts, interest rates
and the underlying hedged assets, and the possible inability of
counterparties to meet the terms of their contracts. Futures transactions
in U.S. Treasury securities during the six months ended December 31, 1995
are summarized as follows:
<TABLE>
<CAPTION>
NUMBER OF CONTRACTS PRINCIPAL AMOUNT OF CONTRACTS
------------------- -----------------------------
<S> <C> <C>
Contracts opened.................................. 50 $ 6,114,119
Contracts closed.................................. (32) (3,899,984)
--
-----------
Open at end of period............................. 18 $ 2,214,135
--
--
-----------
-----------
</TABLE>
37
<PAGE>
THE DIVERSIFIED PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
SUMMARY OF OPEN CONTRACTS AT DECEMBER 31, 1995
<TABLE>
<CAPTION>
NET UNREALIZED
CONTRACTS LONG APPRECIATION
--------------------- ---------------
<S> <C> <C>
Two-Year U.S. Treasury, expiring March 1996................ 2 $ 2,110
Five-Year U.S. Treasury, expiring March 1996............... 7 9,354
Ten-Year U.S. Treasury, expiring March 1996................ 5 10,275
Thirty-Year U.S. Treasury, expiring March 1996............. 4 15,220
-
-------
Totals................................................. 18 $ 36,959
-
-
-------
-------
</TABLE>
e)The Portfolio incurred organization expenses in the amount of $5,000.
These costs were deferred and are being amortized on a straight-line basis
over a five year period from the commencement of operations.
f)Securities transactions are recorded on a trade date basis. Dividend
income is recorded on the ex-dividend date or at the time that the
relevant ex-dividend date and amount becomes known. Interest income, which
includes the amortization of premiums and discount, if any, is recorded on
an accrual basis. For financial and tax reporting purposes, realized gains
and losses are determined on the basis of specific lot identification.
g)The Portfolio intends to be treated as a partnership for federal income
tax purposes. As such, each investor in the Portfolio will be taxable on
its share of the Portfolio's ordinary income and capital gains. It is
intended that the Portfolio's assets will be managed in such a way that an
investor in the Portfolio will be able to satisfy the requirements of
Subchapter M of the Internal Revenue Code. The Portfolio earns foreign
income which may be subject to foreign withholding taxes at various rates.
2. TRANSACTIONS WITH AFFILIATES
a)The Portfolio has an investment advisory agreement with Morgan Guaranty
Trust Company of New York ("Morgan"). Under the terms of the investment
advisory agreement, the Portfolio pays Morgan at an annual rate of 0.55%
of the Portfolio's average daily net assets. For the six months ended
December 31, 1995, such fees amounted to $533,800.
b)The Portfolio has retained Signature Broker-Dealer Services, Inc.
("Signature") to serve as Administrator and exclusive placement agent.
Signature provides administrative services necessary for the operations of
the Portfolio, furnishes office space and facilities required for
conducting the business of the Portfolio and pays the compensation of the
Portfolio's officers affiliated with Signature. The agreement provided for
a fee to be paid to Signature at an annual rate determined by the
following schedule: 0.01% of the first $1 billion of the aggregate average
daily net assets of the Portfolio and the other portfolios subject to the
Administration Agreement, 0.008% of the next $2 billion of such net
assets, 0.006% of the next $2 billion of such net assets, and 0.004% of
such
38
<PAGE>
THE DIVERSIFIED PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
net assets in excess of $5 billion. The daily equivalent of the fee rate
is applied each day to the net assets of the Portfolio. For the period
from July 1, 1995 through December 28, 1995, Signature's fee for these
services amounted to $5,430.
Effective December 29, 1995, the Administration Agreement was amended such
that the fee charged would be equal to the Portfolio's proportionate share
of a complex-wide fee based on the following annual schedule: 0.03% on the
first $7 billion of the aggregate average daily net assets of the
Portfolio and the other portfolios subject to this agreement (the "Master
Portfolios") and 0.01% on the aggregate average daily net assets of the
Master Portfolios in excess of $7 billion. The portion of this charge
payable by the Portfolio is determined by the proportionate share its net
assets bear to the total net assets of The Pierpont Funds, The JPM
Institutional Funds, The JPM Advisor Funds and the Master Portfolios. For
the period from December 29, 1995 through December 31, 1995, Signature's
fee for these services amounted to $201.
c)Until August 31, 1995, the Portfolio had a Financial and Fund Accounting
Services Agreement with Morgan under which Morgan received a fee for
overseeing certain aspects of the administration and operation of the
Portfolio and which was also designed to provide an expense limit for
certain expenses of the Portfolio. This fee was calculated exclusive of
the advisory fee, custody expenses, fund services fee, amortization of
organization expenses, and brokerage costs at 0.10% of the Portfolio's
average daily net assets up to and including $200 million, 0.05% on the
next $200 million of average daily net assets, and 0.03% of average daily
net assets thereafter. For the period July 1, 1995 through August 31,
1995, the fee for these services amounted to $18,839. From September 1,
1995 until December 28, 1995, an interim agreement between the Portfolio
and Morgan provided for the continuation of the oversight functions that
were outlined under the prior agreement and that Morgan should bear all of
its expenses incurred in connection with these services.
Effective December 29, 1995, the Portfolio entered into an Administrative
Services Agreement with Morgan under which Morgan is responsible for
overseeing certain aspects of the administration and operation of the
Portfolio. Under the Agreement, the Portfolio has agreed to pay Morgan a
fee equal to its proportionate share of an annual complex-wide charge.
This charge is calculated daily based on the aggregate net assets of the
Master Portfolios in accordance with the following annual schedule: 0.06%
on the first $7 billion of the Master Portfolios' aggregate average daily
net assets and 0.03% of the aggregate average daily net assets in excess
of $7 billion. The portion of this charge payable by the Portfolio is
determined by the proportionate share that the Portfolio's net assets bear
to the net assets of the Master Portfolios and other investors in the
Master Portfolios for which Morgan provides similar services. For the
period December 29, 1995 through December 31, 1995, the fee for these
services amounted to $380.
In addition, Morgan has agreed to reimburse the Portfolio to the extent
necessary to maintain the total operating expenses of the Portfolio at no
more than 0.65% of the average daily net assets of the Portfolio. For the
six months ended December 31, 1995, Morgan agreed to reimburse the
Portfolio $135,639 for expenses under this agreement.
39
<PAGE>
THE DIVERSIFIED PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
d)The Portfolio has a Fund Services Agreement with Pierpont Group, Inc.
("Group") to assist the Trustees in exercising their overall supervisory
responsibilities for the Portfolio's affairs. The Trustees of the
Portfolio represent all the existing shareholders of Group. The
Portfolio's allocated portion of Group's cost in performing its services
amounted to $7,265 for the six months ended December 31, 1995.
e)An aggregate annual fee of $65,000 is paid to each Trustee for serving as
a Trustee of the Pierpont Funds, The JPM Institutional Funds, and their
corresponding Portfolios. The Trustees' Fee and Expenses shown in the
financial statements represents the Portfolio's allocated portion of the
total fees and expenses. The Trustee who serves as Chairman and Chief
Executive Officer of these Funds and Portfolios also serves as Chairman of
Group and received compensation and employee benefits from Group in his
role as Group's Chairman. The allocated portion of such compensation and
benefits included in the Fund Services Fee shown in the financial
statements was $900.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the six months
ended December 31, 1995 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
- -------------- --------------
<S> <C>
$126,198,920 $ 149,197,834
</TABLE>
40
