<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
TWO WORLD TRADE CENTER
NEW YORK, NEW YORK 10048
DEAR SHAREHOLDER:
--------------------------------------------------------------------------------
This is the first semiannual report to shareholders of the various
portfolios that comprise the Dean Witter Select Dimensions Investment Series.
The 12 investment options described below are offered to participants in the
Dean Witter Select Dimensions Plan, a tax deferred variable annuity issued by
Hartford Life Insurance Company.
A PAN-WORLD MARKET OVERVIEW
The factors that adversely affected the financial markets last year -- an
overheated economy, rising interest rates and inflation -- reversed themselves
and helped both the stock and bond markets move higher in 1995. Evidence of a
slowing U.S. economy without a recession and a peaking of inflation, combined
with an easing move by the Federal Reserve Board, have sent the markets to new
highs. Moreover, in contrast with last year, the U.S. stock market advance has
been very broad, with all industries participating and all capitalization
sectors (large, medium and small companies) rising.
New factory orders continued to buoy production early in the year, despite
evidence of a slowdown in inventory building. Gains in productivity, which rose
at a 3 percent annual rate in the second quarter, continued to sustain corporate
earnings, even as economic expectations became more subdued. Globally, the U.S.
market was the beneficiary of a "flight to quality," as the Mexican financial
crisis triggered declines in other emerging markets worldwide.
Led by technology and financial stocks, the U.S. equity market scaled new
heights during the first six months of 1995, increasing an impressive 20.42
percent, as measured by the Dow Jones Industrial Average (the Standard & Poor's
500 Composite Stock Price Index and NASDAQ Composite Index increased 20.20 and
24.14 percent, respectively). Clearly, the bulls had much to celebrate: the
expectation of slower U.S. growth (without a recession), the ongoing containment
of inflation, continued corporate profit increases, a proposed balanced budget
bill, slower growth overseas, a strengthening U.S. dollar and the conviction
that the Federal Reserve Board's work may be done for this cycle.
At some point, the market should pull up for a breather as both individuals
and institutions rush to take some profits. Still, barring seriously negative
news on the economic front or in the bond market, the foundation for a continued
strong domestic equity market remains in place as the housing sector responds to
lower interest rates, business fixed-investment remains vigorous and work is
done in Washington, D.C. to lower the U.S. trade deficit.
INTEREST RATES DECLINE
After suffering sharp declines last year as interest rates rose
significantly, the fixed-income markets began to show signs of life in the
fourth quarter of 1994 and started a full-scale rebound during the first quarter
of 1995. By the end of the first quarter, the yield on the 2-year U.S. Treasury
note had declined to 6.79 percent from 7.71 percent at year end 1994, while the
30-year U.S. Treasury bond was yielding 7.43 percent, down from 7.88 percent at
year end.
The bond market rally continued through the second quarter of 1995. Yields
on intermediate- and long-term bonds declined to levels not seen since before
the Federal Reserve Board began its restrictive monetary policy in February
1994. As of June 30, 1995, the yield on the 30-year U.S. Treasury bond was 6.62
percent. On the short-term end of the maturity spectrum, rates have remained in
line with the federal-funds target rate, which stood at 6.00 percent on June 30,
but was cut to 5.75 percent on July 6. At the end of the second quarter, the
2-year U.S. Treasury note was yielding 5.79 percent. Much of the bond market's
strength in the second quarter can be attributed to the continued perception of
an economic slowdown, as employment, housing starts and automobile sales all
declined. At this point, it appears that the Federal Reserve Board may have
successfully orchestrated a "soft landing," which suggests that the economy is
growing quickly enough to avoid recession, yet not so rapidly that inflationary
pressure becomes a major issue.
<PAGE>
International bond markets also rallied during the period, partly in
sympathy with the U.S. bond market, but also because of subdued inflation and
slowing worldwide economic growth. In Europe, the southern countries, namely
Spain and Italy, boasted the best-performing bond markets. In Italy, for
example, 10-year yields moved from a high of 13.45 percent to a low of 12.00
percent. In Japan, 10-year yields were down to a low of nearly 3 percent from a
high of nearly 5 percent earlier in the year.
Looking ahead, today's low interest rates could re-ignite the economy,
especially in such interest-rate sensitive areas as housing. Should this occur
during the second half of the year, interest rates could again edge upward.
Inflation has accelerated relative to 1994 and is projected to be pushed forward
by continued economic growth and the U.S. dollar's lower value versus other key
currencies, particularly the deutschemark and yen. Interest rates in the money
markets will probably remain at or near current levels. In the bond markets,
however, yields that reacted too negatively in 1994 and too positively in the
first half of 1995 may adjust upward later in the year.
AN IMPROVING GLOBAL CLIMATE
Slowing growth, diminishing pressure on inflation and bond market rallies --
the underlying factors which have been driving the advance of the U.S. stock
market for the past six months -- are being repeated in the core of European
markets (Germany, France, the Netherlands), suggesting stronger performance
ahead. In Japan, the Kobe earthquake, a weak and indecisive government and a
strong yen were among the factors which drove the Nikkei back to its August 1992
low. Very slow growth is anticipated in Japan for the remainder of fiscal 1995.
We believe the Japanese stock market is close to exhaustion, with substantial
bearish expectations reflected in current stock prices. It would not be
surprising to see a sharp rally when the bottom is reached.
Following excessive pessimism and sharp corrections in the first three
months of 1995, the emerging markets of Latin America stabilized and sharply
rebounded off their first-quarter lows. Despite the currency turmoil that
resulted from the situation in Mexico, the emerging economies of South America
generally appear intact, led by Chile, Peru and Brazil. Mexico, which as
recently as last November was expected to have strong growth and single-digit
inflation, is mired in a severe recession with inflation expected to exceed 50
percent this year. However, in what is a promising sign for Latin America as a
whole, Mexico's economic stabilization program has shown significant progress in
reducing monthly inflation and in reversing the country's trade deficit.
With moderating growth and prospects of lower interest rates in the major
economies, the emerging markets of Southeast Asia (which tend to be
dollar-linked) have stabilized, witnessed sharp rallies and seem to be forming a
base for strong performance going forward. With increased liquidity in the
global financial markets, as well as an expected improvement in earnings growth
in 1996, the Asian markets can also look forward to an improved environment over
the next six months. Overall, while we can not rule out short-term volatility,
we believe that the emerging markets of the world continue to offer attractive
longer-term investment opportunities.
AMERICAN VALUE PORTFOLIO
The American Value Portfolio posted a total return of 16.91 percent for the
six-month period ended June 30, 1995. This puts the Portfolio marginally behind
the 17.57 percent return for the average growth annuity fund, according to
Lipper Analytical Services, Inc. For the same six-month period, the S&P 500
produced a total return of 20.20 percent. On June 30, 1995, the Portfolio had
net assets in excess of $6.2 million and a net asset value of $11.62 per share.
Because of higher cash levels resulting from significant cash inflows, the
Portfolio somewhat lagged the overall market's advance.
As of the close of the second quarter, the Portfolio was invested in four
principal sectors: technology (computer software, semiconductors, semiconductor
capital equipment); interest-rate sensitive (banks, insurance, miscellaneous
financial); services (media, entertainment, lodging, consumer/business
services); and health care (drugs, medical supplies). The Portfolio also
maintained some commitments in select cyclical groups (aluminum, paper,
agriculture) which had attractive supply/demand characteristics and significant
sales abroad.
<PAGE>
Given the portfolio manager's outlook for a sustainable worldwide economic
recovery, we believe that the Portfolio is well-positioned for the coming
months.
BALANCED PORTFOLIO
The Balanced Portfolio achieved a total return of 13.85 percent for the
six-month period ended June 30, 1995. The Portfolio's asset allocation at the
end of the period was 60 percent equity, 40 percent fixed income. On June 30,
1995, the Portfolio had net assets in excess of $4.4 million and a net asset
value of $11.20 per share. This Portfolio is managed by TCW Funds Management,
Inc. (TCW).
Over the last six months, the Portfolio's equity investments were focused on
consumer durable goods, consumer products, energy, financial services and
manufacturing. The 10 largest holdings as of June 30, 1995 were: Chevron Corp.,
Chrysler Corp., Fleet Financial Group, Ford Motor Company, GTE Corp., Occidental
Petroleum, J.C. Penney, Inc., Philip Morris, Texaco, Inc. and Weyerhaeuser.
The portfolio manager expects inflation to be contained in the 3 percent
range and the possibility of further interest rate easing should the threat of
recession materialize, the Portfolio's fixed-income portion is positioned with a
duration that is longer than the benchmark Lehman Brothers General Bond Index
(duration measures a bond fund's sensitivity to interest rate movements;
basically, the effect of interest rate fluctuations on a bond fund can be
determined by multiplying its duration by the percentage rates rise or fall). In
a slow growth, low interest rate environment, TCW expects favorable total
returns for the Portfolio's fixed-income holdings.
CORE EQUITY PORTFOLIO
It was not until mid-May 1995 that the Core Equity Portfolio had gathered
sufficient assets to begin the process of constructing a diversified investment
portfolio. From a timing perspective, this was unfortunate because the S&P 500
has been strong all year. However, despite being nearly 100 percent cash through
the first four and one-half months of 1995, the Portfolio provided a total
return of 6.39 percent for the six-month period ended June 30, 1995. On June 30,
1995, the Portfolio had net assets totaling nearly $1 million and a net asset
value of $10.45 per share.
This Portfolio is also managed by TCW Funds Management, Inc. (TCW). As of
June 30, 1995, the Portfolio included 36 issues representing 25 different
industries. In keeping with the portfolio manager's investment themes of
productivity and global markets, the largest allocation (approximately 23
percent of net assets) was to the technology sector, broadly defined. Within
this group, information processing received the greatest emphasis at
approximately 16 percent of net assets. Rounding out the largest
technology-related sectors in the Portfolio are semiconductors (approximately 7
percent of net assets) and telecommunications (approximately 6 percent). The
Portfolio also has a major position (approximately 6 percent of net assets) in
the aerospace industry, with sizable holdings in Boeing Co., General Motors
Corp. (Class H) and United Technologies. Altogether, the Portfolio's investments
in the capital goods sector represented approximately twice the weighting this
sector carries on the S&P 500. In basic industries, the Portfolio had weightings
of approximately 7 percent in both energy-related and transportation stocks. In
the transportation sector, the Portfolio holds two airlines, AMR Corp. and Delta
Airlines, and one railroad, Santa Fe Pacific Corp.
As of June 30, 1995, the Portfolio also maintained approximately 8 percent
of its net assets in credit-sensitive stocks, such as Citicorp and Merrill
Lynch. With all of its credit-sensitive holdings in the banking/financial
services industry, the Portfolio has benefited from the recent U.S. bond market
rally. Consumer cyclical issues represent approximately 7 percent of net assets.
Holdings from this sector include Chrysler Corp., Ford Motor Co. and Magna
International, a Canadian automobile parts manufacturer.
Going forward, with heavy exposure to the technology, capital goods and
financial services sectors, TCW is optimistic regarding the Portfolio's total
return potential.
<PAGE>
DEVELOPING GROWTH PORTFOLIO
It was not until the last month of the second quarter that small stocks
began to rebound versus the larger-stock indexes. In June, both the Nasdaq
Composite Index and the Russell 2000 Small Stock Index reached new highs. If
this pattern continues, it will reverse a trend of small stock underperformance
that began in March of 1994, just after the Federal Reserve Board's first
interest rate increase in five years. In this environment, the Developing Growth
Portfolio posted a total return of 24.51 percent, outperforming the Nasdaq
(24.14 percent), the Russell 2000 (14.42 percent) and the Standard & Poor's 500
(20.20 percent). On June 30, 1995, the Portfolio had net assets totaling nearly
$3 million and a net asset value of $12.45 per share.
The Portfolio has registered impressive results despite maintaining a high
level of cash. The largest market sector represented in the Portfolio is
technology. Until the Portfolio becomes more seasoned, trading will remain
relatively light. In regard to the other sectors of the market, certain pockets
of the consumer arena (restaurants, leisure) are starting to show signs of life
following a period of weakness. These are areas to which the Portfolio is
increasing exposure.
Given the favorable political and business climate, we are optimistic that
small- to medium-sized growth stocks, such as those in which the Portfolio
invests, will continue to enjoy strong performance.
DIVERSIFIED INCOME PORTFOLIO
On June 30, 1995, the Diversified Income Portfolio had net assets in excess
of $2.2 million and a net asset value of $10.07 per share. Following are
discussions of each of the Portfolio's three components: global, mortgage-backed
and high yield. For the six-month period ended June 30, 1995, the Portfolio
produced an overall total return of 2.58 percent.
GLOBAL
The strategy for this portion of the Portfolio, which began investing in May
1995, has been to invest primarily in the U.S., Spain, Australia and New
Zealand. As of June 30, 1995, approximately one-third of the Portfolio's global
sector was held in cash. All of the Portfolio's non-U.S. investments were in
government securities representing major industrialized countries.
The global portion's conservative strategy prohibits any Latin American
investments at this time. The investments in Australia and New Zealand have been
left unhedged to take advantage of higher yields and the fact that the
currencies of these countries have remained relatively stable versus the U.S.
dollar. At the end of June, the Portfolio's global portion had approximately 10
percent of its net assets in Spain, approximately 9.5 percent in Australia and
approximately 11.5 percent in New Zealand. The balance (approximately 69
percent) was in U.S. securities. Looking ahead, as assets grow, the Portfolio's
global managers will continue to invest in the dollar-bloc countries (Australia,
New Zealand, Canada) and those in southern Europe. These markets should continue
to offer excellent values, high yields and currency stability.
MORTGAGE BACKED
As of June 30, 1995, the mortgage-backed portion of the Portfolio had
approximately 20 percent of its assets allocated to U.S. Treasury securities,
with the balance in money market securities. Although mortgage-backed securities
tend to enhance current yield and provide the potential for attractive total
returns over time we have not yet diversified this sector of the Portfolio into
the mortgage-backed market because of the Portfolio's small size (approximately
$2.2 million in net assets on June 30, 1995). As assets grow, the portfolio
manager will pursue a broader diversification strategy to include current-coupon
mortgage-backed obligations.
HIGH YIELD
As of June 30, 1995, the high-yield portion of the Portfolio was 100 percent
invested in money-market securities. Although high yield securities will
eventually enhance the Portfolio's overall current yield and provide the
potential for attractive total returns over time, like the mortgage-backed third
of the Portfolio, we have not yet diversified this sector of the Portfolio into
the high-yield bond market because of its small size. As assets grow, the
portfolio manager will pursue a broad diversification strategy of investing in
high-yield securities.
<PAGE>
DIVIDEND GROWTH PORTFOLIO
For the six-month period ended June 30, 1995, the Portfolio posted a total
return of 21.19 percent, modestly exceeding the 20.20 percent return registered
by the Standard & Poor's 500 (S&P 500). Since inception, the Portfolio's total
return was 21.13 percent, versus a 19.20 percent for the S&P 500.
Since its inception, the Dividend Growth Portfolio has grown to include 19
common stocks spread among 19 different industries. On June 30, 1995, the
Portfolio was fully committed to common stock investments. At the end of the
period under review, the Portfolio had net assets in excess of $15 million and a
net asset value of $11.88 per share.
Two new common stock positions were added to the Portfolio during the past
six months: Mobil Corp. and Honeywell Inc. The Portfolio will continue to focus
its investment strategy on the more conservative, larger capitalization issues.
EMERGING MARKETS PORTFOLIO
By the end of June 1995, approximately 84 percent of net assets was invested
in emerging-markets equities, with the balance held in cash position. The
portfolio managers will continue to reduce the cash position and have a
short-term cash target of 3 percent. During June, the Portfolio declined 0.9
percent, as many emerging markets consolidated gains achieved during April and
May. For the six-month period ended June 30, 1995, the Portfolio registered a
total return of -0.77 percent. Over the same period, the International Finance
Corporation's Investable Emerging Markets Total Return Index (IFCI) posted a
total return of -17.4 percent. On June 30, 1995, the Portfolio had net assets in
excess of $1.3 million and a net asset value of $9.75 per share.
At the end of June, the Fund's net assets were allocated as follows: Asia,
39 percent; Latin America, 31 percent; South Africa, 8 percent; Europe, 7
percent. The largest country allocations were Malaysia, 19 percent; Brazil, 12
percent; South Africa, 8 percent; Thailand, 8 percent; Mexico, 9 percent;
Argentina, 5 percent.
This Portfolio is managed by TCW Funds Management, Inc. (TCW). In Asia, TCW
anticipates a change in market focus from broad based to blue-chip, and has
structured the Asian Pacific portion of the Portfolio accordingly. In terms of
sectors, the Portfolio's primary investments are in the interest-rate-sensitive
sectors, such as banks and securities companies, which are expected to be strong
performers. Infrastructure companies are also favored.
TCW is optimistic that continued positive stock market performance will
occur in Latin America if the region's governments are able to continue building
foreign and domestic investor confidence through further economic liberalization
and improved fiscal responsibility. Moreover, the recent cut in U.S. interest
rates may provide further impetus to the upward trend in market performances.
The Portfolio continues to increase its exposure to the South African market
(which as of April 1, 1995 was incorporated into the IFCI with a weighting of
approximately 25 percent). Despite some local selling pressures, foreign capital
continues to flow into South Africa. This trend is expected to continue as
foreign investors build their exposure to what is now the IFCI's most heavily
weighted equity market. Foreign investment has been encouraged by domestic
developments led by strong corporate earnings and the decision to adopt a
unified exchange rate. Although interest rates have increased slightly TCW
anticipates continued gains in South Africa, driven by increased foreign
liquidity and positive domestic developments, including strong earnings momentum
by industrial companies.
Continued economic growth and a more benign interest rate environment should
provide favorable conditions for emerging markets equities, such as those in
which the Portfolio invests. The portfolio managers continue to monitor events
carefully, and will adjust the Portfolio as developments warrant.
GLOBAL EQUITY PORTFOLIO
The Global Equity Portfolio posted a total return of 7.11 percent for the
six months ended June 30, 1995. Excluding short-term investments comprising 34
percent of net assets, the Portfolio is about equally divided among 17
individual
<PAGE>
countries representing the three major regions of the world: the Americas,
Europe and the Pacific Basin. On June 30, 1995, the Portfolio had net assets in
excess of $4.2 million and a net asset value of $10.48 per share.
The Japanese allocation was recently increased as it appears that the market
has bottomed, and is currently the Portfolio's second largest exposure at 14
percent. Rounding out the top five country allocations are the U.S. (21
percent), the UK (7 percent), Germany (5 percent) and France (4 percent).
Primary holdings in these countries include Rohm and Kyocera (Japan), Mobil Oil
and PepsiCo (the U.S.), De Dietrich et Compagnie (France), Reuters (the UK) and
Mannesmann (Germany).
With slowing growth and low inflation in Europe, the Japanese stock market
poised for a potential rebound and the Latin American and Asian emerging markets
expected to benefit from improved global liquidity, we consider the Portfolio
well positioned to participate in an attractive global marketplace in the second
half of 1995.
MONEY MARKET PORTFOLIO
As of June 30, 1995, the Select Money Market Portfolio had net assets in
excess of $10 million with an average maturity of 59 days. The Portfolio's
annualized net yield for the six-month period ended June 30, 1995 was 6.18
percent. On June 30, 1995, the Portfolio's daily yield was 6.06 percent.
While available money-market rates rose during the second half of 1994, the
first half of 1995 brought stable and slightly declining yield levels.
Three-month U.S. Treasury bills, for example, rose in yield from 4.25 percent in
early July 1994, to over 5.50 percent by late December. They remained relatively
stable during the the first five months of 1995, then declined to 5.40 percent
by late June.
On June 30, 1995, approximately 79 percent of the Portfolio consisted of
high-quality commercial paper, with 17 percent invested in federal agency
obligations, and the remaining 4 percent invested in bankers' acceptances issued
by major, financially strong commercial banks. Nearly three-quarters of the
Portfolio's assets was scheduled to mature in less than three months. Therefore,
the Portfolio is well positioned for stability of value and a high degree of
liquidity. We will continue to manage the Portfolio conservatively without
"structured" notes or derivative securities, which fluctuate excessively when
interest rates change.
We believe the Portfolio is a very useful investment for liquidity,
preservation of capital and a yield that will reflect prevailing money market
conditions.
NORTH AMERICAN GOVERNMENT SECURITIES PORTFOLIO
The North American Government Securities Portfolio has benefited from
improved bond market conditions in U.S. For the six-month period ended June 30,
1995, the Portfolio produced a total return of 2.87 percent. On June 30, 1995,
the Portfolio had net assets totaling nearly $500,000 and a net asset value of
$10.10 per share.
This Portfolio is managed by TCW Funds Management, Inc. (TCW). The Portfolio
is invested primarily in short-term U.S. Treasury securities and short-term U.S.
agency mortgage-backed securities. More recently, U.S. dollar-linked Mexican
Treasury bills known as tesobonos have been added for extra yield. TCW has
geographically allocated approximately 96 percent of the Portfolio's net assets
to the U.S. and 14 percent in Mexico. There is currently no exposure in Canada.
With the U.S. economy continuing to slow and the Federal Reserve Board
having modestly eased its monetary policy, the outlook for investment in the
U.S. bond market is favorable. Also, Mexico has stabilized, making that market
more attractive going forward. The Canadian sector will be monitored for
possible future investment.
UTILITIES PORTFOLIO
A pronounced decline in interest rates combined with selective improving
fundamentals among the various utility sectors provided the backdrop for the
Utilities Portfolio's strong performance over the first half of 1995. For the
six-month period
<PAGE>
ended June 30, 1995, the Portfolio registered a total return of 10.56 percent.
On June 30, 1995, the Portfolio had net assets in excess of $3.9 million and a
net asset value of $10.87 per share.
At the end of June, the Portfolio was 81 percent invested, and included an
equity sector allocation of telecommunications (42 percent), electric utilities
(41 percent) and natural gas (17 percent). American Depositary Receipts (ADRs),
which are shares of foreign-based corporations held in the U.S., represent
approximately 10 percent of net assets and are focused on the electric utilities
and telecommunications areas.
The uncertainties associated with de-regulation and competition within the
telecommunications and electric utility sectors, in particular, have eased thus
far in 1995 and it appears that further clarity and optimism should further
enhance market performance going forward.
Given the Portfolio's diversified structure, we believe it is well
positioned to meet its overall objective of low volatility, above average yield
and good long-term growth.
VALUE-ADDED PORTFOLIO
For the six-month period ended June 30, 1995, the Value-Added Portfolio
produced a total return of 15.71 percent, versus 20.20 percent for the S&P 500.
On June 30, 1995, the Portfolio had net assets in excess of $4.3 million and a
net asset value of $11.29 per share.
While the Portfolio registered strong returns for the period under review,
the results were overshadowed by the S&P 500. During the past six months, the
S&P 500's performance was driven by large multinational companies, as well as
technology and financial stocks, strong performers which represented a greater
portion of the index than of the Portfolio.
The Portfolio is index oriented, investing in stocks that comprise the S&P
500, its benchmark index. Unlike the index, however, the Portfolio equally
weights all stock positions, thereby emphasizing the stocks of smaller and
mid-sized companies, which historically outperform larger companies.
We appreciate your support of Dean Witter Select Dimensions Investment
Series and look forward to continuing to serve your financial objectives.
Very truly yours,
/s/ Charles A. Fiumefreddo
Charles A. Fiumefreddo
CHAIRMAN OF THE BOARD
<PAGE>
MONEY MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1995 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ANNUALIZED
PRINCIPAL YIELD
AMOUNT (IN ON DATE OF MATURITY
THOUSANDS) PURCHASE DATE VALUE
------------- -------------- --------- -------------
<C> <S> <C> <C> <C>
BANKERS' ACCEPTANCE (3.6%)
$ 110 Chase Manhattan Corp......................................... 6.32% 09/06/95 $ 109,075
150 Chemical Banking Corp........................................ 6.11 08/10/95 148,998
100 Chemical Banking Corp........................................ 6.31 08/23/95 99,099
-------------
TOTAL BANKERS' ACCEPTANCE (AMORTIZED COST $357,172)..................................... 357,172
-------------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C> <C> <C>
COMMERCIAL PAPER (77.9%)
AUTOMOTIVE - FINANCE (7.7%)
100 Daimler-Benz North America Corp.............................. 6.34 08/21/95 99,129
100 Ford Motor Credit Co......................................... 6.18 07/20/95 99,679
100 Ford Motor Credit Co......................................... 6.05 10/20/95 98,181
175 General Motors Acceptance Corp............................... 6.03 08/07/95 173,929
200 General Motors Acceptance Corp............................... 5.97 08/31/95 198,001
100 General Motors Acceptance Corp............................... 5.97 10/06/95 98,424
-------------
767,343
-------------
BANK HOLDING COMPANIES (9.4%)
300 Barnett Banks, Inc........................................... 6.11 07/06/95 299,746
300 Fleet Financial Group, Inc................................... 6.03 07/21/95 299,000
200 Nationsbank Corp............................................. 6.21 08/03/95 198,883
150 Norwest Corp................................................. 6.31 09/20/95 147,935
-------------
945,564
-------------
BANKS - COMMERCIAL (12.3%)
250 Abbey National North America................................. 6.05 07/14/95 249,456
100 Abbey National North America................................. 6.03 07/31/95 99,503
150 Abbey National North America................................. 6.29 09/20/95 147,934
100 ABN-AMRO North America Finance Inc........................... 6.05 07/12/95 99,817
200 ABN-AMRO North America Finance Inc........................... 6.05 10/12/95 196,624
300 Dresdner U.S. Finance Inc.................................... 5.78 09/05/95 296,865
150 Toronto-Dominion Holdings USA Inc............................ 6.02 08/09/95 149,036
-------------
1,239,235
-------------
BROKERAGE (1.5%)
150 Merrill Lynch & Co., Inc..................................... 6.18 07/07/95 149,848
-------------
ELECTRIC - MAJOR (1.0%)
100 General Electric Co.......................................... 5.98 08/23/95 99,128
-------------
FINANCE - COMMERCIAL (7.4%)
100 CIT Group Holdings, Inc...................................... 6.20 07/11/95 99,831
150 CIT Group Holdings, Inc...................................... 6.20 10/03/95 147,634
200 Heller Financial, Inc........................................ 6.14 07/13/95 199,597
150 Heller Financial, Inc........................................ 5.89 09/01/95 148,499
150 Heller Financial, Inc........................................ 5.84 11/07/95 146,926
-------------
742,487
-------------
</TABLE>
<PAGE>
MONEY MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1995 (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ANNUALIZED
PRINCIPAL YIELD
AMOUNT (IN ON DATE OF MATURITY
THOUSANDS) PURCHASE DATE VALUE
------------- -------------- --------- -------------
<C> <S> <C> <C> <C>
FINANCE - CONSUMER (8.4%)
$ 200 American Express Credit Corp................................. 6.23% 08/03/95 $ 198,882
100 American Express Credit Corp................................. 6.00 11/08/95 97,887
100 American Express Credit Corp................................. 6.06 11/17/95 97,730
150 Avco Financial Services, Inc................................. 5.97 08/17/95 148,845
200 Household Finance Corp....................................... 6.15 08/30/95 197,993
100 Norwest Financial, Inc....................................... 6.02 07/31/95 99,505
-------------
840,842
-------------
FINANCE - CORPORATE (1.5%)
150 Ciesco, L. P................................................. 6.26 08/24/95 148,628
-------------
FINANCE - DIVERSIFIED (3.5%)
250 General Electric Capital Corp................................ 6.18 07/03/95 249,915
100 General Electric Capital Corp................................ 5.73 10/25/95 98,196
-------------
348,111
-------------
FINANCE - EQUIPMENT (3.9%)
300 Deere (John) Capital Corp.................................... 5.94 11/13/95 293,498
100 Deere (John) Capital Corp.................................... 5.83 11/22/95 97,728
-------------
391,226
-------------
FINANCE - UTILITIES (3.9%)
200 National Rural Utilities Cooperative Finance Corp............ 5.99 09/26/95 197,163
200 National Rural Utilities Cooperative Finance Corp............ 5.91 10/03/95 196,971
-------------
394,134
-------------
FOODS & BEVERAGES (2.5%)
250 PepsiCo Inc.................................................. 5.99 08/10/95 248,347
-------------
INDUSTRIALS (2.0%)
200 Warner-Lambert Co............................................ 6.07 07/19/95 199,400
-------------
INSURANCE (2.5%)
150 American General Corp........................................ 6.19 07/17/95 149,595
100 American General Corp........................................ 6.09 07/26/95 99,583
-------------
249,178
-------------
OFFICE EQUIPMENT (2.0%)
200 Pitney Bowes Credit Corp..................................... 6.11 07/10/95 199,699
-------------
OFFICE EQUIPMENT & SUPPLIES (2.0%)
200 International Business Machines Corp......................... 5.99 07/27/95 199,141
-------------
RETAIL (3.9%)
200 Sears Roebuck Acceptance Corp................................ 6.01 08/18/95 198,413
200 Sears Roebuck Acceptance Corp................................ 5.90 09/19/95 197,413
-------------
395,826
-------------
</TABLE>
<PAGE>
MONEY MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1995 (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ANNUALIZED
PRINCIPAL YIELD
AMOUNT (IN ON DATE OF MATURITY
THOUSANDS) PURCHASE DATE VALUE
------------- -------------- --------- -------------
<C> <S> <C> <C> <C>
TELEPHONES (2.5%)
$ 150 AT&T Corp.................................................... 6.10% 08/11/95 $ 148,975
100 AT&T Corp.................................................... 6.16 09/01/95 98,962
-------------
247,937
-------------
TOTAL COMMERCIAL PAPER (AMORTIZED COST $7,806,074)...................................... 7,806,074
-------------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C> <C> <C>
U.S. GOVERNMENT AGENCIES (16.5%)
100 Federal Farm Credit Bank..................................... 6.42 07/05/95 99,931
70 Federal Farm Credit Bank..................................... 6.35 08/14/95 69,472
295 Federal Home Loan Banks...................................... 6.10 07/03/95 294,900
50 Federal National Mortgage Association........................ 6.67 07/24/95 49,794
100 Federal National Mortgage Association........................ 6.16 09/07/95 98,867
665 Federal National Mortgage Association........................ 5.73 10/24/95 653,061
400 Federal National Mortgage Association........................ 5.84 10/31/95 392,273
-------------
TOTAL U.S. GOVERNMENT AGENCIES (AMORTIZED COST $1,658,298).............................. 1,658,298
-------------
TOTAL INVESTMENTS (AMORTIZED COST $9,821,544) (A)........................... 98.0% 9,821,544
CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES.............................. 2.0 199,626
---------- -------------
NET ASSETS.................................................................. 100.0% $ 10,021,170
---------- -------------
---------- -------------
<FN>
----------------
(A) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES IS THE SAME.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
NORTH AMERICAN GOVERNMENT SECURITIES
PORTFOLIO OF INVESTMENTS JUNE 30, 1995 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN COUPON MATURITY
THOUSANDS) RATE DATE VALUE
------------- -------------- --------- ----------
<C> <S> <C> <C> <C>
U.S. GOVERNMENT & AGENCIES OBLIGATIONS (58.5%)
$ 65 Federal Farm Credit Bank......................................... 5.08 % 01/15/96 $ 64,726
35 Federal Home Loan Bank Medium Term Note.......................... 6.78 04/04/97 35,416
40 Federal Home Loan Mortgage Corp.................................. 7.69 12/16/96 40,957
75 Federal National Mortgage Association............................ 7.60 01/10/97 76,769
50 U.S. Treasury Note............................................... 8.625 10/15/95 50,383
15 U.S. Treasury Note............................................... 6.125 05/15/98 15,101
----------
TOTAL U.S. GOVERNMENT & AGENCIES OBLIGATIONS (IDENTIFIED COST $282,565)..................... 283,352
----------
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED
YIELD
ON DATE OF
PURCHASE
--------------
<C> <S> <C> <C> <C>
SHORT-TERM INVESTMENTS (A) (51.0%)
MEXICAN GOVERNMENT SECURITIES (13.8%)
70 Tesobonos (Amortized Cost $66,873)............................... 10.87 11/30/95 66,873
----------
U.S. GOVERNMENT AGENCIES OBLIGATIONS (37.2%)
100 Federal Home Loan Banks.......................................... 5.90 07/03/95 99,967
80 Federal National Mortgage Association............................ 5.90 07/07/95 79,921
----------
TOTAL U.S. GOVERNMENT AGENCIES OBLIGATIONS (AMORTIZED COST $179,888)........................ 179,888
----------
TOTAL SHORT-TERM INVESTMENTS (AMORTIZED COST $246,761)...................................... 246,761
----------
TOTAL INVESTMENTS (IDENTIFIED COST $529,326) (B)................................ 109.5% 530,113
LIABILITIES IN EXCESS OF CASH AND OTHER ASSETS.................................. (9.5) (46,146)
---------- ----------
NET ASSETS...................................................................... 100.0% $ 483,967
---------- ----------
---------- ----------
<FN>
----------------
(A) SECURITIES WERE PURCHASED ON A DISCOUNT BASIS. THE INTEREST RATES SHOWN
HAVE BEEN ADJUSTED TO REFLECT A MONEY MARKET EQUIVALENT YIELD. THE MONEY
MARKET EQUIVALENT YIELD DOES NOT REFLECT THE EFFECT OF EXCHANGE RATES.
(B) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES IS $529,326; THE
AGGREGATE GROSS UNREALIZED APPRECIATION IS $985 AND THE AGGREGATE GROSS
UNREALIZED DEPRECIATION IS $198, RESULTING IN NET UNREALIZED APPRECIATION
OF $787.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 1995 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN COUPON MATURITY
THOUSANDS) RATE DATE VALUE
----------- ---------- --------- -----------
<C> <S> <C> <C> <C>
GOVERNMENT BONDS (13.0%)
NEW ZEALAND (3.4%)
GOVERNMENT OBLIGATION
NZ$ 115 New Zealand Treasury Bond........................................... 8.00% 11/15/95 $ 76,627
-----------
SPAIN (3.0%)
GOVERNMENT OBLIGATION
ESP 9,000 Government of Spain Treasury Bond+.................................. 7.30 07/30/97 69,570
-----------
UNITED STATES (6.6%)
GOVERNMENT OBLIGATION
$ 200 U.S. Treasury Note (Principal Strip)+............................... 0.00 02/15/00 152,068
-----------
TOTAL GOVERNMENT BONDS (IDENTIFIED COST $295,763).......................................... 298,265
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C> <C> <C>
SHORT-TERM INVESTMENTS (A) (86.3%)
AUSTRALIA (2.7%)
GOVERNMENT OBLIGATION
Au$ 90 Australian Treasury Bill (Amortized Cost $65,217)................... 7.52 09/27/95 62,749
-----------
UNITED STATES (83.6%)
COMMERCIAL PAPER (8.7%)
AUTOMOTIVE FINANCE (4.3%)
$ 100 Ford Motor Credit Co................................................ 5.96 07/11/95 99,834
-----------
FINANCE (4.4%)
100 General Electric Credit Co.......................................... 5.80 07/11/95 99,839
-----------
TOTAL COMMERCIAL PAPER (AMORTIZED COST $199,673)........................................... 199,673
-----------
U.S. GOVERNMENT & AGENCIES OBLIGATIONS (74.9%)
250 Federal Farm Credit Bank............................................ 5.90 07/25/95 249,017
275 Federal Home Loan Banks............................................. 6.10 07/03/95 274,907
950 Federal National Mortgage Association............................... 5.85 07/05/95 949,383
250 U.S. Treasury Bill.................................................. 5.62 08/10/95 248,401
-----------
TOTAL U.S. GOVERNMENT & AGENCIES OBLIGATIONS (AMORTIZED COST $1,721,746)................... 1,721,708
-----------
TOTAL UNITED STATES........................................................................ 1,921,381
-----------
TOTAL SHORT-TERM INVESTMENTS (AMORTIZED COST $1,986,636)................................... 1,984,130
-----------
TOTAL INVESTMENTS (IDENTIFIED COST $2,282,399) (B).......................... 99.3% 2,282,395
CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES.............................. 0.7 15,059
---------- -----------
NET ASSETS.................................................................. 100.0% $ 2,297,454
---------- -----------
---------- -----------
<FN>
----------------
+ SOME OR ALL OF THESE SECURITIES ARE SEGREGATED IN CONNECTION WITH OPEN
FORWARD FOREIGN CURRENCY CONTRACTS.
(A) SECURITIES WERE PURCHASED ON A DISCOUNT BASIS. THE INTEREST RATES SHOWN
HAVE BEEN ADJUSTED TO REFLECT A MONEY MARKET EQUIVALENT YIELD.
(B) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES IS $2,282,399; THE
AGGREGATE GROSS UNREALIZED APPRECIATION IS $3,276 AND THE AGGREGATE GROSS
UNREALIZED DEPRECIATION IS $3,280, RESULTING IN NET UNREALIZED
DEPRECIATION OF $4.
</TABLE>
FORWARD FOREIGN CURRENCY CONTRACTS OPEN AT JUNE 30, 1995:
<TABLE>
<CAPTION>
IN
CONTRACTS EXCHANGE DELIVERY UNREALIZED
TO DELIVER FOR DATE DEPRECIATION
---------- ---------- -------- ------------
<S> <C> <C> <C>
$ 60,476 NLG 92,160 11/09/95 $(554)
$ 60,810 SFr 67,980 11/09/95 (1,048)
L 42,455 $ 66,951 02/26/96 (810)
------------
Unrealized depreciation .... $(2,412)
------------
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
BALANCED
PORTFOLIO OF INVESTMENTS JUNE 30, 1995 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------- -----------
<C> <S> <C>
COMMON STOCKS (57.0%)
AIR TRANSPORT (1.8%)
500 AMR Corp.*..................... $ 37,312
600 Delta Air Lines, Inc........... 44,250
-----------
81,562
-----------
AIRCRAFT & AEROSPACE (1.6%)
1,100 Boeing Co...................... 68,887
-----------
AUTOMOBILES (1.7%)
1,600 Chrysler Corp.................. 76,600
-----------
AUTOMOTIVE (1.7%)
2,500 Ford Motor Co.................. 74,375
-----------
BANKS - INTERNATIONAL (1.6%)
1,200 Citicorp....................... 69,450
-----------
BANKS - REGIONAL (1.5%)
1,800 Fleet Financial Group, Inc..... 66,825
-----------
BROKERAGE (1.3%)
1,100 Merrill Lynch & Co., Inc....... 57,750
-----------
BUILDING MATERIALS (1.8%)
800 Champion International Corp.... 41,700
1,500 Masco Corp..................... 40,500
-----------
82,200
-----------
BUSINESS SYSTEMS (1.5%)
1,500 General Motors Corp. (Class
E)........................... 65,250
-----------
COMMUNICATIONS - EQUIPMENT/MANUFACTURERS
(2.7%)
1,000 Motorola, Inc.................. 67,125
1,500 Northern Telecom Ltd.
(Canada)..................... 54,750
-----------
121,875
-----------
COMPUTER SOFTWARE (1.2%)
600 Microsoft Corp.*............... 54,225
-----------
COMPUTERS - SYSTEMS (0.6%)
500 Tandy Corp..................... 25,937
-----------
CRUDE PRODUCTS (0.6%)
1,100 Occidental Petroleum Corp...... 25,163
-----------
DRUGS (1.1%)
1,000 Merck & Co., Inc............... 49,000
-----------
ELECTRIC - MAJOR (3.0%)
1,100 General Electric Co............ 62,013
4,900 Westinghouse Electric Corp..... 71,663
-----------
133,676
-----------
ELECTRICAL EQUIPMENT (0.6%)
400 Emerson Electric Co............ 28,600
-----------
ELECTRONICS - DEFENSE (1.2%)
1,400 General Motors Corp. (Class
H)........................... 55,300
-----------
<CAPTION>
NUMBER OF
SHARES VALUE
----------- -----------
<C> <S> <C>
ELECTRONICS - SEMICONDUCTORS/COMPONENTS
(2.4%)
1,000 Intel Corp..................... $ 63,250
1,600 National Semiconductor
Corp.*....................... 44,400
-----------
107,650
-----------
ENTERTAINMENT (1.0%)
1,300 Circus Circus Enterprises,
Inc.*........................ 45,825
-----------
HEALTH EQUIPMENT & SERVICES (2.0%)
2,000 Columbia/HCA Healthcare
Corp......................... 86,500
-----------
HOTELS/MOTELS (1.7%)
1,100 Hilton Hotels Corp............. 77,275
-----------
INSURANCE (1.0%)
400 American International Group,
Inc.......................... 45,600
-----------
METALS & MINING (1.4%)
1,300 Case Corporation............... 38,675
400 Phelps Dodge Corp.............. 23,600
-----------
62,275
-----------
OFFICE EQUIPMENT & SUPPLIES (2.5%)
5,700 Unisys Corp.*.................. 61,987
400 Xerox Corp..................... 46,900
-----------
108,887
-----------
OIL - DOMESTIC (2.2%)
900 Amerada Hess Corp.............. 43,987
1,900 Unocal Corp.................... 52,487
-----------
96,474
-----------
OIL - INTERNATIONAL (1.8%)
700 Chevron Corp................... 32,638
700 Texaco, Inc.................... 45,937
-----------
78,575
-----------
PAPER & FOREST PRODUCTS (1.2%)
1,100 Weyerhaeuser Co................ 51,838
-----------
RAILROADS (0.3%)
600 Santa Fe Pacific Corp.......... 15,300
-----------
RECREATION (0.6%)
500 Walt Disney Co................. 27,813
-----------
RESTAURANTS (0.9%)
1,000 McDonald's Corp................ 39,125
-----------
RETAIL - DEPARTMENT STORES (4.7%)
2,200 Dillard Department Stores, Inc.
(Class A).................... 64,625
1,500 Penney (J.C.) Co., Inc......... 72,000
1,200 Sears, Roebuck & Co............ 71,850
-----------
208,475
-----------
RETAIL - SPECIALTY (0.7%)
800 Home Depot, Inc................ 32,500
-----------
SOAP & HOUSEHOLD PRODUCTS (1.0%)
600 Procter & Gamble Co............ 43,125
-----------
</TABLE>
<PAGE>
BALANCED
PORTFOLIO OF INVESTMENTS JUNE 30, 1995 (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------- -----------
<C> <S> <C>
SUPERMARKETS (1.2%)
1,800 Albertson's Inc................ $ 53,550
-----------
TELECOMMUNICATIONS (0.9%)
2,000 Ericsson (L.M.) Telephone Co.
(ADR) (Sweden)............... 40,000
-----------
TELEPHONES (1.4%)
1,200 AT&T Corp...................... 63,750
-----------
TOBACCO (1.7%)
1,000 Philip Morris Companies,
Inc.......................... 74,375
-----------
UTILITIES - TELEPHONE (0.9%)
1,200 GTE Corp....................... 40,950
-----------
TOTAL COMMON STOCKS (IDENTIFIED
COST $2,318,590)............. 2,536,537
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN
THOUSANDS)
-------------
<C> <S> <C>
CORPORATE BONDS (3.6%)
GAS TRANSMISSION (0.7%)
$ 25 ANR Pipeline Co.
9.625% due 11/01/21......... 30,166
-----------
INDUSTRIALS (1.4%)
15 Mead Corp.
7.125% due 08/01/25......... 14,047
40 Monsanto Co.
8.875% due 12/15/09......... 47,172
-----------
61,219
-----------
RETAIL (0.6%)
25 Dayton-Hudson Co.
7.875% due 06/15/23......... 25,073
-----------
TRANSPORTATION (0.6%)
25 Airborne Freight Corp.
8.875% due 12/15/02......... 27,116
-----------
UTILITIES - ELECTRIC (0.3%)
15 Texas Utilities Electric Co.
7.875% due 04/01/24......... 14,940
-----------
TOTAL CORPORATE BONDS
(IDENTIFIED COST
$153,368)................... 158,514
-----------
<CAPTION>
PRINCIPAL
AMOUNT (IN
THOUSANDS) VALUE
------------- -----------
<C> <S> <C>
U.S. GOVERNMENT OBLIGATIONS (30.7%)
$ 205 U.S. Treasury Bond
7.50% due 11/15/24.......... $ 227,070
320 U.S. Treasury Note
7.50% due 12/31/96.......... 327,550
260 U.S. Treasury Note
7.75% due 11/30/99.......... 277,347
235 U.S. Treasury Note
7.75% due 01/31/00.......... 251,083
185 U.S. Treasury Note
7.50% due 05/15/02.......... 199,135
75 U.S. Treasury Note
7.875% due 11/15/04......... 83,496
-----------
TOTAL U.S. GOVERNMENT
OBLIGATIONS (IDENTIFIED COST
$1,323,108)................. 1,365,681
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
SHORT-TERM INVESTMENT (A) (15.7%)
U.S. GOVERNMENT AGENCY
700 Federal Home Loan Banks 6.10%
due 07/03/95 (Amortized Cost
$699,763)................... 699,763
-----------
TOTAL INVESTMENTS (IDENTIFIED
COST $4,494,829) (B)......... 107.0% 4,760,495
LIABILITIES IN EXCESS OF CASH
AND OTHER ASSETS............. (7.0) (313,728)
---------- -----------
NET ASSETS..................... 100.0% $ 4,446,767
---------- -----------
---------- -----------
<FN>
----------------
ADR AMERICAN DEPOSITORY RECEIPT.
* NON-INCOME PRODUCING SECURITY.
(A) SECURITY WAS PURCHASED ON A DISCOUNT BASIS. THE INTEREST RATE SHOWN HAS
BEEN ADJUSTED TO REFLECT A MONEY MARKET EQUIVALENT YIELD.
(B) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES IS $4,494,829; THE
AGGREGATE GROSS UNREALIZED APPRECIATION IS $276,271 AND THE AGGREGATE
GROSS UNREALIZED DEPRECIATION IS $10,605, RESULTING IN NET UNREALIZED
APPRECIATION OF $265,666.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
UTILITIES
PORTFOLIO OF INVESTMENTS JUNE 30, 1995 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------- -----------
<C> <S> <C>
PREFERRED STOCKS (1.4%)
U.S. GOVERNMENT AGENCY (0.7%)
1,000 Tennessee Valley Authority
8.00% (Series 95-A).......... $ 25,500
-----------
UTILITIES - ELECTRIC (0.7%)
1,000 Connecticut Light & Power
Capital 9.30% (Series A)..... 26,500
-----------
TOTAL PREFERRED STOCKS
(IDENTIFIED COST $50,000).... 52,000
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
COMMON STOCKS (84.9%)
COMMUNICATIONS - EQUIPMENT/MANUFACTURERS
(0.9%)
1,000 Northern Telecom Ltd. (ADR)
(Canada)..................... 36,500
-----------
CONGLOMERATES (1.2%)
1,000 Tenneco Inc.................... 46,000
-----------
NATURAL GAS (13.2%)
1,500 Atlanta Gas Light Company...... 52,125
1,600 Brooklyn Union Gas Co.......... 42,000
1,000 El Paso Natural Gas Company.... 28,500
1,200 Enron Corp..................... 42,150
2,000 MCN Corp....................... 39,500
2,000 Mitchell Energy & Development
Corp. (Class B).............. 35,750
2,600 New Jersey Resources Corp...... 60,125
3,500 NorAm Energy Corp.............. 22,750
1,500 Northwest Natural Gas Co....... 46,313
1,800 Panhandle Eastern Pipeline
Corp......................... 43,875
1,500 Questar Corp................... 43,125
1,400 Seagull Energy Corp.*.......... 23,100
2,500 Southwest Gas Corp............. 35,625
-----------
514,938
-----------
TELECOMMUNICATION EQUIPMENT (1.4%)
1,500 General Instrument Corp.*...... 57,563
-----------
TELECOMMUNICATIONS (34.9%)
1,500 Airtouch Communications,
Inc.*........................ 42,750
500 ALC Communications Corp........ 22,562
2,000 Alcatel Alsthom (ADR)
(France)..................... 36,250
1,500 Alltel Corp.................... 38,062
1,000 Ameritech Corp................. 44,000
1,200 AT&T Corp...................... 63,750
600 Bell Atlantic Corp............. 33,600
1,000 BellSouth Corp................. 63,500
2,000 Ericsson (L.M.) Telephone Co.
(ADR) (Sweden)............... 40,000
2,300 Frontier Corp.................. 55,200
1,800 GTE Corp....................... 61,425
3,100 MCI Communications Corp........ 67,813
2,000 MFS Communication Co., Inc.*... 63,500
<CAPTION>
NUMBER OF
SHARES VALUE
----------- -----------
<C> <S> <C>
700 Motorola, Inc.................. $ 46,988
1,000 NYNEX Corp..................... 40,250
1,500 Paging Network, Inc.*.......... 50,625
1,500 Portugal Telecom S.A. (ADR)
(Portugal)*.................. 28,500
1,300 SBC Communications, Inc........ 61,912
1,700 Sprint Corporation............. 57,163
1,400 Tele Danmark AS (ADR)
(Denmark).................... 39,200
800 Telecom Argentina S.A. (ADR)
(Argentina).................. 36,400
1,200 Telefonica Espana S.A. (ADR)
(Spain)...................... 46,500
1,500 Telefonos de Mexico S.A. de
C.V. (L Shares) (ADR)
(Mexico)..................... 44,437
1,500 Telephone & Data Systems,
Inc.......................... 54,563
500 Time Warner, Inc............... 20,562
1,000 U.S. West, Inc................. 41,625
1,700 Vanguard Cellular Systems,
Inc.*........................ 40,800
2,100 Vodafone Group PLC (ADR)
(United Kingdom)............. 79,537
1,500 WorldCom, Inc.*................ 40,313
-----------
1,361,787
-----------
UTILITIES - ELECTRIC (33.3%)
1,200 American Electric Power,
Inc.......................... 42,150
2,500 California Energy Co., Inc.*... 40,937
500 Carolina Power & Light
Company...................... 15,125
1,500 Central & South West Corp...... 39,375
1,500 CINergy Corp................... 39,375
1,500 CMS Energy Corp................ 36,937
1,700 DQE, Inc....................... 39,950
600 Duke Power Co.................. 24,900
1,500 Eastern Utilities
Association.................. 33,938
600 Empresa Nacional de
Electricidad S.A. (ADR)
(Spain)...................... 29,550
1,000 FPL Group, Inc................. 38,625
1,500 General Public Utilities
Corp......................... 44,625
2,000 Illinova Corp.................. 50,750
1,800 IPALCO Enterprises, Inc........ 57,375
2,200 National Power PLC (ADR)
(United Kingdom)............. 65,175
1,200 New England Electric System.... 41,400
1,500 NIPSCO Industries, Inc......... 51,000
1,800 Oklahoma Gas & Electric
Company...................... 63,225
1,200 Pacific Gas & Electric
Company...................... 34,800
1,500 PacifiCorp..................... 28,125
1,500 Peco Energy Co................. 41,437
2,000 Pinnacle West Capital Corp..... 49,000
1,600 Public Service Company of
Colorado..................... 52,000
3,000 Public Service Company of
New Mexico*.................. 42,750
</TABLE>
<PAGE>
UTILITIES
PORTFOLIO OF INVESTMENTS JUNE 30, 1995 (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------- -----------
<C> <S> <C>
UTILITIES - ELECTRIC (CONTINUED)
2,500 SCANA Corp..................... $ 55,938
2,000 SCE Corp....................... 34,250
800 Southern Company............... 17,900
2,500 TECO Energy, Inc............... 54,688
2,000 Unicom Corp.................... 53,250
1,200 Utilicorp United, Inc.......... 33,750
1,700 Wisconsin Energy Corp.......... 47,600
-----------
1,299,900
-----------
TOTAL COMMON STOCKS (IDENTIFIED
COST $3,196,849)............. 3,316,688
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN
THOUSANDS) VALUE
------------- -----------
<C> <S> <C>
SHORT-TERM INVESTMENT (A) (20.5%)
U.S. GOVERNMENT AGENCY
$ 800 Federal Home Loan Banks 6.10%
due 07/03/95 (Amortized Cost
$799,729)................... $ 799,729
-----------
TOTAL INVESTMENTS (IDENTIFIED
COST $4,046,578)(B).......... 106.8% 4,168,417
LIABILITIES IN EXCESS OF CASH
AND OTHER ASSETS............. (6.8) (265,261)
---------- -----------
NET ASSETS..................... 100.0% $ 3,903,156
---------- -----------
---------- -----------
<FN>
----------------
ADR AMERICAN DEPOSITORY RECEIPT.
* NON-INCOME PRODUCING SECURITY.
(A) SECURITY WAS PURCHASED ON A DISCOUNT BASIS. THE INTEREST RATE SHOWN HAS
BEEN ADJUSTED TO REFLECT A MONEY MARKET EQUIVALENT YIELD.
(B) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES IS $4,046,578; THE
AGGREGATE GROSS UNREALIZED APPRECIATION IS $145,459 AND THE AGGREGATE
GROSS UNREALIZED DEPRECIATION IS $23,620, RESULTING IN NET UNREALIZED
APPRECIATION OF $121,839.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DIVIDEND GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 1995 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------- -------------
<C> <S> <C>
COMMON STOCKS (100.5%)
AEROSPACE (5.2%)
10,300 United Technologies Corp..... $ 804,687
-------------
AUTOMOTIVE (5.3%)
17,100 Chrysler Corp................ 818,662
-------------
BANKS (5.2%)
15,200 BankAmerica Corp............. 799,900
-------------
BEVERAGES - SOFT DRINKS (5.2%)
17,600 PepsiCo Inc.................. 803,000
-------------
CHEMICALS (5.3%)
9,000 Monsanto Co.................. 811,125
-------------
COMPUTERS - PERIPHERAL EQUIPMENT (5.3%)
18,700 Honeywell, Inc............... 806,437
-------------
CONGLOMERATES (5.2%)
17,300 Tenneco Inc.................. 795,800
-------------
DRUGS (5.2%)
19,700 Abbott Laboratories.......... 797,850
-------------
FOODS (5.3%)
24,800 Quaker Oats Company (The).... 815,300
-------------
MACHINERY - AGRICULTURAL (5.3%)
9,500 Deere & Co................... 813,438
-------------
METALS & MINING (5.4%)
13,900 Phelps Dodge Corp............ 820,100
-------------
NATURAL GAS (5.3%)
23,300 Enron Corp................... 818,413
-------------
OFFICE EQUIPMENT (5.3%)
21,100 Pitney Bowes, Inc............ 809,713
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
----------- -------------
<C> <S> <C>
OIL INTEGRATED - INTERNATIONAL (5.3%)
8,400 Mobil Corp................... $ 806,400
-------------
PHOTOGRAPHY (5.3%)
13,400 Eastman Kodak Co............. 812,375
-------------
RETAIL - DEPARTMENT STORES (5.4%)
20,000 May Department Stores Co..... 832,500
-------------
TELEPHONES (5.4%)
24,400 Sprint Corporation........... 820,450
-------------
TOBACCO (5.3%)
10,900 Philip Morris Companies,
Inc........................ 810,688
-------------
UTILITIES - ELECTRIC (5.3%)
27,700 Pacific Gas & Electric Co.... 803,300
-------------
TOTAL COMMON STOCKS
(IDENTIFIED COST
$14,516,777)............... 15,400,138
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN
THOUSANDS)
-----------
<C> <S> <C>
SHORT-TERM INVESTMENT (A) (9.5%)
U.S. GOVERNMENT AGENCY
$ 1,460 Federal Home Loan Banks
6.10% due 07/03/95
(Amortized Cost
$1,459,505)............... 1,459,505
-------------
TOTAL INVESTMENTS (IDENTIFIED
COST $15,976,282)(B)........ 110.0% 16,859,643
LIABILITIES IN EXCESS OF CASH
AND OTHER ASSETS............ (10.0) (1,529,360)
---------- -------------
NET ASSETS.................... 100.0% $ 15,330,283
---------- -------------
---------- -------------
<FN>
----------------
(A) SECURITY WAS PURCHASED ON A DISCOUNT BASIS. THE INTEREST RATE SHOWN HAS
BEEN ADJUSTED TO REFLECT A MONEY MARKET EQUIVALENT YIELD.
(B) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES IS $15,976,282; THE
AGGREGATE GROSS UNREALIZED APPRECIATION IS $931,722 AND THE AGGREGATE
GROSS UNREALIZED DEPRECIATION IS $48,361, RESULTING IN NET UNREALIZED
APPRECIATION OF $883,361.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1995 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------- -----------
<C> <S> <C>
COMMON STOCKS (91.8%)
AEROSPACE & DEFENSE (1.5%)
115 Boeing Company................ $ 7,202
180 General Dynamics Corp......... 7,987
133 Lockheed Corp................. 8,396
115 McDonnell Douglas Corp........ 8,826
130 Northrop Grumman Corp......... 6,776
105 Raytheon Co................... 8,151
200 Rockwell International
Corp........................ 9,150
115 United Technologies Corp...... 8,984
-----------
65,472
-----------
AIRLINES (0.7%)
110 AMR Corp.*.................... 8,209
100 Delta Air Lines, Inc.......... 7,375
335 Southwest Airlines Co......... 7,998
740 USAir Group, Inc.*............ 8,602
-----------
32,184
-----------
ALUMINUM (0.6%)
265 Alcan Aluminum Ltd.
(Canada).................... 8,016
200 Aluminum Co. of America....... 10,025
160 Reynolds Metals Co............ 8,280
-----------
26,321
-----------
AUTO PARTS - AFTER MARKET (0.8%)
335 Cooper Tire & Rubber Co....... 8,166
230 Echlin, Inc................... 7,992
210 Genuine Parts Co.............. 7,954
220 Goodyear Tire & Rubber Co..... 9,075
435 SPX Corp...................... 4,948
-----------
38,135
-----------
AUTOMOBILES (0.6%)
180 Chrysler Corp................. 8,617
275 Ford Motor Co................. 8,181
170 General Motors Corp........... 7,969
-----------
24,767
-----------
BANKS - MONEY CENTER (1.3%)
165 BankAmerica Corp.............. 8,683
140 Bankers Trust New York
Corp........................ 8,680
180 Chase Manhattan Corp.......... 8,460
195 Chemical Banking Corp......... 9,214
150 Citicorp...................... 8,681
125 First Chicago Corp............ 7,484
95 Morgan (J.P.) & Co., Inc...... 6,662
-----------
57,864
-----------
BANKS - REGIONAL (4.1%)
285 Banc One Corp................. 9,191
190 Bank of Boston Corp........... 7,125
190 Bank of New York Co., Inc..... 7,671
155 Barnett Banks, Inc............ 7,944
255 Boatmen's Bancshares, Inc..... 8,957
245 Corestates Financial Corp..... 8,544
<CAPTION>
NUMBER OF
SHARES VALUE
----------- -----------
<C> <S> <C>
115 First Fidelity Bancorp,
Inc......................... $ 6,785
90 First Interstate Bancorp...... 7,223
190 First Union Corp.............. 8,597
235 Fleet Financial Group, Inc.... 8,724
215 Keycorp....................... 6,746
185 Mellon Bank Corp.............. 7,701
285 National City Corp............ 8,372
165 NationsBank Corp.............. 8,848
215 NBD Bancorp, Inc.............. 6,880
315 Norwest Corp.................. 9,056
300 PNC Bank Corp................. 7,912
280 Shawmut National Corp......... 8,925
150 SunTrust Banks, Inc........... 8,738
355 U.S. Bancorp.................. 8,520
200 Wachovia Corp................. 7,150
40 Wells Fargo & Co.............. 7,210
-----------
176,819
-----------
BEVERAGES - ALCOHOLIC (0.7%)
150 Anheuser-Busch Companies,
Inc......................... 8,531
240 Brown-Forman Corp. (Class
B).......................... 8,010
530 Coors (Adolph) Co............. 8,480
220 Seagram Co. Ltd. (Canada)..... 7,617
-----------
32,638
-----------
BEVERAGES - SOFT DRINKS (0.4%)
115 Coca Cola Co.................. 7,331
190 PepsiCo Inc................... 8,669
-----------
16,000
-----------
BROADCAST MEDIA (0.7%)
75 Capital Cities/ABC, Inc....... 8,100
120 CBS Inc....................... 8,040
395 Comcast Corp. (Class A
Special).................... 7,307
340 Tele-Communications, Inc...... 7,948
-----------
31,395
-----------
BUILDING MATERIALS (0.5%)
300 Masco Corp.................... 8,100
200 Owens-Corning Fiberglas
Corp.*...................... 7,375
225 Sherwin-Williams Co........... 8,016
-----------
23,491
-----------
CHEMICALS (1.9%)
145 Air Products & Chemicals,
Inc......................... 8,084
120 Dow Chemical Co............... 8,625
110 Du Pont (E.I.) de Nemours &
Co., Inc.................... 7,562
150 Eastman Chemical Company...... 8,925
155 Goodrich (B.F.) Co............ 8,312
155 Hercules, Inc................. 7,556
80 Monsanto Co................... 7,210
310 Praxair, Inc.................. 7,750
150 Rohm & Haas Co................ 8,231
255 Union Carbide Corp............ 8,511
-----------
80,766
-----------
</TABLE>
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1995 (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------- -----------
<C> <S> <C>
CHEMICALS - DIVERSIFIED (0.9%)
175 Avery Dennison Corp........... $ 7,000
200 Engelhard Corp................ 8,575
260 First Mississippi Corp........ 8,873
105 FMC Corp.*.................... 7,061
210 PPG Industries, Inc........... 9,030
-----------
40,539
-----------
CHEMICALS - SPECIALTY (0.9%)
135 Grace (W.R.) & Co............. 8,285
140 Great Lakes Chemical Corp..... 8,435
280 Morton International, Inc..... 8,190
210 Nalco Chemical Co............. 7,639
165 Sigma-Aldrich Corp............ 8,085
-----------
40,634
-----------
COMMUNICATIONS - EQUIPMENT/MANUFACTURERS
(1.1%)
140 Andrew Corp.*................. 8,085
130 Cabletron Systems, Inc........ 6,923
185 Cisco Systems, Inc.*.......... 9,342
180 DSC Communications Corp.*..... 8,370
220 Northern Telecom Ltd.
(Canada).................... 8,030
355 Scientific-Atlanta, Inc....... 7,810
-----------
48,560
-----------
COMPUTER SOFTWARE & SERVICES (2.0%)
185 Autodesk, Inc................. 7,863
125 Automatic Data Processing,
Inc......................... 7,859
250 Ceridian Corp.*............... 9,219
105 Computer Associates
International, Inc.......... 7,114
130 Computer Sciences Corp.*...... 7,394
130 First Data Corp............... 7,394
175 Lotus Development Corp.*...... 11,156
80 Microsoft Corp.*.............. 7,230
415 Novell, Inc.*................. 8,248
180 Oracle Systems Corp.*......... 6,930
170 Shared Medical Systems
Corp........................ 6,821
-----------
87,228
-----------
COMPUTERS - SYSTEMS (2.4%)
600 Amdahl Corp.*................. 6,675
205 Apple Computer, Inc........... 9,507
215 COMPAQ Computer Corp.*........ 9,756
375 Cray Research, Inc.*.......... 9,141
750 Data General Corp.*........... 7,219
195 Digital Equipment Corp.*...... 7,946
100 Hewlett-Packard Co............ 7,450
635 Intergraph Corp.*............. 7,064
90 International Business
Machines Corp............... 8,640
205 Silicon Graphics, Inc.*....... 8,174
165 Sun Microsystems, Inc.*....... 8,003
<CAPTION>
NUMBER OF
SHARES VALUE
----------- -----------
<C> <S> <C>
435 Tandem Computers Inc.*........ $ 7,014
745 Unisys Corp.*................. 8,102
-----------
104,691
-----------
CONGLOMERATES (0.8%)
80 ITT Corp...................... 9,400
330 Teledyne, Inc.*............... 8,085
180 Tenneco Inc................... 8,280
145 Textron Inc................... 8,428
-----------
34,193
-----------
CONTAINERS - METAL & GLASS (0.4%)
245 Ball Corp..................... 8,544
140 Crown Cork & Seal Co.,
Inc.*....................... 7,018
-----------
15,562
-----------
CONTAINERS - PAPER (0.6%)
305 Bemis Company, Inc............ 7,930
405 Stone Container Corp.*........ 8,606
185 Temple-Inland Inc............. 8,811
-----------
25,347
-----------
COSMETICS (0.7%)
245 Alberto-Culver Co............. 7,411
135 Avon Products, Inc............ 9,045
160 Gillette Co................... 7,140
160 International Flavors &
Fragrances Inc.............. 7,960
-----------
31,556
-----------
DISTRIBUTORS - CONSUMER PRODUCTS (0.6%)
320 Fleming Cos., Inc............. 8,480
295 Super Valu Stores, Inc........ 8,592
285 Sysco Corp.................... 8,407
-----------
25,479
-----------
ELECTRICAL EQUIPMENT (1.5%)
160 AMP, Inc...................... 6,760
110 Emerson Electric Co........... 7,865
140 General Electric Co........... 7,893
200 General Signal Corp........... 7,950
135 Grainger (W.W.), Inc.......... 7,931
155 Honeywell, Inc................ 6,684
175 Raychem Corp.................. 6,716
105 Thomas & Betts Corp........... 7,179
470 Westinghouse Electric Corp.... 6,874
-----------
65,852
-----------
ELECTRONICS - DEFENSE (0.4%)
520 EG & G, Inc................... 8,710
135 Loral Corp.................... 6,986
-----------
15,696
-----------
</TABLE>
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1995 (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------- -----------
<C> <S> <C>
ELECTRONICS - INSTRUMENTATION (0.4%)
255 Perkin-Elmer Corp............. $ 9,053
160 Tektronix, Inc................ 7,880
-----------
16,933
-----------
ELECTRONICS - SEMICONDUCTORS (1.4%)
255 Advanced Micro Devices,
Inc.*....................... 9,276
105 Applied Materials, Inc.*...... 9,056
130 Intel Corp.................... 8,223
160 Micron Technology, Inc........ 8,780
130 Motorola, Inc................. 8,726
300 National Semiconductor
Corp.*...................... 8,325
65 Texas Instruments Inc......... 8,702
-----------
61,088
-----------
ENGINEERING & CONSTRUCTION (0.7%)
135 Fluor Corp.................... 7,020
200 Foster Wheeler Corp........... 7,050
1,400 Morrison Knudsen Co., Inc..... 9,450
355 Zurn Industries, Inc.......... 7,100
-----------
30,620
-----------
ENTERTAINMENT (0.7%)
210 King World Productions
Inc.*....................... 8,505
190 Time Warner, Inc.............. 7,814
170 Viacom, Inc................... 7,884
145 Walt Disney Co................ 8,065
-----------
32,268
-----------
FINANCIAL - MISCELLANEOUS (1.1%)
230 American Express Co........... 8,079
240 American General Corp......... 8,100
120 Federal Home Loan Mortgage
Corp........................ 8,250
100 Federal National Mortgage
Association................. 9,437
210 MBNA Corp..................... 7,088
140 Transamerica Corp............. 8,155
-----------
49,109
-----------
FOODS (2.4%)
465 Archer-Daniels-Midland Co..... 8,661
150 C P C International Inc....... 9,263
140 Campbell Soup Co.............. 6,860
235 ConAgra, Inc.................. 8,196
155 General Mills, Inc............ 7,963
170 Heinz (H.J.) Co............... 7,544
150 Hershey Foods Corp............ 8,287
120 Kellogg Co.................... 8,565
230 Quaker Oats Co................ 7,561
165 Ralston-Ralston Purina
Group....................... 8,415
260 Sara Lee Corp................. 7,410
65 Unilever NV (ADR)
(Netherlands)............... 8,458
150 Wrigley (Wm.) Jr. Co.......... 6,956
-----------
104,139
-----------
<CAPTION>
NUMBER OF
SHARES VALUE
----------- -----------
<C> <S> <C>
GOLD MINING (1.0%)
310 Barrick Gold Corp............. $ 7,828
855 Echo Bay Mines Ltd.
(Canada).................... 7,695
475 Homestake Mining Co........... 7,838
190 Newmont Mining Corp........... 7,956
265 Placer Dome Inc............... 6,923
585 Santa Fe Pacific Gold Corp.... 7,093
-----------
45,333
-----------
HARDWARE & TOOLS (0.6%)
280 Black & Decker Corp........... 8,645
215 Snap-On, Inc.................. 8,331
215 Stanley Works................. 8,143
-----------
25,119
-----------
HEALTH CARE - MISCELLANEOUS (0.7%)
305 ALZA Corp.*................... 7,129
90 Amgen Inc.*................... 7,223
600 Beverly Enterprises, Inc.*.... 7,425
240 Manor Care, Inc............... 6,990
-----------
28,767
-----------
HEALTH CARE DIVERSIFIED (1.2%)
170 Abbott Laboratories........... 6,885
295 Allergan, Inc................. 8,002
90 American Home Products
Corp........................ 6,964
110 Bristol-Myers Squibb Co....... 7,494
105 Johnson & Johnson............. 7,100
225 Mallinckrodt Group, Inc....... 7,987
90 Warner-Lambert Co............. 7,774
-----------
52,206
-----------
HEALTH CARE DRUGS (0.9%)
105 Lilly (Eli) & Co.............. 8,242
170 Merck & Co., Inc.............. 8,330
75 Pfizer, Inc................... 6,928
190 Schering-Plough Corp.......... 8,384
185 Upjohn & Co................... 7,007
-----------
38,891
-----------
HEALTHCARE HMOS (0.4%)
265 U.S. HealthCare, Inc.......... 8,116
200 United Healthcare Corp........ 8,275
-----------
16,391
-----------
HEAVY DUTY TRUCKS & PARTS (1.0%)
190 Cummins Engine Co., Inc....... 8,289
260 Dana Corp..................... 7,442
165 Eaton Corp.................... 9,591
565 Navistar International
Corp.*...................... 8,546
195 PACCAR, Inc................... 9,067
-----------
42,935
-----------
</TABLE>
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1995 (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------- -----------
<C> <S> <C>
HOME BUILDING (0.5%)
270 Centex Corp................... $ 7,627
505 Kaufman & Broad Home Corp..... 7,323
300 Pulte Corp.................... 8,400
-----------
23,350
-----------
HOSPITAL MANAGEMENT (0.5%)
160 Columbia/HCA Healthcare
Corp........................ 6,920
600 Community Psychiatric
Centers*.................... 6,750
560 Tenet Healthcare Corp......... 8,050
-----------
21,720
-----------
HOTELS/MOTELS (0.5%)
110 Hilton Hotels Corp............ 7,727
220 Marriot International Inc..... 7,893
180 Promus Cos., Inc.*............ 7,020
-----------
22,640
-----------
HOUSEHOLD FURNISHINGS & APPLIANCES (1.0%)
190 Armstrong World Industries
Inc......................... 9,524
270 Bassett Furniture Industries,
Inc......................... 7,425
510 Maytag Corp................... 8,160
155 Whirlpool Corp................ 8,525
1,070 Zenith Electronics Corp.*..... 7,891
-----------
41,525
-----------
HOUSEHOLD PRODUCTS (0.9%)
125 Clorox Co..................... 8,156
115 Colgate-Palmolive Co.......... 8,409
120 Kimberly-Clark Corp........... 7,185
100 Procter & Gamble Co........... 7,188
160 Scott Paper Co................ 7,920
-----------
38,858
-----------
HOUSEWARES (0.5%)
300 Newell Co..................... 7,350
180 Premark International, Inc.... 9,337
285 Rubbermaid, Inc............... 7,909
-----------
24,596
-----------
INSURANCE BROKERS (0.3%)
300 Alexander & Alexander
Services, Inc............... 7,162
100 Marsh & McLennan Cos., Inc.... 8,113
-----------
15,275
-----------
INVESTMENT BANKING/BROKERAGE (0.7%)
155 Dean Witter, Discover & Co.
(Note 3).................... 7,285
150 Merrill Lynch & Co., Inc...... 7,875
200 Salomon, Inc.................. 8,025
200 Travelers, Inc................ 8,750
-----------
31,935
-----------
<CAPTION>
NUMBER OF
SHARES VALUE
----------- -----------
<C> <S> <C>
LEISURE TIME (0.8%)
715 Bally Entertainment Corp.*.... $ 8,759
495 Brunswick Corp................ 8,415
870 Handleman Co.................. 8,374
410 Outboard Marine Corp.......... 8,046
-----------
33,594
-----------
LIFE INSURANCE (1.1%)
155 Jefferson-Pilot Corp.......... 8,486
155 Lincoln National Corp......... 6,781
225 Providian Corp................ 8,156
220 Torchmark Corp................ 8,305
145 UNUM Corp..................... 6,797
185 USLIFE Corp................... 7,446
-----------
45,971
-----------
MACHINE TOOLS (0.4%)
295 Cincinnati Milacron, Inc...... 7,965
480 Giddings & Lewis, Inc......... 8,520
-----------
16,485
-----------
MACHINERY - DIVERSIFIED (1.7%)
235 Briggs & Stratton Corp........ 8,107
140 Caterpillar, Inc.............. 8,995
210 Cooper Industries, Inc........ 8,295
85 Deere & Co.................... 7,278
245 Harnischfeger Industries,
Inc......................... 8,483
235 Ingersoll-Rand Co............. 8,989
115 NACCO Industries, Inc. (Class
A).......................... 6,886
200 Timken Co..................... 9,225
175 Varity Corp.*................. 7,700
-----------
73,958
-----------
MANUFACTURED HOUSING (0.4%)
425 Fleetwood Enterprises, Inc.... 8,394
375 Skyline Corp.................. 6,797
-----------
15,191
-----------
MANUFACTURING - DIVERSIFIED INDUSTRIES
(1.9%)
210 AlliedSignal, Inc............. 9,345
250 Crane Co...................... 9,063
95 Dover Corp.................... 6,911
130 Illinois Tool Works Inc....... 7,150
145 Johnson Controls, Inc......... 8,193
130 Millipore Corp................ 8,775
310 Pall Corp..................... 6,897
257 Parker-Hannifin Corp.......... 9,316
270 Trinova Corp.................. 9,450
125 Tyco International Ltd........ 6,750
-----------
81,850
-----------
</TABLE>
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1995 (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------- -----------
<C> <S> <C>
MEDICAL PRODUCTS & SUPPLIES (1.6%)
290 Bard (C.R.), Inc.............. $ 8,700
205 Bausch & Lomb, Inc............ 8,507
200 Baxter International, Inc..... 7,275
120 Becton, Dickinson & Co........ 6,990
540 Biomet, Inc.*................. 8,303
250 Boston Scientific Corp.*...... 7,969
105 Medtronic, Inc................ 8,098
155 St. Jude Medical, Inc.*....... 7,750
330 United States Surgical
Corp........................ 6,889
-----------
70,481
-----------
METALS - MISCELLANEOUS (0.7%)
235 ASARCO, Inc................... 7,167
300 Cyprus Amax Minerals Co....... 8,550
255 Inco Ltd. (Canada)............ 7,204
150 Phelps Dodge Corp............. 8,850
-----------
31,771
-----------
MISCELLANEOUS (2.0%)
285 Airtouch Communications,
Inc......................... 8,122
250 American Greetings Corp....... 7,312
250 Corning, Inc.................. 8,188
280 Dial Corp..................... 6,930
200 Harcourt General, Inc......... 8,500
160 Harris Corp................... 8,260
390 Jostens, Inc.................. 8,287
135 Minnesota Mining &
Manufacturing Co............ 7,729
185 Pioneer Hi-Bred International,
Inc......................... 7,724
115 TRW, Inc...................... 9,186
440 Whitman Corp.................. 8,525
-----------
88,763
-----------
MULTI-LINE INSURANCE (0.5%)
120 Aetna Life & Casualty Co...... 7,545
70 American International Group,
Inc......................... 7,980
100 CIGNA Corp.................... 7,763
-----------
23,288
-----------
OFFICE EQUIPMENT & SUPPLIES (0.8%)
105 Alco Standard Corp............ 8,387
405 Moore Corp. Ltd. (Canada)..... 8,961
215 Pitney Bowes, Inc............. 8,250
65 Xerox Corp.................... 7,621
-----------
33,219
-----------
OIL & GAS DRILLING (0.4%)
240 Helmerich & Payne, Inc........ 7,080
1,080 Rowan Cos., Inc.*............. 8,775
-----------
15,855
-----------
OIL - DOMESTIC INTEGRATED (2.0%)
165 Amerada Hess Corp............. 8,064
230 Ashland Oil, Inc.............. 8,079
60 Atlantic Richfield Co......... 6,585
<CAPTION>
NUMBER OF
SHARES VALUE
----------- -----------
<C> <S> <C>
125 Kerr-McGee Corp............... $ 6,703
195 Louisiana Land & Exploration
Co.......................... 7,776
330 Occidental Petroleum Corp..... 7,549
170 Pennzoil Co................... 8,011
250 Phillips Petroleum Co......... 8,344
295 Sun Co., Inc.................. 8,075
240 Unocal Corp................... 6,630
480 USX-Marathon Group............ 9,480
-----------
85,296
-----------
OIL - EXPLORATION & PRODUCTION (0.5%)
190 Burlington Resources, Inc..... 7,006
670 Oryx Energy Co................ 9,213
790 Santa Fe Energy Resources,
Inc.*....................... 7,505
-----------
23,724
-----------
OIL - INTERNATIONAL INTEGRATED (1.0%)
130 Amoco Corp.................... 8,661
160 Chevron Corp.................. 7,460
95 Exxon Corp.................... 6,709
80 Mobil Corp.................... 7,680
55 Royal Dutch Petroleum Co...... 6,703
110 Texaco, Inc................... 7,219
-----------
44,432
-----------
OIL WELL EQUIPMENT & SERVICE (1.1%)
400 Baker Hughes Inc.............. 8,200
375 Dresser Industries, Inc....... 8,344
225 Halliburton Co................ 8,044
325 McDermott International,
Inc......................... 7,841
125 Schlumberger Ltd.
(Netherlands)............... 7,765
155 Western Atlas Inc.*........... 6,878
-----------
47,072
-----------
PAPER & FOREST PRODUCTS (2.3%)
185 Boise Cascade Corp............ 7,493
155 Champion International
Corp........................ 8,079
265 Federal Paper Board Co.,
Inc......................... 9,374
100 Georgia-Pacific Corp.......... 8,675
100 International Paper Co........ 8,575
295 James River Corp. of
Virginia.................... 8,149
325 Louisiana-Pacific Corp........ 8,531
135 Mead Corp..................... 8,016
205 Potlatch Corp................. 8,559
145 Union Camp Corp............... 8,392
190 Westvaco Corp................. 8,407
150 Weyerhaeuser Co............... 7,069
-----------
99,319
-----------
PERSONAL LOANS (0.3%)
160 Beneficial Corp............... 7,040
140 Household International,
Inc......................... 6,930
-----------
13,970
-----------
</TABLE>
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1995 (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------- -----------
<C> <S> <C>
PHOTOGRAPHY (0.4%)
150 Eastman Kodak Co.............. $ 9,094
170 Polaroid Corp................. 6,927
-----------
16,021
-----------
POLLUTION CONTROL (0.5%)
225 Browning-Ferris Industries,
Inc......................... 8,128
760 Laidlaw Inc................... 7,315
250 WMX Technologies, Inc......... 7,094
-----------
22,537
-----------
PROPERTY - CASUALTY INSURANCE (1.1%)
100 Chubb Corp.................... 8,012
55 General Re Corp............... 7,363
60 Loews Corp.................... 7,260
160 SAFECO Corp................... 9,140
175 St. Paul Companies, Inc....... 8,619
470 USF&G Corp.................... 7,638
-----------
48,032
-----------
PUBLISHING (0.5%)
150 Dun & Bradstreet Corp......... 7,875
100 McGraw-Hill, Inc.............. 7,588
320 Meredith Corp................. 8,120
-----------
23,583
-----------
PUBLISHING - NEWSPAPER (1.1%)
220 Dow Jones & Co., Inc.......... 8,113
145 Gannett Co., Inc.............. 7,866
140 Knight-Ridder Newspapers,
Inc......................... 7,963
300 New York Times Co. (Class
A).......................... 7,050
325 Times Mirror Co............... 7,759
145 Tribune Co.................... 8,899
-----------
47,650
-----------
RAILROADS (1.1%)
110 Burlington Northern, Inc...... 6,971
145 Conrail, Inc.................. 8,066
110 CSX Corp...................... 8,264
115 Norfolk Southern Corp......... 7,748
270 Santa Fe Pacific Corp......... 6,885
140 Union Pacific Corp............ 7,752
-----------
45,686
-----------
RESTAURANTS (1.1%)
625 Darden Restaurants, Inc....... 6,797
400 Luby's Cafeterias, Inc........ 8,050
190 McDonald's Corp............... 7,434
1,100 Ryan's Family Steak Houses,
Inc.*....................... 8,525
760 Shoney's Inc.*................ 8,930
380 Wendy's International, Inc.... 6,792
-----------
46,528
-----------
<CAPTION>
NUMBER OF
SHARES VALUE
----------- -----------
<C> <S> <C>
RETAIL - DEPARTMENT STORES (0.9%)
235 Dillard Department Stores,
Inc. (Class A).............. $ 6,903
165 May Department Stores Co...... 6,868
175 Mercantile Stores Co., Inc.... 8,137
170 Nordstrom, Inc................ 7,013
175 Penney (J.C.) Co., Inc........ 8,400
-----------
37,321
-----------
RETAIL - DRUG STORES (0.5%)
225 Longs Drug Stores Corp........ 8,438
325 Rite Aid Corp................. 8,328
135 Walgreen Co................... 6,767
-----------
23,533
-----------
RETAIL - FOOD CHAINS (1.3%)
250 Albertson's Inc............... 7,438
260 American Stores Co............ 7,313
675 Bruno's, Inc.................. 7,847
320 Giant Food, Inc. (Class A).... 9,080
325 Great Atlantic & Pacific Tea
Co., Inc.................... 8,572
300 Kroger Co.*................... 8,062
130 Winn-Dixie Stores, Inc........ 7,507
-----------
55,819
-----------
RETAIL - GENERAL MERCHANDISE (0.8%)
120 Dayton Hudson Corp............ 8,610
620 KMart Corp.................... 9,068
160 Sears, Roebuck & Co........... 9,580
260 Wal-Mart Stores, Inc.......... 6,955
-----------
34,213
-----------
RETAIL - SPECIALTY (1.6%)
225 Circuit City Stores, Inc...... 7,115
195 Home Depot, Inc............... 7,922
275 Lowe's Companies, Inc......... 8,216
240 Melville Corp................. 8,220
295 Pep Boys-Manny Moe & Jack..... 7,891
435 Price/Costco, Inc.*........... 7,069
130 Tandy Corp.................... 6,744
240 Toys 'R' Us, Inc.*............ 7,020
530 Woolworth Corp................ 8,016
-----------
68,213
-----------
RETAIL - SPECIALTY APPAREL (0.8%)
1,620 Charming Shoppes, Inc......... 8,505
230 Gap, Inc...................... 8,021
380 Limited (The), Inc............ 8,360
630 TJX Companies, Inc............ 8,348
-----------
33,234
-----------
SAVINGS & LOAN COMPANIES (0.5%)
370 Ahmanson (H.F.) & Co.......... 8,140
140 Golden West Financial Corp.... 6,598
330 Great Western Financial
Corp........................ 6,806
-----------
21,544
-----------
</TABLE>
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1995 (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------- -----------
<C> <S> <C>
SHOES (0.8%)
350 Brown Group Inc............... $ 7,963
100 Nike, Inc..................... 8,400
240 Reebok International Ltd.
(United Kingdom)............ 8,160
800 Stride Rite Corp.............. 8,300
-----------
32,823
-----------
SPECIALIZED SERVICES (1.5%)
195 Block (H.&R.), Inc............ 8,019
190 C U C International, Inc.*.... 7,980
330 Ecolab, Inc................... 8,085
215 Interpublic Group of
Companies, Inc.............. 8,063
305 National Service Industries,
Inc......................... 8,807
390 Ogden Corp.................... 8,531
555 Safety-Kleen Corp............. 8,949
220 Service Corp. International... 6,958
-----------
65,392
-----------
SPECIALTY PRINTING (0.6%)
265 Deluxe Corp................... 8,778
225 Donnelley (R.R.) & Sons Co.... 8,100
360 Harland (John H.) Co.......... 8,235
-----------
25,113
-----------
STEEL (1.1%)
1,050 Armco, Inc.*.................. 7,088
565 Bethlehem Steel Corp.*........ 9,181
300 Inland Steel Industries,
Inc.*....................... 9,150
145 Nucor Corp.................... 7,758
195 USX-U.S. Steel Group.......... 6,703
390 Worthington Industries,
Inc......................... 7,946
-----------
47,826
-----------
TELECOMMUNICATIONS - LONG DISTANCE (0.5%)
135 AT&T Corp..................... 7,172
410 MCI Communications Corp....... 8,969
200 Sprint Corporation............ 6,725
-----------
22,866
-----------
TEXTILES (1.0%)
420 Fruit of the Loom, Inc........ 8,873
200 Hartmarx Corp.*............... 1,000
330 Liz Claiborne, Inc............ 7,012
290 Russell Corp.................. 8,338
225 Springs Industries, Inc....... 8,381
160 VF Corp....................... 8,600
-----------
42,204
-----------
TOBACCO (0.6%)
215 American Brands, Inc.......... 8,546
115 Philip Morris Companies,
Inc......................... 8,553
270 UST, Inc...................... 8,033
-----------
25,132
-----------
<CAPTION>
NUMBER OF
SHARES VALUE
----------- -----------
<C> <S> <C>
TOYS (0.4%)
255 Hasbro Inc.................... $ 8,096
300 Mattel, Inc................... 7,800
-----------
15,896
-----------
TRANSPORTATION - MISCELLANEOUS (0.6%)
140 Federal Express Corp.*........ 8,505
335 Pittston Services Group....... 8,040
360 Ryder System, Inc............. 8,595
-----------
25,140
-----------
TRUCKERS (0.5%)
300 Consolidated Freightways,
Inc.*....................... 6,637
165 Roadway Service, Inc.......... 7,714
520 Yellow Corporation............ 9,425
-----------
23,776
-----------
UTILITIES - ELECTRIC (4.8%)
250 American Electric Power Co.,
Inc......................... 8,781
320 Baltimore Gas & Electric
Co.......................... 8,000
275 Carolina Power & Light Co..... 8,319
330 Central & South West Corp..... 8,663
275 CINergy Corp.................. 7,219
270 Consolidated Edison Co. of New
York, Inc................... 7,965
295 Detroit Edison Co............. 8,703
215 Dominion Resources, Inc....... 7,847
165 Duke Power Co................. 6,848
385 Entergy Corp.................. 9,288
205 FPL Group, Inc................ 7,918
285 General Public Utilities
Corp........................ 8,479
200 Houston Industries, Inc....... 8,425
555 Niagara Mohawk Power Corp..... 8,186
175 Northern States Power Co...... 8,072
370 Ohio Edison Co................ 8,371
315 Pacific Gas & Electric Co..... 9,135
375 PacifiCorp.................... 7,031
295 PECO Energy Co................ 8,149
300 Public Service Enterprise
Group, Inc.................. 8,325
480 SCE Corp...................... 8,220
345 Southern Co................... 7,719
250 Texas Utilities Co............ 8,594
330 Unicom Corp................... 8,786
210 Union Electric Co............. 7,823
-----------
204,866
-----------
UTILITIES - NATURAL GAS (2.5%)
275 Coastal Corp.................. 8,353
200 Consolidated Natural Gas
Co.......................... 7,550
310 Eastern Enterprises........... 9,261
230 Enron Corp.................... 8,079
520 ENSERCH Corp.................. 8,905
</TABLE>
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1995 (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------- -----------
<C> <S> <C>
UTILITIES - NATURAL GAS (CONTINUED)
295 NICOR, Inc.................... $ 7,928
1,200 NorAm Energy Corp............. 7,800
365 ONEOK, Inc.................... 7,802
300 Pacific Enterprises........... 7,350
330 Panhandle Eastern Corp........ 8,044
290 Peoples Energy Corp........... 7,504
285 Sonat, Inc.................... 8,692
215 Williams Cos., Inc............ 7,498
-----------
104,766
-----------
UTILITIES - TELEPHONE (1.7%)
325 Alltel Corp................... 8,247
185 Ameritech Corp................ 8,140
150 Bell Atlantic Corp............ 8,400
110 BellSouth Corp................ 6,985
250 GTE Corp...................... 8,531
210 NYNEX Corp.................... 8,453
315 Pacific Telesis Group......... 8,426
190 SBC Communications, Inc....... 9,049
170 U.S. West, Inc................ 7,076
-----------
73,307
-----------
TOTAL COMMON STOCKS
(IDENTIFIED COST
$3,763,364)................. 3,982,147
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN
THOUSANDS) VALUE
----------- -----------
<C> <S> <C>
SHORT-TERM INVESTMENT (A) (24.9%)
U.S. GOVERNMENT AGENCY
$ 1,080 Federal Home Loan Banks 6.10%
due 07/03/95 (Amortized Cost
$1,079,634)................. $ 1,079,634
-----------
TOTAL INVESTMENTS (IDENTIFIED
COST $4,842,998) (B)......... 116.7% 5,061,781
LIABILITIES IN EXCESS OF CASH
AND OTHER ASSETS............. (16.7) (723,994)
---------- -----------
NET ASSETS..................... 100.0% $ 4,337,787
---------- -----------
---------- -----------
<FN>
----------------
ADR AMERICAN DEPOSITORY RECEIPT.
* NON-INCOME PRODUCING SECURITY.
(A) SECURITY WAS PURCHASED ON A DISCOUNT BASIS. THE INTEREST RATE SHOWN HAS
BEEN ADJUSTED TO REFLECT A MONEY MARKET EQUIVALENT YIELD.
(B) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES IS $4,842,998; THE
AGGREGATE GROSS UNREALIZED APPRECIATION IS $240,558 AND THE AGGREGATE
GROSS UNREALIZED DEPRECIATION IS $21,775, RESULTING IN NET UNREALIZED
APPRECIATION OF $218,783.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
CORE EQUITY
PORTFOLIO OF INVESTMENTS JUNE 30, 1995 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------- ----------
<C> <S> <C>
COMMON STOCKS (85.2%)
AIR TRANSPORT (4.5%)
300 AMR Corp.*...................... $ 22,388
300 Delta Air Lines, Inc............ 22,125
----------
44,513
----------
AIRCRAFT & AEROSPACE (5.7%)
400 Boeing Co....................... 25,050
400 United Technologies Corp........ 31,250
----------
56,300
----------
AUTOMOBILES (4.7%)
600 Chrysler Corp................... 28,725
400 Magna International, Inc........ 17,650
----------
46,375
----------
BANKS - INTERNATIONAL (3.5%)
600 Citicorp........................ 34,725
----------
BROADCAST MEDIA (2.8%)
600 Viacom, Inc..................... 27,825
----------
BROKERAGE (2.8%)
800 Bear Stearns Companies, Inc..... 17,100
200 Merrill Lynch & Co., Inc........ 10,500
----------
27,600
----------
BUSINESS SERVICES (1.8%)
400 Green Tree Financial Corp....... 17,750
----------
BUSINESS SYSTEMS (2.7%)
600 General Motors Corp. (Class
E)............................ 26,100
----------
COMMUNICATIONS - EQUIPMENT/MANUFACTURERS
(6.3%)
600 Motorola, Inc................... 40,275
600 Northern Telecom Ltd.
(Canada)...................... 21,900
----------
62,175
----------
COMPUTER SERVICES (5.2%)
600 Computer Sciences Corp.*........ 34,125
300 First Data Corp................. 17,063
----------
51,188
----------
COMPUTER SOFTWARE (2.8%)
300 Microsoft Corp.*................ 27,111
----------
DRUGS (1.6%)
200 Amgen Inc.*..................... 16,050
----------
ELECTRONICS - DEFENSE (1.6%)
400 General Motors Corp. (Class
H)............................ 15,800
----------
ELECTRONICS - SEMICONDUCTORS/COMPONENTS
(7.3%)
600 Intel Corp...................... 37,950
1,200 National Semiconductor Corp.*... 33,300
----------
71,250
----------
<CAPTION>
NUMBER OF
SHARES VALUE
----------- ----------
<C> <S> <C>
HEALTH CARE DIVERSIFIED (1.8%)
1,000 Humana, Inc.*................... $ 17,625
----------
HEALTH EQUIPMENT & SERVICES (2.6%)
600 Columbia/HCA Healthcare Corp.... 25,950
----------
MACHINERY - CONSTRUCTION & MATERIALS (2.0%)
300 Caterpillar, Inc................ 19,275
----------
OFFICE EQUIPMENT & SUPPLIES (8.0%)
400 Hewlett-Packard Co.............. 29,800
1,200 Unisys Corp.*................... 13,050
300 Xerox Corp...................... 35,175
----------
78,025
----------
OIL - DOMESTIC (1.7%)
600 Unocal Corp..................... 16,575
----------
OIL - EXPLORATION & PRODUCTION (1.2%)
1,000 Canadian Natural Resources
Ltd.*......................... 11,754
----------
OIL - INTERNATIONAL (3.9%)
400 Chevron Corp.................... 18,650
300 Texaco, Inc..................... 19,688
----------
38,338
----------
PUBLISHING (2.3%)
1,000 News Corp. Ltd. (ADR)
(Australia)................... 22,625
----------
RAILROADS (2.9%)
1,100 Santa Fe Pacific Corp........... 28,050
----------
RETAIL - SPECIALTY (2.5%)
600 Home Depot, Inc................. 24,375
----------
SOAP & HOUSEHOLD PRODUCTS (3.0%)
400 Procter & Gamble Co............. 28,750
----------
TOTAL COMMON STOCKS (IDENTIFIED
COST $801,008)................ 836,104
----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
CONVERTIBLE PREFERRED STOCK (2.0%)
AUTOMOBILES
200 Ford Motor Co. $4.20 (Identified
Cost $18,687)................. 19,425
----------
TOTAL INVESTMENTS (IDENTIFIED
COST $819,695) (A)............. 87.2% 855,529
CASH AND OTHER ASSETS IN EXCESS
OF LIABILITIES................. 12.8 125,909
---------- ----------
NET ASSETS....................... 100.0% $ 981,438
---------- ----------
---------- ----------
<FN>
----------------
ADR AMERICAN DEPOSITORY RECEIPT.
* NON-INCOME PRODUCING SECURITY.
(A) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES IS $819,695; THE
AGGREGATE GROSS UNREALIZED APPRECIATION IS $46,074 AND THE AGGREGATE GROSS
UNREALIZED DEPRECIATION IS $10,240, RESULTING IN NET UNREALIZED
APPRECIATION OF $35,834.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
AMERICAN VALUE
PORTFOLIO OF INVESTMENTS JUNE 30, 1995 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------- -----------
<C> <S> <C>
COMMON STOCKS (91.3%)
AUTO RELATED (1.3%)
1,400 Ford Motor Co.................. $ 41,650
850 General Motors Corp............ 39,844
-----------
81,494
-----------
BANKS (5.1%)
2,600 Bank of Boston Corp............ 97,500
900 Citicorp....................... 52,087
1,000 First Chicago Corp............. 59,875
500 First Interstate Bancorp*...... 40,125
400 Wells Fargo & Co............... 72,100
-----------
321,687
-----------
BASIC CYCLICAL COMMODITIES (3.5%)
1,400 Aluminum Co. of America........ 70,175
1,100 Du Pont (E.I.) de Nemours &
Co., Inc..................... 75,625
800 Monsanto Co.................... 72,100
-----------
217,900
-----------
CABLE/CELLULAR (2.9%)
1,200 DSC Communications Corp.*...... 55,800
2,800 Ericsson (L.M.) Telephone Co.
(ADR) (Sweden)............... 56,000
1,000 Motorola, Inc.................. 67,125
-----------
178,925
-----------
CAPITAL GOODS (4.7%)
1,000 Allied Signal, Inc............. 44,500
900 Boeing Company................. 56,362
1,200 Lockheed Corp.................. 75,750
1,100 Loral Corp..................... 56,925
1,000 Sunstrand Corp................. 59,750
-----------
293,287
-----------
COMPUTER EQUIPMENT (1.6%)
1,100 COMPAQ Computer Corp.*......... 49,912
1,300 Seagate Technology, Inc.*...... 51,025
-----------
100,937
-----------
COMPUTER SOFTWARE (6.4%)
1,000 Computer Associates
International, Inc........... 67,750
2,100 Informix Corp.*................ 53,025
400 Intuit, Inc.*.................. 30,400
600 Microsoft Corp.*............... 54,225
1,150 Oracle Systems Corp.*.......... 44,275
700 Parametric Technology Corp.*... 34,650
950 Peoplesoft, Inc.*.............. 51,063
2,200 Symantec Corp.*................ 63,250
-----------
398,638
-----------
CONSUMER BUSINESS SERVICES (3.5%)
1,100 Ceridian Corp.*................ 40,562
1,300 Computer Sciences Corp.*....... 73,937
750 First Data Corp................ 42,656
<CAPTION>
NUMBER OF
SHARES VALUE
----------- -----------
<C> <S> <C>
700 First Financial Management
Corp......................... $ 59,850
-----------
217,005
-----------
DRUGS (4.7%)
400 American Home Products Corp.... 30,950
800 Amgen Inc.*.................... 64,200
3,100 Merck & Co., Inc............... 151,900
500 Pfizer, Inc.................... 46,188
-----------
293,238
-----------
ELECTRONICS - SEMICONDUCTORS/COMPONENTS
(10.7%)
1,000 Advanced Micro Devices,
Inc.*........................ 36,375
2,000 Cypress Semiconductor Corp.*... 81,000
1,000 Integrated Device Technology,
Inc.*........................ 46,125
2,000 Intel Corp..................... 126,500
600 Linear Technology Corp......... 39,300
1,400 LSI Logic Corp.*............... 54,775
2,000 Micron Technology, Inc......... 109,750
2,000 National Semiconductor
Corp.*....................... 55,500
900 Texas Instruments Inc.......... 120,488
-----------
669,813
-----------
ELECTRONICS - SPECIALTY (2.7%)
1,500 Altera Corp.*.................. 64,875
1,100 Maxim Integrated Products
Inc.*........................ 55,825
500 Xilinx, Inc.*.................. 46,875
-----------
167,575
-----------
ENERGY (0.8%)
350 Amoco Corp..................... 23,319
270 Mobil Corp..................... 25,920
-----------
49,239
-----------
ENTERTAINMENT (2.7%)
200 America Online, Inc.*.......... 8,700
1,100 C U C International, Inc.*..... 46,200
105 Gaylord Entertainment Co....... 2,651
2,000 Sierra On-Line, Inc.*.......... 50,000
400 Viacom, Inc.*.................. 18,550
800 Walt Disney Co................. 44,500
-----------
170,601
-----------
FINANCIAL - MISCELLANEOUS (10.1%)
2,000 Ahmanson (H.F.) & Co........... 44,000
600 American International Group,
Inc.......................... 68,400
2,000 Bear Stearns Companies, Inc.... 42,750
3,000 Countrywide Credit Industries,
Inc.......................... 63,000
2,000 Edwards (A.G.), Inc............ 45,000
700 Federal Home Loan Mortgage
Corp......................... 48,125
600 Federal National Mortgage
Association.................. 56,625
600 Golden West Financial Corp..... 28,275
2,000 Great Western Financial
Corp......................... 41,250
1,000 Green Tree Financial Corp...... 44,375
1,100 Merrill Lynch & Co., Inc....... 57,750
900 MGIC Investment Corp........... 42,188
</TABLE>
<PAGE>
AMERICAN VALUE
PORTFOLIO OF INVESTMENTS JUNE 30, 1995 (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------- -----------
<C> <S> <C>
1,200 Schwab (Charles) Corp.......... $ 52,050
-----------
633,788
-----------
FOODS & BEVERAGES (3.6%)
900 C P C International Inc........ 55,575
800 Coca Cola Co................... 51,000
850 International Flavors &
Fragrances Inc............... 42,287
1,700 PepsiCo Inc.................... 77,562
-----------
226,424
-----------
HEALTHCARE PRODUCTS & SERVICES (2.0%)
500 Coram Healthcare Corp.*........ 7,063
1,000 HBO & Co....................... 54,500
600 Medaphis Corp.*................ 12,750
1,200 Shared Medical Systems Corp.... 48,150
-----------
122,463
-----------
HOTELS/MOTELS (2.3%)
100 Hilton Hotels Corp............. 7,025
300 ITT Corp....................... 35,250
900 La Quinta Inns, Inc............ 24,300
1,200 Marriot International Inc...... 43,050
800 Promus Companies, Inc.*........ 31,200
-----------
140,825
-----------
HOUSEHOLD PRODUCTS (2.6%)
800 Gillette Co.................... 35,700
600 Procter & Gamble Co............ 43,125
1,400 Scott Paper Co................. 69,300
100 Unilever NV (ADR)
(Netherlands)................ 13,012
-----------
161,137
-----------
HOUSING RELATED (0.2%)
900 Clayton Homes, Inc............. 14,738
-----------
INSURANCE (2.4%)
700 Aetna Life & Casualty Co....... 44,013
900 American General Corp.......... 30,375
100 St. Paul Companies, Inc........ 4,925
500 Sunamerica Inc................. 25,500
1,000 Travelers, Inc................. 43,750
-----------
148,563
-----------
MEDIA GROUP (3.2%)
400 Capital Cities/ABC, Inc........ 43,200
300 CBS Inc........................ 20,100
1,700 Infinity Broadcasting Corp.*... 56,737
200 Interpublic Group of Companies,
Inc.......................... 7,500
2,000 News Corp. Ltd. (ADR)
(Australia).................. 45,250
2,000 Westwood One, Inc.*............ 29,250
-----------
202,037
-----------
<CAPTION>
NUMBER OF
SHARES VALUE
----------- -----------
<C> <S> <C>
MEDICAL PRODUCTS & SUPPLIES (3.6%)
1,200 Abbott Laboratories............ $ 48,600
1,400 Boston Scientific Corp.*....... 44,625
900 Johnson & Johnson.............. 60,862
700 Medtronic, Inc................. 53,988
500 Stryker Corp................... 19,062
-----------
227,137
-----------
MISCELLANEOUS (0.6%)
1,000 Thermo Electron Corp.*......... 40,250
-----------
POLLUTION CONTROL (0.9%)
1,500 Browning-Ferris Industries,
Inc.......................... 54,188
-----------
RESTAURANTS (0.4%)
600 McDonald's Corp................ 23,475
-----------
RETAIL (0.9%)
2,200 Federated Department Stores,
Inc.*........................ 56,650
-----------
SEMICONDUCTOR CAPITAL EQUIPMENT (2.2%)
700 Applied Materials, Inc.*....... 60,375
600 KLA Instruments Corp.*......... 46,350
900 Ultratech Stepper, Inc.*....... 31,275
-----------
138,000
-----------
TELECOMMUNICATIONS (4.4%)
500 ADC Telecommunications,
Inc.*........................ 17,750
600 Ascend Communications, Inc.*... 30,300
1,000 Cisco Systems, Inc.*........... 50,500
1,400 Tellabs, Inc.*................. 67,200
700 ThreeCom Corp.*................ 46,813
600 U.S. Robotics Corp.*........... 65,100
-----------
277,663
-----------
TOBACCO (0.8%)
700 Philip Morris Companies,
Inc.......................... 52,063
-----------
UTILITIES (0.5%)
600 Kansas City Power & Light
Co........................... 13,725
800 TECO Energy, Inc............... 17,500
-----------
31,225
-----------
TOTAL COMMON STOCKS (IDENTIFIED
COST $5,252,183)............. 5,710,965
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
CONVERTIBLE PREFERRED STOCK (1.0%)
COMMUNICATIONS - EQUIPMENT & SOFTWARE
1,000 Nokia Corp. $0.58 (ADR)
(Finland) (Identified Cost
$44,651)..................... 59,625
-----------
</TABLE>
<PAGE>
AMERICAN VALUE
PORTFOLIO OF INVESTMENTS JUNE 30, 1995 (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN
THOUSANDS) VALUE
------------- -----------
<C> <S> <C>
SHORT-TERM INVESTMENT (A) (14.4%)
U.S. GOVERNMENT AGENCY
$ 900 Federal Home Loan Banks 6.10%
due 07/03/95 (Amortized Cost
$899,695)................... $ 899,695
-----------
TOTAL INVESTMENTS (IDENTIFIED
COST $6,196,529)(B).......... 106.7% 6,670,285
LIABILITIES IN EXCESS OF CASH
AND OTHER ASSETS............. (6.7) (419,692)
---------- -----------
NET ASSETS..................... 100.0% $ 6,250,593
---------- -----------
---------- -----------
<FN>
----------------
ADR AMERICAN DEPOSITORY RECEIPT.
* NON-INCOME PRODUCING SECURITY.
(A) SECURITY WAS PURCHASED ON A DISCOUNT BASIS. THE INTEREST RATE SHOWN HAS
BEEN ADJUSTED TO REFLECT A MONEY MARKET EQUIVALENT YIELD.
(B) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES IS $6,197,217; THE
AGGREGATE GROSS UNREALIZED APPRECIATION IS $509,261 AND THE AGGREGATE
GROSS UNREALIZED DEPRECIATION IS $36,193, RESULTING IN NET UNREALIZED
APPRECIATION OF $473,068.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS JUNE 30, 1995 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- -----------
<C> <S> <C>
COMMON AND PREFERRED STOCKS (75.9%)
CANADA (1.2%)
MACHINERY - DIVERSIFIED
1,000 Bombardier Inc.- Class A......... $ 24,419
-----------
OIL & GAS DRILLING
1,500 Talisman Energy, Inc.*........... 27,881
-----------
TOTAL CANADA..................... 52,300
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
CHILE (1.5%)
CONGLOMERATES
2,200 Madeco S.A. (ADR)................ 63,250
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
DENMARK (2.0%)
TELECOMMUNICATIONS
3,000 Tele Danmark AS (ADR)............ 84,000
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
FINLAND (2.8%)
TELECOMMUNICATIONS EQUIPMENT
2,000 Nokia Corp. (ADR)................ 119,250
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
FRANCE (3.9%)
ENGINEERING & CONSTRUCTION
400 Bouygues S.A..................... 48,022
-----------
FINANCIAL SERVICES
300 Compagnie Bancaire S.A........... 35,954
-----------
MACHINERY - DIVERSIFIED
100 Sidel S.A........................ 35,107
-----------
MISCELLANEOUS
100 De Dietrich et Compagnie S.A..... 49,179
-----------
TOTAL FRANCE..................... 168,262
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
GERMANY (5.4%)
ENGINEERING & CONSTRUCTION
100 Hochtief AG...................... 55,157
-----------
MACHINERY - DIVERSIFIED
200 Jungheinrich AG (Pref.).......... 40,536
200 Mannesmann AG.................... 61,165
-----------
101,701
-----------
METALS
100 Degussa AG....................... 31,017
-----------
PHARMACEUTICALS
100 Gehe AG.......................... 45,965
-----------
TOTAL GERMANY.................... 233,840
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
HONG KONG (3.9%)
BANKING
6,800 HSBC Holdings PLC................ 87,228
-----------
TELECOMMUNICATIONS
4,000 Hong Kong Telecommunications,
Ltd. (ADR)..................... 79,500
-----------
TOTAL HONG KONG.................. 166,728
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
---------- -----------
<C> <S> <C>
ITALY (1.9%)
TELECOMMUNICATIONS
15,000 Telecom Italia SpA............... $ 40,693
-----------
TEXTILES
9,000 Bassetti SpA..................... 40,583
-----------
TOTAL ITALY...................... 81,276
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
JAPAN (13.7%)
BUILDING & CONSTRUCTION
2,000 Nishimatsu Construction Co....... 23,641
-----------
BUSINESS SERVICES
1,000 Secom Co......................... 63,002
-----------
ELECTRONIC & ELECTRICAL EQUIPMENT
2,000 Canon, Inc....................... 32,624
5,000 NEC Corp......................... 54,906
-----------
87,530
-----------
ELECTRONICS - SEMICONDUCTORS/COMPONENTS
1,000 Kyocera Corp..................... 82,506
2,000 Rohm Co., Ltd.................... 103,310
-----------
185,816
-----------
MACHINERY
10,000 Mitsubishi Heavy Industries,
Ltd............................ 68,085
-----------
MANUFACTURING
4,000 Hitachi Cable.................... 26,099
-----------
PHARMACEUTICALS
3,000 Santen Pharmaceutical Co......... 79,787
-----------
WHOLESALE & INTERNATIONAL TRADE
7,000 Mitsui & Co...................... 54,775
-----------
TOTAL JAPAN...................... 588,735
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
NETHERLANDS (1.8%)
ELECTRONIC & ELECTRICAL EQUIPMENT
1,000 Philips Electronics NV........... 42,399
-----------
PUBLISHING
300 VNU.............................. 35,968
-----------
TOTAL NETHERLANDS................ 78,367
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
NORWAY (0.9%)
MACHINERY
900 Kvaerner AS (B Shares)........... 39,487
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
SINGAPORE (3.3%)
MACHINERY - DIVERSIFIED
6,500 Keppel Corp., Ltd................ 53,061
-----------
PUBLISHING
6,000 Singapore Press Holdings Ltd..... 89,796
-----------
TOTAL SINGAPORE.................. 142,857
-----------
</TABLE>
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS JUNE 30, 1995 (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
---------- -----------
<C> <S> <C>
SPAIN (2.3%)
OIL - FOREIGN
2,000 Repsol S. A...................... $ 63,250
-----------
STEEL
300 Acerinox S.A..................... 36,959
-----------
TOTAL SPAIN...................... 100,209
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
SWEDEN (1.9%)
MACHINERY
1,500 Svedala Industria (Series AB
Free).......................... 40,488
-----------
WHOLESALE & INTERNATIONAL TRADE
1,300 Kinnevik AB (Series B Free)...... 39,743
-----------
TOTAL SWEDEN..................... 80,231
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
SWITZERLAND (1.1%)
PHARMACEUTICALS
7 Roche Holdings AG................ 45,205
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
UNITED KINGDOM (6.9%)
BUSINESS SERVICES
8,000 Chubb Security PLC............... 40,041
10,000 Reuters Holdings PLC............. 83,445
-----------
123,486
-----------
FOOD PROCESSING
2,500 Unilever PLC..................... 50,709
-----------
FOODS & BEVERAGES
5,000 Allied Domecq PLC................ 43,397
-----------
RETAIL
6,000 Marks & Spencer PLC.............. 38,639
-----------
TRANSPORTATION - MISCELLANEOUS
5,000 British Airport Authority........ 39,332
-----------
TOTAL UNITED KINGDOM............. 295,563
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
UNITED STATES (21.4%)
AEROSPACE
1,500 Loral Corp....................... 77,625
-----------
ALUMINUM
1,100 Aluminum Co. of America.......... 55,138
-----------
COMPUTER SOFTWARE
3,400 Informix Corp.................... 85,850
-----------
<CAPTION>
SHARES VALUE
---------- -----------
<C> <S> <C>
DRUGS & HEALTHCARE
1,300 Johnson & Johnson................ $ 87,912
-----------
ELECTRONICS - SEMICONDUCTORS/COMPONENTS
1,000 Intel Corp....................... 63,250
1,300 Motorola, Inc.................... 87,262
-----------
150,512
-----------
FINANCIAL SERVICES
1,000 Sunamerica Inc................... 51,000
-----------
FOODS & BEVERAGES
2,000 PepsiCo Inc...................... 91,250
-----------
HOUSEHOLD PRODUCTS
1,100 Procter & Gamble Co.............. 79,063
-----------
INSURANCE
600 American International Group,
Inc............................ 68,400
-----------
MEDICAL PRODUCTS & SUPPLIES
1,000 Medtronic, Inc................... 77,125
-----------
OIL - INTEGRATED
1,000 Mobil Corp....................... 96,000
-----------
TOTAL UNITED STATES.............. 919,875
-----------
TOTAL COMMON AND PREFERRED STOCKS
(IDENTIFIED COST $3,090,980)... 3,259,435
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN
THOUSANDS)
----------
<C> <S> <C>
SHORT-TERM INVESTMENT (A) (33.7%)
U.S. GOVERNMENT AGENCY
$ 1,445 Federal Home Loan Banks 6.10% due
07/03/95 (Amortized Cost
$1,444,510).................... 1,444,510
-----------
TOTAL INVESTMENTS (IDENTIFIED
COST $4,535,490) (B)........... 109.6% 4,703,945
LIABILITIES IN EXCESS OF CASH AND
OTHER ASSETS................... (9.6) (412,055)
---------- -----------
NET ASSETS....................... 100.0% $ 4,291,890
---------- -----------
---------- -----------
<FN>
----------------
ADR AMERICAN DEPOSITORY RECEIPT.
* NON-INCOME PRODUCING SECURITY.
(A) SECURITY WAS PURCHASED ON A DISCOUNT BASIS. THE INTEREST RATE SHOWN HAS
BEEN ADJUSTED TO REFLECT A MONEY MARKET EQUIVALENT YIELD.
(B) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES IS $4,535,490; THE
AGGREGATE GROSS UNREALIZED APPRECIATION IS $213,140 AND THE AGGREGATE
GROSS UNREALIZED DEPRECIATION IS $44,685, RESULTING IN NET UNREALIZED
APPRECIATION OF $168,455.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
GLOBAL EQUITY PORTFOLIO
SUMMARY OF INVESTMENTS
JUNE 30, 1995 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT OF
INDUSTRY VALUE NET ASSETS
----------------------------- --------- -----------
<S> <C> <C>
Aerospace.................... $ 77,625 1.8%
Aluminum..................... 55,138 1.3
Banking...................... 87,228 2.0
Building & Construction...... 23,641 0.6
Business Services............ 186,488 4.4
Computer Software............ 85,850 2.0
Conglomerates................ 63,250 1.5
Drugs & Healthcare........... 87,912 2.1
Electronic & Electrical
Equipment................... 129,929 3.0
Electronics -
Semiconductors/Components... 336,328 7.8
Engineering & Construction... 103,179 2.4
Financial Services........... 86,954 2.0
Food Processing.............. 50,709 1.2
Foods & Beverages............ 134,647 3.1
Household Products........... 79,063 1.8
Insurance.................... 68,400 1.6
Machinery.................... 148,060 3.5
Machinery - Diversified...... 214,288 5.0
<CAPTION>
PERCENT OF
INDUSTRY VALUE NET ASSETS
----------------------------- --------- -----------
<S> <C> <C>
Manufacturing................ $ 26,099 0.6%
Medical Products &
Supplies.................... 77,125 1.8
Metals....................... 31,017 0.7
Miscellaneous................ 49,179 1.1
Oil & Gas Drilling........... 27,881 0.6
Oil - Foreign................ 63,250 1.5
Oil - Integrated............. 96,000 2.2
Pharmaceuticals.............. 170,957 4.0
Publishing................... 125,764 2.9
Retail....................... 38,639 0.9
Steel........................ 36,959 0.9
Telecommunications........... 204,193 4.8
Telecommunications
Equipment................... 119,250 2.8
Textiles..................... 40,583 0.9
Transportation -
Miscellaneous............... 39,332 0.9
U.S. Government Agency....... 1,444,510 33.7
Wholesale & International
Trade....................... 94,518 2.2
--------- -----
$4,703,945 109.6%
--------- -----
--------- -----
</TABLE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT OF
TYPE OF INVESTMENT VALUE NET ASSETS
--------------------------------------------- ----------- ----------
<S> <C> <C>
Common Stocks................................ $ 3,218,899 75.0%
Preferred Stocks............................. 40,536 0.9
Short-Term Investment........................ 1,444,510 33.7
----------- -----
$ 4,703,945 109.6%
----------- -----
----------- -----
</TABLE>
--------------------------------------------------------------------------------
FORWARD FOREIGN CURRENCY CONTRACTS OPEN AT JUNE 30, 1995:
<TABLE>
<CAPTION>
IN UNREALIZED
CONTRACTS EXCHANGE DELIVERY APPRECIATION/
TO DELIVER FOR DATE (DEPRECIATION)
---------- -------------------- -------- ------------
<S> <C> <C> <C>
$ 179,601 DEM 248,065 07/03/95 $(39)
$ 8,934 ITL 14,598,160 07/05/95 22
$ 8,882 ITL 14,545,061 07/06/95 41
$ 167,175 L 104,746 07/07/95 (209)
$ 22,419 ITL 36,542,190 07/07/95 -
$ 41,497 ITL 67,619,400 07/31/95 (13)
-----
Net unrealized depreciation .................... $(198)
-----
-----
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DEVELOPING GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 1995 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------- -----------
<C> <S> <C>
COMMON STOCKS (81.6%)
AUTO TRUCKS & PARTS (0.4%)
360 Wabash National Corp........... $ 11,205
-----------
BROADCAST MEDIA (0.7%)
1,380 Westwood One, Inc.*............ 20,183
-----------
BUSINESS EQUIPMENT (0.6%)
740 Checkpoint Systems, Inc........ 16,465
-----------
BUSINESS SERVICES (1.8%)
940 Gartner Group Inc.*............ 27,025
1,000 ITI Technologies, Inc.......... 23,750
-----------
50,775
-----------
CHEMICALS - SPECIALTY (1.7%)
1,220 Calgon Carbon Corp............. 14,792
960 Crompton & Knowles Corp........ 13,560
410 Sigma-Aldrich Corp............. 20,090
-----------
48,442
-----------
COMMERCIAL SERVICES (3.3%)
825 Career Horizons, Inc........... 15,675
325 Cerner Corp.*.................. 19,581
610 Norrell Corp................... 11,590
1,200 On Assignment, Inc............. 21,900
1,500 Sitel Corp..................... 26,250
-----------
94,996
-----------
COMMUNICATIONS - EQUIPMENT & SOFTWARE (7.4%)
350 Bay Networks, Inc.*............ 14,394
455 Cisco Systems, Inc.*........... 22,977
750 Danka Business Systems PLC
(ADR)........................ 18,094
1,000 Expert Software, Inc........... 18,000
500 Firefox Communications, Inc.... 12,625
1,080 Global Village Communications,
Inc.......................... 16,470
1,000 Harmonic Lightwares, Inc....... 16,250
700 Madge NV....................... 19,600
500 Maxis, Inc..................... 13,125
500 Number Nine Visual Technology
Corp......................... 10,375
500 Performance Systems
International, Inc........... 7,563
410 Premisys Communications,
Inc.......................... 26,445
700 UUNET Technologies, Inc........ 19,075
-----------
214,993
-----------
COMMUNICATIONS - EQUIPMENT/MANUFACTURERS
(3.8%)
700 ADC Telecommunications,
Inc.*........................ 24,850
990 Boston Technology, Inc.*....... 18,439
1,100 Comverse Technology, Inc....... 19,525
700 Summa Four, Inc................ 19,250
260 U.S. Robotics Corp.*........... 28,210
-----------
110,274
-----------
<CAPTION>
NUMBER OF
SHARES VALUE
----------- -----------
<C> <S> <C>
COMPUTER - AIDED DESIGN (1.9%)
430 Avid Technology, Inc........... $ 16,017
1,000 Dendrite International, Inc.... 16,000
360 Medic Computer Systems,
Inc.*........................ 13,860
1,000 Sonic Solutions, Inc........... 9,750
-----------
55,627
-----------
COMPUTER SOFTWARE (6.4%)
1,000 ArcSys, Inc.................... 34,000
100 Baan Company NV................ 3,075
500 Datastream Systems, Inc........ 11,500
1,060 Informix Corp.................. 26,765
670 Kronos, Inc.*.................. 24,790
420 Macromedia, Inc.*.............. 18,165
600 Mercury Interactive Corp....... 11,850
1,100 Platinum Technology, Inc....... 19,525
375 Progress Software Corp......... 19,406
680 Project Software & Development,
Inc.......................... 20,060
-----------
189,136
-----------
COMPUTER SOFTWARE & SERVICES (1.2%)
1,000 Eagle Point Software Corp...... 16,750
620 Fair Issac & Co., Inc.......... 17,670
-----------
34,420
-----------
COMPUTERS (3.2%)
2,000 3D Systems Corp................ 37,000
500 Nexgen, Inc.................... 11,750
2,000 Planar Systems, Inc............ 44,000
-----------
92,750
-----------
COMPUTERS - PERIPHERAL EQUIPMENT (1.9%)
2,200 Exabyte Corp................... 30,250
800 StorMedia, Inc................. 24,600
-----------
54,850
-----------
COMPUTERS - SYSTEMS (0.7%)
500 VideoServer, Inc.*............. 19,375
-----------
CONSUMER SERVICES (0.3%)
865 Ideon Group, Inc............... 8,542
-----------
ELECTRICAL EQUIPMENT (1.0%)
750 Methode Electronics, Inc....... 14,437
1,000 SatCon Technology Corp......... 13,250
-----------
27,687
-----------
ELECTRONIC COMPONENTS (1.9%)
600 Adaptec, Inc................... 22,050
460 Adtran, Inc.................... 15,065
1,000 Teltrend, Inc.................. 19,250
-----------
56,365
-----------
</TABLE>
<PAGE>
DEVELOPING GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 1995 (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------- -----------
<C> <S> <C>
ENTERTAINMENT & LEISURE TIME (4.2%)
200 Broderbund Software, Inc.*..... $ 12,700
2,210 Cinar Films Inc................ 21,547
1,000 Discreet Logic, Inc............ 32,250
700 Edmark Corp.................... 28,175
700 Gaylord Entertainment Co....... 17,675
700 Spectrum Holobyte, Inc......... 9,975
-----------
122,322
-----------
ENTERTAINMENT/GAMING (1.2%)
900 Showboat, Inc.................. 16,650
1,000 Station Casinos, Inc........... 17,125
-----------
33,775
-----------
FINANCIAL SERVICES (1.3%)
1,000 Aames Financial Corp........... 17,750
610 World Acceptance Corp.*........ 20,435
-----------
38,185
-----------
HEALTH & PERSONAL CARE (0.3%)
570 Coram Healthcare Corp.*........ 8,051
-----------
HEALTHCARE PRODUCTS & SERVICES (2.3%)
740 GMIS, Inc...................... 16,835
385 HBO & Co....................... 20,983
570 Ivax Corp...................... 14,036
780 Medaphis Corp.*................ 16,575
-----------
68,429
-----------
HOSPITAL MANAGEMENT & HEALTH MAINTENANCE
ORGANIZATIONS (3.0%)
1,000 American Oncology Resources,
Inc.......................... 27,750
1,100 Healthsouth Rehabilitation
Corp.*....................... 19,113
600 Oxford Health Plans, Inc.*..... 28,050
860 Theratx, Inc.*................. 11,288
-----------
86,201
-----------
HOSPITAL SUPPLY (1.3%)
460 Arrow International, Inc....... 19,090
590 Boston Scientific Corp.*....... 18,806
-----------
37,896
-----------
HOTELS/MOTELS (1.1%)
630 La Quinta Inns, Inc............ 17,010
1,510 Prime Hospitality Corp......... 14,911
-----------
31,921
-----------
MANUFACTURING (1.8%)
500 Brady (W.H.) Co................ 33,750
500 Crane Co....................... 18,125
-----------
51,875
-----------
MEDICAL EQUIPMENT (0.8%)
1,000 Pyxis Corp.*................... 22,500
-----------
<CAPTION>
NUMBER OF
SHARES VALUE
----------- -----------
<C> <S> <C>
MEDICAL PRODUCTS & SUPPLIES (2.4%)
1,500 Benson Eyecare Corp............ $ 15,188
860 Biomet, Inc.*.................. 13,223
440 Omnicare, Inc.................. 11,935
840 Research Industries Corp....... 19,005
1,300 Staar Surgical Co.............. 10,888
-----------
70,239
-----------
MEDICAL SERVICES (0.7%)
1,000 APPS Dental, Inc............... 20,250
-----------
OFFICE EQUIPMENT & SUPPLIES (0.7%)
960 Corporate Express, Inc.*....... 20,520
-----------
OIL & GAS PRODUCTS (1.7%)
770 Barrett Resources Corp......... 17,902
600 Chesapeake Energy Corp......... 15,450
490 Seitel Inc.*................... 15,190
-----------
48,542
-----------
PHARMACEUTICALS (1.9%)
1,270 Dura-Pharmaceuticals, Inc.*.... 23,495
510 Roberts Pharmaceutical
Corp.*....................... 10,965
550 Teva Pharmaceutical Industries
Ltd. (ADR) (Israel).......... 20,556
-----------
55,016
-----------
PROPERTY - CASUALTY INSURANCE (1.3%)
2,400 U.S. Facilities Corp........... 38,400
-----------
RESTAURANTS (1.7%)
680 Cheesecake Factory, Inc........ 17,510
1,000 Cooker Restaurant Corp......... 11,500
700 Lone Star Steakhouse & Saloon,
Inc.*........................ 21,088
-----------
50,098
-----------
RETAIL - DEPARTMENT STORES (0.6%)
583 Dollar General Corp.*.......... 18,437
-----------
RETAIL - SPECIALTY (1.7%)
550 Claire's Stores Inc............ 9,969
800 Consolidated Stores Corp....... 16,700
500 Hollywood Entertainment
Corp......................... 22,500
-----------
49,169
-----------
SEMICONDUCTOR EQUIPMENT (3.4%)
180 Applied Materials, Inc.*....... 15,525
370 Electroglas, Inc.*............. 21,181
820 FSI International, Inc......... 19,065
660 Fusion Systems Corp............ 22,110
570 Ultratech Stepper, Inc......... 19,808
-----------
97,689
-----------
</TABLE>
<PAGE>
DEVELOPING GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 1995 (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------- -----------
<C> <S> <C>
SEMICONDUCTORS (4.8%)
460 Cypress Semiconductor Corp.*... $ 18,630
500 Lattice Semiconductor Corp..... 17,188
290 Linear Technology Corp......... 18,995
415 Maxim Integrated Products
Inc.*........................ 21,061
500 Microchip Technology, Inc.*.... 18,125
420 Micron Technology, Inc......... 23,048
790 VLSI Technology, Inc........... 23,601
-----------
140,648
-----------
TELECOMMUNICATIONS (2.4%)
800 Arch Communications Group,
Inc.......................... 17,500
1,000 Mobilemedia Corp............... 20,500
1,130 U.S. Long Distance Corp........ 18,221
970 Xpedite Systems, Inc........... 13,095
-----------
69,316
-----------
TEXTILES (0.6%)
825 Wolverine World Wide, Inc...... 17,119
-----------
TRANSPORTATION (1.7%)
750 Comair Holdings, Inc........... 28,406
270 Fritz Companies, Inc.*......... 15,795
290 Skywest, Inc................... 6,525
-----------
50,726
-----------
WHOLESALE DISTRIBUTOR (0.5%)
600 Cellstar Corp.................. 13,725
-----------
TOTAL COMMON STOCKS (IDENTIFIED
COST $2,031,385)............. 2,367,134
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN
THOUSANDS)
-------------
<C> <S> <C>
SHORT-TERM INVESTMENT (A) (24.8%)
U.S. GOVERNMENT AGENCY
$ 720 Federal Home Loan Banks 6.10%
due 07/03/95 (Amortized Cost
$719,756)................... $ 719,756
-----------
TOTAL INVESTMENTS (IDENTIFIED
COST $2,751,141) (B)......... 106.4% 3,086,890
LIABILITIES IN EXCESS OF CASH
AND OTHER ASSETS............. (6.4) (186,176)
---------- -----------
NET ASSETS..................... 100.0% $ 2,900,714
---------- -----------
---------- -----------
<FN>
----------------
ADR AMERICAN DEPOSITORY RECEIPT.
* NON-INCOME PRODUCING SECURITY.
(A) SECURITY WAS PURCHASED ON A DISCOUNT BASIS. THE INTEREST RATE SHOWN HAS
BEEN ADJUSTED TO REFLECT A MONEY MARKET EQUIVALENT YIELD.
(B) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES IS $2,751,141; THE
AGGREGATE GROSS UNREALIZED APPRECIATION IS $393,616 AND THE AGGREGATE
GROSS UNREALIZED DEPRECIATION IS $57,867, RESULTING IN NET UNREALIZED
APPRECIATION OF $335,749.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS JUNE 30, 1995 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
------------- -----------
<C> <S> <C>
CONVERTIBLE BOND, COMMON AND PREFERRED
STOCKS (83.6%)
ARGENTINA (5.3%)
MULTI-INDUSTRY
8,000 Compania Naviera Perez
Compac
S.A.C.F.I.M.F.A.......... $ 33,610
-----------
OIL RELATED
400 Yacimentos Petroliferos
Fiscales S.A. (ADR)...... 7,550
-----------
TELECOMMUNICATIONS
1,300 Telefonica de Argentina
S.A. (ADR)............... 32,175
-----------
TOTAL ARGENTINA............ 73,335
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
BRAZIL (12.0%)
FOODS & BEVERAGES
20,000 Companhia Cervejaria Brahma
(Conv. Pref.)............ 6,572
-----------
PLASTICS
2,500 Rhodia Ster S.A. (GDR) -
144A*.................... 34,375
-----------
STEEL & IRON
2,800 Usinas Siderurgicas de
Minas Gerais (ADR)....... 30,800
-----------
TELECOMMUNICATIONS
1,090 Telecomunicacoes
Brasileiras S.A. (ADR)... 36,379
-----------
UTILITIES - ELECTRIC
2,365 Centrais Electricas
Brasileiras S.A. (ADR)... 30,597
1,400 Companhia Energetica de
Minas Gerais - 144A*
(ADR) (Pref.)............ 27,125
-----------
57,722
-----------
TOTAL BRAZIL............... 165,848
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
GREECE (1.9%)
BUILDING & CONSTRUCTION
1,200 Aegek...................... 26,719
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
INDIA (2.4%)
BUILDING & CONSTRUCTION
1,700 Larsen & Tourbo Ltd.
(GDS).................... 32,946
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
INDONESIA (2.4%)
AUTOMOTIVE
10,000 PT Astra International..... 17,745
-----------
TELECOMMUNICATIONS
400 PT Indonesian Satellite
Corp. (ADS).............. 15,300
-----------
TOTAL INDONESIA............ 33,045
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
------------- -----------
<C> <S> <C>
MALAYSIA (18.4%)
BANKING
5,000 Commerce Asset Holdings
Berhad................... $ 25,641
10,000 DCB Holdings Berhad........ 29,333
-----------
54,974
-----------
CONGLOMERATES
16,000 Renong Berhad.............. 29,801
10,000 Sime Darby Berhad.......... 27,897
-----------
57,698
-----------
ENTERTAINMENT/GAMING & LODGING
3,000 Genting Berhad............. 29,662
-----------
FINANCIAL SERVICES
25,000 MBF Capital Berhad......... 29,128
-----------
INVESTMENT COMPANIES
25,000 Lion Land Berhad........... 30,256
-----------
PUBLISHING
10,000 New Straits Times Press
Berhad................... 30,974
-----------
RETAIL
2,000 Prime Utilities Berhad..... 20,923
-----------
TOTAL MALAYSIA............. 253,615
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
MEXICO (8.6%)
BEVERAGES
1,400 Panamerican Beverages,
Inc...................... 42,000
-----------
CONGLOMERATES
3,100 Grupo Industria Alfa (A
Shares).................. 37,677
-----------
TELECOMMUNICATIONS
1,100 Telefonos de Mexico S.A. de
C.V. (Series L) (ADR).... 32,588
-----------
TRANSPORTATION
1,100 Transportacion Maritima
Mexicana S.A. de C.V. (A
Shares) (ADR)............ 5,500
-----------
TOTAL MEXICO............... 117,765
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
PERU (2.5%)
TELECOMMUNICATIONS
20,200 CPT-Telefonica de Peru S.A.
(B Shares)............... 34,545
-----------
</TABLE>
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS JUNE 30, 1995 (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
------------- -----------
<C> <S> <C>
PHILIPPINES (2.5%)
CEMENT
13,400 Bacnotan Cement Corp....... $ 16,297
-----------
UTILITIES - ELECTRIC
2,300 Manila Electric Co. (B
Shares).................. 18,497
-----------
TOTAL PHILIPPINES.......... 34,794
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
PORTUGAL (3.1%)
BUILDING & CONSTRUCTION
1,300 Sociedade Construcoes
Soares de Costa S.A...... 23,124
-----------
TELECOMMUNICATIONS
1,050 Portugal Telecom........... 20,137
-----------
TOTAL PORTUGAL............. 43,261
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
SINGAPORE (1.8%)
MULTI-INDUSTRY
3,000 Keppel Corp................ 24,490
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
SOUTH AFRICA (7.6%)
BANKING
1,000 Nedcor Ltd. - 144A*
(ADR).................... 49,250
-----------
BUILDING MATERIALS
1,000 Anglo Alpha Ltd............ 30,812
-----------
OIL RELATED
2,500 Sasol Ltd.................. 23,968
-----------
TOTAL SOUTH AFRICA......... 104,030
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
------------- -----------
<C> <S> <C>
SOUTH KOREA (2.8%)
STEEL & IRON
1,300 Pohang Iron & Steel Co.,
Ltd. (ADR)............... $ 38,350
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
THAILAND (8.3%)
BANKING
$ 25,000 Siam Commercial Bank Co.
3.25% due 01/24/04
(Conv.).................. 22,125
4,200 Thai Farmers Bank, Ltd..... 40,170
-----------
62,295
-----------
OIL RELATED
4,800 PTT Exploration and
Production............... 51,745
-----------
TOTAL THAILAND............. 114,040
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
TURKEY (1.6%)
TELECOMMUNICATIONS
65,000 Netas Telekomunik.......... 22,437
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
UNITED KINGDOM (2.4%)
INVESTMENT COMPANIES
900 Genesis Chile Fund......... 32,625
-----------
TOTAL INVESTMENTS (IDENTIFIED
COST $1,187,141) (A)......... 83.6% 1,151,845
CASH AND OTHER ASSETS IN EXCESS
OF LIABILITIES............... 16.4 226,029
---------- -----------
NET ASSETS..................... 100.0% $ 1,377,874
---------- -----------
---------- -----------
<FN>
----------------
ADR AMERICAN DEPOSITORY RECEIPT.
ADS AMERICAN DEPOSITORY SHARES.
GDR GLOBAL DEPOSITORY RECEIPT.
GDS GLOBAL DEPOSITORY SHARES.
* RESALE IS RESTRICTED TO QUALIFIED INSTITUTIONAL INVESTORS.
(A) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES IS $1,187,141; THE
AGGREGATE GROSS UNREALIZED APPRECIATION IS $21,128 AND THE AGGREGATE GROSS
UNREALIZED DEPRECIATION IS $56,424, RESULTING IN NET UNREALIZED
DEPRECIATION OF $35,296.
</TABLE>
FORWARD FOREIGN CURRENCY CONTRACT OPEN AT JUNE 30, 1995:
<TABLE>
<CAPTION>
IN
CONTRACTS EXCHANGE DELIVERY UNREALIZED
TO RECEIVE FOR DATE APPRECIATION
---------- ---------- -------- ------------
<S> <C> <C> <C>
FRF 50,505 $ 20,723 07/05/95 $ 3
--
--
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
EMERGING MARKETS PORTFOLIO
SUMMARY OF INVESTMENTS
JUNE 30, 1995 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT OF
INDUSTRY VALUE NET ASSETS
--------------------------------------------- ---------- ----------
<S> <C> <C>
Automotive................................... $ 17,745 1.3%
Banking...................................... 166,519 12.1
Beverages.................................... 42,000 3.1
Building & Construction...................... 82,789 6.0
Building Materials........................... 30,812 2.2
Cement....................................... 16,297 1.2
Conglomerates................................ 95,375 6.9
Entertainment/Gaming & Lodging............... 29,662 2.2
Financial Services........................... 29,128 2.1
Foods & Beverages............................ 6,572 0.5
Investment Companies......................... 62,881 4.6
Multi-Industry............................... 58,100 4.2
Oil Related.................................. 83,263 6.0
Plastics..................................... 34,375 2.5
Publishing................................... 30,974 2.2
Retail....................................... 20,923 1.5
Steel & Iron................................. 69,150 5.0
Telecommunications........................... 193,561 14.1
Transportation............................... 5,500 0.4
Utilities - Electric......................... 76,219 5.5
---------- ---
$1,151,845 83.6%
---------- ---
---------- ---
</TABLE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT OF
TYPE OF INVESTMENT VALUE NET ASSETS
--------------------------------------------- ---------- ----------
<S> <C> <C>
Convertible Bond............................. $ 22,125 1.6%
Common Stocks................................ 1,096,023 79.5
Preferred Stocks............................. 33,697 2.5
---------- ---
$1,151,845 83.6%
---------- ---
---------- ---
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1995 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NORTH
AMERICAN
GOVERNMENT DIVERSIFIED
MONEY MARKET SECURITIES INCOME BALANCED
------------ ------------ -------------- ------------
<S> <C> <C> <C> <C>
ASSETS:
Investments in securities, at
value *..................... $ 9,821,544 $ 530,113 $ 2,282,395 $ 4,760,495
Cash.......................... 1,433 14,768 5,362** 8,431
Receivable for:
Investments sold............ -- -- -- 18,200
Shares of beneficial
interest sold............. 198,193 -- 8,892 50,910
Dividends................... -- -- -- 4,675
Interest.................... -- 5,959 5,796 15,445
Foreign withholding taxes
reclaimed................. -- -- -- --
Compensated forward foreign
currency contracts........ -- -- 1,121 --
Prepaid expenses and other
assets...................... -- -- -- --
Deferred organizational
expenses.................... 7,263 7,266 7,266 7,266
Receivable from investment
manager..................... 27,988 8,219 21,070 36,502
------------ ------------ -------------- ------------
TOTAL ASSETS.......... 10,056,421 566,325 2,331,902 4,901,924
------------ ------------ -------------- ------------
LIABILITIES:
Payable for:
Investments purchased....... -- 66,873 -- 411,389
Compensated forward foreign
currency contracts........ -- -- 3,700 --
Unrealized depreciation on
forward foreign currency
contracts................... -- -- 2,412 --
Accrued expenses and other
payables.................... 27,988 8,219 21,070 36,502
Organizational expenses
payable..................... 7,263 7,266 7,266 7,266
------------ ------------ -------------- ------------
TOTAL LIABILITIES..... 35,251 82,358 34,448 455,157
------------ ------------ -------------- ------------
NET ASSETS:
Paid-in-capital............... 10,021,160 481,362 2,292,532 4,146,547
Undistributed net investment
income...................... 10 1,822 9,038 12,427
Undistributed net realized
gain (accumulated net
realized loss).............. -- (4) (1,881) 22,127
Net unrealized appreciation
(depreciation).............. -- 787 (2,235) 265,666
------------ ------------ -------------- ------------
NET ASSETS............ $ 10,021,170 $ 483,967 $ 2,297,454 $ 4,446,767
------------ ------------ -------------- ------------
------------ ------------ -------------- ------------
*IDENTIFIED COST.............. $ 9,821,544 $ 529,326 $ 2,282,399 $ 4,494,829
------------ ------------ -------------- ------------
------------ ------------ -------------- ------------
SHARES OF BENEFICIAL INTEREST
OUTSTANDING................. 10,021,160 47,935 228,164 397,182
------------ ------------ -------------- ------------
------------ ------------ -------------- ------------
NET ASSET VALUE PER
SHARE (unlimited authorized
shares of $.01 par value)... $1.00 $10.10 $10.07 $11.20
------------ ------------ -------------- ------------
------------ ------------ -------------- ------------
<FN>
------------------
** Includes foreign cash of $362.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DIVIDEND VALUE-ADDED CORE AMERICAN GLOBAL DEVELOPING EMERGING
UTILITIES GROWTH MARKET EQUITY VALUE EQUITY GROWTH MARKETS
---------- ----------- ---------- --------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments in securities, at
value *..................... $4,168,417 $16,859,643 $5,061,781 $855,529 $6,670,285 $4,703,945 $3,086,890 $1,151,845
Cash.......................... 31,592 1,840 14,727 99,649 89,330 2,025 2,877 234,979
Receivable for:
Investments sold............ -- -- -- 18,338 62,956 -- 51,579 --
Shares of beneficial
interest sold............. 9,933 38,407 20,629 7,192 21,615 8,874 2,367 3,771
Dividends................... 9,289 36,928 4,342 730 3,195 4,154 428 780
Interest.................... -- -- -- -- -- -- -- 7,221
Foreign withholding taxes
reclaimed................. -- -- -- -- -- 1,400 -- --
Compensated forward foreign
currency contracts........ -- -- -- -- -- -- -- --
Prepaid expenses and other
assets...................... -- -- 5,000 -- -- -- -- --
Deferred organizational
expenses.................... 7,266 7,266 7,266 7,266 7,266 7,266 7,266 7,266
Receivable from investment
manager..................... 23,960 58,320 8,972 6,437 44,182 52,445 11,577 8,253
---------- ----------- ---------- --------- ---------- ---------- ---------- ----------
TOTAL ASSETS.......... 4,250,457 17,002,404 5,122,717 995,141 6,898,829 4,780,109 3,162,984 1,414,115
---------- ----------- ---------- --------- ---------- ---------- ---------- ----------
LIABILITIES:
Payable for:
Investments purchased....... 316,075 1,606,535 763,692 -- 596,788 428,309 243,427 20,722
Compensated forward foreign
currency contracts........ -- -- -- -- -- -- -- --
Unrealized depreciation on
forward foreign currency
contracts................... -- -- -- -- -- 199 -- --
Accrued expenses and other
payables.................... 23,960 58,320 13,972 6,437 44,182 52,445 11,577 8,253
Organizational expenses
payable..................... 7,266 7,266 7,266 7,266 7,266 7,266 7,266 7,266
---------- ----------- ---------- --------- ---------- ---------- ---------- ----------
TOTAL LIABILITIES..... 347,301 1,672,121 784,930 13,703 648,236 488,219 262,270 36,241
---------- ----------- ---------- --------- ---------- ---------- ---------- ----------
NET ASSETS:
Paid-in-capital............... 3,764,557 14,392,646 4,106,754 945,412 5,772,980 4,116,998 2,545,152 1,413,311
Undistributed net investment
income...................... 14,052 45,341 9,148 619 7,662 12,280 1,661 2,505
Undistributed net realized
gain (accumulated net
realized loss).............. 2,708 8,935 3,102 (427 ) (3,805) (5,955) 18,152 (2,646)
Net unrealized appreciation
(depreciation).............. 121,839 883,361 218,783 35,834 473,756 168,567 335,749 (35,296)
---------- ----------- ---------- --------- ---------- ---------- ---------- ----------
NET ASSETS............ $3,903,156 $15,330,283 $4,337,787 $981,438 $6,250,593 $4,291,890 $2,900,714 $1,377,874
---------- ----------- ---------- --------- ---------- ---------- ---------- ----------
---------- ----------- ---------- --------- ---------- ---------- ---------- ----------
*IDENTIFIED COST.............. $4,046,578 $15,976,282 $4,842,998 $819,695 $6,196,529 $4,535,490 $2,751,141 $1,187,141
---------- ----------- ---------- --------- ---------- ---------- ---------- ----------
---------- ----------- ---------- --------- ---------- ---------- ---------- ----------
SHARES OF BENEFICIAL INTEREST
OUTSTANDING................. 359,100 1,290,238 384,054 93,922 537,877 409,537 233,036 141,319
---------- ----------- ---------- --------- ---------- ---------- ---------- ----------
---------- ----------- ---------- --------- ---------- ---------- ---------- ----------
NET ASSET VALUE PER
SHARE (unlimited authorized
shares of $.01 par value)... $10.87 $11.88 $11.29 $10.45 $11.62 $10.48 $12.45 $9.75
---------- ----------- ---------- --------- ---------- ---------- ---------- ----------
---------- ----------- ---------- --------- ---------- ---------- ---------- ----------
</TABLE>
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30,1995 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NORTH
AMERICAN
MONEY GOVERNMENT DIVERSIFIED
MARKET SECURITIES INCOME BALANCED
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
INCOME
Interest.................. $ 131,004 $ 6,196 $ 31,862 $ 40,781
Dividends................. -- -- -- 13,527*
----------- ----------- ----------- -----------
TOTAL INCOME.......... 131,004 6,196 31,862 54,308
----------- ----------- ----------- -----------
EXPENSES
Professional fees......... 11,346 9,074 9,120 20,972
Investment management
fee..................... 10,593 1,098 2,159 8,940
Transfer agent fees and
expenses................ 249 57 83 83
Shareholder reports and
notices................. 4,754 1,584 3,879 6,564
Registration fees......... 2,939 175 642 1,158
Custodian fees............ 4,196 560 2,894 2,915
Organizational expenses... 832 825 825 825
Other..................... 521 523 521 638
----------- ----------- ----------- -----------
TOTAL EXPENSES BEFORE
AMOUNTS
WAIVED/ASSUMED...... 35,430 13,896 20,123 42,095
LESS: AMOUNTS
WAIVED/ASSUMED.......... (35,430) (13,896) (20,123) (42,095)
----------- ----------- ----------- -----------
TOTAL EXPENSES AFTER
AMOUNTS
WAIVED/ASSUMED...... -- -- -- --
----------- ----------- ----------- -----------
NET INVESTMENT
INCOME.......... 131,004 6,196 31,862 54,308
----------- ----------- ----------- -----------
NET REALIZED AND UNREALIZED
GAIN (LOSS):
Investments............... -- (4) 218 22,127
Foreign exchange
transactions............ -- -- (2,099) --
----------- ----------- ----------- -----------
TOTAL GAIN (LOSS)..... -- (4) (1,881) 22,127
----------- ----------- ----------- -----------
Net change in unrealized
appreciation
(depreciation)........ -- 787 (4) 266,093
Translation of other
assets and liabilities
denominated in foreign
currencies............ -- -- (2,231) --
----------- ----------- ----------- -----------
TOTAL APPRECIATION
(DEPRECIATION)...... -- 787 (2,235) 266,093
----------- ----------- ----------- -----------
NET GAIN (LOSS)....... -- 783 (4,116) 288,220
----------- ----------- ----------- -----------
NET INCREASE
(DECREASE)...... $ 131,004 $ 6,979 $ 27,746 $ 342,528
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
<FN>
------------------
* Net of $84, $519, $65, $22, $71, $2,443, $8, $333 in foreign withholding
tax, respectively.
+ Includes $19 of dividend income from Dean Witter Discover & Co., an
affiliate of the Investment Manager.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DIVIDEND VALUE-ADDED AMERICAN GLOBAL DEVELOPING EMERGING
UTILITIES GROWTH MARKET CORE EQUITY VALUE EQUITY GROWTH MARKETS
----------- ---------- ---------- ----------- ---------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
INCOME
Interest.................. $ 14,467 $ 20,018 $ 14,710 $ 13,669 $ 13,900 $ 21,299 $ 11,082 $ 17,778
Dividends................. 25,872* 97,617 16,664*+ 844* 12,924* 19,270* 992* 1,592*
----------- ---------- ---------- ----------- ---------- -------- -------- --------
TOTAL INCOME.......... 40,339 117,635 31,374 14,513 26,824 40,569 12,074 19,370
----------- ---------- ---------- ----------- ---------- -------- -------- --------
EXPENSES
Professional fees......... 11,749 28,146 9,583 7,099 16,335 23,811 7,483 7,978
Investment management
fee..................... 5,035 17,068 4,365 2,876 7,515 11,331 2,952 5,541
Transfer agent fees and
expenses................ 83 83 83 83 83 83 83 83
Shareholder reports and
notices................. 4,323 6,624 2,187 2,001 4,552 6,657 2,098 2,208
Registration fees......... 1,119 4,453 1,330 215 1,708 1,007 760 335
Custodian fees............ 4,231 6,154 6,307 61 3,801 1,991 4,731 522
Organizational expenses... 825 825 825 825 825 825 825 825
Other..................... 532 531 5,522 522 11 558 523 534
----------- ---------- ---------- ----------- ---------- -------- -------- --------
TOTAL EXPENSES BEFORE
AMOUNTS
WAIVED/ASSUMED...... 27,897 63,884 30,202 13,682 34,830 46,263 19,455 18,026
LESS: AMOUNTS
WAIVED/ASSUMED.......... (27,897) (63,884) (30,202) (13,682) (34,830) (46,263) (19,455) (18,026)
----------- ---------- ---------- ----------- ---------- -------- -------- --------
TOTAL EXPENSES AFTER
AMOUNTS
WAIVED/ASSUMED...... -- -- -- -- -- -- -- --
----------- ---------- ---------- ----------- ---------- -------- -------- --------
NET INVESTMENT
INCOME.......... 40,339 117,635 31,374 14,513 26,824 40,569 12,074 19,370
----------- ---------- ---------- ----------- ---------- -------- -------- --------
NET REALIZED AND UNREALIZED
GAIN (LOSS):
Investments............... 2,708 8,935 3,102 (427) (362) (5,964) 18,201 (2,376)
Foreign exchange
transactions............ -- -- -- -- -- 9 -- (270)
----------- ---------- ---------- ----------- ---------- -------- -------- --------
TOTAL GAIN (LOSS)..... 2,708 8,935 3,102 (427) (362) (5,955) 18,201 (2,646)
----------- ---------- ---------- ----------- ---------- -------- -------- --------
Net change in unrealized
appreciation
(depreciation)........ 122,131 881,967 216,647 35,834 459,471 169,739 332,844 (35,296)
Translation of other
assets and liabilities
denominated in foreign
currencies............ -- -- -- -- -- 112 -- --
----------- ---------- ---------- ----------- ---------- -------- -------- --------
TOTAL APPRECIATION
(DEPRECIATION)...... 122,131 881,967 216,647 35,834 459,471 169,851 332,844 (35,296)
----------- ---------- ---------- ----------- ---------- -------- -------- --------
NET GAIN (LOSS)....... 124,839 890,902 219,749 35,407 459,109 163,896 351,045 (37,942)
----------- ---------- ---------- ----------- ---------- -------- -------- --------
NET INCREASE
(DECREASE)...... $ 165,178 $1,008,537 $ 251,123 $ 49,920 $ 485,933 $204,465 $363,119 $(18,572)
----------- ---------- ---------- ----------- ---------- -------- -------- --------
----------- ---------- ---------- ----------- ---------- -------- -------- --------
</TABLE>
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
STATEMENTS OF CHANGES IN NET ASSETS
----------------------------------------------------------------
FOR THE SIX MONTHS ENDED JUNE 30, 1995 (UNAUDITED) AND FOR THE PERIOD NOVEMBER
9, 1994* THROUGH DECEMBER 31, 1994
<TABLE>
<CAPTION>
NORTH AMERICAN GOVERNMENT
MONEY MARKET SECURITIES
--------------------------- ---------------------------
1995 1994 1995 1994
------------- ------------ ------------- ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS:
Operations:
Net investment income..... $ 131,004 $ 4,610 $ 6,196 $ 744
Net realized gain
(loss).................. -- -- (4) --
Net change in unrealized
appreciation/depreciation... -- -- 787 --
------------- ------------ ------------- ------------
Net increase
(decrease).......... 131,004 4,610 6,979 744
------------- ------------ ------------- ------------
Dividends to shareholders
from net investment
income.................... (130,994) (4,610) (4,869) (249)
------------- ------------ ------------- ------------
Transactions in shares of
beneficial interest:
Net proceeds from sales... 11,786,816 1,239,489 367,987 135,795
Reinvestment of
dividends............... 130,994 4,610 4,869 249
Cost of shares
repurchased............. (3,130,597) (10,252) (13,492) (14,146)
------------- ------------ ------------- ------------
Net increase in net
assets from
transactions in
shares of beneficial
interest............ 8,787,213 1,233,847 359,364 121,898
------------- ------------ ------------- ------------
Total increase........ 8,787,223 1,233,847 361,474 122,393
NET ASSETS:
Beginning of period......... 1,233,947 100 122,493 100
------------- ------------ ------------- ------------
END OF PERIOD............... $ 10,021,170 $ 1,233,947 $ 483,967 $ 122,493
------------- ------------ ------------- ------------
------------- ------------ ------------- ------------
UNDISTRIBUTED NET INVESTMENT
INCOME...................... $ 10 $ -- $ 1,822 $ 495
------------- ------------ ------------- ------------
------------- ------------ ------------- ------------
SHARES ISSUED AND REPURCHASED:
Sold........................ 11,786,816 1,239,489 36,595 13,576
Issued in reinvestment of
dividends................. 130,994 4,610 486 25
Repurchased................. (3,130,597) (10,252) (1,347) (1,410)
------------- ------------ ------------- ------------
Net increase................ 8,787,213 1,233,847 35,734 12,191
------------- ------------ ------------- ------------
------------- ------------ ------------- ------------
<FN>
------------------
* Commencement of operations.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
----------------------------------------------------------------
<TABLE>
<CAPTION>
DIVERSIFIED INCOME BALANCED UTILITIES DIVIDEND GROWTH
---------------------- ---------------------- ---------------------- ----------------------
1995 1994 1995 1994 1995 1994 1995 1994
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS:
Operations:
Net investment income..... $ 31,862 $ 1,572 $ 54,308 $ 3,850 $ 40,339 $ 2,262 $ 117,635 $ 6,872
Net realized gain
(loss).................. (1,881) -- 22,127 -- 2,708 -- 8,935 --
Net change in unrealized
appreciation/depreciation... (2,235) -- 266,093 (427) 122,131 (292) 881,967 1,394
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Net increase
(decrease).......... 27,746 1,572 342,528 3,423 165,178 1,970 1,008,537 8,266
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Dividends to shareholders
from net investment
income.................... (24,000) (396) (44,880) (851) (27,947) (602) (77,311) (1,855)
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Transactions in shares of
beneficial interest:
Net proceeds from sales... 2,445,025 400,638 4,385,134 806,042 4,199,282 518,226 13,471,237 1,393,837
Reinvestment of
dividends............... 24,000 396 44,879 851 27,947 602 77,311 1,855
Cost of shares
repurchased............. (577,617) (10) (1,076,421) (14,038) (959,224) (22,376) (527,205) (24,489)
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Net increase in net
assets from
transactions in
shares of beneficial
interest............ 1,891,408 401,024 3,353,592 792,855 3,268,005 496,452 13,021,343 1,371,203
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Total increase........ 1,895,154 402,200 3,651,240 795,427 3,405,236 497,820 13,952,569 1,377,614
NET ASSETS:
Beginning of period......... 402,300 100 795,527 100 497,920 100 1,377,714 100
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
END OF PERIOD............... $2,297,454 $ 402,300 $4,446,767 $ 795,527 $3,903,156 $ 497,920 $15,330,283 $1,377,714
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
UNDISTRIBUTED NET INVESTMENT
INCOME...................... $ 9,038 $ 1,176 $ 12,427 $ 2,999 $ 14,052 $ 1,660 $ 45,341 $ 5,017
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
SHARES ISSUED AND REPURCHASED:
Sold........................ 243,263 39,986 415,310 80,553 396,995 51,746 1,192,299 140,397
Issued in reinvestment of
dividends................. 2,393 39 4,298 85 2,677 60 6,936 189
Repurchased................. (57,526) (1) (101,671) (1,403) (90,156) (2,232) (47,133) (2,460)
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Net increase................ 188,130 40,024 317,937 79,235 309,516 49,574 1,152,102 138,126
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
</TABLE>
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
--------------------------------------------------------------------------------
FOR THE SIX MONTHS ENDED JUNE 30, 1995 (UNAUDITED) AND FOR THE PERIOD NOVEMBER
9, 1994* THROUGH DECEMBER 31, 1994
<TABLE>
<CAPTION>
VALUE-ADDED MARKET CORE EQUITY
---------------------- ---------------------------
1995 1994 1995 1994
----------- --------- ------------- ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS:
Operations:
Net investment income..... $ 31,374 $1,138 $ 14,513 $ 1,441
Net realized gain
(loss).................. 3,102 -- (427) --
Net change in unrealized
appreciation/depreciation... 216,647 2,136 35,834 --
----------- --------- ------------- ------------
Net increase
(decrease).......... 251,123 3,274 49,920 1,441
----------- --------- ------------- ------------
Dividends to shareholders
from net investment
income.................... (23,018) (346) (14,995) (340)
----------- --------- ------------- ------------
Transactions in shares of
beneficial interest:
Net proceeds from sales... 4,140,494 349,428 623,626 324,157
Reinvestment of
dividends............... 23,018 346 14,995 340
Cost of shares
repurchased............. (402,525) (4,107) (8,062) (9,744)
----------- --------- ------------- ------------
Net increase in net
assets from
transactions in
shares of beneficial
interest............ 3,760,987 345,667 630,559 314,753
----------- --------- ------------- ------------
Total increase........ 3,989,092 348,595 665,484 315,854
NET ASSETS:
Beginning of period......... 348,695 100 315,954 100
----------- --------- ------------- ------------
END OF PERIOD............... $ 4,337,787 $348,695 $ 981,438 $ 315,954
----------- --------- ------------- ------------
----------- --------- ------------- ------------
UNDISTRIBUTED NET INVESTMENT
INCOME...................... $ 9,148 $ 792 $ 619 $ 1,101
----------- --------- ------------- ------------
----------- --------- ------------- ------------
SHARES ISSUED AND REPURCHASED:
Sold........................ 383,190 35,603 61,783 32,374
Issued in reinvestment of
dividends................. 2,136 36 1,493 34
Repurchased................. (36,509) (412) (799) (973)
----------- --------- ------------- ------------
Net increase................ 348,817 35,227 62,477 31,435
----------- --------- ------------- ------------
----------- --------- ------------- ------------
<FN>
------------------
* Commencement of operations.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
----------------------------------------------------------------
<TABLE>
<CAPTION>
AMERICAN VALUE GLOBAL EQUITY DEVELOPING GROWTH EMERGING MARKETS
---------------------- ---------------------- -------------------- --------------------
1995 1994 1995 1994 1995 1994 1995 1994
---------- ---------- ---------- ---------- ---------- -------- ---------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS:
Operations:
Net investment income..... $ 26,824 $ 2,947 $ 40,569 $ 4,667 $ 12,074 $ 1,564 $ 19,370 $ 1,790
Net realized gain
(loss).................. (362) (3,443) (5,955) -- 18,201 (49) (2,646) --
Net change in unrealized
appreciation/depreciation... 459,471 14,285 169,851 (1,284) 332,844 2,905 (35,296) --
---------- ---------- ---------- ---------- ---------- -------- ---------- --------
Net increase
(decrease).......... 485,933 13,789 204,465 3,383 363,119 4,420 (18,572) 1,790
---------- ---------- ---------- ---------- ---------- -------- ---------- --------
Dividends to shareholders
from net investment
income.................... (21,315) (794) (31,287) (1,669) (11,585) (392) (18,301) (354)
---------- ---------- ---------- ---------- ---------- -------- ---------- --------
Transactions in shares of
beneficial interest:
Net proceeds from sales... 5,139,614 818,828 3,267,993 1,235,431 2,839,505 385,711 981,077 498,374
Reinvestment of
dividends............... 21,315 794 31,287 1,669 11,585 392 18,301 354
Cost of shares
repurchased............. (197,657) (10,014) (374,986) (44,496) (682,087) (10,054) (32,347) (52,548)
---------- ---------- ---------- ---------- ---------- -------- ---------- --------
Net increase in net
assets from
transactions in
shares of beneficial
interest............ 4,963,272 809,608 2,924,294 1,192,604 2,169,003 376,049 967,031 446,180
---------- ---------- ---------- ---------- ---------- -------- ---------- --------
Total increase........ 5,427,890 822,603 3,097,472 1,194,318 2,520,537 380,077 930,158 447,616
NET ASSETS:
Beginning of period......... 822,703 100 1,194,418 100 380,177 100 447,716 100
---------- ---------- ---------- ---------- ---------- -------- ---------- --------
END OF PERIOD............... $6,250,593 $ 822,703 $4,291,890 $1,194,418 $2,900,714 $380,177 $1,377,874 $447,716
---------- ---------- ---------- ---------- ---------- -------- ---------- --------
---------- ---------- ---------- ---------- ---------- -------- ---------- --------
UNDISTRIBUTED NET INVESTMENT
INCOME...................... $ 7,662 $ 2,153 $ 12,280 $ 2,998 $ 1,661 $ 1,172 $ 2,505 $ 1,436
---------- ---------- ---------- ---------- ---------- -------- ---------- --------
---------- ---------- ---------- ---------- ---------- -------- ---------- --------
SHARES ISSUED AND REPURCHASED:
Sold........................ 472,367 82,738 323,625 124,455 254,794 38,471 98,158 49,777
Issued in reinvestment of
dividends................. 2,010 82 3,157 169 1,087 39 1,829 35
Repurchased................. (18,330) (1,000) (37,406) (4,473) (60,367) (998) (3,246) (5,244)
---------- ---------- ---------- ---------- ---------- -------- ---------- --------
Net increase................ 456,047 81,820 289,376 120,151 195,514 37,512 96,741 44,568
---------- ---------- ---------- ---------- ---------- -------- ---------- --------
---------- ---------- ---------- ---------- ---------- -------- ---------- --------
</TABLE>
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
--------------------------------------------------------------------------------
1. ORGANIZATION AND ACCOUNTING POLICIES--Dean Witter Select Dimensions
Investment Series (the "Fund") is registered under the Investment Company Act of
1940, as amended, as a diversified, open-end management investment company. The
shares of the Fund will only be sold to Hartford Life Insurance Company and ITT
Hartford Life and Annuity Insurance Company for allocation to certain of its
separate accounts to fund the benefits under certain flexible premium deferred
variable annuity contracts.
The Fund, which consists of 12 separate portfolios ("Portfolios"), was
organized on June 2, 1994 as a Massachusetts business trust and commenced
operations on November 9, 1994.
The following is a summary of significant accounting policies:
A. VALUATION OF INVESTMENTS--Money Market: Securities are valued at
amortized cost which approximates market value. All remaining Portfolios:
(1) an equity security listed or traded on the New York, American Stock
Exchange or other domestic or foreign stock exchange is valued at its latest
sale price on that exchange prior to the time when assets are valued (if
there were no sales that day, the security is valued at the latest bid
price; in cases where securities are traded on more than one exchange, the
securities are valued on the exchange designated as the primary market by
the Trustees); (2) all other portfolio securities for which over-the-counter
market quotations are readily available are valued at the latest available
bid price prior to the time of valuation (including circumstances under
which it is determined by the Investment Manager (or by the Sub-Advisor)
that sale or bid prices are not reflective of a security's market value,
portfolio securities are valued as their fair value as determined in good
faith under procedures established by and under the general supervision of
the Trustees); (3) certain of the securities may be valued by an outside
pricing service approved by the Trustees. The pricing service utilizes a
matrix system incorporating security quality, maturity and coupon as the
evaluation model parameters, and/or research and evaluations by its staff,
including review of broker-dealer market price quotations, if available, in
determining what it believes is the fair valuation of the securities valued
by such pricing service; and (4) short-term debt securities having a
maturity date of more than sixty days at time of purchase are valued on a
mark-to-market basis until sixty days prior to maturity and thereafter at
amortized cost based on their value on the 61st day. Short-term debt
securities having a maturity date of sixty days or less at the time of
purchase are valued at amortized cost.
B. ACCOUNTING FOR INVESTMENTS--Security transactions are accounted for on
the trade date (date the order to buy or sell is executed). Realized gains
and losses on security transactions are determined by the identified cost
method. Dividend income is recorded on the ex-dividend date except for
certain dividends on foreign securities which are recorded as soon as the
Fund is informed after the ex-dividend date. The Money Market Portfolio
amortizes premiums and accretes discounts on securities purchased over the
life of the respective securities; gains and losses realized upon the sale
of securities are based on amortized cost. Discounts on securities purchased
for all other Portfolios are accreted over the life of the respective
securities. Interest income is accrued daily.
C. FOREIGN CURRENCY TRANSLATION--The books and records of the Portfolios
investing in foreign currency denominated transactions are translated into
U.S. dollars as follows: (1) the foreign currency market value of investment
securities, other assets and liabilities and forward contracts are
translated at the exchange rates prevailing at the end of the period; and
(2) purchases, sales, income and expenses are translated at the exchange
rates prevailing on the respective dates of such transactions. The resultant
exchange gains and losses are included in the Statement of Operations as
realized and unrealized gain/loss on foreign currency transactions. Pursuant
to U.S. Federal income tax regulations, certain exchange gains/losses
included in realized and unrealized gain/loss are included in or are a
reduction of ordinary income for federal income tax purposes. The Portfolios
do not isolate that portion of the results of operations arising as a result
of changes in the foreign exchange rates from the changes in the market
prices of the securities.
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
D. FORWARD FOREIGN CURRENCY CONTRACTS--Some of the Portfolios may enter into
forward foreign currency contracts which are valued daily at the appropriate
exchange rates. The resultant unrealized exchange gains and losses are
included in the Statement of Operations as unrealized gain/loss on foreign
exchange transactions. The Portfolios record realized gains or losses on
delivery of the currency or at the time the forward contract is extinguished
(compensated) by entering into a closing transaction prior to delivery.
E. FEDERAL INCOME TAX STATUS--It is the Fund's policy to comply individually
for each Portfolio with the requirements of the Internal Revenue Code
applicable to regulated investment companies and to distribute all of its
taxable income to its shareholders. Accordingly, no federal income tax
provision is required.
F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS--The Fund records dividends
and distributions to its shareholders on the record date. The amount of
dividends and distributions from net investment income and net realized
capital gains are determined in accordance with federal income tax
regulations which may differ from generally accepted accounting principles.
These "book/tax" differences are either considered temporary or permanent in
nature. To the extent these differences are permanent in nature, such
amounts are reclassified within the capital accounts based on their federal
tax-basis treatment; temporary differences do not require reclassification.
Dividends and distributions which exceed net investment income and net
realized capital gains for financial reporting purposes but not for tax
purposes are reported as dividends in excess of net investment income or
distributions in excess of net realized capital gains. To the extent they
exceed net investment income and net realized capital gains for tax
purposes, they are reported as distributions of paid-in-capital.
G. ORGANIZATIONAL EXPENSES--Dean Witter InterCapital Inc. (the "Investment
Manager") paid the organizational expenses of approximately $100,000 ($8,333
for each respective Portfolio). The Fund has agreed to reimburse the
Investment Manager for such expenses, exclusive of amounts assumed. Such
expenses have been deferred and are being amortized by the straight-line
method over a period not to exceed five years from the commencement of
operations.
H. EXPENSES--Direct expenses are charged to the respective Portfolio and
general Fund expenses are allocated on the basis of relative net assets.
2. INVESTMENT MANAGEMENT AND SUB-ADVISORY AGREEMENTS--Pursuant to an Investment
Management Agreement, the Fund pays its Investment Manager a management fee,
accrued daily and payable monthly, by applying the following annual rates to the
each Portfolios' net assets determined at the close of each business day:
<TABLE>
<CAPTION>
PORTFOLIO ANNUAL RATE PORTFOLIO ANNUAL RATE
--------------------------------------- ------------- --------------------------------------- -------------
<S> <C> <C> <C>
Money Market........................... 0.50 % Value-Added Market..................... 0.50 %
North American Government Securities... 0.65 Core Equity............................ 0.85
Diversified Income..................... 0.65 American Value......................... 0.625
Balanced............................... 0.75 Global Equity.......................... 1.00
Utilities.............................. 0.65 Developing Growth...................... 0.50
Dividend Growth........................ 0.625 Emerging Markets....................... 1.25
</TABLE>
Under the terms of the Agreement, in addition to managing the Fund's
investments, the Investment Manager maintains certain of the Fund's books and
records and furnishes, at its own expense, office space, facilities, equipment,
clerical, bookkeeping and certain legal services and pays the salaries of all
personnel, including officers of the Fund who are employees of the Investment
Manager. The Investment Manager also bears the cost of telephone services, heat,
light, power and other utilities provided to the Fund.
Under a Sub-Advisory Agreement between TCW Funds Management, Inc. (the
"Sub-Advisor") and the Investment Manager, the Sub-Advisor provides the North
American Government Securities, Balanced, Core Equity and Emerging Markets
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
Portfolios with investment advice and portfolio management relating to the
Portfolios' investments in securities, subject to the overall supervision of the
Investment Manager. As compensation for its services provided pursuant to the
Sub-Advisory Agreement, the Investment Manager pays the Sub-Advisor monthly
compensation equal to 40% of its monthly compensation.
The Investment Manager has undertaken to assume all expenses (except for any
brokerage fees and a portion of organizational expenses) and waive the
compensation provided for each Portfolio in its Agreement until such time as the
pertinent Portfolio has $50 million of net assets or until December 31, 1995,
whichever occurs first.
3. SECURITY TRANSACTIONS AND TRANSACTIONS WITH AFFILIATES--Purchases and
sales/maturities of portfolio securities, excluding short-term investments
(except for the Money Market Portfolio), for the six months ended June 30, 1995
were as follows:
<TABLE>
<CAPTION>
U.S. GOVERNMENT SECURITIES OTHER
--------------------------- ---------------------------
PURCHASES SALES/MATURITIES PURCHASES SALES/MATURITIES
------------ ------------- ------------ -------------
<S> <C> <C> <C> <C>
Money Market............................. $ 51,734,637 $51,202,279 $ 17,234,703 $ 9,309,570
North American Government Securities..... 282,565 -- -- --
Diversified Income....................... 151,620 -- 66,793 --
Balanced................................. 1,580,504 460,336 2,621,035 183,381
Utilities................................ -- -- 3,011,359 11,498
Dividend Growth.......................... -- -- 13,659,993 177,418
Value-Added Market....................... 16,648 -- 3,466,036 22,509
Core Equity.............................. -- -- 838,462 18,338
American Value........................... -- -- 6,146,934 1,414,441
Global Equity............................ -- -- 2,698,681 578,223
Developing Growth........................ -- -- 2,211,928 287,786
Emerging Markets......................... -- -- 1,232,607 43,692
</TABLE>
For the six months ended June 30, 1995, the following respective Portfolios
incurred brokerage commissions with Dean Witter Reynolds Inc. ("DWR"), an
affiliate of the Investment Manager, for portfolio transactions executed on
behalf of the following Portfolios:
<TABLE>
<CAPTION>
DIVIDEND VALUE AMERICAN GLOBAL DEVELOPING
BALANCED UTILITIES GROWTH ADDED VALUE EQUITY GROWTH
----------- --------- --------- --------- ----------- --------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
Commissions............................ $ 1,410 $ 4,750 $ 14,415 $ 3,202 $ 3,685 $ 1,155 $ 961
</TABLE>
Included in Utilities, Dividend Growth and American Value's payable for
investments purchased are $263,975, $1,543,465 and $329,776 respectively, and
included in American Value's receivable for investments sold is $6,987 for
unsettled trades with DWR at June 30, 1995. Included in the aforementioned
purchases of portfolio securities of Value-Added Market are purchases of Dean
Witter Discover & Co., an affiliate of the Investment Manager, of $6,611.
Dean Witter Trust Company, an affiliate of the Investment Manager, is the
Fund's transfer agent.
4. PURPOSES OF AND RISKS RELATING TO CERTAIN FINANCIAL INSTRUMENTS--Some of the
Portfolios may enter into forward foreign currency contracts ("forward
contracts") to facilitate settlement of foreign currency denominated portfolio
transactions or to manage foreign currency exposure associated with foreign
currency denominated securities.
At June 30, 1995, there were outstanding forward contracts used to
facilitate settlement of foreign currency denominated portfolio transactions and
manage foreign currency exposure.
Forward contracts involve elements of market risk in excess of the amounts
reflected in the Statement of Assets and Liabilities. The Portfolios bear the
risk of an unfavorable change in the foreign exchange rates underlying the
forward contracts. Risks may also arise upon entering into these contracts from
the potential inability of the counterparties to meet the terms of their
contracts.
<PAGE>
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
Selected ratios and per share data for a share of beneficial interest
outstanding throughout each period:
<TABLE>
<CAPTION>
NET ASSET NET REALIZED
VALUE NET AND TOTAL FROM TOTAL
YEAR ENDED BEGINNING INVESTMENT UNREALIZED INVESTMENT DIVIDENDS TO DISTRIBUTIONS DIVIDENDS AND
DECEMBER 31 OF PERIOD INCOME GAIN (LOSS) OPERATIONS SHAREHOLDERS TO SHAREHOLDERS DISTRIBUTIONS
------------------------- --------- ---------- ------------- ---------- ------------ --------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
Money Market
1994 (a) $ 1.00 $0.01 $ -- $ 0.01 $(0.01) $ -- $(0.01)
1995 (b) 1.00 0.03 -- 0.03 (0.03) -- (0.03)
North American Government Securities
1994 (a) 10.00 0.06 -- 0.06 (0.02) -- (0.02)
1995 (b) 10.04 0.22 0.06 0.28 (0.22) -- (0.22)
Diversified Income
1994 (a) 10.00 0.08 -- 0.08 (0.03) -- (0.03)
1995 (b) 10.05 0.25 0.01 0.26 (0.24) -- (0.24)
Balanced
1994 (a) 10.00 0.08 (0.02) 0.06 (0.02) -- (0.02)
1995 (b) 10.04 0.21 1.17 1.38 (0.22) -- (0.22)
Utilities
1994 (a) 10.00 0.07 -- 0.07 (0.03) -- (0.03)
1995 (b) 10.04 0.23 0.82 1.05 (0.22) -- (0.22)
Dividend Growth
1994 (a) 10.00 0.08 (0.09) (0.01) (0.02) -- (0.02)
1995 (b) 9.97 0.18 1.91 2.09 (0.18) -- (0.18)
Value-Added Market
1994 (a) 10.00 0.06 (0.14) (0.08) (0.02) -- (0.02)
1995 (b) 9.90 0.15 1.39 1.54 (0.15) -- (0.15)
Core Equity
1994 (a) 10.00 0.07 -- 0.07 (0.02) -- (0.02)
1995 (b) 10.05 0.20 0.43 0.63 (0.23) -- (0.23)
American Value
1994 (a) 10.00 0.06 0.01 0.07 (0.02) -- (0.02)
1995 (b) 10.05 0.10 1.58 1.68 (0.11) -- (0.11)
Global Equity
1994 (a) 10.00 0.07 (0.10) (0.03) (0.03) -- (0.03)
1995 (b) 9.94 0.16 0.54 0.70 (0.16) -- (0.16)
Developing Growth
1994 (a) 10.00 0.08 0.08 0.16 (0.03) -- (0.03)
1995 (b) 10.13 0.12 2.34 2.46 (0.14) -- (0.14)
Emerging Markets
1994 (a) 10.00 0.06 -- 0.06 (0.02) -- (0.02)
1995 (b) 10.04 0.21 (0.28) (0.07) (0.22) -- (0.22)
</TABLE>
------------
Note: The per share amounts reported are not necessarily consistent with the
corresponding amounts reported on the Statement of Operations due to the
fluctuations in capital stock activity during the period ended December
31, 1994.
(a) For the period November 9, 1994 (commencement of operations) through
December 31, 1994.
(b) For the six months ended June 30, 1995 (unaudited).
* After application of the Fund's expense limitation.
(1) Not annualized.
(2) Annualized.
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
FINANCIAL HIGHLIGHTS (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATIOS TO RATIOS TO
AVERAGE NET ASSETS AVERAGE NET ASSETS
(BEFORE EXPENSES WERE (AFTER EXPENSES WERE
ASSUMED)* ASSUMED)
----------------------- -----------------------
NET ASSET TOTAL NET ASSETS NET NET PORTFOLIO
VALUE END INVESTMENT END OF INVESTMENT INVESTMENT TURNOVER
OF PERIOD RETURN(1) PERIOD (000'S) EXPENSES(2) INCOME(2) EXPENSES(2) INCOME(2) RATE(1)
---------- ---------- -------------- ----------- ---------- ----------- ---------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Money Market
1994 (a) $ 1.00 0.76% $1,234 2.50% 3.33% --% 5.83% N/A%
1995 (b) 1.00 3.84 10,021 1.67 4.51 -- 6.18 N/A
North American Government Securities
1994 (a) 10.04 0.61 122 2.50 1.78 -- 4.28 --
1995 (b) 10.10 2.87 484 2.50 2.64 -- 5.14 --
Diversified Income
1994 (a) 10.05 0.76 402 2.50 3.08 -- 5.58 --
1995 (b) 10.07 2.58 2,297 2.50 3.40 -- 5.90 --
Balanced
1994 (a) 10.04 0.60 796 2.50 2.90 -- 5.40 --
1995 (b) 11.20 13.85 4,447 2.50 2.89 -- 5.39 30
Utilities
1994 (a) 10.04 0.65 498 2.50 2.79 -- 5.29 --
1995 (b) 10.87 10.56 3,903 2.50 2.71 -- 5.21 1
Dividend Growth
1994 (a) 9.97 (0.05) 1,378 2.50 3.28 -- 5.78 --
1995 (b) 11.88 21.13 15,330 2.50 1.81 -- 4.31 3
Value-Added Market
1994 (a) 9.90 (0.76) 349 2.50 1.25 -- 3.75 --
1995 (b) 11.29 15.71 4,338 2.50 1.10 -- 3.60 1
Core Equity
1994 (a) 10.05 0.67 316 2.50 2.32 -- 4.82 --
1995 (b) 10.45 6.39 981 2.50 1.79 -- 4.29 8
American Value
1994 (a) 10.05 0.69 823 2.50 1.60 -- 4.10 10
1995 (b) 11.62 16.91 6,251 2.50 (0.27) -- 2.23 62
Global Equity
1994 (a) 9.94 (0.30) 1,194 2.50 2.20 -- 4.70 --
1995 (b) 10.48 7.11 4,292 2.50 1.08 -- 3.58 33
Developing Growth
1994 (a) 10.13 1.58 380 2.50 2.31 -- 4.81 3
1995 (b) 12.45 24.51 2,901 2.50 (0.45) -- 2.05 32
Emerging Markets
1994 (a) 10.04 0.57 448 2.50 2.22 -- 4.72 --
1995 (b) 9.75 (0.77) 1,378 2.50 1.87 -- 4.37 4
</TABLE>
<PAGE>
TRUSTEES
------------------------------------------------------
<TABLE>
<S> <C>
Jack F. Bennett Dr. Manuel H. Johnson
Michael Bozic Paul Kolton
Charles A. Fiumefreddo Michael E. Nugent
Edwin J. Garn Philip J. Purcell
John R. Haire John L. Schroeder
</TABLE>
OFFICERS
------------------------------------------------------
Charles A. Fiumefreddo
CHAIRMAN AND CHIEF EXECUTIVE OFFICER
Sheldon Curtis
VICE PRESIDENT, SECRETARY AND GENERAL COUNSEL
Thomas F. Caloia
TREASURER
<TABLE>
<S> <C>
TRANSFER AGENT INDEPENDENT ACCOUNTANTS
------------------------------------------- -------------------------------------------
Dean Witter Trust Company Price Waterhouse LLP
Harborside Financial Center--Plaza Two 1177 Avenue of the Americas
Jersey City, New Jersey 07311 New York, New York 10036
</TABLE>
INVESTMENT MANAGER
------------------------------------------------------
Dean Witter InterCapital Inc.
Two World Trade Center
New York, New York 10048
SUB-ADVISER
North American Government Securities Portfolio,
Balanced Portfolio, Core Equity Portfolio and Emerging Markets Portfolio
------------------------------------------------------
TCW Funds Management, Inc.
The financial statements included herein have been taken from the records of the
Fund without examination by the independent accountants and accordingly they do
not express an opinion thereon.
This report is submitted for the general information of shareholders of the
Fund. For more detailed information about the Fund, its officers and trustees,
fees, expenses and other pertinent information, please see the prospectus of the
Fund.
This report is not authorized for distribution to prospective investors in the
Fund unless preceded or accompanied by an effective prospectus.
<PAGE>
ITT Hartford SELECT
Individual Annuity Operations DIMENSIONS
P.O. Box 5085
Hartford, CT 06102-5085
DEAN WITTER
SELECT DIMENSIONS
INVESTMENT SERIES
SEMI-ANNUAL REPORT
June 30, 1995
[Logo]DEAN WITTER
