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DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
TWO WORLD TRADE CENTER
NEW YORK, NEW YORK 10048
DEAR SHAREHOLDER:
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This annual report to shareholders of the various portfolios that comprise
the Dean Witter Select Dimensions Investment Series covers the fiscal year ended
December 31, 1995. The twelve investment portfolios described below are offered
to participants in the Dean Witter Select Dimensions Plan, tax-deferred variable
annuities issued by Hartford Life Insurance Company and ITT Hartford Life and
Annuity Insurance Company.
A STRONG YEAR FOR U.S. FINANCIAL MARKETS
Robust corporate earnings, benign inflation and a steadily advancing bond
market combined to propel stocks higher and higher in 1995, as evidenced by the
Dow Jones Industrial Average's (DJIA) vault first over 4,000 and then 5,000. The
S&P 500 and NASDAQ Indexes also were strong, advancing nearly 38 and 40 percent,
respectively, for the year. Despite a brief 100-point detour in mid-December
(brought about by anxiety over budget wrangling in Washington, an economy
perceived to be weakening and a belief that the Federal Reserve Board would not
cut interest rates, which it subsequently did), equities continued to chug along
through year-end. Overall, the DJIA was up nearly 37 percent for the year.
Throughout the past 12 months, interest rates moved sharply downward as
economic growth slowed to a more sustainable level and inflationary fears all
but disappeared. As a result, the Federal Reserve Board eased monetary policy by
twice lowering the federal-funds rate by 25 basis points, first in early July
and again in mid-December. Overall, the fixed-income markets in general, and the
U.S. Treasury market in particular, reacted favorably. In all, the yield on
30-year U.S. Treasury bonds declined from 7.88 percent on January 1, 1995, to
5.95 percent on December 31, 1995. Similarly, two-year U.S. Treasury note yields
declined from 7.70 percent to 5.15 percent during the year.
MIXED RESULTS FOR GLOBAL MARKETS
Globally, the early months of 1995 were dominated by many of the issues that
had influenced world markets in 1994; the weakness of the U.S. dollar, concerns
over rising U.S. interest rates and the financial collapse in Mexico and many
other emerging markets. However, during the last three quarters of 1995, global
influences on Europe's stock markets became much more benign, as currencies
stabilized, bonds rallied and the interest-rate cycle in the United States
shifted. Economic data coming out of Europe, by contrast, began the year strong
but steadily deteriorated as many economies experienced a growth pause that was
well entrenched by year-end. The steady rise of the deutschemark took its toll
on German exporters as well as industrial conglomerates. Consumers across Europe
were apparently unwilling or unable to boost retail sales, while unemployment in
most countries stopped its downward path. The result was a number of profit
warnings from cyclical and economically sensitive companies toward the end of
the year. Certain industries such as pulp, paper, steel and chemicals got caught
in the global economic downturn. European technology stocks corrected in line
with their U.S. counterparts.
A number of Asian currencies came under severe pressure in the early weeks
of 1995, forcing local authorities to respond with higher interest rates. By
May, increasing indications that the U.S. interest rate environment was
beginning to improve underpinned a stronger recovery in sentiment across the
region, notable exceptions being Japan, Korea and Taiwan, which remained weak.
The situation began to reverse in July 1995, when the markets were hit by a
reallocation of funds out of the "Tiger" markets of Southeast Asia as investors
returned to Japan. The Japanese market rose sharply in local currency terms
through July, August and September, encouraged by a weaker yen and hopes for a
rescue package for the banking sector. However, the weaker yen wiped out all
gains in U.S.-dollar terms.
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The Tiger markets were particularly weak through most of the third and
fourth quarters, with concerns over economic overheating exacerbated by poor
current account data. However, most markets began to recover toward the end of
the year, with a 25 basis point cut in short-term U.S. interest rates in
December triggering a dramatic resurgence in investor interest in the markets of
the Pacific Basin. Strong cash inflows from the United States and, to a lesser
degree, Europe helped carry the Tigers higher. Japan ended the year on a
positive note, buoyed by a major government stimulus package, a weaker yen and
encouraging economic data.
The Mexican peso devaluation at the end of 1994 dealt a traumatic blow to
the emerging markets of Latin America. The result was that these markets
underwent a severe test of confidence. The price paid by Mexico was a year of
fiscal and monetary austerity, which resulted in slower growth throughout the
region. The resounding response across Latin America was to not abandon the
long, difficult path toward modernization and development but rather to redouble
efforts to regain confidence by moving forward with free market reforms and
privatization. These policies were rewarded with strong export growth and
investment commitments for the coming years that show significant increases.
Led by the U.S. market, global bond yields declined substantially during
1995, reflecting a worldwide slowdown in economic growth and declining inflation
levels. In Europe, bond markets turned in a mixed performance early in the year,
supported on the one hand by the U.S. bond rally but undermined on the other by
local political and budget issues, especially in Italy. These markets rallied
during the remainder of the year as these issues were addressed in a more
decisive fashion. Also aiding this rally was a lowering of interest rates in
Germany in response to slowing economic growth and improving inflation
prospects.
In the foreign exchange markets, the U.S. dollar plummeted to new historic
lows against the Japanese yen and the German mark during the first four months
of the year, mainly due to an ongoing trade dispute between the United States
and Japan. During the remainder of the year, however, the U.S. currency regained
some of its composure, thanks to aggressive, concerted intervention by the U.S.,
German and Japanese central banks, a U.S.-Japan agreement on auto parts and the
subsequent unveiling of a Japanese deregulatory package combined with two
reductions in the Japanese official discount rate. For the twelve-month period,
the U.S. dollar depreciated by 7.5 percent against the German mark while
appreciating 3.8 percent against the Japanese yen. Overall, the U.S. currency
lost 4.4 percent on a trade-weighted basis.
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AMERICAN VALUE PORTFOLIO
The American Value Portfolio produced a total return of 38.95 percent for
the twelve-month period ended December 31, 1995 compared to a return of 37.57
for the S&P 500 Index. The accompanying chart illustrates the growth of a
$10,000 investment in the Portfolio from inception (November 9, 1994) through
December 31, 1995 versus a similar investment in the
issues that comprise the S&P 500 Index.
The Portfolio's industry selection focus
continued to be effective in 1995. At the
beginning of the year, the portfolio manager
took a top-down look at the year ahead and
concluded that while economic growth was likely
to slow (allowing interest rates to decline),
the economy would remain vibrant enough to
support investment and capital spending for
most of the year. As a result, for the first
three quarters of 1995 the Portfolio was
heavily tilted toward technology, with a peak
weighting of 40 to 45 percent. Financial stocks
were also a major theme of the Portfolio, given
the manager's outlook for modest economic
growth, benign inflation and low interest
rates. For most of 1995, financials represented
20 percent of the Portfolio's net assets. Over
the course of the fiscal year, the technology
and financial sectors provided the strongest
returns in the market and thus played a major
role in the Portfolio's performance.
As evidence suggesting that the economy was
further deteriorating began to mount, the
Portfolio's technology holdings were pared
back. By year-end, technology represented less
than 10 percent of net assets. Significant
holdings in this area at year-end included
Cisco Systems, Inc., Sun Microsystems, Inc. and
Ascend Communications.
As the Portfolio's technology exposure was
decreasing, the interest rate sensitive portion
was being increased. Historically, this sector
has appreciated in the face of sluggish
economic growth and falling interest rates. At
year-end, interest rate sensitive holdings
represented approximately 40 percent of net
assets. Of this allocation, 12 percent was
invested in long-term U.S. Treasury notes, as
these instruments are particularly sensitive to
interest rates but hold no credit risk because they are backed by the U.S.
government. Since credit delinquencies tend to rise at this stage of the
business cycle, exposure to many consumer leaders was reduced. Equity holdings
in this area include Travelers Group Inc., American International Group, Inc.
and Federal National Mortgage Association. The Portfolio's commitment to health
care, which has little economic sensitivity, was expanded to approximately 20
percent of net assets. Holdings within this sector include Amgen Inc., American
Home Products Corp., SmithKline Beecham PLC and United Healthcare Corp.
At year-end, capital goods represented approximately 8 percent of net
assets, with such holdings as Boeing Co., Loral Corp., Case Corp. and Monsanto
Co. Consumer products represented approximately 8 percent of net assets with
holdings such as Kimberly-Clark Corp. and Procter & Gamble Co. Approximately 3
percent of net assets was invested in steady growth consumer business services
companies such as DST Systems, Inc.
Looking ahead, we expect to continue to focus on economic and industry
trends and look for evidence of fundamental strength or weakness. In addition to
bottom-up analysis, the examination of outside and internal earnings and
valuation screens remains a hallmark of the Portfolio's investment strategy.
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BALANCED PORTFOLIO
The Balanced Portfolio achieved a total
return of 22.86 percent for the twelve-month
period ended December 31, 1995 compared to a
return of 37.57 percent for the S&P 500 Index
and 18.47 percent for the Lehman Brothers
Aggregate Bond Index. Unlike the all-equity S&P
500 Index, the Portfolio is primarily invested
in large-capitalization equities, U.S.
government and mortgage-backed securities and
corporate bonds. The accompanying chart
illustrates the growth of a $10,000 investment
in the Portfolio from inception (November 9,
1994) through December 31, 1995, versus a
similar investment in the issues that comprise
the S&P 500 Index and Lehman Brothers Aggregate
Bond Index.
TCW Funds Management, Inc. ("TCW") is the
sub-advisor for this Portfolio. On December 31,
1995, the Portfolio's net assets totaled
approximately $16 million, with 58.5 percent
invested in equities and 31.3 percent in
fixed-income securities. Among the Portfolio's
key equity holdings were Cisco Systems, Inc.,
Circus Circus Enterprises, Inc., First Data
Corp., Walt Disney Co. and Columbia/HCA
Healthcare Corp. Approximately 91.6 percent of
the Portfolio's fixed-income holdings were
allocated to U.S. government and
mortgage-backed securities, with the remaining
8.4 percent allocated to corporate bonds. The
average maturity and duration of the
fixed-income portfolio (including cash) were
6.4 years and 4.0 years, respectively.
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CORE EQUITY PORTFOLIO
The Core Equity Portfolio produced a total
return of 13.29 percent for the twelve-month
period ended December 31, 1995 compared to a
return of 37.57 percent for the S&P 500 Index.
The Portfolio's underperformance of the Index
can be attributed to the fact that it wasn't
until mid-May 1995 that it had gathered
sufficient assets to begin the process of
constructing a diversified investment
portfolio. Thus, the Portfolio did not
participate in the early stages of 1995's stock
market rally. The accompanying chart
illustrates the growth of a $10,000 investment
in the Portfolio from inception (November 9,
1994) through December 31, 1995 versus a
similar investment in the issues that comprise
the S&P 500 Index.
TCW Funds Management, Inc. (TCW) is the
sub-advisor for this Portfolio. Fearful of the
slowing economic environment, TCW rotated the
Portfolio from the more cyclical technology
stocks into more-stable defensive stocks. Their
investment approach is guided not by market
psychology, but by the underlying fundamentals
in the Portfolio's holdings and their guiding
investment themes and trends. TCW believes the
U.S. clearly leads the world in technologies
that are essential for enhanced productivity
and that the privatization of foreign companies
increases the demand for technology by
organizations attempting to enhance their
operational efficiency. In TCW's opinion, the
long-term fundamentals appear to be intact with
sustained revenue and earnings growth for the
Portfolio's technology holdings. As of December
31, 1995, technology holdings accounted for
approximately 26 percent of the Portfolio.
Among the Portfolio's key technology holdings
are Microsoft Corp., First Data Corp. and
Computer Sciences Corp.
Consumer staples accounted for 16 percent
of the Portfolio, underweighted relative to the
S&P 500's weighting of 33 percent. This
underweighting had a negative impact on the
Portfolio when the market rotated into defensive stocks. Basic industries
accounted for 16 percent of the Portfolio, led by the Portfolio's heavy
weighting in the resurgent airline industry. Among the Portfolio's holdings in
this area is Delta Airlines, Inc. This industry, once fraught with bankruptcy,
has emerged revitalized by eliminating money-losing routes, enacting fare hikes
and effecting higher traffic volumes that together have propelled earnings and
stock prices upward. Consumer cyclicals, consisting of automotive manufacturers
and suppliers, represented 10 percent of the Portfolio. The weak economic
environment has caused these stocks to tread water, but the future lower
interest rate scenario should benefit the auto industry and the Portfolio's
auto-related holdings including Chrysler Corp.
Within the credit-sensitive sector, banks and financial services suffered
through a trying six months after being leaders during the first half of 1995.
Deteriorating credit quality caused concern and led to a correction. Utilities
benefited from a market rotation out of technology by receiving renewed
popularity, despite their weak underlying fundamentals. Utilities became a
market leader in the last six months of the year. In the short-term, its lack of
exposure to utilities cost the Portfolio in relative performance, but TCW
believes that it is the right investment decision in the long term.
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DEVELOPING GROWTH PORTFOLIO
The Developing Growth Portfolio produced a
total return of 51.26 percent for the
twelve-month period ended December 31, 1995
compared to a return of 37.57 percent for the
S&P 500 Index. The accompanying chart
illustrates the growth of a $10,000 investment
in the Portfolio from inception (November 9,
1994) through December 31, 1995 versus a
similar hypothetical investment in the issues
that comprise the S&P 500 Index.
The Portfolio's heavy exposure to
technology stocks was a major contributor to
its performance, as technology issues led the
market for much of 1995. Within the broad
category of technology, the telecommunications
equipment sector was quite strong throughout
the year, while the semiconductor sector
started out strong before selling off late in
the summer. Among the Portfolio's technology
holdings at year-end were Bay Networks, Inc.,
Tellabs, Inc., Macromedia, Inc., LSI Logic
Corp. and MEMC Electronic Materials, Inc. Going
forward, technology stocks are expected to
continue to play an important role in the
Portfolio, although specific holdings are
subject to change.
Also playing a major role in the
Portfolio's performance was its 20 percent
weighting in the broad category of health care.
Among the best performers within this broad
sector during 1995 were generic drug companies
(Teva Pharmaceuticals), medical device
manufacturers (Boston Scientific) and
biotechnology firms (Cephalon).
Initial public offerings (IPOs) are
expected to continue to be an integral part of
the Portfolio's overall investment strategy.
Although this market can be very volatile, as
the float can be quite thin and the analytical
coverage sparse, we believe it to be an
excellent source of new ideas.
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DIVERSIFIED INCOME PORTFOLIO
Given its small asset size, the
Diversified Income Portfolio was not fully
invested during the early part of the fiscal
year and thus did not participate in the early
stages of the bond market rally. As a result,
the Portfolio produced a total return of 6.96
percent for the twelve-month period ended
December 31, 1995 compared to a return of
15.33 percent for the Lehman Brothers Mutual
Fund Government/Corporate Intermediate Bond
Index (the Index). The accompanying chart
illustrates the growth of a $10,000 investment
in the Portfolio from inception (November 9,
1994) through December 31, 1995 versus a
similar hypothetical investment in the issues
that comprise the Index.
U.S. GOVERNMENT/MORTGAGE SECTOR. At
year-end, approximately 69 percent of this
portion of the Portfolio was invested in
Federal National Mortgage Association (FNMA)
mortgage-backed securities, with the balance
invested in U.S. Treasury obligations.
HIGH-YIELD SECTOR. At year-end, the
high-yield portion was fully invested, with an
emphasis on discounted issues (primarily
B-rated). Given their significant yield
advantage over U.S. Treasury securities and
their relative value, we feel this segment of
the market offers attractive total return
potential. Despite the relative attractiveness
of the market, however, we continue to have a
significant liquidity cushion on hand (15 to
20 percent in defensive-type securities) in
order to maintain maximum portfolio
flexibility.
GLOBAL BOND SECTOR. The strategy for the
global portion was to overweight the U.S.,
Australian and New Zealand markets for the
first three quarters of 1995, before
increasing the Portfolio's allocation to the
European markets, especially in the
higher-yielding southern European markets such as Spain and Italy later in the
year. This portion's foreign currency positions were left partially unhedged in
order to take advantage of higher yields and to benefit from the appreciation of
the currencies as the U.S. dollar declined.
At the end of December, the Portfolio's global portion had approximately
62.0 percent in Europe, 19.0 percent in Canada, 10.0 percent in Australia and
9.0 percent in New Zealand. Looking ahead, the Portfolio's global managers
anticipate continuing accommodative monetary policies in the U.S. and other
major developed countries in the context of sluggish global economic growth and
declining inflation prospects. This outlook bodes well for global bond
investments.
Looking ahead, as the Portfolio's assets increase and market conditions
warrant, we will continue to pursue a diversified investment strategy.
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DIVIDEND GROWTH PORTFOLIO
For the twelve-month period ended December
31, 1995, the Dividend Growth Portfolio posted
a total return of 40.13 percent compared to a
return of 37.57 percent for the S&P 500 Index.
The accompanying chart illustrates the growth
of a $10,000 investment in the Portfolio from
inception (November 9, 1994) through December
31, 1995 versus a similar hypothetical
investment in the issues that comprise the
Index.
On December 31, 1995, the Portfolio's net
assets exceeded $78.6 million, with
approximately 98 percent invested in common
stocks. Since its inception, a portfolio of 20
common stocks spread among 20 different
industries has been established. Among the
Portfolio's key holdings are Abbott
Laboratories, IBM, May Department Stores Co.,
Tenneco Inc. and United Technologies Corp.
Looking ahead, the Portfolio expects to
continue to focus its investment strategy on
the more conservative, larger capitalization
issues.
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EMERGING MARKETS PORTFOLIO
After two very difficult years for the
emerging markets, the Portfolio's sub-advisor,
TCW, feels that investor sentiment and market
conditions are such that 1996 may once again
reward investors. In particular, they expect
liquidity to increase as U.S. interest rates
decline and as profits from soaring U.S. stock
markets are reinvested abroad. Moreover, they
believe that emerging market valuations are at
a level that represents good value for the
long-term investor.
The Emerging Markets Portfolio produced a
total return of -0.57 percent for the
twelve-month period ended December 31, 1995
compared to a return of -8.4 percent for the
International Finance Corporation's Investable
Emerging Markets Total Return Index (IFCI),
which measures the performance of the world's
emerging markets. The accompanying chart
illustrates the performance of a $10,000
investment in the Portfolio from inception
(November 9, 1994) through December 31, 1995
versus a similar investment in the issues that
comprise the IFCI Index.
At the end of December, the Portfolio's net
assets were allocated as follows: Asia, 34.7
percent; Latin America, 32.2 percent; South
Africa, 8.1 percent; Europe, 6.9 percent. The
largest country allocations were Malaysia (15.0
percent), Mexico (11.5 percent), Brazil (11.0
percent), South Africa (8.1 percent), Chile
(3.3 percent) and Thailand (5.5 percent).
Looking ahead, TCW believes that emerging
markets as an asset class are set for a period
of outperformance. This optimism is based on
attractive valuations, global liquidity shifts
and the fact that several of the major emerging
economies (Malaysia, Thailand, Brazil and
Mexico) have undergone significant
restructuring. As a result, TCW intends to
emphasize those countries that should benefit
most from these trends.
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GLOBAL EQUITY PORTFOLIO
The Global Equity Portfolio produced a
total return of 13.76 percent for the
twelve-month period ended December 31, 1995
compared to a return of 18.70 percent for the
Morgan Stanley Capital International (MSCI)
World Index. The Portfolio's underperformance
during the period can be attributed to its
above-average cash holdings, which penalized
performance and has led to the adoption of the
new management team's fully-invested approach
to the global markets. The accompanying chart
illustrates the growth of a $10,000 investment
from inception (November 9, 1994) through
December 31, 1995 versus a similar hypothetical
investment in the issues that comprise the MSCI
World Index.
The Portfolio allocates its regional
weightings depending on the management team's
assessment of valuations. At year-end, the
Portfolio was well diversified, with
approximately 35 percent of its assets in U.S.
equities, 26 percent in Japan, 9 percent in the
Pacific Rim, 15 percent in Europe and 3 percent
in Latin America. These weightings represent
overweights in Japan, the Pacific Rim and Latin
America and underweights in Europe and the
United States, based on the neutral weightings
of the MSCI World Index.
Going forward, we believe that non-U.S.
markets will stage a comeback and provide more
competitive returns in the coming months.
Economic turnarounds in Japan and Mexico should
continue to benefit local markets, while
valuation levels for many European and Pacific
Rim equity markets compare quite favorably with
those of the U.S.
MONEY MARKET PORTFOLIO
As of December 31, 1995, the Money Market
Portfolio had assets of approximately $42
million with an average life of 55 days. The
Portfolio's net yield for the twelve-month period was 5.92 percent and its
annualized yield for December was 5.79 percent.
At December 31, 1995, approximately 79 percent of the Portfolio consisted of
high-quality commercial paper, with 15 percent invested in bankers' acceptances,
5 percent in short-term bank notes and certificates of deposit of major,
financially strong commercial banks, and the remaining 1 percent in federal
agency obligations.
At year-end, nearly 87 percent of the Portfolio's assets were due to mature
in less than four months. Therefore, the Portfolio is well positioned for
stability of value with a high degree of liquidity. We continue to operate the
Portfolio in a straight forward, conservative style without "structured notes"
or derivatives that could fluctuate excessively when interest rates change.
Investment yields available to the Portfolio during the first half of 1996
are likely to be lower than those achieved during the second half of 1995.
Nonetheless, the Portfolio continues to serve as a very useful investment for
liquidity, preservation of capital and a yield which will reflect prevailing
money market conditions.
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NORTH AMERICAN GOVERNMENT SECURITIES PORTFOLIO
After a difficult start in late 1994, the
North American Government Securities Portfolio
produced a total return of 6.40 percent for the
twelve-month period ended December 31, 1995.
During the same period, the Lehman Brothers
Short (1-5) U.S. Government Index produced a
total return of 12.66 percent. The accompanying
chart illustrates the growth of a $10,000
investment in the Portfolio from inception
(November 9, 1994) through December 31, 1995
versus a similar hypothetical investment in the
issues that comprise the Index.
TCW Funds Management, Inc. (TCW) is the
sub-advisor for this Portfolio. The Portfolio
is invested primarily in short-term U.S.
Treasury securities and short-term U.S. agency
mortgage-backed securities, which benefited
from the substantial U.S. bond market rally.
During the fiscal year, the situation in
Mexico was not as favorable as in the United
States. After the surprise devaluation of the
peso in late 1994, Mexican interest rates
soared and economic growth deteriorated
sharply. The peso exchange rate was volatile
throughout the year. By the fourth quarter,
monetary and fiscal policy stabilized and
growth prospects improved.
In Canada, the key event of 1995 was the
October referendum on Quebec's independence. As
this vote approached, uncertainty increased
markedly and the Portfolio withdrew from
Canada. While the measure did fail by an
extremely thin margin, conditions in Canada
have not yet warranted renewed investment.
Looking ahead, TCW expects the U.S. market
to continue to do well as economic growth
weakens and the Federal Reserve responds with
more easing of rates, while Mexico remains
stable and continues to provide attractive
yields on short-term paper. The Canadian sector
will continue to be monitored for possible
future investment.
<PAGE>
UTILITIES PORTFOLIO
The lower interest rate environment that
prevailed during the first six months of 1995
continued during the second half of the year.
Combined with the generally improved
fundamental outlook of the various utility
sectors, the Utilities Portfolio produced a
total return of 28.05 percent for the twelve-
month period ended December 31, 1995 compared
to a return of 37.57 percent for the
broad-based S&P 500 Index. The accompanying
chart illustrates the growth of a $10,000
investment in the Portfolio from inception
(November 9, 1994) through December 31, 1995
versus a similar hypothetical investment in the
issues that comprise the S&P 500 Index.
While comparatively weak economic
statistics and a favorable inflation outlook
dominated the news over the last quarter of the
year, a positive stream of industry-specific
events gave further support to utility
investments. As 1995 was coming to a close,
select state regulatory directives regarding
the transition from a monopoly to a competitive
environment for the electric utility industry
provided reinforcement to investors that the
industry would be afforded a reasonable
opportunity to maintain financial integrity and
enhance earnings and growth prospects.
Meanwhile, telecommunications legislation has
progressed to a point that gives reasonable
assurance that competition will prevail in a
relatively balanced structure for both the
local and long-distance companies. A final
telecommunications bill, expected in early
1996, should be a positive event for all
segments of worldwide telecommunications
including both service and manufacturing
companies. Not unlike the strong market
performance of the electric and
telecommunications industries, the natural gas
sector provided very favorable price
appreciation, particularly during the latter
stages of the year as cold weather and supply
and demand favored higher commodity prices.
Beyond the short-term pricing abnormalities of
natural gas, our long-term view remains highly favorable.
At year-end, the Portfolio was 94 percent invested compared with 81 percent
at mid-year. Within the equity component, accounting for 99 percent of invested
assets, the sector allocation had 41 percent telecommunications, 41 percent
electric utilities, and 18 percent natural gas. Foreign securities account for
13 percent of the Portfolio's net assets and remain concentrated in the area of
telecommunications.
Going forward, given the structure of its investment diversification --
including foreign exposure -- we believe the Portfolio is well positioned to
meet its overall objectives of relatively low volatility, above-average income
and good long-term growth.
<PAGE>
VALUE-ADDED MARKET PORTFOLIO
For the twelve-month period ended December
31, 1995, the Value-Added Market Portfolio
produced a total return of 27.14 percent
compared to a return of 37.57 percent for the
S&P 500 Index. The Portfolio invests in
substantially all of the stocks included in the
S&P 500. Unlike the Index, however, the
Portfolio equally weights all stock positions,
thereby emphasizing the stocks of smaller- to
medium-capitalization companies which
historically have outperformed
larger-capitalization companies. Although the
Portfolio performed well during the fiscal
year, it lagged the capitalization-weighted S&P
500 as large-cap stocks and technology issues,
two areas in which the Portfolio is under-
represented, led the overall stock market. The
accompanying chart illustrates the growth of a
$10,000 investment in the Portfolio from
inception (November 9, 1994) through December
31, 1995 versus a similar hypothetical
investment in the issues that comprise the S&P
500 Index.
Looking to the future, further easing by
the Federal Reserve should help improve the
economy and thus sustain corporate earnings
growth. In addition, lower interest rates
should reduce the cost of borrowing, thus
benefiting smaller companies and the equity
markets in general.
LOOKING AHEAD
Of course, the stock market cannot be
expected to rise unabated forever. Following
further advancement in 1996 leading up to the
presidential election, it is reasonable to
expect some turbulence. A post election
surprise could be a resurgence of inflationary
pressure that would inspire another round of
Federal Reserve Board tightenings in 1997. The
prospect of short-term pain, however, is
probably a year or so off. And, as we learned
from 1994, such a correction -- if it were to
occur -- could actually be a buying opportunity
for stocks.
We expect the economy to experience a protracted economic slowdown extending
into the latter part of 1996. Falling interest rates, expanding price/earnings
ratios and modest earnings growth on the order of 5 percent should continue to
drive the broader markets higher. However, we expect the market to narrow, as
fewer companies will be able to sustain their recent growth rates. At some point
later in the year we expect the market to begin to look out over the earnings
valley as further Federal Reserve Board rate cuts enable investors to extend
their investment horizons.
<PAGE>
Looking overseas, the prospects for the European equity markets are
positive, although the earnings outlook for early 1996 is somewhat clouded by
the current growth pause in the economies. Most European governments are set to
lower interest rates substantially in an effort to restimulate their economies.
Asian-Pacific prospects also appear positive, as we expect regional gross
domestic product growth to remain near 7 percent on average, fueled by strong
domestic consumption, infrastructure spending and trade, especially on an
intraregional basis. Against this backdrop, corporate earnings growth should
average between 16 and 17 percent. While higher interest rates resulted in
downward revisions to earnings in 1995, this trend may stabilize in 1996, with
upward revisions possible later in the year, given a more benign interest-rate
environment.
We appreciate your support of Dean Witter Select Dimensions Investment
Series and look forward to continuing to serve your investment needs.
Very truly yours,
[SIGNATURE]
Charles A. Fiumefreddo
CHAIRMAN OF THE BOARD
* * *
The net asset values (the "NAVs") presented in the financial statements of
Dean Witter Select Dimensions Investment Series (the "Fund") reflect the net
asset values of each of the respective Portfolios. The Fund is the underlying
investment for various variable annuity contracts and as such, the NAVs of each
Portfolio are not indicative of the unit values of the insurance company
separate accounts.
<PAGE>
MONEY MARKET
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ANNUALIZED
PRINCIPAL YIELD
AMOUNT (IN ON DATE OF MATURITY
THOUSANDS) PURCHASE DATE VALUE
- ----------- -------------- --------------- -------------
<C> <S> <C> <C> <C>
COMMERCIAL PAPER (79.0%)
AUTOMOTIVE - FINANCE (6.9%)
$ 950 Ford Motor Credit Co.................................. 5.78-5.79% 01/10/96-02/09/96 $ 945,983
1,950 General Motors Acceptance Corp........................ 5.70-5.81 01/19/96-03/12/96 1,936,270
-------------
2,882,253
-------------
BANK HOLDING COMPANIES (6.8%)
1,600 Chemical Banking Corp................................. 5.69-5.77 03/07/96-03/28/96 1,580,740
800 NationsBank Corp...................................... 5.78-5.79 01/18/96-02/07/96 796,350
500 Norwest Corp.......................................... 5.80 02/22/96 495,747
-------------
2,872,837
-------------
BANKS - COMMERCIAL (15.2%)
1,500 Abbey National North America Corp..................... 5.77-5.80 01/12/96-02/01/96 1,495,335
500 Canadian Imperial Holdings Inc........................ 5.81 01/08/96 499,285
1,000 Internationale Nederlanden (U.S.) Funding Corp........ 5.43 06/21/96 974,431
2,039 National Australia Funding (DE) Inc................... 5.53-6.11 01/04/96-06/14/96 2,019,982
1,415 Societe Generale N.A., Inc............................ 5.73-5.80 02/20/96-03/08/96 1,402,131
-------------
6,391,164
-------------
BROKERAGE (8.0%)
2,000 Goldman Sachs Group L.P............................... 5.70-6.11 01/03/96-03/14/96 1,986,998
1,400 Morgan Stanley Group Inc.............................. 5.80-5.81 01/09/96-01/11/96 1,397,614
-------------
3,384,612
-------------
DRUGS (1.1%)
500 Lilly (Eli) & Co...................................... 5.75 01/12/96 498,989
-------------
FINANCE - COMMERCIAL (2.6%)
1,095 CIT Group Holdings, Inc............................... 5.62 04/10/96 1,077,874
-------------
FINANCE - CONSUMER (14.2%)
2,050 American Express Credit Corp.......................... 5.44-5.79 01/25/96-06/21/96 2,014,468
1,110 Beneficial Corp....................................... 5.80 01/17/96 1,106,803
1,500 Household Finance Corp................................ 5.78 01/04/96 1,498,802
1,350 Norwest Financial, Inc................................ 5.72-5.79 02/05/96-02/21/96 1,341,010
-------------
5,961,083
-------------
FINANCE - CORPORATE (1.7%)
700 Ciesco, L.P........................................... 5.79 01/05/96 699,332
-------------
FINANCE - DIVERSIFIED (4.7%)
750 Associates Corp. of North America..................... 5.76 02/13/96 744,675
1,250 General Electric Capital Corp......................... 5.52-5.75 02/02/96-05/15/96 1,231,934
-------------
1,976,609
-------------
INDUSTRIALS (4.8%)
2,014 Raytheon Co........................................... 5.76-5.81 01/04/96-01/05/96 2,012,307
-------------
</TABLE>
<PAGE>
MONEY MARKET
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ANNUALIZED
PRINCIPAL YIELD
AMOUNT (IN ON DATE OF MATURITY
THOUSANDS) PURCHASE DATE VALUE
- ----------- -------------- --------------- -------------
<C> <S> <C> <C> <C>
OFFICE EQUIPMENT (2.6%)
$ 615 IBM Credit Corp....................................... 5.81% 01/26/96 $ 612,339
500 Xerox Credit Corp..................................... 5.81 01/26/96 497,855
-------------
1,110,194
-------------
RETAIL (4.2%)
1,775 Sears Roebuck Acceptance Corp......................... 5.73-5.81 02/06/96-03/07/96 1,760,238
-------------
TELEPHONES (3.8%)
1,600 AT&T Corp............................................. 5.78 01/16/96-01/29/96 1,594,453
-------------
UTILITIES - FINANCE (2.4%)
1,025 National Rural Utilities Cooperative Finance Corp..... 5.71 03/06/96 1,014,279
-------------
TOTAL COMMERCIAL PAPER (AMORTIZED COST $33,236,224).................................... 33,236,224
-------------
BANKERS' ACCEPTANCES (14.9%)
700 First Bank National Assoc............................. 5.83 02/26/96 693,583
492 First Union National Bank............................. 5.84 01/23/96 489,758
1,000 First Union National Bank of Florida.................. 5.64 05/13/96 979,412
2,000 Mellon Bank, N.A...................................... 5.52-5.69 04/12/96-05/16/96 1,963,267
430 NationsBank of Georgia................................ 5.82 01/02/96 429,296
1,728 PNC Bank, N.A......................................... 5.68-5.82 01/18/96-03/05/96 1,717,023
-------------
TOTAL BANKERS' ACCEPTANCES (AMORTIZED COST $6,272,339)................................. 6,272,339
-------------
SHORT-TERM BANK NOTES (3.5%)
500 F.C.C. National Bank.................................. 5.74 03/11/96 500,000
1,000 Fleet National Bank................................... 5.75 02/23/96 1,000,000
-------------
TOTAL SHORT-TERM BANK NOTES (AMORTIZED COST $1,500,000)................................ 1,500,000
-------------
CERTIFICATE OF DEPOSIT (1.2%)
500 Union Bank (Amortized Cost $500,000).................. 5.65 02/28/96 500,000
-------------
U.S. GOVERNMENT AGENCY (1.1%)
480 Federal National Mortgage Assoc. (Amortized Cost
$473,620)........................................... 5.61 03/26/96 473,620
-------------
TOTAL INVESTMENTS (AMORTIZED COST $41,982,183) (A).......................... 99.7% 41,982,183
CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES.............................. 0.3 106,854
---------- -------------
NET ASSETS.................................................................. 100.0% $ 42,089,037
---------- -------------
---------- -------------
</TABLE>
- ----------------
<TABLE>
<C> <S>
(A) COST IS THE SAME FOR FEDERAL INCOME TAX PURPOSES.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
NORTH AMERICAN GOVERNMENT SECURITIES
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN COUPON MATURITY
THOUSANDS) RATE DATE VALUE
- ------------- -------------- --------- -----------
<C> <S> <C> <C> <C>
U.S. GOVERNMENT & AGENCIES OBLIGATIONS (42.5%)
$ 65 Federal Farm Credit Bank......................................... 5.08% 01/15/96 $ 65,010
35 Federal Home Loan Banks.......................................... 6.78 04/04/97 35,591
40 Federal Home Loan Mortgage Corp.................................. 7.69 12/16/96 40,877
75 Federal National Mortgage Association............................ 7.60 01/10/97 76,676
210 U.S. Treasury Note............................................... 5.50 11/15/98 211,542
115 U.S. Treasury Note............................................... 6.125 05/15/98 117,282
-----------
TOTAL U.S. GOVERNMENT & AGENCIES OBLIGATIONS (IDENTIFIED COST $544,055)..................... 546,978
-----------
MORTGAGE-BACKED SECURITIES (38.3%)
100 Federal Home Loan Mortgage Corp. PC Gold......................... 5.50 11/01/00 99,189
96 Federal Home Loan Mortgage Corp. PC Gold......................... 6.00 11/01/99 95,983
95 Federal Home Loan Mortgage Corp. PC Gold......................... 7.00 08/01/00 95,745
100 Federal National Mortgage Association............................ 7.00 10/01/02 101,730
99 Government National Mortgage Association......................... 6.00 08/20/25 100,487
-----------
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $488,977)................................. 493,134
-----------
</TABLE>
<TABLE>
<CAPTION>
ANNUALIZED
YIELD
ON DATE OF
PURCHASE
--------------
<C> <S> <C> <C> <C>
SHORT-TERM INVESTMENTS (A) (15.5%)
MEXICAN GOVERNMENT OBLIGATION (7.7%)
100 Tesobonos........................................................ 8.37% 01/18/96 99,564
-----------
U.S. GOVERNMENT AGENCY (7.8%)
100 Federal Home Loan Banks.......................................... 5.50 01/08/96 99,893
-----------
TOTAL SHORT-TERM INVESTMENTS (AMORTIZED COST $199,475)...................................... 199,457
-----------
TOTAL INVESTMENTS (IDENTIFIED COST $1,232,507) (B)............................ 96.3% 1,239,569
CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES................................ 3.7 48,111
---------- -----------
NET ASSETS.................................................................... 100.0% $ 1,287,680
---------- -----------
---------- -----------
<FN>
- ----------------
(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 APPROXIMATES IDENTIFIED
COST.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN COUPON MATURITY
THOUSANDS) RATE DATE VALUE
- ---------- ---------- ---------- -----------
<C> <S> <C> <C> <C>
GOVERNMENT & CORPORATE BONDS (93.6%)
AUSTRALIA (3.3%)
GOVERNMENT OBLIGATION
Au$ 400 Queensland Treasury Corp.......................................... 8.00% 05/14/97 $ 299,830
-----------
CANADA (6.3%)
GOVERNMENT OBLIGATION
Ca$ 740 Canada Treasury Bond.............................................. 8.00 11/01/98 568,555
-----------
DENMARK (3.2%)
GOVERNMENT OBLIGATION
DKr 1,450 Denmark Treasury Note............................................. 9.00 11/15/98 283,955
-----------
ITALY (5.3%)
GOVERNMENT OBLIGATION
ITL 750,000 Italy Treasury Bond (b)........................................... 10.50 04/15/98 475,985
-----------
NEW ZEALAND (3.0%)
GOVERNMENT OBLIGATION
NZ$ 415 New Zealand Treasury Bond (b)..................................... 8.00 07/15/98 272,023
-----------
SPAIN (5.4%)
GOVERNMENT OBLIGATIONS
ESP 14,000 Spain Treasury Bond (b)........................................... 11.45 08/30/98 120,960
43,000 Spain Treasury Bond............................................... 9.90 10/31/98 359,783
-----------
TOTAL SPAIN............................................................................... 480,743
-----------
SWEDEN (4.8%)
GOVERNMENT OBLIGATION
SEK 2,800 Sweden Treasury Bond.............................................. 10.75 01/23/97 431,973
-----------
UNITED STATES (62.3%)
AEROSPACE (1.1%)
$ 100 Sabreliner Corp. (Series B)....................................... 12.50 04/15/03 94,750
-----------
AIRLINES (1.0%)
100 GPA Delaware, Inc................................................. 8.75 12/15/98 93,750
-----------
AUTOMOTIVE (0.8%)
100 Envirotest Systems, Inc........................................... 9.625 04/01/03 73,000
-----------
CABLE & TELECOMMUNICATIONS (4.9%)
100 Adelphia Communications Corp. (Series B).......................... 9.50+ 02/15/04 82,500
100 AT&T Capital Corp................................................. 15.00 05/05/97 111,915
100 Echostar Communications........................................... 12.875++ 06/01/04 68,000
200 In-Flight Phone Corp. (Series B).................................. 14.00++ 05/15/02 73,500
100 Paxson Communications - 144A*..................................... 11.625 10/01/02 102,500
-----------
438,415
-----------
COMPUTER EQUIPMENT (2.0%)
100 Unisys Corp....................................................... 13.50 07/01/97 96,000
100 Integrated Device Technology (Conv.).............................. 5.50 06/01/02 81,560
-----------
177,560
-----------
CONTAINERS (0.6%)
100 Ivex Holdings Corp. (Series B).................................... 13.25++ 03/15/05 56,500
-----------
ELECTRICAL & ALARM SYSTEMS (0.9%)
100 Mosler, Inc....................................................... 11.00 04/15/03 78,750
-----------
<PAGE>
</TABLE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN COUPON MATURITY
THOUSANDS) RATE DATE VALUE
- ---------- ---------- ---------- -----------
<C> <S> <C> <C> <C>
ENTERTAINMENT/GAMING & LODGING (3.2%)
$ 100 Fitzgeralds Gaming Corp. (Units)++................................ 13.00% 12/31/02 $ 93,500
100 Motels of America, Inc. (Series B)................................ 12.00 04/15/04 99,125
100 Trump Taj Mahal (Series A)........................................ 11.35+ 11/15/99 96,250
-----------
288,875
-----------
FOODS & BEVERAGES (3.1%)
100 Envirodyne Industries, Inc........................................ 10.25 12/01/01 76,000
100 SC International Services, Inc.................................... 13.00 10/01/05 105,500
200 Specialty Foods Acquisition Corp. (Series B)...................... 13.00++ 08/15/05 98,000
-----------
279,500
-----------
MANUFACTURING (3.4%)
100 Alpine Group, Inc. - 144A*........................................ 12.25 07/15/03 98,000
100 Berry Plastics Corp............................................... 12.25 04/15/04 107,000
100 Uniroyal Technology Corp.......................................... 11.75 06/01/03 96,000
-----------
301,000
-----------
MANUFACTURING - DIVERSIFIED (2.4%)
100 Interlake Corp.................................................... 12.125 03/01/02 95,500
200 Jordan Industries, Inc............................................ 11.75++ 08/01/05 120,000
-----------
215,500
-----------
OIL & GAS (1.0%)
100 Empire Gas Corp................................................... 7.00 07/15/04 88,500
-----------
PUBLISHING (2.2%)
200 Affiliated Newspapers Investments, Inc............................ 13.25++ 07/01/06 125,500
100 United States Banknote Corp....................................... 10.375 06/01/02 74,000
-----------
199,500
-----------
RESTAURANTS (1.9%)
100 Carrols Corp...................................................... 11.50 08/15/03 101,250
100 Flagstar Corp..................................................... 11.25 11/01/04 71,000
-----------
172,250
-----------
RETAIL (1.0%)
100 Thrifty Payless, Inc. - 144A*..................................... 11.625+ 04/15/06 90,000
-----------
TEXTILES - APPAREL MANUFACTURERS (0.4%)
50 U.S. Leather, Inc................................................. 10.25 07/31/03 37,000
-----------
U.S. GOVERNMENT & AGENCIES OBLIGATIONS (32.4%)
Federal National Mortgage Assoc.
1,000 .................................................................. 7.00 ** 1,006,875
980 .................................................................. 7.00 07/01/25-
11/01/25 986,720
-----------
1,993,595
-----------
500 U.S. Treasury Note Principal Strip................................ 0.00 02/15/00 401,871
-----------
500 U.S. Treasury Note................................................ 5.75 10/31/00 507,500
-----------
2,902,966
-----------
TOTAL UNITED STATES....................................................................... 5,587,816
-----------
TOTAL GOVERNMENT & CORPORATE BONDS (IDENTIFIED COST $8,346,334)........................... 8,400,880
-----------
</TABLE>
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION
WARRANTS DATE VALUE
- ---------- ---------- -----------
<C> <S> <C> <C>
WARRANTS (A) (0.0%)
CABLE & TELECOMMUNICATIONS (0.0%)
200 In-Flight Phone Corp. - 144A*............................................. 05/15/02 $ 2,000
-----------
ENTERTAINMENT/GAMING & LODGING (0.0%)
100 Fitzgeralds Gaming Corp. - 144A*.......................................... 03/15/99 1,000
-----------
TOTAL WARRANTS (IDENTIFIED COST $12,198).............................................. 3,000
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN COUPON MATURITY
THOUSANDS) RATE DATE
- ---------- ---------- ----------
<C> <S> <C> <C> <C>
SHORT-TERM INVESTMENTS (21.0%)
GERMANY (2.0%)
TIME DEPOSIT (c)
BANKING
DEM 251 Chase Manhattan Bank............................................... 3.00% 01/03/96 174,862
-----------
UNITED STATES (D) (19.0%)
U.S. GOVERNMENT AGENCY
$ 1,700 Federal Home Loan Mortgage Corp.................................... 5.75 01/02/96 1,699,728
-----------
TOTAL SHORT-TERM INVESTMENTS (IDENTIFIED COST $1,879,258).................................. 1,874,590
-----------
TOTAL INVESTMENTS (IDENTIFIED COST $10,237,790) (E)........................ 114.6% 10,278,470
LIABILITIES IN EXCESS OF CASH AND OTHER ASSETS............................. (14.6) (1,306,477)
---------- -------------
NET ASSETS................................................................. 100.0% $ 8,971,993
---------- -------------
---------- -------------
<FN>
- ----------------
* RESALE IS RESTRICTED TO QUALIFIED INSTITUTIONAL INVESTORS.
** SECURITY WAS PURCHASED ON A FORWARD COMMITMENT BASIS WITH AN APPROXIMATE
PRINCIPAL AMOUNT AND NO DEFINITE MATURITY DATE; THE ACTUAL PRINCIPAL
AMOUNT AND MATURITY DATE WILL BE DETERMINED UPON SETTLEMENT.
++ CONSISTS OF ONE OR MORE CLASS OF SECURITIES TRADED TOGETHER AS A UNIT;
GENERALLY BONDS WITH ATTACHED STOCKS/WARRANTS.
+ PAYMENT-IN-KIND SECURITY.
++ CURRENTLY A ZERO COUPON BOND AND WILL PAY INTEREST AT THE RATE SHOWN AT A
FUTURE SPECIFIED DATE.
(A) NON-INCOME PRODUCING SECURITIES.
(B) SOME OR ALL OF THESE SECURITIES ARE SEGREGATED IN CONNECTION WITH OPEN
FORWARD FOREIGN CURRENCY CONTRACTS.
(C) SUBJECT TO WITHDRAWAL RESTRICTIONS UNTIL MATURITY.
(D) SECURITY WAS PURCHASED ON A DISCOUNT BASIS. THE INTEREST RATE SHOWN HAS
BEEN ADJUSTED TO REFLECT A MONEY MARKET EQUIVALENT YIELD.
(E) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES APPROXIMATES IDENTIFIED
COST.
</TABLE>
FORWARD FOREIGN CURRENCY CONTRACTS OPEN AT DECEMBER 31, 1995:
<TABLE>
<CAPTION>
IN
CONTRACTS EXCHANGE DELIVERY UNREALIZED
TO RECEIVE FOR DATE DEPRECIATION
- ---------- ---------- -------- ------------
<S> <C> <C> <C>
AUD 204,238 $ 152,055 01/03/96 ($408)
NZ$ 229,509 $ 150,076 01/03/96 (207)
DKK 1,641,000 $ 295,043 01/05/96 (164)
$ 113,336 DEM 167,500 09/11/96 (2,765)
------------
Total unrealized
depreciation ............... (3,$544)
------------
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
BALANCED
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
COMMON STOCKS (58.5%)
AEROSPACE (1.6%)
3,400 Boeing Co.................... $ 266,475
-------------
AIR TRANSPORT (1.0%)
2,200 AMR Corp.*................... 163,350
-------------
AUTO PARTS - ORIGINAL EQUIPMENT (0.7%)
3,700 Lear Seating Corp.*.......... 107,300
-------------
AUTOMOTIVE (2.8%)
4,700 Chrysler Corp................ 260,262
6,800 Ford Motor Co................ 197,200
-------------
457,462
-------------
BANKS - INTERNATIONAL (1.3%)
3,100 Citicorp..................... 208,475
-------------
BANKS - REGIONAL (1.6%)
6,600 Fleet Financial Group,
Inc........................ 268,950
-------------
BIOTECHNOLOGY (1.9%)
7,439 Guidant Corp................. 314,298
-------------
BROKERAGE (1.1%)
3,500 Merrill Lynch & Co., Inc..... 178,500
-------------
BUSINESS SYSTEMS (1.5%)
4,700 General Motors Corp. (Class
E)......................... 244,400
-------------
COMMUNICATIONS - EQUIPMENT & SOFTWARE (1.1%)
2,500 Cisco Systems, Inc.*......... 186,562
-------------
COMMUNICATIONS - EQUIPMENT/MANUFACTURERS
(1.2%)
4,500 Northern Telecom Ltd.
(Canada)................... 193,500
-------------
COMPUTER SERVICES (1.8%)
4,500 First Data Corp.............. 300,938
-------------
COMPUTER SOFTWARE (1.5%)
2,700 Microsoft Corp.*............. 236,925
-------------
COMPUTERS - SYSTEMS (0.6%)
2,200 Tandy Corp................... 91,300
-------------
CRUDE PRODUCTS (0.4%)
3,200 Occidental Petroleum Corp.... 68,400
-------------
ELECTRIC - MAJOR (1.2%)
2,700 General Electric Co.......... 194,400
-------------
ELECTRONICS - DEFENSE (1.6%)
3,200 Hewlett-Packard Co........... 268,000
-------------
ELECTRONICS - SEMICONDUCTORS/COMPONENTS
(5.3%)
3,500 Intel Corp................... 198,625
3,600 Motorola, Inc................ 205,200
8,800 National Semiconductor
Corp.*..................... 195,800
5,200 Texas Instruments Inc........ 269,100
-------------
868,725
-------------
ENTERTAINMENT (3.5%)
9,700 Circus Circus Enterprises,
Inc.*...................... 270,387
5,000 Walt Disney Co............... 295,000
-------------
565,387
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
HEALTH EQUIPMENT & SERVICES (1.6%)
5,100 Columbia/HCA Healthcare
Corp....................... $ 258,825
-------------
HEALTHCARE - DRUGS (1.4%)
3,860 Lilly (Eli) & Co............. 217,125
-------------
HOUSEHOLD APPLIANCES (1.1%)
6,400 American Standard Companies,
Inc.*...................... 179,200
-------------
MACHINERY (0.6%)
2,200 Case Corp.................... 100,650
-------------
METALS - MISCELLANEOUS (0.7%)
1,800 Phelps Dodge Corp............ 112,050
-------------
MULTI-LINE INSURANCE (1.4%)
2,450 American International Group,
Inc........................ 226,625
-------------
NATURAL RESOURCES (1.9%)
3,900 Texaco, Inc.................. 306,150
-------------
OFFICE EQUIPMENT & SUPPLIES (1.3%)
1,500 Xerox Corp................... 205,500
-------------
OIL WELL - MACHINERY (1.2%)
2,900 Schlumberger Ltd.
(Netherlands Antilles)..... 200,825
-------------
PAPER & FOREST PRODUCTS (1.2%)
4,600 Weyerhaeuser Co.............. 198,950
-------------
PHARMACEUTICALS (3.1%)
10,400 Ivax Corp.................... 296,400
3,000 Merck & Co., Inc............. 197,250
-------------
493,650
-------------
RAILROADS (1.2%)
2,534 Burlington Northern Santa Fe
Corp....................... 197,652
-------------
RESTAURANTS (1.3%)
4,600 McDonald's Corp.............. 207,575
-------------
RETAIL - FOOD CHAINS (1.2%)
3,900 Safeway, Inc.*............... 200,850
-------------
SOAP & HOUSEHOLD PRODUCTS (1.1%)
2,100 Procter & Gamble Co.......... 174,300
-------------
TELECOMMUNICATION EQUIPMENT (1.2%)
8,500 General Instrument Corp.*.... 198,688
-------------
TELECOMMUNICATIONS (2.6%)
3,600 AT&T Corp.................... 233,100
4,500 GTE Corp..................... 198,000
-------------
431,100
-------------
TOBACCO (1.4%)
2,600 Philip Morris Companies,
Inc........................ 235,300
-------------
TRANSPORTATION - MISCELLANEOUS (1.3%)
2,800 Delta Airlines, Inc.......... 206,850
-------------
TOTAL COMMON STOCKS
(IDENTIFIED COST
$8,913,727)................ 9,535,212
-------------
</TABLE>
<PAGE>
BALANCED
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN
THOUSANDS) VALUE
- ----------- -------------
<C> <S> <C>
CORPORATE BONDS (2.6%)
BANKS (0.5%)
$ 75 Mellon Bank Corp.
6.50% due 08/01/05......... $ 76,211
-------------
FINANCIAL (0.6%)
100 Abbey National PLC
6.69% due 10/17/05 (United
Kingdom)................... 103,525
-------------
GAS TRANSMISSION (0.2%)
25 ANR Pipeline Co.
9.625% due 11/01/21........ 32,703
-------------
HEALTHCARE - DRUGS (0.3%)
45 Lilly (Eli) & Co.
8.375% due 12/01/06........ 53,293
-------------
INDUSTRIALS (0.7%)
25 Dayton-Hudson Co.
7.875% due 06/15/23........ 25,119
15 Mead Corp.
7.125% due 08/01/25........ 15,228
40 Monsanto Co.
8.875% due 12/15/09........ 49,581
15 Texas Utilities Electric Co.
7.875% due 04/01/24........ 15,833
-------------
105,761
-------------
TELECOMMUNICATIONS (0.3%)
50 AT&T Corp. 7.75% due
03/01/07................... 56,374
-------------
TOTAL CORPORATE BONDS
(IDENTIFIED COST
$404,517).................. 427,867
-------------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
MORTGAGE-BACKED SECURITIES (7.6%)
202 Federal Home Loan Mortgage
Corp. PC Gold
6.50% due 07/01/25......... 199,895
598 Federal Home Loan Mortgage
Corp. PC Gold
7.00% due
12/01/10-12/01/25.......... 605,910
199 Government National Mortgage
Association
6.00% due 08/20/25......... 200,836
227 Government National Mortgage
Association
7.50% due 10/15/25......... 233,772
-------------
TOTAL MORTGAGE-BACKED
SECURITIES (IDENTIFIED COST
$1,222,260)................ 1,240,413
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN
THOUSANDS) VALUE
- ----------- -------------
<C> <S> <C>
U.S. GOVERNMENT OBLIGATIONS (21.1%)
$ 175 U.S. Treasury Bond
8.00% due 11/15/21......... $ 218,887
395 U.S. Treasury Bond
7.50% due 11/15/24......... 474,802
600 U.S. Treasury Note
5.125% due 04/30/98........ 598,688
195 U.S. Treasury Note
5.50% due 11/15/98......... 196,432
175 U.S. Treasury Note
7.75% due 11/30/99......... 189,656
235 U.S. Treasury Note
7.75% due 01/31/00......... 255,269
95 U.S. Treasury Note
6.25% due 08/31/00......... 98,310
370 U.S. Treasury Note
7.50% due 05/15/02......... 410,411
225 U.S. Treasury Note
6.375% due 08/15/02........ 236,039
750 U.S. Treasury Note
5.875% due 11/15/05........ 766,875
-------------
TOTAL U.S. GOVERNMENT
OBLIGATIONS (IDENTIFIED
COST $3,338,130)........... 3,445,369
-------------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
SHORT-TERM INVESTMENTS (11.9%)
U.S. GOVERNMENT AGENCY (a) (8.6%)
1,400 Federal Home Loan Banks 5.50%
due 01/08/96............... 1,398,503
-------------
REPURCHASE AGREEMENT (3.3%)
542 The Bank of New York 3.00%
due 01/02/96 (dated
12/29/95; proceeds
$542,680; collateralized by
$541,124 U.S. Treasury Note
5.75% due 09/30/97 valued
at $553,349) (Identified
Cost $542,499)............. 542,499
-------------
TOTAL SHORT-TERM INVESTMENTS
(IDENTIFIED COST
$1,941,002)................ 1,941,002
-------------
TOTAL INVESTMENTS (IDENTIFIED
COST
$15,819,636) (B)............ 101.7% 16,589,863
LIABILITIES IN EXCESS OF OTHER
ASSETS...................... (1.7) (278,471)
---------- -------------
NET ASSETS.................... 100.0% $ 16,311,392
---------- -------------
---------- -------------
<FN>
- ----------------
* 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 APPROXIMATES IDENTIFIED
COST.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
UTILITIES
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN
THOUSANDS) VALUE
- ----------- -----------
<C> <S> <C>
CORPORATE BOND (0.6%)
TELECOMMUNICATIONS
$ 100 Century Telephone Enterprises,
Inc. 7.20% due 12/01/25
(Identified Cost $99,779)... $ 103,353
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES
- -----------
<C> <S> <C>
PREFERRED STOCKS (1.4%)
U.S. GOVERNMENT AGENCY (0.2%)
1,000 Tennessee Valley Authority
(Series 95-A) $2.00......... 26,500
-----------
UTILITIES - ELECTRIC (1.2%)
1,000 Connecticut Light & Power
Capital (Series A) $2.325... 27,125
2,500 Public Service Electric & Gas
Company $1.9992............. 64,375
5,000 Virginia Power Capital
$2.0125..................... 130,000
-----------
221,500
-----------
TOTAL PREFERRED STOCKS
(IDENTIFIED COST
$238,812)................... 248,000
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
COMMON STOCKS (91.7%)
NATURAL GAS (16.4%)
6,000 Anadarko Petroleum Corp....... 324,750
11,000 Atlanta Gas Light Company..... 217,250
6,000 Brooklyn Union Gas Co......... 175,500
4,500 Consolidated Natural Gas
Co.......................... 204,187
3,800 El Paso Natural Gas Company... 107,825
5,000 Enron Corp.................... 190,625
6,500 Indiana Energy Inc............ 155,187
7,000 MCN Corp...................... 162,750
3,500 Mitchell Energy & Development
Corp. (Class B)............. 65,625
5,500 New Jersey Resources Corp..... 165,687
8,500 NorAm Energy Corp............. 75,438
5,000 Northwest Natural Gas Co...... 162,500
5,500 Panhandle Eastern Corp........ 153,313
6,500 Questar Corp.................. 217,750
2,000 Seagull Energy Corp.*......... 44,500
4,500 Sonat, Inc.................... 160,313
4,000 Southwest Gas Corp............ 70,500
6,000 Tenneco Inc................... 297,750
-----------
2,951,450
-----------
TELECOMMUNICATIONS (38.7%)
5,500 Airtouch Communications,
Inc.*....................... 155,375
5,000 Alcatel Alsthom (ADR)
(France).................... 87,500
7,000 Alltel Corp................... 206,500
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -----------
<C> <S> <C>
3,000 Ameritech Corp................ $ 177,000
6,000 Arch Communications Group,
Inc.*....................... 144,000
3,500 AT&T Corp..................... 226,625
7,500 BCE, Inc. (Canada)............ 258,750
2,500 Bell Atlantic Corp............ 167,187
4,500 BellSouth Corp................ 195,750
5,500 Century Telephone Enterprises,
Inc......................... 174,625
3,000 Ericsson (L.M.) Telephone Co.
AB (ADR) (Sweden)........... 58,125
7,000 Frontier Corp................. 210,000
4,000 General Instrument Corp.*..... 93,500
6,500 Grupo Iusacell S.A. de C.V.
(Series L) (ADR)
(Mexico)*................... 65,813
4,500 GTE Corp...................... 198,000
7,000 Liberty Media Group (Class
A)*......................... 187,250
6,500 MCI Communications Corp....... 169,813
4,700 MFS Communication Co.,
Inc.*....................... 250,275
6,000 Midcom Communications
Corp.*...................... 103,500
6,500 News Corp. Ltd. (ADR)
(Australia)................. 138,938
4,000 Nippon Telegraph & Telephone
Corp. (ADR) (Japan)......... 164,000
4,000 Northern Telecom Ltd.
(Canada).................... 172,000
4,000 NYNEX Corp.................... 216,000
3,000 Pacific Telesis Group......... 100,875
4,500 Paging Network, Inc.*......... 106,875
4,500 Philips Electronics NV (ADR)
(Netherlands)............... 161,437
5,000 Portugal Telecom S.A. (ADR)
(Portugal)*................. 95,000
3,000 SBC Communications, Inc....... 172,500
7,000 Scientific-Atlanta, Inc....... 105,000
4,500 Southern New England
Telecommunications Corp..... 178,875
6,000 Sprint Corp................... 239,250
5,500 Tele Danmark AS (ADR)
(Denmark)................... 151,937
6,000 Tele-Communications, Inc.*.... 119,250
3,000 Telecom Argentina S.A. (ADR)
(Argentina)................. 142,875
4,000 Telefonica Espana S.A. (ADR)
(Spain)..................... 167,500
3,000 Telefonos de Mexico S.A. de
C.V. (Series L) (ADR)
(Mexico).................... 95,625
6,500 Telephone & Data Systems,
Inc......................... 256,750
3,000 U.S. West, Inc................ 107,250
5,000 U.S. West Media Group*........ 95,000
4,500 United States Cellular
Corp.*...................... 151,875
4,500 Vanguard Cellular Systems,
Inc. (Class A)*............. 90,000
5,000 Viacom, Inc. (Class A)*....... 229,375
5,500 Vodafone Group PLC (ADR)
(United Kingdom)............ 193,875
5,000 WorldCom, Inc.*............... 176,250
-----------
6,957,900
-----------
</TABLE>
<PAGE>
UTILITIES
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -----------
<C> <S> <C>
UTILITIES - ELECTRIC (36.6%)
6,000 Allegheny Power System,
Inc......................... $ 171,750
5,500 American Electric Power Co.,
Inc......................... 222,750
7,000 Bangor Hydro-Electric Co...... 80,500
6,000 California Energy Co.,
Inc.*....................... 117,000
7,000 Carolina Power & Light Co..... 241,500
6,000 Central & South West Corp..... 167,250
3,500 CINergy Corp.................. 107,188
5,000 CMS Energy Corp............... 149,375
5,500 Consolidated Edison Co. of New
York, Inc................... 176,000
5,500 DQE, Inc...................... 169,125
3,000 Duke Power Co................. 142,125
3,000 Eastern Utilities
Association................. 70,875
4,500 FPL Group, Inc................ 208,687
6,000 General Public Utilities
Corp........................ 204,000
10,000 Houston Industries, Inc....... 242,500
6,000 Illinova Corp................. 180,000
7,000 IPALCO Enterprises, Inc....... 266,875
7,000 Kansas City Power & Light
Company..................... 182,875
5,000 National Power PLC (ADR)
(United Kingdom)............ 140,000
3,000 New England Electric System... 118,875
4,500 NIPSCO Industries, Inc........ 172,125
6,500 Northwestern Public Service
Co.......................... 182,000
4,000 Oklahoma Gas & Electric
Company..................... 172,000
4,000 Pacific Gas & Electric Co..... 113,500
7,500 PacifiCorp.................... 159,375
7,000 Peco Energy Co................ 210,875
6,500 Pinnacle West Capital Corp.... 186,875
4,000 Public Service Company of
Colorado.................... 141,500
7,500 Public Service Company of
New Mexico*................. 132,187
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -----------
<C> <S> <C>
6,000 Public Service Enterprise
Group, Inc.................. $ 183,750
6,500 SCANA Corp.................... 186,063
4,500 SCE Corp...................... 79,875
6,500 Southern Co................... 160,062
7,000 TECO Energy, Inc.............. 179,375
7,000 TNP Enterprises, Inc.......... 131,250
5,000 Unicom Corp................... 163,750
7,500 Utilicorp United, Inc......... 220,313
6,000 Western Resources, Inc........ 200,250
7,500 Wisconsin Energy Corp......... 229,688
-----------
6,564,063
-----------
TOTAL COMMON STOCKS
(IDENTIFIED COST
$15,177,545)................ 16,473,413
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN
THOUSANDS)
- -----------
SHORT-TERM INVESTMENT (A) (7.2%)
<C> <S> <C>
U.S. GOVERNMENT AGENCY
$ 1,300 Federal Home Loan Mortgage
Corp. 5.75% due 01/02/96
(Amortized Cost
$1,299,792)................. 1,299,792
-----------
TOTAL INVESTMENTS (IDENTIFIED
COST
$16,815,928) (B)............ 100.9% 18,124,558
LIABILITIES IN EXCESS OF CASH
AND OTHER ASSETS............ (0.9) (165,327)
---------- -------------
NET ASSETS.................... 100.0% $ 17,959,231
---------- -------------
---------- -------------
<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 APPROXIMATES IDENTIFIED
COST.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DIVIDEND GROWTH
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
COMMON STOCKS (97.5%)
AEROSPACE (4.8%)
40,200 United Technologies Corp.... $ 3,813,975
-------------
AUTOMOTIVE (4.9%)
69,200 Chrysler Corp............... 3,831,950
-------------
BANKS (4.8%)
57,900 BankAmerica Corp............ 3,749,025
-------------
BEVERAGES - SOFT DRINKS (4.8%)
67,200 PepsiCo Inc................. 3,754,800
-------------
CHEMICALS (4.7%)
30,400 Monsanto Co................. 3,724,000
-------------
COMPUTERS (4.8%)
41,500 International Business
Machines Corp............. 3,807,625
-------------
COMPUTERS - PERIPHERAL EQUIPMENT (5.1%)
83,000 Honeywell, Inc.............. 4,035,875
-------------
CONGLOMERATES (5.0%)
79,100 Tenneco Inc................. 3,925,337
-------------
DRUGS (5.0%)
93,800 Abbott Laboratories......... 3,916,150
-------------
FOODS (4.9%)
111,900 Quaker Oats Company (The)... 3,860,550
-------------
MACHINERY - AGRICULTURAL (5.0%)
111,200 Deere & Co.................. 3,919,800
-------------
METALS & MINING (5.0%)
62,800 Phelps Dodge Corp........... 3,909,300
-------------
NATURAL GAS (5.0%)
102,600 Enron Corp.................. 3,911,625
-------------
OFFICE EQUIPMENT (4.9%)
82,000 Pitney Bowes, Inc........... 3,854,000
-------------
OIL INTEGRATED - INTERNATIONAL (4.7%)
33,200 Mobil Corp.................. 3,718,400
-------------
PHOTOGRAPHY (4.8%)
56,000 Eastman Kodak Co............ 3,752,000
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
RETAIL - DEPARTMENT STORES (4.8%)
89,300 May Department Stores Co.... $ 3,772,925
-------------
TELEPHONES (4.8%)
94,900 Sprint Corp................. 3,784,137
-------------
TOBACCO (4.8%)
41,900 Philip Morris Companies,
Inc....................... 3,791,950
-------------
UTILITIES - ELECTRIC (4.9%)
137,700 Pacific Gas & Electric
Co........................ 3,907,238
-------------
TOTAL COMMON STOCKS
(IDENTIFIED COST
$70,443,930).............. 76,740,662
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN
THOUSANDS)
- -----------
<C> <S> <C>
SHORT-TERM INVESTMENTS (3.6%)
U.S. GOVERNMENT AGENCY (a) (1.9%)
$ 1,500 Federal Home Loan Mortgage
Corp.
5.45% due 01/03/96........ 1,499,546
-------------
REPURCHASE AGREEMENT (1.7%)
1,324 The Bank of New York 3.00%
due 01/02/96 (dated
12/29/95; proceeds
$1,324,005; collateralized
by $1,320,219 U.S.
Treasury Note 5.75% due
09/30/97 valued at
$1,350,035) (Identified
Cost $1,323,564).......... 1,323,564
-------------
TOTAL SHORT-TERM INVESTMENTS
(IDENTIFIED COST
$2,823,110)............... 2,823,110
-------------
TOTAL INVESTMENTS (IDENTIFIED
COST $73,267,040) (B)....... 101.1% 79,563,772
LIABILITIES IN EXCESS OF OTHER
ASSETS...................... (1.1) (869,544)
---------- -------------
NET ASSETS.................... 100.0% $ 78,694,228
---------- -------------
---------- -------------
<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 APPROXIMATES IDENTIFIED
COST.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
COMMON STOCKS (92.9%)
AEROSPACE & DEFENSE (1.5%)
600 Boeing Co.................... $ 47,023
700 General Dynamics Corp........ 41,388
600 Lockheed Martin Corp......... 47,400
500 McDonnell Douglas Corp....... 46,000
650 Northrop Grumman Corp........ 41,600
950 Raytheon Co.................. 44,888
850 Rockwell International
Corp....................... 44,943
475 United Technologies Corp..... 45,065
-------------
358,307
-------------
AIRLINES (0.7%)
550 AMR Corp.*................... 40,837
550 Delta Air Lines, Inc......... 40,631
1,900 Southwest Airlines Co........ 44,175
3,700 USAir Group, Inc.*........... 49,025
-------------
174,668
-------------
ALUMINUM (0.5%)
1,400 Alcan Aluminum Ltd.
(Canada)................... 43,574
900 Aluminum Co. of America...... 47,588
800 Reynolds Metals Co........... 45,300
-------------
136,462
-------------
AUTO PARTS - AFTER MARKET (0.7%)
1,850 Cooper Tire & Rubber Co...... 45,556
1,220 Echlin, Inc.................. 44,530
1,100 Genuine Parts Co............. 45,100
900 Goodyear Tire & Rubber Co.... 40,838
-------------
176,024
-------------
AUTOMOBILES (0.5%)
850 Chrysler Corp................ 47,069
1,450 Ford Motor Co................ 42,050
800 General Motors Corp.......... 42,300
-------------
131,419
-------------
BANKS - MONEY CENTER (1.3%)
700 BankAmerica Corp............. 45,325
700 Bankers Trust New York
Corp....................... 46,550
660 Chase Manhattan Corp......... 40,013
675 Chemical Banking Corp........ 39,656
700 Citicorp..................... 47,075
1,250 First Chicago NBD Corp....... 49,375
500 Morgan (J.P.) & Co., Inc..... 40,124
-------------
308,118
-------------
BANKS - REGIONAL (4.3%)
1,200 Banc One Corp................ 45,300
1,050 Bank of Boston Corp.......... 48,563
920 Bank of New York Co., Inc.... 44,850
750 Barnett Banks, Inc........... 44,250
1,000 Boatmen's Bancshares, Inc.... 40,875
1,200 Comerica, Inc................ 48,150
1,190 Corestates Financial Corp.... 45,071
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
850 First Bank System, Inc....... $ 42,181
550 First Fidelity Bancorp,
Inc........................ 41,456
330 First Interstate Bancorp..... 45,045
800 First Union Corp............. 44,500
1,150 Fleet Financial Group,
Inc........................ 46,863
1,300 KeyCorp...................... 47,125
850 Mellon Bank Corp............. 45,688
1,400 National City Corp........... 46,375
655 NationsBank Corp............. 45,604
1,345 Norwest Corp................. 44,385
1,350 PNC Bank Corp................ 43,538
650 Republic New York Corp....... 40,381
600 SunTrust Banks, Inc.......... 41,100
1,250 U.S. Bancorp................. 41,874
1,000 Wachovia Corp................ 45,750
210 Wells Fargo & Co............. 45,360
-------------
1,024,284
-------------
BEVERAGES - ALCOHOLIC (0.7%)
700 Anheuser-Busch Companies,
Inc........................ 46,813
1,150 Brown-Forman Corp. (Class
B)......................... 41,975
2,150 Coors (Adolph) Co............ 47,569
1,300 Seagram Co. Ltd. (Canada).... 45,012
-------------
181,369
-------------
BEVERAGES - SOFT DRINKS (0.4%)
550 Coca Cola Co................. 40,838
850 PepsiCo Inc.................. 47,493
-------------
88,331
-------------
BROADCAST MEDIA (0.7%)
365 Capital Cities/ABC, Inc...... 45,032
2,400 Comcast Corp. (Class A)...... 43,500
2,200 Tele-Communications, Inc.*... 43,725
2,350 U.S. West Media Group........ 44,650
-------------
176,907
-------------
BUILDING MATERIALS (0.6%)
1,350 Masco Corp................... 42,355
1,100 Owens-Corning Fiberglas
Corp.*..................... 49,363
1,200 Sherwin-Williams Co.......... 48,900
-------------
140,618
-------------
CHEMICALS (1.9%)
860 Air Products & Chemicals,
Inc........................ 45,365
650 Dow Chemical Co.............. 45,744
590 Du Pont (E.I.) de Nemours &
Co., Inc................... 41,226
750 Eastman Chemical Company..... 46,969
650 Goodrich (B.F.) Co........... 44,281
800 Hercules, Inc................ 45,100
350 Monsanto Co.................. 42,875
1,400 Praxair, Inc................. 47,075
750 Rohm & Haas Co............... 48,281
1,050 Union Carbide Corp........... 39,375
-------------
446,291
-------------
</TABLE>
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
CHEMICALS - DIVERSIFIED (0.7%)
850 Avery Dennison Corp.......... $ 42,606
1,900 Engelhard Corp............... 41,325
700 FMC Corp.*................... 47,338
1,050 PPG Industries, Inc.......... 48,037
-------------
179,306
-------------
CHEMICALS - SPECIALTY (0.9%)
750 Grace (W.R.) & Co............ 44,344
650 Great Lakes Chemical Corp.... 46,800
1,290 Morton International, Inc.... 46,278
1,550 Nalco Chemical Co............ 46,694
800 Sigma-Aldrich Corp........... 39,600
-------------
223,716
-------------
COMMUNICATIONS - EQUIPMENT/MANUFACTURERS
(1.3%)
1,190 Andrew Corp.................. 45,518
600 Cabletron Systems, Inc.*..... 48,600
600 Cisco Systems, Inc........... 44,775
1,200 DSC Communications Corp.*.... 44,250
1,000 Northern Telecom Ltd.
(Canada)................... 43,000
3,100 Scientific-Atlanta, Inc...... 46,500
1,150 Tellabs, Inc.*............... 42,550
-------------
315,193
-------------
COMPUTER SOFTWARE & SERVICES (1.9%)
1,200 Autodesk, Inc................ 40,800
600 Automatic Data Processing,
Inc........................ 44,550
1,200 Ceridian Corp.*.............. 49,500
800 Computer Associates
International, Inc......... 45,500
600 Computer Sciences Corp.*..... 42,150
700 First Data Corp.............. 46,813
500 Microsoft Corp.*............. 43,876
3,100 Novell, Inc.*................ 43,788
1,050 Oracle Systems Corp.*........ 44,362
950 Shared Medical Systems
Corp....................... 51,300
-------------
452,639
-------------
COMPUTERS - SYSTEMS (2.4%)
4,900 Amdahl Corp.*................ 41,650
1,400 Apple Computer, Inc.......... 44,450
950 COMPAQ Computer Corp.*....... 45,600
1,850 Cray Research, Inc.*......... 45,787
3,600 Data General Corp.*.......... 49,500
700 Digital Equipment Corp.*..... 44,888
600 Hewlett-Packard Co........... 50,250
2,800 Intergraph Corp.*............ 44,100
450 International Business
Machines Corp.............. 41,288
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
1,550 Silicon Graphics, Inc.*...... $ 42,624
950 Sun Microsystems, Inc.*...... 43,343
3,700 Tandem Computers Inc.*....... 39,312
7,830 Unisys Corp.*................ 44,046
-------------
576,838
-------------
CONGLOMERATES (0.5%)
1,650 Teledyne, Inc................ 42,281
920 Tenneco Inc.................. 45,655
600 Textron Inc.................. 40,500
-------------
128,436
-------------
CONTAINERS - METAL & GLASS (0.4%)
1,450 Ball Corp.................... 39,875
1,100 Crown Cork & Seal Co.,
Inc.*...................... 45,925
-------------
85,800
-------------
CONTAINERS - PAPER (0.6%)
1,700 Bemis Company, Inc........... 43,563
3,400 Stone Container Corp......... 48,875
1,050 Temple-Inland Inc............ 46,331
-------------
138,769
-------------
COSMETICS (0.7%)
1,300 Alberto-Culver Co............ 44,688
550 Avon Products, Inc........... 41,456
900 Gillette Co.................. 46,912
930 International Flavors &
Fragrances Inc............. 44,640
-------------
177,696
-------------
DISTRIBUTORS - CONSUMER PRODUCTS (0.5%)
2,200 Fleming Cos., Inc............ 45,375
1,450 Super Valu Stores, Inc....... 45,675
1,350 Sysco Corp................... 43,875
-------------
134,925
-------------
ELECTRICAL EQUIPMENT (1.7%)
1,100 AMP, Inc..................... 42,213
550 Emerson Electric Co.......... 44,963
650 General Electric Co.......... 46,800
1,350 General Signal Corp.......... 43,706
700 Grainger (W.W.), Inc......... 46,375
850 Honeywell, Inc............... 41,331
750 Raychem Corp................. 42,656
550 Thomas & Betts Corp.......... 40,562
2,900 Westinghouse Electric
Corp....................... 47,850
-------------
396,456
-------------
ELECTRONICS - DEFENSE (0.4%)
1,780 EG & G, Inc.................. 43,165
1,300 Loral Corp................... 45,988
-------------
89,153
-------------
</TABLE>
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
ELECTRONICS - INSTRUMENTATION (0.4%)
1,200 Perkin-Elmer Corp............ $ 45,300
800 Tektronix, Inc............... 39,300
-------------
84,600
-------------
ELECTRONICS - SEMICONDUCTORS (1.4%)
2,700 Advanced Micro Devices,
Inc.*...................... 44,550
1,000 Applied Materials, Inc.*..... 39,250
700 Intel Corp................... 39,725
1,400 LSI Logic Corp............... 45,850
1,100 Micron Technology, Inc....... 43,588
700 Motorola, Inc................ 39,900
1,800 National Semiconductor
Corp.*..................... 40,050
850 Texas Instruments Inc........ 43,987
-------------
336,900
-------------
ENGINEERING & CONSTRUCTION (0.6%)
700 Fluor Corp................... 46,200
1,050 Foster Wheeler Corp.......... 44,625
4,960 Morrison Knudsen Co., Inc.... 21,080
1,165 Zurn Industries, Inc......... 24,902
-------------
136,807
-------------
ENTERTAINMENT (0.7%)
1,150 King World Productions
Inc.*...................... 44,705
1,200 Time Warner, Inc............. 45,450
900 Viacom, Inc.*................ 42,638
750 Walt Disney Co............... 44,250
-------------
177,043
-------------
FINANCIAL - MISCELLANEOUS (1.1%)
1,090 American Express Co.......... 45,099
1,400 American General Corp........ 48,825
550 Federal Home Loan Mortgage
Corp....................... 45,925
370 Federal National Mortgage
Association................ 45,926
1,150 MBNA Corp.................... 42,406
550 Transamerica Corp............ 40,080
-------------
268,261
-------------
FOODS (2.4%)
2,500 Archer-Daniels-Midland Co.... 45,000
600 C P C International Inc...... 41,175
800 Campbell Soup Co............. 48,000
1,000 ConAgra, Inc................. 41,250
800 General Mills, Inc........... 46,200
1,400 Heinz (H.J.) Co.............. 46,375
700 Hershey Foods Corp........... 45,500
550 Kellogg Co................... 42,488
1,200 Quaker Oats Company (The).... 41,400
750 Ralston-Ralston Purina
Group...................... 46,781
1,400 Sara Lee Corp................ 44,625
325 Unilever NV (ADR)
(Netherlands).............. 45,744
870 Wrigley (Wm.) Jr. Co. (Class
A)......................... 45,675
-------------
580,213
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
GOLD MINING (1.1%)
1,700 Barrick Gold Corp.
(Canada)................... $ 44,838
4,300 Echo Bay Mines Ltd.
(Canada)................... 44,613
2,850 Homestake Mining Co.......... 44,531
1,000 Newmont Mining Corp.......... 45,250
1,645 Placer Dome Inc.............. 39,686
3,350 Santa Fe Pacific Gold
Corp....................... 40,618
-------------
259,536
-------------
HARDWARE & TOOLS (0.6%)
1,300 Black & Decker Corp.......... 45,824
1,000 Snap-On, Inc................. 45,250
900 Stanley Works................ 46,350
-------------
137,424
-------------
HEALTHCARE - DIVERSIFIED (1.3%)
1,000 Abbott Laboratories.......... 41,750
1,450 Allergan, Inc................ 47,125
450 American Home Products
Corp....................... 43,650
550 Bristol-Myers Squibb Co...... 47,231
500 Johnson & Johnson............ 42,813
1,200 Mallinckrodt Group, Inc...... 43,650
440 Warner-Lambert Co............ 42,735
-------------
308,954
-------------
HEALTHCARE - DRUGS (0.9%)
730 Lilly (Eli) & Co............. 41,063
700 Merck & Co., Inc............. 46,025
700 Pfizer, Inc.................. 44,100
1,150 Pharmacia & Upjohn, Inc...... 44,562
800 Schering-Plough Corp......... 43,800
-------------
219,550
-------------
HEALTHCARE - MISCELLANEOUS (0.8%)
1,900 Alza Corp.*.................. 47,025
900 Amgen Inc.................... 53,324
4,000 Beverly Enterprises, Inc.*... 42,500
1,300 Manor Care, Inc.............. 45,500
-------------
188,349
-------------
HEALTHCARE HMOS (0.5%)
1,600 Humana, Inc.................. 43,800
900 U.S. Healthcare, Inc......... 41,738
650 United Healthcare Corp....... 42,575
-------------
128,113
-------------
HEAVY DUTY TRUCKS & PARTS (1.1%)
1,050 Cummins Engine Co., Inc...... 38,850
1,540 Dana Corp.................... 45,045
800 Eaton Corp................... 42,900
1,910 ITT Industries, Inc.......... 45,840
3,800 Navistar International
Corp.*..................... 39,900
1,000 PACCAR, Inc.................. 42,000
-------------
254,535
-------------
</TABLE>
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
HOME BUILDING (0.6%)
1,300 Centex Corp.................. $ 45,175
3,200 Kaufman & Broad Home Corp.... 47,600
1,200 Pulte Corp................... 40,350
-------------
133,125
-------------
HOSPITAL MANAGEMENT (0.5%)
800 Columbia/HCA Healthcare
Corp....................... 40,600
3,700 Community Psychiatric
Centers*................... 45,325
2,150 Tenet Healthcare Corp.*...... 44,613
-------------
130,538
-------------
HOTELS/MOTELS (0.8%)
1,800 Harrah's Entertainment,
Inc.*...................... 43,650
750 Hilton Hotels Corp........... 46,125
850 ITT Corporation.............. 45,050
1,200 Marriot International Inc.... 45,900
-------------
180,725
-------------
HOUSEHOLD FURNISHINGS & APPLIANCES (0.5%)
650 Armstrong World Industries
Inc........................ 40,300
2,250 Maytag Corp.................. 45,563
800 Whirlpool Corp............... 42,600
-------------
128,463
-------------
HOUSEHOLD PRODUCTS (0.8%)
600 Clorox Co.................... 42,975
600 Colgate-Palmolive Co......... 42,150
600 Kimberly-Clark Corp.......... 49,716
550 Procter & Gamble Co.......... 45,650
-------------
180,491
-------------
HOUSEWARES (0.5%)
1,600 Newell Co.................... 41,400
900 Premark International,
Inc........................ 45,563
1,650 Rubbermaid, Inc.............. 42,075
-------------
129,038
-------------
INSURANCE BROKERS (0.4%)
2,350 Alexander & Alexander
Services, Inc.............. 44,650
500 Marsh & McLennan Cos.,
Inc........................ 44,375
-------------
89,025
-------------
INVESTMENT BANKING/BROKERAGE (0.9%)
900 Dean Witter, Discover & Co.
(Note 3)................... 42,300
850 Merrill Lynch & Co., Inc..... 43,350
600 Morgan Stanley Group, Inc.... 48,375
1,300 Salomon, Inc................. 46,150
700 Travelers Group, Inc......... 44,013
-------------
224,188
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
LEISURE TIME (0.7%)
3,300 Bally Entertainment Corp.*... $ 46,200
2,000 Brunswick Corp............... 48,000
6,800 Handleman Co................. 39,100
2,200 Outboard Marine Corp......... 44,825
-------------
178,125
-------------
LIFE INSURANCE (1.1%)
975 Jefferson-Pilot Corp......... 45,338
785 Lincoln National Corp........ 42,194
1,050 Providian Corp............... 42,788
1,000 Torchmark Corp............... 45,250
800 UNUM Corp.................... 44,000
1,447 USLIFE Corp.................. 43,228
-------------
262,798
-------------
MACHINE TOOLS (0.4%)
1,750 Cincinnati Milacron, Inc..... 45,938
2,550 Giddings & Lewis, Inc........ 41,437
-------------
87,375
-------------
MACHINERY - DIVERSIFIED (1.7%)
1,050 Briggs & Stratton Corp....... 45,544
750 Caterpillar, Inc............. 44,063
1,100 Cooper Industries, Inc....... 40,425
1,350 Deere & Co................... 47,588
1,460 Harnischfeger Industries,
Inc........................ 48,545
1,300 Ingersoll-Rand Co............ 45,663
700 NACCO Industries, Inc. (Class
A)......................... 38,850
1,150 Timken Co.................... 43,986
1,200 Varity Corp.*................ 44,550
-------------
399,214
-------------
MANUFACTURED HOUSING (0.2%)
1,655 Fleetwood Enterprises,
Inc........................ 42,616
-------------
MANUFACTURING - DIVERSIFIED (1.9%)
950 AlliedSignal, Inc............ 45,125
1,200 Crane Co..................... 44,250
1,200 Dover Corp................... 44,250
750 Illinois Tool Works Inc...... 44,250
700 Johnson Controls, Inc........ 48,125
1,000 Millipore Corp............... 41,125
1,700 Pall Corp.................... 45,688
1,300 Parker-Hannifin Corp......... 44,525
1,600 Trinova Corp................. 45,800
1,250 Tyco International Ltd....... 44,531
-------------
447,669
-------------
</TABLE>
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
MEDICAL PRODUCTS & SUPPLIES (1.7%)
1,450 Bard (C.R.), Inc............. $ 46,763
1,150 Bausch & Lomb, Inc........... 45,569
1,000 Baxter International, Inc.... 41,875
650 Becton, Dickinson & Co....... 48,750
2,500 Biomet, Inc.*................ 44,375
960 Boston Scientific Corp.*..... 47,040
750 Medtronic Inc................ 41,906
1,097 St. Jude Medical, Inc........ 46,897
1,750 United States Surgical
Corp....................... 37,406
-------------
400,581
-------------
METALS - MISCELLANEOUS (0.9%)
1,400 ASARCO, Inc.................. 44,800
1,580 Cyprus Amax Minerals Co...... 41,278
1,440 Freeport-McMoran Copper &
Gold, Inc.................. 40,500
1,350 Inco Ltd. (Canada)........... 44,887
700 Phelps Dodge Corp............ 43,575
-------------
215,040
-------------
MISCELLANEOUS (2.1%)
1,600 Airtouch Communications,
Inc.*...................... 45,200
1,650 American Greetings Corp...... 45,581
1,330 Corning, Inc................. 42,560
1,600 Dial Corp.................... 47,400
1,100 Harcourt General, Inc........ 46,063
850 Harris Corp.................. 46,431
1,800 Jostens, Inc................. 43,650
700 Minnesota Mining &
Manufacturing Co........... 46,375
800 Pioneer Hi-Bred
International, Inc......... 44,500
600 TRW, Inc..................... 46,500
1,900 Whitman Corp................. 44,175
-------------
498,435
-------------
MULTI-LINE INSURANCE (0.7%)
600 Aetna Life & Casualty Co..... 41,550
470 American International Group,
Inc........................ 43,475
430 CIGNA Corp................... 44,398
850 ITT Hartford Group, Inc.*+... 41,118
-------------
170,541
-------------
OFFICE EQUIPMENT & SUPPLIES (0.8%)
1,000 Alco Standard Corp........... 45,625
2,500 Moore Corp. Ltd. (Canada).... 46,563
1,000 Pitney Bowes, Inc............ 47,000
350 Xerox Corp................... 47,950
-------------
187,138
-------------
OIL & GAS DRILLING (0.4%)
1,500 Helmerich & Payne, Inc....... 44,625
4,620 Rowan Cos., Inc.*............ 45,623
-------------
90,248
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
OIL - DOMESTIC INTEGRATED (2.0%)
875 Amerada Hess Corp............ $ 46,375
1,260 Ashland Oil, Inc............. 44,258
400 Atlantic Richfield Co........ 44,300
655 Kerr-McGee Corp.............. 41,593
965 Louisiana Land & Exploration
Co......................... 41,374
2,100 Occidental Petroleum Corp.... 44,888
1,050 Pennzoil Co.................. 44,363
1,400 Phillips Petroleum Co........ 47,775
1,500 Sun Co., Inc................. 41,062
1,350 Unocal Corp.................. 39,318
2,300 USX-Marathon Group........... 44,850
-------------
480,156
-------------
OIL - EXPLORATION & PRODUCTION (0.5%)
1,150 Burlington Resources, Inc.... 45,138
3,400 Oryx Energy Co.*............. 45,475
4,200 Santa Fe Energy Resources,
Inc.*...................... 40,425
-------------
131,038
-------------
OIL - INTERNATIONAL INTEGRATED (1.1%)
650 Amoco Corp................... 46,719
860 Chevron Corp................. 45,150
550 Exxon Corp................... 44,069
400 Mobil Corp................... 44,800
325 Royal Dutch Petroleum Co.
(ADR)
(Netherlands).............. 45,865
530 Texaco, Inc.................. 41,605
-------------
268,208
-------------
OIL WELL EQUIPMENT & SERVICE (1.1%)
1,850 Baker Hughes Inc............. 45,094
1,850 Dresser Industries, Inc...... 45,094
855 Halliburton Co............... 43,283
1,925 McDermott International,
Inc........................ 42,350
650 Schlumberger Ltd. (ADR)
(Netherlands Antilles)..... 45,013
805 Western Atlas Inc.*.......... 40,653
-------------
261,487
-------------
PAPER & FOREST PRODUCTS (2.4%)
1,350 Boise Cascade Corp........... 46,744
1,100 Champion International
Corp....................... 46,200
900 Federal Paper Board Co.,
Inc........................ 46,688
600 Georgia-Pacific Corp......... 41,175
1,150 International Paper Co....... 43,556
1,800 James River Corp. of
Virginia................... 43,425
1,650 Louisiana-Pacific Corp....... 40,013
900 Mead Corp.................... 47,025
1,100 Potlatch Corp................ 44,000
1,000 Union Camp Corp.............. 47,624
1,700 Westvaco Corp................ 47,175
1,040 Weyerhaeuser Co.............. 44,980
800 Willamette Industries,
Inc........................ 44,800
-------------
583,405
-------------
</TABLE>
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
PERSONAL LOANS (0.4%)
950 Beneficial Corp.............. $ 44,294
750 Household International,
Inc........................ 44,344
-------------
88,638
-------------
PHOTOGRAPHY/IMAGING (0.4%)
650 Eastman Kodak Co............. 43,550
900 Polaroid Corp................ 42,638
-------------
86,188
-------------
POLLUTION CONTROL (0.5%)
1,560 Browning-Ferris Industries,
Inc........................ 46,020
4,000 Laidlaw Inc.................. 41,000
1,400 WMX Technologies, Inc........ 41,825
-------------
128,845
-------------
PROPERTY - CASUALTY INSURANCE (1.3%)
1,050 Allstate Corp. (The)......... 43,181
450 Chubb Corp................... 43,538
280 General Re Corp.............. 43,400
570 Loews Corp................... 44,674
1,300 SAFECO Corp.................. 44,850
800 St. Paul Companies, Inc...... 44,500
2,600 USF&G Corp................... 43,875
-------------
308,018
-------------
PUBLISHING (0.5%)
700 Dun & Bradstreet Corp........ 45,325
500 McGraw-Hill, Inc............. 43,563
1,000 Meredith Corp................ 41,875
-------------
130,763
-------------
PUBLISHING - NEWSPAPER (1.1%)
1,100 Dow Jones & Co., Inc......... 43,863
700 Gannett Co., Inc............. 42,963
700 Knight-Ridder Newspapers,
Inc........................ 43,750
1,550 New York Times Co. (Class
A)......................... 45,919
1,215 Times Mirror Co. (Class A)... 41,157
700 Tribune Co................... 42,787
-------------
260,439
-------------
RAILROADS (0.9%)
600 Burlington Northern Santa Fe
Corp....................... 46,800
600 Conrail, Inc................. 42,000
900 CSX Corp..................... 41,063
600 Norfolk Southern Corp........ 47,625
700 Union Pacific Corp........... 46,200
-------------
223,688
-------------
RESTAURANTS (1.1%)
3,870 Darden Restaurants, Inc...... 45,956
2,000 Luby's Cafeterias, Inc....... 44,500
1,000 McDonald's Corp.............. 45,125
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
6,100 Ryan's Family Steak Houses,
Inc.*...................... $ 41,938
4,500 Shoney's Inc.*............... 46,125
2,240 Wendy's International,
Inc........................ 47,600
-------------
271,244
-------------
RETAIL - DEPARTMENT STORES (1.1%)
1,600 Dillard Department Stores,
Inc. (Class A)............. 45,600
1,600 Federated Department Stores,
Inc........................ 44,000
1,100 May Department Stores Co..... 46,475
900 Mercantile Stores Co.,
Inc........................ 41,625
1,110 Nordstrom, Inc............... 44,677
900 Penney (J.C.) Co., Inc....... 42,863
-------------
265,240
-------------
RETAIL - DRUG STORES (0.5%)
950 Longs Drug Stores Corp....... 45,481
1,300 Rite Aid Corp................ 44,525
1,400 Walgreen Co.................. 41,825
-------------
131,831
-------------
RETAIL - FOOD CHAINS (1.1%)
1,400 Albertson's Inc.............. 46,025
1,700 American Stores Co........... 45,475
1,400 Giant Food, Inc. (Class A)... 44,100
2,000 Great Atlantic & Pacific Tea
Co., Inc................... 46,000
1,200 Kroger Co.*.................. 45,000
1,220 Winn-Dixie Stores, Inc....... 44,988
-------------
271,588
-------------
RETAIL - GENERAL MERCHANDISE (0.8%)
650 Dayton-Hudson Corp........... 48,750
6,200 Kmart Corp................... 44,950
1,100 Sears, Roebuck & Co.......... 42,900
1,950 Wal-Mart Stores, Inc......... 43,631
-------------
180,231
-------------
RETAIL - SPECIALTY (1.6%)
1,450 Circuit City Stores, Inc..... 40,056
1,000 Home Depot, Inc.............. 47,875
1,350 Lowe's Companies, Inc........ 45,225
1,350 Melville Corp................ 41,513
1,700 Pep Boys-Manny Moe & Jack.... 43,563
2,900 Price/Costco, Inc.*.......... 44,225
1,000 Tandy Corp................... 41,500
1,900 Toys 'R' Us, Inc.*........... 41,324
3,000 Woolworth Corp............... 39,000
-------------
384,281
-------------
RETAIL - SPECIALTY APPAREL (0.7%)
15,000 Charming Shoppes, Inc........ 42,187
1,000 Gap, Inc..................... 42,000
2,500 Limited (The), Inc........... 43,438
2,550 TJX Companies, Inc........... 48,131
-------------
175,756
-------------
</TABLE>
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
SAVINGS & LOAN COMPANIES (0.5%)
1,700 Ahmanson (H.F.) & Co......... $ 45,050
790 Golden West Financial
Corp....................... 43,648
1,600 Great Western Financial
Corp....................... 40,800
-------------
129,498
-------------
SHOES (0.8%)
3,100 Brown Group Inc.............. 44,175
700 Nike, Inc.................... 48,738
1,500 Reebok International Ltd.
(United Kingdom)........... 42,375
6,320 Stride Rite Corp............. 47,400
-------------
182,688
-------------
SPECIALIZED SERVICES (1.5%)
1,100 Block (H.&R.), Inc........... 44,550
1,300 C U C International, Inc.*... 44,362
1,350 Ecolab, Inc.................. 40,500
1,100 Interpublic Group of
Companies, Inc............. 47,713
1,400 National Service Industries,
Inc........................ 45,325
2,000 Ogden Corp................... 42,750
2,980 Safety-Kleen Corp............ 46,563
1,050 Service Corp.
International.............. 46,200
-------------
357,963
-------------
SPECIALTY PRINTING (0.6%)
1,600 Deluxe Corp.................. 46,400
1,150 Donnelley (R.R.) & Sons
Co......................... 45,281
2,200 Harland (John H.) Co......... 45,925
-------------
137,606
-------------
STEEL (1.1%)
7,300 Armco, Inc.*................. 42,888
3,200 Bethlehem Steel Corp.*....... 44,800
1,800 Inland Steel Industries,
Inc........................ 45,225
865 Nucor Corp................... 49,413
1,300 USX-U.S. Steel Group......... 39,975
2,100 Worthington Industries,
Inc........................ 43,575
-------------
265,876
-------------
TELECOMMUNICATIONS - LONG DISTANCE (0.6%)
700 AT&T Corp.................... 45,325
1,710 MCI Communications Corp...... 44,674
1,100 Sprint Corp.................. 43,862
-------------
133,861
-------------
TEXTILES (1.0%)
2,200 Fruit of the Loom, Inc.*..... 53,625
1,600 Liz Claiborne, Inc........... 44,400
1,700 Russell Corp................. 47,175
1,080 Springs Industries, Inc...... 44,685
850 VF Corp...................... 44,838
-------------
234,723
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
TOBACCO (0.6%)
1,000 American Brands, Inc......... $ 44,625
495 Philip Morris Companies,
Inc........................ 44,798
1,300 UST, Inc..................... 43,387
-------------
132,810
-------------
TOYS (0.4%)
1,500 Hasbro Inc................... 46,500
1,500 Mattel, Inc.................. 46,125
-------------
92,625
-------------
TRANSPORTATION - MISCELLANEOUS (0.6%)
650 Federal Express Corp.*....... 48,019
1,425 Pittston Services Group...... 44,709
2,000 Ryder System, Inc............ 49,500
-------------
142,228
-------------
TRUCKERS (0.6%)
1,750 Consolidated Freightways,
Inc........................ 46,375
900 Roadway Service, Inc......... 43,988
3,400 Yellow Corporation........... 42,075
-------------
132,438
-------------
UTILITIES - ELECTRIC (4.9%)
1,150 American Electric Power Co.,
Inc........................ 46,575
1,500 Baltimore Gas & Electric
Co......................... 42,750
1,300 Carolina Power & Light Co.... 44,850
1,600 Central & South West Corp.... 44,600
1,400 CINergy Corp................. 42,875
1,300 Consolidated Edison Co. of
New York, Inc.............. 41,600
1,150 Detroit Edison Co............ 39,675
1,000 Dominion Resources, Inc...... 41,250
950 Duke Power Co................ 45,006
1,600 Entergy Corp................. 46,800
1,000 FPL Group, Inc............... 46,375
1,400 General Public Utilities
Corp....................... 47,600
1,900 Houston Industries, Inc...... 46,075
4,400 Niagara Mohawk Power Corp.... 42,350
900 Northern States Power Co..... 44,213
1,900 Ohio Edison Co............... 44,650
1,600 Pacific Gas & Electric Co.... 45,400
2,000 PacifiCorp................... 42,500
1,600 Peco Energy Co............... 48,200
1,800 PP&L Resources, Inc.......... 45,000
1,550 Public Service Enterprise
Group, Inc................. 47,469
2,800 SCE Corp..................... 49,700
1,750 Southern Co.................. 43,094
1,150 Texas Utilities Co........... 47,293
1,380 Unicom Corp.................. 45,195
1,000 Union Electric Co............ 41,750
-------------
1,162,845
-------------
</TABLE>
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
UTILITIES - NATURAL GAS (2.6%)
1,200 Coastal Corp................. $ 44,700
1,030 Columbia Gas System, Inc..... 45,191
1,000 Consolidated Natural Gas
Co......................... 45,375
1,160 Eastern Enterprises.......... 40,890
1,100 Enron Corp................... 41,938
2,800 ENSERCH Corp................. 45,500
1,700 NICOR, Inc................... 46,750
5,000 NorAm Energy Corp............ 44,375
1,950 ONEOK, Inc................... 44,606
1,450 Pacific Enterprises.......... 40,963
1,600 Panhandle Eastern Corp....... 44,600
1,400 Peoples Energy Corp.......... 44,450
1,285 Sonat, Inc................... 45,777
1,000 Williams Companies, Inc...... 43,874
-------------
618,989
-------------
UTILITIES - TELEPHONE (1.7%)
1,600 Alltel Corp.................. 47,200
750 Ameritech Corp............... 44,250
700 Bell Atlantic Corp........... 46,812
1,140 BellSouth Corp............... 49,590
1,020 GTE Corp..................... 44,880
800 NYNEX Corp................... 43,200
1,300 Pacific Telesis Group........ 43,712
800 SBC Communications, Inc...... 46,000
1,350 U.S. West, Inc............... 48,262
-------------
413,906
-------------
TOTAL COMMON STOCKS
(IDENTIFIED COST
$21,087,132)............... 22,266,483
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN
THOUSANDS) VALUE
- ----------- -------------
<C> <S> <C>
SHORT-TERM INVESTMENTS (8.8%)
U.S. GOVERNMENT AGENCY (a) (8.3%)
$ 2,000 Federal Home Loan Mortgage
Corp. 5.75% due 01/02/96... $ 1,999,681
-------------
REPURCHASE AGREEMENT (0.5%)
118 The Bank of New York 3.00%
due 01/02/96 (dated
12/29/95; proceeds 118,543;
collateralized by $118,203
U.S. Treasury Note 5.75%
due 9/30/97 valued at
$120,873) (Identified Cost
$118,503).................. 118,503
-------------
TOTAL SHORT-TERM INVESTMENTS
(IDENTIFIED COST
$2,118,184)................ 2,118,184
-------------
TOTAL INVESTMENTS (IDENTIFIED
COST $23,205,316) (B)....... 101.7% 24,384,667
LIABILITIES IN EXCESS OF OTHER
ASSETS...................... (1.7) (415,040)
---------- -------------
NET ASSETS.................... 100.0% $ 23,969,627
---------- -------------
---------- -------------
<FN>
- ----------------
ADR AMERICAN DEPOSITORY RECEIPT.
* NON-INCOME PRODUCING SECURITY.
+ PARENT COMPANY OF HARTFORD LIFE INSURANCE COMPANY AND ITT HARTFORD LIFE
AND ANNUITY INSURANCE COMPANY, AFFILIATES OF THE FUND.
(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 APPROXIMATES IDENTIFIED
COST.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
CORE EQUITY
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -----------
<C> <S> <C>
COMMON STOCKS (93.1%)
AEROSPACE (2.8%)
1,400 Boeing Co...................... $ 109,725
-----------
AIR TRANSPORT (4.0%)
1,400 AMR Corp.*..................... 103,950
300 UAL Corp.*..................... 53,550
-----------
157,500
-----------
AIRCRAFT & AEROSPACE (2.6%)
1,100 United Technologies Corp....... 104,362
-----------
AUTO PARTS - ORIGINAL EQUIPMENT (2.3%)
3,100 Lear Seating Corp.*............ 89,900
-----------
AUTOMOBILES (1.7%)
1,600 Magna International, Inc.
(Class A) (Canada)........... 69,200
-----------
AUTOMOTIVE (4.6%)
2,000 Chrysler Corp.................. 110,750
2,479 Ford Motor Co.................. 71,891
-----------
182,641
-----------
BANKS - INTERNATIONAL (3.4%)
2,000 Citicorp....................... 134,500
-----------
BROKERAGE (1.2%)
900 Merrill Lynch & Co., Inc....... 45,900
-----------
BUILDING MATERIALS (1.5%)
1,400 Champion International Corp.... 58,800
-----------
BUSINESS SYSTEMS (2.5%)
1,900 General Motors Corp. (Class
E)........................... 98,800
-----------
COMMERCIAL SERVICES (0.8%)
800 America Online, Inc.*.......... 29,800
-----------
COMMUNICATIONS - EQUIPMENT & SOFTWARE (1.5%)
800 Cisco Systems, Inc.*........... 59,700
-----------
COMMUNICATIONS - EQUIPMENT/MANUFACTURERS
(2.3%)
2,100 Northern Telecom Ltd.
(Canada)..................... 90,300
-----------
COMPUTER SERVICES (6.1%)
1,700 Computer Sciences Corp.*....... 119,425
1,800 First Data Corp................ 120,375
-----------
239,800
-----------
COMPUTER SOFTWARE (5.0%)
1,200 Microsoft Corp.*............... 105,300
2,200 Oracle Systems Corp.*.......... 92,950
-----------
198,250
-----------
COMPUTERS - SYSTEMS (3.0%)
1,400 Hewlett-Packard Co............. 117,250
-----------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -----------
<C> <S> <C>
DRUGS (2.1%)
1,400 Amgen Inc.*.................... $ 82,950
-----------
ELECTRONICS - SEMICONDUCTORS/
COMPONENTS (11.5%)
2,300 Intel Corp..................... 130,525
2,300 Motorola, Inc.................. 131,100
5,700 National Semiconductor
Corp.*....................... 126,825
1,300 Texas Instruments Inc.......... 67,275
-----------
455,725
-----------
ENTERTAINMENT (2.7%)
2,300 Viacom, Inc. (Class B)*........ 108,963
-----------
FINANCIAL - MISCELLANEOUS (2.6%)
4,000 Green Tree Financial Corp...... 105,500
-----------
HEALTH EQUIPMENT & SERVICES (2.6%)
2,000 Columbia/HCA Healthcare
Corp......................... 101,500
-----------
HOUSEHOLD APPLIANCES (2.1%)
2,900 American Standard Companies,
Inc.*........................ 81,200
-----------
MACHINERY - CONSTRUCTION & MATERIALS (2.1%)
1,400 Caterpillar, Inc............... 82,250
-----------
NATURAL RESOURCES (1.2%)
600 Texaco, Inc.................... 47,100
-----------
OFFICE EQUIPMENT & SUPPLIES (3.4%)
1,800 Unisys Corp.*.................. 10,125
900 Xerox Corp..................... 123,300
-----------
133,425
-----------
OIL - DOMESTIC (0.4%)
600 Unocal Corp.................... 17,475
-----------
OIL - EXPLORATION & PRODUCTION (1.6%)
4,400 Canadian Natural Resources Ltd.
(Canada)*.................... 64,540
-----------
PHARMACEUTICALS (2.8%)
3,900 Ivax Corp...................... 111,150
-----------
PUBLISHING - NEWSPAPER (1.8%)
3,300 News Corp. Ltd. (ADR)
(Australia).................. 70,537
-----------
RAILROADS (2.4%)
1,240 Burlington Northern Santa Fe
Corp......................... 96,720
-----------
RESTAURANTS (1.1%)
1,400 Boston Chicken, Inc.*.......... 44,800
-----------
RETAIL - SPECIALTY (1.9%)
1,600 Home Depot, Inc................ 76,600
-----------
</TABLE>
<PAGE>
CORE EQUITY
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------- -----------
<C> <S> <C>
SOAP & HOUSEHOLD PRODUCTS (2.5%)
1,200 Procter & Gamble Co........... $ 99,600
-----------
TRANSPORTATION - MISCELLANEOUS (3.0%)
1,600 Delta Airlines, Inc........... 118,200
-----------
TOTAL COMMON STOCKS
(IDENTIFIED COST
$3,599,929)................. 3,684,663
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN
THOUSANDS)
- -------------
<C> <S> <C>
SHORT-TERM INVESTMENTS (6.8%)
U.S. GOVERNMENT AGENCY (a) (3.2%)
$ 125 Federal Home Loan Banks 5.70%
due 01/02/96................ 124,980
-----------
<CAPTION>
PRINCIPAL
AMOUNT (IN
THOUSANDS) VALUE
- ------------- -----------
<C> <S> <C>
REPURCHASE AGREEMENT (3.6%)
$ 144 The Bank of New York 3.00% due
01/02/96 (dated 12/29/95;
proceeds $144,092;
collateralized by $143,676
U.S. Treasury Note 5.75% due
09/30/97 valued at $146,925)
(Identified Cost
$144,044)................... $ 144,044
-----------
TOTAL SHORT-TERM INVESTMENTS
(IDENTIFIED COST
$269,024)................... 269,024
-----------
TOTAL INVESTMENTS (IDENTIFIED
COST $3,868,953) (B)......... 99.9% 3,953,687
OTHER ASSETS IN EXCESS OF
LIABILITIES.................. 0.1 2,725
---------- -----------
NET ASSETS..................... 100.0% $ 3,956,412
---------- -----------
---------- -----------
<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 APPROXIMATES IDENTIFIED
COST.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
AMERICAN VALUE
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
COMMON STOCKS (85.3%)
AEROSPACE (1.7%)
4,700 Boeing Co.................... $ 368,363
3,000 United Technologies Corp..... 284,625
-------------
652,988
-------------
AGRICULTURE RELATED (3.3%)
7,000 Case Corp.................... 320,250
10,000 IMC Global, Inc.............. 408,749
6,700 Pioneer Hi-Bred
International, Inc......... 372,688
2,000 Potash Corp. of Saskatchewan,
Inc. (Canada).............. 141,750
-------------
1,243,437
-------------
BANKS (3.0%)
4,300 Bank of Boston Corp.......... 198,875
5,000 BankAmerica Corp............. 323,750
3,200 Chase Manhattan Corp......... 194,000
4,000 Crestar Financial Corp....... 236,500
4,000 Mercantile Bancorporation,
Inc........................ 184,000
-------------
1,137,125
-------------
BEVERAGES - SOFT DRINKS (0.9%)
6,000 PepsiCo Inc.................. 335,250
-------------
BIOTECHNOLOGY (4.1%)
5,500 Amgen Inc.*.................. 325,875
3,500 Biochem Pharma, Inc.*........ 140,000
3,800 Biogen Inc.*................. 231,800
4,000 Centocor, Inc.*.............. 123,500
6,000 Cephalon Inc.*............... 244,500
1,000 Chiron Corp.*................ 110,500
6,000 Gilead Sciences, Inc.*....... 192,000
10,000 IDEC Pharmaceuticals
Corp.*..................... 192,500
-------------
1,560,675
-------------
CABLE/CELLULAR (0.3%)
4,950 Ericsson (L.M.) Telephone Co.
AB
(ADR) (Sweden)............. 95,906
-------------
CAPITAL GOODS (2.6%)
4,000 AlliedSignal, Inc............ 190,000
4,400 Lockheed Martin Corp......... 347,600
6,800 Loral Corp................... 240,550
3,000 Sunstrand Corp............... 211,125
-------------
989,275
-------------
CHEMICALS (0.8%)
2,500 Monsanto Co.................. 306,250
-------------
COMMUNICATIONS - EQUIPMENT & SOFTWARE (1.1%)
3,000 Ascend Communications,
Inc.*...................... 243,375
2,500 Cisco Systems, Inc.*......... 186,563
-------------
429,938
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
COMMUNICATIONS - SOFTWARE & SERVICES (0.5%)
3,000 America Online, Inc.*........ $ 111,750
2,100 CKS Group, Inc.*............. 81,375
-------------
193,125
-------------
COMMUNICATIONS PRODUCTS & SERVICES (1.3%)
1,500 Adobe Systems, Inc........... 93,000
1,300 Intuit, Inc.*................ 101,400
2,000 Spyglass, Inc.*.............. 112,000
4,500 Sun Microsystems, Inc.*...... 205,313
-------------
511,713
-------------
COMPUTER EQUIPMENT (0.3%)
3,000 Diamond Multimedia Systems
Inc.*...................... 107,625
-------------
COMPUTER SERVICES (1.0%)
2,800 Computer Sciences Corp.*..... 196,700
2,860 First Data Corp.............. 191,263
-------------
387,963
-------------
COMPUTER SOFTWARE (0.7%)
500 Macromedia, Inc.*............ 25,938
3,000 Medic Computer Systems,
Inc.*...................... 180,750
1,000 PeopleSoft, Inc.*............ 42,500
-------------
249,188
-------------
CONSUMER BUSINESS SERVICES (2.6%)
6,000 Accustaff, Inc.*............. 259,500
4,000 Alternative Resources
Corp.*..................... 118,000
2,500 Automatic Data Processing,
Inc........................ 185,625
2,000 DST Systems, Inc.*........... 57,000
4,000 General Motors Corp. (Class
E)......................... 208,000
3,000 Reuters Holdings PLC (ADR)
(United Kingdom)........... 165,750
-------------
993,875
-------------
CONSUMER PRODUCTS (7.5%)
3,500 Clorox Co.................... 250,688
4,000 Coca Cola Co................. 297,000
11,000 Coca-Cola Enterprises,
Inc........................ 294,250
9,000 Estee Lauder Companies (Class
A)*........................ 313,875
9,000 Interstate Bakeries Corp..... 201,375
3,000 Kimberly-Clark Corp.......... 248,250
4,000 Mondavi (Robert) Corp. (The)
(Class A)*................. 110,000
3,500 Procter & Gamble Co.......... 290,500
8,000 Ralston-Ralston Purina
Group...................... 498,999
6,000 Sara Lee Corp................ 191,250
6,000 Sysco Corp................... 195,000
-------------
2,891,187
-------------
</TABLE>
<PAGE>
AMERICAN VALUE
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
CONSUMER PRODUCTS & SERVICES (1.9%)
2,000 Duracell International,
Inc........................ $ 103,500
3,000 Luxottica Group SpA (ADR)
(Italy).................... 175,500
3,000 Oakley, Inc.*................ 102,000
8,000 Service Corp.
International.............. 352,000
-------------
733,000
-------------
DRUGS (4.9%)
4,000 American Home Products
Corp.*..................... 388,000
5,000 Bristol-Myers Squibb Co...... 429,375
9,000 Pfizer, Inc.................. 566,999
7,000 SmithKline Beecham PLC (ADR)
(United Kingdom)........... 388,500
2,000 Teva Pharmaceutical
Industries Ltd. (ADR)
(Israel)................... 92,500
-------------
1,865,374
-------------
ENERGY (1.2%)
4,000 Apache Corp.................. 118,000
7,000 Enron Corp................... 266,875
3,000 Enron Oil & Gas Co........... 72,000
-------------
456,875
-------------
ENTERTAINMENT (2.3%)
7,400 C U C International, Inc.*... 252,525
2,000 Extended Stay America,
Inc.*...................... 53,500
3,000 Scholastic Corp.*............ 233,250
6,000 Walt Disney Co............... 354,000
-------------
893,275
-------------
FINANCIAL - MISCELLANEOUS (5.9%)
4,000 Ahmanson (H.F.) & Co......... 106,000
9,000 Bear Stearns Companies,
Inc........................ 178,875
8,000 Countrywide Credit
Industries, Inc............ 174,000
5,000 Federal Home Loan Mortgage
Corp....................... 417,500
4,250 Federal National Mortgage
Association................ 527,530
3,900 Golden West Financial
Corp....................... 215,475
3,000 Green Tree Financial Corp.... 79,125
4,500 Merrill Lynch & Co., Inc..... 229,500
2,000 MGIC Investment Corp......... 108,500
3,000 Morgan Stanley Group, Inc.... 241,875
-------------
2,278,380
-------------
HEALTH MAINTENANCE ORGANIZATIONS (3.4%)
11,000 Healthsource, Inc.*.......... 396,000
4,500 Pacificare Health Systems,
Inc.*...................... 391,500
3,500 U.S. Healthcare, Inc......... 162,313
5,500 United Healthcare Corp....... 360,250
-------------
1,310,063
-------------
HEALTHCARE - DRUGS (1.3%)
6,000 Lilly (Eli) & Co............. 337,500
4,000 Pharmacia & Upjohn, Inc...... 155,000
-------------
492,500
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
HEALTHCARE PRODUCTS & SERVICES (2.1%)
4,700 HBO & Co..................... $ 358,375
3,000 Health Management Associates,
Inc. (Class A)*............ 78,375
3,000 Medaphis Corp.*.............. 111,000
4,500 Shared Medical Systems
Corp....................... 243,000
-------------
790,750
-------------
HOME BUILDING (0.6%)
11,250 Clayton Homes, Inc........... 240,469
-------------
HOSPITAL MANAGEMENT & HEALTH MAINTENANCE
ORGANIZATIONS (0.4%)
4,000 Compdent Corporation*........ 166,000
-------------
HOUSING RELATED (1.3%)
6,000 American Standard
Companies*................. 168,000
4,000 Lennar Corp.................. 100,500
5,600 Oakwood Homes Corp........... 214,900
-------------
483,400
-------------
INSURANCE (7.6%)
2,000 Ace Ltd...................... 79,500
4,000 Aetna Life & Casualty Co..... 277,000
2,500 Chubb Corp................... 241,875
4,000 CIGNA Corp................... 412,999
2,000 CNA Financial Corp.*......... 227,000
4,000 Exel, Ltd.................... 244,000
2,000 General Re Corp.............. 310,000
14,000 Prudential Reinsurance
Holdings, Inc.............. 327,250
4,000 SunAmerica Inc............... 190,000
5,500 Travelers Group, Inc......... 345,813
5,000 Vesta Insurance Group,
Inc........................ 272,500
-------------
2,927,937
-------------
MEDIA GROUP (1.7%)
6,400 Clear Channel Communications,
Inc.*...................... 282,400
10,000 Infinity Broadcasting
Corp.*..................... 372,500
-------------
654,900
-------------
MEDICAL PRODUCTS & SUPPLIES (4.6%)
3,000 Becton, Dickinson & Co....... 225,000
4,000 Boston Scientific Corp.*..... 196,000
9,000 Guidant Corp................. 380,250
5,000 IDEXX Laboratories, Inc.*.... 232,500
4,000 Medtronic Inc................ 223,500
5,700 St. Jude Medical, Inc.*...... 243,675
6,000 Target Therapeutics, Inc.*... 256,500
-------------
1,757,425
-------------
MEDICAL SERVICES (0.2%)
3,000 Healthsouth Corp.*........... 87,375
-------------
MISCELLANEOUS (0.9%)
6,300 Thermo Electron Corp.*....... 327,600
-------------
MULTI-LINE INSURANCE (0.9%)
3,700 American International Group,
Inc........................ 342,250
-------------
</TABLE>
<PAGE>
AMERICAN VALUE
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
PHARMACEUTICALS (1.7%)
<C> <S> <C>
3,100 Johnson & Johnson............ $ 265,438
6,000 Merck & Co., Inc............. 394,500
-------------
659,938
-------------
RESTAURANTS (0.9%)
5,000 Boston Chicken, Inc.*........ 160,000
8,000 Starbucks Corp.*............. 167,000
-------------
327,000
-------------
RETAIL (4.1%)
6,000 Eckerd Corp.*................ 267,750
10,000 General Nutrition Companies,
Inc.*...................... 230,000
8,500 Gucci Group NV (ADR)
(Italy)*................... 330,438
3,000 Safeway, Inc.*............... 154,500
5,000 St. John Knits, Inc.......... 265,625
4,000 Tiffany & Co................. 201,500
4,000 Walgreen Co.................. 119,500
-------------
1,569,313
-------------
RETAIL - SPECIALTY (0.1%)
2,000 Staples, Inc.*............... 48,750
-------------
SHOES (0.7%)
8,000 Wolverine World Wide, Inc.... 252,000
-------------
TELECOMMUNICATION EQUIPMENT (0.7%)
6,400 Picturetel Corp.*............ 274,400
-------------
TELECOMMUNICATIONS (2.9%)
4,000 ADC Telecommunications,
Inc.*...................... 145,000
4,000 AT&T Corp.................... 259,000
2,500 Cascade Communications
Corp.*..................... 212,500
1,500 Shiva Corp.*................. 109,125
2,000 Stratacom, Inc.*............. 146,000
6,900 WorldCom Inc.*............... 243,225
-------------
1,114,850
-------------
TRANSPORTATION (0.5%)
2,600 Burlington Northern Santa Fe
Corp....................... 202,800
-------------
UTILITIES - ELECTRIC (0.8%)
5,000 Portland General Corp........ 145,625
5,000 Scana Corp................... 143,125
-------------
288,750
-------------
TOTAL COMMON STOCKS
(IDENTIFIED COST
$30,209,869)............... 32,630,894
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN
THOUSANDS) VALUE
- ----------- -------------
U.S. GOVERNMENT OBLIGATIONS (12.3%)
<C> <S> <C>
$ 2,175 U.S. Treasury Note Principal
Strip 0.00% due 05/15/18... $ 538,061
2,900 U.S. Treasury Note Principal
Strip 0.00% due 08/15/18... 706,249
1,880 U.S. Treasury Note Principal
Strip 0.00% due 02/15/19... 443,777
4,840 U.S. Treasury Note Principal
Strip 0.00% due 05/15/19... 1,124,892
5,540 U.S. Treasury Note Principal
Strip 0.00% due 08/15/19... 1,267,544
2,820 U.S. Treasury Note Principal
Strip 0.00% due 11/15/19... 635,274
-------------
TOTAL U.S. GOVERNMENT
OBLIGATIONS (IDENTIFIED
COST $4,254,615)........... 4,715,797
-------------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
SHORT-TERM INVESTMENT (A) (3.7%)
U.S. GOVERNMENT AGENCY
1,400 Federal Home Loan Mortgage
Corp. 5.75% due 01/02/96
(Amortized Cost
$1,399,776)................ 1,399,776
-------------
TOTAL INVESTMENTS (IDENTIFIED
COST
$35,864,260) (B)............ 101.3% 38,746,467
LIABILITIES IN EXCESS OF CASH
AND OTHER ASSETS............ (1.3) (511,681)
---------- -------------
NET ASSETS.................... 100.0% $ 38,234,786
---------- -------------
---------- -------------
<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 APPROXIMATES IDENTIFIED
COST.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
COMMON AND PREFERRED STOCKS (87.8%)
ARGENTINA (0.5%)
AUTOMOTIVE
4,000 Ciadea S.A.*................. $ 20,517
-------------
FOODS & BEVERAGES
2,800 Quilmes Industrial S.A....... 43,680
-------------
TELECOMMUNICATIONS
800 Telefonica de Argentina S.A.
(ADR)...................... 21,800
-------------
TOTAL ARGENTINA.............. 85,997
-------------
BRAZIL (0.5%)
SUPERMARKETS
5,000 Companhia Brasileiras de
Distribuicao (ADR) - 144A*
**......................... 51,250
-------------
TELECOMMUNICATIONS
300 Telecomunicacoes Brasileiras
S.A. (ADR)................. 14,213
-------------
UTILITIES - ELECTRIC
550 Companhia Energetica de Minas
Gerais (ADR) - 144A* **.... 12,100
-------------
TOTAL BRAZIL................. 77,563
-------------
CANADA (0.5%)
METALS & MINING
1,400 Barrick Gold Corp............ 36,964
-------------
OIL
1,500 Suncor, Inc.................. 47,030
-------------
TOTAL CANADA................. 83,994
-------------
CHILE (0.9%)
BANKS
3,000 Banco de A. Edwards (ADR)*... 58,875
-------------
CONGLOMERATES
2,200 Madeco S.A. (ADR)............ 59,400
-------------
FOODS & BEVERAGES
500 Embotelladora Andina S.A.
(ADR)...................... 18,063
-------------
TELECOMMUNICATIONS
300 Compania de
Telecommunicaciones de
Chile S.A. (ADR)........... 24,863
-------------
TOTAL CHILE.................. 161,201
-------------
FRANCE (2.5%)
APPAREL
200 Hermes International......... 37,509
-------------
BANKING
700 Credit Commercial de
France..................... 35,660
350 Credit Local de France....... 27,969
300 Societe Generale............. 36,999
-------------
100,628
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
BUILDING MATERIALS
300 Compagnie de Saint-Gobain.... $ 33,146
-------------
BUSINESS & PUBLIC SERVICES
200 Compagnie Generale des
Eaux....................... 19,933
-------------
ENGINEERING & CONSTRUCTION
200 Bouygues S.A................. 20,112
-------------
FOODS & BEVERAGES
160 LVMH Moet-Hennessy Louis
Vuitton.................... 33,269
-------------
HEALTH & PERSONAL CARE
100 L'Oreal...................... 26,725
-------------
INSURANCE
400 AXA.......................... 26,909
-------------
MACHINERY - DIVERSIFIED
110 Sidel S.A.................... 34,219
-------------
PHARMACEUTICALS
550 Sanofi S.A................... 35,194
-------------
RETAIL
50 Carrefour Supermarche........ 30,282
180 Castorama Dubois............. 29,428
-------------
59,710
-------------
TOTAL FRANCE................. 427,354
-------------
GERMANY (2.0%)
AUTO RELATED
300 Kiekert AG*.................. 17,781
-------------
AUTOMOTIVE
30 Bayerische Motoren Werke
(BMW) AG................... 15,339
100 Volkswagen AG................ 33,363
-------------
48,702
-------------
BUSINESS SERVICES
600 SAP AG (Pref.)............... 90,574
-------------
CHEMICALS
140 Bayer AG..................... 36,863
-------------
MACHINERY - DIVERSIFIED
200 Jungheinrich AG (Pref.)...... 28,383
200 Mannesmann AG................ 63,541
-------------
91,924
-------------
PHARMACEUTICALS
100 Gehe AG...................... 50,783
-------------
TOTAL GERMANY................ 336,627
-------------
HONG KONG (4.2%)
BANKING
10,000 Guoco Group Ltd.............. 48,241
6,000 Hang Seng Bank Ltd........... 53,738
5,270 HSBC Holdings PLC............ 79,745
-------------
181,724
-------------
</TABLE>
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
BUSINESS SERVICES
40,000 First Pacific Co. Ltd........ $ 44,490
-------------
CONGLOMERATES
35,000 Hutchison Whampoa, Ltd....... 213,204
6,500 Swire Pacific Ltd. (Class
A)......................... 50,440
-------------
263,644
-------------
HOTELS
14,000 Harbour Centre Development... 16,205
-------------
REAL ESTATE
17,000 Cheung Kong (Holdings)
Ltd........................ 103,557
11,000 New World Development Co.
Ltd........................ 47,944
6,000 Sun Hung Kai Properties
Ltd........................ 49,082
-------------
200,583
-------------
TRANSPORTATION
10,000 Cathay Pacific Airways....... 15,261
-------------
TOTAL HONG KONG.............. 721,907
-------------
INDONESIA (0.3%)
TELECOMMUNICATIONS
1,500 PT Indosat (ADR)............. 54,750
-------------
ITALY (1.3%)
CONSUMER PRODUCTS
2,000 De Rigo SpA (ADR)*........... 45,500
1,000 Gucci Group NV (ADR)*........ 38,875
-------------
84,375
-------------
OIL & GAS
2,500 Ente Nazionale Idrocarburi
SpA
(ADR)*..................... 85,625
-------------
TELECOMMUNICATIONS
15,000 Telecom Italia Mobile SpA*... 26,409
15,000 Telecom Italia SpA........... 23,339
-------------
49,748
-------------
TOTAL ITALY.................. 219,748
-------------
JAPAN (26.4%)
AUTO PARTS
1,000 Autobacs Seven Co............ 83,019
-------------
AUTOMOTIVE
11,000 Mitsubishi Motors Corp....... 89,511
6,000 Suzuki Motor Co. Ltd......... 66,763
-------------
156,274
-------------
BANKING
10,000 Asahi Bank, Ltd.............. 125,785
5,000 Sanwa Bank, Ltd.............. 101,597
5,000 Sumitomo Bank................ 105,951
4,000 Sumitomo Trust & Banking..... 56,507
-------------
389,840
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
BUILDING & CONSTRUCTION
1,000 Chudenko Corp................ $ 34,253
1,000 Mitsui Home Co., Ltd......... 15,965
10,000 Nishimatsu Construction
Co......................... 117,077
7,000 Sekisui House Ltd............ 89,405
-------------
256,700
-------------
BUILDING MATERIALS
3,000 Tostem Corp.................. 99,565
-------------
BUSINESS SERVICES
5,000 Dai Nippon Printing Co.
Ltd........................ 84,664
2,000 Secom Co..................... 138,944
-------------
223,608
-------------
CHEMICALS
7,000 Asahi Chemical Industry Co.
Ltd........................ 53,508
9,000 Kaneka Corp.................. 56,691
10,000 Nippon Shokubai K.K. Co...... 97,726
2,000 Shin-Etsu Chemical Co........ 41,413
-------------
249,338
-------------
CONSUMER PRODUCTS
6,000 Kao Corp..................... 74,311
-------------
ELECTRONICS
1,000 Alpine Electronics Inc....... 16,836
5,000 Canon, Inc................... 90,469
5,000 Hitachi, Ltd................. 50,314
4,000 Matsushita Electric
Industrial Co. Ltd......... 65,022
1,000 Mitsui High-Tec.............. 26,125
1,000 Mitsumi Electric Co. Ltd..... 24,093
7,000 NEC Corp..................... 85,341
2,000 Nitto Denko Corp............. 30,963
-------------
389,163
-------------
ELECTRONICS - SEMICONDUCTORS/COMPONENTS
1,000 Kyocera Corp................. 74,214
2,000 Rohm Co., Ltd................ 112,821
4,000 Ryoyo Electro Corp........... 91,340
-------------
278,375
-------------
FINANCIAL SERVICES
3,000 Nomura Securities Co.,
Ltd........................ 65,312
3,000 Orix Corp.................... 123,366
2,000 Promise Co., Ltd............. 96,178
-------------
284,856
-------------
FOOD PROCESSING
1,000 Stamina Foods................ 13,643
-------------
HEALTH & PERSONAL CARE
1,000 Yamanouchi Pharmaceutical
Co......................... 21,480
-------------
</TABLE>
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
INSURANCE
5,000 Dai-Tokyo Fire & Marine
Insurance Co. Ltd.......... $ 38,123
7,000 Tokio Marine & Fire Insurance
Co......................... 91,437
-------------
129,560
-------------
INTERNATIONAL TRADE
5,000 Mitsubishi Corp.............. 61,442
13,000 Mitsui & Co.................. 113,962
-------------
175,404
-------------
MACHINE TOOLS
7,000 Asahi Diamond Industries Co.
Ltd........................ 98,210
-------------
MACHINERY
1,000 Aichi Corp................... 8,863
5,000 Daifuku Co. Ltd.............. 70,634
1,000 Fanuc, Ltd................... 43,251
9,000 Komatsu Ltd.................. 74,020
1,000 Mabuchi Motor Co............. 62,119
5,000 Minebea Co., Ltd............. 41,896
11,000 Mitsubishi Heavy Industries,
Ltd........................ 87,596
1,000 Nippon Thompson Co........... 8,805
1,000 Nitto Electric Works......... 14,320
7,000 NSK Ltd...................... 50,798
-------------
462,302
-------------
MANUFACTURING
1,000 Bridgestone Metalpha Corp.... 11,321
9,000 Hitachi Cable................ 63,657
2,000 Nippon Electric Glass Co.,
Ltd........................ 37,929
-------------
112,907
-------------
METALS & MINING
25,000 Nippon Steel Co.............. 85,631
-------------
NATURAL GAS
11,000 Osaka Gas Co................. 37,997
-------------
PHARMACEUTICALS
6,000 Eisai Co. Ltd................ 105,080
-------------
REAL ESTATE
1,000 Cesar Co..................... 7,828
4,000 Mitsui Fudosan Co............ 49,153
10,000 Sumitomo Realty &
Development................ 70,634
-------------
127,615
-------------
RETAIL
1,000 Honma Golf Co. Ltd.*......... 22,835
1,000 Ito-Yokado Co. Ltd........... 61,538
4,000 Izumiya Co. Ltd.............. 64,635
1,000 Xebio Co. Ltd................ 35,317
-------------
184,325
-------------
TELECOMMUNICATIONS
10 Nippon Telegraph & Telephone
(ADR)...................... 80,793
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
TEXTILES - APPAREL
5,000 Kuraray Co. Ltd.............. $ 54,669
4,000 Tokyo Style.................. 68,505
-------------
123,174
-------------
TRANSPORTATION
12 East Japan Railway Co........ 58,287
12,000 Yamato Transport Co. Ltd..... 142,815
-------------
201,102
-------------
UTILITIES - ELECTRIC
3,020 Kyushu Electric Power........ 71,299
-------------
TOTAL JAPAN.................. 4,515,571
-------------
MALAYSIA (1.8%)
BANKING
11,000 DCB Holdings Berhad.......... 32,066
4,000 Malayan Banking Berhad....... 33,721
17,000 Public Bank Berhad........... 32,547
-------------
98,334
-------------
BUILDING & CONSTRUCTION
5,000 United Engineers Malaysia
Berhad..................... 31,909
-------------
ENTERTAINMENT
4,000 Genting Berhad............... 33,406
-------------
MACHINERY
6,000 UMW Holdings Berhad.......... 16,072
-------------
NATURAL GAS
10,000 Petronas Gas Berhad*......... 34,075
-------------
TELECOMMUNICATIONS
12,000 Technology Resources
Industries Berhad*......... 35,454
-------------
TOBACCO
15,000 RJ Reynolds Berhad........... 34,568
-------------
UTILITIES - ELECTRIC
8,000 Tenaga Nasional Berhad....... 31,515
-------------
TOTAL MALAYSIA............... 315,333
-------------
MEXICO (0.5%)
BANKING
70,000 Grupo Financiero Bancomer
S.A. de C.V. (B Shares)*... 19,779
-------------
BUILDING & CONSTRUCTION
1,000 Empresas ICA Sociedad
Controladora S.A. de C.V.
(ADR)...................... 10,250
-------------
BUILDING MATERIALS
4,000 Apasco S.A. de C.V........... 16,432
600 Cemex S.A. de C.V. (B
Shares).................... 2,160
-------------
18,592
-------------
METALS & MINING
2,100 Tubos de Acero de Mexico S.A.
(ADR)*..................... 14,700
-------------
RETAIL
15,000 Cifra S.A. de C.V. (C
Shares)*................... 15,234
-------------
TOTAL MEXICO................. 78,555
-------------
</TABLE>
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
NETHERLANDS (0.4%)
INSURANCE
800 Aegon NV..................... $ 35,345
-------------
PUBLISHING
300 Ver Ned Uitgev NV............ 41,126
-------------
TOTAL NETHERLANDS............ 76,471
-------------
SINGAPORE (2.5%)
BANKING
4,500 Development Bank of
Singapore, Ltd............. 56,019
5,000 United Overseas Bank, Ltd.... 48,097
-------------
104,116
-------------
FOODS & BEVERAGES
4,000 Fraser & Neave Ltd........... 50,927
-------------
MACHINERY - DIVERSIFIED
5,000 Keppel Corp., Ltd............ 44,561
-------------
PUBLISHING
4,000 Singapore Press Holdings
Ltd........................ 70,731
-------------
REAL ESTATE
17,000 DBS Land Ltd................. 57,476
9,000 Singapore Land Ltd........... 58,247
-------------
115,723
-------------
TRANSPORTATION
4,000 Singapore Airlines Ltd....... 37,346
-------------
TOTAL SINGAPORE.............. 423,404
-------------
SOUTH KOREA (0.1%)
ELECTRONICS
400 Samsung Electronics Co. (GDS)
- 144A* **................. 24,000
-------------
SPAIN (1.6%)
BANKS
1,600 Banco Bilbao Vizcaya......... 57,491
-------------
ENGINEERING & CONSTRUCTION
5,000 Uralita S.A.................. 45,223
-------------
OIL - FOREIGN
2,000 Repsol S.A................... 65,750
-------------
TELECOMMUNICATIONS
1,300 Telefonica de Espana S.A.
(ADR)...................... 54,438
-------------
UTILITIES - ELECTRIC
1,000 Empresa Nacional de
Electricidad S.A........... 56,487
-------------
TOTAL SPAIN.................. 279,389
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
SWEDEN (0.7%)
AUTOMOTIVE
700 Autoliv AB................... $ 40,891
-------------
MACHINERY
2,300 Kalmar Industries AB......... 38,091
-------------
TELECOMMUNICATION EQUIPMENT
2,200 Ericsson (L.M.) Telephone Co.
AB (Series "B" Free)....... 43,059
-------------
TOTAL SWEDEN................. 122,041
-------------
SWITZERLAND (0.5%)
CONGLOMERATES
20 BBC Brown Boveri AG.......... 23,234
-------------
PHARMACEUTICALS
30 Ciba-Geigy AG................ 26,398
30 Sandoz AG (Series B)......... 27,620
-------------
54,018
-------------
TOTAL SWITZERLAND............ 77,252
-------------
UNITED KINGDOM (5.7%)
AEROSPACE & DEFENSE
2,315 British Aerospace PLC........ 28,555
2,600 Smiths Industries PLC........ 25,631
-------------
54,186
-------------
AUTO PARTS
5,535 BBA Group PLC................ 24,837
-------------
BANKING
2,800 National Westminster Bank
PLC........................ 28,145
-------------
BEVERAGES
2,300 Bass PLC..................... 25,615
3,100 Guinness PLC................. 22,752
-------------
48,367
-------------
BROADCAST MEDIA
3,300 Flextech PLC*................ 23,887
8,500 General Cable PLC*........... 25,296
-------------
49,183
-------------
BUILDING & CONSTRUCTION
5,267 Blue Circle Industries PLC... 27,961
-------------
BUSINESS SERVICES
3,400 Reuters Holdings PLC......... 31,067
1,100 Securicor Group PLC (A
Shares).................... 15,089
-------------
46,156
-------------
CHEMICALS
8,000 Albright & Wilson PLC........ 19,592
-------------
CONGLOMERATES
3,600 BTR PLC...................... 18,358
-------------
CONSUMER PRODUCTS
3,400 Vendome Luxury Group PLC
(Units)++.................. 30,935
-------------
FOOD PROCESSING
4,200 Associated British Foods
PLC........................ 24,022
-------------
</TABLE>
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
INSURANCE
2,400 General Accident PLC......... $ 24,199
4,869 Prudential Corp. PLC......... 31,282
4,700 Royal Insurance Holdings
PLC........................ 27,792
-------------
83,273
-------------
LEISURE
3,500 Granada Group PLC............ 34,991
7,500 Tomkins PLC.................. 32,724
-------------
67,715
-------------
MANUFACTURING
2,500 IMI PLC...................... 12,729
-------------
METALS & MINING
2,200 Antofagasta Holdings PLC..... 9,719
-------------
NATURAL GAS
4,000 British Gas PLC.............. 15,748
-------------
OIL
13,500 British Petroleum Co. PLC.... 112,681
-------------
PHARMACEUTICALS
4,100 Glaxo Wellcome PLC........... 58,148
6,500 Medeva PLC................... 27,203
-------------
85,351
-------------
RETAIL
3,600 Boots Co. PLC................ 32,671
5,500 Next PLC..................... 38,874
-------------
71,545
-------------
TELECOMMUNICATIONS
11,300 British Telecommunications
PLC........................ 62,003
10,000 Vodafone Group PLC........... 35,805
-------------
97,808
-------------
TRANSPORTATION
2,500 British Airways PLC.......... 18,058
-------------
UTILITIES
2,700 Thames Water PLC............. 23,499
-------------
TOTAL UNITED KINGDOM......... 969,868
-------------
UNITED STATES (34.8%)
ALUMINUM
1,650 Aluminum Co. of America...... 87,244
-------------
AUTOMOTIVE
1,050 Chrysler Corp................ 58,144
1,200 General Motors Corp.......... 63,450
-------------
121,594
-------------
BANKS
1,600 BankAmerica Corp............. 103,600
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
BANKS - MONEY CENTER
980 Chemical Banking Corp........ $ 57,575
830 Citicorp..................... 55,818
-------------
113,393
-------------
BANKS - THRIFT INSTITUTIONS
3,900 California Federal Bank*..... 61,425
-------------
BEVERAGES - SOFT DRINKS
2,000 PepsiCo Inc.................. 111,750
-------------
BIOTECHNOLOGY
4,000 Autoimmune, Inc.*............ 44,000
1,100 Biochem Pharma, Inc.*........ 44,000
1,000 Chiron Corp.*................ 110,500
2,300 Regeneron Pharmaceutical,
Inc.*...................... 29,038
-------------
227,538
-------------
BROKERAGE
1,050 Merrill Lynch & Co., Inc..... 53,550
680 Morgan Stanley Group, Inc.... 54,825
-------------
108,375
-------------
BUSINESS SYSTEMS
1,200 General Motors Corp. (Class
E)......................... 62,400
-------------
CHEMICALS
1,500 Dow Chemical Co.............. 105,563
1,300 Georgia Gulf Corp............ 39,975
900 Monsanto Co.................. 110,250
1,700 Praxair, Inc................. 57,163
2,700 Williams Companies, Inc...... 118,463
-------------
431,414
-------------
COMMUNICATIONS - EQUIPMENT & SOFTWARE
1,150 Cisco Systems, Inc.*......... 85,819
-------------
COMPUTER SOFTWARE
1,590 Computer Associates
International, Inc......... 90,431
-------------
COMPUTERS - PERIPHERAL EQUIPMENT
1,100 Seagate Technology, Inc.*.... 52,250
-------------
COMPUTERS - SYSTEMS
1,050 Hewlett-Packard Co........... 87,938
600 International Business
Machines Corp.............. 55,050
1,600 Silicon Graphics, Inc.*...... 44,000
-------------
186,988
-------------
CONSUMER PRODUCTS
1,200 Tambrands, Inc.*............. 57,300
-------------
DRUGS
3,100 Abbott Laboratories.......... 129,424
660 American Home Products
Corp....................... 64,020
-------------
193,444
-------------
ELECTRONIC COMPONENTS
1,200 Komag Inc.*.................. 54,750
-------------
</TABLE>
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
ELECTRONICS - SEMICONDUCTORS/COMPONENTS
1,500 Intel Corp................... $ 85,125
1,500 Motorola, Inc................ 85,500
1,600 Texas Instruments Inc........ 82,800
-------------
253,425
-------------
FINANCE - CONSUMER
1,940 Beneficial Corp.............. 90,453
-------------
FINANCIAL - MISCELLANEOUS
1,650 Federal Home Loan Mortgage
Corp....................... 137,774
1,050 Federal National Mortgage
Association................ 130,331
1,100 Golden West Financial
Corp....................... 60,775
-------------
328,880
-------------
FINANCIAL SERVICES
1,500 SunAmerica Inc............... 71,250
960 Travelers Group, Inc......... 60,360
-------------
131,610
-------------
FOODS & BEVERAGES
1,130 General Mills, Inc........... 65,258
-------------
HOSPITAL MANAGEMENT
1,450 U.S. Healthcare, Inc......... 67,244
-------------
HOUSEHOLD APPLIANCES
1,500 Whirlpool Corp............... 79,875
-------------
HOUSEHOLD PRODUCTS
1,350 Colgate-Palmolive Co......... 94,838
1,100 Procter & Gamble Co.......... 91,300
-------------
186,138
-------------
INSURANCE
900 American International Group,
Inc........................ 83,250
540 CIGNA Corp................... 55,755
-------------
139,005
-------------
MEDICAL PRODUCTS & SUPPLIES
2,000 Medtronic, Inc............... 111,750
-------------
METALS & BASIC MATERIALS
1,700 Phelps Dodge Corp............ 105,825
-------------
NATURAL GAS
3,000 Pacific Enterprises.......... 84,750
-------------
OFFICE EQUIPMENT
1,900 Alco Standard Corp........... 86,688
-------------
OIL DRILLING & SERVICES
1,600 Schlumberger Ltd. (ADR)
(Netherlands Antilles)..... 110,800
-------------
OIL INTEGRATED - INTERNATIONAL
1,150 Chevron Corp................. 60,375
780 Exxon Corp................... 62,498
1,000 Mobil Corp................... 111,999
870 Texaco, Inc.................. 68,295
-------------
303,167
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
PHARMACEUTICALS
1,300 Johnson & Johnson............ $ 111,313
-------------
RETAIL - DEPARTMENT STORES
1,350 Dayton-Hudson Corp........... 101,250
-------------
RETAIL - SPECIALTY
3,000 Bed, Bath & Beyond, Inc.*.... 115,874
5,000 Price/Costco, Inc.*.......... 76,250
-------------
192,124
-------------
RETAIL - SPECIALTY APPAREL
1,300 Gap, Inc..................... 54,600
-------------
SHOES
950 Nike, Inc.................... 66,144
-------------
STEEL & IRON
5,400 Bethlehem Steel Corp.*....... 75,600
-------------
TELECOMMUNICATIONS
1,550 Bell Atlantic Corp........... 103,656
1,300 GTE Corp..................... 57,200
3,500 Pacific Telesis Group........ 117,687
-------------
278,543
-------------
TOBACCO
7,000 Dimon, Inc................... 123,375
-------------
UTILITIES - ELECTRIC
3,300 Baltimore Gas & Electric
Co......................... 94,050
3,000 CINergy Corp................. 91,875
3,000 Consolidated Edison Co. of
New York, Inc.............. 96,000
2,500 Florida Progress Corp........ 88,438
2,700 General Public Utilities
Corp....................... 91,800
3,700 Houston Industries, Inc...... 89,725
3,500 Kansas City Power & Light
Co......................... 91,438
-------------
643,326
-------------
TOTAL UNITED STATES.......... 5,940,858
-------------
VENEZUELA (0.1%)
CHEMICALS
2,000 Corimon S.A.C.A. (ADR)*...... 7,500
-------------
TOTAL COMMON AND PREFERRED
STOCKS (IDENTIFIED COST
$14,413,833)............... 14,999,383
-------------
</TABLE>
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN
THOUSANDS)
- -----------
SHORT-TERM INVESTMENT (A) (11.3%)
<C> <S> <C> <S> <C>
U.S. GOVERNMENT AGENCY
$ 1,930 Federal Home Loan Mortgage Corp. 5.75% due
01/02/96 (Amortized Cost $1,929,692)....... $ 1,929,692
------------
TOTAL INVESTMENTS (IDENTIFIED COST
$16,343,525) (B)...................... 99.1 % 16,929,075
CASH AND OTHER ASSETS IN EXCESS OF
LIABILITIES........................... 0.9 145,228
------ -----------
NET ASSETS.............................. 100.0 % $17,074,303
------ -----------
------ -----------
<FN>
- ----------------
ADR AMERICAN DEPOSITORY RECEIPT.
GDS GLOBAL DEPOSITORY SHARES.
* NON-INCOME PRODUCING SECURITY.
** RESALE IS RESTRICTED TO QUALIFIED INSTITUTIONAL INVESTORS.
++ CONSISTS OF MORE THAN ONE CLASS OF SECURITIES TRADED TOGETHER AS A UNIT;
GENERALLY STOCKS WITH ATTACHED WARRANTS.
(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 APPROXIMATES IDENTIFIED
COST.
</TABLE>
FORWARD FOREIGN CURRENCY CONTRACT OPEN AT DECEMBER 31, 1995:
<TABLE>
<CAPTION>
IN
CONTRACTS EXCHANGE DELIVERY UNREALIZED
TO DELIVER FOR DATE APPRECIATION
- ---------- ---------- -------- ------------
<S> <C> <C> <C>
Y 114,654 $ 1,111 01/05/96 $ 2
--
--
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
GLOBAL EQUITY
SUMMARY OF INVESTMENTS
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT OF
INDUSTRY VALUE NET ASSETS
- ---------------------------- ---------- -------------
<S> <C> <C>
Aerospace & Defense......... $ 54,186 0.3%
Aluminum.................... 87,244 0.5
Apparel..................... 37,509 0.2
Auto Parts.................. 107,856 0.6
Auto Related................ 17,781 0.1
Automotive.................. 387,978 2.3
Banking..................... 922,566 5.4
Banks....................... 219,966 1.3
Banks - Money Center........ 113,393 0.7
Banks - Thrift
Institutions............... 61,425 0.4
Beverages................... 48,367 0.3
Beverages - Soft Drinks..... 111,750 0.7
Biotechnology............... 227,538 1.3
Broadcast Media............. 49,183 0.3
Brokerage................... 108,375 0.6
Building & Construction..... 326,820 1.9
Building Materials.......... 151,303 0.9
Business & Public
Services................... 19,933 0.1
Business Services........... 404,828 2.4
Business Systems............ 62,400 0.4
Chemicals................... 744,707 4.4
Communications - Equipment &
Software................... 85,819 0.5
Computer Software........... 90,431 0.5
Computers - Peripheral
Equipment.................. 52,250 0.3
Computers - Systems......... 186,988 1.1
Conglomerates............... 364,636 2.1
Consumer Products........... 246,921 1.5
Drugs....................... 193,444 1.1
Electronic Components....... 54,750 0.3
Electronics................. 413,163 2.4
Electronics -
Semiconductors/Components... 531,800 3.1
Engineering &
Construction............... 65,335 0.4
Entertainment............... 33,406 0.2
Finance - Consumer.......... 90,453 0.5
Financial - Miscellaneous... 328,880 1.9
Financial Services.......... 416,466 2.4
Food Processing............. 102,923 0.6
Foods & Beverages........... 145,939 0.9
Health & Personal Care...... 48,205 0.3
<CAPTION>
PERCENT OF
INDUSTRY VALUE NET ASSETS
- ---------------------------- ---------- -------------
<S> <C> <C>
Hospital Management......... $ 67,244 0.4%
Hotels...................... 16,205 0.1
Household Appliances........ 79,875 0.5
Household Products.......... 186,138 1.1
Insurance................... 414,092 2.4
International Trade......... 175,404 1.0
Leisure..................... 67,715 0.4
Machine Tools............... 98,210 0.6
Machinery................... 516,465 3.0
Machinery - Diversified..... 170,704 1.0
Manufacturing............... 125,636 0.7
Medical Products &
Supplies................... 111,750 0.7
Metals & Basic Materials.... 105,825 0.6
Metals & Mining............. 147,014 0.9
Natural Gas................. 172,570 1.0
Office Equipment............ 86,688 0.5
Oil......................... 159,711 0.9
Oil & Gas................... 85,625 0.5
Oil - Foreign............... 65,750 0.4
Oil Drilling & Services..... 110,800 0.6
Oil Integrated -
International.............. 303,167 1.8
Pharmaceuticals............. 441,739 2.6
Publishing.................. 111,857 0.7
Real Estate................. 443,921 2.6
Retail...................... 330,814 1.9
Retail - Department
Stores..................... 101,250 0.6
Retail - Specialty.......... 192,124 1.1
Retail - Specialty
Apparel.................... 54,600 0.3
Shoes....................... 66,144 0.4
Steel & Iron................ 75,600 0.4
Supermarkets................ 51,250 0.3
Telecommunication
Equipment.................. 43,059 0.3
Telecommunications.......... 712,410 4.2
Textiles - Apparel.......... 123,174 0.7
Tobacco..................... 157,943 0.9
Transportation.............. 271,767 1.6
U.S. Government Agency...... 1,929,692 11.3
Utilities................... 23,499 0.1
Utilities - Electric........ 814,727 4.8
---------- ---
$16,929,075 99.1%
---------- ---
---------- ---
</TABLE>
- ----------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT OF
TYPE OF INVESTMENT VALUE NET ASSETS
- ------------------------------------------------------------------------------------ ---------- -------------
<S> <C> <C>
Common Stocks....................................................................... $14,880,426 87.1%
Preferred Stocks.................................................................... 118,957 0.7
Short-Term Investment............................................................... 1,929,692 11.3
---------- ---
$16,929,075 99.1%
---------- ---
---------- ---
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DEVELOPING GROWTH
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
COMMON STOCKS (76.7%)
AEROSPACE & DEFENSE (0.4%)
6,400 Base Ten Systems, Inc. (Class
A)*........................ $ 70,400
-------------
BANKS (1.0%)
1,600 Firstar Corp................. 63,400
2,000 TR Financial Corp............ 51,000
2,600 Trustmark Corp............... 57,200
-------------
171,600
-------------
BANKS - COMMERCIAL (0.3%)
1,500 U.S. Bancorp................. 50,250
-------------
BIOTECHNOLOGY (1.9%)
2,700 Cephalon Inc.*............... 110,024
10,400 Creative Biomolecules,
Inc.*...................... 71,500
1,200 Genetics Institute, Inc.*.... 64,200
1,210 Gilead Sciences, Inc.*....... 38,720
4,500 OEC Medical Systems, Inc.*... 43,875
-------------
328,319
-------------
BREWERY (0.3%)
2,500 Boston Beer Company, Inc.*... 59,375
-------------
BROADCAST MEDIA (1.3%)
2,920 Heftel Broadcasting Corp.*... 51,100
2,000 Infinity Broadcasting
Corp.*..................... 74,500
1,200 SFX Broadcasting, Inc. (Class
A)*........................ 35,700
3,500 Tele-Communications, Inc.*... 69,563
-------------
230,863
-------------
BROKERAGE (0.4%)
2,900 Edwards (A.G.), Inc.......... 69,238
-------------
BUILDING MATERIALS (0.3%)
2,000 NCI Building Systems,
Inc.*...................... 48,750
-------------
BUSINESS EQUIPMENT (0.5%)
2,400 Checkpoint Systems, Inc.*.... 89,699
-------------
BUSINESS SERVICES (0.3%)
1,270 Gartner Group Inc. (Class
A)*........................ 60,643
-------------
BUSINESS SYSTEMS (1.0%)
2,620 American Management Systems,
Inc.*...................... 78,273
1,600 DST Systems, Inc.*........... 45,600
1,600 Zebra Technologies Corp.
(Class A)*................. 54,400
-------------
178,273
-------------
COMMERCIAL SERVICES (3.2%)
1,600 Alternative Resources
Corp.*..................... 47,200
1,450 America Online, Inc.*........ 54,013
2,400 APAC Teleservices, Inc.*..... 79,800
2,800 Career Horizons, Inc.*....... 92,399
2,190 Danka Business Systems PLC
(ADR) (United Kingdom)..... 80,755
1,650 Norrell Corp................. 48,469
1,630 On Assignment, Inc.*......... 53,383
6,100 Protection One, Inc.*........ 61,000
1,500 Sitel Corp.*................. 45,375
-------------
562,394
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
COMMUNICATIONS - EQUIPMENT & SOFTWARE (3.2%)
600 3Com Corp.*.................. $ 27,975
1,100 Ascend Communications,
Inc.*...................... 89,237
1,680 Bay Networks, Inc.*.......... 68,880
900 Cabletron Systems, Inc.*..... 72,900
905 Cisco Systems, Inc.*......... 67,536
1,620 Madge Networks NV
(Netherlands)* ............ 71,888
1,000 Newbridge Networks Corp.*.... 41,375
1,220 Premisys Communications,
Inc.*...................... 68,320
600 Stratacom, Inc............... 43,800
-------------
551,911
-------------
COMMUNICATIONS - EQUIPMENT/MANUFACTURERS
(2.2%)
1,800 Adaptec, Inc.*............... 73,574
1,690 ADC Telecommunictions,
Inc.*...................... 61,263
1,500 Andrew Corp.*................ 57,375
4,970 Boston Technology, Inc.*..... 63,368
3,200 Comverse Technology, Inc.*... 64,000
660 U.S. Robotics Corp.*......... 57,750
-------------
377,330
-------------
COMPUTER EQUIPMENT (1.0%)
2,500 3D Systems Corp.*............ 59,375
2,300 International Rectifier
Corp.*..................... 57,500
2,100 Storage Technology Corp.*.... 50,138
-------------
167,013
-------------
COMPUTER SOFTWARE (7.1%)
1,100 Adobe Systems, Inc........... 68,200
3,000 Borland International,
Inc.*...................... 49,500
1,500 Business Objects S.A. (ADR)
(France)*.................. 72,000
3,150 Cheyenne Software, Inc.*..... 82,293
1,300 Ciber, Inc.*................. 29,900
2,400 Computron Software, Inc.*.... 42,600
4,800 Consilium, Inc.*............. 57,000
2,000 Dialogic Corp.*.............. 77,000
2,400 Discreet Logic, Inc.*........ 60,000
2,000 FTP Software, Inc.*.......... 58,000
1,300 Fulcrum Technologies,
Inc.*...................... 40,300
2,460 Informix Corp.*.............. 73,800
980 Kronos, Inc.*................ 46,550
840 Macromedia, Inc.*............ 43,575
760 Medic Computer Systems,
Inc.*...................... 45,790
4,000 Micrografx, Inc.*............ 52,500
900 Pairgrain Technologies,
Inc.*...................... 48,825
2,410 Progress Software Corp.*..... 89,169
1,640 Project Software &
Development, Inc.*......... 57,195
1,900 Softkey International,
Inc.*...................... 43,463
2,000 Sybase, Inc.*................ 71,500
1,000 Triple P NV (Netherlands)*... 10,000
-------------
1,219,160
-------------
</TABLE>
<PAGE>
DEVELOPING GROWTH
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
COMPUTER SOFTWARE & SERVICES (5.0%)
2,500 Analysts International
Corp....................... $ 75,000
2,600 Checkfree Corp.*............. 55,250
500 Citrix Systems, Inc.*........ 16,250
2,800 Clarify, Inc.*............... 83,300
2,500 Computer Task Group, Inc..... 49,375
5,500 Cooper & Chyan Technology,
Inc.*...................... 85,249
3,750 Dendrite International,
Inc.*...................... 67,500
4,000 Elcom International, Inc.*... 60,000
500 Insignia Solutions, Inc.
(ADR) (United Kingdom)*.... 5,875
1,600 Legato Systems, Inc.*........ 48,800
500 Netscape Communications
Corp.*..................... 69,500
2,700 Novadigm, Inc.*.............. 75,600
400 Objective Systems
Integrators, Inc.*......... 21,800
1,000 Premenos Technology Corp.*... 26,250
3,000 Saville Systems Ireland PLC
(ADR) (Ireland)*........... 42,375
1,200 Sterling Software Inc.*...... 74,850
-------------
856,974
-------------
COMPUTERS (1.3%)
1,000 Micros Systems, Inc.*........ 49,250
1,900 Mylex Corp.*................. 36,338
2,000 NetStar, Inc.*............... 36,500
1,500 Network Appliance, Inc.*..... 59,812
3,000 Xircom, Inc.*................ 37,125
-------------
219,025
-------------
COMPUTERS - PERIPHERAL EQUIPMENT (0.9%)
5,610 Exabyte Corp.*............... 82,045
1,440 Seagate Technology, Inc.*.... 68,400
-------------
150,445
-------------
COMPUTERS - SYSTEMS (0.2%)
1,260 VideoServer, Inc.*........... 39,690
-------------
CONSUMER PRODUCTS (0.2%)
1,600 General Nutrition Companies,
Inc.*...................... 36,800
-------------
COSMETICS (0.5%)
1,000 Estee Lauder Companies (Class
A)*........................ 34,875
2,130 Thermolase Corp.*............ 55,114
-------------
89,989
-------------
DRUGS (0.6%)
1,070 Genzyme Corp. General
Division*.................. 66,340
820 Teva Pharmaceutical
Industries Ltd. (ADR)
(Israel)................... 37,925
-------------
104,265
-------------
ELECTRICAL EQUIPMENT (0.6%)
1,220 Fore Systems, Inc.*.......... 72,438
2,730 Methode Electronics, Inc.
(Class A).................. 38,220
-------------
110,658
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
ELECTRONIC COMPONENTS (1.0%)
1,560 Adtran, Inc.*................ $ 84,629
710 Komag Inc.*.................. 32,394
1,400 Teltrend, Inc.*.............. 65,450
-------------
182,473
-------------
ELECTRONICS (0.3%)
2,000 Franklin Electronic
Publishers, Inc.*.......... 59,000
-------------
ELECTRONICS - SEMICONDUCTORS (1.7%)
2,500 ESS Technology, Inc.*........ 57,500
4,000 Integrated Device Technology,
Inc.*...................... 51,500
1,020 KLA Instruments Corp.*....... 26,520
1,330 LSI Logic Corp.*............. 43,558
2,000 MEMC Electronic Materials,
Inc.*...................... 65,250
1,800 Unitrode Corp.*.............. 50,850
-------------
295,178
-------------
ELECTRONICS - SEMICONDUCTORS/COMPONENTS
(1.0%)
1,320 Altera Corp.*................ 65,505
2,570 Atmel Corp.*................. 56,861
3,000 S3, Inc.*.................... 52,500
-------------
174,866
-------------
ENTERTAINMENT & LEISURE TIME (0.4%)
5,040 Cinar Films Inc. (Class B)
(Canada)*.................. 74,970
-------------
ENTERTAINMENT/GAMING (0.3%)
1,810 Showboat, Inc................ 47,739
-------------
ENVIRONMENTAL CONTROL (0.9%)
1,400 Molten Metal Technology,
Inc.*...................... 45,500
7,500 Philip Environmental, Inc.
(Canada)*.................. 45,938
2,000 U.S.A. Waste Services,
Inc.*...................... 37,750
700 United Waste Systems,
Inc.*...................... 25,725
-------------
154,913
-------------
FINANCIAL SERVICES (0.9%)
350 Aames Financial Corp......... 9,756
4,990 Envoy Corp.*................. 85,454
1,200 First USA, Inc............... 53,250
-------------
148,460
-------------
HARDWARE & TOOLS (0.4%)
1,100 Nucor Corp................... 62,838
-------------
HEALTH EQUIPMENT & SERVICES (0.2%)
650 Nellcor Puritan Bennett,
Inc.*...................... 37,700
-------------
HEALTHCARE PRODUCTS & SERVICES (0.6%)
605 HBO & Co..................... 46,131
1,480 Medaphis Corp.*.............. 54,760
-------------
100,891
-------------
HOME BUILDING (0.4%)
3,250 Clayton Homes, Inc........... 69,469
-------------
</TABLE>
<PAGE>
DEVELOPING GROWTH
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
HOSPITAL MANAGEMENT & HEALTH MAINTENANCE
ORGANIZATIONS (2.4%)
2,000 American Oncology Resources,
Inc.*...................... $ 96,999
2,090 Compdent Corp.*.............. 86,735
2,300 Coventry Corp.*.............. 47,438
1,600 Genesis Health Ventures,
Inc.*...................... 58,400
2,200 Horizon/CMS Healthcare
Corp.*..................... 55,550
1,000 Oxford Health Plans, Inc.*... 73,500
-------------
418,622
-------------
HOSPITAL MANAGEMENT (0.7%)
3,000 Mariner Health Group,
Inc.*...................... 50,250
300 National Surgery Centers,
Inc.*...................... 6,750
2,000 Total Renal Care Holdings,
Inc.*...................... 59,000
-------------
116,000
-------------
HOSPITAL SUPPLY (0.3%)
5,200 North American Biologicals,
Inc.*...................... 55,900
-------------
HOTELS/MOTELS (1.1%)
570 HFS, Inc.*................... 46,598
2,000 La Quinta Inns, Inc.......... 54,750
3,850 Renaissance Hotel Group NV
(Hong Kong)*............... 98,175
-------------
199,523
-------------
HOUSEHOLD PRODUCTS (0.4%)
4,000 Oneida Ltd................... 70,500
-------------
INSURANCE (3.0%)
2,800 American Travellers Corp..... 78,400
1,400 Exel, Ltd.................... 85,400
3,800 Lawyers Title Corp........... 72,675
1,000 Meadowbrook Insurance Group,
Inc.*...................... 33,500
2,300 Stewart Information Services
Corp....................... 49,450
2,920 U.S. Facilities Corp......... 61,320
1,950 United Dental Care, Inc.*.... 80,438
1,200 Vesta Insurance Group,
Inc........................ 65,400
-------------
526,583
-------------
LIFE INSURANCE (0.3%)
2,500 Wellcare Management Group,
Inc. (The)................. 52,500
-------------
MANUFACTURING (0.9%)
2,000 ABC Rail Products Corp.*..... 44,000
2,940 Brady (W.H.) Co. (Class A)... 76,440
2,500 Memtec Ltd. (ADR)
(Australia)................ 40,625
-------------
161,065
-------------
MEDICAL PRODUCTS & SUPPLIES (3.7%)
3,890 Biomet, Inc.*................ 69,048
1,840 Boston Scientific Corp.*..... 90,160
2,000 Empi, Inc.*.................. 51,000
1,500 Guidant Corp................. 63,375
6,500 Meridian Diagnostics, Inc.... 70,688
2,800 Physician Sales & Service,
Inc.*...................... 78,399
1,400 Research Industries Corp.*... 37,450
4,220 Staar Surgical Co.*.......... 44,838
1,050 Summit Technology, Inc.*..... 35,438
2,100 VISX, Inc.*.................. 81,899
-------------
622,295
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
MEDICAL SERVICES (0.6%)
1,510 Healthsouth Corp.*........... $ 43,979
1,500 Omnicare, Inc................ 67,125
-------------
111,104
-------------
METALS & MINING (0.5%)
1,810 Case Corp.................... 82,808
-------------
OFFICE EQUIPMENT & SUPPLIES (1.2%)
2,800 Corporate Express, Inc.*..... 83,650
2,200 Daisytek International
Corp.*..................... 67,650
1,400 Nu-Kote Holdings, Inc. (Class
A)*........................ 23,800
780 Viking Office Products,
Inc.*...................... 36,270
-------------
211,370
-------------
OIL & GAS EXPLORATION - CANADIAN (0.3%)
1,000 Triton Energy Corp........... 57,375
-------------
OIL & GAS PRODUCTS (1.6%)
2,960 Barrett Resources Corp.*..... 86,949
2,370 Chesapeake Energy Corp.*..... 78,803
12,000 Marine Drilling Co., Inc.*... 58,500
1,650 Seitel Inc.*................. 58,369
-------------
282,621
-------------
OIL DRILLING & SERVICES (2.9%)
4,300 Cross Timbers Oil Co......... 75,788
2,000 Global Industries Ltd.*...... 59,500
6,400 Global Marine, Inc.*......... 56,000
1,500 Input/Output, Inc.*.......... 86,625
3,500 Smith International, Inc.*... 82,250
3,000 Stone Energy Corp.*.......... 46,125
1,500 Western Atlas Inc.*.......... 75,750
-------------
482,038
-------------
OIL RELATED - INTERNATIONAL (0.3%)
2,800 Ensco International Inc...... 58,100
-------------
PHARMACEUTICALS (1.7%)
6,300 Alliance Pharmaceutical
Corp.*..................... 85,050
2,670 Dura-Pharmaceuticals,
Inc.*...................... 92,115
1,900 Ivax Corp.................... 54,150
1,800 Sequus Pharmaceuticals,
Inc.*...................... 25,200
820 Watson Pharmaceuticals,
Inc.*...................... 40,078
-------------
296,593
-------------
RESTAURANTS (0.7%)
5,000 BAB Holdings, Inc.*.......... 26,875
2,600 Daka International, Inc.*.... 70,850
1,470 Sonic Corp.*................. 27,195
-------------
124,920
-------------
</TABLE>
<PAGE>
DEVELOPING GROWTH
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
RETAIL (3.3%)
1,020 Barnes & Noble, Inc.*........ $ 29,580
2,020 Bed, Bath & Beyond, Inc.*.... 78,023
2,700 Blyth Industries, Inc.*...... 79,650
5,400 Cole National Corp. (Class
A)*........................ 74,925
370 CompUSA, Inc.*............... 11,516
3,000 Eastbay, Inc.*............... 57,000
1,000 Gadzooks, Inc.*.............. 25,250
1,400 Gucci Group NV (Italy)*...... 54,425
750 Kohl's Corp.*................ 39,375
1,800 Men's Wearhouse, Inc.
(The)*..................... 46,350
1,000 Oakley, Inc.*................ 34,000
2,200 Rexall Sundown, Inc.*........ 48,125
-------------
578,219
-------------
RETAIL - SPECIALTY (0.3%)
2,200 Staples, Inc.*............... 53,625
-------------
SAVINGS & LOAN ASSOCIATIONS (0.4%)
3,255 Downey Financial Corp........ 71,203
-------------
SEMICONDUCTOR EQUIPMENT (1.6%)
1,560 Applied Materials, Inc.*..... 61,230
3,340 Electroglas, Inc.*........... 82,665
3,060 FSI International, Inc.*..... 61,200
1,900 Fusion Systems Corp.*........ 52,250
1,130 Ultratech Stepper, Inc.*..... 28,956
-------------
286,301
-------------
SEMICONDUCTORS (1.5%)
1,500 Aspen Technology, Inc.*...... 50,625
1,600 Lattice Semiconductor
Corp.*..................... 52,200
1,020 Linear Technology Corp....... 40,035
1,800 Microchip Technology,
Inc.*...................... 65,700
1,050 Micron Technology, Inc....... 41,606
1,080 VLSI Technology, Inc.*....... 19,440
-------------
269,606
-------------
SHOES (0.4%)
2,175 Wolverine World Wide, Inc.... 68,513
-------------
TELECOMMUNICATION EQUIPMENT (0.2%)
1,000 Picturetel Corp.*............ 42,875
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
TELECOMMUNICATIONS (3.6%)
2,930 Arch Communications Group,
Inc.*...................... $ 70,320
2,900 Commnet Cellular, Inc.*...... 83,738
1,100 Frontier Corp................ 33,000
580 Glenayre Technologies,
Inc.*...................... 35,960
2,620 Globalstar Telecommunications
Ltd. (Bermuda)*............ 96,939
6,000 Intelcom Group, Inc.*........ 74,250
2,000 LCI International, Inc.*..... 41,000
1,410 Mobilemedia Corp.*........... 31,020
1,400 Paging Network, Inc.*........ 33,250
690 Qualcomm Inc.*............... 29,584
1,100 Tellabs, Inc.*............... 40,700
2,000 Transaction Network Services,
Inc.*...................... 49,000
-------------
618,761
-------------
TEXTILES (0.2%)
2,100 Marisa Christina, Inc.*...... 35,175
-------------
TRANSPORTATION (0.7%)
1,620 Fritz Companies, Inc.*....... 67,230
2,000 Midwest Express Holdings,
Inc.*...................... 55,500
-------------
122,730
-------------
UTILITIES - TELECOMMUNICATIONS (0.1%)
1,000 Intermedia Communications of
Florida, Inc.*............. 17,000
-------------
TOTAL COMMON STOCKS
(IDENTIFIED COST
$11,845,275)............... 13,345,486
-------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
WARRANTS
- -----------
<C> <S> <C>
WARRANTS (0.0%)
COMPUTER SOFTWARE & SERVICES
2,000 New Paradigm Software Co.
(Warrants due 08/11/00)*
(Identified Cost $200)..... 2,250
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN
THOUSANDS)
- -----------
<C> <S> <C>
SHORT-TERM INVESTMENT (A) (24.7%)
U.S. GOVERNMENT AGENCY
$ 4,300 Federal Home Loan Mortgage
Corp. 5.75% due 01/02/96
(Amortized Cost
$4,299,313)................ 4,299,313
-------------
TOTAL INVESTMENTS (IDENTIFIED
COST $16,144,788) (B)....... 101.4% 17,647,049
LIABILITIES IN EXCESS OF CASH
AND OTHER ASSETS............ (1.4) (235,197)
---------- -------------
NET ASSETS.................... 100.0% $ 17,411,852
---------- -------------
---------- -------------
<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 APPROXIMATES IDENTIFIED
COST.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ------------- -----------
<C> <S> <C>
COMMON AND PREFERRED STOCKS,
CONVERTIBLE BONDS AND RIGHTS (82.4%)
ARGENTINA (3.6%)
BANKS
520 Banco de Galicia y Buenos
Aires S.A. (ADR)........ $ 10,660
345 Banco Frances del Rio de
la Plata S.A. (ADR)..... 9,272
-----------
19,932
-----------
FOOD, BEVERAGE, TOBACCO & HOUSEHOLD
PRODUCTS
200 Buenos Aires Embotelladera
S.A. (ADR).............. 4,125
-----------
MULTI-INDUSTRY
8,000 Compania Naviera Perez
Compac
S.A.C.F.I.M.F.A......... 42,396
-----------
OIL & GAS
2,900 Astra Cia Argentina de
Petroleo S.A............ 5,364
2,000 Transportadora de Gas del
Sur S.A. (ADR).......... 25,750
-----------
31,114
-----------
OIL RELATED
600 Yacimentos Petroliferos
Fiscales S.A. (ADR)..... 12,975
-----------
TELECOMMUNICATIONS
1,300 Telefonica de Argentina
S.A. (ADR).............. 35,425
-----------
TOTAL ARGENTINA........... 145,967
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
BRAZIL (11.0%)
BANKING
4,000,000 Banco Bradesco S.A.
(Pref.)................. 34,990
93,528 Banco Bradesco S.A.
(Rights)*............... 154
60,000 Banco Itau S.A. (Pref.)... 16,734
-----------
51,878
-----------
BREWERY
102,000 Companhia Cervejaria
Brahma (Conv. Pref.).... 41,988
-----------
ELECTRONIC & ELECTRICAL EQUIPMENT
18,100 Brasmotor S.A. (Pref.).... 3,595
-----------
METALS & MINING
193,500 Companhia Vale do Rio Doce
S.A. (Pref.)............ 31,862
-----------
MULTI-INDUSTRY
15,000 Itausa Investimentos Itau
S.A. (Pref.)............ 8,182
-----------
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ------------- -----------
<C> <S> <C>
RETAIL
233,700 Lojas Americanas S.A.
(Pref.)................. $ 5,484
-----------
TELECOMMUNICATIONS
3,800 Telecomunicacoes
Brasileiras S.A.
(ADR)................... 180,024
70,000 Telecomunicacoes de Sao
Paulo S.A. (Conv.
Pref.).................. 10,302
-----------
190,326
-----------
UTILITIES - ELECTRIC
2,365 Centrais Electricas
Brasileiras S.A.
(ADR)................... 31,928
200,000 Centrais Electricas
Brasileiras S.A.
(Pref.)................. 54,132
1,400 Companhia Energetica de
Minas Gerais (Pref.)
(ADR) - 144A**.......... 30,713
-----------
116,773
-----------
TOTAL BRAZIL.............. 450,088
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
CHILE (3.3%)
BUILDING & CONSTRUCTION
500 Madeco S.A. (ADR)......... 13,500
-----------
CHEMICALS
100 Sociedad Quimica y Minera
de Chile S.A. (ADR)..... 4,700
-----------
FOOD, BEVERAGE, TOBACCO & HOUSEHOLD
PRODUCTS
500 Compania Cervecerias
Unidas S.A. (ADR)....... 11,563
640 Embotelladora Andina S.A.
(ADR)................... 23,120
500 Santa Isabel S.A. (ADR)... 12,000
-----------
46,683
-----------
PAPER & FOREST PRODUCTS
560 Maderas y Sinteticos
Sociedad Anonima Masisa
(ADR)................... 10,920
-----------
TELECOMMUNICATIONS
200 Compania de
Telecommunicaciones de
Chile S.A. (ADR)........ 16,575
-----------
UTILITIES - ELECTRIC
540 Chilgener S.A. (ADR)...... 13,500
700 Empresa Nacional de
Electricidad Chile
(ADR)................... 15,925
490 Enersis S.A. (ADR)........ 13,965
-----------
43,390
-----------
TOTAL CHILE............... 135,768
-----------
</TABLE>
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ------------- -----------
<C> <S> <C>
COLOMBIA (0.6%)
BANKING
1,500 Banco Industrial
Colombiano S.A. (ADR)... $ 24,563
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
GREECE (1.3%)
BANKING
750 Ergo Bank S.A............. 29,848
-----------
BUILDING & CONSTRUCTION
2,640 Aegek..................... 22,692
-----------
TOTAL GREECE.............. 52,540
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
HONG KONG (1.6%)
INVESTMENT COMPANIES
3,400 Taiwan Index Fund......... 32,300
-----------
UTILITIES - ELECTRIC
19,000 Consolidated Electric
Power Asia Ltd.......... 34,525
-----------
TOTAL HONG KONG........... 66,825
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
HUNGARY (0.2%)
PHARMACEUTICALS
500 Gedeon Richter (GDR) -
144A**.................. 9,600
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
INDIA (1.9%)
BUILDING & CONSTRUCTION
3,250 Larsen & Toubro Ltd.
(GDR)................... 56,063
-----------
FINANCIAL SERVICES
550 Hindalco Industries Ltd.
(GDR)................... 18,288
-----------
INDUSTRIALS
$ 5,000 Reliance Industries, Ltd.
3.50% due 11/03/99
(Conv.)................. 5,025
-----------
TOTAL INDIA............... 79,376
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
INDONESIA (3.1%)
BANKING
5,000 PT Bank Internasional
Indonesia............... 16,583
-----------
FOOD, BEVERAGE, TOBACCO & HOUSEHOLD
PRODUCTS
2,300 PT Gudang Garam........... 24,067
5,000 PT Indofood Sukses
Makmur.................. 24,081
-----------
48,148
-----------
TELECOMMUNICATIONS
2,400 PT Telekomunikasi
Indonesia
(ADR)................... 60,600
-----------
TOTAL INDONESIA........... 125,331
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ------------- -----------
<C> <S> <C>
MALAYSIA (15.0%)
BANKING
18,000 Commerce Asset Holdings
Berhad.................. $ 90,761
30,000 DCB Holdings Berhad....... 87,452
-----------
178,213
-----------
CONGLOMERATES
50,000 Renong Berhad............. 74,059
-----------
ENTERTAINMENT/GAMING & LODGING
12,000 Genting Berhad............ 100,216
-----------
INVESTMENT COMPANIES
36,000 Lion Land Berhad.......... 35,738
13,000 Technology Resources
Industries Berhad....... 38,409
-----------
74,147
-----------
PUBLISHING
16,000 New Straits Times Press
Berhad.................. 53,575
-----------
RETAIL
6,000 Prime Utilities Berhad.... 51,054
-----------
TELECOMMUNICATIONS
11,000 Telekom Malaysia Berhad... 85,798
-----------
TOTAL MALAYSIA............ 617,062
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
MEXICO (11.5%)
BANKING
5,800 Grupo Financiero Inbursa
S.A. (B Shares)*........ 16,992
-----------
BUILDING & CONSTRUCTION
900 Empresas ICA Sociedad
Controladora S.A. de
C.V. (ADR).............. 9,225
-----------
BUILDING MATERIALS
10,700 Cemex S.A. de C.V. (B
Shares)................. 39,010
-----------
CONGLOMERATES
8,500 Grupo Carso S.A. de C.V.
(Series A1)*............ 46,042
4,500 Grupo Industria Alfa (A
Shares)................. 58,008
-----------
104,050
-----------
FOOD PROCESSING
3,000 Grupo Industrial Bimbo
S.A. de C.V. (Series
A)...................... 12,461
-----------
FOOD, BEVERAGE, TOBACCO & HOUSEHOLD
PRODUCTS
600 Coca Cola FEMSA S.A. de
C.V. (ADR).............. 11,100
500 Empresas la Moderna S.A.
de C.V. (ADR)........... 7,750
6,000 Fomento Economico Mexicano
S.A. de C.V. (B
Shares)................. 13,547
1,400 Panamerican Beverages,
Inc..................... 44,800
-----------
77,197
-----------
</TABLE>
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ------------- -----------
<C> <S> <C>
MEDIA GROUP
820 Grupo Televisa S.A.
(GDR)................... $ 18,450
-----------
MULTI-INDUSTRY
3,300 Desc S.A. (Series B)...... 12,160
-----------
PAPER & FOREST PRODUCTS
2,400 Kimberly-Clark de Mexico
S.A. de C.V. (A
Shares)................. 36,375
-----------
RETAIL
28,800 Cifra S.A. de C.V. (C
Shares)*................ 29,250
-----------
STEEL & IRON
1,700 Tubos de Acero de Mexico
S.A. (ADR)*............. 11,900
-----------
TELECOMMUNICATIONS
3,000 Telefonos de Mexico S.A.
de C.V. (Series L)
(ADR)................... 95,624
-----------
TRANSPORTATION
1,100 Transportacion Maritima
Mexicana S.A. de C.V.
(Series A) (ADR)........ 8,250
-----------
TOTAL MEXICO.............. 470,944
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
PAKISTAN (0.8%)
TELECOMMUNICATIONS
400 Pakistan
Telecommunications Corp.
(GDR)*.................. 34,000
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
PERU (2.2%)
BREWERY
11,800 Cerveceria Backus &
Johnston................ 20,324
-----------
FINANCIAL SERVICES
666 Banco de Credito del
Peru.................... 11,489
-----------
METALS & MINING
2,000 Compania de Minas
Buenaventura (C
Shares)................. 12,928
-----------
TELECOMMUNICATIONS
20,200 CPT-Telefonica de Peru
S.A.
(B Shares).............. 43,380
-----------
TOTAL PERU................ 88,121
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
PHILIPPINES (2.3%)
UTILITIES - ELECTRIC
11,600 Manila Electric Co. (B
Shares)................. 94,711
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
PORTUGAL (2.4%)
BUILDING & CONSTRUCTION
1,300 Sociedade de Construcoes
Soares de Costa S.A..... 14,744
-----------
BUILDING MATERIALS
1,450 Cimentos de Portugal
S.A..................... 23,996
-----------
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ------------- -----------
<C> <S> <C>
INVESTMENT COMPANIES
1,400 Sonae Investimentos
Sociedade Gestora de
Participacoes Sociais
S.A..................... $ 29,897
-----------
TELECOMMUNICATIONS
1,590 Portugal Telecom S.A...... 29,879
-----------
TOTAL PORTUGAL............ 98,516
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
SINGAPORE (1.3%)
FOOD, BEVERAGE, TOBACCO & HOUSEHOLD
PRODUCTS
2,000 Fraser & Neave Ltd........ 25,463
-----------
MULTI-INDUSTRY
3,000 Keppel Corp., Ltd......... 26,736
-----------
TOTAL SINGAPORE........... 52,199
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
SOUTH AFRICA (8.1%)
BANKING
1,000 Nedcor Ltd. (ADR) -
144A**.................. 72,020
-----------
BUILDING MATERIALS
1,000 Anglo Alpha Ltd........... 39,237
-----------
METALS & MINING
5,900 Driefontein Consolidated
Ltd.
(ADR)................... 73,013
-----------
OIL REFINERIES
17,832 Sasol Ltd................. 146,051
-----------
TOTAL SOUTH AFRICA........ 330,321
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
SOUTH KOREA (3.2%)
CHEMICALS
500 L.G. Chemical Ltd.
(GDR)................... 10,125
-----------
ELECTRONIC & ELECTRICAL EQUIPMENT
232 Samsung Electronics
(GDR)................... 22,388
233 Samsung Electronics (GDR)
- 144A**................ 22,485
-----------
44,873
-----------
INVESTMENT COMPANIES
1 Dongyang Dragon Trust..... 14,250
-----------
STEEL & IRON
1,300 Pohang Iron & Steel Co.,
Ltd.
(ADR)................... 28,438
-----------
UTILITIES - ELECTRIC
1,200 Korea Electric Power Corp.
(ADR)................... 31,800
-----------
TOTAL SOUTH KOREA......... 129,486
-----------
</TABLE>
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1995 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ------------- -----------
<C> <S> <C>
THAILAND (5.5%)
BANKING
$ 55,000 Siam Commercial Bank Co.
3.25% due 01/24/04
(Conv.)................. $ 59,400
6,000 Thai Farmers Bank, Ltd.... 60,524
-----------
119,924
-----------
BUILDING & CONSTRUCTION
1,000 Siam Cement Co., Ltd...... 55,441
-----------
OIL RELATED
4,800 PTT Exploration &
Production Public Co.,
Ltd..................... 50,326
-----------
TOTAL THAILAND............ 225,691
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
TURKEY (0.8%)
BREWERY
10,000 Ege Biracilik Ve Malt
Sanayii AS.............. 3,471
-----------
BUILDING MATERIALS
175,000 Eczacibasi Yapi Gerecleri
Sanayi ve Ticaret AS.... 19,380
-----------
TELECOMMUNICATIONS
31,000 Netas Telekomunik......... 8,839
-----------
TOTAL TURKEY.............. 31,690
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ------------- -----------
<C> <S> <C>
UNITED KINGDOM (2.2%)
INVESTMENT COMPANIES
18,750 Five Arrows Chile Fund
Ltd..................... $ 54,750
900 Genesis Chile Fund........ 36,113
-----------
TOTAL UNITED KINGDOM...... 90,863
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
UNITED STATES (0.5%)
INVESTMENT COMPANIES
1,800 Lazard Vietnam Fund
Ltd..................... 19,800
-----------
TOTAL INVESTMENTS (IDENTIFIED
COST $3,357,106) (A)......... 82.4% 3,373,462
CASH AND OTHER ASSETS IN EXCESS
OF LIABILITIES............... 17.6 718,756
---------- -----------
NET ASSETS..................... 100.0% $ 4,092,218
---------- -----------
---------- -----------
<FN>
- ----------------
ADR AMERICAN DEPOSITORY RECEIPT.
GDR GLOBAL DEPOSITORY RECEIPT.
* NON-INCOME PRODUCING SECURITY.
** RESALE IS RESTRICTED TO QUALIFIED INSTITUTIONAL INVESTORS.
(A) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES APPROXIMATES IDENTIFIED
COST.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
EMERGING MARKETS
SUMMARY OF INVESTMENTS
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT OF
INDUSTRY VALUE NET ASSETS
- ----------------------------- --------- -------------
<S> <C> <C>
Banking...................... $ 510,021 12.4%
Banks........................ 19,932 0.5
Brewery...................... 65,783 1.6
Building & Construction...... 171,665 4.2
Building Materials........... 121,623 3.0
Chemicals.................... 14,825 0.4
Conglomerates................ 178,109 4.4
Electronic & Electrical
Equipment................... 48,468 1.2
Entertainment/Gaming &
Lodging..................... 100,216 2.4
Financial Services........... 29,777 0.7
Food Processing.............. 12,461 0.3
Food, Beverage, Tobacco &
Household Products.......... 201,616 4.9
Industrials.................. 5,025 0.1
<CAPTION>
PERCENT OF
INDUSTRY VALUE NET ASSETS
- ----------------------------- --------- -------------
<S> <C> <C>
Investment Companies......... $ 261,257 6.4%
Media Group.................. 18,450 0.5
Metals & Mining.............. 117,803 2.9
Multi-Industry............... 89,474 2.2
Oil & Gas.................... 31,114 0.8
Oil Refineries............... 146,051 3.6
Oil Related.................. 63,301 1.5
Paper & Forest Products...... 47,295 1.2
Pharmaceuticals.............. 9,600 0.2
Publishing................... 53,575 1.3
Retail....................... 85,788 2.1
Steel & Iron................. 40,338 1.0
Telecommunications........... 600,446 14.6
Transportation............... 8,250 0.2
Utilities - Electric......... 321,199 7.8
--------- ---
$3,373,462 82.4%
--------- ---
--------- ---
</TABLE>
- ----------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT OF
TYPE OF INVESTMENT VALUE NET ASSETS
- ------------------------------------------------------------------------------------- --------- -------------
<S> <C> <C>
Common Stocks........................................................................ $3,070,901 75.0%
Convertible Bonds.................................................................... 64,425 1.6
Convertible Preferred Stocks......................................................... 52,290 1.3
Preferred Stocks..................................................................... 185,692 4.5
Rights............................................................................... 154 0.0
--------- ---
$3,373,462 82.4%
--------- ---
--------- ---
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NORTH
AMERICAN
GOVERNMENT DIVERSIFIED
MONEY MARKET SECURITIES INCOME BALANCED
------------ ------------ -------------- ------------
<S> <C> <C> <C> <C>
ASSETS:
Investments in securities, at
value *..................... $ 41,982,183 $ 1,239,569 $ 10,278,470 $ 16,589,863
Cash.......................... 990 37,510 87,497** --
Receivable for:
Investments sold............ -- -- -- --
Shares of beneficial
interest sold............. 76,894 921 45,445 51,364
Dividends................... -- -- -- 18,665
Interest.................... 27,947 9,630 154,729 51,068
Foreign withholding taxes
reclaimed................. -- -- -- --
Compensated forward foreign
currency contracts........ -- -- 5,734 --
Prepaid expenses and other
assets...................... 1,295 129 312 955
Deferred organizational
expenses.................... 6,432 6,427 6,427 6,427
Receivable from affiliate..... 21,989 12,298 21,540 23,480
------------ ------------ -------------- ------------
TOTAL ASSETS.......... 42,117,730 1,306,484 10,600,154 16,741,822
------------ ------------ -------------- ------------
LIABILITIES:
Payable for:
Investments purchased....... -- -- 1,589,056 400,693
Shares of beneficial
interest repurchased...... 101 31 -- 52
Compensated forward foreign
currency contracts........ -- -- 7,598 --
Unrealized depreciation on
forward foreign currency
contracts................... -- -- 3,544 --
Accrued expenses and other
payables.................... 22,160 12,346 21,536 23,258
Organizational expenses
payable..................... 6,432 6,427 6,427 6,427
------------ ------------ -------------- ------------
TOTAL LIABILITIES..... 28,693 18,804 1,628,161 430,430
------------ ------------ -------------- ------------
NET ASSETS:
Paid-in-capital............... 42,089,011 1,275,675 8,835,101 15,380,566
Accumulated undistributed net
investment income........... 26 5,485 80,298 47,863
Accumulated undistributed net
realized gain (accumulated
net realized loss).......... -- (542) 18,854 112,736
Net unrealized appreciation... -- 7,062 37,740 770,227
------------ ------------ -------------- ------------
NET ASSETS............ $ 42,089,037 $ 1,287,680 $ 8,971,993 $ 16,311,392
------------ ------------ -------------- ------------
------------ ------------ -------------- ------------
*IDENTIFIED COST.............. $ 41,982,183 $ 1,232,507 $ 10,237,790 $ 15,819,636
------------ ------------ -------------- ------------
------------ ------------ -------------- ------------
SHARES OF BENEFICIAL INTEREST
OUTSTANDING................. 42,089,011 126,550 877,542 1,371,923
------------ ------------ -------------- ------------
------------ ------------ -------------- ------------
NET ASSET VALUE PER
SHARE (unlimited authorized
shares of $.01 par value)... $1.00 $10.18 $10.22 $11.89
------------ ------------ -------------- ------------
------------ ------------ -------------- ------------
<FN>
- ------------------
** Includes foreign cash of $10,208.
</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 *..................... $18,124,558 $79,563,772 $24,384,667 $3,953,687 $38,746,467 $16,929,075 $17,647,049 $3,373,462
Cash.......................... 29,366 -- -- -- 93,918 71,153 65,991 796,745
Receivable for:
Investments sold............ -- -- 95,844 -- 100,533 18,609 129,179 56,001
Shares of beneficial
interest sold............. 56,142 139,084 55,101 14,340 70,858 63,382 21,975 22,335
Dividends................... 41,710 215,037 34,436 3,369 19,664 13,061 1,943 6,092
Interest.................... 630 331 -- -- -- -- -- 9,669
Foreign withholding taxes
reclaimed................. -- -- -- -- -- 2,244 -- --
Compensated forward foreign
currency contracts........ -- -- -- -- -- -- -- --
Prepaid expenses and other
assets...................... 480 1,266 9,020 252 583 744 344 282
Deferred organizational
expenses.................... 6,427 6,427 6,427 6,427 6,427 6,427 6,427 6,427
Receivable from affiliate..... 27,359 41,313 26,358 16,224 32,304 37,480 19,173 17,518
---------- ----------- ---------- --------- ---------- ---------- ---------- ----------
TOTAL ASSETS.......... 18,286,672 79,967,230 24,611,853 3,994,299 39,070,754 17,142,175 17,892,081 4,288,531
---------- ----------- ---------- --------- ---------- ---------- ---------- ----------
LIABILITIES:
Payable for:
Investments purchased....... 293,675 1,225,370 609,466 15,252 797,335 24,000 454,658 173,793
Shares of beneficial
interest repurchased...... -- -- -- 28 -- -- -- --
Compensated forward foreign
currency contracts........ -- -- -- -- -- -- -- --
Unrealized depreciation on
forward foreign currency
contracts................... -- -- -- -- -- -- -- --
Accrued expenses and other
payables.................... 27,339 41,205 26,333 16,180 32,206 37,445 19,144 16,093
Organizational expenses
payable..................... 6,427 6,427 6,427 6,427 6,427 6,427 6,427 6,427
---------- ----------- ---------- --------- ---------- ---------- ---------- ----------
TOTAL LIABILITIES..... 327,441 1,273,002 642,226 37,887 835,968 67,872 480,229 196,313
---------- ----------- ---------- --------- ---------- ---------- ---------- ----------
NET ASSETS:
Paid-in-capital............... 16,570,818 71,984,357 22,718,100 3,843,939 34,976,263 16,462,812 15,870,399 4,147,954
Accumulated undistributed net
investment income........... 59,133 234,361 47,520 2,477 66,197 28,778 20,669 6,298
Accumulated undistributed net
realized gain (accumulated
net realized loss).......... 20,650 178,778 24,656 25,262 310,119 (2,790) 18,523 (77,818)
Net unrealized appreciation... 1,308,630 6,296,732 1,179,351 84,734 2,882,207 585,503 1,502,261 15,784
---------- ----------- ---------- --------- ---------- ---------- ---------- ----------
NET ASSETS............ $17,959,231 $78,694,228 $23,969,627 $3,956,412 $38,234,786 $17,074,303 $17,411,852 $4,092,218
---------- ----------- ---------- --------- ---------- ---------- ---------- ----------
---------- ----------- ---------- --------- ---------- ---------- ---------- ----------
*IDENTIFIED COST.............. $16,815,928 $73,267,040 $23,205,316 $3,868,953 $35,864,260 $16,343,525 $16,144,788 $3,357,106
---------- ----------- ---------- --------- ---------- ---------- ---------- ----------
---------- ----------- ---------- --------- ---------- ---------- ---------- ----------
SHARES OF BENEFICIAL INTEREST
OUTSTANDING................. 1,454,280 5,810,477 1,958,151 357,380 2,787,887 1,553,878 1,160,646 422,529
---------- ----------- ---------- --------- ---------- ---------- ---------- ----------
---------- ----------- ---------- --------- ---------- ---------- ---------- ----------
NET ASSET VALUE PER
SHARE (unlimited authorized
shares of $.01 par value)... $12.35 $13.54 $12.24 $11.07 $13.71 $10.99 $15.00 $9.69
---------- ----------- ---------- --------- ---------- ---------- ---------- ----------
---------- ----------- ---------- --------- ---------- ---------- ---------- ----------
</TABLE>
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NORTH
AMERICAN
MONEY GOVERNMENT DIVERSIFIED
MARKET SECURITIES INCOME BALANCED
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
INCOME
Interest.................. $ 882,216 $ 32,639 $ 230,744* $ 171,067
Dividends................. -- -- -- 62,502*
Dividends from affiliate
(Note 3)................ -- -- -- --
----------- ----------- ----------- -----------
TOTAL INCOME.......... 882,216 32,639 230,744 233,569
----------- ----------- ----------- -----------
EXPENSES
Investment management
fee..................... 74,525 3,695 12,671 45,557
S&P license fees.......... -- -- -- --
Transfer agent fees and
expenses................ 83 83 83 83
Shareholder reports and
notices................. 10,112 2,179 3,367 7,960
Professional fees......... 22,732 15,611 14,335 14,345
Custodian fees............ 10,448 830 9,399 14,197
Organizational expenses... 1,664 1,664 1,664 1,664
Other..................... 572 854 604 873
----------- ----------- ----------- -----------
TOTAL EXPENSES BEFORE
AMOUNTS
REIMBURSED/WAIVED... 120,136 24,916 42.123 84,679
LESS: AMOUNTS
REIMBURSED/WAIVED....... (120,136) (24,916) (42,123) (84,679)
----------- ----------- ----------- -----------
TOTAL EXPENSES AFTER
AMOUNTS
REIMBURSED/WAIVED... -- -- -- --
----------- ----------- ----------- -----------
NET INVESTMENT
INCOME.......... 882,216 32,639 230,744 233,569
----------- ----------- ----------- -----------
NET REALIZED AND UNREALIZED
GAIN (LOSS):
Net realized gain (loss)
on:
Investments............. -- (542) 30,320 112,736
Foreign exchange
transactions.......... -- -- (7,970) --
----------- ----------- ----------- -----------
TOTAL GAIN (LOSS)..... -- (542) 22,350 112,736
----------- ----------- ----------- -----------
Net change in unrealized
appreciation/depreciation
on:
Investments............. -- 7,062 40,680 770,654
Translation of forward
foreign currency
contracts, other
assets and liabilities
denominated in foreign
currencies............ -- -- (2,940) --
----------- ----------- ----------- -----------
TOTAL APPRECIATION.... -- 7,062 37,740 770,654
----------- ----------- ----------- -----------
NET GAIN (LOSS)....... -- 6,520 60,090 883,390
----------- ----------- ----------- -----------
NET INCREASE
(DECREASE)...... $ 882,216 $ 39,159 $ 290,834 $ 1,116,959
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
<FN>
- ------------------
* Net of $783, $228, $2,141, $325, $140, $193, $5,639, $35, $1,700 in
foreign witholding tax, respectively.
</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.................. $ 57,667 $ 89,548 $ 76,711 $ 16,060 $ 138,229 $103,683 $ 95,270 $ 31,011
Dividends................. 178,934* 746,717 141,885* 12,518* 81,384* 59,884* 6,652* 14,924*
Dividends from affiliate
(Note 3)................ -- -- 207 -- -- -- -- --
----------- ---------- ---------- ----------- ---------- -------- -------- --------
TOTAL INCOME.......... 236,601 836,265 218,803 28,578 219,613 163,567 101,922 45,935
----------- ---------- ---------- ----------- ---------- -------- -------- --------
EXPENSES
Investment management
fee..................... 34,637 144,116 35,224 13,049 66,327 58,921 24,345 21,464
S&P license fees.......... -- -- 11,589 -- -- -- -- --
Transfer agent fees and
expenses................ 83 83 83 83 83 83 83 83
Shareholder reports and
notices................. 7,950 15,407 5,839 2,699 8,411 9,264 4,805 4,079
Professional fees......... 18,051 17,342 21,147 21,607 11,517 14,388 20,205 19,880
Custodian fees............ 13,134 12,410 26,807 145 13,378 14,553 8,639 11,496
Organizational expenses... 1,664 1,664 1,664 1,664 1,664 1,664 1,664 1,664
Other..................... 573 556 588 538 564 754 548 690
----------- ---------- ---------- ----------- ---------- -------- -------- --------
TOTAL EXPENSES BEFORE
AMOUNTS
REIMBURSED/WAIVED... 76,092 191,578 102,941 39,785 101,944 99,627 60,289 59,356
LESS: AMOUNTS
REIMBURSED/WAIVED....... (76,092) (191,578) (102,941) (39,785) (101,944) (99,627) (60,289) (59,356)
----------- ---------- ---------- ----------- ---------- -------- -------- --------
TOTAL EXPENSES AFTER
AMOUNTS
REIMBURSED/WAIVED... -- -- -- -- -- -- -- --
----------- ---------- ---------- ----------- ---------- -------- -------- --------
NET INVESTMENT
INCOME.......... 236,601 836,265 218,803 28,578 219,613 163,567 101,922 45,935
----------- ---------- ---------- ----------- ---------- -------- -------- --------
NET REALIZED AND UNREALIZED
GAIN (LOSS):
Net realized gain (loss)
on:
Investments............. 20,650 178,778 24,656 25,262 313,562 (2,749) 18,572 (77,026)
Foreign exchange
transactions.......... -- -- -- -- -- 32 -- (2,360)
----------- ---------- ---------- ----------- ---------- -------- -------- --------
TOTAL GAIN (LOSS)..... 20,650 178,778 24,656 25,262 313,562 (2,717) 18,572 (79,386)
----------- ---------- ---------- ----------- ---------- -------- -------- --------
Net change in unrealized
appreciation/depreciation
on:
Investments............. 1,308,922 6,295,338 1,177,215 84,734 2,867,922 586,834 1,499,356 16,356
Translation of forward
foreign currency
contracts, other
assets and liabilities
denominated in foreign
currencies............ -- -- -- -- -- (47) -- (572)
----------- ---------- ---------- ----------- ---------- -------- -------- --------
TOTAL APPRECIATION.... 1,308,922 6,295,338 1,177,215 84,734 2,867,922 586,787 1,499,356 15,784
----------- ---------- ---------- ----------- ---------- -------- -------- --------
NET GAIN (LOSS)....... 1,329,572 6,474,116 1,201,871 109,996 3,181,484 584,070 1,517,928 (63,602)
----------- ---------- ---------- ----------- ---------- -------- -------- --------
NET INCREASE
(DECREASE)...... $ 1,566,173 $7,310,381 $1,420,674 $ 138,574 $3,401,097 $747,637 $1,619,850 $(17,667)
----------- ---------- ---------- ----------- ---------- -------- -------- --------
----------- ---------- ---------- ----------- ---------- -------- -------- --------
</TABLE>
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
STATEMENTS OF CHANGES IN NET ASSETS
- ----------------------------------------------------------------
FOR THE PERIOD NOVEMBER 9, 1994* THROUGH DECEMBER 31, 1994 AND FOR THE YEAR
ENDED DECEMBER 31, 1995
<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..... $ 882,216 $ 4,610 $ 32,639 $ 744
Net realized
gain/(loss)............. -- -- (542) --
Net change in unrealized
appreciation/depreciation... -- -- 7,062 --
------------- ------------ ------------- ------------
Net
increase/(decrease)... 882,216 4,610 39,159 744
------------- ------------ ------------- ------------
Dividends from net
investment income......... (882,190) (4,610) (27,649) (249)
------------- ------------ ------------- ------------
Transactions in shares of
beneficial interest:
Net proceeds from sales... 48,812,289 1,239,489 1,470,457 135,795
Reinvestment of
dividends............... 882,190 4,610 27,649 249
Cost of shares
repurchased............. (8,839,415) (10,252) (344,429) (14,146)
------------- ------------ ------------- ------------
Net increase.......... 40,855,064 1,233,847 1,153,677 121,898
------------- ------------ ------------- ------------
Total increase........ 40,855,090 1,233,847 1,165,187 122,393
NET ASSETS:
Beginning of period......... 1,233,947 100 122,493 100
------------- ------------ ------------- ------------
END OF PERIOD............... $ 42,089,037 $ 1,233,947 $ 1,287,680 $ 122,493
------------- ------------ ------------- ------------
------------- ------------ ------------- ------------
UNDISTRIBUTED NET INVESTMENT
INCOME...................... $ 26 $ -- $ 5,485 $ 495
------------- ------------ ------------- ------------
------------- ------------ ------------- ------------
SHARES ISSUED AND REPURCHASED:
Sold........................ 48,812,289 1,239,489 145,744 13,576
Issued in reinvestment of
dividends................. 882,190 4,610 2,744 25
Repurchased................. (8,839,415) (10,252) (34,139) (1,410)
------------- ------------ ------------- ------------
Net increase................ 40,855,064 1,233,847 114,349 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..... $ 230,744 $ 1,572 $ 233,569 $ 3,850 $ 236,601 $ 2,262 $ 836,265 $ 6,872
Net realized
gain/(loss)............. 22,350 -- 112,736 -- 20,650 -- 178,778 --
Net change in unrealized
appreciation/depreciation... 37,740 -- 770,654 (427) 1,308,922 (292) 6,295,338 1,394
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Net
increase/(decrease)... 290,834 1,572 1,116,959 3,423 1,566,173 1,970 7,310,381 8,266
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Dividends from net
investment income......... (155,118) (396) (188,705) (851) (179,128) (602) (606,921) (1,855)
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Transactions in shares of
beneficial interest:
Net proceeds from sales... 10,018,159 400,638 15,835,264 806,042 17,486,045 518,226 71,950,119 1,393,837
Reinvestment of
dividends............... 155,118 396 188,705 851 179,128 602 606,921 1,855
Cost of shares
repurchased............. (1,739,300) (10) (1,436,358) (14,038) (1,590,907) (22,376) (1,943,986) (24,489)
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Net increase.......... 8,433,977 401,024 14,587,611 792,855 16,074,266 496,452 70,613,054 1,371,203
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Total increase........ 8,569,693 402,200 15,515,865 795,427 17,461,311 497,820 77,316,514 1,377,614
NET ASSETS:
Beginning of period......... 402,300 100 795,527 100 497,920 100 1,377,714 100
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
END OF PERIOD............... $8,971,993 $ 402,300 $16,311,392 $ 795,527 $17,959,231 $ 497,920 $78,694,228 $1,377,714
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
UNDISTRIBUTED NET INVESTMENT
INCOME...................... $ 80,298 $ 1,176 $ 47,863 $ 2,999 $ 59,133 $ 1,660 $ 234,361 $ 5,017
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
SHARES ISSUED AND REPURCHASED:
Sold........................ 994,906 39,986 1,408,020 80,553 1,534,125 51,746 5,787,107 140,397
Issued in reinvestment of
dividends................. 15,447 39 16,807 85 15,750 60 48,577 189
Repurchased................. (172,845) (1) (132,149) (1,403) (145,179) (2,232) (163,343) (2,460)
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
Net increase................ 837,508 40,024 1,292,678 79,235 1,404,696 49,574 5,672,341 138,126
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
</TABLE>
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
FOR THE PERIOD NOVEMBER 9, 1994* THROUGH DECEMBER 31, 1994 AND FOR THE YEAR
ENDED DECEMBER 31, 1995
<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..... $ 218,803 $1,138 $ 28,578 $ 1,441
Net realized
gain/(loss)............. 24,656 -- 25,262 --
Net change in unrealized
appreciation/depreciation... 1,177,215 2,136 84,734 --
----------- --------- ------------- ------------
Net
increase/(decrease)... 1,420,674 3,274 138,574 1,441
----------- --------- ------------- ------------
Dividends from net
investment income......... (172,075) (346) (27,202) (340)
----------- --------- ------------- ------------
Transactions in shares of
beneficial interest:
Net proceeds from sales... 23,041,372 349,428 3,676,375 324,157
Reinvestment of
dividends............... 172,075 346 27,202 340
Cost of shares
repurchased............. (841,114) (4,107) (174,491) (9,744)
----------- --------- ------------- ------------
Net increase.......... 22,372,333 345,667 3,529,086 314,753
----------- --------- ------------- ------------
Total increase........ 23,620,932 348,595 3,640,458 315,854
NET ASSETS:
Beginning of period......... 348,695 100 315,954 100
----------- --------- ------------- ------------
END OF PERIOD............... $23,969,627 3$48,695 $ 3,956,412 $ 315,954
----------- --------- ------------- ------------
----------- --------- ------------- ------------
UNDISTRIBUTED NET INVESTMENT
INCOME...................... $ 47,520 $ 792 $ 2,477 $ 1,101
----------- --------- ------------- ------------
----------- --------- ------------- ------------
SHARES ISSUED AND REPURCHASED:
Sold........................ 1,981,323 35,603 339,322 32,374
Issued in reinvestment of
dividends................. 14,750 36 2,604 34
Repurchased................. (73,159) (412) (15,991) (973)
----------- --------- ------------- ------------
Net increase................ 1,922,914 35,227 325,935 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..... $ 219,613 $ 2,947 $ 163,567 $ 4,667 $ 101,922 $ 1,564 $ 45,935 $ 1,790
Net realized
gain/(loss)............. 313,562 (3,443) (2,717) -- 18,572 (49) (79,386) --
Net change in unrealized
appreciation/depreciation... 2,867,922 14,285 586,787 (1,284) 1,499,356 2,905 15,784 --
---------- ---------- ---------- ---------- ---------- -------- ---------- --------
Net
increase/(decrease)... 3,401,097 13,789 747,637 3,383 1,619,850 4,420 (17,667) 1,790
---------- ---------- ---------- ---------- ---------- -------- ---------- --------
Dividends from net
investment income......... (155,569) (794) (137,860) (1,669) (82,425) (392) (39,505) (354)
---------- ---------- ---------- ---------- ---------- -------- ---------- --------
Transactions in shares of
beneficial interest:
Net proceeds from sales... 34,805,828 818,828 16,594,816 1,235,431 18,068,892 385,711 3,782,735 498,374
Reinvestment of
dividends............... 155,569 794 137,860 1,669 82,425 392 39,505 354
Cost of shares
repurchased............. (794,842) (10,014) (1,462,568) (44,496) (2,657,067) (10,054) (120,566) (52,548)
---------- ---------- ---------- ---------- ---------- -------- ---------- --------
Net increase.......... 34,166,555 809,608 15,270,108 1,192,604 15,494,250 376,049 3,701,674 446,180
---------- ---------- ---------- ---------- ---------- -------- ---------- --------
Total increase........ 37,412,083 822,603 15,879,885 1,194,318 17,031,675 380,077 3,644,502 447,616
NET ASSETS:
Beginning of period......... 822,703 100 1,194,418 100 380,177 100 447,716 100
---------- ---------- ---------- ---------- ---------- -------- ---------- --------
END OF PERIOD............... $38,234,786 $ 822,703 $17,074,303 $1,194,418 $17,411,852 $380,177 $4,092,218 $447,716
---------- ---------- ---------- ---------- ---------- -------- ---------- --------
---------- ---------- ---------- ---------- ---------- -------- ---------- --------
UNDISTRIBUTED NET INVESTMENT
INCOME...................... $ 66,197 $ 2,153 $ 28,778 $ 2,998 $ 20,669 $ 1,172 $ 6,298 $ 1,436
---------- ---------- ---------- ---------- ---------- -------- ---------- --------
---------- ---------- ---------- ---------- ---------- -------- ---------- --------
SHARES ISSUED AND REPURCHASED:
Sold........................ 2,757,922 82,738 1,558,946 124,455 1,316,995 38,471 386,160 49,777
Issued in reinvestment of
dividends................. 12,349 82 13,086 169 5,995 39 4,031 35
Repurchased................. (64,214) (1,000) (138,315) (4,473) (199,866) (998) (12,240) (5,244)
---------- ---------- ---------- ---------- ---------- -------- ---------- --------
Net increase................ 2,706,057 81,820 1,433,717 120,151 1,123,124 37,512 377,951 44,568
---------- ---------- ---------- ---------- ---------- -------- ---------- --------
---------- ---------- ---------- ---------- ---------- -------- ---------- --------
</TABLE>
<PAGE>
NOTES TO FINANCIAL STATEMENTS
- ----------------------------------------------------------------
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 investment objectives of each Portfolio are as follows:
<TABLE>
<C> <S>
PORTFOLIO INVESTMENT OBJECTIVE
Money Market Seeks high current income, preservation of capital and liquidity by investing
in short-term money market instruments.
North American Seeks to earn a high level of current income while maintaining relatively low
Government volatility of principal by primarily investing in investment grade fixed
Securities income securities issued or guaranteed by the U.S., Canadian or Mexican
governments.
Diversified Seeks, as a primary objective, to earn a high level of current income and, as
Income a secondary objective, to maximize total return, but only to the extent
consistent with its primary objective, by equally allocating its assets among
three separate groupings of fixed income securities.
Balanced Seeks to achieve high total return through a combination of income and
capital appreciation by investing in a diversified portfolio of common stocks
and investment grade fixed income securities.
Utilities Seeks to provide current income and long-term growth of income and capital by
investing in equity and fixed income securities of companies in the public
utilities industry.
Dividend Seeks to provide reasonable current income and long-term growth of income and
Growth capital by investing primarily in common stock of companies with a record of
paying dividends and the potential for increasing dividends.
Value-Added Seeks to achieve a high level of total return on its assets through a
Market combination of capital appreciation and current income by investing, on an
equally-weighted basis, in a diversified portfolio of common stocks of the
companies which are represented in the Standard & Poor's 500 Composite Stock
Price Index.
Core Equity Seeks long-term growth of capital by investing primarily in common stocks and
securities convertible into common stocks issued by domestic and foreign
companies.
American Value Seeks long-term capital growth consistent with an effort to reduce volatility
by investing principally in common stock of companies in industries which, at
the time of the investment, are believed to be undervalued in the
marketplace.
Global Equity Seeks a high level of total return on its assets primarily through long-term
capital growth and, to a lesser extent, from income, through investments in
all types of common stocks and equivalents (such as convertible securities
and warrants), preferred stocks and bonds and other debt obligations of
domestic and foreign companies and governments and international
organizations.
Developing Seeks long-term capital growth by investing primarily in common stocks of
Growth smaller and medium-sized companies that, in the opinion of the Investment
Manager, have the potential for growing more rapidly than the economy and
which may benefit from new products or services, technological developments
or changes in management.
Emerging Seeks long-term capital appreciation by investing primarily in equity
Markets securities of companies in emerging market countries. The Portfolio may
invest up to 35% of its total assets in high risk fixed income securities
that are rated below investment grade or are unrated.
</TABLE>
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
The preparation of financial statements in accordance with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures. Actual results
could differ from those estimates. 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 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; (3) when market quotations are not
readily available, 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
at their fair value as determined in good faith under procedures established
by and under the general supervision of the Trustees; (4) 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 (5) 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 and other distributions are recorded on the
ex-dividend date except 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 over the
life of the respective securities; gains and losses realized upon the sale
of securities are based on amortized cost. For all other Portfolios,
discounts 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 exchange 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.
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.
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
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) which will be reimbursed for the full amount
thereof, exclusive of amounts waived of $19,967 ($1,664 for each respective
Portfolio except $1,663 for the Money Market Portfolio). 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 or
equally among the Portfolios.
2. INVESTMENT MANAGEMENT AND SUB-ADVISORY AGREEMENTS--Pursuant to an Investment
Management Agreement, the Fund pays a management fee, accrued daily and payable
monthly, by applying the following annual rates to each Portfolio's 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..................... 0.40 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
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.
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
The Investment Manager had undertaken to reimburse the Fund for all expenses
(except for any brokerage fees and a portion of organizational expenses) and
waive the compensation (the "management fee") provided for in the Agreement
until December 31, 1995. At December 31, 1995, included in the Statements of
Assets and Liabilities are receivables from affiliate which represent expense
reimbursements due the Fund. For the period January 1, 1996 through December 31,
1996, the Investment Manager will continue to waive the management fee and
reimburse expenses to the extent they exceed 0.50% of daily net assets of the
Portfolio or until such time as the respective Portfolio has $50 million of net
assets, 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 year ended December 31, 1995
were as follows:
<TABLE>
<CAPTION>
U.S. GOVERNMENT SECURITIES OTHER
--------------------------- ----------------------------
PURCHASES SALES/MATURITIES PURCHASES SALES/MATURITIES
------------ ------------- ------------- -------------
<S> <C> <C> <C> <C>
Money Market............................ $ 98,028,828 $98,728,197 $ 170,754,095 $130,159,915
North American Government Securities.... 1,098,088 64,526 -- --
Diversified Income...................... 2,846,460 929 5,941,141 493,256
Balanced................................ 7,576,477 3,055,665 11,589,054 2,559,410
Utilities............................... -- -- 15,395,638 144,432
Dividend Growth......................... -- -- 70,245,972 1,006,085
Value-Added Market...................... 75,090 -- 20,942,930 255,644
Core Equity............................. -- -- 4,044,981 470,311
American Value.......................... 5,126,818 92,156 46,593,113 18,103,094
Global Equity........................... 248,873 -- 16,567,189 3,378,327
Developing Growth....................... -- -- 14,529,361 2,791,500
Emerging Markets........................ -- -- 3,866,464 432,934
</TABLE>
For the year ended December 31, 1995, the following 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 AMERICAN GLOBAL DEVELOPING
BALANCED UTILITIES GROWTH CORE EQUITY VALUE EQUITY GROWTH
----------- --------- --------- ----------- ----------- --------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Commissions............................ $ 6,745 $ 22,805 $ 67,555 $ 740 $ 29,871 $ 6,836 $ 7,703
----------- --------- --------- ----- ----------- --------- -----------
----------- --------- --------- ----- ----------- --------- -----------
</TABLE>
Included in Balanced, Utilities, Dividend Growth, American Value and
Developing Growth's payable for investments purchased are $339,683, $273,925,
$906,558, $192,925 and $61,580, respectively, and included in Developing
Growth's receivable for investments sold is $27,582 for unsettled trades with
DWR at December 31, 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 $44,855.
Dean Witter Trust Company, an affiliate of the Investment Manager, is the
Fund's transfer agent.
4. FEDERAL INCOME TAX STATUS--At December 31, 1995, the following Portfolios
had an approximate net capital loss carryover which will be available through
December 31, 2003 to offset future capital gains to the extent provided by
regulations: North American Government Securities -- $1,000; Emerging Markets --
$14,000.
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
Net capital and currency losses incurred after October 31 ("post-October
losses") within the taxable year are deemed to arise on the first business day
of the Portfolios' next taxable year. The following Portfolios incurred and will
elect to defer post-October losses during fiscal 1995: Balanced -- $16,000;
Global Equity -- $44,000; Developing Growth -- $23,000; Emerging Markets --
$64,000.
At December 31, 1995, the following Portfolios had significant temporary
book/tax differences as follows: post-October losses -- Balanced, Global Equity,
Developing Growth and Emerging Markets; income from the mark-to-market of open
forward foreign exchange contracts and compensated forward foreign exchange
contracts -- Diversified; income from the mark-to-market of passive foreign
investment companies -- Global Equity and Emerging Markets.
At December 31, 1995, the Diversified, Global Equity and Emerging Markets
Portfolios had permanent book/tax differences attributable to foreign currency
gains/losses. To reflect reclassifications arising from permanent book/tax
differences for the year ended December 31, 1995, the following accounts were
charged (credited):
<TABLE>
<CAPTION>
ACCUMULATED UNDISTRIBUTED
ACCUMULATED NET REALIZED
UNDISTRIBUTED NET GAIN/ACCUMULATED
INVESTMENT INCOME NET REALIZED LOSS
----------------------- ---------------------------
<S> <C> <C>
Diversified............................................. $ (3,496) $ 3,496
Global Equity........................................... (73) 73
Emerging Markets........................................ 1,568 (1,568)
</TABLE>
5. 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 December 31, 1995, the Global Equity Portfolio had outstanding forward
contracts used to facilitate settlement of foreign currency denominated
portfolio transactions and the Diversified Income Portfolio had 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 LESS NET ASSET
YEAR ENDED BEGINNING INVESTMENT UNREALIZED INVESTMENT DIVIDENDS TO VALUE END
DECEMBER 31 OF PERIOD INCOME GAIN (LOSS) OPERATIONS SHAREHOLDERS OF PERIOD
------------ --------- ---------- ------------- ---------- ------------ ----------
<S> <C> <C> <C> <C> <C> <C>
Money Market
1994 (a) $ 1.00 $0.01 $ -- $ 0.01 $(0.01) $ 1.00
1995 1.00 0.06 -- 0.06 (0.06) 1.00
North American Government Securities
1994 (a) 10.00 0.06 -- 0.06 (0.02) 10.04
1995 10.04 0.53 0.11 0.64 (0.50) 10.18
Diversified Income
1994 (a) 10.00 0.08 -- 0.08 (0.03) 10.05
1995 10.05 0.57 0.11 0.68 (0.51) 10.22
Balanced
1994 (a) 10.00 0.08 (0.02) 0.06 (0.02) 10.04
1995 10.04 0.40 1.85 2.25 (0.40) 11.89
Utilities
1994 (a) 10.00 0.07 -- 0.07 (0.03) 10.04
1995 10.04 0.45 2.30 2.75 (0.44) 12.35
Dividend Growth
1994 (a) 10.00 0.08 (0.09) (0.01) (0.02) 9.97
1995 9.97 0.36 3.57 3.93 (0.36) 13.54
Value-Added Market
1994 (a) 10.00 0.06 (0.14) (0.08) (0.02) 9.90
1995 9.90 0.31 2.34 2.65 (0.31) 12.24
Core Equity
1994 (a) 10.00 0.07 -- 0.07 (0.02) 10.05
1995 10.05 0.26 1.05 1.31 (0.29) 11.07
American Value
1994 (a) 10.00 0.06 0.01 0.07 (0.02) 10.05
1995 10.05 0.21 3.66 3.87 (0.21) 13.71
Global Equity
1994 (a) 10.00 0.07 (0.10) (0.03) (0.03) 9.94
1995 9.94 0.29 1.05 1.34 (0.29) 10.99
Developing Growth
1994 (a) 10.00 0.08 0.08 0.16 (0.03) 10.13
1995 10.13 0.24 4.88 5.12 (0.25) 15.00
Emerging Markets
1994 (a) 10.00 0.06 -- 0.06 (0.02) 10.04
1995 10.04 0.29 (0.33) (0.04) (0.31) 9.69
</TABLE>
- ------------
(a) For the period November 9, 1994 (commencement of operations) through
December 31, 1994. 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.
* 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)
----------------------- -----------------------
TOTAL NET ASSETS NET NET PORTFOLIO
INVESTMENT END OF INVESTMENT INVESTMENT TURNOVER
RETURN PERIOD (000'S) EXPENSES INCOME EXPENSES INCOME RATE
---------- -------------- ----------- ---------- ----------- ---------- ---------
<S> <C> <C> <C> <C> <C> <C> <C>
Money Market
1994 (a) 0.76 %(1 $1,234 2.50%(2) 3.33 %(2 -- % 5.83%(2) N/A%(1)
1995 6.10 42,089 0.81 5.11 -- 5.92 N/A
North American Government Securities
1994 (a) 0.61(1) 122 2.50(2) 1.78(2) -- 4.28(2) -- (1)
1995 6.40 1,288 2.50 3.24 -- 5.74 18
Diversified Income
1994 (a) 0.76(1) 402 2.50(2) 3.08(2) -- 5.58(2) -- (1)
1995 6.96 8,972 1.33 5.95 -- 7.28 33
Balanced
1994 (a) 0.60(1) 796 2.50(2) 2.90(2) -- 5.40(2) -- (1)
1995 22.86 16,311 1.39 2.45 -- 3.84 99
Utilities
1994 (a) 0.65(1) 498 2.50(2) 2.79(2) -- 5.29(2) -- (1)
1995 28.05 17,959 1.43 3.01 -- 4.44 3
Dividend Growth
1994 (a) (0.05) (1) 1,378 2.50(2) 3.28(2) -- 5.78(2) -- (1)
1995 40.13 78,694 0.83 2.80 -- 3.63 4
Value-Added Market
1994 (a) (0.76) (1) 349 2.50(2) 1.25(2) -- 3.75(2) -- (1)
1995 27.14 23,970 1.46 1.64 -- 3.10 4
Core Equity
1994 (a) 0.67(1) 316 2.50(2) 2.32(2) -- 4.82(2) -- (1)
1995 13.29 3,956 2.50 (0.64) -- 1.86 39
American Value
1994 (a) 0.69(1) 823 2.50(2) 1.60(2) -- 4.10(2) 10(1)
1995 38.95 38,235 0.96 1.11 -- 2.07 174
Global Equity
1994 (a) (0.30) (1) 1,194 2.50(2) 2.20(2) -- 4.70(2) -- (1)
1995 13.76 17,074 1.69 1.09 -- 2.78 74
Developing Growth
1994 (a) 1.58(1) 380 2.50(2) 2.31(2) -- 4.81(2) 3(1)
1995 51.26 17,412 1.24 0.86 -- 2.10 80
Emerging Markets
1994 (a) 0.57(1) 448 2.50(2) 2.22(2) -- 4.72(2) -- (1)
1995 (0.57) 4,092 2.50 0.18 -- 2.68 36
</TABLE>
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
----------------------------------------------------------------
To the Shareholders and Trustees of Dean Witter Select Dimensions Investment
Series
In our opinion, the accompanying statements of assets and liabilities, including
the portfolios of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of the Money Market Portfolio, the
North American Government Securities Portfolio, the Diversified Income
Portfolio, the Balanced Portfolio, the Utilities Portfolio, the Dividend Growth
Portfolio, the Value-Added Market Portfolio, the Core Equity Portfolio, the
American Value Portfolio, the Global Equity Portfolio, the Developing Growth
Portfolio and the Emerging Markets Portfolio (constituting Dean Witter Select
Dimensions Investment Series, hereafter referred to as the "Fund") at December
31, 1995, and the results of each of their operations for the year then ended,
the changes in each of their net assets and the financial highlights for the
year then ended and for the period November 9, 1994 (commencement of operations)
through December 31, 1994, in conformity with generally accepted accounting
principles. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the Fund's
management: our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with generally accepted auditing standards which
require that we plan and perform the audits to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at December 31, 1995 by correspondence with the
custodian and brokers, provide a reasonable basis for the opinion expressed
above.
PRICE WATERHOUSE LLP
1177 Avenue of the Americas
New York, New York 10036
February 7, 1996
<PAGE>
TRUSTEES
------------------------------------------------------
<TABLE>
<S> <C>
Michael Bozic Dr. Manuel H. Johnson
Charles A. Fiumefreddo Paul Kolton
Edwin J. Garn Michael E. Nugent
John R. Haire Philip J. Purcell
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>
SELECT
DIMENSIONS
DEAN WITTER
SELECT DIMENSIONS
INVESTMENT SERIES
ANNUAL REPORT
December 31, 1995
[Dean Witter Logo]
ITT Hartford
Individual Annuity Operations
P.O. Box 5085
Hartford, CT 06102-5085
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES:
AMERICAN VALUE PORTFOLIO
GROWTH OF $10,000
DATE TOTAL S&P 500
November 9, 1994 $10,000 $10,000
December 31, 1994 $10,069 $ 9,916
December 31, 1995 $13,991 (3) $13,641
AVERAGE ANNUAL TOTAL RETURN
ONE YEAR LIFE OF FUND
38.95 (1) 34.20 (1)
________Fund ________S&P 500 IX (2)
Past performance is not predictive of future returns.
________________________________________
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) The Standard & Poor's 500 Composite Stock Price Index (S&P 500) is a broad
based index, the performance of which is based on the average performance
of 500 widely held common stocks. The performance of the index does not
include any expenses, fees or charges. The Index is unmanaged and should
not be considered an investment.
(3) Closing value on December 31, 1995 for the underlying fund. This figure
does not reflect the deduction of any account fees or sales charges.
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES:
BALANCED PORTFOLIO
GROWTH OF $10,000
DATE TOTAL S&P 500 LEHMAN (AG) IX
November 9, 1994 $10,000 $10,000 $10,000
December 31, 1994 $10,060 $ 9,916 $10,069
December 31, 1995 $12,359 (3) $13,641 $11,929
AVERAGE ANNUAL TOTAL RETURN
ONE YEAR LIFE OF FUND
22.86 (1) 20.39 (1)
________Fund ________S&P 500 IX (2) ________LEHMAN (AG)(3)
Past performance is not predictive of future returns.
________________________________________
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) The Standard & Poor's 500 Composite Stock Price Index (S&P 500) is a
broad-based index, the performance of which is based on the average
performance of 500 widely held common stocks. The performance of the index
does not include any expenses, fees or charges. The Index is unmanaged and
should not be considered an investment.
(3) The Lehman Brothers Aggregate Bond Index tracks the performance of all U.S.
Government agency and Treasury securities, investment-grade corporate debt
securities, agency mortgage-backed securities and asset-backed securities.
The performance of the index does not include any expenses, fees or
charges. The Index is unmanaged and should not be considered an investment.
(4) Closing value on December 31, 1995 for the underlying fund. This figure
does not reflect the deduction of any account fees or sales charges.
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES:
CORE EQUITY PORTFOLIO
GROWTH OF $10,000
DATE TOTAL S&P 500
November 9, 1994 $10,000 $10,000
December 31, 1994 $10,067 $ 9,916
December 31, 1995 $11,405 (3) $13,641
AVERAGE ANNUAL TOTAL RETURN
ONE YEAR LIFE OF FUND
13.29 (1) 12.20 (1)
________Fund ________S&P 500 IX (2)
Past performance is not predictive of future returns.
________________________________________
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) The Standard & Poor's 500 Composite Stock Price Index (S&P 500) is a broad-
based index, the performance of which is based on the average performance
of 500 widely held common stocks. The performance of the index does not
include any expenses, fees or charges. The Index is unmanaged and should
not be considered an investment.
(3) Closing value on December 31, 1995 for the underlying fund. This figure
does not reflect the deduction of any account fees or sales charges.
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES:
DEVELOPING GROWTH PORTFOLIO
GROWTH OF $10,000
DATE TOTAL S&P 500
November 9, 1994 $10,000 $10,000
December 31, 1994 $10,158 $ 9,916
December 31, 1995 $15,365 (3) $13,641
AVERAGE ANNUAL TOTAL RETURN
ONE YEAR LIFE OF FUND
51.26 (1) 45.68 (1)
________Fund ________S&P 500 IX (2)
Past performance is not predictive of future returns.
________________________________________
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) The Standard & Poor's 500 Composite Stock Price Index (S&P 500) is a broad-
based index, the performance of which is based on the average performance
of 500 widely held common stocks. The performance of the index does not
include any expenses, fees or charges. The Index is unmanaged and should
not be considered an investment.
(3) Closing value on December 31, 1995 for the underlying fund. This figure
does not reflect the deduction of any account fees or sales charges.
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES:
DIVERSIFIED INCOME PORTFOLIO
GROWTH OF $10,000
DATE TOTAL LEHMAN
November 9, 1994 $10,000 $10,000
December 31, 1994 $10,076 $10,035
December 31, 1995 $10,777 (3) $11,574
AVERAGE ANNUAL TOTAL RETURN
ONE YEAR LIFE OF FUND
6.96(1) 6.78 (1)
________FUND ________LEHMAN IX (2)
Past performance is not predictive of future returns.
________________________________________
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) The Lehman Brothers Mutual Fund Government/Corporate Intermediate Bond
Index tracks the performance of government and corporate bonds, including
U.S. Government agency and U.S. Treasury securities and corporate and
yankee bonds with maturities of 1 to 10 years. Unlike the fund, the index
does not include any expenses, fees or charges. The Index is unmanaged and
should not be considered an investment.
(3) Closing value on December 31, 1995 for the underlying fund. This figure
does not reflect the deduction of any account fees or sales charges.
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES:
DIVIDEND GROWTH PORTFOLIO
GROWTH OF $10,000
DATE TOTAL S&P 500
November 9, 1994 $10,000 $10,000
December 31, 1994 $ 9,995 $ 9,916
December 31, 1995 $14,005 (3) $13,641
AVERAGE ANNUAL TOTAL RETURN
ONE YEAR LIFE OF FUND
40.13 (1) 34.32 (1)
________Fund ________S&P 500 IX (2)
Past performance is not predictive of future returns.
________________________________________
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) The Standard & Poor's 500 Composite Stock Price Index (S&P 500) is a broad-
based index, the performance of which is based on the average performance
of 500 widely held common stocks. The performance of the index does not
include any expenses, fees or charges. The Index is unmanaged and should
not be considered an investment.
(3) Closing value on December 31, 1995 for the underlying fund. This figure
does not reflect the deduction of any account fees or sales charges.
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES:
EMERGING MARKETS PORTFOLIO
GROWTH OF $10,000
DATE TOTAL IFCI IX
November 9, 1994 $10,000 $10,000
December 31, 1994 $10,057 $ 8,740
December 31, 1995 $10,000 (3) $ 8,004
AVERAGE ANNUAL TOTAL RETURN
ONE YEAR LIFE OF FUND
-0.57 (1) 0.00 (1)
________Fund ________IFCI IX (2)
Past performance is not predictive of future returns.
________________________________________
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) The International Finance Corporation's Investable Emerging Markets Total
Return Index (IFCI) is designed to measure more precisely the returns
foreign portfolio investors might receive from investing in baskets of
stocks that were legally and practically available to them in the emerging
markets of Latin America, East Asia, South Asia, Europe, the Mideast and
Africa. The Index does not include any expenses, fees or charges. The
Index is unmanaged and should not be considered an investment.
(3) Closing value on December 31, 1995 for the underlying fund. This figure
does not reflect the deduction of any account fees or sales charges.
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES:
GLOBAL EQUITY PORTFOLIO
GROWTH OF $10,000
DATE TOTAL MSCI WORLD IX
November 9, 1994 $10,000 $10,000
December 31, 1994 $ 9,970 $ 9,840
December 31, 1995 $11,342 (3) $11,681
AVERAGE ANNUAL TOTAL RETURN
ONE YEAR LIFE OF FUND
13.76 (1) 11.66 (1)
________Fund ________MSCI WORLD IX (2)
Past performance is not predictive of future returns.
________________________________________
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) The Morgan Stanley Capital International World Index (MSCI) measures
performance for a diverse range of global stock markets including the U.S.,
Canada, Europe, Australia, New Zealand and the Far East. The index does
not include any expenses, fees or charges or reinvestment of dividends.
The Index is unmanaged and should not be considered an investment.
(3) Closing value on December 31, 1995 for the underlying fund. This figure
does not reflect the deduction of any account fees or sales charges.
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES:
NORTH AMERICAN GOVERNMENT SECURITIES PORTFOLIO
GROWTH OF $10,000
DATE TOTAL LEHMAN
November 9, 1994 $10,000 $10,000
December 31, 1994 $10,061 $10,022
December 31, 1995 $10,705 (3) $11,291
AVERAGE ANNUAL TOTAL RETURN
ONE YEAR LIFE OF FUND
6.40 (1) 6.15 (1)
________FUND ________LEHMAN IX (2)
Past performance is not predictive of future returns.
_______________________________________
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) The Lehman Brothers Short (1-5) U.S. Government Index measures the
performance of all U.S. Government agency and U.S. Treasury securities with
maturities of one to five years. The performance of the index does not
include any expenses, fees or charges. The Index is unmanaged and should
not be considered an investment.
(3) Closing value on December 31, 1995 for the underlying fund. This figure
does not reflect the deduction of any account fees or sales charges.
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES:
UTILITIES PORTFOLIO
GROWTH OF $10,000
DATE TOTAL S&P 500
November 9, 1994 $10,000 $10,000
December 31, 1994 $10,065 $ 9,916
December 31, 1995 $12,888 (3) $13,641
AVERAGE ANNUAL TOTAL RETURN
ONE YEAR LIFE OF FUND
28.05 (1) 24.89 (1)
________Fund ________S&P 500 IX (2)
Past performance is not predictive of future returns.
________________________________________
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) The Standard & Poor's 500 Composite Stock Price Index (S&P 500) is a broad-
based index, the performance of which is based on the average performance
of 500 widely held common stocks. The performance of the index does not
include any expenses, fees or charges. The Index is unmanaged and should
not be considered an investment.
(3) Closing value on December 31, 1995 for the underlying fund. This figure
does not reflect the deduction of any account fees or sales charges.
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES:
VALUE-ADDED PORTFOLIO
GROWTH OF $10,000
DATE TOTAL S&P 500
November 9, 1994 $10,000 $10,000
December 31, 1994 $ 9,924 $ 9,916
December 31, 1995 $12,617 (3) $13,641
AVERAGE ANNUAL TOTAL RETURN
ONE YEAR LIFE OF FUND
27.14 (1) 22.58 (1)
____ Fund _____ S&P 500 IX (2)
Past performance is not predictive of future returns.
__________________________________
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) The Standard & Poor's 500 Composite Stock Price Index (S&P 500) is a broad-
based index, the performance of which is based on the average performance
of 500 widely held common stocks. The performance of the index does not
include any expenses, fees or charges. The Index is unmanaged and should
not be considered an investment.
(3) Closing value on December 31, 1995 for the underlying fund. This figure
does not reflect the deduction of any account fees or sales charges.
