MERRILL LYNCH
ASSET BUILDER
PROGRAM, INC.
FUND LOGO
Quarterly Report
April 30, 1997
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
Joseph T. Monagle Jr., Senior Vice President
Donald C. Burke, Vice President
Lawrence R. Fuller, Vice President
Jay C. Harbeck, Vice President
Gregory Mark Maunz, Vice President
Kevin M. Rendino, Vice President
Thomas R. Robinson, Vice President
Gerald M. Richard, Treasurer
<PAGE>
Custodian
The Bank of New York
90 Washington Street, 12th Floor
New York, NY 10286
Transfer Agent
Merrill Lynch Financial Data Services, Inc.
4800 Deer Lake Drive East
Jacksonville, FL 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 average annual total
returns, for all five portfolios can be found on pages 7--11 of this
report to shareholders.
Fundamental Value Portfolio
Following the first 10% market correction in seven years, the US
stock market staged a recovery in April fueled by several factors.
First, there were expectations that a Federal budget agreement in
Washington would eventually lead to lower interest rates. In
addition, strong first-quarter corporate earnings reports, and some
economic statistics which showed a slowing economy with no signs of
inflation, bolstered share prices.
However, the economic environment and interest rate outlook continue
to be cloudy, and as a result, we expect continued stock price
volatility. Although the Portfolio underperformed the Standard &
Poor's 500 Index (S&P 500) during the quarter ended April 30, 1997,
it had little to do with the earnings performance of the companies
in the Portfolio, but rather investor preference for large-
capitalization equities. In the April quarter, only six of our
holdings reported lower-than-expected earnings. In some cases,
despite better-than-expected earnings for companies like
Pharmaceutical Product Development, Inc. and Tandem Computers, Inc.,
the stocks declined. The disparity in performance has more to do
with the "indexing" phenomenon, in which the best-performing stocks
continue to be the biggest companies in the S&P 500. Although this
was a difficult quarter, we remain committed to finding securities
which meet our strict valuation parameters.
<PAGE>
We were extremely active in the quarter ended April 30, 1997 in
response to the increased market volatility and purchased $15.8
million in stocks while selling $10.3 million. On the buy side, we
added to 30 of our existing positions and invested in eight new
companies. These new investments were 3Com Corp., AT&T Corp.,
CompuServe Corporation, Dresser Industries, Inc., Eastman Chemical
Co., Pharmacia & Upjohn, Inc., Toys 'R' Us, Inc. and Wells Fargo &
Co.
3Com Corp., a leading global data networking company that provides a
range of networking solutions including adapters, hubs, routers and
switches, declined in price because of pricing pressures throughout
the networking industry and its controversial announced merger with
U.S. Robotics Corp. With the stock down from $80 to $30 per share,
and with 3Com trading at 12 times 1998 estimated per share earnings,
we believe the risk/reward ratio is quite compelling given a
projected annual earnings growth rate of 25% for the company. We
invested in AT&T Corp. after the company announced that 1997 results
would be far lower than analysts' expectations because of higher
capital spending amidst increased competition. With the stock
trading at a 4% yield and 12.7 times estimated 1997 earnings, we
believe this stock discounts much of the bad news.
CompuServe Corporation, a leading on-line provider of on-line/
internet, business network, and intranet access services, faced
a difficult year as its main competitor, America On Line, launched a
fixed monthly price for its members. We expect several announcements
from CompuServe over the next several months, including a new chief
executive officer and a possible sale of the company or spinout of
the company from its parent, H&R Block. CompuServe is currently
trading at 1.4 times book value per share and 1.0 times sales per
share; valuation parameters we view as quite attractive.
Dresser Industries, Inc. stock corrected nearly 15% since the
beginning of the year along with many other oil service companies.
Dresser makes highly engineered products for the energy and natural
resource industries, and despite the recent decline in the share
price, earnings estimates continue to increase.
We invested in Eastman Chemical Co., the largest producer of
polyester resins for beverages and food containers, following the
company's stock price decline which was caused by oversupply
concerns and pricing pressures throughout Eastman's highly
profitable PET operations. With the stock trading at 13.8 times
trough earnings per share estimated for 1997 and a 3.3% yield, we
believe the shares offer outstanding appreciation potential over the
next several years.
Pharmacia & Upjohn, Inc. was formed in November 1995 through the
merger of The Upjohn Company and the Swedish drug company, Pharmacia
AB. The stock came under pressure because of negative currency
trends and slow sales because of the company's relatively old
product portfolio. Looking forward, a new chief executive should be
hired, a cost containment program should take effect, and new
products such as Detrustiol, a urinary incontinence medicine, should
help fuel a recovery for the stock.
<PAGE>
Toys 'R' Us, Inc. was purchased following a disappointing Christmas
season, but 1997 should be a better year for the company as a new
video game product cycle should aid the company's profitability.
Finally, Wells Fargo & Co. was purchased following a first quarter
earnings report which highlighted disappointing loan growth. We
expect revenue growth to accelerate throughout the remainder of the
year.
We completed sales in 15 companies during the April quarter, with
major gains recorded in Advanced Micro Devices Inc., Allwaste Inc.,
ITT Corp., PFF Bancorp Inc., Student Loan Marketing Association and
Texas Instruments, Inc. Marine Drilling Co., Inc. was bought and
sold at a modest profit, while Beazer Homes USA, Inc. and Micronics
Computers, Inc. were sold at modest losses. We sold our investments
in Hanson PLC and The Energy Group PLC as it became apparent that
the demerger plan which Hanson announced a year ago did not create
shareholder value. Finally, Hechinger Co. proved to be one of our
biggest disappointments as the company continued to suffer from
competition from The Home Depot, Inc.
Global Opportunity Portfolio
As of April 30, 1997, the asset allocation for Global Opportunity
Portfolio was: foreign stocks, 51% of net assets; US stocks, 23%;
foreign bonds, 15%; US bonds, 3%; and cash reserves, 8%.
We greatly reduced exposure to US interest rate risk just prior to
the March 25, 1997 Federal Open Market Committee (FOMC) meeting.
However,during April, we restored the duration of US bonds and cash
reserves earmarked for US bonds to the five-year maturity level, a
neutral position relative to the unmanaged Salomon World Government
Bond Index. The shift from US bonds to cash reserves in March
reflected our assessment that the probability of a monetary policy
tightening by the Federal Reserve Board (FRB) had materially
increased because of mounting evidence of strength in personal
consumption expenditures. During April, indications of wage
inflation were more subdued than expected, which led us to take a
more positive view toward the US bond market. We believe that the US
economy will slow down gradually in upcoming quarters, resulting in
a favorable reward/risk relationship for US fixed-income securities.
We also maintained indirect exposure to US interest rates through
Canadian bonds and a new position in Australian fixed-income
securities. The trading pattern of Australian bonds should closely
resemble that of US obligations. However, as evidence of benign
inflationary pressure in Australia and modest economic growth become
more apparent, the yield differential between US and Australian
bonds of comparable maturity should narrow. Canadian bonds should
outperform US obligations, given the improving fiscal situation in
Canada and an inflation rate below that in the United States.
<PAGE>
Our remaining foreign bond exposure was concentrated in Europe.
Positions included obligations in the core markets of Germany and
France and the peripheral markets of Italy, Sweden, Spain and
Finland. European bond markets remain attractive, given the less-
than-robust economic recoveries of the core countries caused by a
combination of high unemployment and ongoing fiscal and structural
reform. We maintain currency forward contracts against our European
bond positions as well as the equity positions, with the exception
of the United Kingdom. We continue to hedge the Japanese equity
positions back to the US dollar, given expectations that monetary
policy by the Bank of Japan will remain accommodative. This policy
will result in continuing large interest rate differentials between
the United States and Japan, supporting further dollar strength
against the yen. Expectations of renewed weakness in the Australian
and Canadian dollars led us to continue to hedge our holdings in
these currencies back to the US dollar.
The US monetary policy tightening combined with our belief that a
slower US economy could lead to earning disappointments, led us to
reduce our US equity exposure. The largest overweighted sectors,
relative to the unmanaged S&P 500, are maintained in the financial
services and healthcare areas. Earnings of companies in these
sectors are expected to hold up well even if the US economy slows
down in upcoming quarters. We also maintained a meaningful position
in the technology group. New positions were concentrated in these
areas and included The Chase Manhattan Corporation, MGIC Investment
Corporation, and Nationwide Financial Services, Inc. in the
financial services industry; Oxford Health Plans, Inc. in
healthcare; and Computer Associates International, Inc., Intel
Corporation, and Microsoft Corporation in technology.
In the foreign equity sector, we liquidated a number of positions
which performed well and where the reward/risk relationship no
longer appeared attractive. Commitments sold on this basis included
Kimberly-Clark de Mexico, S.A. de C.V., Nokia Corp. AB, Petroleo
Brasileiro S.A. (Petrobras), Societa Finanziara Telefonica S.p.A.
(STET), and Compagnie Generale des Establissment Michelin S.A. We
also eliminated positions in National Westminster Bank PLC and
Nomura Securities Co., Ltd. in the wake of unfavorable developments
at each company. Expectations of disappointing earnings led us to
sell Puma AG.
We established new positions in the shares of companies which were
laggard performers and where upside potentials appeared to be
significant. These commitments included RTZ Corporation PLC, Broken
Hill Proprietary Co., Ltd. and Telefonos de Mexico, S.A. de C.V.
(Telmex). We also initiated representation in South Africa through
shares of De Beers Consolidated Mines Ltd. and Sasol Limited. Other
new positions included Sony Corporation, Autobacs Seven Co., Ltd.,
Mondadori (Arnoldo) Editore S.p.A., and Roche Holding AG. As a
result of these changes, the size of the Japanese equity position
was modestly increased but remained below the unmanaged Morgan
Stanley Europe Australia Far East Index. Significant positions were
maintained in Latin American markets and Canada while Europe
remained well-represented. In addition, we continue to maintain a
limited commitment to the emerging markets of Asia.
<PAGE>
Growth Opportunity Portfolio
During the quarter ended April 30, 1997, the total returns of Growth
Opportunity Portfolio's Class A, Class B, Class C and Class D Shares
were +2.04%, +1.71%, +1.80% and +1.95%, respectively. The Portfolio
outperformed the Lipper Growth Funds Average and slightly
underperformed the unmanaged S&P 500. The most important industry
weightings contributing to the positive returns were software--
computer, household products, banking and financial, financial
services, pharmaceuticals, foods and food merchandising. Individual
companies which contributed significantly to the positive returns
were The Coca-Cola Company, Lucent Technologies, Inc., Microsoft
Corp. and The Gillette Company. Among the top ten equity holdings,
six of the companies provided a return greater than the S&P 500 in
the April quarter.
Investment Activities
Investment activities focused on reducing the equity weightings in
the banking and financial, financial services, food and insurance
sectors. In the meantime, we increased equity exposure to the
software--computer, oil services and communications equipment
industries. Surveys of capital investment intentions, as well as
reports from corporations, reflect the likelihood of an increased
rate of spending during 1997 on networked computer systems, advanced
digital wireless communication infrastructure and energy exploration
activities. Corporate profits for the March quarter continued a very
positive uptrend on a year-to-year comparison, which is a meaningful
positive for capital spending.
The ten largest industry sectors in the Portfolio at the end of the
April quarter were: pharmaceuticals, communications equipment,
software--computers, banking and financial services, oil services,
computers, energy, beverages, financial services and cosmetics.
These industries represented 60.5% of the Portfolio's net assets at
April 30, 1997. The top ten equity holdings were 34.3% of net
assets.
We added seven companies to the Portfolio during the quarter ended
April 30, 1997. They included BAAN Company, NV and SAP AG (Systeme,
Anwendungen, Produkte in der Datenverarbeitung), two of the global
leaders in client-server application software development and
service, because of their attractive valuations relative to high
anticipated growth rates in earnings. In the communications
equipment sector, we added Newbridge Networks Corp. and Northern
Telecom Ltd. These are two of the leading companies in providing the
latest communications switches and related software which can
efficiently carry not only voice and data, but also video
communications. In the oil services sector, Baker Hughes, Inc. was
added to the Portfolio because of the attractive valuation relative
to anticipated rapid growth in earnings and cash flow. We added Banc
One Corp., a leading Midwest bank holding company, because of its
attractive valuation relative to potential benefits from a recently
announced acquisition and the emerging benefits of a major
restructuring over the past two years.
<PAGE>
We eliminated several companies from the Portfolio during the April
quarter. H.F. Ahmanson & Company was sold at a significant capital
gain after management announced an unfriendly takeover bid for Great
Western Financial Corporation. Computer Associates International,
Inc. was sold at a capital loss after management announced an
unanticipated decline in European business. A modest position in
Electronic Data Systems Corp. was sold at a capital loss because of
our concerns about a deteriorating competitive environment for the
organization over the next three years to five years. Nabisco
Holdings Corporation, Rite Aid Corp., Sara Lee Corp., Travelers/
Aetna Property Casualty Corp. and US Bancorp were eliminated for
valuation reasons, with meaningful capital gains realized in each
transaction.
Quality Bond Portfolio
Interest rates rose at the beginning of the quarter ended April 30,
1997 because of concern that increased economic activity would spark
inflation. This was evidenced by a stronger-than-expected initial
estimated real gross domestic product (GDP) increase of 4.7% in the
fourth quarter of 1996. However, the same report also calmed
inflation fears to some extent when it showed that the GDP price
deflator rose only 1.4% for the six months ended April 30, 1997.
The deflator number, released at the end of January 1997, was the
lowest inflation reading in ten years. While this encouraged the
bond market to rally some 30 basis points (0.30%) in early February,
tight labor market conditions kept pressure on bond prices, in spite
of a strong US dollar. By the middle of February, bond prices again
came under pressure as the FRB continued to warn about the
persisting strength in consumer demand. On March 25, 1997, the FRB
tightened short-term interest rates by 25 basis points, and the
yield on the 30-year Treasury note rose decisively over 7% by the
end of the month.
We set more defensive parameters for the duration of the Portfolio
in late January. We built the cash position from 8.3% of net assets
to 10% and shortened the average life of the Portfolio by trading
down the yield curve. In our opinion, the FRB's recent monetary
tightening is unlikely to be the last. The persistence of above-
trend growth, a tightening labor market, rising wages and increased
inflation pressure points to the likelihood of at least one more
increase in the Federal Funds rate. We believe that investors are
already anticipating at least one more tightening according to the
market's current pricing. We also believe that we will continue to
see some price volatility with a bias against any significant price
rally. We should remain within a narrow trading range with modest
upside potential. Our current duration range is consistent with our
outlook of perhaps mildly higher interest rates.
US Government Securities Portfolio
The widely anticipated event of the FRB raising the Federal Funds
rate at its March 25, 1997 FOMC meeting reset the Federal Funds
target rate at 5.50%, a 25 basis point increase. Since then the
financial markets have gyrated as investors price in and price out
the probability of another tightening. Economic reports continue to
show that the economy is growing, unemployment is low, and consumer
confidence is high.
<PAGE>
GDP, the total output of goods and services, was reported to be
growing at a 5.6% annual rate during the first quarter of 1997.
Although a revision downward is expected, this release marks the
largest increase in over a decade and follows a twice revised 3.8%
expansion in fourth quarter 1996. The unemployment rate fell to its
lowest level in almost a quarter of a century during April. The
unemployment rates for February, March and April were reported at
5.3%, 5.2%, and 4.9%, respectively. Low unemployment solidifies the
trust Americans have in the economy as measured by the Consumer
Confidence Index. The Conference Board reported consumer confidence
at 118.4, 118.5 and 116.8, for February, March and April,
respectively. A level above 100 indicates that American confidence
in the economy is favorable.
Although these data strongly suggest that the FRB may again raise
interest rates at its next FOMC meeting, consistently low
inflationary data reduces that probability. Employment costs rose at
a smaller-than-expected pace in the first quarter of 1997. The
Employment Cost Index (ECI) rose 0.6% during the quarter ended April
30, 1997, down from a 0.8% increase in the last quarter of 1996. The
ECI, which came in lower than analysts predicted, accounts for about
two-thirds of consumer prices. Additionally, the Consumer Price
Index showed only modest increases and the Producer Price Index
showed modest decreases during the first quarter of 1997. Although
inflation is low, the economy continued to grow at a rapid pace.
Until there are consistent signs of a slowdown, the FRB may feel the
need for additional increases.
The ten-year Treasury note yield, a benchmark for mortgage-backed
securities (MBS), reached a high of 6.97% and a low of 6.27% during
the quarter ended April 30, 1997. When prices rise dramatically in a
very short period of time, as they did at the end of April, MBS
typically underperform their Treasury counterparts. However, this
was not true for the MBS in the US Government Securities Portfolio.
Over 65% of the Portfolio is discounted MBS, those with prices below
par. The discounted MBS holdings performed almost lockstep with
Treasury securities. Yield spreads widened only slightly. Typically
par and premium-priced MBS underperform their Treasury counterparts
when prices rise quickly because prepayment fears dampen their price
performance. The US Government Securities Portfolio also holds a 13%
position in super premium MBS which are also protected from prepayment
concerns, since the holders of these high-coupon mortgages have
already gone through several refinancing opportunities and still
have not elected to refinance.
Yield spreads of MBS, although historically tight, are still more
attractive than other fixed-income products. The negative forces
that caused MBS to widen in the past are no longer present. In fact,
any widening of spreads is met with demand and seen as a buying
opportunity. MBS have and continue to perform impressively. For
example, during the three months ended April 30, 1997, the total
return for the five-year and ten-year Treasury notes were +0.10% and
- -0.30%, respectively. By comparison, Government National Mortgage
Association 7.5% and 6% issues which have similar average lives,
returned +1% and +0.64%, respectively. We are currently experiencing
a long-term volatility environment that is low. This is beneficial
to MBS and should keep yield spreads range bound extending the
superior performance of the MBS market.
<PAGE>
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 semi-annual report to
shareholders.
Sincerely,
(Arthur Zeikel)
Arthur Zeikel
President
(Kevin M. Rendino)
Kevin M. Rendino
Vice President and Portfolio Manager
Fundamental Value Portfolio
(Thomas R. Robinson)
Thomas R. Robinson
Vice President and Portfolio Manager
Global Opportunity Portfolio
(Lawrence R. Fuller)
Lawrence R. Fuller
Vice President and Portfolio Manager
Growth Opportunity Portfolio
<PAGE>
(Jay C. Harbeck)
Jay C. Harbeck
Vice President and Portfolio Manager
Quality Bond Portfolio
(Gregory Mark Maunz)
Gregory Mark Maunz
Vice President and Portfolio Manager
US Government Securities Portfolio
May 29, 1997
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, 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.
<PAGE>
* 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. Figures shown in the "Average Annual
Total Return" tables assume reinvestment of all dividends and
capital gains distributions at net asset value on the ex-dividend or
payable date. 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.
PERFORMANCE DATA (continued)
Fundamental
Value Portfolio
<PAGE>
Average Annual
Total Returns
% Return Without % Return With
Sales Charge Sales Charge**
Class A Shares*
Year Ended 3/31/97 +13.42% + 7.46%
Inception (2/01/95) to 3/31/97 +18.41 +15.49
[FN]
*Maximum sales charge is 5.25%.
**Assuming maximum sales charge.
% Return % Return
Without CDSC With CDSC**
Class B Shares*
Year Ended 3/31/97 +12.12% + 8.12%
Inception (2/01/95) to 3/31/97 +17.18 +16.40
[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 3/31/97 +12.14% +11.14%
Inception (2/01/95) to 3/31/97 +17.19 +17.19
[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 3/31/97 +13.06% + 7.12%
Inception (2/01/95) to 3/31/97 +18.15 +15.24
[FN]
*Maximum sales charge is 5.25%.
**Assuming maximum sales charge.
<PAGE>
Global
Opportunity
Portfolio
Average Annual
Total Returns
% Return Without % Return With
Sales Charge Sales Charge**
Class A Shares*
Year Ended 3/31/97 +11.16% +5.32%
Inception (2/01/95) to 3/31/97 +10.34 +7.62
[FN]
*Maximum sales charge is 5.25%.
**Assuming maximum sales charge.
% Return % Return
Without CDSC With CDSC**
Class B Shares*
Year Ended 3/31/97 +9.97% +5.97%
Inception (2/01/95) to 3/31/97 +9.17 +8.33
[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 3/31/97 +10.01% +9.01%
Inception (2/01/95) to 3/31/97 + 9.15 +9.15
[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 3/31/97 +11.04% +5.21%
Inception (2/01/95) to 3/31/97 +10.13 +7.41
[FN]
*Maximum sales charge is 5.25%.
**Assuming maximum sales charge.
Growth
Opportunity
Portfolio
Average Annual
Total Returns
% Return Without % Return With
Sales Charge Sales Charge**
Class A Shares*
Year Ended 3/31/97 +13.43% +7.47%
Inception (2/02/96) to 3/31/97 +11.29 +6.23
[FN]
*Maximum sales charge is 5.25%.
**Assuming maximum sales charge.
% Return % Return
Without CDSC With CDSC**
Class B Shares*
Year Ended 3/31/97 +12.45% +8.45%
Inception (2/02/96) to 3/31/97 +10.27 +7.72
[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**
<PAGE>
Class C Shares*
Year Ended 3/31/97 +12.35% +11.35%
Inception (2/02/96) to 3/31/97 +10.19 +10.19
[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 3/31/97 +13.44% + 7.48%
Inception (2/02/96) to 3/31/97 +11.21 + 6.15
[FN]
*Maximum sales charge is 5.25%.
**Assuming maximum sales charge.
Quality Bond
Portfolio
Average Annual
Total Returns
% Return Without % Return With
Sales Charge Sales Charge**
Class A Shares*
Year Ended 3/31/97 +4.73% +0.54%
Inception (2/01/95) to 3/31/97 +5.07 +3.11
[FN]
*Maximum sales charge is 4%.
**Assuming maximum sales charge.
% Return % Return
Without CDSC With CDSC**
Class B Shares*
Year Ended 3/31/97 +3.83% -0.06%
Inception (2/01/95) to 3/31/97 +4.14 +3.28
[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 3/31/97 +3.75% +2.78%
Inception (2/01/95) to 3/31/97 +4.06 +4.06
[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 3/31/97 +4.47% +0.29%
Inception (2/01/95) to 3/31/97 +4.76 +2.80
[FN]
*Maximum sales charge is 4%.
**Assuming maximum sales charge.
US Government
Securities
Portfolio
Average Annual
Total Returns
% Return Without % Return With
Sales Charge Sales Charge**
Class A Shares*
Year Ended 3/31/97 +5.64% +1.41%
Inception (2/01/95) to 3/31/97 +8.93 +6.89
[FN]
*Maximum sales charge is 4%.
**Assuming maximum sales charge.
% Return % Return
Without CDSC With CDSC**
<PAGE>
Class B Shares*
Year Ended 3/31/97 +4.78% +0.85%
Inception (2/01/95) to 3/31/97 +8.04 +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 3/31/97 +4.71% +3.73%
Inception (2/01/95) to 3/31/97 +7.98 +7.98
[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 3/31/97 +5.28% +1.06%
Inception (2/01/95) to 3/31/97 +8.64 +6.60
[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
4/30/97 1/31/97 4/30/96 % Change % Change As of 4/30/97
<S> <C> <C> <C> <C> <C> <C>
Fundamental Value Portfolio Class A Shares $13.19 $13.58 $12.91 + 4.08%(1) -2.87% --
Fundamental Value Portfolio Class B Shares 12.98 13.39 12.75 + 3.73(1) -3.06 --
Fundamental Value Portfolio Class C Shares 12.98 13.39 12.75 + 3.73(1) -3.06 --
Fundamental Value Portfolio Class D Shares 13.15 13.54 12.89 + 3.93(1) -2.88 --
Global Opportunity Portfolio Class A Shares 12.10 11.93 10.97 +11.48(2) +1.42 --
Global Opportunity Portfolio Class B Shares 11.99 11.86 10.90 +11.18(2) +1.10 --
Global Opportunity Portfolio Class C Shares 11.98 11.84 10.89 +11.19(2) +1.18 --
Global Opportunity Portfolio Class D Shares 12.08 11.92 10.96 +11.40(2) +1.34 --
Growth Opportunity Portfolio Class A Shares 12.03 11.79 9.98 +20.54 +2.04 --
Growth Opportunity Portfolio Class B Shares 11.88 11.68 9.96 +19.28 +1.71 --
Growth Opportunity Portfolio Class C Shares 11.88 11.67 9.96 +19.28 +1.80 --
Growth Opportunity Portfolio Class D Shares 12.01 11.78 9.98 +20.34 +1.95 --
Quality Bond Portfolio Class A Shares 9.69 9.79 9.76 - 0.72 -1.02 6.78%
Quality Bond Portfolio Class B Shares 9.69 9.79 9.76 - 0.72 -1.02 6.31
Quality Bond Portfolio Class C Shares 9.68 9.79 9.75 - 0.72 -1.12 6.26
Quality Bond Portfolio Class D Shares 9.69 9.79 9.76 - 0.72 -1.02 6.54
US Government Securities Portfolio Class A Shares 10.12 10.20 10.15 - 0.25(3) -0.78 6.17
US Government Securities Portfolio Class B Shares 10.12 10.20 10.15 - 0.25(3) -0.78 5.68
US Government Securities Portfolio Class C Shares 10.12 10.19 10.15 - 0.25(3) -0.69 5.63
US Government Securities Portfolio Class D Shares 10.12 10.20 10.16 - 0.35(3) -0.78 5.94
Fundamental Value Portfolio Class A Shares--Total Return + 8.16(4) -2.87
Fundamental Value Portfolio Class B Shares--Total Return + 6.95(5) -3.06
Fundamental Value Portfolio Class C Shares--Total Return + 6.98(6) -3.06
Fundamental Value Portfolio Class D Shares--Total Return + 7.81(7) -2.88
Global Opportunity Portfolio Class A Shares--Total Return +12.72(8) +1.42
Global Opportunity Portfolio Class B Shares--Total Return +11.44(9) +1.10
Global Opportunity Portfolio Class C Shares--Total Return +11.48(10) +1.18
Global Opportunity Portfolio Class D Shares--Total Return +12.41(11) +1.34
Growth Opportunity Portfolio Class A Shares--Total Return +20.54 +2.04
Growth Opportunity Portfolio Class B Shares--Total Return +19.28 +1.71
Growth Opportunity Portfolio Class C Shares--Total Return +19.28 +1.80
Growth Opportunity Portfolio Class D Shares--Total Return +20.34 +1.95
Quality Bond Portfolio Class A Shares--Total Return + 6.83(12) +0.67(13)
Quality Bond Portfolio Class B Shares--Total Return + 5.91(14) +0.46(15)
Quality Bond Portfolio Class C Shares--Total Return + 5.83(16) +0.34(17)
Quality Bond Portfolio Class D Shares--Total Return + 6.56(18) +0.61(19)
US Government Securities Portfolio Class A Shares--Total Return + 7.30(20) +0.86(21)
US Government Securities Portfolio Class B Shares--Total Return + 6.42(22) +0.66(23)
US Government Securities Portfolio Class C Shares--Total Return + 6.35(24) +0.75(25)
US Government Securities Portfolio Class D Shares--Total Return + 6.93(26) +0.80(27)
<PAGE>
<FN>
*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 $0.248 per share capital
gains distributions.
(2)Percent change includes reinvestment of $0.122 per share capital
gains distributions.
(3)Percent change includes reinvestment of $0.005 per share ordinary
income dividends.
(4)Percent change includes reinvestment of $0.530 per share ordinary
income dividends and $0.248 per share capital gains distributions.
(5)Percent change includes reinvestment of $0.415 per share ordinary
income dividends and $0.248 per share capital gains distributions.
(6)Percent change includes reinvestment of $0.417 per share ordinary
income dividends and $0.248 per share capital gains distributions.
(7)Percent change includes reinvestment of $0.503 per share ordinary
income dividends and $0.248 per share capital gains distributions.
(8)Percent change includes reinvestment of $0.128 per share ordinary
income dividendsand $0.122 per share capital gains distributions.
(9)Percent change includes reinvestment of $0.027 per share ordinary
income dividends and $0.122 per share capital gains distributions.
(10)Percent change includes reinvestment of $0.030 per share
ordinary income dividends and $0.122 per share capital gains
distributions.
(11)Percent change includes reinvestment of $0.105 per share
ordinary income dividends and $0.122 per share capital gains
distributions.
(12)Percent change includes reinvestment of $0.715 per share
ordinary income dividends.
(13)Percent change includes reinvestment of $0.159 per share
ordinary income dividends.
(14)Percent change includes reinvestment of $0.631 per share
ordinary income dividends.
(15)Percent change includes reinvestment of $0.139 per share
ordinary income dividends.
(16)Percent change includes reinvestment of $0.623 per share
ordinary income dividends.
(17)Percent change includes reinvestment of $0.138 per share
ordinary income dividends.
(18)Percent change includes reinvestment of $0.691 per share
ordinary income dividends.
(19)Percent change includes reinvestment of $0.153 per share
ordinary income dividends.
(20)Percent change includes reinvestment of $0.744 per share
ordinary income dividends and $0.005 per share capital gains
distributions.
(21)Percent change includes reinvestment of $0.164 per share
ordinary income dividends.
(22)Percent change includes reinvestment of $0.660 per share
ordinary income dividends and $0.005 per share capital gains
distributions.
<PAGE>
(23)Percent change includes reinvestment of $0.144 per share
ordinary income dividends.
(24)Percent change includes reinvestment of $0.653 per share
ordinary income dividends and $0.005 per share capital gains
distributions.
(25)Percent change includes reinvestment of $0.143 per share
ordinary income dividends.
(26)Percent change includes reinvestment of $0.719 per share
ordinary income dividends and $0.005 per share capital gains
distributions.
(27)Percent change includes reinvestment of $0.158 per share
ordinary income dividends.
</TABLE>
<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 45,000 Yacimientos Petroliferos Fiscales S.A. (ADR)* $ 862,750 $ 1,243,125 2.2%
Total Investments in Latin America 862,750 1,243,125 2.2
MIDDLE
EAST
Israel Computer Services 115,000 Scitex Corp. Ltd. 1,161,507 790,625 1.4
Total Investments in the Middle East 1,161,507 790,625 1.4
NORTH
AMERICA
United States Airlines 85,000 Mesa Air Group, Inc. 725,668 446,250 0.8
Athletic Footwear 11,500 Reebok International Ltd. 373,123 439,875 0.8
Auto--Related 60,600 National Auto Credit, Inc. 619,886 477,225 0.8
Automotive 40,000 Ford Motor Co. 1,238,476 1,390,000 2.4
20,000 General Motors Corp. 1,001,035 1,157,500 2.0
----------- ----------- ------
2,239,511 2,547,500 4.4
<PAGE>
Banking 10,000 Bankers Trust New York Corp. 637,295 813,750 1.4
75,000 Hibernia Corp. (Class A) 884,333 965,625 1.7
----------- ----------- ------
1,521,628 1,779,375 3.1
Banks/Regional 5,000 Wells Fargo & Co. 1,274,628 1,333,750 2.3
Beverage & 20,000 Seagram Company Ltd. (The) 679,112 765,000 1.3
Entertainment
Chemicals 10,000 Eastman Chemical Co. 556,850 510,000 0.9
30,000 Great Lakes Chemical Corp. 1,289,188 1,271,250 2.2
50,000 Millennium Chemicals Inc. 978,696 887,500 1.6
----------- ----------- ------
2,824,734 2,668,750 4.7
Computer Software 45,000 CompuServe Corporation 475,850 410,625 0.7
Entertainment 40,000 Harrah's Entertainment, Inc. 744,215 640,000 1.1
Hardware Products 20,000 Black & Decker Corp. 628,132 670,000 1.2
Health Care 50,000 Humana, Inc. 941,035 1,087,500 1.9
Hospital Management 80,000 Transitional Hospitals Corp. 706,884 800,000 1.4
Hotels 30,000 3Com Corp. 925,419 870,000 1.5
Information 40,000 Apple Computer, Inc. 909,600 680,000 1.2
Processing 12,000 International Business Machines Corp. 1,398,028 1,929,000 3.4
95,000 Tandem Computers, Inc. 1,039,952 1,223,125 2.1
----------- ----------- ------
3,347,580 3,832,125 6.7
Machinery 42,500 ITT Industries Inc. 978,783 1,073,125 1.9
Medical Services 50,000 Pharmaceutical Product Development, Inc. 858,032 800,000 1.4
Metals--Non-Ferrous 40,000 ASARCO Inc. 1,084,257 1,140,000 2.0
12,500 Phelps Dodge Corp. 741,636 959,375 1.7
----------- ----------- ------
1,825,893 2,099,375 3.7
Oil--Domestic 60,000 American Exploration Co. 678,188 675,000 1.2
45,000 Occidental Petroleum Corp. 1,006,450 995,625 1.7
----------- ----------- ------
1,684,638 1,670,625 2.9
Oil Refiners 54,400 Total Petroleum (North America) Ltd. 595,960 544,000 1.0
<PAGE>
Oil Service 30,000 Dresser Industries, Inc. 927,909 896,250 1.6
Paper & Forest 25,000 International Paper Co. 973,740 1,056,250 1.9
Products 42,500 Louisiana-Pacific Corp. 1,004,699 791,563 1.4
----------- ----------- ------
1,978,439 1,847,813 3.3
Pharmaceuticals 12,000 Bristol-Myers Squibb Co. 451,949 786,000 1.4
40,000 Pharmacia & Upjohn, Inc. 1,326,355 1,185,000 2.1
----------- ----------- ------
1,778,304 1,971,000 3.5
Photography 15,000 Eastman Kodak Co. 1,090,258 1,252,500 2.2
Publishing/ 25,000 Dow Jones & Company, Inc. 921,924 1,012,500 1.8
Newspapers
Real Estate 25,100 Evans Withycombe Residential, Inc. 498,967 495,725 0.9
Investment Trusts
Retail 160,000 Charming Shoppes, Inc. 672,371 945,000 1.7
30,000 Dillard Department Stores Inc. 912,709 926,250 1.6
80,000 Kmart Corporation 846,317 1,090,000 1.9
50,000 Woolworth Corp. 634,936 1,075,000 1.9
----------- ----------- ------
3,066,333 4,036,250 7.1
Retail Specialty 25,000 Toys 'R' Us, Inc. 640,983 712,500 1.2
Savings & Loans 60,000 Greater New York Savings Bank 617,550 1,095,000 1.9
Semiconductors 80,000 Integrated Device Technology, Inc. 905,101 940,000 1.6
55,000 National Semiconductor Corp. 1,117,121 1,375,000 2.4
----------- ----------- ------
2,022,222 2,315,000 4.0
Software--Computer 90,000 Mentor Graphics Corporation 916,193 635,625 1.1
Steel 53,800 USX-US Steel Group, Inc. 1,568,905 1,573,650 2.8
93,200 WHX Corp. 932,962 535,900 0.9
----------- ----------- ------
2,501,867 2,109,550 3.7
Technology 120,500 Computervision Corp. 1,059,897 421,750 0.7
70,000 Exabyte Corp. 899,595 936,250 1.6
----------- ----------- ------
1,959,492 1,358,000 2.3
Telecommunications 17,500 GTE Corp. 746,200 802,812 1.4
50,000 U S West Media Group 869,720 862,500 1.5
----------- ----------- ------
1,615,920 1,665,312 2.9
<PAGE>
Utilities/ 25,000 AT&T Corp. 898,088 837,500 1.5
Communications
Total Investments in North America 45,405,160 47,195,625 82.6
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (concluded) (in US dollars)
<CAPTION>
Fundamental Value Portfolio (concluded)
SHORT-TERM Face Percent of
SECURUTIES Amount Issue Cost Value Net Assets
<S> <S> <C> <S> <C> <C> <C>
Commercial US$ 2,500,000 Atlantic Asset Securitization Corp.,
Paper** 5.54% due 5/14/1997 $ 2,494,998 $ 2,494,998 4.4%
3,006,000 General Electric Capital Corp., 5.62% due
5/01/1997 3,006,000 3,006,000 5.3
1,500,000 H.J. Heinz Company, 5.52% due 5/05/1997 1,499,080 1,499,080 2.6
US Government 1,000,000 Federal National Mortgage Association,
Agency 5.35% due 5/08/1997 998,960 998,960 1.7
Obligations**
Total Investments in Short-Term Securities 7,999,038 7,999,038 14.0
Total Investments $55,428,455 57,228,413 100.2
===========
Liabilities in Excess of Other Assets (96,643) (0.2)
----------- ------
Net Assets $57,131,770 100.0%
=========== ======
Net Asset Value: Class A--Based on net assets of $214,921 and 16,292
shares outstanding $ 13.19
===========
Class B--Based on net assets of $36,393,523 and 2,804,169
shares outstanding $ 12.98
===========
Class C--Based on net assets of $16,315,517 and 1,257,009
shares outstanding $ 12.98
===========
Class D--Based on net assets of $4,207,809 and 319,906
shares outstanding $ 13.15
===========
<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.
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (in US dollars)
Global Opportunity Portfolio
Face Percent of
COUNTRY Amount Foreign Government Obligations Cost Value Net Assets
<S> <C> <S> <C> <C> <C>
Australia A$ 550,000 Australian Government Bonds, 6.75%
due 11/15/2006 $ 398,962 $ 399,724 0.8%
Canada C$ 575,000 Canadian Government Bonds, 7% due 12/01/2006 436,840 422,237 0.9
Finland Fmk 2,000,000 Finnish Government Bonds, 7.25% due 4/18/2006 451,354 410,275 0.8
France French Government OATS:
Frf 2,850,000 6.75% due 10/25/2003 552,578 530,154 1.1
1,600,000 5.50% due 4/25/2004 301,488 277,331 0.6
----------- ----------- ------
854,066 807,485 1.7
Germany Bundesrepublik Deutschland:
DM 735,000 7.125% due 12/20/2002 513,394 467,322 0.9
850,000 6.50% due 10/14/2005 547,951 517,814 1.0
800,000 Treuhandanstalt, 6.875% due 6/11/2003 532,016 501,998 1.0
----------- ----------- ------
1,593,361 1,487,134 2.9
Italy Lit 2,175,000,000 Buoni Poliennali del Tesoro (Italian
Government Bonds), 8.50% due 1/01/2004 1,454,081 1,337,405 2.7
Spain Pta 185,000,000 Bonos del Estado (Spanish Government Bonds),
7.90% due 2/28/2002 1,392,070 1,333,780 2.7
Sweden Government of Sweden:
Skr 2,000,000 10.25% due 5/05/2000 336,811 287,486 0.6
6,400,000 8% due 8/15/2007 1,004,679 859,909 1.7
----------- ----------- ------
1,341,490 1,147,395 2.3
Total Investments in Foreign Government
Obligations 7,922,224 7,345,435 14.8
US Government Obligations
United States US Treasury Notes and Bonds:
US$ 500,000 5% due 1/31/1998 495,586 496,720 1.0
1,325,000 6.625% due 2/15/2027 1,243,605 1,271,377 2.6
<PAGE>
Total Investments in US Government Obligations 1,739,191 1,768,097 3.6
Total Investments in Foreign & US Government
Obligations 9,661,415 9,113,532 18.4
Shares
Industries Held US Stocks
United States Aerospace & Defense 3,700 AlliedSignal, Inc. 267,718 267,325 0.5
2,700 United Technologies Corporation 101,322 204,188 0.4
----------- ----------- ------
369,040 471,513 0.9
Auto--Related 1,300 Hertz Corporation (Class A) 34,363 37,700 0.1
Banking 7,000 The Bank of New York Company, Inc. 173,776 276,500 0.6
2,200 BankAmerica Corp. 228,148 257,125 0.5
800 Chase Manhattan Corporation (The) 82,165 74,100 0.1
----------- ----------- ------
484,089 607,725 1.2
Broadcasting/Cable 6,400 Tele-Communications, Inc. (Class A) 91,987 88,000 0.2
Chemicals 1,800 du Pont (E.I.) de Nemours & Company 196,352 191,025 0.4
Communication 7,600 WorldCom, Inc. 190,677 181,450 0.4
Equipment
Computer Sales 500 International Business Machines Corp. 54,948 80,375 0.2
Computer Software 5,600 BMC Software, Inc. 217,713 241,500 0.5
600 Microsoft Corporation 61,802 72,900 0.1
3,275 Oracle Corp. 105,197 130,181 0.3
----------- ----------- ------
384,712 444,581 0.9
Computers 7,300 Cabletron Systems, Inc. 251,674 251,850 0.5
3,500 COMPAQ Computer Corp. 259,619 298,813 0.6
----------- ----------- ------
511,293 550,663 1.1
Electronics 2,000 Intel Corporation 276,754 306,000 0.6
Energy 12,800 Edison International, Inc. 245,711 268,800 0.5
</TABLE>
<PAGE>
<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> <C> <S> <C> <C> <C>
United States Financial Services 4,350 American Express Company $ 204,365 $ 286,556 0.6%
(concluded) 6,600 First Data Corp. 234,476 227,700 0.5
3,600 MGIC Investment Corporation 272,854 292,500 0.6
----------- ----------- ------
711,695 806,756 1.7
Hardware Products 4,000 Black & Decker Corp. 134,157 134,000 0.3
Health Care Cost 4,300 Oxford Health Plans, Inc. 264,553 282,725 0.6
Containment
Holding Company 5,200 First USA, Inc. 264,702 250,250 0.5
Hospital Management 7,600 Health Management Associates, Inc. (Class A) 172,238 203,300 0.4
Hospital Supplies 4,300 Abbott Laboratories 174,873 262,300 0.5
Hospitals 10,000 Tenet Healthcare Corp. 260,223 260,000 0.5
Information 4,800 Computer Associates International, Inc. 194,506 249,600 0.5
Processing
Insurance 1,850 Aetna Inc. 141,011 168,581 0.3
4,100 Allstate Corp. 177,155 268,550 0.6
1,800 Nationwide Financial Services, Inc. (Class A) 42,897 47,700 0.1
5,100 Travelers Group Inc. 268,916 282,413 0.6
3,300 UNUM Corporation 210,671 254,100 0.5
----------- ----------- ------
840,650 1,021,344 2.1
Leisure & Tourism 8,600 Brunswick Corporation 214,183 242,950 0.5
8,000 Carnival Corporation (Class A) 231,110 295,000 0.6
----------- ----------- ------
445,293 537,950 1.1
Machinery 4,600 American Standard Companies, Inc. 163,092 192,625 0.4
5,200 Ingersoll-Rand Company 234,136 255,450 0.5
----------- ----------- ------
397,228 448,075 0.9
Manufacturing 4,900 Fisher Scientific International Inc. 155,123 207,638 0.4
<PAGE>
Natural Gas 4,600 El Paso Natural Gas Co. 232,100 267,375 0.5
5,100 Enron Corp. 194,067 191,888 0.4
2,800 IMC Global, Inc. 108,453 103,250 0.2
----------- ----------- ------
534,620 562,513 1.1
Oil & Gas Producers 2,800 Smith International, Inc. 123,882 132,650 0.3
Oil Service 7,000 Dresser Industries, Inc. 148,695 209,125 0.4
1,900 Schlumberger Ltd. 121,700 210,425 0.4
----------- ----------- ------
270,395 419,550 0.8
Paper 4,700 Kimberly-Clark Corp. 180,580 240,875 0.5
Petroleum 1,700 Pennzoil Company 68,080 83,725 0.2
4,400 Unocal Corp. 147,839 167,750 0.3
----------- ----------- ------
215,919 251,475 0.5
Pharmaceuticals 4,200 American Home Products Corporation 247,156 278,250 0.6
2,900 Merck & Co., Inc. 176,711 262,450 0.5
----------- ----------- ------
423,867 540,700 1.1
Railroads 1,500 Burlington Northern Santa Fe Corp. 121,888 118,125 0.2
Real Estate 4,900 Prentiss Properties Trust 98,788 115,763 0.2
Investment Trusts 4,100 Starwood Lodging Trust 184,500 157,850 0.4
----------- ----------- ------
283,288 273,613 0.6
Restaurants 2,600 McDonald's Corporation 131,587 139,425 0.3
Retail--Drug Stores 5,855 Rite Aid Corporation 193,249 269,330 0.5
Retail Trade 4,700 Sears, Roebuck & Co. 214,793 225,600 0.5
Telecommunications 7,100 AirTouch Communications, Inc. 202,864 181,050 0.4
1,853 TCI Pacific Communications (Convertible
Preferred) 176,274 174,182 0.3
----------- ----------- ------
379,138 355,232 0.7
Tobacco 3,600 Philip Morris Companies, Inc. 130,418 141,750 0.3
Total Investments in US Stocks 10,058,791 11,562,608 23.4
Foreign Stocks
<PAGE>
Argentina Petroleum 19,300 Yacimientos Petroliferos Fiscales S.A. (ADR)* 424,738 533,163 1.1
Total Stocks in Argentina 424,738 533,163 1.1
Australia Diversified 39,000 Broken Hill Proprietary Co., Ltd. 513,135 551,051 1.1
Resources Company
Total Stocks in Australia 513,135 551,051 1.1
Brazil Beverages 640,000 Companhia Cervejaria Brahma S.A. PN (Preferred) 355,180 435,434 0.9
Telecommunications 4,600 Telecomunicacoes Brasileiras S.A.--Telebras
PN (ADR)* 243,225 527,850 1.1
Total Stocks in Brazil 598,405 963,284 2.0
Canada Automotive Parts 10,100 Magna International, Inc. (Class A) 478,119 526,463 1.1
Conglomerates 21,800 Canadian Pacific, Ltd. 409,020 531,375 1.1
Entertainment 6,600 Imax Corporation 210,684 234,300 0.5
Fertilizers 6,700 Potash Corp. of Saskatchewan, Inc. 462,562 515,062 1.0
Total Stocks in Canada 1,560,385 1,807,200 3.7
Finland Holding Company 5,300 Amer Group Ltd. 91,253 90,725 0.2
Machinery 515 Rauma OY 11,006 10,599 0.0
Paper & Forest 24,000 UPM-Kymmene Corp. 500,294 549,315 1.1
Products
Transportation 10,800 Finnlines OY 211,570 272,119 0.6
Total Stocks in Finland 814,123 922,758 1.9
France Insurance 13,200 Scor S.A. 512,003 515,651 1.0
Semiconductor 7,500 SGS-Thompson Microelectronics N.V.
Capital Equipment (NY Registered) 274,852 587,812 1.2
Steel 32,400 Usinor-Sacilor S.A. 510,124 489,622 1.0
Total Stocks in France 1,296,979 1,593,085 3.2
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (continued) (in US dollars)
<CAPTION>
Global Opportunity Portfolio (continued)
Shares Percent of
COUNTRY Industries Held Foreign Stocks Cost Value Net Assets
<S> <C> <S> <C> <C> <C>
Germany Chemicals 600 Henkel KGaA $ 26,670 $ 30,281 0.0%
5,400 Henkel KGaA (Preferred) 229,478 293,105 0.6
----------- ----------- ------
256,148 323,386 0.6
Electronics 9,950 Siemens AG 504,790 538,925 1.1
Machinery & 1,350 Mannesmann AG 467,510 530,864 1.1
Equipment
Total Stocks in Germany 1,228,448 1,393,175 2.8
Hong Kong Banking 20,000 HSBC Holdings PLC 312,430 506,068 1.0
Telecommunications 25,000 Hong Kong Telecommunications Ltd. (ADR)* 461,325 428,125 0.9
Total Stocks in Hong Kong 773,755 934,193 1.9
Indonesia Telecommunications 18,200 P.T. Indonesian Satellite Corp. (ADR)* 569,731 500,500 1.0
Total Stocks in Indonesia 569,731 500,500 1.0
Italy Machinery 71,000 Danieli & Co. 266,366 255,542 0.5
Publishing 37,000 Mondadori (Arnoldo) Editore S.p.A. 312,271 215,428 0.4
Total Stocks in Italy 578,637 470,970 0.9
Japan Building & 54,000 Maeda Corp. 438,663 257,508 0.5
Construction 40,000 Okumura Corp. 367,731 214,393 0.4
----------- ----------- ------
806,394 471,901 0.9
Capital Goods 79,000 Mitsubishi Heavy Industries, Ltd. 581,237 521,810 1.1
Consumer-- 7,000 Rohm Company Ltd. 404,881 542,918 1.1
Electronics
Electrical 84,000 Mitsubishi Electric Corp. 557,561 460,156 0.9
Equipment 7,000 Sony Corporation 512,739 509,813 1.0
----------- ----------- ------
1,070,300 969,969 1.9
<PAGE>
Electronics 22,000 Canon Inc. 412,502 521,952 1.1
29,000 Matsushita Electric Industrial Co., Ltd. 463,584 464,018 0.9
----------- ----------- ------
876,086 985,970 2.0
Insurance 50,000 Tokio Marine & Fire Insurance Co., Ltd. 537,609 488,689 1.0
Pharmaceuticals 30,000 Eisai Co., Ltd. 545,156 520,218 1.1
Retail 5,000 Autobacs Seven Co., Ltd. 328,783 333,018 0.7
Textiles 85,000 Toray Industries Inc. 520,808 529,282 1.1
Tires & Rubber 25,000 Bridgestone Corp. 445,755 532,041 1.1
Warehouse & Storage 55,000 Mitsui-Soko Co., Ltd. 396,640 264,877 0.5
Total Stocks in Japan 6,513,649 6,160,693 12.5
Mexico Beverages 16,000 Panamerican Beverages, Inc. (Class A) 327,109 464,000 0.9
Conglomerates 42,800 Grupo Carso, S.A. de C.V. (ADR)* 555,727 492,200 1.0
Utilities-- 12,400 Telefonos de Mexico, S.A. de C.V. (Telmex) (ADR)* 478,040 511,500 1.0
Communications
Total Stocks in Mexico 1,360,876 1,467,700 2.9
Netherlands Banking 7,900 ABN AMRO Holding N.V. 466,422 542,884 1.1
Total Stocks in the Netherlands 466,422 542,884 1.1
Norway Transportation 54,089 Color Line ASA 217,365 239,399 0.5
Services
Total Stocks in Norway 217,365 239,399 0.5
Philippines Beverages 167,000 San Miguel Corp. (Class B) 554,679 481,670 1.0
Total Stocks in the Philippines 554,679 481,670 1.0
South Africa Diversified 43,000 Sasol Limited 505,901 551,468 1.1
Insurance 13,400 De Beers Consolidated Mines Ltd. (ADR)* 453,646 480,725 1.0
Total Stocks in South Africa 959,547 1,032,193 2.1
South Korea Engineering & 4,974 Hyundai Engineering & Construction Co., Ltd. 63,847 17,906 0.0
Construction (GDR)**
<PAGE>
Total Stocks in South Korea 63,847 17,906 0.0
Spain Petroleum 12,100 Repsol S.A. (ADR)* 425,575 506,687 1.0
Total Stocks in Spain 425,575 506,687 1.0
Sweden Banking 16,200 Sparbanken Sverige AB (Class A) 207,538 289,230 0.6
Investment 22,000 Bure Investment AB 207,219 277,753 0.6
Management
Total Stocks in Sweden 414,757 566,983 1.2
Switzerland Chemicals 600 Ciba Specialty Chemicals AG (Rights) (ADR)* 22,369 25,650 0.1
Electrical Equipment 435 BBC Brown Boveri & Cie (Bearer) 482,813 527,138 1.1
Pharmaceuticals 8,000 Novartis AG (ADR)* 406,854 527,000 1.1
60 Roche Holding AG 502,766 507,128 1.0
----------- ----------- ------
909,620 1,034,128 2.1
Total Stocks in Switzerland 1,414,802 1,586,916 3.3
United Kingdom Beverages 61,300 Grand Metropolitan PLC 442,059 512,689 1.0
Chemicals 12,600 Imperial Chemical Industries PLC 154,919 143,441 0.3
7,500 Imperial Chemical Industries PLC (ADR)* 389,042 347,812 0.7
----------- ----------- ------
543,961 491,253 1.0
Metals & Mining 34,000 RTZ Corporation PLC 511,297 541,117 1.1
Retail 47,000 Boots Company PLC 468,725 529,716 1.1
Steel 197,000 British Steel PLC 505,013 454,298 0.9
Telecommunications 114,000 Vodafone Group PLC 417,309 510,975 1.0
Total Stocks in the United Kingdom 2,888,364 3,040,048 6.1
Total Investments in Foreign Stocks 23,638,219 25,312,458 51.3
Total Investments in US & Foreign Stocks 33,697,010 36,875,066 74.7
</TABLE>
<TABLE>
SCHEDULE OF INVESTMENTS (concluded) (in US dollars)
<CAPTION>
Global Opportunity Portfolio (concluded)
<PAGE>
SHORT-TERM Face Percent of
SECURITIES Amount Issue Cost Value Net Assets
<S> <C> <S> <C> <C> <C>
Commercial US$ 2,500,000 General Motors Acceptance Corp.,
Paper*** 5.68% due 5/01/1997 $ 2,500,000 $ 2,500,000 5.1%
US Government 1,437,000 Federal Home Loan Mortgage Corp., 5.40%
Agency due 5/01/1997 1,437,000 1,437,000 2.9
Obligations***
Total Investments in Short-Term Securities 3,937,000 3,937,000 8.0
Total Investments $47,295,425 49,925,598 101.1
===========
Unrealized Appreciation on Forward Foreign Exchange Contracts++ 375,833 0.8
Liabilities in Excess of Other Assets (927,487) (1.9)
----------- ------
Net Assets $49,373,944 100.0%
=========== ======
Net Asset Value: Class A--Based on net assets of $145,452 and 12,019
shares outstanding $ 12.10
===========
Class B--Based on net assets of $34,054,265 and 2,840,488
shares outstanding $ 11.99
===========
Class C--Based on net assets of $12,413,431 and 1,036,492
shares outstanding $ 11.98
===========
Class D--Based on net assets of $2,760,796 and 228,479
shares outstanding $ 12.08
===========
<FN>
*American Depositary Receipts (ADR).
**Global Depositary Receipts (GDR).
***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.
++Forward foreign exchange contracts as of April 30, 1997 were as
follows:
<CAPTION>
Unrealized
Foreign Expiration Appreciation
Currency Sold Date (Depreciation)
<S> <C> <S> <C>
A$ 520,000 May 1997 $ 840
A$ 690,000 June 1997 (335)
C$ 2,720,000 May 1997 14,838
Chf 2,350,000 May 1997 5,688
DM 7,700,000 May 1997 85,769
DM 1,000,000 June 1997 (529)
Fmk 5,500,000 May 1997 14,802
Frf 12,900,000 May 1997 33,898
Pta 145,000,000 May 1997 5,289
Pta 109,000,000 June 1997 (1,025)
Skr 14,500,000 May 1997 16,273
YEN 650,000,000 May 1997 194,547
YEN 83,700,000 June 1997 5,778
<PAGE>
Total Unrealized Appreciation on
Forward Foreign Exchange Contracts--Net
(US$ Commitment--$22,548,014) $375,833
========
</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 Companies, Inc. $ 153,631 $ 192,525 0.9%
Banking & 12,000 Banc One Corp. 560,548 508,500 2.5
Financial 1,500 State Street Boston Corp. 85,670 118,125 0.6
2,000 Wells Fargo & Co. 557,512 533,500 2.6
----------- ----------- ------
1,203,730 1,160,125 5.7
Beverages 13,000 The Coca-Cola Company 666,199 827,125 4.1
Communication 10,000 cisco Systems, Inc. 553,028 517,500 2.5
Equipment 10,000 FORE Systems, Inc. 282,363 152,500 0.8
11,000 Lucent Technologies, Inc. 582,598 650,375 3.2
3,000 Newbridge Networks Corp. 95,644 95,250 0.5
2,000 Northern Telecom Ltd. 142,320 145,250 0.7
6,000 Telefonaktiebolaget LM Ericsson (ADR)* 202,460 201,750 1.0
----------- ----------- ------
1,858,413 1,762,625 8.7
Computers 5,000 COMPAQ Computer Corp. 359,714 426,875 2.1
12,000 Hewlett-Packard Co. 650,887 630,000 3.1
----------- ----------- ------
1,010,601 1,056,875 5.2
Cosmetics 9,000 Gillette Company (The) 605,800 765,000 3.8
100 International Flavors & Fragrances Inc. 4,970 4,213 0.0
----------- ----------- ------
610,770 769,213 3.8
Electrical Equipment 200 Emerson Electric Company 8,482 10,150 0.0
5,500 General Electric Co. 488,682 609,813 3.0
2,000 Honeywell, Inc. 144,477 141,250 0.7
----------- ----------- ------
641,641 761,213 3.7
<PAGE>
Electronics 4,500 Intel Corp. 618,391 688,500 3.4
Energy 8,800 El Paso Natural Gas Co. 426,756 511,500 2.5
11,000 Enron Corp. 464,926 413,875 2.0
----------- ----------- ------
891,682 925,375 4.5
Entertainment 6,400 Viacom, Inc. (Class A) 241,568 170,400 0.8
3,000 Walt Disney Co. 207,888 246,000 1.2
----------- ----------- ------
449,456 416,400 2.0
Financial Services 10,000 Federal National Mortgage Association 362,645 411,250 2.0
7,000 The Travelers Group, Inc. 320,104 387,625 1.9
----------- ----------- ------
682,749 798,875 3.9
Food 1,500 ConAgra, Inc. 70,590 86,437 0.4
100 Wrigley (Wm.) Jr. Co. 5,920 5,825 0.0
----------- ----------- ------
76,510 92,262 0.4
Food Merchandising 4,000 Albertson's, Inc. 159,212 132,000 0.7
4,000 Meyer (Fred), Inc. 138,367 164,500 0.8
----------- ----------- ------
297,579 296,500 1.5
</TABLE>
<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>
Hotels 1,000 Marriott International, Inc. $ 46,921 $ 55,250 0.3%
Household Products 500 Colgate-Palmolive Co. 37,260 55,500 0.3
5,000 Kimberly-Clark Corp. 191,350 256,250 1.2
2,600 Procter & Gamble Company 245,306 326,950 1.6
----------- ----------- ------
473,916 638,700 3.1
Information 13,000 First Data Corp. 477,296 448,500 2.2
Processing
Insurance 1,000 Aetna Inc. 82,249 91,125 0.4
2,500 American International Group, Inc. 258,849 321,250 1.6
----------- ----------- ------
341,098 412,375 2.0
<PAGE>
Leisure 8,500 Polygram N.V. (NY Registered Shares) 446,700 418,625 2.1
Medical Technology 4,000 Boston Scientific Corp. 234,515 193,000 0.9
6,500 Johnson & Johnson 315,896 398,125 2.0
----------- ----------- ------
550,411 591,125 2.9
Oil & Services 10,000 Baker Hughes, Inc. 370,527 345,000 1.7
5,200 Diamond Offshore Drilling, Inc. 366,689 334,750 1.6
4,000 Schlumberger, Ltd. 416,590 443,000 2.2
----------- ----------- ------
1,153,806 1,122,750 5.5
Pharmaceuticals 9,000 Amgen, Inc. 538,125 528,750 2.6
4,000 Bristol-Myers Squibb Co. 206,856 262,000 1.3
7,500 Merck & Co., Inc. 545,796 678,750 3.3
8,300 Pfizer, Inc. 651,196 796,800 3.9
----------- ----------- ------
1,941,973 2,266,300 11.1
Photography 1,200 Eastman Kodak Co. 89,634 100,200 0.5
Pollution Control 500 WMX Technologies, Inc. 14,160 14,687 0.1
Restaurants 3,000 McDonald's Corp. 142,703 160,875 0.8
Retail--Specialty 750 Staples, Inc. 13,000 13,500 0.1
Retail Stores 7,000 Wal-Mart Stores, Inc. 177,175 197,750 1.0
5,000 Walgreen Co. 221,639 230,000 1.1
----------- ----------- ------
398,814 427,750 2.1
Software--Computer 6,000 BAAN Company, N.V. 279,102 321,750 1.6
6,500 Microsoft Corp. 509,038 789,750 3.9
1,000 Oracle Corp. 35,972 39,750 0.2
8,000 SAP AG (Systeme, Anwendungen, Produkte in
der Datenverarbeitung) (ADR)* 454,125 482,000 2.3
----------- ----------- ------
1,278,237 1,633,250 8.0
Toys 20,000 Hasbro, Inc. 492,014 500,000 2.5
Travel & Lodging 1,000 Carnival Corporation (Class A) 26,786 36,875 0.2
Total Investments in Common Stocks 17,048,821 18,588,375 91.3
Face
Amount Short-Term Securities
<PAGE>
US Government $2,066,000 Federal Home Loan Mortgage Corp., 5.40% 2,066,000 2,066,000 10.2
Agency due 5/01/1997
Obligations**
Total Investments in Short-Term Securities 2,066,000 2,066,000 10.2
Total Investments $19,114,821 20,654,375 101.5
===========
Liabilities in Excess of Other Assets (297,293) (1.5)
----------- ------
Net Assets $20,357,082 100.0%
=========== ======
Net Asset Value: Class A--Based on net assets of $97,201 and 8,080
shares outstanding $ 12.03
===========
Class B--Based on net assets of $13,092,836 and 1,101,767
shares outstanding $ 11.88
===========
Class C--Based on net assets of $6,192,890 and 521,406
shares outstanding $ 11.88
===========
Class D--Based on net assets of $974,155 and 81,079
shares outstanding $ 12.01
===========
<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.
</TABLE>
<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--19.2% AA- Aa3 $150,000 Banc One, Milwaukee, N.A., 6.625% due 4/15/2003 $ 156,155 $ 146,778
BBB+ A3 115,000 Bangkok Metropolitan Bank Public Co. Ltd.,
7.25% due 9/15/2005 113,956 110,676
A- A2 250,000 Bank of New York Company Inc. (The), 7.875% due
11/15/2002 276,675 258,808
A+ A1 250,000 BankAmerica Corp., 6.65% due 5/01/2001 249,863 247,918
A A2 253,000 First Chicago Corp., 9% due 6/15/1999 268,428 264,580
BBB A2 200,000 Fleet Capital Trust II, 7.92% due 12/11/2026 197,504 193,904
BBB+ A2 100,000 Mellon Capital II, 7.995% due 1/15/2027 95,347 98,043
AA- Aa3 250,000 Norwest Corporation, 6.75% due 5/12/2000 249,628 250,285
BBB+ A2 200,000 Wells Fargo & Company, 8.375% due 5/15/2002 213,120 210,490
---------- ----------
1,820,676 1,781,482
<PAGE>
Financial A A2 200,000 Bear Stearns Co., 6.75% due 8/15/2000 198,730 199,234
Services-- A A2 200,000 Beneficial Corporation, 7.75% due 11/08/2002 209,676 206,166
12.3% A+ A1 300,000 Morgan Stanley Group, Inc., 6.875% due 3/01/2007 298,923 288,717
A- A2 150,000 Smith Barney Holdings, Inc., 6.875% due 6/15/2005 148,485 146,039
A+ Aa3 100,000 Travelers Capital II, 7.75% due 12/01/2036 100,170 94,797
A+ A1 200,000 The Travelers Group, Inc., 7.875% due 5/15/2025 205,616 201,400
---------- ----------
1,161,600 1,136,353
</TABLE>
<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>
Financial A+ A1 $200,000 American General Finance Corp.,
Services-- 7.70% due 11/15/1997 $ 203,396 $ 201,504
Consumer--8.3% AA- Aa3 200,000 Associates Corp. of North America, 5.25% due
9/01/1998 193,918 197,060
A Aa3 150,000 CIT Capital Trust I, 7.70% due 2/15/2027 149,316 141,502
A+ Aa3 75,000 CIT Group Holdings, Inc., 7% due 9/30/1997 75,607 75,384
AAA Aaa 150,000 Case Equipment Loan Trust, 6% due 3/15/2004 149,930 149,273
---------- ----------
772,167 764,723
Industrial-- AA- A1 100,000 Anheuser-Busch Co., Inc., 8.75% due 12/01/1999 107,905 104,751
Consumer A+ A1 100,000 Bass America, Inc., 8.125% due 3/31/2002 105,928 104,528
Goods--6.5% A- A3 90,000 IBP, Inc., 6.125% due 2/01/2006 82,690 83,096
A- A2 100,000 Sears, Roebuck & Co., 9.25% due 4/15/1998 106,444 102,728
AA A2 200,000 Wal-Mart Stores, Inc., 8.50% due 9/15/2024 207,350 207,050
---------- ----------
610,317 602,153
Industrial-- AA Aa2 175,000 BP America Inc., 9.375% due 11/01/2000 200,263 189,051
Energy--2.0%
Industrial-- A A2 150,000 Carnival Cruise Lines, Inc., 7.70% due 7/15/2004 156,745 152,879
Other--8.7% A+ A1 200,000 Ford Motor Credit Company, 7% due 9/25/2001 199,204 200,316
BBB+ A3 250,000 Lockheed Martin Corp., 6.55% due 5/15/1999 249,880 249,448
BBB Baa3 200,000 Seagate Technology, 7.125% due 3/01/2004 199,650 197,570
---------- ----------
805,479 800,213
Industrial-- A A2 249,039 Disney Enterprises Inc., 6.85% due 1/10/2007 248,870 244,751
Services--2.6%
<PAGE>
Supranational AAA Aaa 200,000 Asian Development Bank, 6.125% due 3/09/2004 198,300 192,952
- --2.1%
US Government US Treasury Notes:
Obligations AAA Aaa 150,000 7.125% due 10/15/1998 158,086 152,038
- --11.5% AAA Aaa 200,000 6.375% due 5/15/1999 200,469 200,282
AAA Aaa 200,000 7.50% due 11/15/2001 210,406 207,218
AAA Aaa 200,000 5.875% due 2/15/2004 194,031 191,688
AAA Aaa 300,000 7.25% due 8/15/2004 321,937 309,657
---------- ----------
1,084,929 1,060,883
Utilities-- AA- Aa2 200,000 Duke Power Co., 8% due 11/01/1999 208,016 206,002
Electric 8.5% AA- A1 250,000 Northern States Power Company, 7.125% due
7/01/2025 254,800 239,242
A- A3 180,000 Public Service Electric & Gas Co., 7.125% due
11/01/1997 181,514 180,851
A A2 150,000 Virginia Electric & Power Co., 8.625% due 10/01/2024 166,200 156,996
---------- ----------
810,530 783,091
Utilities-- A+ A2 300,000 Alltel Corp., 6.75% due 9/15/2005 295,380 291,621
Communications
- --3.1%
Yankees-- A A3 250,000 Mass Transit Railway Corp., 7.25% due 10/01/2005 260,325 247,220
Corporate-- A+ A2 100,000 Pohang Iron & Steel Company, Ltd., 7.375%
3.7% due 5/15/2005 101,816 99,618
---------- ----------
362,141 346,838
Yankees-- A+ A2 150,000 Province of Quebec, 7.125% due 2/09/2024 150,195 137,242
Sovereign--
1.5%
Total Investments in Bonds & Notes--90.0% 8,520,847 8,331,353
SHORT-TERM
SECURITIES Issue
US Government 788,000 Federal Home Loan Mortgage Corp., 5.40% due 788,000 788,000
Agency 5/01/1997
Obligations*
- --8.5%
Total Investments in Short-Term Securities--8.5% 788,000 788,000
Total Investments--98.5% $9,308,847 9,119,353
==========
Other Assets Less Liabilities--1.5% 140,051
----------
Net Assets--100.0% $9,259,404
==========
<PAGE>
Net Asset Value: Class A--Based on net assets of $1,965,685 and
202,851 shares outstanding $ 9.69
==========
Class B--Based on net assets of $4,752,735 and
490,716 shares outstanding $ 9.69
==========
Class C--Based on net assets of $2,043,387 and
210,999 shares outstanding $ 9.68
==========
Class D--Based on net assets of $497,597 and
51,377 shares outstanding $ 9.69
==========
<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>
<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> <S> <C>
US Government Federal Home Loan Mortgage Corporation $ 1,263,398 11.50 % 6/01/2019 $ 1,411,898
Agency Federal Home Loan Mortgage Corporation
Mortgage- --Gold Program 2,738,959 6.50 15 Year MBS 2,661,912
Backed Federal Home Loan Mortgage Corporation
Obligations* --Gold Program 1,800,000 7.50 1/01/2027 1,789,866
- --80.2% Government National Mortgage Association 1,000,000 7.00 1/01/2027 967,180
Government National Mortgage Association 1,946,740 7.50 10/01/2025-12/15/2026 1,930,523
Total US Government & Agency Mortgage-Backed Obligations (Cost--$8,684,782) 8,761,379
US Government US Treasury Notes 700,000 6.00 8/15/1999 694,750
Obligations-- US Treasury STRIPS**** 1,000,000 5.476++ 8/15/2000
13.8% 810,330
Total US Government Obligations (Cost--$1,519,130) 1,505,080
</TABLE>
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS (concluded) (in US dollars)
<CAPTION>
US Government Securities Portfolio (concluded)
SHORT-TERM Face Interest Maturity
SECURITIES Issue Amount Rate Date(s) Value
<S> <S> <C> <C> <S> <C>
US Government Federal National Mortgage Association,
Agency Discount Note $ 2,000,000 5.39% 5/13/1997 $ 1,996,407
Obligations*** Federal National Mortgage Association,
- --50.2% Discount Note 3,500,000 5.40 5/14/1997 3,493,175
-----------
5,489,582
<CAPTION>
Face
Amount Issue
<S> <C> <S> <C>
Repurchase $499,000 Nikko Securities Company, purchased on 4/30/1997 to
Agreements** yield 5.50% to 5/01/1997 499,000
- --4.6%
Total Investments in Short-Term Securities (Cost--$5,988,582) 5,988,582
Total Investments (Cost--$16,192,494)--148.8% 16,255,041
Liabilities in Excess of Other Assets--(48.8%) (5,331,093)
-----------
Net Assets--100.0% $10,923,948
===========
Net Asset Value: Class A--Based on net assets of $4,222,370 and 417,215
shares outstanding $ 10.12
===========
Class B--Based on net assets of $4,568,861 and 451,487
shares outstanding $ 10.12
===========
Class C--Based on net assets of $1,811,218 and 179,018
shares outstanding $ 10.12
===========
Class D--Based on net assets of $321,499 and 31,755
shares outstanding $ 10.12
===========
<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.
***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.
****STRIPS--Separate Trading of Registered Interest and Principal of
Securities.
++Represents the yield-to-maturity on this zero coupon issue at the
time of purchase by the Portfolio.
</TABLE>
<PAGE>
EQUITY PORTFOLIO CHANGES
For the Quarter Ended April 30, 1997
FUNDAMENTAL
VALUE PORTFOLIO
Additions
3Com Corp.
AT&T Corp.
CompuServe Corporation
*DSC Communications Corporation
Dresser Industries, Inc.
Eastman Chemical Co.
*The Energy Group PLC
*Hanson PLC (ADR)
*International MultiFoods
*Marine Drilling Co., Inc.
*Micron Technology Inc.
Pharmacia & Upjohn, Inc.
Toys 'R' Us, Inc.
Wells Fargo & Co.
Deletions
Advanced Micro Devices Inc.
Allwaste Inc.
Beazer Homes USA, Inc.
*DSC Communications Corporation
*The Energy Group PLC
*Hanson PLC (ADR)
Hechinger Co. (Class A)
ITT Corp.
*International MultiFoods
*Marine Drilling Co., Inc.
*Micron Technology Inc.
Micronics Computers, Inc.
PFF Bancorp Inc.
Student Loan Marketing Association
Texas Instruments, Inc.
<PAGE>
GLOBAL
OPPORTUNITY
PORTFOLIO
Additions
Amer Group Ltd.
Autobacs Seven Co., Ltd.
Broken Hill Proprietary Co., Ltd.
Chase Manhattan Corporation (The)
Ciba Specialty Chemicals AG (Rights)(ADR)
Computer Associates International, Inc.
De Beers Consolidated Mines Ltd. (ADR)
du Pont (E.I.) de Nemours & Company
First USA, Inc.
Hertz Corporation (Class A)
Ingersoll-Rand Company
Intel Corporation
MGIC Investment Corporation
McDonald's Corporation
Microsoft Corporation
Mondadori (Arnoldo) Editore S.p.A.
Nationwide Financial Services, Inc.
Oxford Health Plans, Inc.
RTZ Corporation PLC
Rauma OY
Roche Holding AG
Sasol Limited
Smith International, Inc.
Sony Corporation
Starwood Lodging Trust
Tele-Communications, Inc. (Class A)
Telefonos de Mexico, S.A. de C.V.
(Telmex) (ADR)
Tenet Healthcare Corp.
WorldCom, Inc.
Deletions
AK Steel Holding Corp.
Banco de Galicia y Buedos Aires S.A. (ADR)
Banco Frances del Rio de la Plata S.A. (ADR)
Bell Atlantic Corporation
Centocor, Inc.
cisco Systems, Inc.
Citicorp
Compagnie Generale des Establissement
Michelin S.A. (Class B)
Corning, Inc.
Countrywide Credit Industries, Inc.
FMC Corporation
Foster Wheeler Corporation
General Electric Co. PLC (Ordinary)
General Electric Company PLC
General Motors Corp.
<PAGE>
Glaxo Wellcome PLC
Global Telecommunications Solutions,
Inc. (ADR)
Grupo Financiero Inbursa, S.A. de C.V.
(ADR)
Gulfstream Aerospace Corporation
H.J. Heinz Company
Kimberly-Clark de Mexico, S.A. de C.V.
Lear Corporation
National Westminster Bank PLC
Nokia Corp. AB (ADR)
Nomura Securities Co., Ltd.
Northrop Grumman Corp.
Oakwood Homes Corporation
Petroleo Brasileiro S.A.
(Petrobras)(Preferred)
Puma AG
Societa Finanziara Telefonica S.p.A.
(STET)
Viacom, Inc. (Class B)
GROWTH
OPPORTUNITY
PORTFOLIO
Additions
BAAN Company, N.V.
Baker Hughes, Inc.
Banc One Corp.
Newbridge Networks Corp.
Northern Telecom Ltd.
SAP AG (Systeme, Anwendungen, Produkte
in der Datenverarbeitung) (ADR)
*Travelers Property Casualty Corp. (Class A)
Walgreen Co.
Deletions
Computer Associates International, Inc.
Electronic Data Systems Corp.
H.F. Ahmanson & Company
Nabisco Holdings Corporation (Class A)
Rite Aid Corp.
Sara Lee Corp.
*Travelers Property Casualty Corp. (Class A)
Travelers/Aetna Property Casualty Corp.
US Bancorp
<PAGE>
[FN]
*Added and deleted in the same quarter.
