MERRILL LYNCH
ASSET BUILDER
PROGRAM, INC.
FUND LOGO
Quarterly Report
October 31, 1996
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.
Statements and other information herein are as dated and are subject
to change.
<PAGE>
Merrill Lynch
Asset Builder Program, Inc.
Box 9011
Princeton, NJ
08543-9011
Printed on post-consumer recycled paper
Merrill Lynch Asset Builder Program, Inc.
Officers and
Directors
Arthur Zeikel, President and Director
Joe Grills, Director
Walter Mintz, Director
Robert S. Salomon Jr., Director
Melvin R. Seiden, Director
Stephen B. Swensrud, 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
Lawrence R. Fuller, Vice President
Gregory Mark Maunz, Vice President
Kevin M. Rendino, Vice President
Thomas R. Robinson, Vice President
Gerald M. Richard, Treasurer
Mark B. Goldfus, Secretary
<PAGE>
Custodian
The Bank of New York
90 Washington Street, 12th Floor
New York, New York 10286
Transfer Agent
Merrill Lynch Financial Data Services, Inc.
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. The Program consists of five
separate diversified portfolios, each with its own investment
objectives. Complete performance information, including aggregate
and average annual total returns, for all five portfolios can be
found on pages 7--11 of this report to shareholders.
Merrill Lynch Fundamental
Value Portfolio
During the quarter ended October 31, 1996, signs of moderating
economic growth fueled a bond market rally as concerns that the
Federal Reserve Board would be forced to raise interest rates
diminished. Stocks rallied to new highs as interest rates declined,
erasing the market correction that took place in late spring and
early summer. As inflationary fears cooled amidst a slowing economy,
investors tended to favor consumer staple stocks that have the
ability to produce consistent earnings growth. Stocks of cyclical
companies did not fare as well since earnings are tied to the
economic cycle and were thought to be at risk.
Against this backdrop, the Portfolio underperformed the broad stock
market indexes for the three-month period ended October 31, 1996 as
a result of our large commitment to economically sensitive equities.
Although economic activity has slowed somewhat from the rapid pace
experienced during the first half of 1996, a recession does not
appear imminent. Recent activity in the stock market has led to an
even wider disparity between valuation levels of cyclicals and non-
cyclicals. We believe much of the underperformance in groups such as
the autos, copper, paper and steel stocks has been overdone, and
many of these stocks are discounting dire economic circumstances
which are unlikely to occur. In this environment, valuations of
economically sensitive equities have declined to levels not seen in
years, while defensive and stable growth stock valuations have been
bid up to premium price/earnings ratios.
<PAGE>
We remain committed to such undervalued securities--based on current
stock prices relative to our 1996 earnings per share estimates--such
as Ford Motor Co. (8.9 times estimated 1996 earnings per share),
General Motors Corp. (8.4 times), USX-US Steel Group, Inc. (11.6
times), WHX Corp. (9.0 times) and Phelps Dodge Corp. (9.2 times). We
believe these stocks could do better once investors become convinced
that a slower growth environment does not portend a recession.
During the October quarter, Portfolio activity was concentrated on
the buy side. Most of the buying was done early in the quarter
following a temporary correction in stock prices. Much of our
purchase activity was focused on the out-of-favor technology sector,
particularly the semiconductor industry. We believe that the worst
of the inventory correction in the personal computer and
semiconductor industries is over, and we look for an improvement in
the semiconductor sector as the latest version of Microsoft's NT
Server is announced. Therefore, we added to ourholdings in Advanced
Micro Devices Inc., Micron Technology, Inc. and Texas Instruments,
Inc. Other technology stocks added to in the October quarter were
Apple Computer, Inc., Computer Vision Corp., Exabyte Corp.,
Micronics Computers Inc., Storage Technology Corp. and Tandem
Computers, Inc. The technology sector remains our heaviest
weighting. We know of no other group more out-of-favor, offering
such attractive valuation characteristics and with as much upside
potential as the technology sector.
New positions during the October quarter included the shares of
Community Psychiatric Centers, Downey Financial Corporation, Humana,
Inc., ITT Industries Inc., Kmart Corporation and Mesa Air Group,
Inc. In the case of Humana, Inc., early August may have marked the
bottom for the HMO industry which suffered an industry-wide margin
squeeze as costs escalated more than expected. Several companies,
including Humana, began their third quarter with plans for higher
pricing. The company currently trades at the low end of the industry
range on valuation measures such as price to sales (50%) and price
per risk member ($935). These parameters, combined with our outlook
for higher pricing and better cost control, suggest a favorable
risk/return situation.
We completed sales in eight holdings during the October quarter,
with the most noteworthy being Deere & Co. and Washington Mutual
Savings Bank at substantial profits, while Burlington Industries,
Inc. and Giddings & Lewis, Inc. were sold at losses following
earnings disappointments.
The Portfolio remains attractively priced relative to the overall
stock market as it trades at half the market on a price/book value
per share basis and two-thirds the market on a price/earnings per
share basis.
<PAGE>
Merrill Lynch Global
Opportunity Portfolio
As of October 31, 1996, the asset allocation for Merrill Lynch
Global Opportunity Portfolio was: foreign stocks, 47%; US stocks,
34%; foreign bonds, 13%; US bonds, 4%; and cash reserves, 1%.
In increasing the foreign bond weighting, we established a long-
duration position in the Canadian bond market. Canadian bonds
offered a yield advantage over US obligations of comparable
maturity, but we expected the differential to narrow, enhancing the
total return potential of the Canadian obligations. We also
realigned the positions in European bonds. The exposure to high-
yielding European bond markets was reduced through the sale of the
Spanish and Italian bonds, with exposure now limited to Sweden. The
sales reflected our opinion that the upcoming 1997 European budget
talks posed risks for countries such as Italy and Sweden, which need
to sacrifice current economic and employment growth in exchange for
strong spending cuts and increased revenue measures. Such fiscal
policies seem necessary in order to attain the Maastricht criteria
established for European countries wishing to be first round
participants in the European Monetary Union.
We shifted assets resulting from the sale of Spanish and Italian
bonds into Denmark and the United Kingdom. Denmark currently enjoys
the strongest fiscal position in Europe, while the UK bond market is
likely to benefit from evidence of a surprisingly benign rate of
inflation. We also maintained our bond commitment in Germany in view
of favorable economic data. At the same time, increased confidence
that the European Monetary Union will proceed on schedule led us to
expect renewed weakness in the Deutschemark. This trend led us to
hedge our Danish and German bond commitments back to the US dollar.
A similar currency view also resulted in our decision to hedge our
German, French and Swiss equity positions back to the US dollar. We
also restored our hedge of the Japanese equities back to the US
dollar, given expectations of renewed weakness in the yen.
In addition, we restored our position in US bonds. Initially, we
established a duration of seven years, but later reduced the
duration to five years following a rally in the US bond market.
Evidence failed to confirm a strengthening US economy during the
third quarter of 1996. Rather, slowing consumer demand and business
investment, as well as a weaker-than-expected trade balance, pointed
to a slowing in the third quarter for the US economy and a
continuation of this trend in the subsequent quarter. Consequently,
the increase in the Federal Funds rate, which we had earlier
anticipated, now seemed likely to be postponed.
<PAGE>
We continued to expand the foreign equity sector through a strategy
of adding to European commitments and, in particular, to the United
Kingdom. New positions in the UK market included Boots Company PLC,
National Westminster Bank PLC and Vodafone Group PLC. We also
initiated commitments on ABN AMRO Holding N.V. and Color Line ASA.
At the same time, profits were realized in Royal Dutch Petroleum
N.V. (ADR). The commitment to Latin America was enlarged through the
shares of Petroleo Brasileiro S.A. (Petrobras). Japan remained the
largest country position in the foreign equity sector, although we
significantly reduced the holdings earlier in the year. We also
maintained a significant position in Canadian equities, given a
favorable outlook for the Canadian economy and stock market.
In the United States, we established positions in several areas
which appeared both unexploited and provided minimal stock price
risk. These areas included electric utilities, through Edison
International; retailing, through Toys 'R' Us, Inc. and Thrifty
Payless Holdings, Inc.; as well as real estate, through the shares
of Prentiss Properties Trust. The largest proportion of US equity
assets remain allocated to areas that will benefit from strength in
capital spending in the United States and abroad. These commitments
include companies involved in technology, such as Microsoft Corp.
and International Business Machines Corp., and companies in defense
and aerospace, as exemplified by The Boeing Company and Northrop
Grumman Corporation. Companies which enjoy dominant franchises
within their respective industries, such as The Coca Cola Company
and Procter & Gamble Co., continue to be well represented in the
Portfolio.
Merrill Lynch Growth
Opportunity Portfolio
For the quarter ended October 31, 1996, total returns for Merrill
Lynch Growth Opportunity Portfolio's Class A, Class B, Class C and
Class D Shares were +9.91%, +9.65%, +9.55% and 9.80%, respectively.
The Portfolio underperformed the +10.85% total return of the
unmanaged Standard & Poor's 500 average as a result of the
Portfolio's relatively modest exposure to strong sectors such as
technology equipment companies, oil field service and integrated
energy companies. We remain cautious about the earnings outlook as
well as valuations of companies in these sectors, and have
concentrated the Portfolio's primary focus on large-capitalization,
high-quality growth companies. We anticipate these companies will
produce relatively consistent and above-average annual rates of
growth in earnings and returns on investment. The economic
conditions for the third quarter of 1996 and commentaries by the
managements of many retailers appear to reflect a relatively slow
growth period for the US economy. The above-average investment
returns of pharmaceutical companies and financial services companies
during the quarter were consistent with our expectations during a
period of economic slowdown. We have a positive outlook for the US
equity market in the fourth quarter of 1996 and into early 1997.
<PAGE>
The ten largest industry sectors represented in the Portfolio at
October quarter-end were pharmaceuticals, banking and financial,
financial services, energy, household products, insurance, food,
computer software, medical technology and information processing.
These ten industry sectors represented 59.1% of net assets at
October quarter-end. The top ten stock holdings equaled 32.4% of net
assets.
We added seven companies to the Portfolio during the quarter. H.F.
Ahmanson & Company, the leading savings and loan association in
California with a significant out-of-state presence, was added
because of an attractive valuation and the potential for above-
average earnings growth over the next five years. Boston Scientific
Corp. has an attractive valuation given our assumption of a
relatively high rate of earnings growth from its leading position in
devices for minimally-invasive surgical procedures. Bristol-Myers
Squibb Co. was added in response to its attractive valuation, and
because a new senior management team has increased the focus on new
drugs and corporate restructuring, with excess cash flow going into
the repurchase of its common stock. El Paso Natural Gas Co. is
becoming one of the most efficient nationwide distributors and
marketers of natural gas; we expect earnings to grow at an above-
average rate as the company takes advantage of deregulation of
electric utility markets. Fred Meyer, Inc. is one of the leading
regional food retailers in the western part of the United States. We
anticipate above-average earnings growth as management restructures
its retail format and grows through acquisitions. Nabisco Holdings
Corporation is one of the leading food companies with a potential
for above-average earnings growth, and its shares are attractively
valued. Rite-Aid Corporation is an attractively valued retail
pharmacy chain. We anticipate above-average earnings growth from
acquisitions as independent pharmacists and smaller retail pharmacy
chains are acquired or go out of business in this rapidly
consolidating industry.
We eliminated four holdings from the Portfolio during the October
quarter. Capital losses were realized on three of the eliminations
and a capital gain on the fourth. A significant percentage loss was
realized on a relatively modest investment position in CompuServe
Corporation. The Internet market served by CompuServe continues to
become more competitive, and the company's competitive position is
not as strong as we believed when we originally made the investment.
Our investment in PepsiCo, Inc. was sold at a modest capital loss in
response to our concerns about a major adverse strategic change in
the global competitive position of the company relative to The Coca-
Cola Company. A modest investment position in Rubbermaid, Inc. was
sold at a significant percentage loss in response to our concerns
about a failure of the restructuring process taking place to produce
a return to above-average earnings growth. A significant capital
gain was realized on the elimination of the Portfolio's modest
investment position in Schering-Plough Corporation as a result of
its expensive valuation. As planned, during the October quarter we
significantly reduced cash reserves from 15.4% of net assets on July
31, 1996 to 8.2% on October 31, 1996.
<PAGE>
Quality Bond Portfolio
The acceleration of job creation, which became evident in February,
adversely impacted interest rates through the first half of the
year. Job growth averaged 233,000 jobs per month in the first six
months of 1996, compared with an average monthly gain of only
144,000 in the same period in 1995. Combined with surprising
strength in the wage and salary index, these data caused concern
that the period of favorable inflationary developments may be
drawing to a close. Economic activity heated up in the summer, and
there was speculation that the Federal Reserve Board might reverse
course and tighten interest rates.
During the October quarter, prices fluctuated widely in the swirl of
speculation about the course of inflation. Looking for direction,
investors focused attention on the Federal Reserve Board's meeting
of September 24 and a possible change in monetary policy. The
decision not to raise short-term interest rates was interpreted by
investors as a sign that the economy was slowing enough on its own
in the third quarter so that inflation would not be a problem. The
reaction has been a sense of relief that the Federal Reserve Board
has not changed policy. As a result, bond yields moved lower. The
prevailing attitude is that investors expect a continued benign
interest rate environment and are seizing on any data that can be
interpreted in a bullish light. In addition, a stronger dollar is
again attracting foreign buyers into the US bond market. While this
optimism may not be fully justified by the data, there is an
improved tone to investor psychology in contrast to the summer
months.
However, we believe that current bond prices anticipate slower
economic growth in the fourth quarter and that our best investment
course is to remain cautious through the next few months. We
invested incoming cash in a diversified portfolio, with emphasis on
financial companies and basic industrials. Average duration was
extended from 4.3 years to 4.6 years during the October quarter.
Merrill Lynch US Government
Securities Portfolio
The October quarter was a strong period for US government fixed-
income investors as interest rates declined sharply, resulting in
handsome returns for investors. Intermediate-term Treasury
securities with maturities of three years--ten years experienced
yield declines of 60 basis points--66 basis points (0.60%--0.66%),
and the 30-year Treasury bond yield fell 47 basis points. As a
result, the three-year, ten-year and 30-year on-the-run Treasury
securities (newly issued Government securities) returned +2.95%,
+4.76% and +5.58%, respectively, for the October quarter.
<PAGE>
There are two factors which contributed to the bond market's recent
performance. First, inflation--which erodes real rates of return of
high-quality, fixed-income instruments--has remained remarkably tame
and under control. Over the past 12 months, inflation--as measured
by the change in the producer price index--increased 3%. Prices at
the consumer level also increased 3%. Accordingly, this allowed
investors to capture real rates of return at historically attractive
levels at the beginning of the October quarter. Furthermore, it
should be noted that Government representatives have stated that
both the consumer price index and producer price index overstate the
actual inflation rate.
The other factor influencing the movement of interest rates this
quarter was the level of economic activity in the United States.
Interest rates were higher in the July quarter because at that time
many investors expected the 4.7% growth of second quarter gross
domestic product (GDP) to result in higher inflation. Not only did
inflation remain well under control, but also economic growth has
started to slow. The preliminary report for third quarter GDP
indicated the economy had expanded at an annual rate of 2.2%. This
rate is below the pace of 2.5% regarded by many as inflationary, and
should allow investors to increase their comfort level with the US
fixed-income markets.
GDP is a composite which measures the output of many sectors within
the US economy. These sectors primarily fall into the areas of
consumer and business activities. Most of these sectors reveal
activity expanding at a modest pace without indications of an
overheating (and therefore inflationary) economy. This is true of
sectors measuring industrial production, capacity, manufacturing,
retail sales, housing and payrolls.
However, there are some indicators which give rise to minor
concerns. For example, the unemployment rate of 5.2% is near full
employment and could force wage pressures in the future. The Index
of Leading Economic Indicators has been positive for eight
consecutive months, but is not rising at a pace which is
inflationary. Also, although consumer confidence remains very high
historically, consumers are not spending at robust levels, and the
increases in consumer credit have slowed dramatically since the
beginning of the year.
The slower pace of economic expansion, combined with muted
inflationary statistics, created an environment in which investors
took advantage of real rates of return of approximately 4%. Although
the bond market rally of the recent quarter lowered this spread by
50 basis points--60 basis points, it is very unlikely the market
will experience a reversal of fortunes from an overheating economy
or rising inflationary pressures. In fact, it is more likely that
slower growth in the economy will increase the comfort level of
investors and permit interest rates to decline further over the next
six months.
<PAGE>
The recent fiscal quarter was also rewarding for mortgage-backed
security (MBS) investors. Current coupons (7.00%--7.50%)
outperformed the five-year Treasury notes handily. Government
National Mortgage Association 7.00% and 7.50% issues returned +4.46%
and +4.08%, respectively, and their Gold participation certificates
counterparts returned +4.27% and +3.87%, respectively, for the
period. This compares very favorably to the five-year Treasury bond
which returned +3.66% for the period. The Portfolio retains a high
exposure to the MBS market with an 84% allocation to this sector,
down slightly from the previous quarter. We increased the Treasury
bond allocation to 15% of net assets to assist in tracking market
returns in the event interest rates continue on their downward
trend. MBS would lose their ability to appreciate in a lock-step
fashion in the event interest rates decline significantly. The cash
portion of the Portfolio remains unchanged at 3% of net assets.
In Conclusion
We appreciate your ongoing interest in Merrill Lynch Asset Builder
Program, Inc., and we look forward to assisting you with your
investment needs in the months and years to come.
Sincerely,
(Arthur Zeikel)
Arthur Zeikel
President
(Kevin M. Rendino)
Kevin M. Rendino
Vice President and Portfolio Manager
Merrill Lynch Fundamental
Value Portfolio
(Thomas R. Robinson)
Thomas R. Robinson
Vice President and Portfolio Manager
Merrill Lynch Global Opportunity
Portfolio
<PAGE>
(Lawrence R. Fuller)
Lawrence R. Fuller
Vice President and Portfolio Manager
Merrill Lynch Growth
Opportunity Portfolio
(Jay C. Harbeck)
Jay C. Harbeck
Vice President and Portfolio Manager
Merrill Lynch Quality Bond Portfolio
(Gregory Mark Maunz)
Gregory Mark Maunz
Vice President and Portfolio Manager
Merrill Lynch US Government
Securities Portfolio
December 2, 1996
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:
<PAGE>
* 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, Global Opportunity and
Growth 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, Growth 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,
Global Opportunity and Growth Opportunity Portfolios are subject to
a 0.75% distribution fee and a 0.25% account maintenance fee.
Fundamental Value, Global Opportunity and Growth 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. (There is no initial sales charge for
automatic share conversions.)
* 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, Global Opportunity and
Growth 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.
* 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, Global Opportunity and Growth 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).
None of the past results shown should be considered a represen-
tation 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.
<PAGE>
PERFORMANCE DATA (continued)
Aggregate
Total Returns--
Growth
Opportunity
Portfolio
% Return Without % Return With
Sales Charge Sales Charge**
Class A Shares*
Inception (2/02/96) to 9/30/96 +7.80% +2.14%
[FN]
*Maximum sales charge is 5.25%.
**Assuming maximum sales charge.
% Return % Return
Without CDSC With CDSC**
Class B Shares*
Inception (2/02/96) to 9/30/96 +7.20% +3.20%
[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 (2/02/96) to 9/30/96 +7.20% +6.20%
[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 (2/02/96) to 9/30/96 +7.80% +2.14%
[FN]
*Maximum sales charge is 5.25%.
**Assuming maximum sales charge.
Average Annual
Total Returns--
Fundamental
Value Portfolio
% Return Without % Return With
Sales Charge Sales Charge**
Class A Shares*
Year Ended 9/30/96 +13.17% + 7.23%
Inception (2/01/95) to 9/30/96 +19.27 +15.46
[FN]
*Maximum sales charge is 5.25%.
**Assuming maximum sales charge.
% Return % Return
Without CDSC With CDSC**
Class B Shares*
Year Ended 9/30/96 +11.96% + 7.96%
Inception (2/01/95) to 9/30/96 +18.02 +16.39
[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*
Year Ended 9/30/96 +11.96% +10.96%
Inception (2/01/95) to 9/30/96 +18.02 +18.02
[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*
Year Ended 9/30/96 +12.83% + 6.91%
Inception (2/01/95) to 9/30/96 +19.00 +15.20
[FN]
*Maximum sales charge is 5.25%.
**Assuming maximum sales charge.
Average Annual
Total Returns--
Global
Opportunity
Portfolio
% Return Without % Return With
Sales Charge Sales Charge**
Class A Shares*
Year Ended 9/30/96 +6.79% +1.19%
Inception (2/01/95) to 9/30/96 +9.28 +5.79
[FN]
*Maximum sales charge is 5.25%.
**Assuming maximum sales charge.
% Return % Return
Without CDSC With CDSC**
Class B Shares*
Year Ended 9/30/96 +5.73% +1.73%
Inception (2/01/95) to 9/30/96 +8.14 +6.41
[FN]
*Maximum contingent deferred sales charge is 4% and is reduced to
0% after 4 years.
**Assuming payment of applicable contingent deferred sales charge.
<PAGE>
% Return % Return
Without CDSC With CDSC**
Class C Shares*
Year Ended 9/30/96 +5.66% +4.66%
Inception (2/01/95) to 9/30/96 +8.09 +8.09
[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*
Year Ended 9/30/96 +6.67% +1.07%
Inception (2/01/95) to 9/30/96 +9.08 +5.59
[FN]
*Maximum sales charge is 5.25%.
**Assuming maximum sales charge.
Average Annual
Total Returns--
Quality Bond
Portfolio
% Return Without % Return With
Sales Charge Sales Charge**
Class A Shares*
Year Ended 9/30/96 +4.31% +0.14%
Inception (2/01/95) to 9/30/96 +4.98 +2.43
[FN]
*Maximum sales charge is 4%.
**Assuming maximum sales charge.
% Return % Return
Without CDSC With CDSC**
Class B Shares*
<PAGE>
Year Ended 9/30/96 +3.53% -0.38%
Inception (2/01/95) to 9/30/96 +4.10 +2.37
[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*
Year Ended 9/30/96 +3.45% +2.48%
Inception (2/01/95) to 9/30/96 +4.02 +4.02
[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*
Year Ended 9/30/96 +4.16% -0.01%
Inception (2/01/95) to 9/30/96 +4.72 +2.18
[FN]
*Maximum sales charge is 4%.
**Assuming maximum sales charge.
Average Annual
Total Returns--
US Government
Securities
Portfolio
% Return Without % Return With
Sales Charge Sales Charge**
Class A Shares*
<PAGE>
Year Ended 9/30/96 +5.67% +1.45%
Inception (2/01/95) to 9/30/96 +9.81 +7.14
[FN]
*Maximum sales charge is 4%.
**Assuming maximum sales charge.
% Return % Return
Without CDSC With CDSC**
Class B Shares*
Year Ended 9/30/96 +4.81% +0.96%
Inception (2/01/95) to 9/30/96 +8.91 +7.19
[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*
Year Ended 9/30/96 +4.75% +3.78%
Inception (2/01/95) to 9/30/96 +8.84 +8.84
[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*
Year Ended 9/30/96 +5.51% +1.29%
Inception (2/01/95) to 9/30/96 +9.57 +6.91
[FN]
*Maximum sales charge is 4%.
**Assuming maximum sales charge.
PERFORMANCE DATA (concluded)
<PAGE>
<TABLE>
Recent
Performance
Results*
<CAPTION>
Standardized
12 Month 3 Month 30-day Yield
10/31/96 7/31/96 10/31/95 % Change % Change As of 10/31/96
<S> <C> <C> <C> <C> <C> <C>
Fundamental Value Portfolio Class A Shares $12.93 $12.17 $11.30 +14.42% +6.24% --
Fundamental Value Portfolio Class B Shares 12.70 11.98 11.22 +13.19 +6.01 --
Fundamental Value Portfolio Class C Shares 12.70 11.98 11.22 +13.19 +6.01 --
Fundamental Value Portfolio Class D Shares 12.89 12.14 11.29 +14.17 +6.18 --
Global Opportunity Portfolio Class A Shares 11.42 10.66 10.71 + 6.63 +7.13 --
Global Opportunity Portfolio Class B Shares 11.27 10.55 10.62 + 6.12 +6.82 --
Global Opportunity Portfolio Class C Shares 11.27 10.55 10.62 + 6.12 +6.82 --
Global Opportunity Portfolio Class D Shares 11.39 10.64 10.69 + 6.55 +7.05 --
Growth Opportunity Portfolio Class A Shares 10.98 9.99 10.00++ + 9.80++ +9.91 --
Growth Opportunity Portfolio Class B Shares 10.91 9.95 10.00++ + 9.10++ +9.65 --
Growth Opportunity Portfolio Class C Shares 10.90 9.95 10.00++ + 9.00++ +9.55 --
Growth Opportunity Portfolio Class D Shares 10.98 10.00 10.00++ + 9.80++ +9.80 --
Quality Bond Portfolio Class A Shares 9.91 9.71 10.06 - 1.49 +2.06 6.50%
Quality Bond Portfolio Class B Shares 9.90 9.71 10.05 - 1.49 +1.96 6.04
Quality Bond Portfolio Class C Shares 9.90 9.71 10.05 - 1.49 +1.96 5.92
Quality Bond Portfolio Class D Shares 9.90 9.71 10.05 - 1.49 +1.96 6.35
US Government Securities Portfolio Class A Shares 10.29 10.11 10.58 - 2.74 +1.78 6.58
US Government Securities Portfolio Class B Shares 10.29 10.11 10.58 - 2.74 +1.78 6.10
US Government Securities Portfolio Class C Shares 10.29 10.11 10.57 - 2.65 +1.78 6.05
US Government Securities Portfolio Class D Shares 10.29 10.12 10.58 - 2.74 +1.68 6.34
Fundamental Value Portfolio Class A Shares--Total Return +17.76(1) +6.24
Fundamental Value Portfolio Class B Shares--Total Return +16.52(1) +6.01
Fundamental Value Portfolio Class C Shares--Total Return +16.52(1) +6.01
Fundamental Value Portfolio Class D Shares--Total Return +17.50(1) +6.18
Global Opportunity Portfolio Class A Shares--Total Return + 9.53(2) +7.13
Global Opportunity Portfolio Class B Shares--Total Return + 8.37(3) +6.82
Global Opportunity Portfolio Class C Shares--Total Return + 8.40(4) +6.82
Global Opportunity Portfolio Class D Shares--Total Return + 9.31(5) +7.05
Growth Opportunity Portfolio Class A Shares--Total Return + 9.80++ +9.91
Growth Opportunity Portfolio Class B Shares--Total Return + 9.10++ +9.65
Growth Opportunity Portfolio Class C Shares--Total Return + 9.00++ +9.55
Growth Opportunity Portfolio Class D Shares--Total Return + 9.80++ +9.80
Quality Bond Portfolio Class A Shares--Total Return + 5.34(6) +3.85(7)
Quality Bond Portfolio Class B Shares--Total Return + 4.44(8) +3.52(9)
Quality Bond Portfolio Class C Shares--Total Return + 4.37(10) +3.51(11)
Quality Bond Portfolio Class D Shares--Total Return + 5.08(12) +3.68(13)
US Government Securities Portfolio Class A Shares--Total Return + 6.59(14) +3.47(15)
US Government Securities Portfolio Class B Shares--Total Return + 5.71(16) +3.26(17)
US Government Securities Portfolio Class C Shares--Total Return + 5.75(18) +3.24(19)
US Government Securities Portfolio Class D Shares--Total Return + 6.32(20) +3.31(21)
<PAGE>
<FN>
++Growth Opportunity Portfolio commenced operations on 2/02/96.
Investment results andnet asset values are from 2/02/96.
*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 $0.337 per share
ordinary income dividends.
(2)Percent change includes reinvestment of $0.288 per share
ordinary income dividends.
(3)Percent change includes reinvestment of $0.224 per share
ordinary income dividends.
(4)Percent change includes reinvestment of $0.226 per share
ordinary income dividends.
(5)Percent change includes reinvestment of $0.274 per share
ordinary income dividends.
(6)Percent change includes reinvestment of $0.662 per share
ordinary income dividends.
(7)Percent change includes reinvestment of $0.169 per share
ordinary income dividends.
(8)Percent change includes reinvestment of $0.576 per share
ordinary income dividends.
(9)Percent change includes reinvestment of $0.148 per share
ordinary income dividends.
(10)Percent change includes reinvestment of $0.569 per share
ordinary income dividends.
(11)Percent change includes reinvestment of $0.146 per share
ordinary income dividends.
(12)Percent change includes reinvestment of $0.637 per share
ordinary income dividends.
(13)Percent change includes reinvestment of $0.163 per share
ordinary income dividends.
(14)Percent change includes reinvestment of $0.948 per share
ordinary income dividends.
(15)Percent change includes reinvestment of $0.167 per share
ordinary income dividends.
(16)Percent change includes reinvestment of $0.863 per share
ordinary income dividends.
(17)Percent change includes reinvestment of $0.146 per share
ordinary income dividends.
(18)Percent change includes reinvestment of $0.857 per share
ordinary income dividends.
(19)Percent change includes reinvestment of $0.144 per share
ordinary income dividends.
(20)Percent change includes reinvestment of $0.923 per share
ordinary income dividends.
(21)Percent change includes reinvestment of $0.161 per share
ordinary income dividends.
<PAGE>
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (in US dollars)
<CAPTION>
Fundamental Value Portfolio
LATIN Percent of
AMERICA Industries Shares Held Investments Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
Argentina Oil--International 45,000 Yacimientos Petroliferos Fiscales
S.A. (ADR)* $ 862,750 $ 1,023,750 2.2%
Total Investments in Latin America 862,750 1,023,750 2.2
MIDDLE
EAST
Israel Computer Services 100,000 Scitex Corp. Ltd. 1,331,420 987,500 2.1
Total Investments in the
Middle East 1,331,420 987,500 2.1
NORTH
AMERICA
United Airlines 50,000 Mesa Air Group, Inc. 443,750 462,500 1.0
States
Athletic Footwear 22,500 Reebok International Ltd. 640,048 804,375 1.7
Auto--Related 59,000 National Auto Credit, Inc. 602,314 634,250 1.4
Automotive 27,500 Ford Motor Co. 825,556 859,375 1.8
20,000 General Motors Corp. 939,670 1,077,500 2.3
----------- ----------- ------
1,765,226 1,936,875 4.1
Banking 15,000 Bankers Trust New York Corp. 955,408 1,267,500 2.7
60,000 Hibernia Corp. (Class A) 683,458 667,500 1.4
----------- ----------- ------
1,638,866 1,935,000 4.1
Beverage & 20,000 Seagram Company Ltd. (The) 679,112 757,500 1.6
Entertainment
Chemicals 4,285 Millennium Chemicals Inc. 120,214 86,771 0.2
Conglomerates 40,000 ADT Ltd. 477,625 790,000 1.7
Environmental Services 100,000 Allwaste Inc. 550,879 462,500 1.0
Financial Services 10,000 Student Loan Marketing Association 561,725 827,500 1.8
<PAGE>
Health Care 90,000 Community Psychiatric Centers 792,131 798,750 1.7
30,000 Humana, Inc. 569,835 547,500 1.2
----------- ----------- ------
1,361,966 1,346,250 2.9
Home Builders 45,000 Beazer Homes USA, Inc. 737,055 618,750 1.3
Information Processing 40,000 Apple Computer, Inc. 917,275 920,000 2.0
9,000 International Business
Machines Corp. 844,460 1,161,000 2.5
98,200 Tandem Computers, Inc. 1,072,294 1,239,775 2.6
----------- ----------- ------
2,834,029 3,320,775 7.1
Machinery 30,000 ITT Industries Inc. 689,936 697,500 1.5
Medical Services 40,000 Pharmaceutical Product
Development, Inc. (a) 579,616 765,000 1.6
Metals--Non-Ferrous 37,500 ASARCO Inc. 1,018,794 984,375 2.1
13,500 Phelps Dodge Corp. 802,607 848,813 1.8
----------- ----------- ------
1,821,401 1,833,188 3.9
Oil--Domestic 55,000 American Exploration Co. 611,250 715,000 1.5
45,000 Occidental Petroleum Corp. 1,006,450 1,102,500 2.4
----------- ----------- ------
1,617,700 1,817,500 3.9
Oil--Related 35,000 TETRA Technologies, Inc. 451,387 730,625 1.6
Oil Refiners 67,900 Total Petroleum (North America) Ltd. 764,206 653,538 1.4
Paper & Forest 22,000 International Paper Co. 840,728 940,500 2.0
Products 25,000 Louisiana-Pacific Corp. 655,257 521,875 1.1
----------- ----------- ------
1,495,985 1,462,375 3.1
Pharmaceuticals 8,000 Bristol-Myers Squibb Co. 575,570 846,000 1.8
Photography 10,000 Eastman Kodak Co. 698,950 797,500 1.7
Real Estate Investment 20,000 Camden Property Trust 450,613 545,000 1.2
Trusts 30,000 Evans Withycombe Residential, Inc. 609,085 633,750 1.4
----------- ----------- ------
1,059,698 1,178,750 2.6
<PAGE>
Retail 160,000 Charming Shoppes, Inc. 672,371 730,000 1.6
30,000 Dillard Department Stores Inc. 893,797 952,500 2.0
125,000 Hechinger Co. (Class A) 514,730 398,437 0.9
60,000 Kmart Corporation 629,749 585,000 1.2
55,000 Woolworth Corp. 703,986 1,155,000 2.5
----------- ----------- ------
3,414,633 3,820,937 8.2
Retail/Catalog 35,000 Fingerhut Companies, Inc. 461,991 520,625 1.1
Savings & Loans 40,000 Downey Financial Corporation 992,400 1,040,000 2.2
80,000 Greater New York Savings Bank 794,627 970,000 2.1
50,000 PFF Bancorp Inc. 568,750 625,000 1.3
----------- ----------- ------
2,355,777 2,635,000 5.6
Semiconductors 55,000 Advanced Micro Devices Inc. 834,926 976,250 2.1
15,000 Micron Technology, Inc. 360,323 380,625 0.8
40,000 National Semiconductor Corp. 748,917 770,000 1.6
19,000 Texas Instruments, Inc. 929,976 914,375 2.0
----------- ----------- ------
2,874,142 3,041,250 6.5
Steel 35,000 USX-US Steel Group, Inc. 1,031,507 953,750 2.0
85,000 WHX Corp. 877,229 711,875 1.5
----------- ----------- ------
1,908,736 1,665,625 3.5
Technology 88,600 Computervision Corp. 863,409 797,400 1.7
52,700 Exabyte Corp. 717,781 685,100 1.5
110,000 Micronics Computers, Inc. 416,635 199,375 0.4
40,000 Storage Technology Corp. 1,158,750 1,705,000 3.6
----------- ----------- ------
3,156,575 3,386,875 7.2
Telecommunications 50,000 U S West Media Group 869,720 781,250 1.7
Total Investments in North America 37,208,832 40,616,584 86.8
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (concluded) (in US dollars)
<CAPTION>
Fundamental Value Portfolio (concluded)
WESTERN Percent of
EUROPE Industries Shares Held Investments Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
United Conglomerates 60,000 Hanson PLC (ADR)* $ 539,654 $ 382,500 0.8%
Kingdom
Total Investments in Western Europe 539,654 382,500 0.8
<PAGE>
<CAPTION>
SHORT-TERM Face
SECURITIES Amount Issue
Commercial US$ 500,000 Ameritech Credit Corp., 5.22% due
Paper** 11/13/1996 499,130 499,130 1.1
1,000,000 CSW Credit, Inc., 5.33% due
11/12/1996 998,371 998,371 2.1
857,000 General Electric Capital Corp.,
5.56% due 11/01/1996 857,000 857,000 1.8
700,000 US Borax & Chemical Corp., 5.25%
due 11/13/1996 698,775 698,775 1.5
----------- ----------- ------
3,053,276 3,053,276 6.5
US Government 1,200,000 Federal Home Loan Bank, 5.33% due
& Agency 11/14/1996 1,197,690 1,197,690 2.6
Obligations**
Total Investments in Short-Term
Securities 4,250,966 4,250,966 9.1
Total Investments $44,193,622 47,261,300 101.0
===========
Liabilities in Excess of Other Assets (467,535) (1.0)
----------- ------
Net Assets $46,793,765 100.0%
=========== ======
Net Asset Class A--Based on net assets of $176,507 and
Value: 13,647 shares outstanding $ 12.93
===========
Class B--Based on net assets of $30,178,824 and
2,377,148 shares outstanding $ 12.70
===========
Class C--Based on net assets of $12,804,297 and
1,008,111 shares outstanding $ 12.70
===========
Class D--Based on net assets of $3,634,137 and
281,959 shares outstanding $ 12.89
===========
<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
rates paid at the time of purchase by the Portfolio.
(a)Applied Bioscience International Inc. was acquired by
Pharmaceutical Product Development, Inc.
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (in US dollars)
<CAPTION>
Global Opportunity Portfolio
Face Percent of
COUNTRY Amount Foreign Government Obligations Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
Canada C$ 1,500,000 Canadian Government Bonds, 8% due
6/01/2027 $ 1,225,421 $ 1,242,263 3.3%
Denmark Denmark Government Bonds:
Dkr 4,000,000 8% due 5/15/2003 745,864 751,893 2.0
4,000,000 8% due 3/15/2006 732,574 740,124 1.9
----------- ----------- ------
1,478,438 1,492,017 3.9
Germany DM 800,000 Bundesrepublik Deutschland, 7.125%
due 12/20/2002 555,585 573,868 1.5
Sweden Skr 2,900,000 Government of Sweden, 10.25% due
5/05/2000 484,028 498,721 1.3
United Kingdom Pound 625,000 UK Treasury Gilt, 7.50% due
Sterling 12/07/2006 977,290 1,008,047 2.6
Total Investments in Foreign
Government Obligations 4,720,762 4,814,916 12.6
US Government Obligations
United States US Treasury Notes:
US$ 1,450,000 5% due 1/31/1998 1,437,199 1,438,893 3.7
250,000 7% due 7/15/2006 254,980 261,015 0.7
Total Investments in US Government
Obligations 1,692,179 1,699,908 4.4
Total Investments in Foreign & US
Government Obligations 6,412,941 6,514,824 17.0
Shares
Industries Held US Stocks
United Aerospace & Defense 2,300 The Boeing Co. 187,469 219,363 0.6
States 3,700 Northrop Grumman Corp. 242,040 298,775 0.8
2,500 United Technologies Corporation 174,847 321,875 0.8
----------- ----------- ------
<PAGE> 604,356 840,013 2.2
Automobile Parts 7,000 Lear Corporation 234,500 259,000 0.7
Automobiles 4,800 General Motors Corp. 264,304 258,600 0.7
Banking 10,500 The Bank of New York Company, Inc. 265,213 347,813 0.9
3,500 Citicorp 278,022 346,500 0.9
----------- ----------- ------
543,235 694,313 1.8
Beverages 2,600 The Coca-Cola Co. 121,257 131,300 0.3
Chemicals 2,000 FMC Corporation 140,237 147,250 0.4
4,800 PPG Industries, Inc. 238,285 273,600 0.7
----------- ----------- ------
378,522 420,850 1.1
Computer Sales 1,700 International Business
Machines Corp. 186,823 219,300 0.6
Computer Services 3,800 cisco Systems, Inc. 169,246 234,650 0.6
3,950 Electronic Data Systems Corp. 215,034 177,750 0.5
----------- ----------- ------
384,280 412,400 1.1
Computer Software 3,700 BMC Software, Inc. 274,512 306,175 0.8
900 Microsoft Corp. 100,855 123,525 0.3
5,775 Oracle Corp. (a) 187,683 243,994 0.6
----------- ----------- ------
563,050 673,694 1.7
Computer Technology 5,200 Gulfstream Aerospace Corporation 128,409 122,850 0.3
Diversified 7,500 Corning, Inc. 228,519 290,625 0.7
Electrical Equipment 3,500 General Electric Company PLC 275,501 338,625 0.9
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Global Opportunity Portfolio (continued)
Shares Percent of
COUNTRY Industries Held US Stocks Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
United Energy 10,000 Edison International $ 186,340 $ 197,500 0.5%
States
(concluded) Engineering & 7,000 Foster Wheeler Corporation 305,063 287,000 0.7
Construction
<PAGE>
Farm Equipment 7,100 Deere & Company 298,184 296,425 0.8
Financial Services 6,550 American Express Company 304,845 307,850 0.8
3,300 First Data Corp. 234,476 263,175 0.7
----------- ----------- ------
539,321 571,025 1.5
Foods 7,600 H.J. Heinz Company 249,963 269,800 0.7
Hospital Management 6,600 Health Management Associates,
Inc. (Class A) 149,341 145,200 0.4
Hospital Supplies 5,700 Abbott Laboratories 228,688 288,563 0.8
5,300 Baxter International, Inc. 229,362 220,613 0.6
----------- ----------- ------
458,050 509,176 1.4
Household Products 2,000 The Procter & Gamble Company 168,471 198,000 0.5
Insurance 2,050 Aetna Inc. (c) 156,273 137,094 0.4
5,600 Allstate Corp. 238,553 314,300 0.8
4,000 UNUM Corporation 255,320 251,500 0.7
----------- ----------- ------
650,146 702,894 1.9
Leisure & Tourism 6,000 Carnival Corporation (Class A) 169,534 180,750 0.5
5,221 Viacom, Inc. (Class B) 191,700 170,335 0.4
----------- ----------- ------
361,234 351,085 0.9
Machinery 4,000 American Standard Companies, Inc. 130,473 150,500 0.4
Manufacturing 6,000 Fisher Scientific International
Inc. 188,659 269,250 0.7
Natural Gas 7,300 Enron Corp. 278,011 339,450 0.9
Oil Service 8,500 Dresser Industries, Inc. 178,222 279,438 0.7
2,100 Schlumberger Ltd. 132,364 208,163 0.5
----------- ----------- ------
310,586 487,601 1.2
Paper 3,200 Kimberly-Clark Corp. 246,051 298,400 0.8
Petroleum 5,600 Pennzoil Company 224,031 285,600 0.7
7,100 Unocal Corp. 238,728 260,038 0.7
----------- ----------- ------
462,759 545,638 1.4
<PAGE>
Pharmaceuticals 4,500 Merck & Co., Inc. 257,848 333,562 0.9
Railroads 2,500 Burlington Northern Santa Fe 202,835 205,937 0.5
Real Estate 10,000 Spieker Properties, Inc. 263,505 307,500 0.8
Real Estate 5,300 Prentiss Properties Trust 108,303 109,312 0.3
Investment Trust
Retail--Apparel 8,200 The Limited, Inc. 182,835 150,675 0.4
Retail--Drug Stores 6,700 Thrifty Payless Holdings, Inc.
(Class B) 129,575 143,212 0.4
Retail--Specialty 9,000 Toys 'R' Us, Inc. 279,724 304,875 0.8
Retail Trade 4,400 Sears, Roebuck & Co. 191,869 212,850 0.6
Steel 5,600 AK Steel Holding Corp. 230,865 198,800 0.5
Telecommunications 9,200 AirTouch Communications, Inc. 263,399 240,350 0.6
3,600 Bell Atlantic Corporation 205,486 216,900 0.6
2,053 TCI Pacific Communications
(Convertible Preferred) 192,635 169,373 0.4
----------- ----------- ------
661,520 626,623 1.6
Tobacco 1,700 Philip Morris Companies, Inc. 163,704 157,462 0.4
Total Investments in US Stocks 11,567,991 13,031,322 34.0
Foreign Stocks
Argentina Banking 17,707 Banco de Galicia y Buenos Aires
S.A. (ADR)* 298,216 320,943 0.8
2,423 Banco de Galicia y Buenos Aires
S.A. (Rights)(d) 0 0 0.0
13,250 Banco Frances del Rio de la Plata
S.A. (ADR)* 294,143 347,812 0.9
----------- ----------- ------
592,359 668,755 1.7
Petroleum 15,200 Yacimientos Petroliferos Fiscales
S.A. (ADR)* 315,268 345,800 0.9
Total Stocks in Argentina 907,627 1,014,555 2.6
Brazil Beverages 500,000 Companhia Cervejaria Brahma S.A.
PN (Preferred) 273,436 309,063 0.8
<PAGE>
Oil--Related 2,500,000 Petroleo Brasileiro S.A. (Petrobras)
(Preferred) 296,363 323,664 0.8
Telecommunications 4,600 Telecomunicacoes Brasileiras S.A.
--Telebras PN (ADR)* 243,225 342,700 0.9
Total Stocks in Brazil 813,024 975,427 2.5
Canada Automotive Parts 7,300 Magna International, Inc. (Class A) 335,467 365,912 1.0
Conglomerates 15,800 Canadian Pacific, Ltd. 267,558 398,950 1.0
Fertilizers 5,300 Potash Corp. of Saskatchewan, Inc. 358,645 375,637 1.0
Telecommunications 5,000 Northern Telecom Ltd. 273,625 325,625 0.8
Equipment
Total Stocks in Canada 1,235,295 1,466,124 3.8
Finland Paper & Forest Products 13,000 UPM-Kymmene Corp. (b) 268,348 264,053 0.7
Telecommunications & 8,300 Nokia Corp. AB (ADR)* 304,351 384,912 1.0
Equipment
Transportation 9,000 Finnlines OY 167,834 211,021 0.6
Total Stocks in Finland 740,533 859,986 2.3
France Insurance 8,600 Scor S.A. 337,120 330,847 0.9
Semi-Conductor 7,500 SGS-Thompson Microelectronics N.V. 274,852 392,812 1.0
Capital Equipment (NY Registered) (ADR)*
Steel 18,600 Usinor-Sacilor S.A. 298,997 276,207 0.7
Tires 7,200 Compagnie Generale des Establissement
Michelin S.A. (Class B) 328,953 347,469 0.9
Total Stocks in France 1,239,922 1,347,335 3.5
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
<PAGE>
Global Opportunity Portfolio (continued)
Shares Percent of
COUNTRY Industries Held Foreign Stocks Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
Germany Chemicals 600 Henkel KGaA $ 26,670 $ 26,687 0.1%
5,400 Henkel KGaA (Preferred) 229,478 242,502 0.6
----------- ----------- ------
256,148 269,189 0.7
Electronics 6,750 Siemens AG 344,919 349,076 0.9
Machinery & Equipment 950 Mannesmann AG 312,291 369,176 1.0
Total Stocks in Germany 913,358 987,441 2.6
Hong Kong Banking 20,000 HSBC Holdings PLC 312,430 407,424 1.1
Telecommunications 19,000 Hong Kong Telecommunications
Ltd. (ADR)* 352,215 334,875 0.9
Total Stocks in Hong Kong 664,645 742,299 2.0
Indonesia Telecommunications 11,000 P.T. Indonesian Satellite Corp.
(ADR)* 367,699 331,375 0.9
Total Stocks in Indonesia 367,699 331,375 0.9
Italy Machinery 71,000 Danieli & Co. 266,366 225,754 0.6
Telecommunications 88,600 Societa Finanziara Telefonica
S.p.A. (STET) 253,451 306,263 0.8
Total Stocks in Italy 519,817 532,017 1.4
Japan Building & Construction 34,000 Maeda Corp. 357,334 276,484 0.7
40,000 Okumura Corp. 367,731 281,319 0.7
----------- ----------- ------
725,065 557,803 1.4
Capital Goods 44,000 Mitsubishi Heavy Industries, Ltd. 337,710 338,462 0.9
Consumer--Electronics 5,000 Rohm Company Ltd. 270,107 296,703 0.8
Electrical Equipment 53,000 Mitsubishi Electric Corp. 382,171 307,051 0.8
Electronics 17,000 Canon Inc. 306,699 325,802 0.8
20,000 Matsushita Electric Industrial
Co., Ltd. 319,779 320,000 0.8
----------- ----------- ------
626,478 645,802 1.6
<PAGE>
Financial Services 16,000 Nomura Securities Co., Ltd. 322,526 264,440 0.7
Insurance 31,000 Tokio Marine & Fire Insurance
Co., Ltd. 359,496 340,659 0.9
Pharmaceuticals 19,000 Eisai Co., Ltd. 353,439 340,747 0.9
Textiles 37,000 Toray Industries Inc. 242,411 223,464 0.6
Tires & Rubber 21,000 Bridgestone Corp. 364,639 354,462 0.9
Warehouse & Storage 36,000 Mitsui-Soko Co., Ltd. 307,384 278,822 0.7
Total Stocks in Japan 4,291,426 3,948,415 10.2
Mexico Beverages 8,000 Panamerican Beverages, Inc.
(Class A) 327,109 349,000 0.9
Conglomerates 12,800 Grupo Carso, S.A. de C.V. (ADR)* 203,727 115,200 0.3
Multi-Industry 179 Grupo Financiero Inbursa, S.A. de
C.V. (ADR)* 3,584 2,858 0.0
Paper & Forest 15,300 Kimberly-Clark de Mexico, S.A.
de C.V. 272,751 295,146 0.8
Producers
Telecommunications 12,800 Global Telecommunications Solutions,
Inc. (ADR)* 60,800 57,600 0.2
Total Stocks in Mexico 867,971 819,804 2.2
Netherlands Banking 5,400 ABN AMRO Holding N.V. 302,413 305,288 0.8
Total Stocks in the Netherlands 302,413 305,288 0.8
Norway Transportation 42,089 Color Line ASA 164,462 181,515 0.5
Services
Total Stocks in Norway 164,462 181,515 0.5
Philippines Beverages 82,000 San Miguel Corp. (Class B) 272,811 296,875 0.8
Total Stocks in the Philippines 272,811 296,875 0.8
South Korea Engineering & 4,900 Hyundai Engineering & Construction
Construction Co., Ltd.(GDR)** 63,847 35,525 0.1
Total Stocks in South Korea 63,847 35,525 0.1
Spain Petroleum 9,400 Repsol S.A. (ADR)* 308,300 306,675 0.8
Total Stocks in Spain 308,300 306,675 0.8
<PAGE>
Sweden Banking 22,500 Sparbanken Sverige AB (Class A) 286,305 356,354 0.9
Investment Management 26,300 Bure Investment AB 243,251 282,365 0.7
Total Stocks in Sweden 529,556 638,719 1.6
Switzerland Electrical Equipment 285 BBC Brown Boveri & Cie (Bearer) 304,247 353,478 0.9
Pharmaceuticals 6,000 Sandoz AG (ADR)* 285,354 348,000 0.9
Total Stocks in Switzerland 589,601 701,478 1.8
United Banking 29,000 National Westminster Bank PLC 309,851 330,907 0.9
Kingdom
Beverages 46,300 Grand Metropolitan PLC 324,693 349,069 0.9
Chemicals 7,500 Imperial Chemical Industries
PLC (ADR)* 389,042 380,625 1.0
Electrical Equipment 58,800 General Electric Co. PLC (Ordinary) 316,394 362,969 0.9
Pharmaceuticals 21,000 Glaxo Wellcome PLC 285,670 328,606 0.9
Retail 31,000 Boots Company PLC 293,404 316,162 0.8
Steel 109,000 British Steel PLC 289,013 302,739 0.8
Telecommunications 94,000 Vodafone Group PLC 329,936 363,138 0.9
Total Stocks in the United Kingdom 2,538,003 2,734,215 7.1
Total Investments in Foreign Stocks 17,330,310 18,225,068 47.5
Total Investments in US & Foreign
Stocks 28,898,301 31,256,390 81.5
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (concluded)
<CAPTION>
Global Opportunity Portfolio (concluded)
<PAGE>
SHORT-TERM Face Percent of
SECURITIES Amount Short-Term Securities Cost Value Net Assets
<S> <C> <S> <C> <C> <C>
Commercial US$ 164,000 General Electric Capital Corp.,
Paper*** 5.56% due 11/01/1996 $ 164,000 $ 164,000 0.4%
Total Investments in Short-Term
Securities 164,000 164,000 0.4
Total Investments $35,475,242 37,935,214 98.9
===========
Unrealized Appreciation on Forward Foreign Exchange Contracts++ 66,003 0.2
Other Assets Less Liabilities 371,788 0.9
----------- ------
Net Assets $38,373,005 100.0%
=========== ======
Net Asset Value: Class A--Based on net assets of $113,206 and
9,916 shares outstanding $ 11.42
===========
Class B--Based on net assets of $26,763,117 and
2,373,724 shares outstanding $ 11.27
===========
Class C--Based on net assets of $9,195,525 and
816,280 shares outstanding $ 11.27
===========
Class D--Based on net assets of $2,301,157 and
202,023 shares outstanding $ 11.39
===========
<FN>
*American Depositary Receipts (ADR).
**Global Depositary Receipts (GDR).
***Commercial Paper is traded on a discount basis; the interest rate
shown is the discount rate paid at the time of purchase by the
Portfolio.
(a)Name changed from Oracle Systems Corp.
(b)Name changed as a result of the merger of Kymmene Corporation and
Repola Ltd.
(c)Name changed from Aetna Life & Casualty Co.
(d)The rights may be exercised until 11/06/96.
++Forward Foreign Exchange Contracts as of October 31, 1996 were as
follows:
Foreign Expiration Unrealized
Currency Sold Date Appreciation (Depreciation)
C$ 400,000 December 1996 $ (110)
DM 2,114,530 November 1996 (14,234)
DM 2,308,469 December 1996 (6,041)
Frf 4,400,000 December 1996 (4,591)
YEN 443,107,000 January 1997 90,979
<PAGE>
Total Unrealized Appreciation on Forward
Foreign Exchange Contracts--Net
(US$ Commitment--$8,107,055) $ 66,003
=========
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (in US dollars)
<CAPTION>
Growth Opportunity Portfolio
Shares Percent of
Industries Held Common Stocks Cost Value Net Assets
<S> <C> <S> <C> <C> <C>
Advertising 3,400 Interpublic Group of $ 153,631 $ 164,900 1.5%
Companies, Inc.
Banking & Financial 8,000 H.F. Ahmanson & Company 242,446 251,000 2.2
5,000 State Street Boston Corp. 263,834 316,875 2.8
800 Wells Fargo & Co. 197,899 213,700 1.9
----------- ----------- ------
704,179 781,575 6.9
Beverages 5,000 The Coca-Cola Company 206,258 252,500 2.2
Chemical Producers 300 Duracell International, Inc. 14,983 20,025 0.2
Computers 1,575 COMPAQ Computer Corp. 80,783 109,659 1.0
Cosmetics 3,800 Gillette Company (The) 204,903 284,050 2.5
100 International Flavors &
Fragrances Inc. 4,969 4,138 0.0
----------- ----------- ------
209,872 288,188 2.5
Electrical Equipment 100 Emerson Electric Company 8,482 8,900 0.1
3,000 General Electric Co. 236,522 290,250 2.5
----------- ----------- ------
245,004 299,150 2.6
Electronics 500 Intel Corp. 30,227 54,875 0.5
Energy 6,000 El Paso Natural Gas Co. 276,945 291,000 2.6
8,000 Enron Corp. 344,341 372,000 3.3
----------- ----------- ------
621,286 663,000 5.9
Entertainment 3,400 Viacom, Inc. (Class A) 136,388 110,925 1.0
4,500 Walt Disney Co. 278,082 296,438 2.6
----------- ----------- ------
414,470 407,363 3.6
<PAGE>
Financial Services 10,000 Federal National Mortgage
Association 319,959 391,250 3.4
6,000 The Travelers Group, Inc. 257,873 325,500 2.9
----------- ----------- ------
577,832 716,750 6.3
Food 3,500 ConAgra, Inc. 153,460 174,563 1.5
5,000 Nabisco Holdings Corporation
(Class A) 184,143 186,250 1.7
6,500 Sara Lee Corp. 212,915 230,750 2.0
100 Wrigley (Wm.) Jr. Co. 5,919 6,025 0.1
----------- ----------- ------
556,437 597,588 5.3
Food Merchandising 4,000 Albertson's, Inc. 159,212 137,500 1.2
2,000 Meyer (Fred), Inc. 66,250 70,250 0.6
----------- ----------- ------
225,462 207,750 1.8
Hotels 1,000 Marriott International, Inc. 46,921 56,875 0.5
Household Products 500 Colgate-Palmolive Co. 37,260 46,000 0.4
2,500 Kimberly-Clark Corp. 191,350 233,125 2.1
3,600 The Procter & Gamble Company 306,868 356,400 3.1
----------- ----------- ------
535,478 635,525 5.6
Information Processing 2,200 Electronic Data Systems
Corp. (b) 120,013 99,000 0.9
4,000 First Data Corp. 293,966 319,000 2.8
----------- ----------- ------
413,979 418,000 3.7
Insurance 1,500 Aetna Inc. (c) 106,677 100,313 0.9
3,000 American International
Group, Inc. 296,541 325,875 2.9
6,500 Travelers/Aetna Property
Casualty Corp. 172,383 195,000 1.7
----------- ----------- ------
575,601 621,188 5.5
Leisure 3,500 Polygram N.V. (NY
Registered Shares) 205,850 163,188 1.4
Medical Technology 1,000 Boston Scientific Corp. 55,685 54,375 0.5
8,000 Johnson & Johnson 382,805 394,000 3.4
----------- ----------- ------
438,490 448,375 3.9
Oil & Services 1,000 Schlumberger, Ltd. 83,041 99,125 0.9
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (concluded) (in US dollars)
<CAPTION>
Growth Opportunity Portfolio (concluded)
Shares Percent of
Industries Held Common Stocks Cost Value Net Assets
<S> <C> <S> <C> <C> <C>
Pharmaceuticals 4,000 Amgen, Inc. $ 238,125 $ 245,000 2.2%
3,000 Bristol-Myers Squibb Co. 285,414 317,250 2.8
5,500 Merck & Co., Inc. 363,473 407,687 3.6
5,000 Pfizer, Inc. 357,375 413,750 3.6
1,000 Pharmacia & Upjohn, Inc. 39,060 36,000 0.3
6,500 SmithKline Beecham Corp.
PLC (ADR)* 359,861 407,062 3.6
----------- ----------- ------
1,643,308 1,826,749 16.1
Photography 1,200 Eastman Kodak Co. 89,634 95,700 0.8
Pollution Control 500 WMX Technologies, Inc. 14,160 17,187 0.1
Restaurants 3,000 McDonald's Corp. 142,703 133,125 1.2
Retail--Specialty 5,000 Rite Aid Corp. 167,800 170,000 1.5
750 Staples, Inc. 13,000 13,969 0.1
----------- ----------- ------
180,800 183,969 1.6
Retail Stores 1,450 Wal-Mart Stores, Inc. 32,286 38,606 0.3
Software--Computer 5,875 Computer Associates
International, Inc. 292,636 347,359 3.1
1,000 Microsoft Corp. 96,625 137,250 1.2
2,500 Oracle Corp. (a) 89,931 105,625 0.9
----------- ----------- ------
479,192 590,234 5.2
Telecommunications 10,000 MCI Communications Corp. 257,445 250,000 2.2
Toys 6,350 Hasbro, Inc. 239,167 246,856 2.2
Travel & Lodging 1,000 Carnival Corporation
(Class A) 26,786 30,125 0.3
Total Investments in
Common Stocks 9,445,265 10,418,150 91.8
<PAGE>
<CAPTION>
Face
Amount Short-Term Securities
US Government $1,202,000 Federal Home Loan Mortgage
& Agency Corp., 5.53% due 11/01/1996 1,202,000 1,202,000 10.6
Obligations**
Total Investments in Short-
Term Securities 1,202,000 1,202,000 10.6
Total Investments $10,647,265 11,620,150 102.4
===========
Liabilities in Excess of Other Assets (269,433) (2.4)
----------- ------
Net Assets $11,350,717 100.0%
=========== ======
Net Asset Value: Class A--Based on net assets of $45,358
and 4,131 shares outstanding $ 10.98
===========
Class B--Based on net assets of $7,116,628
and 652,528 shares outstanding $ 10.91
===========
Class C--Based on net assets of $3,537,116
and 324,405 shares outstanding $ 10.90
===========
Class D--Based on net assets of $651,615
and 59,350 shares outstanding $ 10.98
===========
<FN>
*American Depositary Receipts (ADR).
**Certain US Government & Agency Obligations are traded on a
discount basis; the interest rate shown is the discount rate paid at
the time of purchase by the Portfolio.
(a)Name changed from Oracle Systems Corp.
(b)Name changed from General Motors Corp. (Class E).
(c)Name changed from Aetna Life & Casualty Co.
</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>
Asset-Backed AAA Aaa $150,000 Banc One Credit Card Master Trust, Series B,
Securities--1.7% 7.55% due 12/15/1999 $ 152,748 $ 152,484
Banking--20.1% AA- Aa3 150,000 Banc One Milwaukee, 6.625% due 4/15/2003 156,155 148,634
BBB+ A3 115,000 Bangkok Metropolitan Bank Public Co. Ltd., 7.25%
due 9/15/2005 113,956 113,553
A- A2 250,000 Bank of New York Company Inc. (The), 7.875% due
11/15/2002 276,675 264,558
A+ A1 250,000 BankAmerica Corp., 6.65% due 5/01/2001 249,862 251,824
A- A3 150,000 First Bank System, Inc., 6.875% due 9/15/2007 148,611 147,297
A A2 253,000 First Chicago Corp., 9% due 6/15/1999 268,428 267,889
A- A2 150,000 First Union Corp., 7.50% due 7/15/2006 150,069 154,826
A- A3 200,000 NationsBank Corp., 6.50% due 8/15/2003 190,206 196,248
AA- Aa3 250,000 Norwest Corporation, 6.75% due 5/12/2000 249,628 253,163
---------- ----------
1,803,590 1,797,992
Financial Services-- A A2 200,000 Bear Stearns Co., 6.75% due 8/15/2000 198,730 201,882
11.9% A A2 200,000 Beneficial Corporation, 7.75% due 11/08/2002 209,676 210,742
A A2 150,000 Dean Witter, Discover & Co., 6.30% due 1/15/2006 149,340 142,403
AA- A2 150,000 Pacific Mutual Life Insurance, Inc., 7.90% due
12/30/2023 147,533 154,959
A- A2 150,000 Smith Barney Holdings, Inc. 6.875% due 6/15/2005 148,485 148,235
A+ A1 200,000 The Travelers Group, Inc., 7.875% due 5/15/2025 205,616 209,620
---------- ----------
1,059,380 1,067,841
Financial Services-- A+ A1 200,000 Ford Motor Credit Co., 7% due 9/25/2001 199,204 203,814
Captive--4.5% A- A3 200,000 General Motors Acceptance Corp., 6.70% due
4/18/1997 203,006 200,910
---------- ----------
402,210 404,724
Financial Services-- A+ A1 200,000 American General Finance Corp., 7.70% due
Consumer--5.3% 11/15/1997 203,396 203,372
AA- Aa3 200,000 Associates Corp. of North America, 5.25% due
9/01/1998 193,918 197,126
A+ Aa3 75,000 CIT Group Holdings, Inc., 7% due 9/30/1997 75,607 75,782
---------- ----------
472,921 476,280
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (concluded) (in US dollars)
<CAPTION>
Quality Bond Portfolio (concluded)
S&P Moody's Face
INDUSTRIES Ratings Ratings Amount Bonds & Notes Cost Value
<S> <S> <S> <C> <S> <C> <C>
Industrial-- AA- A1 $100,000 Anheuser-Busch Co., Inc., 8.75% due 12/01/1999 $ 107,905 $ 106,851
Consumer Goods-- A+ A1 100,000 Bass America, Inc., 8.125% due 3/31/2002 105,928 106,899
8.7% A A2 250,000 May Department Stores Co. (The), 6.875% due
11/01/2005 249,235 249,235
A- A2 100,000 Sears, Roebuck & Co., 9.25% due 4/15/1998 106,444 104,485
AA A2 200,000 Wal-Mart Stores, Inc., 8.50% due 9/15/2024 207,350 217,328
---------- ----------
776,862 784,798
Industrial-- AA Aa3 175,000 BP America Inc., 9.375% due 11/01/2000 200,263 193,529
Energy--5.6% A- A1 100,000 Dresser Industries, Inc., 7.60% due 8/15/2096 99,709 102,007
A+ A1 175,000 Texaco Capital Inc., 8.625% due 11/15/2031 205,665 203,703
---------- ----------
505,637 499,239
Industrial-- AA- Aa2 100,000 Archer-Daniels-Midland Co., 8.125% due 6/01/2012 111,874 109,024
Other--6.7% A A2 150,000 Carnival Cruise Lines, Inc., 7.70% due 7/15/2004 156,745 156,664
A- A3 90,000 IBP, Inc., 6.125% due 2/01/2006 82,690 85,117
BBB+ A3 250,000 Lockheed Martin Corp., 6.55% due 5/15/1999 249,880 251,877
---------- ----------
601,189 602,682
Supranational--2.2% AAA Aaa 200,000 Asian Development Bank, 6.125% due 3/09/2004 198,300 197,176
US Government US Treasury Notes:
Obligations--11.4% AAA Aaa 150,000 7.125% due 10/15/1998 158,086 153,796
AAA Aaa 200,000 6.375% due 5/15/1999 199,781 202,406
AAA Aaa 250,000 6.25% due 10/31/2001 249,895 251,640
AAA Aaa 200,000 7.50% due 11/15/2001 210,406 211,812
AAA Aaa 200,000 6.25% due 2/15/2003 198,625 200,718
---------- ----------
1,016,793 1,020,372
Utilities-- A A2 200,000 Central Power & Light Co., 6% due 10/01/1997 200,622 200,270
Electric--8.8% AA- A1 250,000 Northern States Power Company, 7.125% due
7/01/2025 254,800 243,726
A- A3 180,000 Public Service Electric & Gas Co., 7.125% due
11/01/1997 181,514 181,741
A A2 150,000 Virginia Electric & Power Co., 8.625% due
10/01/2024 166,200 164,212
---------- ----------
803,136 789,949
<PAGE>
Yankees-- A A3 250,000 Mass Transit Railway Corp., 7.25% due 10/01/2005 260,325 248,935
Corporate--3.9% A+ A2 100,000 Pohang Iron & Steel Company, Ltd., 7.375% due
5/15/2005 101,816 102,025
---------- ----------
362,141 350,960
Yankees-- A+ A2 150,000 Province of Quebec, 7.125% due 2/09/2024 150,195 143,167
Sovereign--1.6%
Total Investments in Bonds & Notes--92.4% 8,305,102 8,287,664
SHORT-TERM
SECURITIES Issue
US Government & 662,000 Federal Home Loan Mortgage Corp., 5.53% due
Agency 11/01/1996 662,000 662,000
Obligations*--7.4%
Total Investments in Short-Term Securities--7.4% 662,000 662,000
Total Investments--99.8% $8,967,102 8,949,664
==========
Other Assets Less Liabilities--0.2% 15,445
----------
Net Assets--100.0% $8,965,109
==========
Net Asset Value: Class A--Based on net assets of $2,226,831 and
224,779 shares outstanding $ 9.91
==========
Class B--Based on net assets of $4,496,405 and
454,101 shares outstanding $ 9.90
==========
Class C--Based on net assets of $1,865,954 and
188,461 shares outstanding $ 9.90
==========
Class D--Based on net assets of $375,919 and
37,966 shares outstanding $ 9.90
==========
<FN>
*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>
US Government Securities Portfolio
Face Interest Maturity
Issue Amount Rate Date(s) Value
<S> <S> <C> <C> <C> <C>
US Government & Federal Home Loan Mortgage $1,405,164 11.50 % 6/01/2019 $ 1,590,322
Agency Corporation
Mortgage-Backed Federal Home Loan Mortgage 1,882,696 7.50 8/01/2025-10/01/2025 1,892,994
Obligations*--83.5% Corporation
Federal Home Loan Mortgage 992,818 7.00 9/01/2025-5/21/2026 976,570
Corporation
Federal Home Loan Mortgage 2,849,448 6.50 2/01/2011-5/01/2011 2,812,222
Corporation
Government National Mortgage 1,811,055 7.50 12/15/2202-10/01/2025 1,821,632
Association
Total US Government & Agency Mortgage-Backed Obligations (Cost--$9,043,275) 9,093,740
US Government & US Treasury Notes 700,000 6.00 8/15/1999 701,862
Agency US Treasury STRIPS*** 1,000,000 5.476++ 8/15/2000 798,190
Obligations--13.8%
Total US Government & Agency Obligations (Cost--$1,503,818) 1,500,052
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (concluded) (in US dollars)
<CAPTION>
US Government Securities Portfolio (concluded)
Face Amount Issue Value
<S> <C> <S> <C>
Repurchase $200,000 Nikko Securities Company, purchased on 10/31/1996 to
Agreements**-- yield 5.55% to 11/01/1996 $ 200,000
1.8%
Total Repurchase Agreements (Cost--$200,000) 200,000
<PAGE>
Total Investments (Cost--$10,747,093)--99.1% 10,793,792
Other Assets Less Liabilities--0.9% 98,479
-----------
Net Assets--100.0% $10,892,271
===========
Net Asset Value: Class A--Based on net assets of $4,713,236 and
457,992 shares outstanding $ 10.29
===========
Class B--Based on net assets of $4,085,962 and
397,066 shares outstanding $ 10.29
===========
Class C--Based on net assets of $1,778,604 and
172,880 shares outstanding $ 10.29
===========
Class D--Based on net assets of $314,469 and
30,546 shares outstanding $ 10.29
===========
<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 Agreements are fully collateralized by US Government &
Agency Obligations.
***STRIPS--Separate Trading of Registered Interest and Principal of
Securities.
++Represents the yield-to-maturity on this zero coupon issue.
</TABLE>
EQUITY PORTFOLIO CHANGES
For the Quarter Ended October 31, 1996
FUNDAMENTAL
VALUE PORTFOLIO
Additions
Community Psychiatric Centers
Downey Financial Corporation
Humana, Inc.
ITT Industries Inc.
*Imperial Tobacco PLC
Kmart Corporation
*Masco Corp.
Mesa Air Group, Inc.
*Metris Companies Inc.
Millennium Chemicals Inc.
*Philips Electronics N.V.
*Quantum Corp.
<PAGE>
Deletions
Burlington Industries, Inc.
Century Communications Corp.
Deere & Co.
Giddings & Lewis, Inc.
*Imperial Tobacco PLC
John Q. Hammons Hotels, Inc.
Klamath First Bancorp, Inc.
*Masco Corp.
*Metris Companies Inc.
*Philips Electronics N.V.
*Quantum Corp.
Washington Mutual Savings Bank
GLOBAL
OPPORTUNITY
PORTFOLIO
Additions
ABN AMRO Holding N.V.
AirTouch Communications, Inc.
BMC Software, Inc.
Banco de Galicia y Buenos Aires S.A.
(Rights)
Boots Company PLC
Bridgestone Corp.
Burlington Northern Santa Fe
Color Line ASA
Edison International
FMC Corporation
Grupo Financiero Inbursa, S.A. de C.V.
(ADR)
Gulfstream Aerospace Corporation
Health Management Associates, Inc.
(Class A)
*Hyundai Engineering & Construction Co.,
Ltd. (Rights)
*National Processing Inc.
National Westminster Bank PLC
Petroleo Brasileiro S.A.
(Petrobras)(Preferred)
Prentiss Properties Trust
*Sabre Group, Inc.
Scor S.A.
Thrifty Payless Holdings, Inc.
(Class B)
Toys 'R' Us, Inc.
UNUM Corporation
Vodafone Group PLC
<PAGE>
Deletions
AT&T Corp.
Associates First Capital Corp.
AutoZone, Inc
COMPAQ Computer Corp.
Cincinnati Milacron, Inc.
Conrail, Inc.
Delta Air Lines, Inc.
Eastman Kodak Company
Humana Inc.
*Hyundai Engineering & Construction Co.,
Ltd. (Rights)
*National Processing Inc.
INTEL Corporation
Invercorporacion S.A. (ADR)
Lexmark International Group, Inc.
(Class A)
Lucent Technologies, Inc.
Royal Dutch Petroleum N.V. (ADR)
*Sabre Group, Inc.
The Stanley Works
Sun Microsystems, Inc.
Wheelabrator Technologies Inc.
GROWTH
OPPORTUNITY
PORTFOLIO
Additions
Boston Scientific Corp.
Bristol-Myers Squibb Co.
El Paso Natural Gas Co. H.F. Ahmanson & Company
Meyer (Fred), Inc.
Nabisco Holdings Corporation (Class A)
Rite Aid Corp.
<PAGE>
Deletions
CompuServe Corporation
PepsiCo, Inc.
Rubbermaid, Inc.
Schering-Plough Corp.
[FN]
*Added and deleted in the same quarter.
