MERRILL LYNCH
ASSET BUILDER
PROGRAM, INC.
FUND LOGO
Quarterly Report
October 31, 1995
This report is not authorized for use as an offer of sale or a
solicitation of an offer to buy shares of the Program unless
accompanied or preceded by the Program's current prospectus. Past
performance results shown in this report should not be considered a
representation of future performance. Investment return and
principal value of shares will fluctuate so that shares, when
redeemed, may be worth more or less than their original cost.
<PAGE>
Merrill Lynch
Asset Builder Program, Inc.
Box 9011
Princeton, NJ
08543-9011
Merrill Lynch Asset Builder Program, Inc.
Officers and
Directors
<PAGE>
Arthur Zeikel, President and Director
Joe Grills, Director
Walter Mintz, Director
Melvin R. Seiden, Director
Stephen B. Swensrud, Director
Harry Woolf, Director
Terry K. Glenn, Executive Vice President
Norman R. Harvey, Senior Vice President
N. John Hewitt, Senior Vice President
Donald C. Burke, Vice President
Jay C. Harbeck, Vice President
Joel Heymsfeld, Vice President
Gregory Mark Maunz, Vice President
Kevin M. Rendino, Vice President
Gerald M. Richard, Treasurer
Mark B. Goldfus, Secretary
Custodian
The Bank of New York
90 Washington Street, 12th Floor
New York, New York 10286
Transfer Agent
Merrill Lynch Financial Data Services, Inc.
Transfer Agency Mutual Fund Operations
4800 Deer Lake Drive East
Jacksonville, Florida 32246-6484
(800) 637-3863
DEAR SHAREHOLDER
We are pleased to provide you with this quarterly report for Merrill
Lynch Asset Builder Program, Inc. (formerly known as Merrill Lynch
Retirement Asset Builder Program, Inc.). The Fund consists of four
separate diversified portfolios, each with its own investment
objectives.
Complete performance information for all four portfolios, including
aggregate total returns, can be found on pages 5--9 of this report
to shareholders.
Merrill Lynch Fundamental
Value Portfolio
Although the US stock market continued to move higher during the
October quarter, the Portfolio's performance did not keep pace as
concerns about the health of the US economy negatively impacted many
of our holdings. During periods of economic uncertainty, it is not
uncommon for investors to shift away from cyclical areas to more
defensive groups such as utilities, foods, beverages, drugs, and
other consumer staple sectors. As reported in our July shareholder
letter, the Portfolio is overweighted in the cyclical area because
we believe earnings will further advance as the cost reductions and
restructurings of the past three years continue to benefit the
bottom line of many of our companies. We are overweighted in the
credit cyclicals, financials, consumer cyclicals, and capital goods-
technology sectors, and underweighted in the consumer service and
consumer staple areas. We believe the continued growth of the US
economy will positively impact cyclical companies' earnings and
valuations. Our cyclical strategy hurt performance during the
October quarter. We believe, however, that economic signals
including gross domestic product (GDP), employment and new
construction spending, do not point to an imminent recession. If the
economy continues to grow at its recent pace while continuing to
avoid rising inflation rates, we believe investors will return to
cyclical stocks.
<PAGE>
We used this period of weakness to reduce our cash position from
18.9% of net assets to 14.2%, the lowest level since the Portfolio's
inception on February 1, 1995. We continued to invest cash in areas
of the market which we believe are temporarily out-of-favor and
possess attractive long-term risk/reward characteristics. During the
quarter ended October 31, 1995, we invested $7.3 million to add to
20 of our existing positions and to initiate investments in seven
companies. Most of our purchases were concentrated in three areas:
retail, which included Charming Shoppes, Inc. and Woolworth Corp.;
cyclicals, including Allwaste Inc., ASARCO Inc., Deere & Co., Ford
Motor Co., General Motors Corp., International Paper Co., John Q.
Hammons Hotels, Inc., SPX Corp., WHX Corp., Beazer Homes USA, Inc.,
Occidental Petroleum Corp., and Olin Corp.; and, the out-of-favor
technology sector, such as Storage Technology Corp., SyQuest
Technology, Inc., Tandem Computers, Inc., Western Digital Corp., and
Exabyte Corp.
As to the out-of-favor retail sector, although we were somewhat
early in overweighting the group, we believe there are attractive
turnaround candidates. Most of the bad news regarding weak sales and
a poor Christmas outlook is reflected in the stocks, in our opinion.
Merrill Lynch Global Opportunity
Portfolio
As of October 31, 1995, the Portfolio's asset allocation was: US
stocks, 19%; foreign stocks, 41%; US dollar-denominated bonds, 17%,
foreign government and corporate bonds, 12%; and cash, 11%.
We continue to allocate the US bond sector to high-yielding
corporate issues. As a result of appreciation, the current yield on
the coupon-bearing issues now averages 9.6%. We look for further
appreciation among the US fixed-income positions as investors
become more confident that the surprisingly low rate of US inflation
will continue. The US fixed-income market would also benefit from
the successful completion of a meaningful program to balance the
Federal budget. The proportion of assets allocated to foreign bonds
was increased during the three months ended October 31, 1995.
However, the breakdown did not change significantly. The largest
portion of foreign bond assets continued to be allocated to Germany,
with commitments also maintained in the United Kingdom, Italy and
Canada.
<PAGE>
In the equity sector, we continued to overweight Japanese equities,
which accounted for 16.7% of net assets at October 31, 1995.
Japanese equities could continue to benefit in coming months from an
aggressively accommodative monetary policy by the Bank of Japan as
well as continuing fiscal stimulus efforts. We also expect the
Japanese government to deal with the problems of the financial
system in a more meaningful manner, and these efforts should have a
favorable impact on the Japanese market.
On the other hand, we remain cautious over the immediate outlook for
the US equity market, leading to a continuing underweighted posture.
We eliminated commitments in Kelly Services, Inc. and Archer-Daniels-
Midland Co. We are concerned that a sluggish US economy will lead to
both a slowing rate of earnings gains and to an increasing incidence
of disappointing earnings reports. On this basis, the relative
performance of the US stock market seems likely to deteriorate over
the next several quarters.
We remain overweighted in the Asian markets excluding Japan as well
as in Latin America. The sale of Jurong Shipyard Ltd. in Singapore
was offset by the establishment of a commitment in Hong Kong Telecom-
munications, Ltd., and we initiated a position in Banco de Galicia y
Buenos Aires S.A. in Argentina. We look for substantial recovery in
the Asian and American stock markets over the next 12 months. The
Asian markets should benefit from a renewed inflow of foreign
capital which will supplement high internal savings rates. In Latin
America, evidence of further progress in Mexico and Argentina in
dealing with their financial problems should have a favorable impact
on share prices.
In Europe, we continue to pursue a stock-specific approach, with
emphasis placed on companies which are expected to benefit from
aggressive restructuring efforts. The sectors emphasized in Europe
remain energy, telecommunications, and capital spending. We also
increased the commitment to Canada through positions in energy-
related equities, namely, Imperial Oil Ltd. and Westcoast Energy
Inc.
Merrill Lynch Quality Bond
Portfolio
The bond market continued to surge during the three-month period
ended October 31, 1995. The spring rally, which halted in mid-July
because of concern about an expanding economy, picked up momentum in
August and has remained strong through mid-November. Moderate growth
and mild inflation remained constant throughout the year. Even with
an unexpectedly strong initial GDP gain for the third quarter of
4.2%, bond market investors focused on the price deflator for the
October period, which was only up 0.6%. Consumer confidence levels
continue to fall, a warning that the key holiday sales season may be
disappointing. Investors also were influenced by the budget
discussions in Washington. The goal of a balanced budget has spurred
the rally with the hope that at least the issue is being addressed
seriously.
<PAGE>
We continued to reduce the Portfolio's cash position to make it more
fully invested. The size of the Portfolio is currently over $6
million. Since we are limited to investing not more than 5% of
assets in any one holding as outlined in the Portfolio's prospectus,
we diversified as much as was practical, and as of October 31, 1995
had 26 different holdings. We reduced the Portfolio's cash position
to 24% as of October 31, 1995, down from 26% at July 31, 1995.
Merrill Lynch US Government
Securities Portfolio
In the July shareholder letter, we reported that the economy was
showing signs of weakness. Second quarter GDP growth was 1.3%, down
from 2.7% in the first growth quarter of 1995 and 5.1% in the fourth
quarter of 1994. In the third quarter of 1995, the economy firmed
somewhat as GDP rose 4.2%, although this level overstates the
strength of the economy as inventory expansion contributed
significantly to GDP. While the GDP level is considered beyond the
boundary of non-inflationary growth, the fixed-income market
advanced boldly, adding to gains from the first six months of 1995
as inflation continued to decline.
While there are pockets of reasonable economic activity, it is not
likely that the level can be sustained to a point where inflation
reawakens. For example, housing activity was relatively vigorous
recently. Home sales have increased 20% since April, and housing
starts are up 10% since March. However, prolonged growth is unlikely
as the home buying population is adding to its ranks at a slow pace.
It is unlikely therefore that buoyant housing activity will reverse
the direction of inflation.
Other measures of economic activity describe an economy in the
doldrums. The Index of Leading Economic Indicators rose only twice
thus far in 1995. Consumers seem less willing to spend and demand
for credit is decelerating. In addition, consumers appear more long-
term oriented as the enormous expansion of wealth resulting from the
successful bond and equity markets in 1995 have not resulted in high
consumer activity in spite of high levels of consumer confidence.
<PAGE>
This economic environment had a positive impact on fixed-income
markets. The 30-year Treasury bond declined 1.62% this year,
resulting in a total return of nearly 26%. In addition, all Treasury
notes with two-year or longer maturities returned in excess of 10%
in 1995. While these returns represent excellent market results, the
outlook from a fundamental perspective remains bright. Real
(inflation adjusted) rates of return of 400 basis points (4.00%) are
available on 30-year Treasury securities, and 350 basis points on 5-
year notes using a conservative base case inflation assumption of
2.25%. With inflation continuing to trend lower, consumers hesitant
to spend, manufacturing mired in neutral, and hope from Washington
policymakers for greater fiscal responsibility, it is understandable
why bond market sentiment is at current high levels. Since the
Federal Reserve Board's primary mandate is price stability, and
inflationary conditions are historically the exception rather than
the rule, a strong case can be made for long-term interest rates to
come down as low as 5.5%.
During the October quarter, we engaged in transactions which enabled
greater participation, from a price movement perspective, in the
environment of declining interest rates. This was achieved primarily
by decreasing the Portfolio's net liquidity position from 15.9% of
net assets to 4.6%. In combination with the investing of the
liquidity positions, we sold the Portfolio's entire position (38% of
the portfolio) of Federal Home Loan Mortgage Corporation (FHLMC) 7%
and purchased Government National Mortgage Association (GNMA) 7.5%
and FHLMC 7.5% mortgage-backed securities. These two positions
accounted for 57% of the Portfolio.
We continue to hold FHLMC pool #0555228, which has an 11.5% coupon,
comprised of mortgages originated in 1977. The underlying
prepayments on the mortgages were stable as expected and the yield
generated on this security is in excess of 8.5% on top of the 3
point appreciation since purchase.
Treasury securities, a five-year note and a ten-year note, comprise
the balance of the Portfolio at approximately 13% of net assets. The
Treasury issues provide instant liquidity and have more timely
sensitivity to changes in interest rates.
In Conclusion
We thank you for your investment in Merrill Lynch Asset Builder
Program, Inc., and we look forward to reviewing our outlook and
strategy with you again in our upcoming annual report to
shareholders.
Sincerely,
(Arthur Zeikel)
Arthur Zeikel
President
<PAGE>
(Kevin M. Rendino)
Kevin M. Rendino
Vice President and Portfolio Manager
(Joel Heymsfeld)
Joel Heymsfeld
Vice President and Portfolio Manager
(Jay C. Harbeck)
Jay C. Harbeck
Vice President and Portfolio Manager
(Gregory Mark Maunz)
Gregory Mark Maunz
Vice President and Portfolio Manager
December 11, 1995
PORTFOLIO CHANGES (EQUITY INVESTMENTS)
FUNDAMENTAL
VALUE PORTFOLIO
For the Quarter Ended October 31, 1995
<PAGE>
Additions
*Arcadian Corp.
Beazer Homes USA, Inc.
Charming Shoppes, Inc.
Computervision Corp.
Comsat Corporation
*Core Laboratories N.V.
Deere & Co.
Eastman Kodak Co.
Exabyte Corp.
*Imperial Thrift & Loan
*Intimate Brands Inc.
Klamath First Bancorp, Inc.
Occidental Petroleum Corp.
Olin Corp.
SPX Corp.
*Stratus Computers, Inc.
Woolworth Corp.
Deletions
*Arcadian Corp.
Aviall, Inc.
*Core Laboratories N.V.
General Mills, Inc.
*Imperial Thrift & Loan
*Intimate Brands Inc.
Liz Claiborne, Inc.
*Stratus Computers, Inc.
Texas Utilities Co.
Union Carbide Corp.
GLOBAL
OPPORTUNITY
PORTFOLIO
For the Quarter Ended October 31, 1995
Additions
Banco de Galicia y Buenos Aires S.A. (ADR)
Hong Kong Telecommunications Ltd. (ADR)
Imperial Oil Ltd.
Westcoast Energy Inc.
Deletions
Archer-Daniels-Midland Co.
Hanson PLC (Sponsored) (ADR)
Holderbank Financiere Glarus AG
Jurong Shipyard Ltd.
Kelly Services, Inc.
Schneider S.A.
US Industries Inc.
<PAGE>
[FN]
*Added and deleted in the same quarter.
PERFORMANCE DATA
About Fund Performance
Investors are able to purchase shares of the Program through the
Merrill Lynch Select Pricing SM System, which offers four pricing
alternatives:
* Class A Shares incur a maximum initial sales charge (front-end
load) of 5.25% and bear no ongoing distribution or account
maintenance fees for Fundamental Value and Global Opportunity
Portfolios. Quality Bond and US Government Securities Portfolios
incur a maximum initial sales charge (front-end load) of 4% and bear
no ongoing distribution or account maintenance fees. Class A Shares
are available only to eligible investors.
* Class B Shares are subject to a maximum contingent deferred sales
charge of 4% if redeemed during the first year, decreasing 1% each
year thereafter to 0% after the fourth year for Fundamental Value,
Global Opportunity, Quality Bond and US Government Securities
Portfolios. In addition, Quality Bond and US Government Securities
Portfolios are subject to a distribution fee of 0.50% and an account
maintenance fee of 0.25%. Fundamental Value and Global Opportunity
Portfolios are subject to a 0.75% distribution fee and a 0.25%
account maintenance fee. Fundamental Value and Global Opportunity
Portfolios automatically convert to Class D Shares after
approximately 8 years. Quality Bond and US Government Securities
Portfolios automatically convert to Class D Shares after
approximately 10 years.
* Class C Shares are subject to a distribution fee of 0.55% and an
account maintenance fee of 0.25% for Quality Bond and US Government
Securities Portfolios. Fundamental Value and Global Opportunity
Portfolios are subject to a distribution fee of 0.75% and an account
maintenance fee of 0.25%. In addition, Class C Shares are subject to
a 1% contingent deferred sales charge if redeemed within one year of
purchase.
<PAGE>
PERFORMANCE DATA (continued)
About Fund
Performance
(concluded)
* Class D Shares incur a maximum initial sales charge of 5.25% and
an account maintenance fee of 0.25% (but no distribution fee) for
Fundamental Value and Global Opportunity Portfolios. Quality Bond
and US Government Securities Portfolios incur a maximum initial
sales charge of 4% and an account maintenance fee of 0.25% (but no
distribution fee).
"Aggregate Total Return" tables for all of the Program's shares are
presented below and on page 7. Performance data for all of the
Program's shares are also presented in the "Recent Performance
Results" table on pages 8 and 9.
The "Recent Performance Results" table shows investment results
before the deduction of any sales charges for all of the Program's
shares for the since inception and 3-month periods ended October 31,
1995. All data in this table assume imposition of the actual total
expenses incurred by each class of shares during the relevant
period.
None of the past results shown should be considered a representation
of future performance. Investment return and principal value of
shares will fluctuate so that shares, when redeemed, may be worth
more or less than their original cost. Dividends paid to each class
of shares will vary because of the different levels of account
maintenance, distribution and transfer agency fees applicable to
each class, which are deducted from the income available to be paid
to shareholders.
Aggregate
Total Returns
Fundamental Value Portfolio
% Return Without % Return With
Sales Charge Sales Charge**
Class A Shares*
Inception (2/01/95) to 9/30/95 +18.40% +12.18%
<PAGE>
[FN]
*Maximum sales charge is 5.25%.
**Assuming maximum sales charge.
% Return % Return
Without CDSC With CDSC**
Class B Shares*
Inception (2/01/95) to 9/30/95 +17.60% +13.60%
[FN]
*Maximum contingent deferred sales charge is 4% and is reduced to 0%
after 4 years.
**Assuming payment of applicable contingent deferred sales charge.
% Return % Return
Without CDSC With CDSC**
Class C Shares*
Inception (2/01/95) to 9/30/95 +17.60% +16.60%
[FN]
*Maximum contingent deferred sales charge is 1% and is reduced to 0%
after 1 year.
**Assuming payment of applicable contingent deferred sales charge.
% Return Without % Return With
Sales Charge Sales Charge**
Class D Shares*
Inception (2/01/95) to 9/30/95 +18.30% +12.09%
[FN]
*Maximum sales charge is 5.25%.
**Assuming maximum sales charge.
Global Opportunity Portfolio
<PAGE>
% Return Without % Return With
Sales Charge Sales Charge**
Class A Shares*
Inception (2/01/95) to 9/30/95 +8.50% +2.80%
[FN]
*Maximum sales charge is 5.25%.
**Assuming maximum sales charge.
% Return % Return
Without CDSC With CDSC**
Class B Shares*
Inception (2/01/95) to 9/30/95 +7.70% +3.70%
[FN]
*Maximum contingent deferred sales charge is 4% and is reduced to 0%
after 4 years.
**Assuming payment of applicable contingent deferred sales charge.
% Return % Return
Without CDSC With CDSC**
Class C Shares*
Inception (2/01/95) to 9/30/95 +7.70% +6.70%
[FN]
*Maximum contingent deferred sales charge is 1% and is reduced to 0%
after 1 year.
**Assuming payment of applicable contingent deferred sales charge.
% Return Without % Return With
Sales Charge Sales Charge**
Class D Shares*
Inception (2/01/95) to 9/30/95 +8.30% +2.61%
[FN]
*Maximum sales charge is 5.25%.
**Assuming maximum sales charge.
<PAGE>
Quality Bond Portfolio
% Return Without % Return With
Sales Charge Sales Charge**
Class A Shares*
Inception (2/01/95) to 9/30/95 +4.05% -0.11%
[FN]
*Maximum sales charge is 4%.
**Assuming maximum sales charge.
% Return % Return
Without CDSC With CDSC**
Class B Shares*
Inception (2/01/95) to 9/30/95 +3.30% -0.70%
[FN]
*Maximum contingent deferred sales charge is 4% and is reduced to 0%
after 4 years.
**Assuming payment of applicable contingent deferred sales charge.
% Return % Return
Without CDSC With CDSC**
Class C Shares*
Inception (2/01/95) to 9/30/95 +3.25% +2.25%
[FN]
*Maximum contingent deferred sales charge is 1% and is reduced to 0%
after 1 year.
**Assuming payment of applicable contingent deferred sales charge.
% Return Without % Return With
Sales Charge Sales Charge**
<PAGE>
Class D Shares*
Inception (2/01/95) to 9/30/95 +3.70% -0.45%
[FN]
*Maximum sales charge is 4%.
**Assuming maximum sales charge.
US Government Securities Portfolio
% Return Without % Return With
Sales Charge Sales Charge**
Class A Shares*
Inception (2/01/95) to 9/30/95 +10.52% +6.10%
[FN]
*Maximum sales charge is 4%.
**Assuming maximum sales charge.
% Return % Return
Without CDSC With CDSC**
Class B Shares*
Inception (2/01/95) to 9/30/95 +9.95% +5.95%
[FN]
*Maximum contingent deferred sales charge is 4% and is reduced to 0%
after 4 years.
**Assuming payment of applicable contingent deferred sales charge.
% Return % Return
Without CDSC With CDSC**
Class C Shares*
Inception (2/01/95) to 9/30/95 +9.91% +8.91%
[FN]
*Maximum contingent deferred sales charge is 1% and is reduced to 0%
after 1 year.
**Assuming payment of applicable contingent deferred sales charge.
<PAGE>
% Return Without % Return With
Sales Charge Sales Charge**
Class D Shares*
Inception (2/01/95) to 9/30/95 +10.30% +5.89%
[FN]
*Maximum sales charge is 4%.
**Assuming maximum sales charge.
PERFORMANCE DATA (concluded)
<TABLE>
Recent
Performance
Results*
<CAPTION>
Since Standardized
Inception 3 Month 30-day Yield
10/31/95 7/31/95 Inception++ % Change++ % Change As of 10/31/95
<S> <C> <C> <C> <C> <C> <C>
Fundamental Value Portfolio Class A Shares $11.30 $11.61 $10.00 +13.00% -2.67% --
Fundamental Value Portfolio Class B Shares 11.22 11.55 10.00 +12.20 -2.86 --
Fundamental Value Portfolio Class C Shares 11.22 11.55 10.00 +12.20 -2.86 --
Fundamental Value Portfolio Class D Shares 11.29 11.59 10.00 +12.90 -2.59 --
Global Opportunity Portfolio Class A Shares 10.71 10.82 10.00 + 7.10 -1.02 --
Global Opportunity Portfolio Class B Shares 10.62 10.76 10.00 + 6.20 -1.30 --
Global Opportunity Portfolio Class C Shares 10.62 10.76 10.00 + 6.20 -1.30 --
Global Opportunity Portfolio Class D Shares 10.69 10.81 10.00 + 6.90 -1.11 --
Quality Bond Portfolio Class A Shares 10.06 9.86 10.00 + 0.60 +2.03 5.95%
Quality Bond Portfolio Class B Shares 10.05 9.86 10.00 + 0.50 +1.93 5.45
Quality Bond Portfolio Class C Shares 10.05 9.86 10.00 + 0.50 +1.93 5.40
Quality Bond Portfolio Class D Shares 10.05 9.86 10.00 + 0.50 +1.93 5.71
US Government Securities Portfolio Class A Shares 10.58 10.47 10.00 + 5.80 +1.05 6.52
US Government Securities Portfolio Class B Shares 10.58 10.47 10.00 + 5.80 +1.05 6.14
US Government Securities Portfolio Class C Shares 10.57 10.46 10.00 + 5.70 +1.05 6.05
US Government Securities Portfolio Class D Shares 10.58 10.47 10.00 + 5.80 +1.05 6.34
Fundamental Value Portfolio Class A Shares--Total Return +13.00 -2.67
Fundamental Value Portfolio Class B Shares--Total Return +12.20 -2.86
Fundamental Value Portfolio Class C Shares--Total Return +12.20 -2.86
Fundamental Value Portfolio Class D Shares--Total Return +12.90 -2.59
Global Opportunity Portfolio Class A Shares--Total Return + 7.10 -1.02
Global Opportunity Portfolio Class B Shares--Total Return + 6.20 -1.30
Global Opportunity Portfolio Class C Shares--Total Return + 6.20 -1.30
Global Opportunity Portfolio Class D Shares--Total Return + 6.90 -1.11
Quality Bond Portfolio Class A Shares--Total Return + 5.30(1) +3.73(2)
Quality Bond Portfolio Class B Shares--Total Return + 4.58(3) +3.41(4)
Quality Bond Portfolio Class C Shares--Total Return + 4.52(5) +3.39(6)
Quality Bond Portfolio Class D Shares--Total Return + 5.03(7) +3.58(8)
US Government Securities Portfolio Class A Shares--Total Return +11.77(9) +2.88(10)
US Government Securities Portfolio Class B Shares--Total Return +11.12(11) +2.66(12)
US Government Securities Portfolio Class C Shares--Total Return +10.97(13) +2.65(14)
US Government Securities Portfolio Class D Shares--Total Return +11.52(15) +2.81(16)
<PAGE>
<FN>
++The Program commenced operations on 2/01/95.
*Investment results shown do not reflect sales charges; results
shown would be lower if a sales charge was included.
(1)Percent change includes reinvestment of $0.436 per share
ordinary income dividends.
(2)Percent change includes reinvestment of $0.165 per share
ordinary income dividends.
(3)Percent change includes reinvestment of $0.377 per share
ordinary income dividends.
(4)Percent change includes reinvestment of $0.144 per share
ordinary income dividends.
(5)Percent change includes reinvestment of $0.372 per share
ordinary income dividends.
(6)Percent change includes reinvestment of $0.142 per share
ordinary income dividends.
(7)Percent change includes reinvestment of $0.419 per share
ordinary income dividends.
(8)Percent change includes reinvestment of $0.159 per share
ordinary income dividends.
(9)Percent change includes reinvestment of $0.551 per share
ordinary income dividends.
(10)Percent change includes reinvestment of $0.189 per share
ordinary income dividends.
(11)Percent change includes reinvestment of $0.491 per share
ordinary income dividends.
(12)Percent change includes reinvestment of $0.166 per share
ordinary income dividends.
(13)Percent change includes reinvestment of $0.486 per share
ordinary income dividends.
(14)Percent change includes reinvestment of $0.165 per share
ordinary income dividends.
(15)Percent change includes reinvestment of $0.529 per share
ordinary income dividends.
(16)Percent change includes reinvestment of $0.182 per share
ordinary income dividends.
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (in US dollars)
<CAPTION>
Fundamental Value Portfolio
LATIN Shares Percent of
AMERICA Industries Held Investments Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
Argentina Oil--International 20,000 Yacimientos Petroliferos Fiscales
S.A. (Sponsored) (ADR)* $ 366,250 $ 342,500 1.3%
Total Investments in Argentina 366,250 342,500 1.3
Total Investments in Latin America 366,250 342,500 1.3
NORTH
AMERICA
United Auto--Related 30,000 National Auto Credit, Inc. 323,681 487,500 1.9
States
Automotive 10,000 Ford Motor Co. 266,380 287,500 1.1
10,000 General Motors Corp. 422,423 437,500 1.7
10,000 SPX Corp. 145,359 155,000 0.6
----------- ----------- ------
834,162 880,000 3.4
Banking 15,000 Bankers Trust New York Corp. 955,408 956,250 3.7
Capital Goods 5,000 Eaton Corp. 259,915 256,250 1.0
Chemicals 6,400 Olin Corp. 442,417 409,600 1.6
Environmental 100,000 Allwaste Inc. 550,879 487,500 1.9
Services
Farm & Construction 5,000 Deere & Co. 432,225 446,875 1.8
Equipment
Financial Services 8,000 Student Loan Marketing Association 284,105 471,000 1.8
Home Builders 20,000 Beazer Homes USA, Inc. 311,200 350,000 1.4
Hotels 30,000 John Q. Hammons Hotels, Inc. 415,755 352,500 1.4
Information 40,000 Tandem Computers, Inc. 483,619 450,000 1.8
Processing 40,000 Unisys Corp. 381,425 225,000 0.9
----------- ----------- ------
865,044 675,000 2.7
<PAGE>
Insurance 10,000 TIG Holdings, Inc. 206,305 253,750 1.0
Medical Services 75,000 Applied Bioscience International Inc. 388,612 478,125 1.9
18,000 Foundation Health Corp. 565,530 762,750 3.0
----------- ----------- ------
954,142 1,240,875 4.9
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (concluded) (in US dollars)
<CAPTION>
Fundamental Value Portfolio
NORTH Shares Percent of
AMERICA Industries Held Investments Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
United Metals--Non-Ferrous 20,000 ASARCO Inc. $ 554,351 $ 645,000 2.5%
States
(concluded) Oil--Domestic 20,000 Occidental Petroleum Corp. 446,200 430,000 1.7
Oil--Related 30,000 TETRA Technologies, Inc. 364,150 390,000 1.5
Oil Refiners 50,000 Total Petroleum of North America Ltd. 588,173 506,250 2.0
Oil/Gas Producers 60,000 Swift Energy Co. 514,699 532,500 2.1
Paper & Forest 14,000 International Paper Co. 532,450 518,000 2.0
Products
Pharmaceuticals 5,000 Bristol-Myers Squibb Co. 316,560 381,250 1.5
Photography 3,400 Eastman Kodak Co. 205,054 212,925 0.8
Real Estate 20,000 Bay Apartment Communities, Inc. 356,450 412,500 1.6
Investment Trusts 20,000 Camden Property Trust 450,613 415,000 1.6
20,000 Evans Withycombe Residential, Inc. 404,875 377,500 1.5
15,000 Simon Property Group, Inc. 357,555 348,750 1.4
----------- ----------- ------
1,569,493 1,553,750 6.1
Restaurants 30,000 Darden Restaurants, Inc. 329,558 341,250 1.3
Retail 50,000 Charming Shoppes, Inc. 247,080 140,625 0.6
25,000 Dillard Department Stores, Inc. 682,325 678,125 2.7
25,000 Kmart Corp. 326,500 203,125 0.8
20,000 Woolworth Corp. 281,912 292,500 1.1
----------- ----------- ------
1,537,817 1,314,375 5.2
<PAGE>
Retail--Specialty 25,000 The Limited, Inc. 517,323 459,375 1.8
Savings & Loans 20,000 Bay View Capital Corp. 482,500 530,000 2.1
54,000 Greater New York Savings Bank 504,892 648,000 2.5
40,000 Klamath First Bancorp, Inc. 519,485 505,000 2.0
20,000 Washington Mutual Savings Bank 417,984 510,000 2.0
----------- ----------- ------
1,924,861 2,193,000 8.6
Steel 10,000 USX-US Steel Group 308,255 298,750 1.2
35,000 WHX Corp. 379,967 363,125 1.4
----------- ----------- ------
688,222 661,875 2.6
Technology 37,500 Computervision Corp. 450,000 440,625 1.7
20,000 Exabyte Corp. 300,000 257,500 1.0
75,000 Micronics Computers, Inc. 370,369 290,625 1.1
25,000 Storage Technology Corp. 578,074 615,625 2.4
30,000 SyQuest Technology, Inc. 341,075 300,000 1.2
22,500 Western Digital Corp. 384,974 348,750 1.4
----------- ----------- ------
2,424,492 2,253,125 8.8
Telecommunications 20,000 Comsat Corporation 467,496 397,500 1.6
20,000 MCI Communications Corp. 436,950 497,500 1.9
----------- ----------- ------
904,446 895,000 3.5
Textile & Apparel 25,000 Burlington Industries, Inc. 281,265 278,125 1.1
Total Investments in the
United States 20,534,352 20,832,900 81.6
Total Investments in North America 20,534,352 20,832,900 81.6
WESTERN EUROPE
United Conglomerates 40,000 ADT Limited (ADR)* 477,625 560,000 2.2
Kingdom
Total Investments in the
United Kingdom 477,625 560,000 2.2
Total Investments in Western Europe 477,625 560,000 2.2
<PAGE>
SHORT-TERM Face
SECURITIES Amount Issue
Commercial $1,000,000 Ciesco L.P., 5.72% due 11/27/1995 995,869 995,869 3.9
Paper** 824,000 General Electric Capital Corp., 5.85%
due 11/01/1995 824,000 824,000 3.2
----------- ----------- ------
1,819,869 1,819,869 7.1
US Government & Federal Home Loan Bank:
Agency Obligations** 700,000 5.63% due 11/02/1995 699,890 699,890 2.7
800,000 5.62% due 11/06/1995 799,376 799,376 3.2
300,000 Federal Home Loan Mortgage Corp.,
5.62% due 11/15/1995 299,344 299,344 1.2
----------- ----------- ------
1,798,610 1,798,610 7.1
Total Investments in Short-Term
Securities 3,618,479 3,618,479 14.2
Total Investments $24,996,706 25,353,879 99.3
===========
Other Assets Less Liabilities 171,400 0.7
----------- ------
Net Assets $25,525,279 100.0%
=========== ======
Net Asset Value: Class A--Based on net assets of $95,479 and
8,451 shares outstanding $ 11.30
===========
Class B--Based on net assets of $16,863,702 and
1,503,450 shares outstanding $ 11.22
===========
Class C--Based on net assets of $6,511,746 and
580,588 shares outstanding $ 11.22
===========
Class D--Based on net assets of $2,054,352 and
182,014 shares outstanding $ 11.29
===========
<FN>
*American Depositary Receipts (ADR).
**Commercial paper and certain US Government & Agency Obligations
are traded on a discount basis; the interest rates shown are the
discount rates paid at the time of purchase by the Portfolio.
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (in US dollars)
<CAPTION>
Global Opportunity Portfolio
Face Percent of
COUNTRY Industries Amount Corporate Bonds Cost Value Net Assets
<S> <S> <S> <C> <S> <C> <C> <C>
Canada Cellular US$ 100,000 Rogers Communication, Inc., 10.875%
Telephones due 4/15/2004 $ 100,250 $ 104,000 0.4%
Conglomerates 200,000 Sherritt Gordon Ltd., 9.75% due
4/01/2003 192,500 205,000 0.9
Energy 100,000 Gulf Canada Resources, Ltd., 9.25%
due 1/15/2004 95,000 100,250 0.4
Financial 100,000 Groupe L'TEE Videotron, 10.625% due
Services 2/15/2005 99,375 106,000 0.4
United Broadcasting & 125,000 The Katz Corp., 12.75% due 11/15/2002 129,625 133,750 0.6
States Publishing
Building & 100,000 Del E. Webb Corporation, 9.75% due
Construction 3/01/2003 86,000 98,500 0.4
Business 356,000 Bell Cablemedia PLC, 11.875% due
Publishing 9/15/2005 (a) 202,904 213,600 0.9
Chemicals 100,000 Acetex Corporation, 9.75% due
10/01/2003 99,563 102,750 0.4
205,000 G-I Holdings Inc., 10.38% due
10/01/1998 (a) 147,545 152,725 0.7
----------- ----------- ------
247,108 255,475 1.1
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Global Opportunity Portfolio
Face Percent of
COUNTRY Industries Amount Corporate Bonds Cost Value Net Assets
<S> <S> <S> <C> <S> <C> <C> <C>
United Communi- US$ 300,000 Panamsat L.P., 2.78% due
States cations 8/01/2003 (a) $ 218,658 $ 240,000 1.0%
(concluded)
Consumer 280,000 Coleman Holdings, Inc., 22.15%
Products due 5/27/1998 (a) 214,032 220,500 0.9
Cosmetics 100,000 Revlon Consumer Products Corp.,
9.375% due 4/01/2001 90,029 101,000 0.4
Energy 200,000 Maxus Energy Corp., 9.875% due
10/15/2002 182,250 197,000 0.8
250,000 Oleoducts Central S.A., 9.35% due
9/01/2005 250,000 249,375 1.1
----------- ----------- ------
432,250 446,375 1.9
Entertainment 100,000 Marvel III Holdings, Inc., 9.125%
due 2/15/1998 93,500 94,000 0.4
Financial 200,000 Reliance Group Holdings, Inc., 9.75%
Services due 11/15/2003 192,750 203,500 0.9
Health Care 100,000 Tenet Healthcare Corp., 10.125% due
3/01/2005 100,000 108,000 0.5
Hotels 100,000 John Q. Hammons Hotels, Inc., 8.875%
due 2/15/2004 89,750 97,500 0.4
Hotels & 200,000 Bally's Park Place Funding Corp.,
Casinos 9.25% due 3/15/2004 182,000 197,000 0.8
100,000 Host Marriott Hospitality, Inc.,
9.50% due 5/15/2005 96,432 100,500 0.4
200,000 Trump Plaza Funding, Inc., 10.875%
due 6/15/2001 177,500 188,500 0.8
----------- ----------- ------
455,932 486,000 2.0
Industrial 100,000 Repap Wisconsin, Inc., 9.25% due
2/01/2002 89,500 97,000 0.4
Industrial 100,000 TransTexas Gas Corp., 11.50% due
--Energy 6/15/2002 100,000 104,500 0.5
Metal & Mining 50,000 Kaiser Aluminum & Chemical Corp.,
12.75% due 2/01/2003 52,250 55,125 0.2
Steel 100,000 WCI Steel, Inc., 10.50% due 3/01/2002 97,000 96,750 0.4
Textiles 100,000 WestPoint Stevens, Inc., 9.375% due
12/15/2005 98,250 100,000 0.4
<PAGE>
Transport 100,000 Eletson Holdings, Inc., 9.25% due
Services 11/15/2003 94,360 97,000 0.4
Transportation 100,000 Viking Star Shipping Co., 9.625% due
7/15/2003 96,000 102,750 0.4
Utilities 100,000 Beaver Valley Funding Co., 8.625%
due 6/01/2007 82,000 90,631 0.4
100,000 CTC Mansfield Funding Corp., 11.125%
due 9/30/2016 98,750 103,499 0.4
----------- ----------- ------
180,750 194,130 0.8
Total Investments in Corporate Bonds 3,847,773 4,060,705 17.0
Foreign Government & Agency Obligations
Germany DM 1,700,000 Bundes Obligations, 7.375% due
1/03/2005 1,251,269 1,279,478 5.3
United Pound 400,000 UK Treasury Gilt, 8% due 6/10/2003 627,464 636,949 2.7
Kingdom Sterling
Total Investments in Foreign
Government & Agency Obligations 1,878,733 1,916,427 8.0
Foreign Obligations
Canada C$ 800,000 National Bank of Canada, 7.25% due
6/01/2003 563,965 589,637 2.5
Italy Lit 600,000,000 Buoni Poliennali del Tesoro, 10%
due 8/01/2003 341,627 348,244 1.4
Total Investments in Foreign
Obligations 905,592 937,881 3.9
Total Investments in Corporate Bonds,
Foreign Government & Agency &
Foreign Obligations 6,632,098 6,915,013 28.9
Shares
Held United States Stocks
<PAGE>
United Aerospace & Defense 2,500 United Technologies Corporation 174,848 221,875 0.9
States
Automobiles 5,400 Ford Motor Co. 144,378 155,250 0.7
Capital Goods 7,500 Keystone International, Inc. 136,220 166,875 0.7
5,500 Stewart & Stevenson Services, Inc. 190,797 125,125 0.5
----------- ----------- ------
327,017 292,000 1.2
Chemicals 2,900 Eastman Chemical Co. 159,485 172,550 0.7
5,100 Nalco Chemical Company 175,132 153,000 0.6
----------- ----------- ------
334,617 325,550 1.3
Consumer--Durables 3,000 Whirlpool Corporation 173,678 159,000 0.7
Energy 8,600 California Energy Company, Inc. 144,821 155,875 0.7
Hardware Products 4,500 Stanley Works (The) 180,743 214,875 0.9
Hospital Supplies 5,000 Abbott Laboratories 185,467 198,750 0.8
Insurance 10,000 Humana Inc. 212,450 211,250 0.9
Machinery 5,000 Ingersoll-Rand Company 189,675 176,875 0.7
Manufacturing 6,000 Fisher Scientific International
Inc. 188,659 188,250 0.8
Office--Related 3,900 Pitney Bowes, Inc. 136,850 170,137 0.7
Oil Service 8,500 Dresser Industries, Inc. 178,223 176,375 0.7
1,800 Schlumberger Ltd., Inc. 95,976 112,050 0.5
----------- ----------- ------
274,199 288,425 1.2
Petroleum 5,500 Phillips Petroleum Company 180,292 177,375 0.7
Pharmaceuticals 3,100 Merck & Co., Inc. 128,460 178,250 0.7
Photography 3,000 Eastman Kodak Company 160,085 187,875 0.8
Pollution Control 5,900 General Signal Corporation 201,069 188,062 0.8
9,000 Wheelabrator Technologies Inc. 140,505 129,375 0.5
----------- ----------- ------
341,574 317,437 1.3
Publishing 3,500 Gannett Co., Inc. 187,342 190,312 0.8
<PAGE>
Telecommunications 3,700 AT&T Corp. 191,509 236,800 1.0
2,600 Bell Atlantic Corporation 140,051 165,425 0.7
8,500 Comsat Corporation 161,888 168,938 0.7
4,100 GTE Corporation 139,324 169,125 0.7
----------- ----------- ------
632,772 740,288 3.1
Total Investments in United States
Stocks 4,297,927 4,549,649 18.9
Foreign Stocks
Argentina Banking 6,000 Banco de Galicia y Buenos Aires
S.A. (ADR)** 106,800 114,000 0.5
5,000 Banco Frances del Rio de la Plata
S.A. (ADR)** 80,350 109,375 0.4
----------- ----------- ------
187,150 223,375 0.9
Petroleum 6,700 Yacimientos Petroliferos Fiscales
S.A.(Sponsored) (ADR)** 134,514 114,737 0.5
Australia Banking 12,000 National Australia Bank Limited 102,479 102,698 0.4
Multi-Industry 40,000 Pacific Dunlop Ltd. 93,681 96,850 0.4
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Global Opportunity Portfolio
Shares Percent of
COUNTRY Held Foreign Stocks Cost Value Net Assets
<S> <S> <S> <C> <S> <C> <C> <C>
Canada Energy 7,000 Westcoast Energy Inc. $ 107,170 $ 103,250 0.5%
Natural Resources 10,800 Canadian Pacific Limited 165,958 172,800 0.7
Petroleum 3,000 Imperial Oil Ltd. 110,135 109,858 0.4
Telecommunications 4,800 Northern Telecom Limited 171,686 172,800 0.7
<PAGE>
Chile Banking 5,500 Banco O'Higgins S.A. (ADR)** 101,392 117,562 0.5
China Chemicals 3,800 Shanghai Petrochemical Co., Ltd.
(ADR)** 95,266 107,825 0.5
France Building & 800 Compagnie de Saint-Gobain 94,832 95,486 0.4
Construction
Capital Goods 2,600 Schneider S.A. 102,933 100,391 0.4
Communication 1,700 Alcatel Alsthom Cie Generale
Equipment d'Electricite S.A. 148,786 145,341 0.6
Petroleum 3,300 TOTAL S.A. (ADR)** 94,281 101,887 0.4
Germany Electronics 300 Siemens AG 143,480 157,603 0.6
Machinery & Equipment 450 Mannesmann AG 127,844 148,409 0.6
500 Thyssen AG 92,087 90,155 0.4
----------- ----------- ------
219,931 238,564 1.0
Multi-Industry 300 Preussag AG 91,752 85,421 0.3
Hong Kong Multi-Industry 20,000 Swire Pacific Ltd. (Class A) 141,269 150,045 0.6
Real Estate 17,000 Sun Hung Kai Properties, Ltd. 104,273 135,784 0.6
Telecommunications 9,000 Hong Kong Telecommunications Ltd.
(ADR)** 160,490 156,375 0.7
Utilities-- 29,000 China Light & Power Co., Ltd. 147,431 154,547 0.6
Electric
Indonesia Telecommunications 3,000 P.T. Indonesian Satellite (ADR)** 95,430 99,375 0.4
Italy Building Materials 24,000 Italcementi S.p.A 93,046 69,981 0.3
Telecommunications 50,000 Societa Finanziara Telefonica
S.p.A (STET) 146,511 141,865 0.6
<PAGE>
Japan Banking 8,000 Sanwa Bank, Ltd. 158,426 136,471 0.6
Building & 12,000 Maeda Corp. 133,874 115,882 0.5
Construction 15,000 Okumura Corp. 134,507 131,471 0.5
----------- ----------- ------
268,381 247,353 1.0
Building Materials 11,000 Asahi Glass Co., Ltd. 131,493 107,843 0.5
Capital Goods 17,000 Hitachi Cable Ltd. 129,552 122,167 0.5
21,000 Mitsubishi Heavy Industries, Ltd. 144,773 162,441 0.7
----------- ----------- ------
274,325 284,608 1.2
Chemicals 12,000 Sekisui Chemical Co., Ltd. 147,818 156,471 0.7
Construction & Housing 12,000 Kandenko Co., Ltd. 162,018 148,235 0.6
Consumer--Electronics 3,000 Rohm Company Ltd. 141,942 182,647 0.8
Diversified 8,000 Tokyo Style Co., Ltd. 120,819 121,569 0.5
Electrical Equipment 19,000 Mitsubishi Electric Corp. 137,527 142,314 0.6
Electronics 2,000 Kyocera Corporation 164,864 164,314 0.7
10,000 Makita Electric Work Ltd. 151,662 155,882 0.7
8,000 Matsushita Electric Industrial
Co., Ltd. 116,780 113,725 0.5
9,000 Sharp Corp. 140,675 125,294 0.5
----------- ----------- ------
573,981 559,215 2.4
Financial Services 9,000 Mitsubishi Trust and Banking Corp. 151,523 126,176 0.5
Food Processing 8,000 Yamazaki Baking Co., Ltd. 142,465 141,961 0.6
Industrial 9,000 Toto Ltd. 135,022 121,765 0.5
Insurance 25,000 Nippon Fire & Marine Insurance
Co., Ltd. 153,513 134,804 0.6
13,000 Tokio Marine & Fire Insurance
Co., Ltd. 143,259 133,824 0.6
----------- ----------- ------
296,772 268,628 1.2
Machinery 19,000 Komatsu Ltd. 152,045 149,020 0.6
2,000 SMC Corporation 98,090 140,980 0.6
----------- ----------- ------
250,135 290,000 1.2
Petroleum 20,000 Nippon Oil Co., Ltd. 121,398 106,471 0.4
<PAGE>
Photography 6,000 Canon Inc. 88,100 102,941 0.4
Printing & Publishing 9,000 Dai Nippon Printing Co., Ltd. 144,952 143,824 0.6
Retail Stores 3,000 Ito-Yokado Co., Ltd. 146,200 164,412 0.7
Textiles 22,000 Toray Industries Inc. 139,370 137,824 0.6
Trading 16,000 Kamigumi Co., Ltd. 136,552 145,098 0.6
13,000 Sumitomo Corp. 124,539 118,529 0.5
----------- ----------- ------
261,091 263,627 1.1
Malaysia Automotive & 39,000 UMW Holdings BHD 98,720 92,857 0.4
Equipment
Building 18,000 Hong Leong Industries BHD 93,277 85,714 0.4
Materials
Mexico Capital Goods 44,000 Cementos Mexicanos, S.A. de C.V.
(Cemex) 131,719 138,392 0.6
Construction 8,000 Empresas ICA Sociedad Controladora,
S.A. de C.V. (ADR)** 92,223 76,000 0.3
Telecommunications 3,000 Telefonos de Mexico, S.A. de C.V.
(ADR)** 86,460 82,500 0.3
Netherlands Petroleum 1,300 Royal Dutch Petroleum N.V. (ADR)** 153,715 159,737 0.7
Norway Shipping 3,500 Kvaerner A.S. (Class B) 156,837 139,640 0.6
Philippines Telecommuni- 2,000 Philippine Long Distance Telephone
cations Co. (ADR)** 141,453 112,250 0.5
Portugal Banking 10,000 Banco Comercial Portugues (B.C.P.)
(ADR)** 137,375 135,000 0.6
Singapore Shipping 75,000 Neptune Orient Lines Ltd. 93,990 82,260 0.3
Spain Petroleum 4,800 Repsol S.A. (ADR)** 143,703 142,200 0.6
<PAGE>
Sweden Engineering & 5,500 SKF AB 'B' Free 98,567 104,457 0.4
Construction
Switzerland Building & 125 Holderbank Financiere Glarus AG
Construction (Bearer) 92,109 100,582 0.4
Electrical Equipment 150 BBC Brown Boveri & Cie (Bearer) 140,031 174,299 0.7
Machinery 200 Sulzer Gebrueder AG 115,432 127,934 0.5
Thailand Real Estate 30,000 MDX Company Ltd. 89,321 54,551 0.2
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (concluded) (in US dollars)
<CAPTION>
Global Opportunity Portfolio
Shares Percent of
COUNTRY Industries Held Foreign Stocks Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
United Building Materials 4,000 Grand Metropolitan PLC (ADR)** $ 94,780 $ 110,000 0.5%
Kingdom
Business Services 9,000 GKN PLC 92,846 114,864 0.5
52,000 Lucas Industries PLC (Ordinary) 158,646 157,486 0.7
----------- ----------- ------
251,492 272,350 1.2
Chemicals 2,200 Imperial Chemical Industries PLC (ADR)** 100,782 106,700 0.4
Electrical Equipment 20,000 General Electric Co. PLC (Ordinary) 97,276 99,318 0.4
Telecommunications 2,000 British Telecommunications PLC (ADR)** 127,640 119,000 0.5
Utilities--Gas 2,900 British Gas PLC (ADR)** 133,818 110,200 0.5
Total Investments in Foreign Stocks 9,718,354 9,734,716 40.7
SHORT-TERM Face
SECURITIES Amount Short-Term Securities
<PAGE>
US Government US$ 2,335,000 Federal Home Loan Mortgage Corp.,
& Agency 5.85% due 11/01/1995 2,335,000 2,335,000 9.8
Obligations***
Total Investments in Short-Term
Securities 2,335,000 2,335,000 9.8
Total Investments $22,983,379 23,534,378 98.3
===========
Unrealized Appreciation on Forward Foreign Exchange Contracts ++ 180,301 0.8
Other Assets Less Liabilities 215,811 0.9
----------- ------
Net Assets $23,930,490 100.0%
=========== ======
Net Asset Value: Class A--Based on net assets of $6,548,937 and
611,627 shares outstanding $ 10.71
===========
Class B--Based on net assets of $12,680,066 and
1,194,172 shares outstanding $ 10.62
===========
Class C--Based on net assets of $3,548,978 and
334,302 shares outstanding $ 10.62
===========
Class D--Based on net assets of $1,152,509 and
107,859 shares outstanding $ 10.69
===========
<FN>
*Denominated in US dollars unless otherwise indicated.
**American Depositary Receipts (ADR).
***Certain US Government & Agency Obligations are traded on a
discount basis; the interest rates shown are the discount rates paid
at the time of purchase by the Portfolio.
(a)Represents a zero coupon or step bond; the interest rate shown is
the effective yield at the time of purchase by the Portfolio.
++Forward foreign exchange contracts sold as of October 31, 1995
were as follows:
Foreign Expiration Unrealized
Currency Sold Date Appreciation
YEN 100,660,000 January 1996 $180,301
Total Unrealized Appreciation on Forward
Foreign Exchange Contracts Sold
(US$ Commitment--$1,179,241) $180,301
========
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (in US dollars)
<CAPTION>
Quality Bond Portfolio
S&P Moody's Face
INDUSTRIES Ratings Ratings Amount Bonds & Notes Cost Value
<S> <S> <S> <C> <S> <C> <C>
Banking--6.4% BBB+ A3 $ 115,000 Bangkok Metropolitan Bank Public Company
Limited, 7.25% due 9/15/2005 $ 113,956 $ 115,779
A- A3 150,000 First Bank System, Inc., 6.875% due 9/15/2007 148,611 150,746
A- A2 100,000 Maybank New York, 7.125% due 9/15/2005 99,358 101,645
---------- ----------
361,925 368,170
Financial A A2 200,000 Bear Stearns Co., 6.75% due 8/15/2000 198,730 202,202
Services--8.7% A A2 150,000 Dean Witter, Discover & Co., 6.50% due 11/01/2005 146,831 146,839
A- A3 150,000 Smith Barney Holdings, 6.875% due 6/15/2005 148,485 149,969
---------- ----------
494,046 499,010
Financial A+ A1 200,000 Ford Motor Credit Co., 6.25% due 11/08/2000 199,154 199,154
Services-- BBB+ A3 150,000 General Motors Acceptance Corp., 7.85% due
Captive--6.1% 3/05/1997 153,815 153,496
---------- ----------
352,969 352,650
Financial AA- Aa3 200,000 Associates Corp. of North America, 5.25%
Services-- due 9/01/1998 193,918 195,726
Consumer--3.4%
Industrial-- A- A2 150,000 American Home Products Corporation, 7.90%
Consumer due 2/15/2005 162,417 163,879
Goods--8.5% AA- A1 100,000 Anheuser-Busch Co., Inc., 8.75% due 12/01/1999 107,905 109,420
A+ A1 100,000 Bass America, Inc., 8.125% due 3/31/2002 105,928 108,533
BBB A2 100,000 Sears, Roebuck & Co., 9.25% due 4/15/1998 106,444 106,973
---------- ----------
482,694 488,805
Industrial-- AA- A1 175,000 BP America Inc., 9.375% due 11/01/2000 200,263 198,782
Energy--7.0% A+ A1 175,000 Texaco Capital Inc., 8.625% due 11/15/2031 205,665 209,176
---------- ----------
405,928 407,958
<PAGE>
Industrial-- AA- Aa2 100,000 Archer-Daniels-Midland Co., 8.125%
Other-- due 6/01/2012 111,874 110,909
9.6% AA- Aa3 150,000 Capital Cities/ABC, Inc., 8.75% due 8/15/2021 176,105 179,031
A- A3 150,000 Carnival Cruise Lines, Inc., 7.70% due 7/15/2004 156,745 158,415
A+ A2 100,000 Pohang Iron & Steel Company, Ltd., 7.375%
due 5/15/2005 101,816 103,534
---------- ----------
546,540 551,889
Supranational AAA Aaa 100,000 Asian Development Bank, 6.25% due 10/24/2005 99,380 99,705
- --5.6% AAA Aaa 166,000 International Bank for Reconstruction &
Development, 12.375% due 10/15/2002 222,483 222,782
---------- ----------
321,863 322,487
US Government AAA Aaa 100,000 US Treasury Bonds, 7.50% due 11/15/2024 110,562 114,250
Obligations-- US Treasury Notes:
17.0% AAA Aaa 250,000 5.875% due 6/30/2000 245,039 250,625
AAA Aaa 250,000 6.375% due 8/15/2002 256,250 256,445
AAA Aaa 350,000 6.50% due 5/15/2005 359,297 362,250
---------- ----------
971,148 983,570
Utilities-- A A2 150,000 Virginia Electric & Power Co., 8.625%
Electric-- due 10/01/2024 166,200 168,349
2.9% ---------- ----------
Total Investments in Bonds & Notes--75.2% 4,297,231 4,338,614
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (concluded) (in US dollars)
<CAPTION>
Quality Bond Portfolio
SHORT-TERM Face
SECURITIES Amount Bonds & Notes Cost Value
<S> <S> <S> <C> <S> <C> <C>
Commercial $ 188,000 General Electric Capital Corp., 5.85% due
Paper*--3.3% 11/01/1995 $ 188,000 $ 188,000
US Government 100,000 Federal National Mortgage Association, 5.61% due
& Agency 11/08/1995 99,891 99,891
Obligations*--20.7% 1,100,000 US Treasury Bills, 5.19% due 11/16/1995 1,097,621 1,097,621
---------- ----------
1,197,512 1,197,512
<PAGE>
Total Investments in Short-Term Securities--24.0% 1,385,512 1,385,512
Total Investments--99.2% $5,682,743 5,724,126
==========
Other Assets Less Liabilities--0.8% 43,918
----------
Net Assets--100.0% $5,768,044
==========
Net Asset Class A--Based on net assets of $2,115,138 and
Value: 210,273 shares outstanding $ 10.06
==========
Class B--Based on net assets of $2,604,625 and
259,067 shares outstanding $ 10.05
==========
Class C--Based on net assets of $851,061 and
84,657 shares outstanding $ 10.05
==========
Class D--Based on net assets of $197,220 and
19,615 shares outstanding $ 10.05
==========
<FN>
*Commercial Paper and certain US Government & Agency Obligations are
traded on a discount basis; the interest rates shown are the
discount rates paid at the time of purchase by the Portfolio.
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (in US dollars)
<CAPTION>
US Government Securities Portfolio
Face
Amount Issue Value
<S> <C> <S> <C>
US Government & Federal Home Loan Mortgage Corporation:
Agency $ 2,108,026 #0555228, 11.50% due 6/01/2019 $ 2,339,909
Mortgage-Backed 995,001 #0D62591, 7.50% due 8/01/2025 1,006,505
Obligations*--82.1% 995,000 #0D64496, 7.50% due 10/01/2025 1,005,875
Government National Mortgage Association:
267,831 #0342441, 7.50% due 12/15/2022 271,345
332,380 #0340655, 7.50% due 2/15/2023 336,741
332,236 #0363005, 7.50% due 8/15/2023 336,595
330,223 #0222105, 7.50% due 3/15/2024 334,556
325,162 #0389244, 7.50% due 4/15/2024 329,428
330,724 #0366794, 7.50% due 5/15/2024 335,063
1,066,446 #0379304, 7.50% due 10/01/2025 1,080,438
<PAGE>
Total US Government & Agency Mortgage-Backed Obligations (Cost--$7,310,127) 7,376,455
US Government US Treasury Notes:
& Agency 900,000 6.875% due 3/31/2000 936,846
Obligations 230,000 7.875% due 11/15/2004 259,217
- --13.3%
Total US Government & Agency Obligations (Cost--$1,126,876) 1,196,063
Repurchase 1,100,000 Nikko Securities Company, purchased on 10/31/1995 to
Agreement**--12.3% yield 5.88% to 11/01/1995 $ 1,100,000
Total Repurchase Agreement (Cost--$1,100,000) 1,100,000
Total Investments (Cost--$9,537,003)--107.7% 9,672,518
Liabilities in Excess of Other Assets--(7.7%) (692,734)
-----------
Net Assets--100.0% $ 8,979,784
===========
Net Asset Class A: Net assets $ 5,584,410
Value: -----------
Shares outstanding 528,010
-----------
Net asset value and redemption price per share $ 10.58
-----------
Class B: Net assets $ 2,403,784
-----------
Shares outstanding 227,276
-----------
Net asset value and redemption price per share $ 10.58
===========
Class C: Net assets $ 834,868
-----------
Shares outstanding 78,955
-----------
Net asset value and redemption price per share $ 10.57
===========
Class D: Net assets $ 156,722
-----------
Shares outstanding 14,812
-----------
Net asset value and redemption price per share $ 10.58
===========
<PAGE>
<FN>
*Mortgage-Backed Obligations are subject to principal paydowns as a
result of prepayments or refinancing of the underlying mortgage
instruments. As a result, the average life may be substantially less
than the original maturity.
**Repurchase Agreement is fully collateralized by US Government &
Agency Obligations.
</TABLE>
