<PAGE> 1
TOUCHSTONE
[LOGO] ---------------------------------
Touchstone Variable Annuity
- Emerging Growth
- International Equity
- Growth & Income
- Balanced
- Income Opportunity
- Bond
- Standby Income
- --------------------------------------------------------------------------------
SEMI-ANNUAL REPORT
JUNE 30, 1997
- --------------------------------------------------------------------------------
<PAGE> 2
This booklet contains the Semi-Annual Reports which reflect the results of the
TOUCHSTONE VARIABLE ANNUITY, a flexible purchase payment deferred variable
annuity contract, issued by WESTERN-SOUTHERN LIFE ASSURANCE COMPANY
("Western-Southern"). Included in this booklet are the Semi-Annual reports for
Western-Southern's Separate Account 1 and the investment portfolios underlying
the Touchstone Variable Annuity. These Semi-Annual Reports are bound together
for your convenience.
<PAGE> 3
Dear Fellow Contract Owner:
The Dow Jones Industrial Average continued its upward ascent in the second
quarter, in a seemingly upstoppable climb to 8,000 and beyond. The DJIA closed
the period at 7,673, up a robust 16.6%. Year-to-date through June the DJIA had
risen 1,225 points, or 19%. But the trip to long-term investment profits is
rarely smooth sailing. The stock market's tumble earlier this spring was enough
to make even the heartiest investor a little sea-sick. After peaking in
mid-March, the Dow Jones Industrial Average dropped nearly 700 points in five
swift weeks, stopping just two-tenths of a percentage point shy of a 10%
decline, the magic number that Wall Street uses to define a full-fledged market
correction. Using this definition, smaller stocks did correct: The Nasdaq
Composite Index fell 12.6% from its 1997 peak before rebounding in April, and
many individual stocks were off by 20 to 30%.
While the market staged another significant rebound in July, many investors
were still wondering where stocks were headed. Markets, like individual stocks,
tend to get ahead of themselves, and that may have happened this spring. But
whatever the case, the Federal Reserve's decision to hike interest rates was the
right thing to do. This time it was preemptive and served to slow the economy
while keeping inflation on the tame side.
To truly get a fix on the events of the last six months, however, it may be
best to view them against the larger backdrop of the stock market's stellar
gains over the past two years. With total returns of 37.5% in 1995 and 23% in
1996, stocks put together one of the most powerful performances of the century.
The 30.1% average annual gain in the Standard & Poor's 500 Stock Index was the
fifth best two-year return since 1926. It was only the eighth time in the past
70 years that equities rose 20% or more two years in a row.
Many new investors who entered the market during the 90s may consider the
decade's 16%-plus average annual return normal. In reality, these gains are 50%
higher than the roughly 10.5% a year that stocks have averaged since 1926. They
are also about 25% greater than the post-World War II norm.
So the question remains: Are the stock market and the economy too hot? In
general, we all have good reason to believe they are not. We have enjoyed six
straight years of economic growth, the longest period on record without even a
single quarterly decline. Prices at wholesale and retail levels remain stable,
and inflationary pressures appear to be more than offset by gains in
productivity and falling prices in the fast growing technology sector. All of
this could mark a return to an environment where fundamentals and earnings
growth, rather than size and liquidity, drive a company's share price.
Please remember, though, that markets get ahead of themselves from time to
time, and that declines are normal events in the market's life. Stocks can make
progress in spite of these setbacks, but volatility is more the rule than the
exception.
In spite of this volatility, a number of the Touchstone Portfolios
performed well in the first half. Touchstone Income Opportunity and Touchstone
Balanced continued to post exceptional gains, against both their benchmark
indices and their respective fund groups. Touchstone Emerging Growth, Touchstone
International Equity and Touchstone Bond also performed well. You can review the
specific numbers in the enclosed financial statements.
And finally, please keep in mind that reasonable expectations are an
important part of successful long-term investing. We've had exceptional returns
from stocks over the last few years, and they may be difficult to match in the
years to come. However, it is important to note that even the long-term average
returns gained from stocks are not bad when compared with other investments.
We appreciate your continued confidence and investment in the Touchstone
Family of Funds and Variable Annuities.(1)
Sincerely,
/s/ Edward G. Harness
- -------------------------------------
Edward G. Harness
President and Chief Executive Officer
Touchstone Family of Funds
P.S. Please visit us on the World Wide Web at www.touchstonefunds.com
(1)Touchstone Variable Annuities are underwritten by Western-Southern Life
Assurance Company, Cincinnati, Ohio
<PAGE> 4
TOUCHSTONE
[LOGO]---------------------------------
Western-Southern Life
Assurance Company
------------------
Separate Account 1
- --------------------------------------------------------------------------------
SEMI-ANNUAL REPORT
JUNE 30, 1997
- --------------------------------------------------------------------------------
<PAGE> 5
WESTERN-SOUTHERN LIFE ASSURANCE COMPANY SEPARATE ACCOUNT 1
Statement of Net Assets
As of June 30, 1997 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at current market value:
Select Advisors Variable Insurance Trust
Emerging Growth Portfolio (649,275 shares, cost $8,125,575) $ 9,135,303
International Equity Portfolio (678,201 shares, cost $7,546,806) 8,484,294
Balanced Portfolio (680,891 shares, cost $8,739,738) 9,471,192
Income Opportunity Portfolio (1,096,540 shares, cost $12,529,670) 12,796,617
Standby Income Portfolio (741,045 shares, cost $7,413,890) 7,410,452
Select Advisors Portfolios
Growth & Income Portfolio II (46.276771% beneficial interest, cost
$13,189,063) 14,406,675
Bond Portfolio II(31.160100% beneficial interest, cost $5,502,279) 5,736,786
-----------
Total assets 67,441,319
-----------
LIABILITIES
Accounts payable 105
-----------
Total liabilities 105
Total net assets $67,441,214
===========
NET ASSETS
Variable annuity contracts $67,440,231
Retained in the variable account by Western-Southern Life Assurance Company 983
-----------
Total net assets $67,441,214
===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
3
<PAGE> 6
WESTERN-SOUTHERN LIFE ASSURANCE COMPANY SEPARATE ACCOUNT 1
Statement of Operations and Changes in Net Assets
For the period from January 1, 1997 to June 30, 1997 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EMERGING INTERNATIONAL INCOME STANDBY GROWTH &
GROWTH EQUITY BALANCED OPPORTUNITY INCOME INCOME BOND
TOTAL SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCOME:
Dividends $ 689,418 $ -- $ -- $ 75,197 $ 470,063 $ 144,158 $ -- $ --
Miscellaneous income
(loss) 581 139 573 (666) (775) 564 1,011 (265)
EXPENSES:
Mortality and expense
risk and
administrative
charge 305,817 37,180 36,384 42,344 59,834 36,681 66,072 27,322
----------- ---------- ---------- ---------- ----------- ----------- ----------- ----------
Net Investment Income
(loss) 384,182 (37,041) (35,811) 32,187 409,454 108,041 (65,061) (27,587)
----------- ---------- ---------- ---------- ----------- ----------- ----------- ----------
Net change in
unrealized
appreciation
(depreciation) on
investments 3,633,505 964,757 831,521 566,898 226,344 (3,851) 904,360 143,476
Realized gain (loss) on
investments 145,765 (6,238) 10,341 11,701 132,042 (2,081) -- --
----------- ---------- ---------- ---------- ----------- ----------- ----------- ----------
Net realized and
unrealized gain (loss)
on investments 3,779,270 958,519 841,862 578,599 358,386 (5,932) 904,360 143,476
----------- ---------- ---------- ---------- ----------- ----------- ----------- ----------
Net increase (decrease)
in net assets resulting
from operations 4,163,452 921,478 806,051 610,786 767,840 102,109 839,299 115,889
----------- ---------- ---------- ---------- ----------- ----------- ----------- ----------
Contract owners activity:
Payments received from
contract owners 36,752,167 4,202,675 3,478,311 4,907,903 7,313,880 6,554,245 7,591,160 2,703,993
Net transfers between
sub-accounts and/or
fixed account (123,028) 1,048,551 1,156,965 373,854 (367,450) (2,414,567) (225,612) 305,231
Withdrawals and
surrenders (779,186) (69,634) (72,719) (99,147) (170,172) (116,882) (184,855) (65,777)
Contract maintenance
change (7,556) (974) (1,007) (1,032) (1,429) (293) (2,134) (687)
----------- ---------- ---------- ---------- ----------- ----------- ----------- ----------
Net increase from
contract activity 35,842,397 5,180,618 4,561,550 5,181,578 6,774,829 4,022,503 7,178,559 2,942,760
----------- ---------- ---------- ---------- ----------- ----------- ----------- ----------
Net increase in net
assets 40,005,849 6,102,096 5,367,601 5,792,364 7,542,669 4,124,612 8,017,858 3,058,649
Net assets, at beginning
of period 27,435,365 3,033,208 3,116,692 3,678,829 5,253,947 3,285,736 6,388,817 2,678,136
----------- ---------- ---------- ---------- ----------- ----------- ----------- ----------
Net assets, at end of
period $67,441,214 $9,135,304 $8,484,293 $9,471,193 $12,796,616 $ 7,410,348 $14,406,675 $5,736,785
=========== ========== ========== ========== =========== =========== =========== ==========
</TABLE>
Statement of Operations and Changes in Net Assets
For the year ended December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EMERGING INTERNATIONAL INCOME STANDBY GROWTH &
GROWTH EQUITY BALANCED OPPORTUNITY INCOME INCOME BOND
TOTAL SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCOME:
Dividends and capital
gains $ 632,218 $ 78,087 $ 19,427 $ 106,100 $ 359,226 $ 69,378 $ -- $ --
Miscellaneous income
(loss) 11,618 1,457 (196) 1,531 840 334 6,979 673
EXPENSES:
Mortality and
expenses and
administrative
charge 139,808 15,425 16,207 19,935 22,201 18,034 31,803 16,203
----------- ---------- ---------- ---------- ----------- ----------- ----------- ----------
Net Investment income
(loss) 504,028 64,119 3,024 87,696 337,865 51,678 (24,824) (15,530)
----------- ---------- ---------- ---------- ----------- ----------- ----------- ----------
Net change in
unrealized
appreciation
(depreciation) on
investments 736,735 51,240 103,391 182,124 34,430 304 288,509 76,737
Realized gain (loss) on
investments 55,105 14,060 25,572 3,877 12,639 (1,043) -- --
----------- ---------- ---------- ---------- ----------- ----------- ----------- ----------
Net realized and
unrealized gain (loss)
on investments 791,840 65,300 128,963 186,001 47,069 (739) 288,509 76,737
----------- ---------- ---------- ---------- ----------- ----------- ----------- ----------
Net increase in net
assets resulting from
operations 1,295,868 129,419 131,987 273,697 384,934 50,939 263,685 61,207
----------- ---------- ---------- ---------- ----------- ----------- ----------- ----------
Contract owners activity:
Payments received from
contract owners 24,271,995 2,915,558 2,950,701 3,035,487 3,973,450 3,946,882 5,241,129 2,208,788
Net transfers between
sub-accounts and/or
fixed account (51,686) (166,332) (120,369) 47,771 672,000 (1,138,789) 555,914 98,119
Withdrawals and
surrenders (147,317) (20,170) (21,168) (17,803) (26,742) (16,705) (29,858) (14,871)
Contract maintenance
change (1,706) (249) (163) (256) (188) (134) (538) (178)
----------- ---------- ---------- ---------- ----------- ----------- ----------- ----------
Net increase from
contract activity 24,071,286 2,728,807 2,809,001 3,065,199 4,618,520 2,791,254 5,766,647 2,291,858
----------- ---------- ---------- ---------- ----------- ----------- ----------- ----------
Net increase in net
assets 25,367,154 2,858,226 2,940,988 3,338,896 5,003,454 2,842,193 6,030,332 2,353,065
Net assets, at beginning
of period 2,068,211 174,982 175,704 339,933 250,493 443,543 358,485 325,071
----------- ---------- ---------- ---------- ----------- ----------- ----------- ----------
Net assets, at end of
period $27,435,365 $3,033,208 $3,116,692 $3,678,829 $ 5,253,947 $ 3,285,736 $ 6,388,817 $2,678,136
=========== ========== ========== ========== =========== =========== =========== ==========
</TABLE>
The accompanying notes are an integral part of the financial statements.
4
<PAGE> 7
WESTERN-SOUTHERN LIFE ASSURANCE COMPANY SEPARATE ACCOUNT 1
Notes to Financial Statements
- --------------------------------------------------------------------------------
1. ORGANIZATION
Western-Southern Life Assurance Company Separate Account 1 (the "Account")
is a unit investment trust registered under the Investment Company Act of 1940
(the "1940 Act"), established by the Western-Southern Life Assurance Company
(the "Company"), a life insurance company which is a wholly-owned subsidiary of
the Western and Southern Life Insurance Company ("Western & Southern"). The
Account is a funding vehicle for individual variable annuity contracts, and
commenced operations on February 23, 1995.
The variable annuity contracts are designed for individual investors and
group plans that desire to accumulate capital on a tax-deferred basis for
retirement or other long-term objectives. The variable annuity contracts are
distributed across the United States through a network of broker-dealers and
wholesalers.
2. SIGNIFICANT ACCOUNTING POLICIES
The Account has seven investment sub-accounts each of which invests in the
corresponding portfolio (a "Portfolio") of Select Advisors Variable Insurance
Trust or of Select Advisors Portfolios, each of which is an open-ended
diversified management investment company. The sub-account's value fluctuates on
a day to day basis depending on the investment performance of the Portfolio in
which the sub-account is invested. A contractholder may also allocate funds to
the Fixed Account, which is part of the general account of the Company. Due to
exemptive and exclusionary provisions, interests in the Fixed Account have not
been registered under the Securities Act of 1933 (the "1933 Act") and the
Company's general account has not been registered as an investment company under
the 1940 Act. Sub-account transactions are recorded on the trade date and income
from dividends is recorded on the ex-dividend date. Realized gains and losses on
the sales of investments are computed on the basis of specific identification.
Upon annuitization, the contract assets are transferred to the general
account of the Company. Accordingly, contract reserves are recorded by the
Company. See the related prospectus for a more detailed understanding of the
annuity contracts.
3. CONTRACT CHARGES
Certain deduction for administrative and risk charges are deducted from the
contract value, in order to compensate the Company for administrative expenses
and for the assumption of mortality and expense risks. These charges are made
daily at an annual effective rate of 1.35%.
The Company also deducts an annual contract maintenance charge from the
contract value on each contract anniversary and upon any full surrender. The
contract maintenance charge is $35 for the first ten Contract Years and the
lesser of (a) $35 and (b) 0.17% of the Contract Value after the tenth Contract
Anniversary.
Since no deduction for a sales charge is made from the payments received
from contract owners, a surrender charge is imposed on certain surrenders and
partial withdrawals to cover expenses relating to promotion, sale and
distribution of the contracts. The surrender charge is assessed on each
redemption, except for certain amounts excluded from charges under the contract.
This charge ranges from 7% to 0% depending on the number of years since the
payment was received.
4. USE OF ESTIMATES
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenues and expenses during the
reporting period. Actual results could differ from those estimates.
5. TAXES
The Account is not taxed separately because the operations of the Account
are part of the total operations of the Company. The Company is taxed as a life
insurance company under the Internal Revenue Code. Under existing federal income
tax law, no taxes are payable on the investment income or on the capital gains
of the Account.
5
<PAGE> 8
WESTERN-SOUTHERN LIFE ASSURANCE COMPANY SEPARATE ACCOUNT 1
Notes to Financial Statements
- --------------------------------------------------------------------------------
6. PURCHASES AND SALES OF INVESTMENTS
The following table shows aggregate cost of shares and beneficial interests
of the Portfolios purchased and proceeds from shares and beneficial interests of
the Portfolios sold by the corresponding sub-accounts for the period January 1,
1997 to June 30, 1997.
<TABLE>
<CAPTION>
PURCHASES SALES
---------- ----------
<S> <C> <C>
Select Advisors Variable Insurance Trust
Emerging Growth Portfolio $6,031,012 $ 887,514
International Equity Portfolio 4,620,611 94,897
Balanced Portfolio 5,344,053 130,364
Income Opportunity Portfolio 8,786,053 1,601,997
Standby Income Portfolio 7,625,423 3,494,426
Select Advisors Portfolios
Growth & Income Portfolio II 7,993,388 879,888
Bond Portfolio II 3,082,780 167,605
</TABLE>
7. UNIT VALUES
The following table shows a summary of units outstanding for variable
annuity contracts for the period January 1, 1997 to June 30, 1997.
<TABLE>
<CAPTION>
TRANSFERS
BEGINNING UNITS UNITS BETWEEN SUB- ENDING UNIT ENDING
UNITS PURCHASED REDEEMED ACCOUNTS UNITS VALUE VALUE
--------- --------- -------- ------------ ------- --------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Emerging Growth Sub-account 236,639 322,393 (5,390) 68,456 622,098 14.684666 $ 9,135,304
International Equity Sub-account 252,346 272,766 (5,687) 92,494 611,919 13.865066 8,484,293
Balanced Sub-account 266,916 346,479 (6,995) 25,963 632,363 14.977466 9,471,193
Income Opportunity Sub-account 334,062 447,384 (10,430) (22,185) 748,831 17.088785 12,796,616
Standby Income Sub-account 306,751 605,875 (10,841) (222,512) 679,273 10.909239 7,410,348
Growth & Income Sub-account 451,141 533,891 (13,040) (14,859) 957,133 15.051902 14,406,675
Bond Sub-account 235,025 236,580 (5,794) 26,661 492,472 11.648950 5,736,785
-----------
$67,441,214
===========
</TABLE>
6
<PAGE> 9
WESTERN-SOUTHERN LIFE ASSURANCE COMPANY SEPARATE ACCOUNT 1
Supplementary Information-selected Per Unit Data and Ratios
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EMERGING INTERNATIONAL INCOME STANDBY GROWTH &
GROWTH EQUITY BALANCED OPPORTUNITY INCOME INCOME BOND
SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT
---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
FOR THE SIX MONTHS ENDED JUNE
30, 1997 (UNAUDITED)
Per unit data
Investment income $ -- $ -- $ 0.139205 $ 0.813369 $ 0.280417 $ -- $ --
Expenses 0.087288 0.084877 0.094681 0.108948 0.071868 0.095396 0.076088
---------- ---------- ---------- ---------- ---------- ---------- ----------
Investment income-net (0.087288) (0.084877) 0.044524 0.704421 0.208548 (0.095396) (0.076088)
Net realized and unrealized
gain (loss) on investments 1.954107 1.599058 1.150204 0.656887 (0.010727) 0.985820 0.329907
---------- ---------- ---------- ---------- ---------- ---------- ----------
Net increase (decrease) in
net asset value 1.866819 1.514181 1.194728 1.361308 0.197821 0.890424 0.253819
Beginning of period 12.817847 12.350885 13.782738 15.727477 10.711418 14.161478 11.395131
---------- ---------- ---------- ---------- ---------- ---------- ----------
End of period $14.684666 $13.865066 $14.977466 $17.088785 $10.909239 $15.051902 $11.648950
========== ========== ========== ========== ========== ========== ==========
Ratios
Ratio of operating expense
to average net assets (%) 0.61% 0.63% 0.64% 0.66% 0.69% 0.64% 0.65%
Ratio of investment
income-net to average net
assets (%) (0.61)% (0.62)% 0.49% 4.54% 2.02% (0.63)% (0.66)%
FOR THE YEAR ENDED
DECEMBER 31, 1996
- --------------------------------------------------------------------------------------------------------------------------------
Per unit data
Investment income $ 0.334587 $ 0.083236 $ 0.564184 $ 1.961352 $ 0.546191 $ -- $ --
Expenses 0.165347 0.159808 0.170051 0.189796 0.141698 0.181541 0.149925
---------- ---------- ---------- ---------- ---------- ---------- ----------
Investment income-net 0.169240 (0.076572) 0.394133 1.771556 0.404493 (0.181541) (0.149925)
Net realized and unrealized
gain (loss) on investments 0.961438 1.196627 1.425763 1.440778 (0.010269) 1.852780 0.282532
---------- ---------- ---------- ---------- ---------- ---------- ----------
Net increase (decrease) in
net asset value 1.130678 1.120055 1.819896 3.212334 0.394224 1.671239 0.132607
Beginning of year 11.687169 11.230830 11.962842 12.515143 10.317194 12.490239 11.262524
---------- ---------- ---------- ---------- ---------- ---------- ----------
End of year $12.817847 $12.350885 $13.782738 $15.727477 $10.711418 $14.161478 $11.395131
========== ========== ========== ========== ========== ========== ==========
Ratios
Ratio of operating expense
to average net assets (%) 0.96% 0.98% 0.99% 0.81% 0.97% 0.94% 1.08%
Ratio of investment
income-net to average net
assets (%) 4.00% 0.18% 4.36% 12.28% 2.77% (0.74)% (1.03)%
FOR THE PERIOD FROM FEBRUARY
23, 1995 (COMMENCEMENT OF
OPERATIONS) TO DECEMBER 31,
1995
- --------------------------------------------------------------------------------------------------------------------------------
Per unit data
Investment income $ 0.786333 $ 0.033593 $ 1.121644 $ 1.546728 $ 0.482206 $ -- $ --
Expenses 0.123840 0.123076 0.127804 0.127882 0.115186 0.126716 0.120569
---------- ---------- ---------- ---------- ---------- ---------- ----------
Investment income-net 0.662493 (0.089483) 0.993840 1.418846 0.367020 (0.126716) (0.120569)
Net realized and unrealized
gain (loss) on investments 1.024676 1.320313 0.969002 1.096297 (0.049826) 2.616955 1.383093
---------- ---------- ---------- ----------- ---------- ---------- ----------
Net increase (decrease) in
net asset value 1.687169 1.230830 1.962842 2.515143 0.317194 2.490239 1.262524
Beginning of year 10.000000 10.000000 10.000000 10.000000 10.000000 10.000000 10.000000
---------- ---------- ---------- ----------- ----------- ---------- ----------
End of year $11.687169 $11.230830 $11.962842 $12.515143 $10.317194 $12.490239 $11.262524
========== ========== ========== ========== ========== ========== ==========
Ratios
Ratio of operating expense
to average net assets (%) 0.58% 0.66% 0.67% 0.68% 0.64% 0.63% 0.75%
Ratio of investment
income-net to average net
assets (%) 12.54% 0.06% 13.90% 6.77% 2.00% (0.61)% (0.75)%
</TABLE>
The above information was prepared using daily weighted-average units
outstanding.
The accompanying notes are an integral part of the financial statements.
7
<PAGE> 10
TOUCHSTONE
[LOGO]-------------------------------
Touchstone Variable Annuity
---------------
Select Advisors Variable
Insurance Trust
- Emerging Growth Portfolio
- International Equity Portfolio
- Balanced Portfolio
- Income Opportunity Portfolio
- Standby Income Portfolio
- --------------------------------------------------------------------------------
SEMI-ANNUAL REPORT
JUNE 30, 1997
- --------------------------------------------------------------------------------
<PAGE> 11
EMERGING GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ --------
<S> <C> <C>
COMMON STOCKS (87.3%)
AUTOMOTIVE (1.5%)
3,900 Bandag, Class A................. $ 189,881
----------
BANKING (5.3%)
5,000 BA Merchant Services, Class A*.. 95,313
2,100 Bank United, Class A............ 79,800
7,500 Dime Bancorp.................... 131,250
3,975 First Security.................. 108,567
9,000 Glendale Federal Bank*.......... 235,125
----------
650,055
----------
BEVERAGES, FOOD & TOBACCO (3.5%)
6,700 DiMon........................... 177,550
1 General Mills................... 52
7,400 Ralcorp Holdings*............... 109,150
2,500 Robert Mondavi, Class A*........ 118,125
900 Rykoff-Sexton................... 20,981
----------
425,858
----------
BUILDING MATERIALS (3.7%)
6,600 Calmat.......................... 141,900
5,700 Martin Marietta Materials....... 184,538
3,500 Sawtek*......................... 118,125
----------
444,563
----------
CHEMICALS (2.0%)
10,000 Calgon Carbon................... 138,750
4,500 Standard Products............... 113,625
----------
252,375
----------
COMMERCIAL SERVICES (10.1%)
9,700 A C Nielson*.................... 190,363
8,000 APAC Teleservices*.............. 155,500
4,600 Administaff*.................... 111,263
5,700 Advance Paradigm*............... 105,450
3,600 Commerce Group*................. 90,550
8,100 Metromail*...................... 200,475
2,500 National Service Industries..... 121,719
2,500 Stewart Enterprises............. 105,000
5,700 Wallace Computer Services....... 171,356
----------
1,251,676
----------
COMMUNICATIONS (2.1%)
3,200 Cincinnati Bell................. 100,800
3,700 Geotel Communications Group*.... 49,488
4,800 Octel Communication*............ 112,500
----------
262,788
----------
COMPUTER SOFTWARE & PROCESSING
(11.9%)
4,000 Cambridge Technology Partners*.. 128,000
2,500 CBT Group*...................... 157,813
4,000 Complete Business Solutions*.... 99,000
4,500 Computer Learning Center*....... 189,000
4,000 HNC Software*................... 152,500
3,500 IDX Systems*.................... 120,750
3,500 Information Management
Resources*.................... 159,250
2,200 Keane*.......................... 114,400
3,400 Policy Management System*....... 159,800
500 PSW Technologies*............... 5,875
4,100 Software Artistry*.............. 65,088
2,900 Wind River Systems*............. 110,925
----------
1,462,401
----------
COMPUTERS & INFORMATION (7.0%)
2,000 Ascend Communications*.......... $ 78,750
3,000 EMC*............................ 117,000
8,600 Gerber Scientific............... 169,850
15,600 Intergraph*..................... 132,600
4,900 Larson Davis*................... 42,875
2,200 Saville Systems, ADR*........... 114,400
11,900 Scitex.......................... 104,869
3,074 Sterling Commerce*.............. 101,058
----------
861,402
----------
EDUCATION (1.2%)
4,000 Strayer Education............... 152,000
----------
ELECTRONICS (3.4%)
5,000 Elexsys International*.......... 83,750
3,000 Microchip Technology*........... 89,250
3,400 Sipex Corporation*.............. 123,250
3,000 Teradyne*....................... 117,750
----------
414,000
----------
ENTERTAINMENT & LEISURE (1.1%)
4,000 Cinar Films, Class B*........... 130,000
----------
HEALTH CARE PROVIDERS (0.9%)
12,000 Dianon Systems*................. 115,500
----------
HEAVY MACHINERY (3.4%)
6,400 BW/IP........................... 130,000
1,700 Camco International............. 93,075
5,200 Global Industrial
Technologies*................. 106,600
2,200 Helix Technology................ 89,100
----------
418,775
----------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES (1.5%)
3,200 Herman Miller................... 115,200
1,800 LA-Z-Boy Chair.................. 64,800
----------
180,000
----------
INDUSTRIAL--DIVERSIFIED (0.9%)
6,000 CN Bioscience*.................. 114,000
----------
INSURANCE (2.6%)
1,800 Hartford Steam Boiler Group..... 96,075
4,500 Western National................ 120,656
9,500 Willis Coroon Group............. 106,281
----------
323,012
----------
MEDIA--BROADCASTING & PUBLISHING
(2.0%)
2,000 Central Newspapers, Class A..... 143,250
4,100 Lee Enterprises................. 108,132
----------
251,382
----------
MEDICAL (3.7%)
5,900 Atria Communities*.............. 90,713
5,900 EG&G............................ 132,750
9,700 Elsag Bailey*................... 178,238
3,400 Millennium Pharmaceuticals*..... 54,825
----------
456,526
----------
METALS (0.6%)
1,800 Harsco.......................... 72,900
----------
OIL & GAS (3.7%)
800 Cabot Oil & Gas Group, Class A.. 14,100
4,400 Equitable Resources............. 124,850
5,600 Nabors Industries*.............. 140,000
</TABLE>
The accompanying notes are an integral part of the financial statements.
9
<PAGE> 12
EMERGING GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ --------
<S> <C> <C>
OIL & GAS--CONTINUED
5,000 Natural Gas Clearinghouse....... $ 77,188
6,800 Quaker State.................... 103,700
-----------
459,838
-----------
PHARMACEUTICALS (1.7%)
3,100 Depotech*....................... 42,238
10,200 Sequus Pharmaceuticals*......... 65,025
3,500 Sonus Pharmaceuticals*.......... 98,438
-----------
205,701
-----------
REAL ESTATE (0.8%)
4,000 Arden Realty Group.............. 104,000
-----------
RETAILERS (5.8%)
25,600 Charming Shoppes*............... 133,599
4,000 CUC International*.............. 103,250
4,800 Duty Free International......... 90,000
2,700 Fred Meyer*..................... 139,556
4,000 Stanhome........................ 131,500
2,100 Waban*.......................... 67,594
2,500 Zale*........................... 49,531
-----------
715,030
-----------
TEXTILES, CLOTHING & FABRICS
(1.7%)
4,800 Albany International............ 108,000
7,800 Stride Rite..................... 100,425
-----------
208,425
-----------
TRANSPORTATION (3.7%)
5,000 Alexander & Baldwin............. $ 130,625
11,400 Fritz Companies*................ 110,438
8,200 JB Hunt Transportation
Services...................... 121,975
3,500 Knightsbridge Tankers........... 88,375
-----------
451,413
-----------
SHIPBUILDING (1.5%)
9,700 Newport News Shipbuilding....... 188,544
-----------
TOTAL COMMON STOCKS
(COST $9,027,559)....................... 10,762,045
-----------
TOTAL INVESTMENTS AT VALUE (87.3%)
(COST $9,027,559) (a)................... $10,762,045
CASH AND OTHER ASSETS
NET OF LIABILITIES (12.7%).............. 1,571,615
-----------
NET ASSETS (100.0%)..................... $12,333,660
===========
</TABLE>
- ------------------------------
* Non-income producing security.
(a) The aggregate identified cost for federal income tax purposes
is $9,027,559, the aggregate gross unrealized appreciation of
$1,872,427 and gross unrealized depreciation of $137,941, and
net unrealized appreciation of $1,734,486.
ADR - American Depositary Receipt
================================================================================
INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1997(UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C> <C>
COMMON STOCKS (86.5%)
AUSTRALIA (0.0%)
1 Broken Hill Proprietary..... $ 7
-----------
BRAZIL (4.8%)
2,555 Cemig, ADR.................. 128,634
5,420 Petroleo Brasileiro, ADR.... 148,520
2,400 Telecomunicacoes
Brasileiras, ADR.......... 364,200
1,880 Unibanco, GDR* ............. 69,795
-----------
711,149
-----------
CANADA (1.7%)
3,143 Canadian Imperial Bank of
Commerce.................. 79,078
2,638 Inco........................ 79,305
2,071 Royal Bank of Canada........ 93,867
-----------
252,250
-----------
CHILE (1.7%)
2,195 Chilectra, ADR.............. 63,174
3,210 Chilgener, ADR.............. 89,880
2,570 Compania De
Telecomunicaciones de
Chile, ADR................ 84,810
500 Enersis, ADR................ 17,781
-----------
255,645
-----------
FINLAND (1.4%)
1,461 Nokia, ADR.................. 107,749
779 Nokia, Class A.............. 58,843
1,200 Pohjola Insurance, Class B.. 35,610
-----------
202,202
-----------
FRANCE (6.6%)
641 Accor....................... $ 96,035
782 Alcatel Alsthom............. 97,988
1,036 AXA......................... 64,467
88 Carrefour Supermarche....... 63,943
303 Christian Dior.............. 50,038
687 Cie Generale Des Eaux....... 88,072
420 Compagnie De Saint Goban.... 61,280
22,120 Compagnie Financierede
Suez...................... 54,418
430 Rhone Polenc, ADR........... 17,899
393 Rhone Polenc................ 16,058
860 SGS-Thompson
Microelectronics*......... 68,800
820 Societe National
Elf-Aquitaine............. 88,510
728 Technip..................... 84,529
541 Total, Series B............. 54,711
4,122 Usinor Sacilor.............. 74,388
-----------
981,136
-----------
GERMANY (4.7%)
259 Adidas...................... 28,688
1,906 Commerzbank................. 54,037
724 Daimler Benz................ 58,794
</TABLE>
The accompanying notes are an integral part of the financial statements.
10
<PAGE> 13
INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1997(UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C> <C>
GERMANY--CONTINUED
1,840 Degussa..................... $ 97,468
368 Kloeckner Werke*............ 25,555
92 Mannesmann.................. 41,025
486 Schering.................... 51,976
1,120 Siemens..................... 66,559
785 Veba........................ 44,150
306 Vokswagen................... 234,797
----------
703,049
----------
GREAT BRITAIN (10.3%)
26,500 Avis Europe*................ 60,263
21,488 BG.......................... 79,116
5,200 Boots....................... 60,946
11,201 British Petroleum........... 139,303
11,652 British Telecommunications.. 86,579
14,400 Compass Group............... 161,570
4,586 Imperial Chemical
Industries................ 63,835
9,825 Lloyds TSB Group............ 100,830
10,135 Lucasvarity................. 35,121
3,109 National Westminster........ 41,825
9,429 Pearson..................... 109,254
10,900 Railtrack Group............. 113,587
8,281 Standard Chartered Bank..... 126,373
3,362 Unilever.................... 96,423
42,190 WPP Group................... 173,261
220 Zeneca Group, ADR........... 21,808
2,072 Zeneca Group................ 68,556
----------
1,538,650
----------
HONG KONG (4.3%)
13,500 Cheung Kong Holdings........ 133,305
24,000 Citic Pacific............... 149,936
64,000 Henderson Investment........ 70,631
35,000 Hong Kong & China Gas....... 70,024
5,132 HSBC Holdings............... 154,345
7,300 Swire Pacific, Class A...... 65,723
----------
643,964
----------
ISRAEL (1.0%)
2,770 ECI Telecommunications...... 82,408
220 Geotek Communications*...... 1,196
1,050 Teva Pharmaceutical
Industries, ADR........... 67,988
----------
151,592
----------
ITALY (3.3%)
1,081 Gucci Group................. 69,589
10,000 Istituto Mobiliare
Italiano.................. 89,488
30,221 Stet, RISP.................. 104,642
10,540 Stet........................ 61,390
41,982 Telecom Italia Mobile,
SPA....................... 135,017
21,230 Telecom Italia Mobile....... 37,654
----------
497,780
----------
JAPAN (20.7%)
1,500 Acom........................ 72,330
1,100 Advantest................... 84,560
2,000 Aoyama Trading.............. 64,294
400 Bank of Tokyo-Mitsubishi.... 8,037
6,000 Bridgestone................. 139,419
4,000 Canon....................... 109,019
5,000 Daiichi Pharmaceutical...... 88,229
8,000 Fujitsu..................... 111,116
3,000 Fuji........................ 120,812
4,000 Honda Motor................. 120,550
2,600 Konami Company.............. 97,209
7,000 Matsushita Electric......... 141,254
10,000 Minebea..................... 106,573
6,000 Mitsubishi Estate........... 87,006
5,000 Mitsubishi Trust............ 79,057
1,800 Namco....................... 69,500
8,000 NEC......................... 111,815
1,200 Nintendo Corp............... 100,424
5,000 Nippon Comsys............... 74,252
250 Nippon Television Network... 100,459
2,000 Ono Pharmaceutical.......... 70,059
1,300 Promise Company............. 74,497
1,000 Rohm Company................ 101,332
1,000 Secom....................... 73,466
7,000 Sharp....................... 96,615
900 Sony........................ 78,541
8,000 Sumitomo Trust & Banking.... 85,958
5,000 Takuma...................... 68,137
2,000 TDK......................... 146,932
4,000 Terumo...................... 76,523
15,000 Toshiba..................... 96,571
4,000 Toyota Motor................ 118,104
4,000 Yamanouchi Pharmaceutical... 107,622
----------
3,080,272
----------
KOREA (1.2%)
8,230 Korea Fund*................. 121,393
2,028 Pohang Iron & Steel, ADR.... 64,896
----------
186,289
----------
MEXICO (4.2%)
32,908 Cemex, Class B.............. 158,508
8,340 Corporacion Geo, Series
B*........................ 47,933
24,895 Fomento Economico Mexicano.. 148,089
33,300 Grupo Financiero Banamex
Accival, Series B......... 86,271
19,400 Grupo Financiero Banamex
Accival, Series L......... 45,380
36,385 Kimberly Clark Mexico,
Series A.................. 144,140
----------
630,321
----------
NETHERLANDS (4.8%)
790 Ahrend...................... 53,365
1,288 ASM Lithography Holding*.... 74,529
1,712 Ing Groep................... 78,989
532 Oce-Van Der Grinten......... 68,673
3,900 Philips Electronics......... 279,551
836 Vendex International........ 45,817
5,340 Verenigde Nederlandse....... 118,152
----------
719,076
----------
PERU (0.9%)
4,990 Telefonica Del Peru, ADR.... 130,676
PHILIPPINES (0.1%)
12,225 Ayala, Class B.............. 8,806
PORTUGAL (0.9%)
2,800 Cimentos De Portugal........ 65,322
900 Portugal Telecom, ADR....... 36,113
800 Portugal Telecom............ 32,304
----------
133,739
----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
11
<PAGE> 14
INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1997(UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C> <C>
SINGAPORE (1.6%)
8,760 Overseas Chinese Banking.... $ 90,682
3,400 Singapore Press Holdings.... 68,490
9,000 Straits Steamship Land...... 23,921
6,000 United Overseas Bank........ 61,691
-----------
244,784
-----------
SOUTH AFRICA (0.0%)
1 South African Breweries..... 31
-----------
244,784
-----------
SPAIN (2.7%)
4,100 Autopistas Concesionaria.... 55,659
5,010 Banco De Santander.......... 154,389
194 Bankinter................... 34,237
1,170 Sol Melia................... 48,047
1,327 Telefonica De Espana, ADR... 114,454
-----------
406,786
-----------
SWEDEN (3.3%)
1,000 ABB......................... 14,038
1,219 Electrolux.................. 88,008
1,954 Ericsson Telephone, ADR,
Class B................... 76,939
208 Granges*.................... 2,758
3,435 Hennes & Mauritz............ 120,887
2,551 Skandia Forsakrings......... 94,067
3,464 SKF......................... 89,638
-----------
486,335
-----------
SWITZERLAND (5.3%)
250 Adecco...................... 95,936
40 Asea Brown Boveri........... 60,577
60 Gebruder Sulzer............. 51,395
18 Kuoni Reisen Holdings....... 61,673
8 Novartis-Bearer............. 12,784
144 Novartis.................... 233,281
17 Roche Holding............... 153,831
52 Sairgroup*.................. 58,296
42 Swiss Reinsurance........... 59,433
-----------
787,206
-----------
VENEZUELA (1.0%)
3,330 Cia Anonima Telef De
Venezuela, ADR............ $ 143,606
-----------
TOTAL COMMON STOCKS (COST
$10,998,326)............................ 12,895,351
-----------
PREFERRED STOCKS (1.5%)
GERMANY (1.5%)
123 Dyckerhoff.................. 44,472
225 GEA......................... 87,291
1,516 Henkel...................... 86,134
-----------
TOTAL PREFERRED STOCKS (COST $204,737).. 217,897
-----------
PRINCIPAL
- ---------
CORPORATE BONDS (0.0%)
CAYMAN ISLANDS (0.0%)
$ 50 HKR International, 6.00%,
06/26/00.................. 6
-----------
TOTAL CORPORATE BONDS (COST $6)......... 6
-----------
TOTAL INVESTMENTS AT VALUE (88.0%) (COST
$11,203,069) (a)........................ $13,113,254
CASH AND OTHER ASSETS NET OF LIABILITIES
(12.0%)................................. 1,795,431
-----------
NET ASSETS(100.0%)...................... $14,908,685
===========
</TABLE>
- ------------------------------
* Non-income producing security
(a) The aggregate identified cost for federal income tax purposes
is $11,203,069, the aggregate gross unrealized appreciation of
$1,976,263 and gross unrealized depreciation of $66,078, and
net unrealized appreciation of $1,910,185.
ADR - American Depositary Receipt
RISP - Risparmio (Italian "Savings Shares")
================================================================================
BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C> <C>
COMMON STOCKS (56.9%)
AEROSPACE & DEFENSE (3.6%)
4,400 Boeing...................... $ 233,475
2,200 Lockheed Martin............. 227,838
-----------
461,313
-----------
AIRLINES (2.0%)
2,800 AMR*........................ 259,000
-----------
BANKING (4.5%)
1,900 Citicorp.................... 229,065
3,100 Federal National Mortgage
Association............... 135,238
800 Wells Fargo................. 215,600
-----------
579,903
-----------
BEVERAGES, FOOD & TOBACCO
(3.2%)
3,600 Grand Metropolitan.......... 141,075
2,600 McDonald's.................. 125,613
3,900 Sysco....................... 142,350
-----------
409,038
-----------
CHEMICALS (3.6%)
5,400 Monsanto.................... $ 232,538
5,000 SGL Carbon, ADR............. 232,500
-----------
465,038
-----------
COMMERCIAL SERVICES (1.6%)
5,600 R.R. Donnelley & Sons....... 205,100
-----------
COMMUNICATIONS (1.7%)
9,200 Cox Communications, Class
A*........................ 220,800
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
12
<PAGE> 15
BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C> <C>
COMPUTERS & INFORMATION
(1.3%)
4,300 EMC*........................ $ 167,700
----------
ELECTRICAL EQUIPMENT (2.5%)
7,000 Ucar International*......... 320,250
----------
ELECTRONICS (2.6%)
3,800 Adaptec*.................... 132,050
8,200 General Instrument*......... 205,000
----------
337,050
----------
ENTERTAINMENT & LEISURE
(2.0%)
4,600 Polaroid.................... 255,300
----------
FINANCIAL SERVICES (10.1%)
9,500 Countrywide Credit.......... 296,281
7,500 Homestead Village
Property*................. 133,125
3,700 Renaissancere Holdings...... 141,063
12,200 Sabre Group Holding*........ 330,925
11,500 Security Capital Industrial
Trust..................... 247,250
6,000 Security Capital Pacific
Trust..................... 137,250
----------
1,285,894
----------
HEALTH CARE PROVIDERS (1.7%)
7,500 Tenet Healthcare*........... 221,719
----------
HEAVY MACHINERY (3.8%)
1,300 Caterpillar................. 139,588
10,100 Lucasvarity................. 349,713
----------
489,301
----------
INDUSTRIAL--DIVERSIFIED (1.2%)
2,000 Armstrong World
Industries................ 146,750
----------
INSURANCE (0.6%)
550 American International
Group..................... 82,156
----------
LODGING (1.0%)
7,100 Harrah's Entertainment*..... 127,800
----------
OIL & GAS (2.8%)
3,200 Anadarko Petroleum.......... 192,000
3,500 Triton Energy*.............. 160,344
----------
REAL ESTATE (1.7%)
8,900 Oakwood Homes............... 213,600
----------
352,344
----------
TELEPHONE SYSTEMS (2.4%)
5,700 Sprint...................... 299,963
----------
TEXTILES, CLOTHING & FABRICS (1.3%)
4,400 Unifi....................... 164,450
----------
TRANSPORTATION (1.7%)
7,800 Canadian Pacific............ 221,813
----------
TOTAL COMMON STOCKS (COST $6,873,934)...
7,286,282
----------
<CAPTION>
VALUE
PRINCIPAL (NOTE 1)
- --------- --------
<S> <C> <C>
CORPORATE BONDS (13.4%)
$ 20,000 Access Financial, 7.10%,
05/15/21.................. $ 19,941
300,000 AK Steel, 9.12%, 12/15/06... 308,250
250,000 BB&T, 7.25%, 06/15/07....... 250,614
100,000 Belo, 6.88%, 06/01/02....... 100,099
250,000 Bonos Del Tesoro, 8.75%,
05/09/02.................. 250,008
250,000 Chase Manhattan, 7.25%,
06/01/07.................. 251,512
215,000 Financiera Energy, 9.38%,
06/15/06.................. 227,934
40,000 G.E. Capital Management
Service, 6.50%,
11/25/23.................. 35,371
44,500 G.E. Capital Management
Service, 6.50%,
03/25/24.................. 42,332
810,000 Nykredit, 6.00%, 10/01/26... 112,944
120,000 Paine Webber Group, 7.00%,
03/01/00.................. 120,826
----------
TOTAL CORPORATE BONDS (COST
$1,711,502)............................. 1,719,831
----------
MORTGAGE BACKED (1.4%)
27,803 Federal National Mortgage
Association, 5.00%,
10/25/03.................. 27,644
35,000 Federal National Mortgage
Association, 6.15%,
10/25/07.................. 34,393
30,594 Merrill Lynch Mortgage
Investment, 7.65%,
01/15/12.................. 31,026
7,423 Merrill Lynch Mortgage
Investment, 9.70%,
07/15/10.................. 7,607
40,000 Merrill Lynch Mortgage
Investment, 7.09%,
12/26/25.................. 40,009
50,000 Prudential Home Mortgage
Securities, 6.25%,
04/25/24.................. 42,906
----------
TOTAL MORTGAGE BACKED (COST $183,515)...
183,585
----------
MUNICIPAL BONDS (2.4%)
40,000 Baltimore Community
Development Financing,
8.20%, 08/15/07........... 42,150
15,000 Colorado HFA, Series B,
8.00%, 08/01/02........... 15,002
20,000 Michigan State Job
Development Authority,
7.10%, 05/01/98........... 20,118
65,000 New York City, 0.00%,
11/15/14.................. 49,156
10,000 New York City, 9.75%,
08/15/12.................. 10,875
40,000 New York State HFA Service,
7.50%, 09/15/03........... 40,000
</TABLE>
The accompanying notes are an integral part of the financial statements.
13
<PAGE> 16
BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
PRINCIPAL (NOTE 1)
- --------- --------
<S> <C> <C>
MUNICIPAL BONDS--CONTINUED
$ 50,000 Ohio Housing Financial
Agency, 7.90%, 10/01/14... $ 50,750
30,000 Oklahoma City Airport,
9.40%, 11/01/10........... 32,025
40,000 Oregon State General
Obligation, 6.90%,
01/01/00.................. 40,000
-----------
TOTAL MUNICIPAL BONDS (COST $293,144)...
300,076
-----------
SOVEREIGN DEBT (3.3%)
AUSTRALIA (1.3%)
187,000 Australian Government,
10.00%, 10/15/07.......... 171,230
-----------
MEXICO (0.9%)
100,000 Mexico Global Bond, 11.50%,
05/15/26.................. 114,250
-----------
SOUTH AFRICA (1.1%)
695,000 Republic of South Africa,
12.00%, 02/28/05.......... 136,579
-----------
TOTAL SOVEREIGN DEBT (COST $417,198).... 422,059
-----------
U.S. GOVERNMENT & AGENCY OBLIGATIONS
(18.4%)
275,000 U.S. Treasury Bond, 6.75%,
08/15/26.................. 272,030
700,000 U.S. Treasury Note, 5.75%,
08/15/03.................. 675,731
215,000 U.S. Treasury Note, 6.12%,
08/31/98.................. 215,559
605,000 U.S. Treasury Note, 6.25%,
04/30/01.................. 603,106
345,000 U.S. Treasury Note, 5.75%,
10/31/00.................. 339,446
240,000 U.S. Treasury Note, 7.25%,
08/15/04.................. 249,953
-----------
TOTAL U.S. GOVERNMENT & AGENCY
OBLIGATIONS (COST $2,344,524)........... 2,355,825
-----------
TOTAL INVESTMENTS AT VALUE (95.8%) (COST
$11,823,817) (a)........................ $12,267,658
CASH AND OTHER ASSETS NET OF LIABILITIES
(4.2%).................................. 534,718
-----------
NET ASSETS (100.0%)..................... $12,802,376
===========
</TABLE>
- ------------------------------
* Non-income producing security
(a) The aggregate identified cost for federal income tax purposes
is $11,823,817, the aggregate gross unrealized appreciation of
$505,897 and gross unrealized depreciation of $62,056, and net
unrealized appreciation of $443,841.
ADR - American Depositary Receipt
HFA - Housing Finance Authority
================================================================================
INCOME OPPORTUNITY PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
PRINCIPAL (NOTE 1)
- --------- --------
<S> <C> <C>
CORPORATE BONDS (65.7%)
BEVERAGES, FOOD & TOBACCO
(2.5%)
$ 400,000 Specialty Foods, 11.13%,
10/01/02.................. $ 396,000
------------
CHEMICALS (1.9%)
300,000 Harris Chemical, 10.75%,
10/15/03.................. 306,000
------------
COMPUTERS & INFORMATION
(1.7%)
250,000 Unisys, 12.00%, 04/15/03.... 270,625
------------
ENTERTAINMENT & LEISURE
(8.1%)
400,000 Conecel, 14.00%, 05/01/02... 425,000
500,000 Pen-Tab Industries, 10.87%,
02/01/07.................. 508,750
350,000 TV Filme, 12.88%,
12/15/04.................. 367,063
------------
1,300,813
------------
FINANCIAL SERVICES (10.8%)
500,000 DGS International Finance,
10.00%, 06/01/07.......... 515,000
1,000,000 PTC International Finance
(Zero Coupon until
7/1/2002, 10.75%
thereafter) (b), 0.00%,
07/01/07.................. 607,500
600,000 Vicap, 11.38%, 05/15/07..... 628,500
------------
1,751,000
------------
HEAVY MACHINERY (6.1%)
$ 250,000 Anchor Glass, 11.25%,
04/01/05.................. $ 268,125
250,000 Central Tractor, 10.62%,
04/01/07.................. 258,750
250,000 EV International, 11.00%,
03/15/07.................. 265,000
200,000 Precise Technology, 11.13%,
06/15/07.................. 199,500
------------
991,375
------------
INDUSTRIAL--DIVERSIFIED
(17.7%)
500,000 FSW International, 12.50%,
11/01/06.................. 516,250
200,000 ICO, 10.37%, 06/01/07....... 205,500
500,000 Innova, 12.88%, 04/01/07.... 524,375
250,000 Neenah, 11.13%, 05/01/07.... 265,000
</TABLE>
The accompanying notes are an integral part of the financial statements.
14
<PAGE> 17
INCOME OPPORTUNITY PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
PRINCIPAL (NOTE 1)
- --------- --------
<S> <C> <C>
INDUSTRIAL--DIVERSIFIED--CONTINUED
$ 500,000 Nippon Denro Ispat, 3.00%
04/01/01.................. $ 265,000
1,750,000 NTS Steel Group Public,
4.00%, 12/16/08........... 358,750
200,000 Therma-Wave, 10.62%,
05/15/04.................. 212,000
500,000 Viasystems, 9.75%,
06/01/07.................. 508,750
-----------
2,855,625
-----------
MEDIA--BROADCASTING &
PUBLISHING (4.2%)
400,000 Frontiervision, 11.00%,
10/15/06.................. 419,000
250,000 ITC Deltacom, 11.00%,
06/01/07.................. 254,060
-----------
673,060
-----------
REAL ESTATE (1.5%)
1,250,000 Bangkok Land, 3.13%,
03/31/01.................. 248,407
-----------
TELEPHONE SYSTEMS (7.5%)
250,000 Brooks Fiber Properties,
10.00%, 06/01/07.......... 252,500
400,000 Orion Network, 11.25%,
01/15/07.................. 418,000
500,000 Tevecap, 12.63%, 11/26/04... 538,750
-----------
1,209,250
-----------
TRANSPORTATION (3.7%)
200,000 Talton Holdings, 11.00%,
06/30/07.................. 201,000
250,000 TFM, 10.25%, 06/15/07....... 254,375
250,000 TFM (Zero Coupon until
6/15/2002, 11.75%
thereafter)(b), 0.00%,
06/15/09.................. 144,375
-----------
599,750
-----------
TOTAL CORPORATE BONDS
(COST $10,699,603)...................... 10,601,905
-----------
SOVEREIGN DEBT (26.0%)
ARGENTINA (4.0%)
679,000 Argentina, 6.75%,
03/31/05.................. 637,839
-----------
BRAZIL (3.6%)
196,114 Republic of Brazil(c),
8.00%, 04/15/14........... 157,381
439,000 Republic of Brazil, 10.13%,
05/15/27.................. 422,538
-----------
579,919
-----------
BULGARIA (3.6%)
$ 600,000 Government of Bulgaria,
6.56%, 07/28/24........... $ 440,250
200,000 Government of Bulgaria,
6.56%, 07/28/11........... 143,750
-----------
584,000
-----------
ECUADOR (1.7%)
387,000 Republic of Ecuador, 6.44%,
02/28/25.................. 275,738
-----------
NIGERIA (1.0%)
250,000 Central Bank of Nigeria,
6.25%, 11/15/20........... 168,438
-----------
PERU (5.6%)
1,400,000 Peru, 4.00%, 03/07/17....... 910,000
-----------
VENEZUELA (6.5%)
450,000 Republic of Venezuela,
Series W-A, 6.75%,
03/31/20.................. 354,375
750,000 Republic of Venezuela,
6.75%, 12/18/07........... 694,688
-----------
1,049,063
-----------
TOTAL SOVEREIGN DEBT
(COST $3,776,706)....................... 5,114,997
-----------
YANKEE BONDS (3.0%)
MEXICO (3.0%)
700,000 Grupo Televisa (Zero Coupon
until 5/15/2001, 13.25%
thereafter)(b), 0.00%,
05/15/08.................. 487,375
-----------
TOTAL YANKEE BONDS (COST $467,551)...... 487,375
-----------
TOTAL INVESTMENTS AT VALUE (94.7%)
(COST $14,943,860)(a)................... $15,294,277
CASH AND OTHER ASSETS NET OF LIABILITIES
(5.3%).................................. 846,886
-----------
NET ASSETS (100.0%)..................... $16,141,163
===========
</TABLE>
- ------------------------------
(a) The aggregate identified cost for federal income tax purposes
is $14,943,860, the aggregate gross unrealized appreciation of
$782,769 and gross unrealized depreciation of $432,352, and net
unrealized appreciation of $350,417.
(b) Step coupon bond.
(c) A percentage of income is received in additional shares at the
discretion of the issuer.
The accompanying notes are an integral part of the financial statements.
15
<PAGE> 18
STANDBY INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1997(UNAUDITED)
<TABLE>
<CAPTION>
VALUE
PRINCIPAL (NOTE 1)
- --------- ---------
<S> <C> <C>
ASSET BACKED (1.6%)
$ 30,031 Advanta Mortgage Loan Trust,
6.140%, 10/25/08.......... $ 29,942
35,592 Daimler Benz Grantor Trust,
3.900%, 10/15/98.......... 35,475
63,225 General Motors Acceptance,
4.150%, 03/16/98.......... 63,193
87,038 Honda Auto Receivables
Grantor Trust, 6.200%,
12/15/00.................. 87,388
-----------
TOTAL ASSET BACKED (COST $215,188)...... 215,998
-----------
COMMERCIAL PAPER (83.0%)
660,000 Autoliv, 5.770%, 07/01/97... 656,403
650,000 Burlington Northern Santa
Fe, 5.730%, 07/16/97...... 643,689
500,000 Case Credit, 5.750%,
07/02/97.................. 497,924
500,000 Comdisco, 5.870%,
07/30/97.................. 497,310
375,000 Commonwealth Edison, 5.850%,
07/09/97.................. 371,953
360,000 Conagra, 5.850%, 07/15/97... 358,947
655,000 ICI Chemical Delaware,
5.800%, 07/08/97.......... 653,628
295,000 Ies Diversified, 5.780%,
07/17/97.................. 293,579
335,000 JB Hunt Transportation
Services, 5.790%,
07/17/97.................. 333,330
395,000 Marriott International,
5.750%, 07/16/97.......... 392,476
485,000 Minnesota Power & Light,
5.820%, 07/11/97.......... 481,707
500,000 Pacificorp, 5.830%,
07/09/97.................. 498,219
430,000 Pennsylvania Fuel, 5.780%,
07/03/97.................. 428,067
650,000 Public Service Electric &
Gas, 5.830%, 07/21/97..... 647,263
610,000 Ryder Systems, 5.750%,
07/08/97.................. 606,590
665,000 Tandy, 5.700%, 07/08/97..... 662,999
380,000 Tenneco, 5.770%, 07/10/97... 378,173
605,000 Texas Utilities, 5.750%,
07/07/97.................. 602,391
$ 415,000 Textron Financial, 5.780%,
07/18/97.................. $ 410,069
620,000 Union Pacific, 5.750%,
07/02/97.................. 617,326
600,000 US West, 5.800%, 07/03/97... 594,973
450,000 Volvo, 5.780%, 07/28/97..... 444,509
-----------
TOTAL COMMERCIAL PAPER
(COST $11,071,525)...................... 11,071,525
-----------
CORPORATE BONDS (12.6%)
BANKING (2.6%)
350,000 Advanta National Bank(a),
6.001%, 09/18/97.......... 350,000
-----------
HOUSEHOLD PRODUCTS (5.0%)
650,000 Mattel, 10.125%, 08/15/02... 674,680
-----------
TELEPHONE SYSTEMS (5.0%)
665,000 AT&T Capital, 5.870%,
08/28/98.................. 662,547
-----------
TOTAL CORPORATE BONDS
(COST $1,691,930)....................... 1,687,227
-----------
MORTGAGE BACKED (2.3%)
308,204 Oakwood Mtg Investors,
6.350%, 09/15/20.......... 308,254
-----------
TOTAL MORTGAGE BACKED (COST $307,867)...
308,254
-----------
TOTAL INVESTMENTS AT VALUE (99.5%)
(COST $13,286,510)(b)................... $13,283,004
CASH AND OTHER ASSETS NET OF LIABILITIES
(0.5%).................................. 70,165
-----------
NET ASSETS (100.0%)..................... $13,353,169
===========
</TABLE>
- ------------------------------
(a) Interest rate shown reflects current rate on instrument with
variable rate.
(b) The aggregate identified cost for federal income tax purposes
is $13,286,510, gross unrealized appreciation the aggregate of
$1,583 and gross unrealized depreciation of $5,088, and net
unrealized depreciation of $3,506.
The accompanying notes are an integral part of the financial statements.
16
<PAGE> 19
SELECT ADVISORS VARIABLE INSURANCE TRUST
Statement of Assets and Liabilities
June 30, 1997 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EMERGING INTERNATIONAL INCOME STANDBY
GROWTH EQUITY BALANCED OPPORTUNITY INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------- ----------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments, at value (Note 1) (a) $10,762,045 13,113,254 $12,267,658 $15,294,277 $13,283,004
Cash 1,865,545 1,825,358 574,844 1,126,107 4,640
Receivables for:
Investments sold -- 292,292 144,901 -- --
Fund shares sold 61,329 44,498 -- 3,425 --
Dividends and interest 14,273 37,710 91,321 300,298 88,202
Foreign tax reclaim -- 13,144 -- -- --
Open forward currency contracts (Note 1) -- -- 3,439 -- --
Deferred organization expenses (Note 1) 9,342 9,342 9,342 9,342 9,408
Other Assets -- 52,460 -- -- --
Reimbursement receivable from Sponsor (Note 3) 32,416 24,937 25,758 24,107 51,999
----------- ----------- ----------- ----------- -----------
Total assets 12,744,950 15,412,995 13,117,263 16,757,556 13,437,253
----------- ----------- ----------- ----------- -----------
LIABILITIES:
Payable for investments purchased 383,988 456,562 276,273 592,410 --
Payable for fund shares repurchased 9 9 18,821 10 55,039
Open forward currency contracts -- 677 -- -- --
Other accrued expenses 27,293 47,062 19,793 23,973 29,045
----------- ----------- ----------- ----------- -----------
Total liabilities 411,290 504,310 314,887 616,393 84,084
----------- ----------- ----------- ----------- -----------
NET ASSETS: $12,333,660 $14,908,685 $12,802,376 $16,141,163 $13,353,169
=========== =========== =========== =========== ===========
Shares outstanding 876,523 1,191,491 920,235 1,383,452 1,334,745
=========== =========== =========== =========== ===========
Net asset value $ 14.07 $ 12.51 $ 13.91 $ 11.67 $ 10.00
=========== =========== =========== =========== ===========
(a) Cost of investments $ 9,027,559 $11,203,069 $11,823,817 $14,943,860 $13,286,510
=========== =========== =========== =========== ===========
</TABLE>
Statement of Operations
June 30, 1997 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EMERGING INTERNATIONAL INCOME STANDBY
GROWTH EQUITY BALANCED OPPORTUNITY INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- ----------- --------- ----------- -------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME (NOTE 1)
Interest $ 30,162 $ 27,990 $ 129,383 $ 738,778 $324,223
Dividends 36,398 123,242(a) 33,874 -- --
---------- ---------- ---------- ---------- --------
Total investment income 66,560 151,232 163,257 738,778 324,223
---------- ---------- ---------- ---------- --------
EXPENSES:
Administration and fund accounting fees 32,232 39,222 32,232 32,232 32,232
Investment advisory fees (Note 2) 33,071 53,435 34,697 38,872 13,976
Auditing fees 4,456 3,653 2,628 4,863 6,112
Custody fees 11,521 21,602 9,859 5,560 8,460
Sponsor fee (Note 2) 16,672 22,509 18,826 24,068 22,523
Amortization of organization expenses (Note 1) 1,937 1,937 1,937 1,937 1,949
Trustee fees (Note 2) 1,698 950 684 1,265 1,591
Printing 5,774 6,630 5,864 5,770 6,816
Miscellaneous 3,915 2,877 1,471 3,055 5,991
---------- ---------- ---------- ---------- --------
Total expenses 111,276 152,815 108,198 117,622 99,650
Waiver of Sponsor fee (Note 2) 16,672 22,509 18,826 24,068 22,523
Reimbursement from Sponsor (Note 3) 46,279 60,605 47,117 42,566 49,014
---------- ---------- ---------- ---------- --------
Net expenses 48,325 69,701 42,255 50,988 28,113
---------- ---------- ---------- ---------- --------
NET INVESTMENT INCOME 18,235 81,531 121,002 687,790 296,110
---------- ---------- ---------- ---------- --------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on investments 252,331 437,255(b) 1,097,823(b) 373,983 2,595
Net change in unrealized appreciation
(depreciation) on investments 1,112,550 1,068,121 (280,457) 51,169 (3,686)
---------- ---------- ---------- ---------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS): 1,364,881 1,505,376 817,366 425,152 (1,091)
---------- ---------- ---------- ---------- --------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $1,383,116 $1,586,907 $ 938,368 $1,112,942 $295,019
========== ========== ========== ========== ========
</TABLE>
- ------------------------------
(a) Net of foreign tax withholding of $14,583 for the International Equity
Portfolio.
(b) Includes foreign currency transaction losses of $41,916, and foreign
currency gains of $845 for International Equity Portfolio and Balanced
Portfolio, respectively.
The accompanying notes are an integral part of the financial statements.
17
<PAGE> 20
SELECT ADVISORS VARIABLE INSURANCE TRUST
Statement of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EMERGING GROWTH INTERNATIONAL EQUITY
PORTFOLIO PORTFOLIO
--------------------------- ---------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE MONTHS ENDED FOR THE
JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED
1997 DECEMBER 31, 1997 DECEMBER 31,
(UNAUDITED) 1996 (UNAUDITED) 1996
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 18,235 $ 18,649 $ 81,531 $ 56,677
Net realized gain on investments 252,331 46,078 437,255 142,359
Net change in unrealized appreciation
(depreciation) on investments 1,112,550 352,244 1,068,121 523,196
----------- ---------- ----------- ----------
Net increase in net assets resulting from
operations 1,383,116 416,971 1,586,907 722,232
----------- ---------- ----------- ----------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income -- (18,684) -- (54,999)
Realized capital gains -- (130,830) -- --
Distribution in excess of net investment
income -- -- -- (2,423)
----------- ---------- ----------- ----------
Total dividends and distributions -- (149,514) -- (57,422)
----------- ---------- ----------- ----------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold 6,069,715 3,109,043 4,661,315 3,190,175
Reinvestment of dividends 149,514 -- 57,422
Cost of shares redeemed (890,504) (369,358) (97,817) (368,758)
----------- ---------- ----------- ----------
Net increase from investor's transactions 5,179,211 2,889,199 4,563,498 2,878,839
----------- ---------- ----------- ----------
Total changes in net assets 6,562,327 3,156,656 6,150,405 3,543,649
----------- ---------- ----------- ----------
NET ASSETS
Beginning of period 5,771,333 2,614,677 8,758,280 5,214,631
----------- ---------- ----------- ----------
End of period $12,333,660 $5,771,333 $14,908,685 $8,758,280
=========== ========== =========== ==========
NET ASSETS CONSIST OF:
Paid-in capital $10,434,808 $5,255,597 $12,650,813 $8,087,315
Undistributed net investment income 18,619 384 81,168 (363)
Accumulated net realized gain (loss) on
investments 145,747 (106,584) 270,785 (166,470)
Net unrealized appreciation (depreciation)
of investments 1,734,486 621,936 1,905,919 837,798
----------- ---------- ----------- ----------
Net assets applicable to shares outstanding $12,333,660 $5,771,333 $14,908,685 $8,758,280
=========== ========== =========== ==========
SHARES OUTSTANDING (NOTE 5):
Shares sold 478,376 259,365 399,970 298,741
Reinvestment of dividends -- 12,297 -- 5,288
----------- ---------- ----------- ----------
478,376 271,662 408,424 304,029
Shares redeemed (74,866) (30,567) 0 (33,902)
----------- ---------- ----------- ----------
Net increase 403,510 241,095 399,970 270,127
Beginning of period 473,013 231,918 791,521 521,394
----------- ---------- ----------- ----------
End of period 876,523 473,013 1,191,491 791,521
=========== ========== =========== ==========
</TABLE>
The accompanying notes are an integral part of the financial statements.
18
<PAGE> 21
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED INCOME OPPORTUNITY STANDBY INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------- ---------------------------- ----------------------------
FOR THE SIX FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE MONTHS ENDED FOR THE MONTHS ENDED FOR THE
JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED
1997 DECEMBER 31, 1997 DECEMBER 31, 1997 DECEMBER 31,
(UNAUDITED) 1996 (UNAUDITED) 1996 (UNAUDITED) 1996
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
$ 121,002 $ 116,070 $ 687,790 $ 510,964 $ 296,110 $ 353,653
1,097,823 138,439 373,983 339,888 2,595 3,871
(280,457) 470,231 51,169 196,298 (3,686) (14,556)
----------- ---------- ----------- ---------- ----------- ----------
938,368 724,740 1,112,942 1,047,150 295,019 342,968
----------- ---------- ----------- ---------- ----------- ----------
(106,040) (115,048) (627,921) (466,250) (296,836) (353,721)
-- (113,645) -- (266,446) -- --
-- -- -- -- -- (1,813)
----------- ---------- ----------- ---------- ----------- ----------
(106,040) (228,693) (627,921) (732,696) (296,836) (355,534)
----------- ---------- ----------- ---------- ----------- ----------
5,304,925 3,195,328 8,366,212 4,765,192 7,573,620 4,294,599
106,040 228,693 627,921 732,696 296,836 355,535
(135,609) (120,136) (1,606,123) (145,810) (3,620,603) (1,322,371)
----------- ---------- ----------- ---------- ----------- ----------
5,275,356 3,303,885 7,388,010 5,352,078 4,249,853 3,327,763
----------- ---------- ----------- ---------- ----------- ----------
6,107,684 3,799,932 7,873,031 5,666,532 4,248,036 3,315,197
----------- ---------- ----------- ---------- ----------- ----------
6,694,692 2,894,760 8,268,132 2,601,600 9,105,133 5,789,936
----------- ---------- ----------- ---------- ----------- ----------
$12,802,376 $6,694,692 $16,141,163 $8,268,132 $13,353,169 $9,105,133
=========== ========== =========== ========== =========== ==========
$11,195,373 $5,920,017 $15,338,397 $7,950,387 $13,355,918 $9,106,065
16,115 1,153 59,869 -- (726) --
1,144,779 46,957 392,901 18,918 1,483 (1,112)
446,108 726,565 349,996 298,827 (3,506) 180
----------- ---------- ----------- ---------- ----------- ----------
$12,802,376 $6,694,692 $16,141,163 $8,268,132 $13,353,169 $9,105,133
=========== ========== =========== ========== =========== ==========
401,322 260,657 730,303 427,096 757,017 429,003
7,910 18,270 54,674 66,234 29,668 35,510
----------- ---------- ----------- ---------- ----------- ----------
409,232 278,927 784,977 493,330 786,685 464,513
(10,221) (9,856) (139,366) (13,441) (361,974) (132,107)
----------- ---------- ----------- ---------- ----------- ----------
399,011 269,071 645,611 479,889 424,711 332,406
521,224 252,153 737,841 257,952 910,034 577,628
----------- ---------- ----------- ---------- ----------- ----------
920,235 521,224 1,383,452 737,841 1,334,745 910,034
=========== ========== =========== ========== =========== ==========
</TABLE>
The accompanying notes are an integral part of the financial statements.
19
<PAGE> 22
- --------------------------------------------------------------------------------
SELECT ADVISORS VARIABLE INSURANCE TRUST
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TOUCHSTONE EMERGING GROWTH PORTFOLIO
----------------------------------------------------------
FOR THE
FOR THE SIX PERIOD
MONTHS ENDED FOR THE FOR THE NOVEMBER 21,
JUNE 30, YEAR ENDED YEAR ENDED 1994(a) TO
1997 DECEMBER 31, DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1996 1995 1994
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 12.20 $ 11.27 $10.10 $10.00
------- ------- ------ ------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.02 0.04 0.11 0.04
Net realized and unrealized gain on investments 1.85 1.22 1.87 0.06
------- ------- ------ ------
Total from investment operations 1.87 1.26 1.98 0.10
------- ------- ------ ------
LESS: DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income -- (0.04) (0.15) --
Realized capital gains -- (0.29) (0.66) --
------- ------- ------ ------
TOTAL DIVIDENDS AND DISTRIBUTIONS -- (0.33) (0.81) --
------- ------- ------ ------
NET ASSET VALUE, END OF PERIOD $ 14.07 $ 12.20 $11.27 $10.10
======= ======= ====== ======
TOTAL RETURN (b) 15.33% 11.16% 19.57% 1.00%
RATIOS AND SUPPLEMENTAL DATA (c):
Net assets at end of period (000's) $12,334 $ 5,771 $2,615 $2,020
Ratios to average net assets:
Expenses 1.15% 1.15% 1.15% 1.15%
Net investment income 0.44% 0.50% 1.09% 3.67%
Expenses, without waiver and reimbursement 2.27% 3.22% 3.73% 11.08%
Portfolio Turnover 45% 89% 101% 0%
Average commission rate (d) $0.0580 $0.0568 -- --
</TABLE>
<TABLE>
<CAPTION>
TOUCHSTONE INCOME OPPORTUNITY PORTFOLIO
----------------------------------------------------------
FOR THE
FOR THE SIX PERIOD
MONTHS ENDED FOR THE FOR THE NOVEMBER 21,
JUNE 30, YEAR ENDED YEAR ENDED 1994(a) TO
1997 DECEMBER 31, DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1996 1995 1994
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 11.21 $10.09 $ 9.42 $10.00
------- ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.61 1.17 1.22 0.12
Net realized and unrealized gain on investments 0.42 1.45 0.79 (0.70)
------- ------ ------ ------
Total from investment operations 1.03 2.62 2.01 (0.58)
------- ------ ------ ------
LESS: DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income (0.57) (1.17) (1.34) --
Realized capital gains -- (0.33) -- --
------- ------ ------ ------
TOTAL DIVIDENDS AND DISTRIBUTIONS (0.57) (1.50) (1.34) --
------- ------ ------ ------
NET ASSET VALUE, END OF PERIOD $ 11.67 $11.21 $10.09 $ 9.42
======= ====== ====== ======
TOTAL RETURN (b) 9.38% 27.37% 23.35% (5.80)%
RATIOS AND SUPPLEMENTAL DATA (c):
Net assets at end of period (000's) $16,141 $8,268 $2,602 $1,883
Ratios to average net assets:
Expenses 0.85% 0.85% 0.85% 0.85%
Net investment income 11.45% 11.85% 12.81% 11.24%
Expenses, without waiver and reimbursement 1.56% 2.85% 3.54% 11.56%
Portfolio Turnover 82% 213% 104% 45%
</TABLE>
- ------------------------------
(a) Commencement of operations.
(b) Total return is not annualized. Total return is calculated assuming purchase
of shares on the first day and sale of the shares on the last day of the
period, and reinvestment of all dividends.
(c) Ratios are annualized. Portfolio turnover is not annualized.
(d) For fiscal years beginning on or after September 1, 1995, a fund is required
to disclose its average commission rate per share for security trades on
which commissions are charged. This amount may vary between periods and
funds depending on the volume and character of trades executed in various
markets where trading practices and commission rate structures may differ.
The accompanying notes are an integral part of the financial statements.
20
<PAGE> 23
<TABLE>
<CAPTION>
TOUCHSTONE INTERNATIONAL EQUITY PORTFOLIO TOUCHSTONE BALANCED PORTFOLIO
- ---------------------------------------------------------------- --------------------------------------------------------------
FOR THE FOR THE
FOR THE SIX PERIOD FOR THE SIX PERIOD
MONTHS ENDED FOR THE FOR THE NOVEMBER 21, MONTHS ENDED FOR THE FOR THE NOVEMBER 21,
JUNE 30, YEAR ENDED YEAR ENDED 1994(a) TO JUNE 30, YEAR ENDED YEAR ENDED 1994(a) TO
1997 DECEMBER 31, DECEMBER 31, DECEMBER 31, 1997 DECEMBER 31, DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1996 1995 1994 (UNAUDITED) 1996 1995 1994
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
$ 11.07 $ 10.00 $ 9.51 $10.00 $ 12.84 $ 11.48 $10.17 $10.00
------- ------- ------ ------ ------- ------- ------ ------
0.06 0.06 0.04 -- 0.15 0.30 0.32 0.05
1.38 1.08 0.48 (0.49) 1.05 1.60 2.15 0.12
------- ------- ------ ------ ------- ------- ------ ------
1.44 1.14 0.52 (0.49) 1.20 1.90 2.47 0.17
------- ------- ------ ------ ------- ------- ------ ------
-- (0.07) (0.03) -- (0.13) (0.30) (0.37) --
-- -- -- -- -- (0.24) (0.79) --
------- ------- ------ ------ ------- ------- ------ ------
-- (0.07) (0.03) -- (0.13) (0.54) (1.16) --
------- ------- ------ ------ ------- ------- ------ ------
$ 12.51 $ 11.07 $10.00 $ 9.51 $ 13.91 $ 12.84 $11.48 $10.17
======= ======= ====== ====== ======= ======= ====== ======
13.01% 11.47% 15.45% (4.90)% 9.39% 16.78% 24.56% 1.70%
$14,909 $ 8,758 $5,215 $4,757 $12,802 $ 6,695 $2,895 $2,034
1.25% 1.25% 1.25% 1.25% 0.90% 0.90% 0.90% 0.90%
1.45% 0.86% 0.46% 1.23% 2.58% 2.76% 2.87% 4.26%
2.32% 3.03% 3.69% 5.58% 1.90% 2.72% 3.46% 8.97%
74% 90% 86% 0% 87% 75% 124% 3%
$0.0440 $0.0266 -- -- $0.0585 $0.0664 -- --
<CAPTION>
TOUCHSTONE STANDBY INCOME PORTFOLIO
-------- -------------------------------------------------------
FOR THE
FOR THE SIX PERIOD
MONTHS ENDED FOR THE FOR THE NOVEMBER 21,
JUNE 30, YEAR ENDED YEAR ENDED 1994(a) TO
1997 DECEMBER 31, DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1996 1995 1994
----------- ----------- ----------- -----------
<S> <C> <C> <C>
$ 10.01 $10.02 $10.03 $10.00
------- ------ ------
0.26 0.52 0.56 0.05
(0.01) (0.01) (0.01) 0.03
------- ------ ------ ------
0.25 0.51 0.55 0.08
------- ------ ------ ------
(0.26) (0.52) (0.56) (0.05)
-- -- -- --
------- ------ ------ ------
(0.26) (0.52) (0.56) (0.05)
------- ------ ------ ------
$ 10.00 $10.01 $10.02 $10.03
======= ====== ====== ======
2.53% 5.18% 5.90% 0.30%
$13,353 $9,105 $5,790 $5,013
0.50% 0.50% 0.50% 0.50%
5.27% 5.15% 5.59% 4.90%
1.37% 1.54% 1.73% 3.67%
97% 143% 159% 56%
</TABLE>
The accompanying notes are an integral part of the financial statements.
21
<PAGE> 24
SELECT ADVISORS VARIABLE INSURANCE TRUST
Notes to Financial Statements (unaudited)
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES:
Select Advisors Variable Insurance Trust (the "Trust") is registered under
the Investment Company Act of 1940, as amended, as an open-end management
investment company, and was organized as a Massachusetts business trust on
February 7, 1994. The Trust consists of five Portfolios: Emerging Growth
Portfolio, International Equity Portfolio, Balanced Portfolio, Income
Opportunity Portfolio and Standby Income Portfolio ("Portfolios").
The Trust offers shares of beneficial interest of each portfolio to
separate accounts of Western-Southern as a funding vehicle for certain variable
annuity contracts issued by Western-Southern through the separate accounts.
As of June 30, 1997, Touchstone Advisers, Inc., a subsidiary of
Western-Southern Life Assurance Company ("Western-Southern"), and
Western-Southern owned 100% of outstanding shares of The Trust.
The Portfolio accounting policies are in conformity with generally accepted
accounting principles (GAAP) for investment companies. The preparation of
financial statements in conformity with GAAP requires management to make
estimates and assumptions that affect the related amounts and disclosures in the
financial statements. Actual results could differ from these estimates.
The following is a summary of the significant accounting policies of the
Portfolios:
a) Investment Valuation. Securities for which market quotations are
readily available are valued at the last sale price on a national securities
exchange, or, in the absence of recorded sales, at the readily available closing
bid price on such exchanges, or at the quoted bid price in the over-the-counter
market. Securities quoted in foreign currencies are translated into U.S. Dollars
at the current exchange rate. Debt securities are valued by a pricing service
which determines valuations based upon market transactions for normal,
institutional-size trading units of similar securities. Securities or other
assets for which market quotations are not readily available are valued at fair
value in good faith in accordance with procedures established by the Trustees
using prices based upon yields or prices of securities of comparable quality,
coupon, maturity and type; indications as to values from dealers; and general
market conditions. All debt securities with a remaining maturity of less than 60
days are valued at amortized cost, which approximates market.
b) Foreign Currency Translation. The accounting records of the Portfolios
are maintained in U.S. dollars. The market value of investment securities, other
assets and liabilities and forward contracts denominated in foreign currencies
are translated into U.S. dollars at the prevailing exchange rates at the end of
the period. Purchases and sales of securities, income receipts, and expense
payments are translated at the exchange rate prevailing on the respective dates
of such transactions. Reported net realized gains and losses on foreign currency
transactions represent net gains and losses from sales and maturities of forward
currency contracts, disposition of foreign currencies, currency gains and losses
realized between the trade and settlement dates on securities transactions and
the difference between the amount of net investment income accrued and the U.S.
dollar amount actually received. The effects of changes in foreign currency
exchange rates on investments in securities are not segregated in the Statement
of Operations from the effects of changes in market prices of these securities,
but are included with the net realized and unrealized gain or loss on
investments.
c) Investment Income. Dividend income is recorded on the ex-dividend date
for such dividend except that certain dividends from foreign securities where
the ex-dividend date has passed are recorded as soon as the fund is informed of
the ex-dividend date. Interest income, which includes the amortization of
premium and accretion of discount, if any, is recorded on an accrual basis.
Dividend and interest income is recorded net of foreign taxes where recovery of
such taxes is not assured.
d) Dividends and Distributions. Distributions to shareholders for the
Emerging Growth Portfolio, International Equity Portfolio, Balanced Portfolio,
and Income Opportunity Portfolio are recorded by the Portfolio on the
ex-dividend date. It is the policy of the Standby Income Portfolio to record
income dividends daily and distribute them monthly. Distributions to
shareholders of net realized capital gains, if any, are declared and paid
annually.
Income and capital gain distributions are determined in accordance with
income tax regulations which may differ from generally accepted accounting
principles. Permanent book and tax basis differences relating to shareholder
distributions will result in reclassifications to paid in capital. These
differences are primarily
22
<PAGE> 25
SELECT ADVISORS VARIABLE INSURANCE TRUST
Notes to Financial Statements (unaudited)
- --------------------------------------------------------------------------------
due to differing treatments for foreign currency transactions, passive foreign
Investment Companies (PFIC), and losses deferred due to wash sales and excise
tax regulations.
e) Federal Taxes. Each Portfolio of the Trust is treated as a separate
entity for federal income tax purposes. Each Portfolio's policy is to comply
with the provisions of the Internal Revenue Code of 1986, as amended, applicable
to regulated investment companies and to distribute substantially all its
income, including net realized capital gains, if any, within the prescribed time
periods. Accordingly, no provision for a federal income tax is necessary. The
following Portfolios have capital loss carryforwards expiring December 2003.
<TABLE>
<S> <C>
International Equity Portfolio $79,763
Standby Income Portfolio $1,112
</TABLE>
Additionally, at December 31, 1996, the following funds have net capital
losses attributable to security transactions incurred after October 31, 1996,
which are treated as arising on the first day of the fund's next taxable year.
<TABLE>
<S> <C>
Emerging Growth Fund $95,242
International Equity Fund $76,413
</TABLE>
f) Forward Currency Contracts. Each Portfolio may enter into forward
foreign currency contracts to protect securities and related receivables and
payables against fluctuations in foreign currency rates. A forward contract is
an agreement to buy or sell currencies of different countries on a specified
future date at a specified rate.
Risks associated with such contracts include the movement in the value of
the foreign currency relative to the U.S. dollar and the ability of the
counterparty to perform. The market value of the contract will fluctuate with
changes in currency exchange rates. Contracts are valued daily based on
procedures established by and under the general supervision of the Trustees of
the Portfolio Trust and the change in the market value is recorded by the
Portfolios as unrealized appreciation or depreciation of forward foreign
currency contracts. As of June 30, 1997, the following Funds had the following
open foreign currency contracts:
<TABLE>
<CAPTION>
CONTRACTS TO UNREALIZED
FUND NAME MATURITY DATE DELIVER/RECEIVE IN EXCHANGE FOR VALUE GAIN/LOSS
- -------------------- ------------- --------------- --------------- -------- ---------
<S> <C> <C> <C> <C> <C>
INTERNATIONAL EQUITY
PORTFOLIO
Purchases 7/01/97 $ 9,233 FIM 47,688 $ 9,190 $ (43)
7/01/97 13,678 GBP 8,207 13,672 (6)
7/01/97 256,529 JPY 29,272,580 255,752 (778)
7/01/97 5,009 NLG 9,756 4,974 (35)
7/01/97 369 SEK 2,859 370 1
Sales
7/02/97 IDR 4,203,761 $ 1,726 1,729 (3)
7/01/97 MYR 280 111 111 0
7/01/97 NLG 557 287 284 3
7/01/97 NLG 51,818 26,604 26,420 184
------
$ (677)
======
BALANCED PORTFOLIO
Sales 8/25/97 DKK 737,400 114,967 111,528 $3,439
</TABLE>
FIM = Finnish Marke, GBP = Great British Pound, JPY = Japanese Yen,
NLG = Netherlands Guilder, SEK = Swedish Krona, IDR = Indonesian Rupiah,
MYR = Malaysian Ringgit, DKK = Danish Krone.
g) Organization Expense. Organization expenses were deferred and are
being amortized by each Portfolio on a straight-line basis over a five-year
period from commencement of operations. The amount paid by the Trust on any
redemption by Touchstone Advisors, Inc. or, any other then-current holder of the
organizational seed capital shares ("Initial Shares") of the Portfolio, will be
reduced by a portion of any unamortized organization expenses of the Portfolio
determined by the proportion of the number of the Initial Shares of the
Portfolio redeemed to the number of the Initial Shares of the Portfolio
outstanding after taking into account any prior redemptions of the Initial
Shares of the Portfolio.
23
<PAGE> 26
SELECT ADVISORS VARIABLE INSURANCE TRUST
Notes to Financial Statements (unaudited)
- --------------------------------------------------------------------------------
h) Other. Securities transactions are recorded on a trade date basis. For
financial and tax reporting purposes, realized gains and losses are determined
on the basis of specific lot identification.
2. TRANSACTIONS WITH AFFILIATES
a) Sponsor. Touchstone Advisors, Inc. ("Sponsor"), a subsidiary of
Western-Southern, as sponsor to the Trust, pursuant to a Sponsor Agreement
provides oversight of the various service providers to the Trust, including the
Trust's Administrator, Custodian and Transfer Agent. The Sponsor to the Trust,
Touchstone Advisors reserves the right to receive a sponsor fee from each
portfolio on an annual basis up to 0.20% of average daily net assets of that
Portfolio. The Sponsor Agreement may be terminated by the Sponsor or by the
Trust on not less than 30 days prior written notice. The Sponsor has advised the
Trust that it will waive all fees under the Sponsor Agreement through April 30,
1998.
b) Investment Adviser. The Trust also has an investment advisory
agreement with the Sponsor. Under the terms of the investment advisory
agreement, each Portfolio pays a fee that is computed daily and paid monthly.
For the six months of 1997, each Portfolio incurred investment advisory fees
equal on an annual basis to the following percentages of the average daily net
assets of the Portfolio. The Balanced Portfolio's advisory fee changed on May 1,
1997 from 0.70% to 0.80%.
<TABLE>
<CAPTION>
EMERGING INTERNATIONAL INCOME STANDBY
GROWTH EQUITY BALANCED OPPORTUNITY INCOME
-------- ----------- -------- ----------- -------
<S> <C> <C> <C> <C> <C>
Rate 0.80% 0.95% 0.80% 0.65% 0.25%
</TABLE>
Fort Washington Investment Advisors, Inc., an affiliate of the Sponsor, is
the sub-advisor for the Standby Income Portfolio.
c) Trustees. Each Trustee who is not an "interested person," (as defined
in the Act), of the Trust, receives an aggregate of $5,000 annually, plus $1,000
per meeting attended, as well as reimbursement for reasonable out-of-pocket
expenses, from the Trust and from Select Advisors Trust A, Select Advisors Trust
C, and Select Advisors Portfolios, which are included in separate reports.
3. EXPENSE REIMBURSEMENTS
The Sponsor has agreed to waive fees and reimburse each Portfolio so that,
following such waiver of fees and reimbursement, the aggregate total operating
expenses (excluding interest, taxes, brokerage commissions and extraordinary
expenses) of each Portfolio are not greater, on an annualized basis, than the
percentage of average daily net assets of the Portfolio listed below.
<TABLE>
<CAPTION>
EMERGING INTERNATIONAL INCOME STANDBY
GROWTH EQUITY BALANCED OPPORTUNITY INCOME
-------- ------------- -------- ----------- -------
<S> <C> <C> <C> <C> <C>
Voluntary expense limit 1.15% 1.25% 0.90% 0.85% 0.50%
Amount of Reimbursement $32,416 $24,937 $ 25,758 $24,107 $51,999
</TABLE>
The Sponsor Agreements may be terminated by the Sponsor as of the end of
any calendar quarter after December 31, 1997 upon not less than 30 days prior
written notice. The Sponsor's agreement to reimburse a Portfolio also terminates
as to a Portfolio if the Sponsor ceases to be the investment advisor to that
Portfolio.
4. PURCHASES AND SALES OF INVESTMENT SECURITIES
Investment transactions (excluding purchases and sales of U.S. government
obligations, U.S. government agency obligations and short-term investments) for
the period ended June 30, 1997 were as follows:
<TABLE>
<CAPTION>
EMERGING INTERNATIONAL INCOME STANDBY
GROWTH EQUITY BALANCED OPPORTUNITY INCOME
---------- ------------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C>
Cost of purchases $7,924,179 $10,539,219 $13,126,067 $17,747,015 $3,877,531
Proceeds from sales 3,240,721 7,508,973 7,688,985 9,179,519 2,013,344
</TABLE>
Purchase and sales of U.S. government obligations for the period ended June
30, 1997 were as follows:
<TABLE>
<CAPTION>
BALANCED STANDBY INCOME
---------- --------------
<S> <C> <C>
Cost of purchases $1,843,714 $5,269,007
Proceeds from sales 1,116,086 1,960,932
</TABLE>
5. SHARES OF BENEFICIAL INTEREST
The Declaration of Trust permits the Trust to issue an unlimited number of
shares of beneficial interest.
24
<PAGE> 27
TOUCHSTONE
[LOGO]-----------------------------
Touchstone Variable Annuity
----------
Select Advisors Portfolios
- Growth & Income Portfolio II
- Bond Portfolio II
- --------------------------------------------------------------------------------
SEMI-ANNUAL REPORT
JUNE 30, 1997
- --------------------------------------------------------------------------------
<PAGE> 28
GROWTH & INCOME PORTFOLIO II
SCHEDULE OF INVESTMENTS
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ --------
<S> <C> <C>
COMMON STOCKS (93.8%)
AEROSPACE & DEFENSE (2.0%)
8,900 McDonnell Douglas............... $ 609,650
-----------
AIRLINES (0.9%)
10,000 Atlantic Southeast Airlines
Holdings...................... 286,250
-----------
AUTOMOTIVE (1.8%)
14,000 Electronic Data Systems......... 574,000
-----------
BANKING (7.5%)
20,000 Bank of Rhode Island*........... 200,000
10,750 Beverly Bancorporation.......... 206,938
11,000 First Commerce.................. 484,000
11,000 Nationsbank..................... 709,500
27,000 North Folk Bancorp.............. 577,125
2,500 Summit Bancorp.................. 125,313
-----------
2,302,876
-----------
BEVERAGES, FOOD & TOBACCO (9.2%)
16,600 Anheuser-Busch.................. 696,163
20,000 Nabisco Holdings................ 797,500
15,600 Pepsico......................... 585,975
21,000 Sysco........................... 766,500
-----------
2,846,138
-----------
BUILDING MATERIALS (1.0%)
4,600 Home Depot...................... 317,113
-----------
CHEMICALS (3.0%)
21,000 Englehard....................... 439,688
10,000 Hercules........................ 478,750
-----------
918,438
-----------
COMMERCIAL SERVICES (1.0%)
8,900 CMS Energy...................... 313,725
-----------
COMMUNICATIONS (5.3%)
12,775 3Com*........................... 574,875
36,200 ITT Industries.................. 932,150
21,000 Katz Media Group*............... 137,813
-----------
1,644,838
-----------
COMPUTER SOFTWARE & PROCESSING
(4.4%)
12,500 Ceridian*....................... 528,125
11,500 Computer Sciences*.............. 829,438
-----------
1,357,563
-----------
COMPUTERS & INFORMATION (3.6%)
10,100 Cabletron Systems*.............. 285,956
2,500 Cisco Systems*.................. 167,813
18,000 Sun Microsystems*............... 669,937
-----------
1,123,706
-----------
COSMETICS & PERSONAL CARE (2.1%)
4,600 Proctor & Gamble................ 649,750
-----------
ELECTRICAL EQUIPMENT (0.5%)
3,000 Thomas & Betts.................. 157,688
-----------
ELECTRONICS (3.7%)
15,000 AMP............................. 626,250
3,700 Intel........................... 524,699
-----------
1,150,949
-----------
FINANCIAL SERVICES (6.1%)
16,600 Federal National Mortgage
Association................... 724,175
7,500 First Chicago/NBD............... 453,750
15,750 HomeCorp*....................... 228,375
20,000 Whitman......................... 480,000
-----------
1,886,300
-----------
FOREST PRODUCTS & PAPER (3.3%)
8,200 Kimberly-Clark.................. 407,950
10,000 Mead............................ 622,500
-----------
1,030,450
-----------
HEALTH CARE PROVIDERS (1.3%)
10,000 Columbia/HCA Healthcare......... 393,125
-----------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES (5.0%)
14,220 General Electric................ 929,633
15,900 Newell.......................... 630,038
-----------
1,559,671
-----------
INSURANCE (4.4%)
2,800 Aetna........................... 286,650
11,500 Chubb........................... 769,063
9,200 Equitable Companies............. 305,900
-----------
1,361,613
-----------
MEDIA--BROADCASTING & PUBLISHING
(0.6%)
6,000 Worldcom*....................... 192,000
-----------
MEDICAL (0.9%)
5,600 United Healthcare............... 291,200
-----------
MEDICAL SUPPLIES (4.5%)
17,500 Johnson Controls................ 718,594
17,500 St. Jude Medical*............... 682,500
-----------
1,401,094
-----------
METALS (1.0%)
10,000 Trinity Industries.............. 317,500
-----------
OIL & GAS (7.7%)
15,700 Ashland......................... 728,088
10,600 Mobil........................... 740,675
5,100 Texaco.......................... 554,625
7,800 Williams Companies.............. 341,250
-----------
2,364,638
-----------
PHARMACEUTICALS (8.5%)
6,000 Abott Laboratories.............. 400,500
9,000 Amgen*.......................... 523,125
35,000 Medpartners*.................... 756,875
9,400 Merck........................... 972,900
-----------
2,653,400
-----------
RETAILERS (1.0%)
9,500 Wal-Mart Stores................. 321,219
-----------
TELEPHONE SYSTEMS (2.6%)
22,050 American Paging*................ 33,075
12,400 SBC Communications.............. 767,250
-----------
800,325
-----------
TRANSPORTATION (0.9%)
8,000 Illinois Central................ 279,500
-----------
TOTAL COMMON STOCKS
(COST $25,392,737)...................... 29,104,719
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
26
<PAGE> 29
GROWTH & INCOME PORTFOLIO II
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ -----------
<S> <C> <C>
PREFERRED STOCKS(1.4%)
COMPUTER SOFTWARE & PROCESSING
(1.4%)
5,000 Microsoft Corporation........... $ 435,000
-----------
TOTAL PREFERRED STOCKS
(COST $407,338)......................... 435,000
-----------
TOTAL INVESTMENTS AT VALUE (95.2%)
(COST $25,800,075)(A)................... $29,539,719
CASH AND OTHER ASSETS NET OF LIABILITIES
(4.8%).................................. $ 1,505,324
-----------
NET ASSETS (100.0%)..................... $31,045,043
===========
</TABLE>
------------------------------
* Non-income producing security
(a) The aggregate identified cost for federal income tax purposes is
$25,800,075, the aggregate gross unrealized appreciation of $4,150,552 and
gross unrealized depreciation of $419,908, and net unrealized appreciation
of $3,739,644
================================================================================
BOND PORTFOLIO II
SCHEDULE OF INVESTMENTS
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
PRINCIPAL (NOTE 1)
- --------- --------
<S> <C> <C>
ASSET BACKED (12.6%)
$ 500,000 Advanta Mortgage Loan Trust,
6.03%, 08/25/11........... $ 492,422
265,384 Chase Manhattan Grantor
Trust, 5.20%, 02/15/02.... 263,407
900,000 Chemical Credit Card Master
Trust, 5.98%, 09/15/08.... 852,120
300,000 Discover Card Master Trust,
6.05%, 08/18/08........... 283,599
422,665 Navistar Financial, 6.35%,
11/15/02.................. 424,673
-----------
TOTAL ASSET BACKED (COST $2,297,986).... 2,316,221
-----------
CORPORATE BONDS (34.3%)
AUTOMOTIVE (5.1%)
200,000 Ford Motor, 6.75%,
05/15/05.................. 195,569
500,000 Ford Motor, 6.25%,
11/08/00.................. 493,235
250,000 General Motors, 6.30%,
09/10/97.................. 250,311
-----------
939,115
-----------
BANKING (5.3%)
500,000 Bank of New York, 8.50%,
12/15/04.................. 540,559
350,000 First Union, 6.55%,
10/15/35.................. 338,262
92,190 Mercantile Safe Deposit,+
12.12%, 01/02/01.......... 99,412
-----------
978,233
-----------
BEVERAGES, FOOD & TOBACCO (3.2%)
600,000 Rykoff Sexton, 8.87%,
11/01/03.................. 594,000
-----------
COMMERCIAL SERVICES (2.7%)
500,000 MCN Financing, 6.30%,
06/01/98.................. 500,000
-----------
COMMUNICATIONS (2.7%)
500,000 Harris Corporation, 6.65%,
08/01/06.................. 500,140
-----------
COMPUTER SOFTWARE & PROCESSING (1.1%)
200,000 Comdisco, 6.38%, 11/30/01... 196,597
-----------
COMPUTERS & INFORMATION (1.3%)
$ 250,000 IBM, 7.00%, 10/30/25........ $ 236,500
-----------
FINANCIAL SERVICES (5.8%)
850,000 Chase Capital, 7.67%,
12/01/26.................. 820,192
250,000 CIT Group Holdings, 6.25%,
11/22/01.................. 245,522
-----------
1,065,714
-----------
FOREST PRODUCTS & PAPER (1.5%)
250,000 Georgia Pacific, 9.50%,
05/15/22.................. 272,514
-----------
INSURANCE (1.3%)
250,000 Travelers Capital, 7.75%,
12/01/36.................. 241,646
-----------
MEDIA--BROADCASTING & PUBLISHING (4.3%)
250,000 News America Holdings,
10.13%, 10/15/12.......... 281,422
500,000 Viacom, 7.75%, 06/01/05..... 501,833
-----------
783,255
-----------
TOTAL CORPORATE BONDS
(COST $6,260,028)....................... 6,307,714
-----------
MORTGAGE BACKED (7.4%)
562,552 Government National Mortgage
Association, 7.00%,
02/15/09.................. 564,808
17,781 Government National Mortgage
Association, 7.50%,
07/15/23.................. 17,825
64,168 Government National Mortgage
Association, 10.25%,
07/15/12.................. 64,168
712,555 Government National Mortgage
Association, 7.50%,
12/15/25.................. 714,337
-----------
TOTAL MORTGAGE BACKED
(COST $1,324,663)....................... 1,361,138
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
27
<PAGE> 30
BOND PORTFOLIO II
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
PRINCIPAL (NOTE 1)
- --------- -------
<S> <C> <C>
U.S. GOVERNMENT & AGENCY OBLIGATIONS
(28.7%)
$ 441,381 FGLMC, 7.00%, 10/01/25...... $ 434,221
490,293 FGLMC, 7.00%, 12/01/25...... 482,340
500,000 U.S. Treasury Note, 6.75%,
04/30/00.................. 506,563
500,000 U.S. Treasury Note, 6.12%,
09/30/00.................. 497,656
1,000,000 U.S. Treasury Note, 6.50%,
10/15/06.................. 995,625
1,200,000 U.S. Treasury Note, 5.87%,
11/15/99.................. 1,192,124
750,000 U.S. Treasury Note, 7.50%,
11/15/01.................. 781,638
400,000 U.S. Treasury Note, 5.75%,
08/15/03.................. 386,250
-----------
TOTAL U.S. GOVERNMENT & AGENCY
OBLIGATIONS (COST $5,264,538)........... 5,276,417
-----------
YANKEE BONDS (3.2%)
600,000 Province of Quebec, 7.50%,
07/15/23.................. 590,207
-----------
TOTAL YANKEE BONDS (COST $585,745)...... 590,207
-----------
AGENCY FOR INTERNATIONAL DEVELOPMENT
BONDS+ (4.1%)
145,000 Central America
International Development,
Series F, 10.00%,
12/01/11.................. 164,938
145,000 Central America
International Development,
Series G, 10.00%,
12/01/11.................. 164,938
145,000 Central America
International Development,
Series H, 10.00%,
12/01/11.................. 164,938
<CAPTION>
VALUE
PRINCIPAL (NOTE 1)
- --------- --------
<S> <C> <C>
AGENCY FOR INTERNATIONAL
DEVELOPMENT BONDS--CONTINUED
$ 100,000 Republic of Honudras
International Development,
Series C, 13.00%,
06/01/06.................. $ 127,878
100,000 Republic of Honudras
International Development,
Series D, 13.00%,
06/01/11.................. 139,833
-----------
TOTAL AGENCY FOR INTERNATIONAL
DEVELOPMENT BONDS (COST $635,000)....... 762,525
-----------
SHARES
------
PREFERRED STOCKS (4.3%)
OIL & GAS (4.3%)
29,900 Transcanada Pipelines....... $ 792,350
-----------
TOTAL PREFERRED STOCKS (COST $766,188).. 792,350
-----------
TOTAL INVESTMENTS AT VALUE (94.6%) (COST
$17,134,148) (a)........................ $17,406,572
CASH AND OTHER ASSETS NET OF LIABILITIES
(5.4%).................................. 1,002,311
-----------
NET ASSETS (100.0%)..................... $18,408,883
===========
</TABLE>
- ------------------------------
(a) The aggregate identified cost for federal income tax purposes
is $17,134,148, resulting in gross unrealized appreciation and
depreciation of $334,879 and $62,455, respectively, and net
unrealized appreciation of $272,424.
+ Restricted security.
The accompanying notes are an integral part of the financial statements.
28
<PAGE> 31
SELECT ADVISORS PORTFOLIOS
Statement of Assets and Liabilities
June 30, 1997 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH &
INCOME BOND
PORTFOLIO II PORTFOLIO II
---------- ----------
<S> <C> <C>
ASSETS:
Investments, at value (Note 1)* $29,539,719 $17,406,572
Cash 1,553,222 800,985
Receivables for:
Dividends 38,114 16,349
Interest 8,960 184,160
Deferred organization expenses 18,155 19,320
Reimbursement receivable from Sponsor -- 15,017
----------- -----------
Total assets 31,158,170 18,442,403
----------- -----------
LIABILITIES:
Payable to Sponsor (Note 2) 72,219 --
Other accrued expenses 40,908 33,520
----------- -----------
Total liabilities 113,127 33,520
----------- -----------
NET ASSETS:
Applicable to investors' beneficial interests $31,045,043 $18,408,883
=========== ===========
*Cost of investments $25,800,075 $17,134,148
=========== ===========
Statement of Operations
For the six months ended June 30, 1997 (unaudited)
- ---------------------------------------------------------------------------------------------------
<CAPTION>
GROWTH &
INCOME BOND
PORTFOLIO II PORTFOLIO II
---------- -----------
<S> <C> <C>
INVESTMENT INCOME (NOTE 1):
Interest $ 62,248 $577,775
Dividends 179,805 --
----------- --------
Total investment income 242,053 577,775
----------- --------
EXPENSES:
Investment advisory fees (Note 2) 95,805 45,007
Administration and fund accounting fees 39,424 39,424
Sponsor fee (Note 2) 51,236 32,793
Printing 9,101 8,728
Auditing fees 9,930 5,551
Amortization of organization expenses (Note 1) 5,365 4,200
Custody fees 11,133 7,086
Trustee fees (Note 2) 2,583 1,444
Insurance 6,092 5,202
Miscellaneous 736 411
----------- --------
Total expenses 231,405 149,846
Waiver of Sponsor fee (Note 2) 51,236 32,793
Reimbursement from Sponsor (Note 3) 71,590 55,731
----------- --------
Net expenses 108,579 61,322
----------- --------
NET INVESTMENT INCOME 133,474 516,453
----------- --------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on investments 508,288 37,194
Net change in unrealized appreciation (depreciation) 1,355,164 (51,818)
----------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS): 1,863,452 (14,624)
----------- --------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 1,996,926 $501,829
=========== ========
</TABLE>
The accompanying notes are an integral part of the financial statements.
29
<PAGE> 32
SELECT ADVISORS PORTFOLIOS
Statement of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH & INCOME BOND
PORTFOLIO II PORTFOLIO II
---------------------------- ----------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE MONTHS ENDED FOR THE
JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED
1997 DECEMBER 31, 1997 DECEMBER 31,
(UNAUDITED) 1996 (UNAUDITED) 1996
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income 133,474 183,083 516,453 810,228
Net realized gain on investments 508,288 2,614,611 37,194 52,355
Net change in unrealized appreciation
(depreciation) on investments 1,355,164 (476,749) (51,818) (481,003)
----------- ----------- ----------- -----------
Net increase in net assets resulting from
operations 1,996,926 2,320,945 501,829 381,580
----------- ----------- ----------- -----------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTEREST:
Contributions 7,977,427 6,012,563 3,102,193 2,347,375
Withdrawals (900,269) (256,085) (174,536) (54,047)
----------- ----------- ----------- -----------
Net increase (decrease) from investors'
transactions 7,077,158 5,756,478 2,927,657 2,293,328
----------- ----------- ----------- -----------
TOTAL CHANGES IN NET ASSETS 9,074,084 8,077,423 3,429,486 2,674,908
NET ASSETS
Beginning of period 21,970,960 13,893,537 14,979,398 12,304,490
----------- ----------- ----------- -----------
End of period $31,045,044 $21,970,960 $18,408,884 $14,979,398
=========== =========== =========== ===========
Supplementary Data
- --------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
GROWTH & INCOME BOND
PORTFOLIO II PORTFOLIO II
-------------------------------------------------------- ----------------------------------------------------------
FOR THE FOR THE
MONTHS ENDED FOR THE FOR THE FOR THE MONTHS ENDED FOR THE FOR THE FOR THE
JUNE 30, YEAR ENDED YEAR ENDED YEAR ENDED JUNE 30, YEAR ENDED YEAR ENDED YEAR ENDED
1997 DECEMBER 31, DECEMBER 31, DECEMBER 31, 1997 DECEMBER 31, DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1996 1995 1994(A) (UNAUDITED) 1996 1995 1994(a)
--------- -------- --------- -------- --------- -------- --------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
RATIOS TO
AVERAGE
NET
ASSETS
(b):
Expenses 0.85% 0.85% 0.85% 0.85% 0.75% 0.75% 0.75% 0.75%
Net
investment
income 1.05% 1.07% 1.27% 2.06% 6.35% 6.18% 6.91% 6.76%
Expenses,
without
waiver
and
reimbursement 1.82% 1.74% 1.77% 2.94% 1.84% 1.76% 1.58% 2.67%
Portfolio
turnover 63% 82% 96% 0% 39% 79% 80% 0%
Average
commission
rate (c) $ 0.0558 $ 0.0571 -- -- -- -- -- --
</TABLE>
- ------------------------------
(a) The portfolios commenced operations on November 21, 1994.
(b) Ratios are annualized. Portfolio turnover is not annualized.
(c) For fiscal years beginning on or after September 1, 1995, a fund is required
to disclose its average commission rate per share for security trades on
which commissions are charged. This amount may vary between periods and
funds depending on the volume and character of trades executed in various
markets where trading practices and commission rate structures may differ.
The accompanying notes are an integral part of the financial statements.
30
<PAGE> 33
SELECT ADVISORS PORTFOLIOS
Notes to Financial Statements (unaudited)
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Select Advisors Portfolios (the "Portfolio Trust") is registered under the
Investment Company Act of 1940, as amended, as an open-end management investment
company and was organized as a New York master trust fund on February 7, 1994.
There are nine subtrusts of the Portfolio Trust (each a "Portfolio"), each
having distinct investment objectives and policies. The Portfolios are Emerging
Growth Portfolio, International Equity Portfolio, Growth & Income Portfolio,
Balanced Portfolio, Income Opportunity Portfolio, Bond Portfolio, Growth &
Income Portfolio II, and Bond Portfolio II. Only Growth & Income Portfolio II
and Bond Portfolio I are included in this report. The other portfolios are
included in a separate report.
As of June 30, 1997, Touchstone Advisers, Inc., a subsidiary of
Western-Southern Life Assurance Company ("Western-Southern"), and
Western-Southern owned 100% of the interest in the Portfolios.
The accounting policies are in conformity with generally accepted
accounting principles ("GAAP") for investment companies. The preparation of
financial statements in conformity with GAAP requires management to make
estimates and assumptions that affect the related amounts and disclosures in the
financial statements. Actual results could differ from these estimates.
The following is a summary of the significant accounting policies of the
Portfolios:
a) Investment Valuation. Securities for which market quotations are
readily available are valued at the last sale price on a national securities
exchange, or, in the absence of recorded sales, at the readily available closing
bid price on such exchanges, or at the quoted bid price in the over-the-counter
market. Securities quoted in foreign currencies are translated into U.S. Dollars
at the current exchange rate. Debt securities are valued by a pricing service
which determines valuations based upon market transactions for normal,
institutional-size trading units of similar securities. Securities or other
assets for which market quotations are not readily available are valued at fair
value in good faith in accordance with procedures established by the Trustees of
the Portfolio Trust using prices based upon yields or prices of securities of
comparable quality, coupon, maturity and type, indications as to values from
dealers; and general market conditions. All debt securities with a remaining
maturity of less than 60 days are valued at amortized cost, which approximates
market.
b) Foreign Currency Translation. The accounting records of the Portfolios
are maintained in U.S. dollars. The market value of investment securities, other
assets and liabilities and forward contracts denominated in foreign currencies
are translated into U.S. dollars at the prevailing exchange rates at the end of
the period. Purchases and sales of securities, income receipts, and expense
payments are translated at the exchange rate prevailing on the respective dates
of such transactions. Reported net realized gains and losses on foreign currency
transactions represent net gains and losses from sales and maturities of forward
currency contracts, disposition of foreign currencies, currency gains and losses
realized between the trade and settlement dates on securities transactions and
the difference between the amount of net investment income accrued and the U.S.
dollar amount actually received.
The effects of changes in foreign currency exchange rates on investments in
securities are not segregated in the Statement of Operations from the effects of
changes in market prices of these securities, but are included with the net
realized and unrealized gain or loss on investments.
c) Investment Income. Dividend income is recorded on the ex-dividend date
except that certain dividends from foreign securities where the ex-dividend date
has passed are recorded as soon as the Portfolio Trust is informed of the
ex-dividend date. Interest income, which includes the amortization of premium
and accretion of discount, if any, is recorded on an accrual basis. Dividend and
interest income is recorded net of foreign taxes where recovery of such taxes is
not assured.
d) Federal Taxes. Each Portfolio is treated as a partnership for federal
income tax purposes. As such, each investor in each Portfolio is subject to
taxation on its share of that Portfolio's ordinary income and capital gains.
Accordingly, no provision has been made for federal income taxes. It is intended
that each Portfolio's assets will be managed in such a way that an investor in
the Portfolio will be able to satisfy the requirements of Subchapter M of the
Internal Revenue Code of 1986, as amended.
e) Forward Currency Contracts. Each Portfolio may enter into forward
foreign currency contracts to protect securities and related receivables and
payables against fluctuations in foreign currency rates. A
31
<PAGE> 34
SELECT ADVISORS PORTFOLIOS
Notes to Financial Statements (unaudited)
- --------------------------------------------------------------------------------
forward contract is an agreement to buy or sell currencies of different
countries on a specified future date at a specified rate.
Risks associated with such contracts include the movement in the value of
the foreign currency relative to the U.S. dollar and the ability of the
counterparty to perform. The market value of the contract will fluctuate with
changes in currency exchange rates. Contracts are valued daily based on
procedures established by and under the general supervision of the Trustees of
the Portfolio Trust and the change in the market value is recorded by the
Portfolio as unrealized appreciation or depreciation of forward foreign currency
contracts.
f) Organization Expense. Organization expenses were deferred and are
being amortized by each Portfolio on a straight-line basis over a five-year
period from commencement of operations. The amount paid by the Trust on any
withdrawal by Touchstone Advisors, Inc. or any other then-current holder of the
Initial Interests in the Portfolio will be reduced by a portion of any
unamortized organization expenses of the Portfolio, determined by the proportion
of the amount of the Initial Interests in the Portfolio withdrawn to the amount
of the Initial Interests in the Portfolio then outstanding after taking into
account any prior withdrawals of the Initial Interests in the Portfolio.
g) Other. Securities transactions are recorded on a trade date basis. For
financial and tax reporting purposes, realized gains and losses are determined
on the basis of specific lot identification.
2. TRANSACTIONS WITH AFFILIATES
a) Sponsor. Touchstone Advisors, Inc. ("Sponsor"), as sponsor to the
Trust, pursuant to a Sponsor Agreement provides oversight of the various service
providers to the Trust, including the Trust's Administrator, Custodian and
Transfer Agent. The Sponsor receives a sponsor fee from each portfolio equal on
an annual basis to 0.20% of average daily net assets of that Portfolio. The
Sponsor Agreement may be terminated by the Sponsor or by the Trust on not less
than 30 days prior written notice. The Sponsor has advised the Trust that it
will waive all fees under the Sponsor Agreement through April 30, 1998.
(b) Investment Advisor. The Portfolio Trust also has an investment
advisory agreement with Touchstone Advisors, Inc. Under the terms of the
investment advisory agreement, each Portfolio pays a fee that is computed daily
and paid monthly. Investment advisory fees to Growth & Income Portfolio II and
Bond Portfolio II are equal on an annual basis to 0.75% and 0.55%, respectively,
of the average daily net assets of each Portfolio.
Fort Washington Investment Advisors, Inc., an affiliate of the Advisor, is
the sub-advisor for the Growth & Income Portfolio II and the Bond Portfolio II.
(c) Trustees. Each Trustee who is not an "interested person," (as defined
in the Act), of the Portfolio Trust, receives an aggregate of $5,000 annually,
plus $1,000 per meeting attended, as well as, reimbursement for reasonable
out-of-pocket expenses from the Portfolio and from Select Advisors Trust A,
Select Advisors Trust C and Select Advisors Variable Insurance Trust.
3. EXPENSE REIMBURSEMENT
The Sponsor has agreed to reimburse each Portfolio so that, following such
reimbursement the aggregate total operating expenses (excluding interest, taxes,
brokerage commission and extraordinary expenses) are not greater, on an
annualized basis, than 0.85% and 0.75% of average daily net assets of Growth &
Income Portfolio II and Bond Portfolio II, respectively.
4. PURCHASES AND SALES OF INVESTMENT SECURITIES
For the period ended June 30, 1997, the cost of investment securities
purchased was $21,505,938 and $6,314,109, and the proceeds from sales of
investment securities sold were $14,912,378 and $4,390,043, for Growth & Income
Portfolio II and Bond Portfolio II, respectively, excluding U.S. government
obligations and short-term investments. Purchases and sales of U.S. government
obligations were $2,682,595 and $1,399,313, respectively, for Bond Portfolio II.
5. RESTRICTED SECURITIES
Restricted securities may be difficult to dispose of and involve the
negotiation and expense. Prompt sale of these securities may involve the seller
taking a discount to the security's stated market value. As of
32
<PAGE> 35
SELECT ADVISORS PORTFOLIOS
Notes to Financial Statements (unaudited)
- --------------------------------------------------------------------------------
June 30, 1997, Bond Portfolio II held restricted securities valued at $762,525,
representing 4.14% of net assets. Acquisition date and cost of each are as
follows:
<TABLE>
<CAPTION>
ACQUISITION DATE COST
---------------- ----
<S> <C> <C>
Mercantile Safe Deposit................... 3/28/85 $105,508
Central America, Series F................. 8/1/86 150,000
Central America, Series G................. 8/1/86 150,000
Central America, Series H................. 8/1/86 150,000
Republic of Honduras, Series C............ 5/1/88 100,000
Republic of Honduras, Series D............ 5/1/88 100,000
</TABLE>
Bond Portfolio II received these securities from Western-Southern on
November 21, 1994 in exchange for a proportionate interest in the portfolio.
33
<PAGE> 36
DISTRIBUTOR
Touchstone Securities, Inc.
311 Pike Street
Cincinnati, Ohio 45202
(800) 669-2796
INVESTMENT ADVISOR OF EACH PORTFOLIO
Touchstone Advisors, Inc.
311 Pike Street
Cincinnati, Ohio 45202
ADMINISTRATOR OF THE SEPARATE ACCOUNT
Continuum-Vantage
301 West 11th Street
Kansas City, Missouri 64105
TRANSFER AGENT
Investors Bank & Trust Company
P.O. Box 9130
Boston, Massachusetts 02117
ADMINISTRATOR AND CUSTODIAN OF EACH PORTFOLIO
Investors Bank & Trust Company
P.O. Box 9130
Boston, Massachusetts 02117
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One International Place
Boston, Massachusetts 02110
LEGAL COUNSEL
Frost & Jacobs
2500 PNC Center
201 East 5th Street
Cincinnati, Ohio 45202
- --------------------------------------------------------------------------------
TOUCHSTONE
-------------------------------------------
THE MARK OF EXCELLENCE IN INVESTMENT MANAGEMENT(TM)
FORM 7141-9706
- --------------------------------------------------------------------------------
