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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 semi-annual report to shareholders of the various portfolios that
comprise the Dean Witter Select Dimensions Investment Series covers the
six-month period ended June 30, 1996. 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.
U.S. EQUITY BULL MARKET CONTINUES
Equity markets continued to perform well through mid year, given the
competitive position and strong profitability of American industry. Against this
backdrop, the Standard & Poor's 500 Composite Stock Price Index (S&P 500 Index)
was up 10.10 percent for the six months ended June 30, 1996.
Notwithstanding the recent backup in U.S. interest rates, the primarily
bullish trend of equity prices is expected to remain intact until the Federal
Reserve Board moves toward a serious tightening of monetary policy. While such a
move does not appear to be on the immediate horizon, this eventuality may occur
in 1997 or 1998. The wild card continues to be the economy. Unless the economy
really picks up additional steam in the next few months, which we do not
anticipate, the Federal Reserve Board will probably remain on hold at least
until after the presidential election.
After a strong first half, the economy is expected to pause for the
remainder of the year to allow pent-up consumer and capital spending demand to
rebuild. Additionally, slowing unit demand and higher wages could pressure
corporate earnings profitability and result in a diminution in capital spending.
Following this respite, a more robust, broad based economic rebound is expected
to unfold over the course of 1997 boosted by a simultaneous recovery in
developing and developed countries alike. Against this backdrop, commodity
cyclical groups (chemicals, paper, aluminum and machinery) and commodity
technology groups (semiconductors, semiconductor capital equipment and
computers) are poised to be the standout performers in the equity arena. These
industries are expected to be driven by very inexpensive valuations and
significantly accelerating earnings resulting from robust worldwide industrial
production and capital spending.
U.S. INTEREST RATES RISE
Stronger-than-anticipated employment reports, combined with robust housing,
automobile and retail sales, ignited inflationary fears and caused intermediate-
and long-term interest rates to edge higher. Higher food and energy costs did
little to allay the bond market's concerns. Further contributing to the bond
market's recent lackluster performance was investor anxiety over a possible
Federal Reserve Board tightening.
Overall, the yield on the 30-year U.S. Treasury bond increased 92 basis
points (0.92 percentage points) since the end of 1995 to 6.87 percent as of June
30, 1996. Over the same six-month period, the yield on the 2-year U.S. Treasury
note increased 96 basis points to 6.11 percent.
The first quarter of 1996 brought a change in the previous pattern of
declining money market rates. With the February employment report, which
illustrated that 705,000 new jobs entered the market, short-term yields in the
6- to 12-month range rose 15 to 25 basis points. At that point, many market
participants concluded that the Federal Reserve Board's monetary policy would
remain on hold.
The money markets displayed stability until about the second week of June,
when employment data for May and revisions to previous data were released. A
stronger-than-expected employment trend added further evidence to the case that
the second quarter's economic growth will ultimately prove to be unsustainable.
Since then, opinion has been divided as to
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whether the Federal Reserve Board would keep short-term interest rates unchanged
or raise them by 25 or 50 basis points sometime during the third quarter.
MIXED PERFORMANCE IN GLOBAL MARKETS
The economic environment in Europe over the six months ended June 30, 1996
was mixed and conditions varied from country to country. The U.K. economy
continued in a relatively robust pattern with a strengthening consumer sector
offsetting the weak export and manufacturing sectors. The deutschemark-bloc
countries saw a marked slowdown in late 1995, which has continued well into
1996. A number of factors delayed a pick-up in activity: the general strikes in
France, which adversely affected output and consumer confidence; the poor winter
weather in Germany, which severely disrupted the construction industry; and
widespread macroeconomic difficulties, such as the global inventory correction
and the high cost-base nature of the German economy, which a slightly weaker
deutschemark could not offset.
As always, political developments were dominant in Europe. In Spain and
Italy there were key elections in the spring resulting in new governmental
administrations. The economic impact of these changes will not be evident for a
while, but neither gave rise to any significant currency or bond market
turbulence.
The outlook in Europe at present is for a steady economic pick-up in the
second half of 1996, accelerating in 1997. Continued budgetary vigor is expected
in all countries as governments struggle to reduce deficits and prepare the
economies for possible monetary union in 1999. While this will clearly dampen
the expected recovery, interest rates are low and should help compensate
(although the interest rate cycle will turn upwards, possibly before year-end).
Inflation is set to remain very low.
During the period under review, the markets in Europe have performed well.
The political changes in Spain and Italy noted above excited equity investors.
In France, the stock market rallied strongly from a very oversold position in
late 1995 with blue chips growth stocks leading the performance. In Germany,
growth stocks were strong as well and in Switzerland the sensational merger of
Ciba-Geigy AG and Sandoz AG boosted the pharmaceutical sector's performance. The
UK market lagged the European averages.
Expectations of strong earnings rises in 1996 had to be scaled back as the
extent of the economic slow-down became evident but we do still anticipate that
1996 will be the fourth year of rising earnings in Europe. The outlook for 1997
is positive and will crucially depend on the scale and breadth of the economic
recovery.
The markets of the Pacific Basin generally started 1996 as they ended 1995,
with strong positive returns in January and early February, in the run up to the
Chinese New Year. The principal influences on this performance were attractive
market valuations and earnings growth forecasts, renewed flows of international
liquidity to the region and lower U.S. interest rates. Hong Kong, which
performed well in 1995, continued to lead the market advance given its direct
tie to U.S. monetary policy through the pegged exchange rate. Indonesia also was
particularly strong. Amongst the weaker markets in the region in the first
quarter were Taiwan, owing to steadily increasing tension with China ahead of
the first-ever Taiwanese presidential election in late March, and Korea, where
political tension and concerns about an economic slowdown remained at high
levels. Toward the end of the quarter the unexpected turn in U.S. employment
data upset consensus opinion that the economy was weak and created confusion
regarding the future direction of interest rates. This, together with further
escalation in Sino-Taiwanese tension, led to a sharp pullback in regional equity
markets.
The Japanese market rose by nearly eight percent in yen terms over the six
month period under review, encouraged by better corporate and economic numbers
and loose monetary policy. However, much of the gain was wiped out for
U.S.-dollar based investors as the yen slipped from 103 to 110 to the U.S.
dollar.
The economic performance of the region remains extremely robust, with gross
domestic product growth expected to remain close to 7 percent on average, fueled
by strong domestic consumption, infrastructure spending and trade, especially on
an intraregional basis. In Southeast Asia (Malaysia, Thailand and Indonesia),
growth rates are expected to decelerate slightly
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and the macroeconomic imbalances which have overshadowed growth should begin to
diminish, allowing domestic interest rates to ease later in the year.
Chinese economic growth has also slowed to a more sustainable,
non-inflationary level of about 8 percent, down from over 13 percent two years
ago. Inflationary pressures have receded and monetary authorities are now
beginning to ease policy. The subsequent resurgence of growth in China should
underpin the region in general and Hong Kong in particular.
AGGRESSIVE GROWTH
DEVELOPING GROWTH PORTFOLIO
For the six-month period ended June 30, 1996, the Developing Growth
Portfolio produced a total return of 14.31 percent, compared to a return of
10.36 percent for the Russell 2000 Index and a return of 12.63 percent for the
Nasdaq Composite.
Small-cap stocks declined during January, before rebounding in February.
This small-cap rally continued through April before coming to an end on signs of
a strengthening economy and rising interest rates. This resulted in a classic
"flight to quality syndrome" as investors fled small-cap stocks in favor of
high-quality, large-capitalization companies. This selloff, which began in June,
saw significant declines within various sectors.
Given this environment, the Portfolio increased its cash position to 9
percent of net assets. The Portfolio's technology/ telecommunications weighting
was lowered from 36 percent to 26 percent during the first six months of 1996.
However, as valuations appear more favorable, we will likely go back into
certain technology names. We will also look to add financial names that offer
both growth and diversity for the portfolio.
Looking ahead, small-cap stocks will likely not come back into favor until
either interest rates fall or valuations adjust enough to entice short-term blue
chip investors back into this more volatile class of equities.
EMERGING MARKETS PORTFOLIO
For the six-month period ended June 30, 1996, the Emerging Markets Portfolio
produced a total return of 15.11 percent, compared to a return of 12.13 percent
for the IFC Investable Emerging Markets Total Return Index. TCW Funds
Management, Inc. is the Portfolio's sub-adviser.
Nearly all of the emerging markets in which the Portfolio invests posted
gains during the first six months of 1996 (with very few exceptions including
Korea, Thailand and South Africa). While the Latin America region outperformed
both the Asia Pacific region and the overall emerging markets composite, gains
of over 15 percent were also posted by countries outside Latin America,
including India, Indonesia, Malaysia, the Philippines, Taiwan, Portugal and
Turkey.
The emerging Asia Pacific markets, in which 46.2 percent of the Portfolio's
assets are invested, rallied during the first quarter, rising 9.2 percent in
dollar terms, as easing global liquidity conditions and price earnings ratios
approached seven year lows. This prompted capital inflows back into the region.
Despite concerns over tension between Taiwan and China early in the year, the
first quarter ended stronger as the rhetoric subsided and corporate earnings
came within expectations. However, the Asian markets declined 0.7 percent during
the second quarter, as investors became concerned over the direction of U.S.
interest rates. The weakening of the yen yielded mixed results in the region.
While a postive effect was a lower burden on yen-denominated debt, the negative
outcome was an erosion in export competitiveness in some countries.
The Latin American equity markets, which represent 40.1 percent of the
Portfolio's assets, posted gains of 15.5 percent during the first half of 1995.
Buoyed by strong capital inflows and renewed investor interest, the Latin
markets gained 5.4 percent during the first quarter and posted even more
impressive returns during the second quarter. Second quarter gains were the
result of improved investor sentiment resulting from the beginning of a rebound
in regional GDP growth to the four percent level, led by a strong turnaround in
Mexico. As a result of the improved economic outlook, strong earnings growth is
forecast in this region.
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Other emerging markets posted mixed results during the first half of 1996.
The South African equity market fell 6.8 percent due to concerns that the
anticipated relaxation of foreign exchange controls may trigger capital
outflows, thus putting pressure on the rand. All of the emerging markets in
Europe (6.0 percent of the Portfolio's assets) posted gains during the first
half of 1996 on positive political and economic news.
As of June 30, 1996, TCW has overweighted Southeast Asia due to the
increased likelihood of a soft landing for most countries in this region. Due to
economic acceleration in China and Japan, they have also increased the
Portfolio's exposure to cyclical and export sectors in Asia. The Portfolio
benefitted from its largest country allocation, Malaysia, where equities rose
16.2 percent during the first six months of 1996. TCW has increased the
Portfolio's exposure to Philippine equities where years of fiscal prudence,
deregulation and limited monetary expansion are yielding economic results. The
Portfolio's holdings remain focused on the banking sector.
TCW continues to be optimistic about the potential for further gains by the
Latin American equity markets. The Portfolio remains overweighted in Mexico,
while increasing its holdings in Argentina with stocks that are sensitive to an
economic recovery. TCW is also gradually increasing the Portfolio's exposure to
Chile, as interest rates appear to have peaked and equities are trading on
multiples near a six-year low, and Peru, where the economic slowdown appears to
have bottomed and prospects for a rebound later this year and early in 1997 are
improving. In Brazil, TCW has focused on state-owned companies due to recent
progress being made on the privatization front. The Portfolio remains neutral to
Columbia where the ongoing political crisis could result in a deterioration in
fundamentals.
TCW has raised the Portfolio's position in emerging Europe by increasing its
holdings in Portugal and Turkey, as well as entering the markets of Russia and
the Czech Republic. Excellent performance of the Portfolio's Hungarian holdings,
led TCW to take profits and exit the market early in the year. The Portfolio
reduced its exposure to South African equities to 1.8 percent of assets, as the
government's strategy on the easing of foreign exchange controls remains
unclear.
GROWTH
AMERICAN VALUE PORTFOLIO
For the six-month period ended June 30, 1996, the American Value Portfolio
posted a total return of 7.1 percent, compared to a return of 10.10 percent for
the S&P 500 Index. The Fund's performance relative to its peer group continues
to be impressive, with a one-year ranking in the top 28 percent of all variable
annuity growth portfolios (#27 of 98 portfolios), according to Lipper Analytical
Services, Inc. (Lipper rankings are based on total return and do not reflect
sales charges.)
As the first quarter of 1996 progressed, the economy gathered momentum as
employment, industrial production and consumer spending began to accelerate. As
evidence of an economic rebound mounted, the portfolio, which had been balanced
in a "barbell" fashion between steady growth and economic sensitive industries,
was tilted toward the cyclical side of the barbell to take advantage of the
expected economic growth that lay ahead. A lesser exposure to steady growth
industries was maintained as the portfolio manager believed that corporate
earnings would decelerate as the year progressed. Steady growth groups
represented in the portfolio included health care (drugs, health care services
and medical supply), consumer staples (beverages, cosmetics and household
products) and consumer/business services (funeral homes, education services and
data processing). These industries historically appreciate in the face of
sluggish corporate profit growth because of their relative earnings advantage.
Financial groups such as banks were also retained as it is expected that their
rate of earnings growth will continue to outpace that of overall profits.
On the economically sensitive side of the portfolio, investment holdings
included technology, (networking, computer software and communications) and
consumer cyclicals (autos, retail, apparel, airlines and lodging). The portfolio
manager focused on this area in an effort to capitalize on signs of continued
capital spending in select high-growth technology areas. Consumer cyclical
industries were purchased in the wake of rising employment, and a resulting
rebound in consumer cyclicals. Purchases also included stocks in the
agriculture-related, aerospace and energy industries. These industries were
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purchased because they represent long-term themes relating to increased demand
emanating from the faster-growing developing countries in Asia and Latin
America.
At the end of June, significant holdings included Cisco Systems, Inc.,
United Technologies Corp., Service Corp. International, Thermo Electron Corp.,
Monsanto Co., Citicorp, ITT Corp., Microsoft Corp., Home Depot, Inc., American
Home Products Corp. and Pfizer, Inc.
After a strong first half, the economy is likely to pause for the remainder
of the year to allow consumer and capital spending pent-up demand to rebuild.
Additionally, slowing unit demand and higher wages could pressure corporate
earnings profitability and result in a diminution in capital spending. In such a
scenario, we anticipate that the Portfolio will likely tilt to the steady growth
side of its barbell portfolio.
Looking forward, the portfolio manager believes that our barbell approach
appropriately positions the Portfolio to take advantage of those steady growth
industries that are still outpacing overall corporate earnings growth and those
industries that are currently benefiting from an economic lift.
CORE EQUITY PORTFOLIO
For the six-month period ended June 30, 1996, the Core Equity Portfolio
produced a total return of 12.54 percent, compared to a return of 10.10 percent
for the S&P 500 Index.
The Core Equity Portfolio's investment approach based on fundamental
research affords TCW Funds Management, Inc. (TCW), the Portfolio's sub-adviser,
the ability to focus on the long term and not waver with the short-term vagaries
of the equity markets. This investment policy benefited the Portfolio during the
first half of 1996 as two of its longest held technology companies, Microsoft
Corp. and Intel Corp., continued to outperform the market. The Portfolio's
consumer staples holdings underperformed, primarily due to its health care and
entertainment positions (i.e., IVAX Corp. and Viacom, Inc.), while consumer
cyclicals (i.e., Chrysler Corp. and Lear Corp.) outperformed as strong auto
sales boosted earnings, propelling stock prices higher. Basic industries added
marginal relative performance as the strength exhibited by the Portfolio's
overweightings of the airlines industry (i.e., AMR Corp. and UAL Corp.) was
partially offset by underperformance in chemicals and energy. The Portfolio's
credit sensitive holdings, led by Citicorp, outperformed.
GLOBAL EQUITY PORTFOLIO
During the six months ended June 30, 1996, the Global Equity Portfolio
produced a total return of 8.38 percent, compared to a return of 6.25 percent
for the Morgan Stanley Capital International World Index.
The global backdrop of stable inflation and recovering global growth in
Japan, Europe and Latin America allowed for favorable equity market performance
during the period under review. Among the major markets, the United States
remained the best performing, gaining 10.10 percent (as measured by the S&P 500
Index). However, stronger than anticipated gains in economic growth and
employment figures in the U.S. has recently added volatility to its markets as
investors begin to discount the possibility of rising interest rates.
In Japan, the equity market began discounting a sustainable economic
recovery after five years of false starts and disappointments. Low interest
rates, a weakening yen and improving macroeconomic data all underpinned a 7.22
percent rally in local currency terms. However, the U.S. dollar strengthened
versus both the yen and deutschemark, lowering returns for dollar-based
investors.
On June 30, 1996, the Portfolio's allocation emphasized Japan (34.6 percent
of net assets), the United States (22.0 percent) and Hong Kong (4.6 percent).
The Portfolio continues to be broadly diversified in over 30 countries with wide
industry representation.
Looking ahead, the Portfolio continues to see value in global stock markets,
as economic growth endures in the U.S., renews in Europe and Japan and companies
worldwide focus on restructuring operations and improving operations.
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GROWTH AND INCOME
BALANCED PORTFOLIO
For the six-month period ended June 30, 1996, the Balanced Portfolio
produced a total return of 5.91 percent, compared to a return of 10.10 percent
for the S&P 500 Index and a return of -1.88 percent for the Lehman Brothers
Government/ Corporate Bond Index. During the same period, the average variable
annuity balanced portfolio returned 4.14 percent, according to Lipper Analytical
Services, Inc. TCW Funds Management, Inc. (TCW) is the Portfolio's sub-advisor.
On June 30, 1996, 65 percent of the Portfolio's assets were allocated to
equities, while 35 percent was in bonds. Significant outperformance of the
equity portion of the portfolio relative to its benchmark prevailed until June
when signs of economic strength prompted fears of an imminent change in monetary
policy. TCW believes that neither inflation nor recession represent near-term
threats. The massive productivity gains achieved through the deployment of
technology, especially in the service sector, have undoubtedly lowered the
threshold unemployment rate below that rate at which inflation would
historically accelerate. TCW believes the probabilities favor a moderation of
growth in the second half of the year and extension of the business cycle into
1997. Nascent recoveries in Europe and Japan, as well as Latin America and
Eastern Europe, should support further growth of profits for world-class
American companies which are well represented in the portfolio.
As of June 30, 1996, the Portfolio has substantial equity exposure to the
mega-trend of corporate outsourcing through such companies as Lear Corp.,
Electronic Data Systems Corp., First Data Corp. and Corrections Corp. of
America. Although these shares were valued somewhat below their year-to-date
highs at the end of second quarter, all have performed well thus far in 1996 and
the fundamental outlook for each continues to be extremely buoyant.
The Portfolio continues to maintain a substantial overweighting in the broad
areas of computer and communications technology. Holdings include such issues as
Cisco Systems, Inc., Hewlett-Packard Co., Intel Corp., Microsoft Corp. and
Motorola, Inc. TCW believes that three factors will continue to stimulate rapid
worldwide revenue and profit growth for these industry leaders: extremely rapid
growth of on-line and Internet services; an imminent corporate PC upgrade cycle
following late-summer introduction of Windows NT and the Pentium Pro
microprocessor; and the impact of telecommunications deregulation in the United
States and continuing privatizations abroad.
The remaining issues include a diverse mix of companies, each of which has
strong fundamental investment appeal, including Merck & Co., Inc. and Johnson &
Johnson (health care); Citicorp, Marsh & McLennan Companies, Inc. and Merrill
Lynch & Co., Inc. (financial services); and such solidly positioned industrials
as American Standard Companies, Inc., Chrysler Corp., Kimberly-Clark Corp. and
Proctor & Gamble Co.
Higher interest rates throughout much of the reporting period, significantly
impacted the fixed-income portion of the Portfolio. As of June 30, 1996, the
fixed-income portion was positioned with a duration neutral to its benchmark
index, with a bias to lengthen the account in anticipation of a more favorable
outlook for the fixed-income markets in the second half of the year.
DIVIDEND GROWTH PORTFOLIO
For the six month period ended June 30, 1996, the Dividend Growth Portfolio
produced a total return of 12.75 percent, compared to a return of 10.10 percent
for the S&P 500 Index. On June 30, 1996, the Portfolio's net assets totaled $158
million. The Portfolio, which began operations on November 9, 1994, has
maintained a fully invested posture with 98.1 percent of its net assets
committed to common stocks.
During the period under review, two issues were sold from the portfolio: 360
Communications Co. (a spin-off from Sprint Corp.) and Payless Shoesource, Inc.
(a spin-off from May Department Stores Co.); as neither of these issues
qualified for the portfolio under the Portfolio's screening processes. New
portfolio positions were initiated in American Stores Co., Atlantic
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Richfield Co., Banc One Corp., Ford Motor Co. and Weyerhaeuser Co. On June 30,
1996, the Portfolio owned 29 equity issues spread among 24 industry groups.
VALUE-ADDED MARKET PORTFOLIO
For the six-month period ended June 30, 1996, the Value-Added Market
Portfolio produced a total return of 9.10 percent, compared to a return of 10.10
percent for the S&P 500 Index. The Portfolio's net assets totaled approximately
$46.8 million.
The Portfolio invests in the stocks that comprise the S&P 500 Index.
However, unlike the index, the Portfolio equally weights all stock positions,
thereby emphasizing the stocks of small- and mid-sized companies. These
companies have historically outperformed larger-capitalization companies. During
the period under review, the Value-Added Portfolio under performed the S&P 500,
as large-capitalization shares, as well as technology issues were among the
market's leaders. Due to its equal-weighted strategy, the portfolio is
under-represented in these areas.
Over the long term, smaller-capitalization stocks have outperformed larger,
more mature companies. We expect this trend to continue, thereby benefiting the
Value-Added Market Portfolio.
UTILITIES PORTFOLIO
For the six-month period ended June 30, 1996, the Utilities Portfolio
produced a total return of 5.69 percent.
Over the first half of 1996, the overall strength of the economy, rising
interest rates, the threat of inflation and the prevailing uncertainty
surrounding the industry's transition from monopoly to open competition tempered
the attraction of utilities to investors. While the electric utility industry
continued to receive favorable directives by government regulators regarding
their "financial formula" to competition, the degree of generalities and lack of
detail has kept investors at bay and generally insecure with regard to dividend
growth and safety. Over the second half of the year, we expect more state
regulatory agencies to formally announce their plans to introduce electric power
competition within their respective borders. These plans should entail few
surprises regarding the timing and operating market structure and on balance be
constructive.
Meanwhile within the telecommunications industry, new legislation has been
passed that should prompt widespread competition domestically and globally.
However, the market has been in a quandary due to mixed interpretation of the
legislation, particularly as to how it affects the relative competitive posture
of the local and long-distance companies. During the third quarter of 1996, some
clarification and direction is expected to be given by the Federal Communication
Commission. This should relieve much of the impasse that has confronted telecom
investors.
Natural gas stocks, specifically the integrated pipelines and selective
producers, benefitted from strong commodity prices during the first six months
of 1996. As the fundamental outlook for the industry strengthens and becomes
more visible, we expect additional enthusiasm for the pipeline, producers and
gatherer sectors of the natural gas industry to develop.
At mid-year, the Portfolio was 94 percent invested with the balance
allocated to cash equivalent investments. Within the equity component,
accounting for 99 percent of invested assets, the sector allocation had 43
percent telecommunications, 40 percent electric utilities and 17 percent natural
gas. Foreign securities account for 12 percent of the Portfolio's net assets and
remain concentrated in equity investments within 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.
INCOME
DIVERSIFIED INCOME PORTFOLIO
For the six-month period ended June 30, 1996, the Diversified Income
Portfolio produced a total return of 4.88 percent.
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U.S. GOVERNMENT/MORTGAGE SECTOR. On June 30, 1996, approximately 58 percent
of this portion of the Portfolio was invested in Federal National Mortgage
Association (FNMA) mortgage-backed securities. These securities continue to
offer a superior income stream and a competitive total return versus U.S.
Treasuries of similar maturity and duration.
HIGH-YIELD SECTOR. The investment strategy for this sector during the first
half of 1996 has been to capitalize on the opportunities created by the 1994
market correction by positioning the portfolio for a continued rebound in the
high-yield market. Despite the fact that corporate credit quality remained
strong, the 1994 market correction pushed yields on many B-rated issues 300-400
basis points higher (to the 13 to 14 percent range) and caused bonds prices in
some cases to decline by as much as 15 to 20 percent. In light of this
correction, the Portfolio increased its emphasis on discounted issues, which
helped to provide more capital appreciation potential during the past twelve
months, as the high-yield market rebounded. While this sector is still
positioned for further upside in the high-yield market, the Portfolio does
maintain a sizable position in various defensive securities. This should provide
the Portfolio with the flexibility needed to take advantage of any interim
opportunities that may arise.
GLOBAL BOND SECTOR. The strategy for the Portfolio's global bond sector was
to continue its overweighting in the higher yielding European markets (i.e.
Spain, Italy, Sweden and the United Kingdom) to take advantage of the relative
outperformance of those markets versus the core European countries (i.e.,
Germany). In addition, its weightings in the dollar-bloc countries, Australia
and New Zealand were also increased in order to benefit from the higher yields
and stable currencies of these markets. To protect this sector from the dollar's
rise against the European currencies, the investments in these markets were
mostly hedged back into the U.S. dollar.
On June 30, 1996, approximately 66 percent of the global bond sector was in
Europe, 9 percent in North America, 14 percent in Australia and 11 percent in
New Zealand. Looking ahead, we anticipate a continuation of this strategy of
overweighting in the higher yielding markets and selective hedging to minimize
volatility.
MONEY MARKET PORTFOLIO
As of June 30, 1996, the Money Market Portfolio had assets in excess of $60
million with an average life of 57 days. The Portfolio's 12-month yield as of
June 30, 1996 was 5.26 percent and its annualized yield for June was 4.72
percent.
Rates available on money market securities held remarkably stable during the
second half of 1995, then declined by about twenty five basis points (one
quarter of one percentage point) during January and February, 1996. For the
remaining four months of March through June, yields again remained fairly
steady, but showed some firming during June. As the economic data continued to
register stronger-than-expected trends, a more positively shaped yield curve
developed in the money markets with most of the change occurring in maturities
of four to twelve months.
On June 30, 1996, approximately 78 percent of the portfolio consisted of
high quality commercial paper, 5 percent was invested in short-term bank notes
and certificates of deposit of major financially strong commercial banks, 9
percent was invested in bankers' acceptances issued by such institutions and the
remaining 8 percent in Federal agency obligations.
At the end of this fiscal period, more than 86 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 which could fluctuate excessively when
interest rates change.
NORTH AMERICAN GOVERNMENT INCOME PORTFOLIO
For the six-month period ended June 30, 1996, the North American Government
Income Portfolio posted a total return of 0.55 percent. On June 30, 1996, the
Portfolio's assets were primarily allocated to U.S. Treasury and
mortgage-pass-through issues. The Portfolio did not hold any securities issued
by Mexico or Canada during the period.
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As fundamental investors, TCW Funds Management, Inc., the Portfolio's
sub-adviser, had difficulty dealing with the rapidly changing economic landscape
and the extreme market volatility it has engendered. Although they have adopted
a more defensive position through the second quarter, the market rallied sharply
during the last week of June on the belief that the economy would slow
significantly in the second half of the year. This short-term increase in prices
took TCW by surprise and accounted for most of the underperformance in the
second quarter versus the Portfolio's benchmark index.
Although market participants continue to price in prospects for higher than
expected economic growth, TCW believes tightening action by the Federal Reserve
Board is not expected to occur until later in the summer, if at all. TCW is
awaiting an opportunity to reenter the Mexican market and, although conditions
in Canada have not yet warranted renewed investment by the Portfolio, they
continue to monitor the Canadian environment for possible future investment as
well.
We appreciate your support of Dean Witter Select Dimensions Investment
Series and look forward to continuing to serve your investment needs and
objectives.
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 JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ANNUALIZED
PRINCIPAL YIELD
AMOUNT (IN ON DATE OF MATURITY
THOUSANDS) PURCHASE DATE VALUE
- ----------- -------------- --------------- ------------
<C> <S> <C> <C> <C>
COMMERCIAL PAPER (77.4%)
AUTOMOTIVE - FINANCE (7.4%)
$ 1,755 Ford Motor Credit Co.................................. 5.40-5.46% 07/31/96-10/03/96 $ 1,738,682
2,770 General Motors Acceptance Corp........................ 5.42-5.86 08/08/96-01/03/97 2,722,872
------------
4,461,554
------------
BANK HOLDING COMPANIES (16.4%)
1,000 BankAmerica Corp...................................... 5.42 11/18/96 979,252
2,670 Barnett Banks Inc..................................... 5.44 07/01/96 2,669,194
1,000 Chase Manhattan Corp.................................. 5.39 08/21/96 992,212
621 Morgan (J.P.) & Co. Inc............................... 5.38 07/11/96 619,901
2,590 PNC Funding Corp...................................... 5.41-5.53 08/13/96-09/24/96 2,562,982
2,075 U.S. Bancorp.......................................... 5.37-5.47 07/08/96-09/05/96 2,067,700
------------
9,891,241
------------
BANKS - COMMERCIAL (18.7%)
2,805 Abbey National North America Corp..................... 5.00-5.48 08/23/96-11/04/96 2,771,696
1,650 ABN - AMRO North America Finance Inc.................. 5.06-5.44 08/27/96-11/12/96 1,628,906
1,000 Canadian Imperial Holdings Inc........................ 5.52 09/09/96 989,120
1,000 Commerzbank U.S. Finance Inc.......................... 5.35 07/01/96 999,707
1,000 National Australia Funding (DE) Inc................... 5.10 09/03/96 990,888
1,000 Societe Generale N.A., Inc............................ 5.40 07/22/96 996,601
2,925 WestPac Capital Corp.................................. 5.47-5.66 09/09/96-12/30/96 2,865,197
------------
11,242,115
------------
BROKERAGE (5.8%)
1,000 Goldman Sachs Group L.P............................... 5.38 08/05/96 994,522
2,540 Morgan Stanley Group, Inc............................. 5.33-5.38 07/09/96-07/12/96 2,535,816
------------
3,530,338
------------
FINANCE - CONSUMER (7.1%)
1,550 American Express Credit Corp.......................... 5.00-5.38 08/09/96-08/19/96 1,539,825
2,745 Norwest Financial Inc................................. 5.32-5.34 07/16/96-07/19/96 2,737,646
------------
4,277,471
------------
FINANCE - DIVERSIFIED (6.3%)
1,000 Associates Corp. of North America..................... 5.19 07/29/96 995,767
2,810 General Electric Capital Corp......................... 5.35-5.41 08/22/96-10/24/96 2,780,830
------------
3,776,597
------------
OFFICE EQUIPMENT (4.9%)
2,000 IBM Credit Corp....................................... 5.35-5.39 07/03/96-07/24/96 1,995,684
1,000 Xerox Credit Corp..................................... 5.47 09/18/96 987,850
------------
2,983,534
------------
RETAIL (4.5%)
2,725 Sears Roebuck Acceptance Corp......................... 5.39-5.45 08/07/96-09/26/96 2,700,907
------------
<PAGE>
</TABLE>
MONEY MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ANNUALIZED
PRINCIPAL YIELD
AMOUNT (IN ON DATE OF MATURITY
THOUSANDS) PURCHASE DATE VALUE
- ----------- -------------- --------------- ------------
<C> <S> <C> <C> <C>
TELEPHONES (5.4%)
$ 1,000 Ameritech Corp........................................ 5.43% 10/18/96 $ 983,597
1,215 AT&T Corp............................................. 5.38-5.52 08/14/96-10/15/96 1,202,013
1,045 BellSouth Telecommunications Inc...................... 5.36 07/02/96 1,044,534
------------
3,230,144
------------
UTILITIES - FINANCE (0.9%)
531 National Rural Utilities Cooperative Finance Corp..... 5.45 08/19/96 526,938
------------
TOTAL COMMERCIAL PAPER (AMORTIZED COST $46,620,839).................................... 46,620,839
------------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C> <C> <C>
BANKERS' ACCEPTANCES (9.0%)
2,750 First National Bank of Boston......................... 5.20-5.42 07/10/96-08/02/96 2,740,404
1,000 First Union National Bank of Florida.................. 5.07 07/26/96 996,287
1,699 Mellon Bank, N.A...................................... 5.46 08/19/96 1,685,657
------------
TOTAL BANKERS' ACCEPTANCES (AMORTIZED COST $5,422,348)................................. 5,422,348
------------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C> <C> <C>
U.S. GOVERNMENT AGENCIES (8.4%)
1,750 Federal Home Loan Banks............................... 5.10-5.55 07/18/96-02/03/97 1,723,053
2,313 Federal Home Loan Mortgage Corp....................... 5.52 07/01/96 2,312,291
1,000 Federal National Mortgage Assoc....................... 5.25 08/29/96 991,409
------------
TOTAL U.S. GOVERNMENT AGENCIES (AMORTIZED COST $5,026,753)............................. 5,026,753
------------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C> <C> <C>
CERTIFICATES OF DEPOSIT (3.3%)
1,000 Chase Manhattan Bank (USA)............................ 5.42 09/11/96 1,000,000
1,000 Union Bank of California, N.A......................... 5.48 11/20/96 1,000,000
------------
TOTAL CERTIFICATES OF DEPOSIT (AMORTIZED COST $2,000,000).............................. 2,000,000
------------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C> <C> <C>
SHORT-TERM BANK NOTE (1.7%)
1,000 La Salle National Bank (Amortized Cost $1,000,000).... 5.44 08/09/96 1,000,000
------------
TOTAL INVESTMENTS (AMORTIZED COST $60,069,940) (A)......................... 99.8% 60,069,940
CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES............................. 0.2 115,149
---------- ------------
NET ASSETS................................................................. 100.0% $ 60,185,089
---------- ------------
---------- ------------
- ----------------
(A) COST IS THE SAME FOR FEDERAL INCOME TAX PURPOSES.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
NORTH AMERICAN GOVERNMENT SECURITIES
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN COUPON MATURITY
THOUSANDS) RATE DATE VALUE
- ------------- ---------- --------- -----------
<C> <S> <C> <C> <C>
U.S. GOVERNMENT & AGENCIES OBLIGATIONS (48.4%)
$ 35 Federal Home Loan Banks............................................ 6.78 % 04/04/97 $ 35,235
40 Federal Home Loan Mortgage Corp.................................... 7.69 12/16/96 40,383
95 Federal National Mortgage Assoc.................................... 6.00 09/01/00 92,374
90 Federal National Mortgage Assoc.................................... 6.50 07/01/02 88,335
99 Federal National Mortgage Assoc.................................... 7.00 10/01/02 99,049
100 Federal National Mortgage Assoc.................................... 7.00 06/01/03 99,625
94 Federal National Mortgage Assoc.................................... 7.046 07/01/24 96,272
75 Federal National Mortgage Assoc.................................... 7.60 01/10/97 75,691
250 U.S. Treasury Note................................................. 5.50 11/15/98 245,977
200 U.S. Treasury Note................................................. 5.50 02/28/99 196,188
150 U.S. Treasury Note................................................. 5.50 04/15/00 145,523
115 U.S. Treasury Note................................................. 6.125 05/15/98 115,000
-----------
TOTAL U.S. GOVERNMENT & AGENCIES OBLIGATIONS (IDENTIFIED COST $1,354,123)................. 1,329,652
-----------
MORTGAGE-BACKED SECURITIES (40.6%)
99 Federal Home Loan Mortgage Corp. PC Gold........................... 5.50 11/01/00 95,337
83 Federal Home Loan Mortgage Corp. PC Gold........................... 6.00 11/01/99 81,505
101 Federal Home Loan Mortgage Corp. PC Gold........................... 6.00 05/01/11 95,539
86 Federal Home Loan Mortgage Corp. PC Gold........................... 7.00 07/01/00 86,692
187 Federal Home Loan Mortgage Corp. PC Gold........................... 7.50 06/01/11 187,609
96 Government National Mortgage Assoc................................. 6.00 08/20/25 95,248
147 Government National Mortgage Assoc................................. 6.50 02/20/23 146,823
98 Government National Mortgage Assoc................................. 6.50 01/20/26 98,376
100 Government National Mortgage Assoc................................. 6.50 05/20/26 100,035
127 Government National Mortgage Assoc................................. 7.00 06/20/25 129,122
-----------
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $1,121,804)............................. 1,116,286
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C> <C> <C>
REPURCHASE AGREEMENT (5.0%)
137 The Bank of New York (dated 06/28/96; proceeds $137,010;
collateralized by $140,231 U.S. Treasury Note 5.375% due 11/30/97
valued at $139,690)
(Identified Cost $136,951)....................................... 5.125 07/01/96 136,951
-----------
TOTAL INVESTMENTS (IDENTIFIED COST $2,612,878) (A)............................ 94.0% 2,582,889
CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES................................ 6.0 163,752
---------- -----------
NET ASSETS.................................................................... 100.0% $ 2,746,641
---------- -----------
---------- -----------
- ----------------
(A) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES APPROXIMATES
IDENTIFIED COST. THE AGGREGATE GROSS UNREALIZED APPRECIATION WAS
$510 AND THE AGGREGATE GROSS UNREALIZED DEPRECIATION WAS
$30,499, RESULTING IN NET UNREALIZED DEPRECIATION OF $29,989.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN COUPON MATURITY
THOUSANDS) RATE DATE VALUE
- ----------- --------- --------------- -------------
<C> <S> <C> <C> <C>
GOVERNMENT & CORPORATE BONDS (87.2%)
AUSTRALIA (3.2%)
GOVERNMENT OBLIGATION
Au$ 844 Queensland Treasury Corp.................................. 8.00 % 05/14/97 $ 665,605
-------------
CANADA (2.7%)
GOVERNMENT OBLIGATION
Ca$ 740 Canada Treasury Bond (a).................................. 8.00 11/01/98 562,380
-------------
DENMARK (3.0%)
GOVERNMENT OBLIGATION
DKr 3,350 Denmark Treasury Note (a)................................. 9.00 11/15/98 618,998
-------------
GERMANY (0.8%)
GOVERNMENT OBLIGATION
DEM 230 Bundes Obligation (a)..................................... 6.875 02/24/99 159,168
-------------
ITALY (3.4%)
FINANCE (0.1%)
ITL 30M Credit Suisse Finance Gibraltar........................... 11.625 05/27/97 20,023
-------------
GOVERNMENT OBLIGATIONS (3.3%)
750M Italy Treasury Bond (a)................................... 10.50 04/15/98 505,638
250M Italy Treasury Bond (a)................................... 9.50 02/01/99 167,340
-------------
672,978
-------------
TOTAL ITALY........................................................................... 693,001
-------------
NEW ZEALAND (3.4%)
GOVERNMENT OBLIGATIONS
NZ$ 600 New Zealand Treasury Bond................................. 9.00 11/15/96 409,142
425 New Zealand Treasury Bond (a)............................. 8.00 07/15/98 284,451
-------------
TOTAL NEW ZEALAND..................................................................... 693,593
-------------
PORTUGAL (2.8%)
GOVERNMENT OBLIGATION
PTE 90M Portugal Treasury Bond (a)................................ 8.375 01/23/99 583,234
-------------
SPAIN (3.7%)
GOVERNMENT OBLIGATIONS
ESP 14M Spain Treasury Bond (a)................................... 11.45 08/30/98 117,634
43M Spain Treasury Bond (a)................................... 9.90 10/31/98 351,915
35M Spain Treasury Bond (a)................................... 10.25 11/30/98 288,599
-------------
TOTAL SPAIN........................................................................... 758,148
-------------
SWEDEN (2.1%)
GOVERNMENT OBLIGATION
SEK 2,800 Sweden Treasury Bond (a).................................. 10.75 01/23/97 432,024
-------------
<PAGE>
</TABLE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN COUPON MATURITY
THOUSANDS) RATE DATE VALUE
- ----------- --------- --------------- -------------
<C> <S> <C> <C> <C>
UNITED KINGDOM (3.6%)
GOVERNMENT OBLIGATION
L 465 United Kingdom Treasury Bond.............................. 7.00 % 08/06/97 $ 730,249
-------------
UNITED STATES (58.5%)
AEROSPACE (0.8%)
$ 200 Sabreliner Corp. (Series B)............................... 12.50 04/15/03 169,000
-------------
AUTOMOTIVE (0.4%)
100 Envirotest Systems, Inc................................... 9.625 04/01/03 77,000
-------------
BROADCAST MEDIA (1.5%)
100 Paxson Communications Corp................................ 11.625 10/01/02 103,500
200 Spanish Broadcasting System, Inc.......................... 7.50 06/15/02 199,500
-------------
303,000
-------------
BUSINESS SERVICES (1.3%)
250 Xerox Corp................................................ 15.00 06/10/97 270,875
-------------
CABLE & TELECOMMUNICATIONS (6.6%)
205 Adelphia Communications Corp. (Series B).................. 9.50+ 02/15/04 177,621
250 American Communications Industries, Inc. - 144A*.......... 12.75++ 04/01/06 131,875
100 AT&T Capital Corp......................................... 15.00 05/05/97 107,176
250 Falcon Holdings Group L.P................................. 11.00+ 09/15/03 238,750
400 Hyperion Communications (Units)++ - 144A*................. 13.00++ 04/15/03 223,000
300 In-Flight Phone Corp. (Series B).......................... 14.00++ 05/15/02 106,500
100 Peoples Telephone Co., Inc................................ 12.25 07/15/02 97,000
500 UIH Australia/Pacific Inc. - 144A*........................ 14.00++ 05/15/06 268,750
-------------
1,350,672
-------------
COMPUTER EQUIPMENT (1.3%)
200 Integrated Device Technology (Conv.)...................... 5.50 06/01/02 157,250
100 Unisys Corp............................................... 15.00 07/01/97 105,750
-------------
263,000
-------------
CONTAINERS (1.2%)
100 Anchor Glass Containers Corp.............................. 10.25 06/30/02 80,000
100 Anchor Glass Containers Corp.............................. 9.875 12/15/08 50,000
200 Ivex Holdings Corp. (Series B)............................ 13.25++ 03/15/05 123,000
-------------
253,000
-------------
ELECTRICAL & ALARM SYSTEMS (0.4%)
100 Mosler, Inc............................................... 11.00 04/15/03 85,000
-------------
ENTERTAINMENT/GAMING & LODGING (4.8%)
100 Cobblestone Golf Group - 144A*............................ 11.50 06/01/03 100,500
250 Cobblestone Holdings Inc. (Units)++ - 144A*............... 0.00 06/01/04 92,500
100 Fitzgeralds Gaming Corp. (Units)++........................ 13.00 12/31/02 84,000
100 Lady Luck Gaming Finance Corp............................. 11.875 03/01/01 98,500
100 Motels of America, Inc. (Series B)........................ 12.00 04/15/04 96,000
250 Players International, Inc................................ 10.875 04/15/05 254,062
100 Plitt Theaters, Inc....................................... 10.875 06/15/04 101,750
200 President Riverboat Casinos, Inc.......................... 13.00 09/15/01 167,000
-------------
994,312
-------------
<PAGE>
</TABLE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN COUPON MATURITY
THOUSANDS) RATE DATE VALUE
- ----------- --------- --------------- -------------
<C> <S> <C> <C> <C>
FOODS & BEVERAGES (2.9%)
$ 100 Envirodyne Industries, Inc................................ 10.25 % 12/01/01 $ 87,000
100 SC International Services, Inc............................ 13.00 10/01/05 108,750
200 Seven Up/RC Bottling Co. Southern California, Inc. (b).... 11.50 08/01/99 141,000
600 Specialty Foods Acquisition Corp. (Series B).............. 13.00++ 08/15/05 264,000
-------------
600,750
-------------
MANUFACTURING (1.5%)
100 Alpine Group, Inc. (Series B)............................. 12.25 07/15/03 100,750
100 Berry Plastics Corp....................................... 12.25 04/15/04 107,500
100 Uniroyal Technology Corp.................................. 11.75 06/01/03 90,000
-------------
298,250
-------------
MANUFACTURING - DIVERSIFIED (2.1%)
100 Foamex L.P................................................ 11.875 10/01/04 102,500
100 Interlake Corp............................................ 12.125 03/01/02 100,250
250 Jordan Industries, Inc.................................... 10.375 08/01/03 238,750
-------------
441,500
-------------
OIL & GAS (0.4%)
100 Empire Gas Corp........................................... 7.00 07/15/04 88,500
-------------
PUBLISHING (1.6%)
200 Affiliated Newspapers Investments, Inc.................... 13.25++ 07/01/06 138,000
200 United States Banknote Corp............................... 10.375 06/01/02 184,000
-------------
322,000
-------------
RESTAURANTS (1.1%)
100 Carrols Corp.............................................. 11.50 08/15/03 101,500
200 Flagstar Corp............................................. 11.25 11/01/04 132,000
-------------
233,500
-------------
RETAIL (1.4%)
100 Cort Furniture Rental Corp................................ 12.00 09/01/00 104,125
200 County Seat Stores Co..................................... 12.00 10/01/02 174,000
-------------
278,125
-------------
RETAIL - FOOD CHAINS (0.9%)
200 Ralphs Grocery Co......................................... 10.45 06/15/04 191,000
-------------
TEXTILES - APPAREL MANUFACTURERS (0.2%)
50 U.S. Leather, Inc......................................... 10.25 07/31/03 42,000
-------------
WASTE MANAGEMENT (0.5%)
100 Norcal Waste Systems - 144A*.............................. 12.50 11/15/05 105,500
-------------
<PAGE>
</TABLE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN COUPON MATURITY
THOUSANDS) RATE DATE VALUE
- ----------- --------- --------------- -------------
<C> <S> <C> <C> <C>
U.S. GOVERNMENT & AGENCIES OBLIGATIONS (27.6%)
Federal National Mortgage Assoc.
02/01/11-
$ 1,008 .......................................................... 6.00 % 03/01/11 $ 952,880
07/01/25-
1,923 .......................................................... 7.00 02/01/26 1,849,534
505 .......................................................... 8.00 06/01/26 508,788
-------------
3,311,202
-------------
Government National Mortgage Assoc.
505 .......................................................... 7.50 04/15/26 497,348
02/15/26-
990 .......................................................... 8.00 06/15/26 998,663
-------------
1,496,011
-------------
500 U.S. Treasury Note........................................ 5.75 10/31/00 486,953
500 U.S. Treasury Note Principal Strip........................ 0.00 02/15/00 397,493
-------------
884,446
-------------
5,691,659
-------------
TOTAL UNITED STATES................................................................... 12,058,643
-------------
TOTAL GOVERNMENT & CORPORATE BONDS (IDENTIFIED COST $18,054,156)...................... 17,955,043
-------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES
- -----------
<C> <S> <C>
COMMON AND PREFERRED STOCKS (c) (0.9%)
ENTERTAINMENT/GAMING & LODGING (0.7%)
5,000 Lady Luck Gaming Corp. (Series A) (Pref.)+........................................ 147,500
-------------
OIL & GAS (0.2%)
10,000 HarCor Energy, Inc................................................................ 45,000
-------------
TOTAL COMMON AND PREFERRED STOCKS (IDENTIFIED COST $195,500)...................... 192,500
-------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION
WARRANTS DATE
- ----------- ---------------
<C> <S> <C> <C>
WARRANTS (c) (0.0%)
CABLE & TELECOMMUNICATIONS
200 In-Flight Phone Corp. - 144A*..................................... 08/31/02 2,000
-------------
ENTERTAINMENT/GAMING & LODGING
787 Fitzgeralds Gaming Corp. - 144A*.................................. 12/19/98 3,542
-------------
TOTAL WARRANTS (IDENTIFIED COST $14,739)........................................... 5,542
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN COUPON MATURITY
THOUSANDS) RATE DATE
- ----------- --------- ---------------
<C> <S> <C> <C> <C>
SHORT-TERM INVESTMENTS (9.7%)
AUSTRALIA (d) (0.9%)
GOVERNMENT OBLIGATION
Au$ 245 Australia Treasury Bill................................... 7.30 % 07/18/96 192,230
-------------
<PAGE>
</TABLE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN COUPON MATURITY
THOUSANDS) RATE DATE VALUE
- ----------- --------- --------------- -------------
<C> <S> <C> <C> <C>
PORTUGAL (e) (1.0%)
TIME DEPOSIT
PTE 31M Bankers Trust............................................. 7.125% 07/29/96 $ 196,555
-------------
UNITED STATES (7.8%)
U.S. GOVERNMENT AGENCY (d) (6.8%)
$ 1,400 Federal Home Loan Mortgage Corp........................... 5.52 07/01/96 1,400,000
-------------
REPURCHASE AGREEMENT (1.0%)
211 The Bank of New York (dated 06/28/96; proceeds $211,435;
collateralized by $216,406 U.S. Treasury Note 5.375% due
11/30/97 valued at $215,572) (Identified Cost
$211,345)............................................... 5.125 07/01/96 211,345
-------------
TOTAL UNITED STATES................................................................... 1,611,345
-------------
TOTAL SHORT-TERM INVESTMENTS (IDENTIFIED COST $1,986,765)............................. 2,000,130
-------------
TOTAL INVESTMENTS (IDENTIFIED COST $20,251,160) (f)....................... 97.8% 20,153,215
CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES............................ 2.2 448,658
---------- -------------
NET ASSETS................................................................ 100.0% $ 20,601,873
---------- -------------
---------- -------------
- ----------------
M IN MILLIONS.
* RESALE IS RESTRICTED TO QUALIFIED INSTITUTIONAL INVESTORS.
++ 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) SOME OR ALL OF THESE SECURITIES ARE SEGREGATED IN CONNECTION
WITH OPEN FORWARD FOREIGN CURRENCY CONTRACTS.
(b) NON-INCOME PRODUCING SECURITY, ISSUER IN DEFAULT.
(c) NON-INCOME PRODUCING SECURITIES.
(d) SECURITIES WERE PURCHASED ON A DISCOUNT BASIS. THE INTEREST
RATES SHOWN HAVE BEEN ADJUSTED TO REFLECT A MONEY MARKET
EQUIVALENT YIELD.
(e) SUBJECT TO WITHDRAWAL RESTRICTIONS UNTIL MATURITY.
(f) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES APPROXIMATES
IDENTIFIED COST. THE AGGREGATE GROSS UNREALIZED APPRECIATION WAS
$255,181 AND THE AGGREGATE GROSS UNREALIZED DEPRECIATION WAS
$353,126, RESULTING IN NET UNREALIZED DEPRECIATION OF $97,945.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
FORWARD FOREIGN CURRENCY CONTRACTS OPEN AT JUNE 30, 1996:
<TABLE>
<CAPTION>
IN UNREALIZED
CONTRACTS EXCHANGE DELIVERY APPRECIATION
TO DELIVER FOR DATE (DEPRECIATION)
- ---------- ---------- -------- ----------------
<S> <C> <C> <C>
Y 20,000,000 $ 186,881 11/05/96 $ 8,024
DEM 306,000 $ 208,036 11/12/96 8,222
Y 75,000,000 $ 688,263 03/07/97 6,785
NLG 559,650 $ 339,388 03/25/97 13,524
DEM 1,148,000 $ 750,670 06/11/97 (1,551)
NLG 336,000 $ 195,998 06/27/97 (575)
-------
Net unrealized appreciation .................. $34,429
-------
-------
</TABLE>
<PAGE>
BALANCED
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
COMMON STOCKS (65.4%)
AEROSPACE (1.4%)
4,200 Boeing Co............................................................................ $ 365,925
-------------
AIR TRANSPORT (0.9%)
2,600 AMR Corp.*........................................................................... 236,600
-------------
AIRCRAFT & AEROSPACE (1.0%)
3,700 Northrop Grumman Corp................................................................ 252,062
-------------
AIRLINES (0.9%)
2,700 Delta Air Lines, Inc................................................................. 224,100
-------------
ALUMINUM (0.5%)
2,300 Aluminum Co. of America.............................................................. 131,962
-------------
AUTO PARTS - AFTER MARKET (0.8%)
5,800 Lear Corp.*.......................................................................... 204,450
-------------
AUTOMOTIVE (2.7%)
6,500 Chrysler Corp........................................................................ 403,000
9,100 Ford Motor Co........................................................................ 294,612
-------------
697,612
-------------
BANKS - MONEY CENTER (1.2%)
3,700 Citicorp............................................................................. 305,712
-------------
BASIC CYCLICAL COMMODITIES (0.9%)
5,900 Union Carbide Corp................................................................... 234,525
-------------
BIOTECHNOLOGY (0.6%)
2,900 Amgen Inc.*.......................................................................... 155,875
-------------
BROKERAGE (1.7%)
6,800 Merrill Lynch & Co., Inc............................................................. 442,850
-------------
COMMERCIAL SERVICES (2.1%)
7,900 Corrections Corp. of America*........................................................ 553,000
-------------
COMMUNICATIONS EQUIPMENT (1.7%)
7,800 Cisco Systems, Inc.*................................................................. 441,675
-------------
COMPUTER SERVICES (3.5%)
2,000 Computer Sciences Corp.*............................................................. 149,500
6,600 Electronic Data Systems Corp.*....................................................... 354,750
5,300 First Data Corp...................................................................... 422,012
-------------
926,262
-------------
COMPUTER SOFTWARE (0.5%)
1,200 Microsoft Corp.*..................................................................... 144,000
-------------
COMPUTER SOFTWARE & SERVICES (0.5%)
3,300 America Online, Inc.*................................................................ 143,550
-------------
COMPUTERS - SYSTEMS (1.6%)
4,200 Hewlett-Packard Co................................................................... 418,425
-------------
<PAGE>
</TABLE>
BALANCED
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
CONSUMER PRODUCTS (1.6%)
5,500 Kimberly-Clark Corp.................................................................. $ 424,875
-------------
CONSUMER SERVICES (1.7%)
12,500 CUC International, Inc.*............................................................. 443,750
-------------
CRUDE PRODUCTS (0.5%)
5,700 Occidental Petroleum Corp............................................................ 141,075
-------------
ELECTRIC - MAJOR (1.1%)
3,200 General Electric Co.................................................................. 276,800
-------------
ELECTRONICS - SEMICONDUCTORS/COMPONENTS (1.6%)
3,000 Applied Materials, Inc.*............................................................. 91,125
5,400 Motorola, Inc........................................................................ 339,525
-------------
430,650
-------------
ENTERTAINMENT (3.7%)
9,300 Circus Circus Enterprises, Inc.*..................................................... 381,300
5,900 Viacom, Inc. (Class B)*.............................................................. 229,362
6,100 Walt Disney Co....................................................................... 383,538
-------------
994,200
-------------
FINANCE (1.3%)
4,000 Federal Home Loan Mortgage Corp...................................................... 342,000
-------------
FINANCIAL - MISCELLANEOUS (1.8%)
7,700 Associates First Capital Corp.*...................................................... 289,713
6,000 Green Tree Financial Corp............................................................ 187,500
-------------
477,213
-------------
HEALTH EQUIPMENT & SERVICES (1.1%)
5,300 Columbia/HCA Healthcare Corp......................................................... 282,888
-------------
HEALTHCARE - DRUGS (0.5%)
2,060 Lilly (Eli) & Co..................................................................... 133,900
-------------
HOUSEHOLD APPLIANCES (1.7%)
13,600 American Standard Companies, Inc.*................................................... 448,800
-------------
INSURANCE BROKERS (1.2%)
3,400 Marsh & McLennan Companies, Inc...................................................... 328,100
-------------
MACHINERY - CONSTRUCTION & MATERIALS (1.1%)
4,200 Caterpillar, Inc..................................................................... 284,550
-------------
MEDICAL PRODUCTS & SUPPLIES (0.2%)
1,300 Guidant Corp......................................................................... 64,025
-------------
MULTI-LINE INSURANCE (1.1%)
3,050 American International Group, Inc.................................................... 300,806
-------------
NATURAL RESOURCES (1.3%)
4,100 Texaco, Inc.......................................................................... 343,888
-------------
<PAGE>
</TABLE>
BALANCED
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
OFFICE EQUIPMENT & SUPPLIES (2.8%)
11,300 Corporate Express, Inc.*............................................................. $ 452,000
5,100 Xerox Corp........................................................................... 272,850
-------------
724,850
-------------
OIL INTEGRATED - INTERNATIONAL (1.2%)
5,500 Chevron Corp......................................................................... 324,500
-------------
OIL WELL - MACHINERY (1.1%)
3,500 Schlumberger, Ltd.................................................................... 294,875
-------------
PAPER & FOREST PRODUCTS (1.3%)
7,800 Weyerhaeuser Co...................................................................... 331,500
-------------
PHARMACEUTICALS (3.3%)
6,600 IVAX Corp............................................................................ 104,775
8,400 Johnson & Johnson.................................................................... 415,800
5,200 Merck & Co., Inc..................................................................... 336,050
-------------
856,625
-------------
PUBLISHING (1.3%)
15,000 News Corp. Ltd. (ADR) (Australia).................................................... 352,500
-------------
RAILROADS (0.8%)
2,634 Burlington Northern Santa Fe Corp.................................................... 213,025
-------------
RESTAURANTS (1.8%)
7,000 Boston Chicken Inc.*................................................................. 226,625
5,300 McDonald's Corp...................................................................... 247,775
-------------
474,400
-------------
RETAIL - FOOD CHAINS (1.2%)
9,500 Safeway, Inc.*....................................................................... 313,500
-------------
RETAIL - SPECIALTY (0.9%)
4,500 Home Depot, Inc...................................................................... 243,000
-------------
SEMICONDUCTORS (1.8%)
6,400 Intel Corp........................................................................... 469,600
-------------
SOAP & HOUSEHOLD PRODUCTS (1.0%)
2,800 Procter & Gamble Co.................................................................. 253,750
-------------
TELECOMMUNICATIONS (1.9%)
4,300 GTE Corp............................................................................. 192,425
3,500 Lucent Technologies, Inc............................................................. 132,563
3,900 Sprint Corp.......................................................................... 163,800
-------------
488,788
-------------
UTILITIES - ELECTRIC (1.0%)
6,100 American Electric Power Co., Inc..................................................... 260,013
-------------
TOTAL COMMON STOCKS (IDENTIFIED COST $15,611,006).................................... 17,197,031
-------------
</TABLE>
<PAGE>
BALANCED
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN COUPON MATURITY
THOUSANDS) RATE DATE VALUE
- ----------- ---------- --------- -------------
<C> <S> <C> <C> <C>
CORPORATE BONDS (5.7%)
BANKS - MONEY CENTER (0.5%)
$ 145 Citicorp............................................................. 6.375% 01/15/06 $ 134,879
-------------
BROKERAGE (0.5%)
150 Merrill Lynch & Co., Inc............................................. 6.00 01/15/01 144,688
-------------
ENTERTAINMENT (0.7%)
180 Walt Disney Co....................................................... 6.75 03/30/06 174,622
-------------
FINANCIAL (1.1%)
100 Abbey National PLC (United Kingdom).................................. 6.69 10/17/05 95,868
100 BHP Finance U.S.A. Ltd............................................... 6.69 03/01/06 95,822
110 Wells Fargo & Co..................................................... 6.875 04/01/06 105,965
-------------
297,655
-------------
HEALTHCARE - DRUGS (0.2%)
45 Lilly (Eli) & Co..................................................... 8.375 12/01/06 48,966
-------------
INDUSTRIALS (2.0%)
100 General American Transportation Corp................................. 6.75 03/01/06 94,511
150 Lockheed Martin Corp................................................. 7.25 05/15/06 149,166
15 Mead Corp............................................................ 7.125 08/01/25 13,400
40 Monsanto Co.......................................................... 8.875 12/15/09 45,086
15 Texas Utilities Electric Co.......................................... 7.875 04/01/24 14,479
200 Willamette Industries, Inc........................................... 7.85 07/01/26 204,313
-------------
520,955
-------------
TELECOMMUNICATIONS (0.7%)
50 AT&T Corp............................................................ 7.75 03/01/07 52,060
120 Northern Telecom Capital............................................. 7.40 06/15/06 121,778
-------------
173,838
-------------
TOTAL CORPORATE BONDS (IDENTIFIED COST $1,515,632).......................................... 1,495,603
-------------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE PASS-THROUGH CERTIFICATES (14.9%)
339 Federal Home Loan Mortgage Corp...................................... 6.00 03/01/11 320,875
151 Federal Home Loan Mortgage Corp...................................... 6.00 05/01/11 143,309
359 Federal Home Loan Mortgage Corp...................................... 7.50 06/01/11 360,007
116 Federal Home Loan Mortgage Corp...................................... 7.00 09/01/25 111,871
194 Federal Home Loan Mortgage Corp...................................... 7.00 12/01/25 186,748
222 Federal Home Loan Mortgage Corp...................................... 7.00 01/01/26 213,384
306 Federal Home Loan Mortgage Corp...................................... 7.00 04/01/26 293,995
505 Federal Home Loan Mortgage Corp...................................... 8.00 06/01/26 509,419
454 Government National Mortgage Assoc................................... 6.50 02/20/23 455,153
101 Government National Mortgage Assoc................................... 6.50 01/20/25 101,602
296 Government National Mortgage Assoc................................... 7.50 08/15/25 291,750
192 Government National Mortgage Assoc................................... 6.00 08/20/25 190,364
191 Government National Mortgage Assoc................................... 7.50 01/15/26 188,178
196 Government National Mortgage Assoc................................... 6.50 01/20/26 196,518
222 Government National Mortgage Assoc................................... 8.00 06/15/26 224,144
150 Government National Mortgage Assoc................................... 7.50 07/01/26 147,844
-------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE PASS-THROUGH CERTIFICATES (IDENTIFIED COST
$3,995,097)............................................................................... 3,935,161
-------------
</TABLE>
<PAGE>
BALANCED
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN COUPON MATURITY
THOUSANDS) RATE DATE VALUE
- ----------- ---------- --------- -------------
<C> <S> <C> <C> <C>
U.S. GOVERNMENT OBLIGATIONS (13.2%)
$ 780 U.S. Treasury Bond................................................... 7.50% 11/15/24 $ 826,556
230 U.S. Treasury Note................................................... 7.25 11/30/96 231,545
115 U.S. Treasury Note................................................... 7.50 01/31/97 116,204
265 U.S. Treasury Note................................................... 5.00 01/31/98 260,818
515 U.S. Treasury Note................................................... 5.125 04/30/98 506,390
175 U.S. Treasury Note................................................... 7.75 11/30/99 182,246
600 U.S. Treasury Note................................................... 7.75 01/31/00 625,219
325 U.S. Treasury Note................................................... 6.625 06/30/01 327,133
80 U.S. Treasury Note................................................... 7.875 11/15/04 85,937
440 U.S. Treasury Strip.................................................. 0.00 05/15/02 300,859
-------------
TOTAL U.S. GOVERNMENT OBLIGATIONS (IDENTIFIED COST $3,475,119).............................. 3,462,907
-------------
SHORT-TERM INVESTMENTS (7.3%)
U.S. GOVERNMENT AGENCY (A) (3.8%)
1,000 Federal Home Loan Mortgage Corp...................................... 5.25 07/01/96 1,000,000
-------------
REPURCHASE AGREEMENT (3.5%)
919 The Bank of New York (dated 06/28/96; proceeds $919,557;
collateralized by $837,101 U.S. Treasury Bond 8.75% due 11/15/08
valued at $937,547) (Identified Cost $919,164)..................... 5.125 07/01/96 919,164
-------------
TOTAL SHORT-TERM INVESTMENTS (IDENTIFIED COST $1,919,164)................................... 1,919,164
-------------
TOTAL INVESTMENTS (IDENTIFIED COST $26,516,018) (B).......................... 106.5% 28,009,866
LIABILITIES IN EXCESS OF OTHER ASSETS........................................ (6.5) (1,702,470)
---------- -------------
NET ASSETS................................................................... 100.0% $ 26,307,396
---------- -------------
---------- -------------
- ----------------
* 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. THE AGGREGATE GROSS UNREALIZED APPRECIATION WAS
$1,852,029 AND THE AGGREGATE GROSS UNREALIZED DEPRECIATION WAS
$358,181, RESULTING IN NET UNREALIZED APPRECIATION OF
$1,493,848.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
UTILITIES
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
COMMON STOCKS (91.7%)
NATURAL GAS (15.4%)
11,000 AGL Resources, Inc...................... $ 207,625
8,500 American Water Works Company, Inc....... 342,125
7,000 Anadarko Petroleum Corp................. 406,000
6,500 Brooklyn Union Gas Co................... 177,125
4,500 Consolidated Natural Gas Co............. 235,125
5,300 El Paso Natural Gas Co.................. 204,050
6,000 Enron Corp.............................. 245,250
9,500 Indiana Energy Inc...................... 271,937
6,000 KN Energy, Inc.......................... 201,000
9,000 MCN Corp................................ 219,375
3,500 Mitchell Energy & Development Corp.
(Class B)............................. 66,500
8,000 New Jersey Resources Corp............... 230,000
7,000 North Carolina Natural Gas Corp......... 192,500
5,500 Northwest Natural Gas Co................ 192,500
6,500 PanEnergy Corp.......................... 213,687
7,500 Questar Corp............................ 255,000
2,000 Seagull Energy Corp.*................... 50,000
5,500 Sonat, Inc.............................. 247,500
5,500 South Jersey Industries, Inc............ 116,875
5,000 Southwest Gas Corp...................... 80,000
6,500 Tenneco, Inc............................ 332,312
-------------
4,486,486
-------------
TELECOMMUNICATIONS (40.0%)
7,000 360 Communications Co.*................. 168,000
6,000 Airtouch Communications, Inc.*.......... 169,500
7,000 Alcatel Alsthom (ADR) (France).......... 123,375
7,500 Alltel Corp............................. 230,625
3,000 Ameritech Corp.......................... 178,125
7,000 Arch Communications Group, Inc.*........ 128,625
5,000 AT&T Corp............................... 310,000
7,500 BCE, Inc. (Canada)...................... 296,250
2,500 Bell Atlantic Corp...................... 159,375
5,000 BellSouth Corp.......................... 211,875
3,000 Cellular Communications International,
Inc.*................................. 99,000
6,500 Century Telephone Enterprises, Inc...... 207,187
5,500 Clearnet Communications Inc.
(Class A)* (Canada)................... 92,125
8,000 Colonial Data Technologies Corp.*....... 119,000
6,000 Comcast Corp. (Class A)................. 109,500
4,500 Ericsson (L.M.) Telephone Co. AB (ADR)
(Sweden).............................. 96,187
8,000 Frontier Corp........................... 245,000
5,500 General Instrument Corp.*............... 158,812
7,000 Grupo Iusacell S.A. de C.V. (Series L)
(ADR)* (Mexico)....................... 75,250
4,500 GTE Corp................................ 201,375
4,000 Harris Corp............................. 244,000
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
8,000 IntelCom Group, Inc.*................... $ 200,000
8,000 Intercel, Inc.*......................... 160,000
8,500 LCI International, Inc.*................ 266,687
8,000 Liberty Media Group (Class A)*.......... 212,000
5,600 Lucent Technologies, Inc................ 212,100
9,500 MCI Communications Corp................. 242,250
75,000 Metromedia International Group
Inc.*................................. 918,750
8,000 MFS Communications Company,
Inc.*................................. 300,000
10,000 MIDCOM Communications, Inc.*............ 141,250
8,500 News Corp. Ltd. (ADR) (Australia)....... 199,750
8,000 Nextel Communications, Inc.
(Class A)*............................ 152,000
6,000 Nippon Telegraph & Telephone Corp. (ADR)
(Japan)............................... 219,000
5,000 Northern Telecom Ltd. (Canada).......... 271,875
4,000 NYNEX Corp.............................. 190,000
3,000 Pacific Telesis Group................... 101,250
4,000 Paging Network, Inc.*................... 94,500
7,000 Philips Electronics NV (ADR)
(Netherlands)......................... 228,375
9,500 Portugal Telecom S.A. (ADR)*
(Portugal)............................ 249,375
5,500 Royal PTT Nederland NV (ADR)
(Netherlands)......................... 207,625
4,000 SBC Communications, Inc................. 197,000
8,000 Scientific-Atlanta, Inc................. 124,000
4,500 Southern New England Telecommunications
Corp.................................. 189,000
7,000 Sprint Corp............................. 294,000
7,000 Tele Danmark AS (ADR) (Denmark)......... 177,625
8,000 Tele-Communications, Inc. (Class A)*.... 144,000
5,000 Telecom Argentina S.A. (ADR)
(Argentina)........................... 234,375
6,000 Telefonica Espana S.A. (ADR) (Spain).... 330,750
3,000 Telefonos de Mexico S.A. de C.V.
(Series L) (ADR) (Mexico)............. 100,500
7,000 Telephone & Data Systems, Inc........... 315,000
3,000 Teleport Communications Group Inc.
(Class A)*............................ 56,625
3,000 U.S. West Communications Group.......... 95,625
7,500 U.S. West Media Group*.................. 136,875
7,000 United States Cellular Corp.*........... 217,000
5,500 Vanguard Cellular Systems, Inc. (Class
A)*................................... 119,625
5,000 Viacom, Inc. (Class A)*................. 190,625
6,500 Vodafone Group PLC (ADR) (United
Kingdom).............................. 239,687
5,500 WorldCom, Inc.*......................... 303,875
-------------
11,656,160
-------------
</TABLE>
<PAGE>
UTILITIES
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
UTILITIES - ELECTRIC (36.3%)
8,000 AES Corp.*.............................. $ 224,000
9,500 Allegheny Power System, Inc............. 293,313
8,000 American Electric Power Co.............. 341,000
7,500 Bangor Hydro-Electric Co................ 80,625
5,000 Boston Edison Co........................ 127,500
9,000 Calenergy, Inc.*........................ 229,500
9,000 Carolina Power & Light Co............... 342,000
7,500 Central & South West Corp............... 217,500
8,000 Central Louisiana Electric.............. 213,000
7,000 CINergy Corp............................ 224,000
8,000 CMS Energy Corp......................... 247,000
7,000 Consolidated Edison Co. of New York,
Inc................................... 204,750
5,000 Dominion Resources, Inc................. 200,000
6,500 DQE, Inc................................ 178,750
4,000 Duke Power Co........................... 205,000
3,000 Eastern Utilities Assoc................. 58,875
11,500 Edison International.................... 202,688
6,500 Enersis S.A. (ADR) (Chile).............. 201,500
7,500 Enova Corp.............................. 173,438
8,000 Entergy Corp............................ 227,000
6,000 FPL Group, Inc.......................... 276,000
10,500 General Public Utilities Corp........... 370,125
10,000 Houston Industries, Inc................. 246,250
6,500 Illinova Corp........................... 186,875
10,500 IPALCO Enterprises, Inc................. 275,625
9,500 Kansas City Power & Light Co............ 261,250
5,500 National Power PLC (ADR)
(United Kingdom)...................... 173,250
6,000 New England Electric System............. 218,250
8,500 NIPSCO Industries, Inc.................. 342,125
7,000 Northwestern Public Service Co.......... 188,125
6,000 Oklahoma Gas & Electric Co.............. 237,750
8,000 Pacific Enterprises..................... 237,000
4,000 Pacific Gas & Electric Co............... 93,000
9,500 PacifiCorp.............................. 211,375
7,500 Peco Energy Co.......................... 195,000
6,500 Pinnacle West Capital Corp.............. 197,438
7,000 Public Service Company of Colorado...... 257,250
9,000 Public Service Company of New Mexico.... 184,500
6,000 Public Service Enterprise Group, Inc.... 164,250
10,500 SCANA Corp.............................. 295,313
10,000 Southern Co............................. 246,250
9,500 Teco Energy, Inc........................ 239,875
8,500 TNP Enterprises, Inc.................... 241,188
7,000 Unicom Corp............................. 195,125
10,000 Utilicorp United, Inc................... 276,250
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
9,500 Western Resources, Inc.................. $ 283,813
10,000 Wisconsin Energy Corp................... 288,750
-------------
10,573,441
-------------
TOTAL COMMON STOCKS
(IDENTIFIED COST $24,436,309)......... 26,716,087
-------------
PREFERRED STOCKS (1.3%)
U.S. GOVERNMENT AGENCY (0.1%)
1,000 Tennessee Valley Authority (Series 95-A)
$2.00................................. 25,125
-------------
UTILITIES - ELECTRIC (1.2%)
6,000 Alabama Power Capital Trust I
$1.84................................. 138,000
1,000 Duquesne Capital LP $2.09............... 24,375
2,500 Public Service Electric & Gas Co.
$2.00................................. 61,563
5,000 Virginia Power Capital $2.0125.......... 123,750
-------------
347,688
-------------
TOTAL PREFERRED STOCKS (IDENTIFIED COST
$388,687)............................. 372,813
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN
THOUSANDS)
- -----------
<C> <S> <C>
CORPORATE BONDS (0.6%)
TELECOMMUNICATIONS
$ 100 Century Telephone
Enterprises, Inc. 7.20% due
12/01/25................... 93,303
100 Southwestern Bell Telephone
Co. 7.25% due 07/15/25..... 94,451
-------------
TOTAL CORPORATE BONDS
(IDENTIFIED COST
$202,656).................. 187,754
-------------
SHORT-TERM INVESTMENTS (A) (9.0%)
U.S. GOVERNMENT AGENCIES
2,610 Federal Home Loan Mortgage
Corp. 5.25% - 5.52% due
07/01/96 - 07/03/96
(Amortized Cost
$2,609,581)................ 2,609,581
-------------
TOTAL INVESTMENTS (IDENTIFIED
COST $27,637,233) (B)....... 102.6% 29,886,235
LIABILITIES IN EXCESS OF CASH
AND OTHER ASSETS............ (2.6) (756,273)
---------- -------------
NET ASSETS.................... 100.0% $ 29,129,962
---------- -------------
---------- -------------
- ----------------
ADR AMERICAN DEPOSITORY RECEIPT.
* NON-INCOME PRODUCING SECURITY.
(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. THE AGGREGATE GROSS UNREALIZED APPRECIATION WAS $2,830,879 AND THE
AGGREGATE GROSS UNREALIZED DEPRECIATION WAS $581,877, RESULTING IN NET
UNREALIZED APPRECIATION OF $2,249,002.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DIVIDEND GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- --------------
<C> <S> <C>
COMMON STOCKS (98.1%)
AEROSPACE (3.5%)
48,000 United Technologies Corp................ $ 5,520,000
--------------
AUTOMOTIVE (6.9%)
88,800 Chrysler Corp........................... 5,505,600
169,700 Ford Motor Co........................... 5,494,037
--------------
10,999,637
--------------
BANKS (6.8%)
155,000 Banc One Corp........................... 5,270,000
72,000 BankAmerica Corp........................ 5,454,000
--------------
10,724,000
--------------
BEVERAGES - SOFT DRINKS (3.5%)
157,400 PepsiCo Inc............................. 5,568,025
--------------
CHEMICALS (3.3%)
163,000 Monsanto Co............................. 5,297,500
--------------
COMPUTERS (3.3%)
53,800 International Business Machines
Corp.................................. 5,326,200
--------------
CONGLOMERATES (3.4%)
106,000 Tenneco, Inc............................ 5,419,250
--------------
DRUGS (3.4%)
123,400 Abbott Laboratories..................... 5,367,900
--------------
ELECTRICAL EQUIPMENT (3.5%)
101,200 Honeywell, Inc.......................... 5,515,400
--------------
FOODS (3.1%)
145,800 Quaker Oats Company (The)............... 4,975,425
--------------
MACHINERY - AGRICULTURAL (3.3%)
132,000 Deere & Co.............................. 5,280,000
--------------
METALS & MINING (3.3%)
84,400 Phelps Dodge Corp....................... 5,264,450
--------------
NATURAL GAS (3.4%)
133,200 Enron Corp.............................. 5,444,550
--------------
OFFICE EQUIPMENT (3.5%)
116,700 Pitney Bowes, Inc....................... 5,572,425
--------------
OIL INTEGRATED - DOMESTIC (6.8%)
45,800 Atlantic Richfield Co................... 5,427,300
260,000 USX-Marathon Group...................... 5,232,500
--------------
10,659,800
--------------
OIL INTEGRATED - INTERNATIONAL (3.4%)
47,700 Mobil Corp.............................. 5,348,363
--------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- --------------
<C> <S> <C>
PAPER & FOREST PRODUCTS (3.2%)
119,600 Weyerhaeuser Co......................... $ 5,083,000
--------------
PHOTOGRAPHY (3.4%)
68,500 Eastman Kodak Co........................ 5,325,875
--------------
RAILROADS (3.3%)
108,000 CSX Corp................................ 5,211,000
--------------
RETAIL - DEPARTMENT STORES (3.3%)
119,000 May Department Stores Co................ 5,206,250
--------------
RETAIL - FOOD CHAINS (3.6%)
138,000 American Stores Co...................... 5,692,500
--------------
TELECOMMUNICATIONS (7.0%)
85,500 Bell Atlantic Corp...................... 5,450,625
132,000 Sprint Corp............................. 5,544,000
--------------
10,994,625
--------------
TOBACCO (3.4%)
51,200 Philip Morris Companies, Inc............ 5,324,800
--------------
UTILITIES - ELECTRIC (6.5%)
163,300 General Public Utilities Corp........... 5,756,325
194,700 Pacific Gas & Electric Co............... 4,526,775
--------------
10,283,100
--------------
TOTAL COMMON STOCKS (IDENTIFIED COST
$144,234,442)......................... 155,404,075
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN
THOUSANDS)
- -----------
<C> <S> <C>
SHORT-TERM INVESTMENT (2.5%)
REPURCHASE AGREEMENT
$ 3,931 The Bank of New York 5.125%
due 07/01/96 (dated
06/28/96; proceeds
$3,932,634;
collateralized by
$3,871,141 U.S. Treasury
Bond 7.125% due 02/15/23
valued at $4,009,574)
(Identified Cost
$3,930,955).............. 3,930,955
--------------
TOTAL INVESTMENTS (IDENTIFIED
COST $148,165,397) (A)..... 100.6% 159,335,030
LIABILITIES IN EXCESS OF
OTHER ASSETS............... (0.6) (983,996)
---------- --------------
NET ASSETS................... 100.0% $ 158,351,034
---------- --------------
---------- --------------
- ----------------
(A) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES APPROXIMATES IDENTIFIED
COST. THE AGGREGATE GROSS UNREALIZED APPRECIATION WAS $13,120,128 AND THE
AGGREGATE GROSS UNREALIZED DEPRECIATION WAS $1,950,495, RESULTING IN NET
UNREALIZED APPRECIATION OF $11,169,633.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
COMMON STOCKS (96.5%)
AEROSPACE & DEFENSE (1.4%)
950 Boeing Co............................... $ 82,769
1,450 General Dynamics Corp................... 89,900
1,100 Lockheed Martin Corp.................... 92,400
1,800 McDonnell Douglas Corp.................. 87,300
1,450 Northrop Grumman Corp................... 98,781
1,650 Raytheon Co............................. 85,181
1,650 Rockwell International Corp............. 94,462
800 United Technologies Corp................ 92,000
-------------
722,793
-------------
AIRLINES (0.6%)
900 AMR Corp.*.............................. 81,900
1,100 Delta Air Lines, Inc.................... 91,300
3,000 Southwest Airlines Co................... 87,375
5,000 USAir Group, Inc.*...................... 90,000
-------------
350,575
-------------
ALUMINUM (0.4%)
2,750 Alcan Aluminum Ltd. (Canada)............ 83,875
1,450 Aluminum Co. of America................. 83,194
1,700 Reynolds Metals Co...................... 88,612
-------------
255,681
-------------
AUTO PARTS - AFTER MARKET (0.6%)
4,100 Cooper Tire & Rubber Co................. 91,225
2,300 Echlin, Inc............................. 87,112
1,900 Genuine Parts Co........................ 86,925
1,750 Goodyear Tire & Rubber Co............... 84,437
-------------
349,699
-------------
AUTOMOBILES (0.5%)
1,500 Chrysler Corp........................... 93,000
2,850 Ford Motor Co........................... 92,269
1,750 General Motors Corp..................... 91,656
-------------
276,925
-------------
BANKS - MONEY CENTER (1.0%)
1,200 BankAmerica Corp........................ 90,900
1,100 Bankers Trust New York Corp............. 81,262
1,361 Chase Manhattan Corp.................... 96,121
1,100 Citicorp................................ 90,887
2,050 First Chicago NBD Corp.................. 80,206
1,100 Morgan (J.P.) & Co., Inc................ 93,087
-------------
532,463
-------------
BANKS - REGIONAL (4.1%)
2,600 Banc One Corp........................... 88,400
1,800 Bank of Boston Corp..................... 89,100
1,650 Bank of New York Co., Inc............... 84,562
1,450 Barnett Banks, Inc...................... 88,450
2,300 Boatmen's Bancshares, Inc............... 91,712
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
2,000 Comerica, Inc........................... $ 89,250
2,200 Corestates Financial Corp............... 84,700
1,600 Fifth Third Bancorp..................... 86,000
1,500 First Bank System, Inc.................. 87,000
1,542 First Union Corp........................ 93,869
2,150 Fleet Financial Group, Inc.............. 93,525
2,200 KeyCorp................................. 85,250
1,600 Mellon Bank Corp........................ 91,200
2,350 National City Corp...................... 82,544
1,150 NationsBank Corp........................ 95,019
2,700 Norwest Corp............................ 94,162
2,850 PNC Bank Corp........................... 84,787
1,500 Republic New York Corp.................. 93,375
2,500 SunTrust Banks, Inc..................... 92,500
2,500 U.S. Bancorp............................ 90,000
2,000 Wachovia Corp........................... 87,500
430 Wells Fargo & Co........................ 102,716
-------------
1,975,621
-------------
BEVERAGES - ALCOHOLIC (0.8%)
1,200 Anheuser-Busch Companies, Inc........... 90,000
2,400 Brown-Forman Corp. (Class B)............ 96,000
5,200 Coors (Adolph) Co....................... 92,950
2,590 Seagram Co. Ltd. (Canada)............... 87,089
-------------
366,039
-------------
BEVERAGES - SOFT DRINKS (0.4%)
1,700 Coca Cola Co............................ 83,087
2,700 PepsiCo Inc............................. 95,512
-------------
178,599
-------------
BROADCAST MEDIA (0.6%)
5,200 Comcast Corp. (Class A Special)......... 94,900
4,800 Tele-Communications, Inc. (Class A)*.... 86,400
4,800 U.S. West Media Group*.................. 87,600
-------------
268,900
-------------
BUILDING MATERIALS (0.6%)
3,050 Masco Corp.............................. 92,262
2,250 Owens-Corning Fiberglas Corp............ 96,750
2,150 Sherwin-Williams Co..................... 99,975
-------------
288,987
-------------
CHEMICALS (1.9%)
1,600 Air Products & Chemicals, Inc........... 92,400
1,200 Dow Chemical Co......................... 91,200
1,150 Du Pont (E.I.) de Nemours & Co.......... 90,994
1,400 Eastman Chemical Co..................... 85,225
2,150 Goodrich (B.F.) Co...................... 80,356
1,600 Hercules, Inc........................... 88,400
2,750 Monsanto Co............................. 89,375
2,300 Praxair, Inc............................ 97,175
1,350 Rohm & Haas Co.......................... 84,712
2,150 Union Carbide Corp...................... 85,462
-------------
885,299
-------------
</TABLE>
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
CHEMICALS - DIVERSIFIED (0.8%)
1,550 Avery Dennison Corp..................... $ 85,056
4,050 Engelhard Corp.......................... 93,150
1,500 FMC Corp.*.............................. 97,875
1,650 PPG Industries, Inc..................... 80,437
-------------
356,518
-------------
CHEMICALS - SPECIALTY (0.9%)
1,150 Grace (W.R.) & Co....................... 81,506
1,350 Great Lakes Chemical Corp............... 84,037
2,500 Morton International, Inc............... 93,125
3,000 Nalco Chemical Co....................... 94,500
1,650 Sigma-Aldrich Corp...................... 87,450
-------------
440,618
-------------
COMMUNICATIONS - EQUIPMENT/MANUFACTURERS (2.0%)
2,000 3Com Corp.*............................. 91,250
1,800 Andrew Corp.*........................... 97,200
3,600 Bay Networks, Inc.*..................... 92,700
1,350 Cabletron Systems, Inc.*................ 92,644
1,550 Cisco Systems, Inc.*.................... 87,769
3,350 DSC Communications Corp.*............... 100,500
3,100 General Instrument Corp.*............... 89,512
1,650 Northern Telecom Ltd. (Canada).......... 89,719
5,500 Scientific-Atlanta, Inc................. 85,250
1,510 Tellabs, Inc.*.......................... 100,792
-------------
927,336
-------------
COMPUTER SOFTWARE & SERVICES (2.0%)
3,000 Autodesk, Inc........................... 89,250
2,400 Automatic Data Processing, Inc.......... 92,700
1,800 Ceridian Corp.*......................... 90,900
1,300 Computer Associates International,
Inc................................... 92,625
1,200 Computer Sciences Corp.*................ 89,700
1,100 First Data Corp......................... 87,587
750 Microsoft Corp.*........................ 90,000
6,700 Novell, Inc.*........................... 92,125
2,625 Oracle Corp............................. 103,359
1,400 Shared Medical Systems Corp............. 89,950
-------------
918,196
-------------
COMPUTERS - SYSTEMS (2.6%)
9,000 Amdahl Corp.*........................... 96,750
4,200 Apple Computer, Inc.*................... 87,675
1,760 COMPAQ Computer Corp.*.................. 86,680
7,200 Data General Corp.*..................... 93,600
2,100 Digital Equipment Corp.*................ 94,500
5,000 EMC Corp.*.............................. 93,125
950 Hewlett-Packard Co...................... 94,644
7,900 Intergraph Corp.*....................... 95,787
850 International Business Machines
Corp.................................. 84,150
3,750 Silicon Graphics, Inc.*................. 90,000
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
1,500 Sun Microsystems, Inc.*................. $ 88,125
8,000 Tandem Computers Inc.*.................. 99,000
13,000 Unisys Corp.*........................... 92,625
-------------
1,196,661
-------------
CONGLOMERATES (0.6%)
2,350 Teledyne, Inc........................... 84,894
23 Teledyne, Inc. (Series E) (Pref.)
$1.20+................................ 354
1,600 Tenneco Inc............................. 81,800
1,150 Textron Inc............................. 91,856
-------------
258,904
-------------
CONTAINERS - METAL & GLASS (0.4%)
3,300 Ball Corp............................... 94,875
2,000 Crown Cork & Seal Co., Inc.*............ 90,000
-------------
184,875
-------------
CONTAINERS - PAPER (0.6%)
2,700 Bemis Company, Inc...................... 94,500
5,900 Stone Container Corp.................... 81,125
2,000 Temple-Inland Inc....................... 93,500
-------------
269,125
-------------
COSMETICS (0.7%)
1,830 Alberto-Culver Co. (Class B)............ 84,866
2,100 Avon Products, Inc...................... 94,762
1,300 Gillette Co............................. 81,087
1,700 International Flavors & Fragrances
Inc................................... 80,962
-------------
341,677
-------------
DISTRIBUTORS - CONSUMER PRODUCTS (0.6%)
6,000 Fleming Cos., Inc....................... 86,250
3,000 SuperValu Stores, Inc................... 94,500
2,650 Sysco Corp.............................. 90,762
-------------
271,512
-------------
ELECTRICAL EQUIPMENT (1.7%)
2,100 AMP, Inc................................ 84,262
950 Emerson Electric Co..................... 85,856
950 General Electric Co..................... 82,175
2,300 General Signal Corp..................... 87,112
1,300 Grainger (W.W.), Inc.................... 100,750
1,600 Honeywell, Inc.......................... 87,200
1,250 Raychem Corp............................ 89,844
2,300 Thomas & Betts Corp..................... 86,250
4,900 Westinghouse Electric Corp.............. 91,875
-------------
795,324
-------------
ELECTRONICS - DEFENSE (0.2%)
4,100 EG & G, Inc............................. 87,637
-------------
</TABLE>
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
ELECTRONICS - INSTRUMENTATION (0.4%)
1,900 Perkin-Elmer Corp....................... $ 91,675
2,100 Tektronix, Inc.......................... 93,975
-------------
185,650
-------------
ELECTRONICS - SEMICONDUCTORS (1.6%)
6,800 Advanced Micro Devices, Inc.*........... 92,650
2,950 Applied Materials, Inc.*................ 89,606
1,350 Intel Corp.............................. 99,056
3,600 LSI Logic Corp.*........................ 93,600
3,500 Micron Technology, Inc.................. 90,562
1,350 Motorola, Inc........................... 84,881
5,800 National Semiconductor Corp.*........... 89,900
1,800 Texas Instruments Inc................... 89,775
-------------
730,030
-------------
ENGINEERING & CONSTRUCTION (0.4%)
1,250 Fluor Corp.............................. 81,719
2,050 Foster Wheeler Corp..................... 91,994
-------------
173,713
-------------
ENTERTAINMENT (0.8%)
2,350 King World Productions Inc.*............ 85,481
2,350 Time Warner, Inc........................ 92,237
2,400 Viacom, Inc. (Class B)*................. 93,300
1,450 Walt Disney Co.......................... 91,169
-------------
362,187
-------------
FINANCIAL - MISCELLANEOUS (1.3%)
1,900 American Express Co..................... 84,787
2,250 American General Corp................... 81,844
1,100 Federal Home Loan Mortgage
Corp.................................. 94,050
2,750 Federal National Mortgage Assoc......... 92,125
2,800 Green Tree Financial Corp............... 87,500
3,400 MBNA Corp............................... 96,900
1,100 Transamerica Corp....................... 89,100
-------------
626,306
-------------
FOODS (2.5%)
4,700 Archer-Daniels-Midland Co............... 89,887
1,250 Campbell Soup Co........................ 88,125
2,100 ConAgra, Inc............................ 95,287
1,250 CPC International Inc................... 90,000
1,550 General Mills, Inc...................... 84,475
2,900 Heinz (H.J.) Co......................... 88,087
1,300 Hershey Foods Corp...................... 95,387
1,100 Kellogg Co.............................. 80,575
2,600 Quaker Oats Company (The)............... 88,725
1,500 Ralston-Ralston Purina Group............ 96,187
2,750 Sara Lee Corp........................... 89,031
670 Unilever NV (ADR) (Netherlands)......... 97,234
1,750 Wrigley (Wm.) Jr. Co. (Class A)......... 88,375
-------------
1,171,375
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
GOLD MINING (1.2%)
3,350 Barrick Gold Corp. (Canada)............. $ 90,869
8,000 Echo Bay Mines Ltd. (Canada)............ 86,000
5,300 Homestake Mining Co..................... 90,762
1,800 Newmont Mining Corp..................... 88,875
3,750 Placer Dome Inc. (Canada)............... 89,531
6,500 Santa Fe Pacific Gold Corp.............. 91,812
-------------
537,849
-------------
HARDWARE & TOOLS (0.6%)
2,500 Black & Decker Corp..................... 96,562
1,700 Snap-On, Inc............................ 80,537
2,900 Stanley Works........................... 86,275
-------------
263,374
-------------
HEALTHCARE - DIVERSIFIED (1.3%)
2,100 Abbott Laboratories..................... 91,350
2,150 Allergan, Inc........................... 84,387
1,400 American Home Products Corp............. 84,175
1,000 Bristol-Myers Squibb Co................. 90,000
1,800 Johnson & Johnson....................... 89,100
2,450 Mallinckrodt Group, Inc................. 95,244
1,650 Warner-Lambert Co....................... 90,750
-------------
625,006
-------------
HEALTHCARE - DRUGS (1.0%)
1,500 Lilly (Eli) & Co........................ 97,500
1,450 Merck & Co., Inc........................ 93,706
1,300 Pfizer, Inc............................. 92,787
2,000 Pharmacia & Upjohn, Inc................. 88,750
1,550 Schering-Plough Corp.................... 97,262
-------------
470,005
-------------
HEALTHCARE - MISCELLANEOUS (0.7%)
3,200 Alza Corp.*............................. 87,600
1,600 Amgen Inc.*............................. 86,000
6,800 Beverly Enterprises, Inc.*.............. 81,600
2,300 Manor Care, Inc......................... 90,562
-------------
345,762
-------------
HEALTHCARE HMOS (0.6%)
5,000 Humana, Inc.*........................... 89,375
1,500 U.S. Healthcare, Inc.................... 82,312
1,800 United Healthcare Corp.................. 90,900
-------------
262,587
-------------
HEAVY DUTY TRUCKS & PARTS (1.2%)
2,300 Cummins Engine Co., Inc................. 92,862
2,950 Dana Corp............................... 91,450
1,500 Eaton Corp.............................. 87,937
3,600 ITT Industries, Inc..................... 90,450
9,600 Navistar International Corp.*........... 94,800
1,900 PACCAR, Inc............................. 92,625
-------------
550,124
-------------
</TABLE>
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
HOME BUILDING (0.6%)
3,050 Centex Corp............................. $ 94,931
6,300 Kaufman & Broad Home Corp............... 91,350
3,300 Pulte Corp.............................. 88,275
-------------
274,556
-------------
HOSPITAL MANAGEMENT (0.6%)
1,600 Columbia/HCA Healthcare Corp............ 85,400
9,850 Community Psychiatric Centers*.......... 93,575
4,400 Tenet Healthcare Corp.*................. 94,050
-------------
273,025
-------------
HOTELS/MOTELS (0.8%)
3,300 Harrah's Entertainment, Inc.*........... 93,225
750 Hilton Hotels Corp.*.................... 84,375
1,400 ITT Corp.*.............................. 92,750
1,850 Marriot International Inc............... 99,437
-------------
369,787
-------------
HOUSEHOLD FURNISHINGS & APPLIANCES (0.6%)
1,450 Armstrong World Industries Inc.......... 83,556
4,300 Maytag Corp............................. 89,762
1,900 Whirlpool Corp.......................... 94,287
-------------
267,605
-------------
HOUSEHOLD PRODUCTS (0.8%)
950 Clorox Co............................... 84,194
1,000 Colgate-Palmolive Co.................... 84,750
1,200 Kimberly-Clark Corp..................... 92,700
1,000 Procter & Gamble Co..................... 90,625
-------------
352,269
-------------
HOUSEWARES (0.6%)
2,700 Newell Co............................... 82,687
3,150 Rubbermaid, Inc......................... 85,837
2,100 Tupperware Corp.*....................... 88,725
-------------
257,249
-------------
INSURANCE BROKERS (0.6%)
4,550 Alexander & Alexander Services,
Inc................................... 89,862
1,700 Aon Corp................................ 86,275
980 Marsh & McLennan Cos., Inc.............. 94,570
-------------
270,707
-------------
INVESTMENT BANKING/BROKERAGE (1.0%)
1,450 Dean Witter, Discover & Co.
(Note 3).............................. 83,012
1,400 Merrill Lynch & Co., Inc................ 91,175
1,800 Morgan Stanley Group, Inc............... 88,425
2,100 Salomon, Inc............................ 92,400
2,025 Travelers Group, Inc.................... 92,391
-------------
447,403
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
LEISURE TIME (0.6%)
4,250 Bally Entertainment Corp.*.............. $ 116,875
4,150 Brunswick Corp.......................... 83,000
4,800 Outboard Marine Corp.................... 87,000
-------------
286,875
-------------
LIFE INSURANCE (1.2%)
1,800 Jefferson-Pilot Corp.................... 92,925
1,900 Lincoln National Corp................... 87,875
2,000 Providian Corp.......................... 85,750
2,100 Torchmark Corp.......................... 91,875
1,550 UNUM Corp............................... 96,487
2,950 USLIFE Corp............................. 96,981
-------------
551,893
-------------
MACHINE TOOLS (0.4%)
3,600 Cincinnati Milacron, Inc................ 86,400
5,400 Giddings & Lewis, Inc................... 87,750
-------------
174,150
-------------
MACHINERY - DIVERSIFIED (1.9%)
2,050 Briggs & Stratton Corp.................. 84,306
1,950 Case Corp............................... 93,600
1,250 Caterpillar, Inc........................ 84,687
2,200 Cooper Industries, Inc.................. 91,300
2,200 Deere & Co.............................. 88,000
2,700 Harnischfeger Industries, Inc........... 89,775
2,100 Ingersoll-Rand Co....................... 91,875
1,600 NACCO Industries, Inc. (Class A)........ 88,600
2,400 Timken Co............................... 93,000
1,700 Varity Corp.*........................... 81,812
-------------
886,955
-------------
MANUFACTURED HOUSING (0.2%)
3,200 Fleetwood Enterprises, Inc.............. 99,200
-------------
MANUFACTURING - DIVERSIFIED (1.9%)
1,600 AlliedSignal, Inc....................... 91,400
2,300 Crane Co................................ 94,300
1,900 Dover Corp.............................. 87,637
1,400 Illinois Tool Works Inc................. 94,675
1,200 Johnson Controls, Inc................... 83,400
2,250 Millipore Corp.......................... 94,219
4,000 Pall Corp............................... 96,500
2,200 Parker-Hannifin Corp.................... 93,225
2,700 Trinova Corp............................ 90,112
2,000 Tyco International Ltd.................. 81,500
-------------
906,968
-------------
MEDICAL PRODUCTS & SUPPLIES (1.7%)
2,650 Bard (C.R.), Inc........................ 90,100
1,900 Bausch & Lomb, Inc...................... 80,750
1,750 Baxter International, Inc............... 82,687
1,100 Becton, Dickinson & Co.................. 88,275
6,500 Biomet, Inc.*........................... 91,813
1,980 Boston Scientific Corp.*................ 89,100
1,600 Medtronic Inc........................... 89,600
2,600 St. Jude Medical, Inc.*................. 86,450
3,000 United States Surgical Corp............. 93,000
-------------
791,775
-------------
</TABLE>
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
METALS - MISCELLANEOUS (0.9%)
3,200 ASARCO, Inc............................. $ 88,400
3,500 Cyprus Amax Minerals Co................. 79,188
3,000 Freeport-McMoran Copper & Gold, Inc.
(Class B)............................. 95,625
2,700 Inco Ltd. (Canada)...................... 87,075
1,450 Phelps Dodge Corp....................... 90,444
-------------
440,732
-------------
MISCELLANEOUS (2.1%)
3,200 Airtouch Communications, Inc.*.......... 90,400
3,400 American Greetings Corp. (Class A)...... 92,650
2,450 Corning, Inc............................ 94,019
3,200 Dial Corp............................... 91,600
1,850 Harcourt General, Inc................... 92,500
1,400 Harris Corp............................. 85,400
4,500 Jostens, Inc............................ 88,875
1,350 Minnesota Mining & Manufacturing
Co.................................... 93,150
1,500 Pioneer Hi-Bred International, Inc...... 79,313
950 TRW, Inc................................ 85,381
3,700 Whitman Corp............................ 89,263
-------------
982,551
-------------
MULTI-LINE INSURANCE (0.8%)
1,250 Aetna Life & Casualty Co................ 89,375
950 American International Group, Inc....... 93,694
800 CIGNA Corp.............................. 94,300
1,700 ITT Hartford Group, Inc.*++............. 90,525
-------------
367,894
-------------
OFFICE EQUIPMENT & SUPPLIES (0.8%)
1,900 Alco Standard Corp...................... 85,975
4,300 Moore Corp. Ltd. (Canada)............... 81,163
2,000 Pitney Bowes, Inc....................... 95,500
1,650 Xerox Corp.............................. 88,275
-------------
350,913
-------------
OIL & GAS DRILLING (0.4%)
2,400 Helmerich & Payne, Inc.................. 87,900
6,100 Rowan Companies, Inc.*.................. 89,975
-------------
177,875
-------------
OIL - DOMESTIC INTEGRATED (2.1%)
1,650 Amerada Hess Corp....................... 88,481
2,350 Ashland Oil, Inc........................ 93,119
700 Atlantic Richfield Co................... 82,950
1,400 Kerr-McGee Corp......................... 85,225
1,730 Louisiana Land & Exploration Co......... 99,691
3,400 Occidental Petroleum Corp............... 84,150
1,800 Pennzoil Co............................. 83,250
2,250 Phillips Petroleum Co................... 94,219
2,900 Sun Co., Inc............................ 88,088
2,800 Unocal Corp............................. 94,500
4,600 USX-Marathon Group...................... 92,575
-------------
986,248
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
OIL - EXPLORATION & PRODUCTION (0.6%)
2,410 Burlington Resources, Inc............... $ 103,630
5,550 Oryx Energy Co.*........................ 90,188
7,800 Santa Fe Energy Resources, Inc.*........ 92,625
-------------
286,443
-------------
OIL - INTERNATIONAL INTEGRATED (1.2%)
1,250 Amoco Corp.............................. 90,469
1,500 Chevron Corp............................ 88,500
1,100 Exxon Corp.............................. 95,563
800 Mobil Corp.............................. 89,700
600 Royal Dutch Petroleum Co.
(Netherlands)......................... 92,250
1,050 Texaco, Inc............................. 88,069
-------------
544,551
-------------
OIL WELL EQUIPMENT & SERVICE (1.2%)
2,950 Baker Hughes Inc........................ 96,981
3,000 Dresser Industries, Inc................. 88,500
1,550 Halliburton Co.......................... 86,025
4,100 McDermott International, Inc............ 85,588
1,130 Schlumberger, Ltd....................... 95,203
1,500 Western Atlas, Inc.*.................... 87,375
-------------
539,672
-------------
PAPER & FOREST PRODUCTS (2.2%)
2,550 Boise Cascade Corp...................... 93,394
1,900 Champion International Corp............. 79,325
1,250 Georgia-Pacific Corp.................... 88,750
2,200 International Paper Co.................. 81,125
3,400 James River Corp. of Virginia........... 89,675
3,850 Louisiana-Pacific Corp.................. 85,181
1,750 Mead Corp............................... 90,781
2,400 Potlatch Corp........................... 93,900
1,700 Union Camp Corp......................... 82,875
3,000 Westvaco Corp........................... 89,625
2,000 Weyerhaeuser Co......................... 85,000
1,450 Willamette Industries, Inc.............. 85,913
-------------
1,045,544
-------------
PERSONAL LOANS (0.4%)
1,550 Beneficial Corp......................... 86,994
1,250 Household International, Inc............ 95,000
-------------
181,994
-------------
PHOTOGRAPHY/IMAGING (0.4%)
1,150 Eastman Kodak Co........................ 89,413
1,980 Polaroid Corp........................... 90,338
-------------
179,751
-------------
</TABLE>
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
POLLUTION CONTROL (0.6%)
3,200 Browning-Ferris Industries, Inc......... $ 92,800
8,600 Laidlaw Inc. (Class B) (Canada)......... 87,075
2,750 WMX Technologies, Inc................... 90,063
-------------
269,938
-------------
PROPERTY - CASUALTY INSURANCE (1.4%)
1,900 Allstate Corp........................... 86,688
1,900 Chubb Corp.............................. 94,763
550 General Re Corp......................... 83,738
1,250 Loews Corp.............................. 98,594
2,600 SAFECO Corp............................. 91,975
1,700 St. Paul Companies, Inc................. 90,950
5,600 USF&G Corp.............................. 91,700
-------------
638,408
-------------
PUBLISHING (0.6%)
1,500 Dun & Bradstreet Corp................... 93,750
2,000 McGraw-Hill, Inc........................ 91,500
2,050 Meredith Corp........................... 85,588
-------------
270,838
-------------
PUBLISHING - NEWSPAPER (1.2%)
2,300 Dow Jones & Co., Inc.................... 96,025
1,330 Gannett Co., Inc........................ 94,098
1,250 Knight-Ridder Newspapers, Inc........... 90,625
2,850 New York Times Co. (Class A)............ 92,981
1,950 Times Mirror Co. (Class A).............. 84,825
1,250 Tribune Co.............................. 90,781
-------------
549,335
-------------
RAILROADS (0.9%)
1,100 Burlington Northern Sante Fe
Corp.................................. 88,963
1,200 Conrail, Inc............................ 79,650
1,900 CSX Corp................................ 91,675
1,000 Norfolk Southern Corp................... 84,750
1,300 Union Pacific Corp...................... 90,838
-------------
435,876
-------------
RESTAURANTS (1.1%)
7,700 Darden Restaurants, Inc................. 82,775
3,900 Luby's Cafeterias, Inc.................. 91,650
1,750 McDonald's Corp......................... 81,813
9,430 Ryan's Family Steak Houses, Inc.*....... 87,228
7,500 Shoney's Inc.*.......................... 81,563
5,050 Wendy's International, Inc.............. 94,056
-------------
519,085
-------------
RETAIL - DEPARTMENT STORES (1.2%)
2,650 Dillard Department Stores, Inc. (Class
A)*................................... 96,725
2,850 Federated Department Stores, Inc.*...... 97,256
2,050 May Department Stores Co................ 89,688
1,500 Mercantile Stores Co., Inc.............. 87,938
2,100 Nordstrom, Inc.......................... 92,925
1,750 Penney (J.C.) Co., Inc.................. 91,875
-------------
556,407
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
RETAIL - DRUG STORES (0.6%)
2,200 Longs Drug Stores Corp.................. $ 98,175
2,850 Rite Aid Corp........................... 84,788
2,700 Walgreen Co............................. 90,450
-------------
273,413
-------------
RETAIL - FOOD CHAINS (1.2%)
2,250 Albertson's Inc......................... 93,094
2,200 American Stores Co...................... 90,750
2,500 Giant Food, Inc. (Class A).............. 89,688
2,920 Great Atlantic & Pacific Tea Co.,
Inc................................... 95,995
2,300 Kroger Co.*............................. 90,850
2,700 Winn-Dixie Stores, Inc.................. 95,513
-------------
555,890
-------------
RETAIL - GENERAL MERCHANDISE (0.8%)
850 Dayton-Hudson Corp...................... 87,656
7,400 Kmart Corp.*............................ 91,575
1,900 Sears, Roebuck & Co..................... 92,388
3,500 Wal-Mart Stores, Inc. (Class A)......... 88,813
-------------
360,432
-------------
RETAIL - SPECIALTY (1.8%)
2,550 Circuit City Stores, Inc................ 92,119
1,600 Home Depot, Inc......................... 86,400
2,500 Lowe's Companies, Inc................... 90,313
2,150 Melville Corp........................... 87,075
2,700 Pep Boys-Manny Moe & Jack............... 91,800
4,600 Price/Costco, Inc.*..................... 98,325
1,850 Tandy Corp.............................. 87,644
3,100 Toys 'R' Us, Inc.*...................... 88,350
4,700 Woolworth Corp.*........................ 105,750
-------------
827,776
-------------
RETAIL - SPECIALTY APPAREL (0.8%)
15,000 Charming Shoppes, Inc................... 104,063
2,800 Gap, Inc................................ 89,950
4,550 Limited (The), Inc...................... 97,825
2,550 TJX Companies, Inc...................... 86,063
-------------
377,901
-------------
SAVINGS & LOAN COMPANIES (0.6%)
3,600 Ahmanson (H.F.) & Co.................... 97,200
1,600 Golden West Financial Corp.............. 89,600
3,900 Great Western Financial Corp............ 93,113
-------------
279,913
-------------
SHOES (0.8%)
5,300 Brown Group Inc......................... 92,088
950 Nike, Inc. (Class B).................... 97,613
3,100 Reebok International Ltd.
(United Kingdom)...................... 104,238
10,800 Stride Rite Corp........................ 89,100
-------------
383,039
-------------
</TABLE>
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
SPECIALIZED SERVICES (1.5%)
2,600 Block (H.&R.), Inc...................... $ 84,825
2,260 CUC International, Inc.*................ 80,230
2,800 Ecolab, Inc............................. 92,400
1,800 Interpublic Group of Companies,
Inc................................... 84,375
2,300 National Service Industries, Inc........ 89,988
4,700 Ogden Corp.............................. 85,188
5,600 Safety-Kleen Corp....................... 98,000
1,500 Service Corp. International............. 86,250
-------------
701,256
-------------
SPECIALTY PRINTING (0.6%)
2,400 Deluxe Corp............................. 85,200
2,400 Donnelley (R.R.) & Sons Co.............. 83,700
3,700 Harland (John H.) Co.................... 91,113
-------------
260,013
-------------
STEEL (1.1%)
17,600 Armco, Inc.*............................ 88,000
7,000 Bethlehem Steel Corp.*.................. 83,125
4,700 Inland Steel Industries, Inc............ 92,238
1,600 Nucor Corp.............................. 81,000
3,200 USX-U.S. Steel Group.................... 90,800
4,000 Worthington Industries, Inc............. 82,500
-------------
517,663
-------------
TELECOMMUNICATIONS - LONG DISTANCE (0.8%)
1,400 AT&T Corp............................... 86,800
3,800 MCI Communications Corp................. 96,900
2,000 Sprint Corp............................. 84,000
1,700 WorldCom, Inc.*......................... 93,925
-------------
361,625
-------------
TEXTILES (1.0%)
3,600 Fruit of the Loom, Inc. (Class A)*...... 91,800
2,700 Liz Claiborne, Inc...................... 93,488
2,900 Russell Corp............................ 80,113
1,900 Springs Industries, Inc. (Class A)...... 95,950
1,500 VF Corp................................. 89,438
-------------
450,789
-------------
TOBACCO (0.6%)
2,050 American Brands, Inc.................... 93,019
820 Philip Morris Companies, Inc............ 85,280
2,800 UST, Inc................................ 95,900
-------------
274,199
-------------
TOYS (0.4%)
2,400 Hasbro Inc.............................. 85,800
2,975 Mattel, Inc............................. 85,159
-------------
170,959
-------------
TRANSPORTATION - MISCELLANEOUS (0.4%)
1,000 Federal Express Corp.*.................. 82,000
3,300 Ryder System, Inc....................... 92,813
-------------
174,813
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
TRUCKERS (0.6%)
2,600 Caliber System, Inc..................... $ 88,400
4,150 Consolidated Freightways, Inc........... 87,669
6,500 Yellow Corp.*........................... 85,313
-------------
261,382
-------------
UTILITIES - ELECTRIC (5.2%)
2,200 American Electric Power Co., Inc........ 93,775
3,350 Baltimore Gas & Electric Co............. 95,056
2,500 Carolina Power & Light Co............... 95,000
3,050 Central & South West Corp............... 88,450
2,900 CINergy Corp............................ 92,800
3,200 Consolidated Edison Co. of New York,
Inc................................... 93,600
2,450 Dominion Resources, Inc................. 98,000
3,000 DTE Energy Co........................... 92,625
1,800 Duke Power Co........................... 92,250
5,500 Edison International.................... 96,938
3,450 Entergy Corp............................ 97,894
2,000 FPL Group, Inc.......................... 92,000
2,800 General Public Utilities Corp........... 98,700
4,050 Houston Industries, Inc................. 99,731
11,000 Niagara Mohawk Power Corp.*............. 85,250
1,900 Northern States Power Co................ 93,813
4,100 Ohio Edison Co.......................... 89,688
4,150 Pacific Gas & Electric Co............... 96,488
4,500 PacifiCorp.............................. 100,125
3,500 PECO Energy Co.......................... 91,000
3,800 PP&L Resources, Inc..................... 89,775
3,650 Public Service Enterprise Group,
Inc................................... 99,919
3,700 Southern Co............................. 91,113
2,100 Texas Utilities Co...................... 89,775
3,250 Unicom Corp............................. 90,594
2,200 Union Electric Co....................... 88,550
-------------
2,432,909
-------------
UTILITIES - NATURAL GAS (2.7%)
2,100 Coastal Corp............................ 87,675
1,850 Columbia Gas System, Inc................ 96,431
1,600 Consolidated Natural Gas Co............. 83,600
2,800 Eastern Enterprises..................... 93,100
2,300 Enron Corp.............................. 94,013
4,590 ENSERCH Corp............................ 99,833
3,150 NICOR, Inc.............................. 89,381
8,000 NorAm Energy Corp....................... 87,000
3,710 ONEOK, Inc.............................. 92,750
3,200 Pacific Enterprises..................... 94,800
2,750 PanEnergy Corp.......................... 90,406
2,700 Peoples Energy Corp..................... 90,450
1,855 Sonat, Inc.............................. 83,475
1,900 Williams Cos., Inc...................... 94,050
-------------
1,276,964
-------------
</TABLE>
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
UTILITIES - TELEPHONE (1.8%)
3,050 Alltel Corp............................. $ 93,788
1,650 Ameritech Corp.......................... 97,969
1,550 Bell Atlantic Corp...................... 98,813
2,300 BellSouth Corp.......................... 97,463
2,250 GTE Corp................................ 100,688
2,050 NYNEX Corp.............................. 97,375
2,630 Pacific Telesis Group................... 88,763
1,750 SBC Communications, Inc................. 86,188
2,750 U.S. West Communications Group.......... 87,656
-------------
848,703
-------------
TOTAL COMMON STOCKS (IDENTIFIED COST
$41,603,949).......................... 45,128,043
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN
THOUSANDS) VALUE
- ----------- -------------
<C> <S> <C>
SHORT-TERM INVESTMENT (A) (7.9%)
U.S. GOVERNMENT AGENCY
$ 3,700 Federal Home Loan Mortgage Corp.
5.25% due 07/01/96
(Amortized Cost $3,700,000)........... $ 3,700,000
-------------
TOTAL INVESTMENTS (IDENTIFIED COST
$45,303,949) (B)...................... 104.4% 48,828,043
LIABILITIES IN EXCESS OF CASH AND OTHER
ASSETS................................ (4.4) (2,063,883)
---------- -------------
NET ASSETS.............................. 100.0% $ 46,764,160
---------- -------------
---------- -------------
- ----------------
ADR AMERICAN DEPOSITORY RECEIPT.
* NON-INCOME PRODUCING SECURITY.
+ ACQUIRED THROUGH A SPECIAL STOCK DIVIDEND.
++ PARENT COMPANY OF HARTFORD LIFE INSURANCE COMPANY AND ITT HARTFORD LIFE
AND ANNUITY INSURANCE COMPANY, AFFILIATES OF THE FUND.
(A) SECURITY AS 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. THE AGGREGATE GROSS UNREALIZED APPRECIATION WAS $4,714,373 AND THE
AGGREGATE GROSS UNREALIZED DEPRECIATION WAS $1,190,279, RESULTING IN NET
UNREALIZED APPRECIATION OF $3,524,094.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
CORE EQUITY
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -----------
<C> <S> <C>
COMMON STOCKS (98.2%)
AEROSPACE (7.9%)
3,600 Boeing Co...................... $ 313,650
2,500 Thiokol Corp................... 98,750
2,600 United Technologies Corp....... 299,000
-----------
711,400
-----------
AIR TRANSPORT (2.9%)
2,900 AMR Corp.*..................... 263,900
-----------
AIRLINES (5.2%)
3,700 Delta Air Lines, Inc........... 307,100
2,900 UAL Corp.*..................... 155,875
-----------
462,975
-----------
AUTO PARTS - AFTER MARKET (2.5%)
6,400 Lear Corp.*.................... 225,600
-----------
AUTO PARTS - ORIGINAL EQUIPMENT (1.9%)
3,700 Magna International, Inc.
(Class A) (Canada)........... 170,200
-----------
AUTOMOTIVE (4.3%)
4,200 Chrysler Corp.................. 260,400
3,879 Ford Motor Co.................. 125,583
-----------
385,983
-----------
BANKS - MONEY CENTER (3.0%)
3,200 Citicorp....................... 264,400
-----------
BIOTECHNOLOGY (1.8%)
3,000 Amgen Inc.*.................... 161,250
-----------
BROKERAGE (1.6%)
2,200 Merrill Lynch & Co., Inc....... 143,275
-----------
BUILDING MATERIALS (1.3%)
2,700 Champion International Corp.... 112,725
-----------
COMMERCIAL SERVICES (1.0%)
1,100 Corrections Corp. of
America*..................... 77,000
-----------
COMMUNICATIONS EQUIPMENT (4.0%)
6,300 Cisco Systems, Inc.*........... 356,737
-----------
COMPUTER SERVICES (8.9%)
4,200 Computer Sciences Corp.*....... 313,950
5,300 Electronic Data Systems
Corp......................... 284,875
2,500 First Data Corp................ 199,062
-----------
797,887
-----------
COMPUTER SOFTWARE (4.5%)
2,200 Microsoft Corp.*............... 264,000
3,500 Oracle Corp.................... 137,812
-----------
401,812
-----------
COMPUTER SOFTWARE & SERVICES (0.8%)
1,700 America Online, Inc.*.......... 73,950
-----------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -----------
<C> <S> <C>
COMPUTERS - SYSTEMS (3.4%)
3,100 Hewlett-Packard Co............. $ 308,838
-----------
CONSUMER PRODUCTS (1.7%)
2,000 Kimberly-Clark Corp............ 154,500
-----------
CONSUMER SERVICES (1.8%)
4,500 CUC International, Inc.*....... 159,750
-----------
ELECTRONICS - SEMICONDUCTORS/COMPONENTS
(4.0%)
4,000 Motorola, Inc.................. 251,500
2,200 Texas Instruments Inc.......... 109,725
-----------
361,225
-----------
ENTERTAINMENT (2.0%)
4,600 Viacom, Inc. (Class B)*........ 178,825
-----------
FINANCIAL - MISCELLANEOUS (3.8%)
4,000 Associates First Capital
Corp.*....................... 150,500
6,100 Green Tree Financial Corp...... 190,625
-----------
341,125
-----------
HEALTH EQUIPMENT & SERVICES (2.6%)
4,300 Columbia/HCA Healthcare
Corp......................... 229,513
-----------
HOUSEHOLD APPLIANCES (2.3%)
6,200 American Standard Companies,
Inc.*........................ 204,600
-----------
INSURANCE BROKERS (1.1%)
1,000 Marsh & McLennan Companies,
Inc.......................... 96,500
-----------
MACHINERY - CONSTRUCTION & MATERIALS (2.4%)
3,200 Caterpillar, Inc............... 216,800
-----------
NATURAL RESOURCES (0.6%)
600 Texaco, Inc.................... 50,325
-----------
OFFICE EQUIPMENT & SUPPLIES (2.1%)
3,600 Xerox Corp..................... 192,600
-----------
PHARMACEUTICALS (1.8%)
3,400 IVAX Corp...................... 53,975
2,200 Johnson & Johnson.............. 108,900
-----------
162,875
-----------
PUBLISHING (1.9%)
7,300 News Corp. Ltd. (ADR)
(Australia).................. 171,550
-----------
RAILROADS (2.9%)
3,240 Burlington Northern Santa Fe
Corp......................... 262,035
-----------
RESTAURANTS (1.3%)
3,600 Boston Chicken Inc.*........... 116,550
-----------
RETAIL - SPECIALTY (2.3%)
3,800 Home Depot, Inc................ 205,200
-----------
SEMICONDUCTOR EQUIPMENT (0.5%)
1,600 Applied Materials, Inc.*....... 48,600
-----------
SEMICONDUCTORS (4.4%)
5,400 Intel Corp..................... 396,225
-----------
</TABLE>
<PAGE>
CORE EQUITY
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -----------
<C> <S> <C>
SOAP & HOUSEHOLD PRODUCTS (2.8%)
2,800 Procter & Gamble Co............ $ 253,750
-----------
TELECOMMUNICATIONS (0.9%)
2,100 Lucent Technologies, Inc....... 79,538
-----------
TOTAL COMMON STOCKS (IDENTIFIED
COST $8,302,884)............. 8,800,018
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN
THOUSANDS) VALUE
- ------------- -----------
<C> <S> <C>
SHORT-TERM INVESTMENT (4.9%)
REPURCHASE AGREEMENT
$ 443 The Bank of New York 5.125%
due 07/01/96 (dated
06/28/96; proceeds $442,850;
collateralized by $449,580
U.S. Treasury Note 5.25% due
07/31/98 valued at $451,514)
(Identified Cost
$442,661)................... $ 442,661
-----------
TOTAL INVESTMENTS (IDENTIFIED
COST $8,745,545) (A)......... 103.1% 9,242,679
LIABILITIES IN EXCESS OF OTHER
ASSETS....................... (3.1) (277,910)
---------- -----------
NET ASSETS..................... 100.0% $ 8,964,769
---------- -----------
---------- -----------
- ----------------
ADR AMERICAN DEPOSITORY RECEIPT.
* NON-INCOME PRODUCING SECURITY.
(A) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES APPROXIMATES
IDENTIFIED COST. THE AGGREGATE GROSS UNREALIZED APPRECIATION WAS
$727,124 AND THE AGGREGATE GROSS UNREALIZED DEPRECIATION WAS
$229,990, RESULTING IN NET UNREALIZED APPRECIATION OF $497,134.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
AMERICAN VALUE
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
COMMON STOCKS (88.3%)
AEROSPACE (1.1%)
3,700 Boeing Co.................... $ 322,362
5,000 United Technologies Corp..... 575,000
-------------
897,362
-------------
AGRICULTURE RELATED (1.0%)
2,000 AGCO Corp.................... 55,500
6,000 Case Corp.................... 288,000
8,000 Pioneer Hi-Bred
International, Inc......... 423,000
-------------
766,500
-------------
AIR TRANSPORT (3.1%)
6,000 AMR Corp.*................... 546,000
4,000 Atlas Air, Inc.*............. 230,500
6,000 Continental Airlines, Inc.
(Class B)*................. 370,500
8,000 Delta Air Lines, Inc......... 664,000
12,000 UAL Corp.*................... 645,000
-------------
2,456,000
-------------
APPAREL & FOOTWEAR (2.9%)
4,000 Fila Holding SpA (ADR)
(Italy).................... 345,000
6,000 Nike, Inc. (Class B)......... 616,500
10,000 Nine West Group, Inc......... 511,250
11,000 St. John Knits, Inc.......... 490,875
10,000 Vans, Inc.*.................. 168,750
5,000 Wolverine World Wide, Inc.... 162,500
-------------
2,294,875
-------------
AUTO RELATED (2.3%)
16,400 AutoZone, Inc.*.............. 569,900
3,000 Goodyear Tire & Rubber Co.... 144,750
6,000 Harley-Davidson, Inc......... 246,750
6,300 Harman International
Industries, Inc............ 310,275
11,000 Lear Corp.*.................. 387,750
6,000 OEA, Inc..................... 225,000
-------------
1,884,425
-------------
AUTOMOTIVE (0.8%)
4,000 Chrysler Corp................ 248,000
13,000 Ford Motor Co................ 420,875
-------------
668,875
-------------
BANKS (1.2%)
7,000 BankAmerica Corp............. 530,250
4,000 First Bank System, Inc....... 232,000
2,000 NationsBank Corp............. 165,250
-------------
927,500
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
BANKS - MONEY CENTER (0.9%)
9,000 Citicorp..................... $ 743,625
-------------
BASIC CYCLICALS (1.4%)
4,700 Cytec Industries, Inc.*...... 401,850
8,600 Polymer Group, Inc.*......... 150,500
8,000 Titanium Metals Corp.*....... 207,000
10,000 Witco Corp................... 343,750
-------------
1,103,100
-------------
BEVERAGES - SOFT DRINKS (0.8%)
19,000 PepsiCo Inc.................. 672,125
-------------
BIOTECHNOLOGY (1.2%)
5,500 Amgen Inc.*.................. 295,625
5,000 Centocor, Inc.*.............. 149,375
10,000 IDEC Pharmaceuticals
Corp.*..................... 230,000
1,000 Millennium Pharmaceuticals,
Inc.*...................... 14,750
4,000 QLT Phototherapeutics,
Inc.*...................... 73,000
10,000 SangStat Medical Corp.*...... 168,750
-------------
931,500
-------------
CAPITAL GOODS (0.7%)
4,000 Lockheed Martin Corp......... 336,000
3,000 Raychem Corp................. 215,625
-------------
551,625
-------------
CHEMICALS (1.4%)
22,500 Monsanto Co.................. 731,250
8,600 Praxair, Inc................. 363,350
-------------
1,094,600
-------------
COMMUNICATIONS EQUIPMENT (6.3%)
8,000 ADC Telecommunications,
Inc*....................... 356,000
10,000 Adtran, Inc.*................ 707,500
9,000 Ascend Communications,
Inc.*...................... 505,125
8,000 Cascade Communications
Corp.*..................... 544,000
12,000 Cisco Systems, Inc.*......... 679,500
15,000 FORE Systems, Inc.*.......... 540,000
4,000 Newbridge Networks Corp.*
(Canada)................... 262,000
8,000 Pairgain Technologies,
Inc.*...................... 496,000
600 Sawtek, Inc.*................ 20,850
9,000 Tellabs, Inc.*............... 600,750
4,000 U.S. Robotics Corp.*......... 341,000
-------------
5,052,725
-------------
COMPUTER EQUIPMENT (0.4%)
9,000 Gateway 2000, Inc.*.......... 304,875
-------------
</TABLE>
<PAGE>
AMERICAN VALUE
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
COMPUTER SERVICES (6.5%)
5,000 America Online, Inc.*........ $ 217,500
4,000 BDM International Inc.*...... 185,000
2,300 Boston Communications Group,
Inc.*...................... 37,375
18,000 Cambridge Technology
Partners, Inc.*............ 549,000
7,000 CBT Group PLC (ADR)*
(Ireland).................. 315,000
4,000 Computer Horizons Corp.*..... 157,000
2,800 Computer Sciences Corp.*..... 209,300
12,000 Dendrite International,
Inc.*...................... 411,000
10,000 DST Systems, Inc.*........... 320,000
4,000 Electronic Data Systems
Corp....................... 215,000
4,860 First Data Corp.............. 386,977
300 First USA Paymentech,
Inc.*...................... 12,000
4,000 Keane, Inc.*................. 147,500
9,000 Netscape Communications
Corp.*..................... 560,250
2,500 NOVA Corp.*.................. 84,375
700 Open Market, Inc.*........... 17,063
15,000 PsiNet, Inc.*................ 170,625
3,000 Remedy Corp.*................ 217,500
800 Renaissance Solutions,
Inc.*...................... 22,000
5,000 Reuters Holdings PLC (ADR)
(United Kingdom)........... 361,875
3,500 Security Dynamics
Technologies, Inc.*........ 287,000
8,000 Sterling Commerce, Inc.*..... 297,000
-------------
5,180,340
-------------
COMPUTER SOFTWARE (5.6%)
10,000 Baan Company NV*
(Netherlands).............. 340,000
10,000 BMC Software, Inc.*.......... 595,000
6,000 Business Objects S.A. (ADR)*
(France)................... 241,500
5,000 Computer Associates
International,
Inc........................ 356,250
6,700 Edify Corp.*................. 174,200
6,000 HNC Software, Inc............ 270,000
300 I2 Technologies, Inc.*....... 12,825
600 Mechanical Dynamics, Inc.*... 8,925
6,000 Microsoft Corp.*............. 720,000
8,000 Oracle Corp.*................ 315,000
8,000 Parametric Technology
Corp.*..................... 346,000
8,000 Peoplesoft, Inc.*............ 568,000
10,000 Rational Software Corp.*..... 537,500
400 Siebel Systems, Inc.*........ 12,000
-------------
4,497,200
-------------
CONGLOMERATES (1.1%)
4,000 General Electric Co.......... 346,000
13,950 Thermo Electron Corp......... 580,669
-------------
926,669
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
CONSUMER BUSINESS SERVICES (3.8%)
2,000 AccuStaff, Inc.*............. $ 54,500
4,000 Alternative Resources
Corp.*..................... 144,000
12,000 Apollo Group, Inc. (Class
A)*........................ 330,000
5,000 COREStaff, Inc.*............. 221,250
4,000 Culligan Water Technologies,
Inc.*...................... 152,000
14,000 ITT Educational Services,
Inc.*...................... 404,250
21,000 National Education Corp.*.... 299,250
8,000 Reynolds & Reynolds Co.
(Class A).................. 426,000
11,000 Service Corp.
International.............. 632,500
10,000 Verifone, Inc.*.............. 422,500
-------------
3,086,250
-------------
CONSUMER PRODUCTS (3.3%)
3,000 Black & Decker Corp.......... 115,875
2,000 Coca Cola Co................. 97,750
13,000 Coca-Cola Enterprises,
Inc........................ 450,125
8,000 Gillette Co.................. 499,000
10,000 Mondavi (Robert) Corp.
(The) (Class A)*........... 315,000
10,000 Panamerican Beverages, Inc.
(Class A) (Mexico)......... 447,500
9,000 Vons Companies, Inc.*........ 336,375
15,000 Whitman Corp................. 361,875
-------------
2,623,500
-------------
ENERGY (4.5%)
13,000 Baker Hughes, Inc............ 427,375
8,000 BJ Services Co.*............. 281,000
15,000 Diamond Offshore Drilling,
Inc.*...................... 858,750
4,000 Dresser Industries, Inc...... 118,000
6,000 Halliburton Co............... 333,000
6,000 Louisiana Land & Exploration
Co......................... 345,750
21,000 Reading & Bates Corp.*....... 464,625
8,000 Rowan Companies, Inc.*....... 118,000
2,000 Sonat Offshore Drilling,
Inc........................ 101,000
12,000 Tidewater, Inc............... 526,500
-------------
3,574,000
-------------
ENTERTAINMENT & LEISURE TIME (4.4%)
5,000 Bally Entertainment Corp.*... 137,500
14,000 Cannondale Corp.*............ 276,500
2,000 Hilton Hotels Corp........... 225,000
12,000 International Game
Technology................. 202,500
14,000 ITT Corp.*................... 927,500
15,000 MGM Grand, Inc.*............. 598,125
11,000 Mirage Resorts, Inc.*........ 594,000
700 Premier Parks, Inc.*......... 15,050
19,000 Showboat, Inc................ 572,375
-------------
3,548,550
-------------
FINANCIAL - MISCELLANEOUS (1.9%)
8,000 Associates First Capital
Corp.*..................... 301,000
7,000 First USA, Inc............... 385,000
8,000 Household International,
Inc........................ 608,000
4,000 Morgan Stanley Group, Inc.... 196,500
-------------
1,490,500
-------------
</TABLE>
<PAGE>
AMERICAN VALUE
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
HEALTHCARE PRODUCTS & SERVICES (3.6%)
8,000 HBO & Co..................... $ 540,000
10,500 Health Management Associates,
Inc. (Class A)*............ 212,625
5,000 Healthsouth Corp.*........... 180,000
6,000 HPR Inc.*.................... 123,000
1,000 Medic Computer Systems,
Inc.*...................... 81,000
15,000 PhyCor, Inc.*................ 566,250
7,000 Renal Treatment Centers,
Inc.*...................... 201,250
12,000 RoTech Medical Corp.*........ 231,000
7,000 Shared Medical Systems
Corp....................... 449,750
2,000 Sunrise Assisted Living,
Inc.*...................... 48,000
8,000 Vivra, Inc.*................. 263,000
-------------
2,895,875
-------------
INSURANCE (2.1%)
9,500 Allstate Corp................ 433,437
10,000 Conseco Inc.................. 400,000
5,000 Exel Ltd. (Bermuda).......... 352,500
9,000 SunAmerica, Inc.............. 508,500
-------------
1,694,437
-------------
MEDIA (4.6%)
8,000 Argyle Television, Inc.
(Class A)*................. 196,000
8,400 Clear Channel Communications,
Inc.*...................... 691,950
9,000 Emmis Broadcasting Corp.
(Class A)*................. 445,500
10,000 Evergreen Media Corp.
(Class A)*................. 422,500
7,500 General Motors Corp.
(Class H).................. 450,938
25,000 Heftel Broadcasting Corp.
(Class A)*................. 731,250
16,000 Infinity Broadcasting Corp.
(Class A)*................. 480,000
8,000 Renaissance Communications
Corp.*..................... 258,000
-------------
3,676,138
-------------
MEDICAL PRODUCTS & SUPPLIES (1.7%)
900 Arterial Vascular
Engineering, Inc.*......... 32,175
2,000 Becton, Dickinson & Co....... 160,500
8,000 Guidant Corp................. 394,000
7,600 Heartport, Inc.*............. 228,000
8,000 Martek Biosciences Corp.*.... 234,000
4,000 Spine-Tech, Inc.*............ 113,000
5,500 Target Therapeutics, Inc.*... 224,125
-------------
1,385,800
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
OIL DRILLING & SERVICES (1.9%)
20,000 Global Marine, Inc.*......... $ 277,500
22,000 Marine Drilling Company,
Inc.*...................... 220,000
12,000 Smith International, Inc.*... 361,500
11,000 Western Atlas, Inc.*......... 640,750
-------------
1,499,750
-------------
OIL INTEGRATED - INTERNATIONAL (0.2%)
2,000 Chesapeake Energy Corp.*..... 179,750
-------------
OIL WELL - MACHINERY (0.6%)
6,000 Schlumberger, Ltd............ 505,500
-------------
PHARMACEUTICALS (2.9%)
10,000 American Home Products
Corp....................... 601,250
10,000 Biochem Pharma, Inc.*........ 373,750
7,200 Johnson & Johnson............ 356,400
4,000 Lilly (Eli) & Co............. 260,000
10,000 Pfizer, Inc.................. 713,750
-------------
2,305,150
-------------
RESTAURANTS (0.4%)
3,000 Landry's Seafood Restaurants,
Inc.*...................... 72,000
1,000 Planet Hollywood
International, Inc. (Class
A)*........................ 26,875
7,000 Starbucks Corp.*............. 196,875
-------------
295,750
-------------
RETAIL (5.7%)
2,000 Dayton-Hudson Corp........... 206,250
10,000 Federated Department Stores,
Inc.*...................... 341,250
7,000 Gadzooks, Inc.*.............. 223,125
8,500 Gucci Group NV (Italy)....... 548,250
9,000 Kohl's Corp.*................ 329,625
6,000 Luxottica Group SpA (ADR)
(Italy).................... 440,250
11,000 Oakley, Inc.*................ 500,500
8,000 Pacific Sunwear of
California, Inc.*.......... 188,000
8,000 PetSmart, Inc.*.............. 378,000
9,000 Quiksilver, Inc.*............ 270,000
8,000 Sears, Roebuck & Co.......... 389,000
6,000 Tiffany & Co................. 438,000
14,000 Williams-Sonoma Inc.*........ 329,000
-------------
4,581,250
-------------
RETAIL - FOOD CHAINS (0.6%)
5,000 American Stores Co........... 206,250
9,000 Safeway, Inc.*............... 297,000
-------------
503,250
-------------
RETAIL - SPECIALTY (1.3%)
14,000 Home Depot, Inc.............. 756,000
15,200 Price/Costco, Inc.*.......... 324,900
-------------
1,080,900
-------------
SEMICONDUCTORS (0.2%)
3,000 Actel Corp.*................. 55,125
1,000 Intel Corp................... 73,375
-------------
128,500
-------------
</TABLE>
<PAGE>
AMERICAN VALUE
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
SOAP & HOUSEHOLD PRODUCTS (3.0%)
8,000 Avon Products, Inc........... $ 361,000
6,000 Clorox Co.................... 531,750
10,000 Kimberly-Clark Corp.......... 772,500
8,000 Procter & Gamble Co.......... 725,000
-------------
2,390,250
-------------
TELECOMMUNICATIONS (1.7%)
6,000 Globalstar Telecommunications
Ltd.* (Bermuda)............ 258,000
16,000 MFS Communications Company,
Inc.*...................... 600,000
3,000 Omnipoint Corp.*............. 78,000
1,000 Premiere Technologies,
Inc.*...................... 30,750
7,900 WorldCom, Inc.*.............. 436,475
-------------
1,403,225
-------------
TEXTILES (0.6%)
2,000 Designer Holdings Ltd.*...... 53,250
9,000 Jones Apparel Group, Inc.*... 442,125
-------------
495,375
-------------
TOBACCO (0.6%)
5,000 Philip Morris Companies,
Inc........................ 520,000
-------------
TOTAL COMMON STOCKS
(IDENTIFIED COST
$65,665,163)............... 70,817,621
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN
THOUSANDS) VALUE
- ----------- -------------
<C> <S> <C>
U.S. GOVERNMENT OBLIGATION (2.5%)
$ 2,300 U.S. Treasury Bond 6.00% due
02/15/26 (Identified Cost
$1,999,109)................ $ 2,040,172
-------------
SHORT-TERM INVESTMENTS (9.8%)
U.S. GOVERNMENT AGENCIES (a) (9.0%)
7,230 Federal Home Loan Mortgage
Corp. 5.25% - 5.52% due
07/01/96................... 7,230,000
-------------
REPURCHASE AGREEMENT (0.8%)
627 The Bank of New York 5.125%
due 07/01/96 (dated
06/28/96; proceeds
$627,412; collateralized by
$636,946 U.S. Treasury Note
5.25% due 07/31/98 valued
at $639,687) (Identified
Cost $627,144)............. 627,144
-------------
TOTAL SHORT-TERM INVESTMENTS
(IDENTIFIED COST
$7,857,144)................ 7,857,144
-------------
TOTAL INVESTMENTS (IDENTIFIED
COST $75,521,416) (B)....... 100.6% 80,714,937
LIABILITIES IN EXCESS OF OTHER
ASSETS...................... (0.6) (479,657)
---------- -------------
NET ASSETS.................... 100.0% $ 80,235,280
---------- -------------
---------- -------------
- ----------------
ADR AMERICAN DEPOSITORY RECEIPT.
* NON-INCOME PRODUCING SECURITY.
(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. THE AGGREGATE GROSS UNREALIZED APPRECIATION WAS $6,956,800 AND THE
AGGREGATE GROSS UNREALIZED DEPRECIATION WAS $1,763,279, RESULTING IN NET
UNREALIZED APPRECIATION OF $5,193,521.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
COMMON AND PREFERRED STOCKS (91.3%)
ARGENTINA (1.0%)
AUTOMOTIVE
8,000 Ciadea S.A.*................. $ 56,826
-------------
BANKING
2,508 Bansud S.A.*................. 29,608
-------------
BREWERY
3,900 Quilmes Industrial S.A.
(ADR)...................... 39,975
-------------
ENERGY
10,000 Perez Companc S.A. (Class
B)......................... 66,280
3,500 Yacimentos Petroliferos
Fiscales S.A. (ADR)........ 78,750
-------------
145,030
-------------
STEEL
4,500 Siderar S.A. (A Shares)
(ADR)* - 144A**............ 92,812
-------------
TELECOMMUNICATIONS
800 Telefonica de Argentina S.A.
(ADR)...................... 23,700
-------------
TOTAL ARGENTINA.............. 387,951
-------------
AUSTRALIA (0.9%)
BUSINESS SERVICES
22,000 Mayne Nickless Ltd........... 128,676
-------------
ENERGY
4,300 Broken Hill Proprietary Co.
Ltd........................ 59,474
-------------
METALS & MINING
60,000 M.I.M. Holdings Ltd.......... 77,539
40,000 Pasminco Ltd................. 56,364
-------------
133,903
-------------
RETAIL
20,488 Woolworth's Ltd.............. 49,513
-------------
TOTAL AUSTRALIA.............. 371,566
-------------
AUSTRIA (0.0%)
ENERGY
110 OMV AG....................... 11,129
-------------
BELGIUM (0.2%)
RETAIL
1,500 G.I.B. Holdings Ltd.......... 67,268
-------------
BRAZIL (1.9%)
APPLIANCES & HOUSEHOLD DURABLES
5,500 Refrigeracao Parana S.A.
(ADR)*..................... 66,715
-------------
FOREST PRODUCTS, PAPER & PACKAGING
7,000 Aracruz Celulose S.A.
(ADR)...................... 66,500
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
STEEL & IRON
6,000 Usinas Siderurgicas de Minas
Gerais S.A. (ADR).......... $ 64,500
-------------
SUPERMARKETS
5,000 Companhia Brasileiras de
Distribuicao (ADR)* -
144A**..................... 81,250
-------------
TELECOMMUNICATIONS
5,600 Telecomunicacoes Brasileiras
S.A. (ADR)................. 389,900
-------------
UTILITIES - ELECTRIC
4,050 Companhia Energetica de Minas
Gerais S.A. (ADR) -
144A**..................... 114,412
-------------
TOTAL BRAZIL................. 783,277
-------------
CANADA (0.3%)
ENERGY
1,500 Suncor, Inc.................. 47,411
-------------
METALS & MINING
3,200 Barrick Gold Corp............ 86,947
-------------
TOTAL CANADA................. 134,358
-------------
CHILE (0.8%)
BANKS
1,000 Banco BHIF (ADR)*............ 20,125
2,000 Banco de A. Edwards (Series
A)
(ADR)...................... 42,000
-------------
62,125
-------------
BEVERAGES - SOFT DRINKS
1,500 Embotelladora Andina S.A.
(ADR)...................... 55,125
-------------
FOREST PRODUCTS, PAPER & PACKAGING
3,000 Cristalerias de Chile
(ADR)...................... 70,500
-------------
TELECOMMUNICATIONS
900 Compania de
Telecommunicaciones de
Chile S.A. (ADR)........... 88,312
-------------
UTILITIES - ELECTRIC
2,000 Enersis S.A. (ADR)........... 62,000
-------------
TOTAL CHILE.................. 338,062
-------------
DENMARK (0.2%)
TRANSPORTATION
800 Kobenhavns Lufthavne AS...... 79,033
-------------
FINLAND (0.2%)
MANUFACTURING
3,000 Valmet Corp. (ADR)........... 99,000
-------------
FRANCE (2.1%)
APPAREL
300 Hermes International......... 79,193
-------------
</TABLE>
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
BANKING
300 Societe Generale............. $ 32,958
-------------
BROADCAST MEDIA
500 Societe Television Francaise
1.......................... 57,065
-------------
BUILDING MATERIALS
300 Compagnie de Saint-Gobain.... 40,120
500 IMETAL....................... 70,846
-------------
110,966
-------------
BUSINESS & PUBLIC SERVICES
200 Compagnie Generale des
Eaux....................... 22,321
-------------
FINANCIAL SERVICES
350 Cetelem Group................ 78,600
-------------
FOODS & BEVERAGES
260 LVMH Moet-Hennessy Louis
Vuitton.................... 61,619
1,500 SEITA........................ 68,711
-------------
130,330
-------------
INSURANCE
700 Scor S.A..................... 27,242
-------------
PHARMACEUTICALS
1,050 Sanofi S.A................... 78,628
-------------
RETAIL
135 Carrefour Supermarche........ 75,571
400 Castorama Dubois
Investissement............. 78,727
300 Promodes..................... 86,413
-------------
240,711
-------------
TOTAL FRANCE................. 858,014
-------------
GERMANY (1.5%)
APPAREL
1,200 Adidas AG.................... 100,715
1,000 Puma AG*..................... 35,862
-------------
136,577
-------------
AUTOMOTIVE
120 Bayerische Motoren Werke
(BMW) AG................... 69,493
200 Volkswagen AG................ 74,218
-------------
143,711
-------------
BUSINESS SERVICES
600 SAP AG (Pref.)............... 88,864
-------------
CHEMICALS
2,400 Bayer AG..................... 84,651
-------------
ELECTRICAL EQUIPMENT
1,200 Siemens AG................... 64,020
-------------
PHARMACEUTICALS
100 Gehe AG...................... 68,902
-------------
TOTAL GERMANY................ 586,725
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
HONG KONG (4.6%)
BANKING
10,000 Guoco Group Ltd.............. $ 47,673
6,000 Hang Seng Bank Ltd........... 60,464
13,670 HSBC Holdings PLC............ 206,634
-------------
314,771
-------------
BUILDING & CONSTRUCTION
32,000 New World Infrastructure
Ltd.*...................... 68,215
-------------
BUSINESS SERVICES
124,000 First Pacific Co. Ltd........ 190,641
-------------
CONGLOMERATES
40,000 Hutchison Whampoa, Ltd....... 251,673
20,600 Jardine Matheson Holdings
Ltd........................ 151,410
19,500 Swire Pacific Ltd. (Class
A)......................... 166,905
33,000 Wheelock & Company, Ltd...... 65,231
-------------
635,219
-------------
ELECTRONICS
24,000 Gold Peak Industries
(Holdings) Ltd............. 13,566
-------------
HOTELS
14,000 Harbour Centre Development... 18,992
-------------
REAL ESTATE
33,000 Cheung Kong (Holdings)
Ltd........................ 237,688
11,000 New World Development Co.
Ltd........................ 51,019
44,000 Shangri-La Asia Ltd.......... 61,678
11,000 Sun Hung Kai Properties
Ltd........................ 111,205
-------------
461,590
-------------
TRANSPORTATION
7,500 The Guangshen Railway Co.,
Ltd. (ADR)*................ 143,437
-------------
TOTAL HONG KONG.............. 1,846,431
-------------
INDIA (0.2%)
BUILDING & CONSTRUCTION
2,000 Larsen & Toubro Ltd. (GDR)... 37,500
-------------
METALS & MINING
1,000 Hindalco Industries Ltd.
(GDR)* - 144A**............ 38,000
-------------
TOTAL INDIA.................. 75,500
-------------
INDONESIA (0.2%)
TELECOMMUNICATIONS
3,000 PT Indosat (ADR)............. 100,500
-------------
ITALY (0.8%)
CONSUMER PRODUCTS
1,000 De Rigo SpA (ADR)*........... 22,875
-------------
ENERGY
2,500 Ente Nazionale Idrocarburi
SpA (ADR).................. 125,000
-------------
</TABLE>
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
TELECOMMUNICATIONS
40,000 Telecom Italia Mobile SpA.... $ 89,309
40,000 Telecom Italia SpA........... 85,919
-------------
175,228
-------------
TOTAL ITALY.................. 323,103
-------------
JAPAN (34.6%)
APPAREL
1,000 Maruco Co., Ltd.............. 89,798
-------------
APPLIANCES & HOUSEHOLD DURABLES
2,000 Enix Corp.................... 62,540
-------------
AUTO PARTS
1,000 Autobacs Seven Co............ 96,636
-------------
AUTOMOTIVE
33,000 Mitsubishi Motors Corp....... 288,814
11,000 Suzuki Motor Co. Ltd......... 144,407
-------------
433,221
-------------
BANKING
29,000 Asahi Bank, Ltd.............. 335,764
17,000 Sanwa Bank, Ltd.............. 314,614
15,000 Sumitomo Bank................ 289,908
10,000 Sumitomo Trust & Banking..... 136,749
-------------
1,077,035
-------------
BREWERY
5,000 Kirin Brewery Co., Ltd....... 61,081
-------------
BUILDING & CONSTRUCTION
1,000 Mitsui Home Co., Ltd......... 16,228
30,000 Nishimatsu Construction
Co......................... 328,198
25,000 Sekisui House Ltd............ 284,894
-------------
629,320
-------------
BUILDING MATERIALS
6,000 Tostem Corp.................. 176,680
-------------
BUSINESS SERVICES
1,000 Chuo Warehouse Co............ 13,128
14,000 Dai Nippon Printing Co.
Ltd........................ 270,581
5,000 Secom Co..................... 330,021
-------------
613,730
-------------
CHEMICALS
43,000 Asahi Chemical Industry Co.
Ltd........................ 306,555
23,000 Kaneka Corp.................. 154,535
23,000 Nippon Shokubai K.K. Co...... 222,263
2,100 Shin-Etsu Chemical Co........ 40,204
-------------
723,557
-------------
COMPUTER SERVICES
1,000 Daiwabo Information Systems
Co......................... 24,615
-------------
COMPUTER SOFTWARE
4,000 Square Co. Ltd............... 234,479
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
CONSUMER PRODUCTS
18,000 Kao Corp..................... $ 242,866
-------------
ELECTRONICS
1,000 Alpine Electronics Inc....... 18,689
18,000 Canon, Inc................... 374,145
12,000 Matsushita Electric
Industrial
Co. Ltd.................... 223,174
1,100 Mitsui High-Tec.............. 25,672
10,000 NEC Corp..................... 108,488
5,000 Nissin Electric.............. 41,572
2,000 Nitto Denko Corp............. 35,190
4,000 Sony Corp.................... 262,923
-------------
1,089,853
-------------
ELECTRONICS - SEMICONDUCTORS/COMPONENTS
2,000 Kyocera Corp................. 141,307
6,000 Rohm Co., Ltd................ 396,025
10,000 Ryoyo Electro Corp........... 215,152
-------------
752,484
-------------
ENGINEERING & CONSTRUCTION
8,000 Kajima Corp.................. 82,414
-------------
FINANCIAL SERVICES
28,000 New Japan Securities Co.,
Ltd.*...................... 170,262
11,000 Nomura Securities Co. Ltd.... 214,605
7,000 Orix Corp.................... 259,094
3,000 Promise Co., Ltd............. 147,689
-------------
791,650
-------------
FOODS
1,100 Stamina Foods................ 10,530
-------------
FOREST PRODUCTS, PAPER & PACKAGING
2,000 Daishowa Paper Manufacturing
Co. Ltd.*.................. 15,407
-------------
FURNITURE
4,000 Itoki Crebio Corp............ 36,138
-------------
INSURANCE
17,000 Dai-Tokyo Fire & Marine
Insurance Co. Ltd.......... 127,860
24,000 Tokio Marine & Fire Insurance
Co......................... 319,446
-------------
447,306
-------------
INTERNATIONAL TRADE
5,000 Mitsubishi Corp.............. 65,639
42,000 Mitsui & Co.................. 380,217
-------------
445,856
-------------
LEISURE
3,000 Nintendo Corp., Ltd.......... 223,174
-------------
MACHINE TOOLS
25,480 Asahi Diamond Industries Co.
Ltd........................ 332,176
-------------
</TABLE>
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
MACHINERY
2,000 Aichi Corp................... $ 21,515
5,000 Daifuku Co. Ltd.............. 76,579
6,000 Daikin Industries Ltd........ 65,639
29,000 Komatsu Ltd.................. 285,532
2,000 Mabuchi Motor Co............. 127,268
15,000 Minebea Co., Ltd............. 125,946
39,000 Mitsubishi Heavy Industries,
Ltd........................ 338,837
4,000 Nippon Thompson Co........... 34,461
2,200 Nitto Electric Works......... 36,302
7,000 NSK Ltd...................... 52,904
-------------
1,164,983
-------------
MANUFACTURING
2,000 Bridgestone Metalpha Corp.... 28,626
32,000 Hitachi Cable................ 267,809
5,000 Nippon Electric Glass Co.,
Ltd........................ 85,240
-------------
381,675
-------------
METALS & MINING
72,000 Nippon Steel Co.............. 246,805
-------------
NATURAL GAS
11,000 Osaka Gas Co................. 40,213
-------------
PHARMACEUTICALS
19,600 Eisai Co. Ltd................ 369,879
4,000 Terumo....................... 50,688
-------------
420,567
-------------
REAL ESTATE
4,000 Cesar Co..................... 39,748
2,000 Chubu Sekiwa Real Estate,
Ltd........................ 32,273
8,000 Mitsui Fudosan Co............ 107,941
34,000 Sumitomo Realty &
Development................ 268,739
-------------
448,701
-------------
RESTAURANTS
15 Yoshinoya D & C Company
Ltd........................ 202,389
-------------
RETAIL
3,000 Aoyama Trading Co., Ltd...... 78,494
2,000 Circle K Japan Co. Ltd....... 103,565
1,000 Honma Golf Co. Ltd........... 28,535
15,000 Izumiya Co. Ltd.............. 300,848
7,000 Jusco Co..................... 229,100
1,000 Sundrug Co., Ltd............. 44,124
-------------
784,666
-------------
STEEL & IRON
113,000 NKK Corp.*................... 342,018
-------------
TELECOMMUNICATIONS
40 DDI Corp..................... 348,619
9 Nippon Telegraph &
Telephone.................. 66,624
-------------
415,243
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
TEXTILES - APPAREL
13,000 Kuraray Co. Ltd.............. $ 145,774
4,000 Tokyo Style.................. 69,651
-------------
215,425
-------------
TRANSPORTATION
12 East Japan Railway Co........ 62,905
33,000 Nippon Yusen Kabushiki
Kaish...................... 190,738
27,000 Yamato Transport Co. Ltd..... 317,531
-------------
571,174
-------------
TOTAL JAPAN.................. 13,926,405
-------------
MALAYSIA (2.8%)
BANKING
52,000 DCB Holdings Berhad.......... 178,268
14,000 Malayan Banking Berhad....... 134,723
17,000 Public Bank Berhad........... 47,033
-------------
360,024
-------------
BUILDING & CONSTRUCTION
32,000 United Engineers Malaysia
Berhad..................... 221,973
-------------
ENTERTAINMENT
10,000 Genting Berhad............... 78,188
-------------
LEISURE
10,000 Berjaya Sports Toto Berhad... 33,079
-------------
MACHINERY
12,000 UMW Holdings Berhad.......... 42,823
-------------
NATURAL GAS
20,000 Petronas Gas Berhad.......... 85,806
-------------
REAL ESTATE
10,000 Land & General Berhad........ 24,659
-------------
TELECOMMUNICATIONS
44,000 Technology Resources
Industries Berhad*......... 153,488
3,000 Telekom Malaysia Berhad...... 26,704
-------------
180,192
-------------
TOBACCO
15,000 RJ Reynolds Berhad........... 44,206
-------------
UTILITIES - ELECTRIC
15,000 Tenaga Nasional Berhad....... 63,152
-------------
TOTAL MALAYSIA............... 1,134,102
-------------
MEXICO (1.8%)
AUTOMOTIVE
9,000 Sanluis Corporacion S.A. de
C.V........................ 55,078
-------------
BANKING
15,000 Grupo Financiero Banamex
Accival S.A. de C.V. (B
Shares)*................... 31,258
450 Grupo Financiero Banamex
Accival S.A. de C.V.
(Series L)*................ 854
70,000 Grupo Financiero Bancomer
S.A. de C.V. (B Shares)*... 30,467
-------------
62,579
-------------
</TABLE>
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
BUILDING & CONSTRUCTION
16,000 Corporacion GEO S.A. de C.V.
(Series B)*................ $ 71,327
4,000 Empresas ICA Sociedad
Controladora S.A. de C.V.
(ADR)*..................... 55,500
-------------
126,827
-------------
BUILDING MATERIALS
16,000 Apasco S.A. de C.V........... 87,998
600 Cemex S.A. de C.V. (B
Shares).................... 2,366
50,000 Grupo Cementos de Chihuahua
S.A. de C.V. (B Shares).... 51,306
-------------
141,670
-------------
CONGLOMERATES
34,573 Grupo Industria Alfa S.A. de
C.V. (A Shares)............ 155,492
-------------
MANUFACTURING
4,000 Elamax S.A. de C.V.*......... 39,000
-------------
METALS & MINING
8,000 Industrias Penoles S.A....... 36,613
6,100 Tubos de Acero de Mexico S.A.
de C.V. (ADR)*............. 57,569
-------------
94,182
-------------
TRANSPORTATION
4,500 Transportacion Maritima
Mexicana S.A. de C.V.
(Series L) (ADR)........... 33,187
-------------
TOTAL MEXICO................. 708,015
-------------
NETHERLANDS (2.3%)
BANKING
1,600 ABN-AMRO Holding NV.......... 85,773
-------------
BUILDING MATERIALS
800 Hunter Douglas NV............ 54,544
-------------
BUSINESS & PUBLIC SERVICES
1,500 Randstad Holdings NV......... 110,610
-------------
FURNITURE
2,000 Ahrend Groep NV.............. 90,478
-------------
INSURANCE
2,000 Aegon NV..................... 92,000
3,000 ING Groep NV................. 89,366
-------------
181,366
-------------
PUBLISHING
5,800 Elsevier NV.................. 87,915
5,000 Ver Ned Uitgev Ver Bezit
NV......................... 77,544
600 Wegener NV................... 63,522
600 Wolters Kluwer NV............ 68,087
-------------
297,068
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
RETAIL
2,000 Koninklijke Ahold NV......... $ 108,270
-------------
TOTAL NETHERLANDS............ 928,109
-------------
NORWAY (0.3%)
INSURANCE
24,500 UNI Storebrand AS (A
Shares)*................... 110,023
-------------
PANAMA (0.3%)
BANKING
2,000 Banco Latinoamericano de
Exportaciones S.A. (E
Shares).................... 112,500
-------------
PERU (0.4%)
METALS & MINING
7,500 Companhia de Minas
Buenaventura S.A. (ADR)*... 149,062
-------------
PHILIPPINES (0.1%)
TELECOMMUNICATIONS
900 Philippine Long Distance
Telephone Co. (ADR)........ 52,312
-------------
PORTUGAL (0.3%)
TELECOMMUNICATIONS
4,000 Portugal Telecom S.A.
(ADR)...................... 105,000
-------------
SINGAPORE (1.7%)
BANKING
8,500 Development Bank of
Singapore, Ltd............. 106,062
20,000 Overseas Union Bank, Ltd..... 137,540
5,000 United Overseas Bank, Ltd.... 47,855
-------------
291,457
-------------
BEVERAGES - SOFT DRINKS
4,800 Fraser & Neave Ltd........... 49,684
-------------
MACHINERY - DIVERSIFIED
7,000 Keppel Corp., Ltd............ 58,561
-------------
PUBLISHING
4,000 Singapore Press Holdings
Ltd........................ 78,554
-------------
REAL ESTATE
25,000 DBS Land Ltd................. 85,785
14,000 Singapore Land Ltd........... 94,789
-------------
180,574
-------------
TRANSPORTATION
4,000 Singapore Airlines Ltd....... 42,255
-------------
TOTAL SINGAPORE.............. 701,085
-------------
SOUTH AFRICA (0.1%)
BREWERY
500 South African Breweries Ltd.
(ADR)...................... 14,688
-------------
</TABLE>
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
CONGLOMERATES
2,000 Barlow Ltd. (ADR)............ $ 20,800
-------------
TOTAL SOUTH AFRICA........... 35,488
-------------
SOUTH KOREA (0.1%)
UTILITIES - ELECTRIC
1,500 Korea Electric Power Corp.
(ADR)...................... 36,375
-------------
SPAIN (1.4%)
BANKS
1,600 Banco Bilbao Vizcaya......... 64,774
400 Banco Popular Espanol S.A.... 71,264
-------------
136,038
-------------
FINANCIAL SERVICES
1,000 Corporacion Financiera
Alba....................... 83,151
-------------
NATURAL GAS
500 Gas Natural SDG S.A. (Series
E)......................... 104,914
-------------
TELECOMMUNICATIONS
1,800 Telefonica de Espana S.A.
(ADR)...................... 99,225
-------------
UTILITIES - ELECTRIC
1,000 Empresa Nacional de
Electricidad S.A........... 62,324
7,000 Iberdrola S.A................ 71,802
-------------
134,126
-------------
TOTAL SPAIN.................. 557,454
-------------
SWEDEN (1.9%)
AUTOMOTIVE
4,000 Volvo AB (B Shares).......... 90,912
-------------
BUSINESS SERVICES
4,000 Scribona AB (Series "B"
Free)...................... 41,843
6,000 Securitas AB (Series "B"
Free)...................... 125,530
-------------
167,373
-------------
MACHINERY
4,300 Kalmar Industries AB......... 90,611
-------------
MEDICAL SUPPLIES
5,200 Getinge Industrier AB (B
Shares).................... 97,836
-------------
PHARMACEUTICALS
3,000 Astra AB (Series "A" Free)... 132,304
-------------
RETAIL
1,200 Hennes & Mauritz AB (B
Shares).................... 111,081
-------------
TELECOMMUNICATION EQUIPMENT
3,200 Ericsson (L.M.) Telephone Co.
AB (Series "B" Free)....... 68,876
-------------
TOTAL SWEDEN................. 758,993
-------------
SWITZERLAND (0.8%)
CONGLOMERATES
40 ABB AG - Bearer.............. 49,418
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
PHARMACEUTICALS
60 Ciba-Geigy AG................ $ 73,025
10 Roche Holdings AG............ 76,177
110 Sandoz AG (Series B)......... 124,924
-------------
274,126
-------------
TOTAL SWITZERLAND............ 323,544
-------------
UNITED KINGDOM (5.4%)
AEROSPACE & DEFENSE
4,815 British Aerospace PLC........ 72,711
30,000 Rolls-Royce PLC.............. 103,829
3,600 Smiths Industries PLC........ 39,390
-------------
215,930
-------------
AUTO PARTS
8,646 BBA Group PLC................ 41,309
-------------
BANKING
17,000 Lloyds TSB Group PLC......... 83,110
4,868 National Westminster Bank
PLC........................ 46,388
-------------
129,498
-------------
BREWERY
3,300 Bass PLC..................... 41,331
9,100 Guinness PLC................. 66,238
-------------
107,569
-------------
BROADCAST MEDIA
10,000 British Sky Broadcasting
Group
PLC........................ 68,288
6,300 Flextech PLC*................ 49,084
8,500 General Cable PLC*........... 25,724
-------------
143,096
-------------
BUILDING & CONSTRUCTION
10,267 Blue Circle Industries PLC... 57,364
-------------
BUSINESS SERVICES
8,400 Reuters Holdings PLC......... 101,557
-------------
CHEMICALS
16,000 Albright & Wilson PLC........ 44,201
-------------
CONGLOMERATES
3,600 BTR PLC...................... 14,136
-------------
CONSUMER PRODUCTS
3,400 Vendome Luxury Group PLC
(Units)++.................. 31,555
-------------
ENERGY
22,237 British Petroleum Co. PLC.... 194,992
8,000 Shell Transport & Trading
Co. PLC.................... 117,207
-------------
312,199
-------------
FOODS
6,200 Associated British Foods
PLC........................ 37,239
-------------
</TABLE>
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
INSURANCE
2,440 General Accident PLC......... $ 24,634
14,493 Prudential Corp. PLC......... 91,322
6,700 Royal Insurance Holdings
PLC........................ 41,386
-------------
157,342
-------------
LEISURE
6,542 Granada Group PLC............ 87,317
7,572 Tomkins PLC.................. 28,439
-------------
115,756
-------------
MANUFACTURING
2,500 IMI PLC...................... 13,735
-------------
NATURAL GAS
13,000 British Gas PLC.............. 36,115
-------------
PHARMACEUTICALS
8,212 Glaxo Wellcome PLC........... 110,499
9,603 Medeva PLC................... 37,558
-------------
148,057
-------------
RETAIL
5,036 Boots Co. PLC................ 45,176
7,500 Next PLC..................... 65,533
-------------
110,709
-------------
TELECOMMUNICATIONS
17,600 British Telecommunications
PLC........................ 94,511
15,724 Securicor Group PLC (Class
A)......................... 63,813
15,000 Vodafone Group PLC........... 55,872
-------------
214,196
-------------
TRANSPORTATION
8,520 British Airways PLC.......... 73,123
-------------
UTILITIES
2,745 Thames Water PLC............. 23,985
4,000 Yorkshire Water PLC.......... 40,973
-------------
64,958
-------------
TOTAL UNITED KINGDOM......... 2,169,644
-------------
UNITED STATES (22.0%)
AEROSPACE
3,200 Boeing Co.................... 278,800
-------------
AIRLINES
4,700 UAL Corp.*................... 252,625
-------------
AUTOMOTIVE
4,800 General Motors Corp.......... 251,400
-------------
BEVERAGES - SOFT DRINKS
6,600 PepsiCo Inc.................. 233,475
-------------
BROKERAGE
3,650 Merrill Lynch & Co., Inc..... 237,706
-------------
CHEMICALS
3,600 Dow Chemical Co.............. 273,600
9,500 Monsanto Co.................. 308,750
7,500 Praxair, Inc................. 316,875
-------------
899,225
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
COMPUTERS - PERIPHERAL EQUIPMENT
5,000 Seagate Technology, Inc.*.... $ 225,000
15,300 Teradyne, Inc.*.............. 263,925
-------------
488,925
-------------
COMPUTERS - SYSTEMS
2,800 Hewlett-Packard Co........... 278,950
4,700 Sun Microsystems, Inc.*...... 276,125
-------------
555,075
-------------
ELECTRICAL EQUIPMENT
5,200 Honeywell, Inc............... 283,400
-------------
ELECTRONICS - SEMICONDUCTORS/COMPONENTS
5,400 Texas Instruments Inc........ 269,325
-------------
ENTERTAINMENT
9,000 Carnival Corp. (Class A)..... 259,875
-------------
FINANCIAL - MISCELLANEOUS
7,600 Federal National Mortgage
Assoc...................... 254,600
4,300 Golden West Financial
Corp....................... 240,800
-------------
495,400
-------------
FOODS
3,800 General Mills, Inc........... 207,100
-------------
HOUSEHOLD PRODUCTS
2,700 Colgate-Palmolive Co......... 228,825
-------------
MEDICAL PRODUCTS & SUPPLIES
3,900 Medtronic, Inc............... 218,400
-------------
NATURAL GAS
10,100 Pacific Enterprises.......... 299,212
-------------
OIL INTEGRATED - INTERNATIONAL
4,600 Chevron Corp................. 271,400
3,200 Exxon Corp................... 278,000
2,400 Mobil Corp................... 269,100
-------------
818,500
-------------
PHARMACEUTICALS
4,000 American Home Products
Corp....................... 240,500
4,400 Johnson & Johnson............ 217,800
-------------
458,300
-------------
RESTAURANTS
5,500 McDonald's Corp.............. 257,125
-------------
RETAIL - SPECIALTY
13,200 Price/Costco, Inc.*.......... 282,150
-------------
RETAIL - SPECIALTY APPAREL
7,900 Gap, Inc..................... 253,788
-------------
SEMICONDUCTORS
3,900 Intel Corp................... 286,163
-------------
</TABLE>
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
SHOES
2,700 Nike, Inc. (Class B)........ $ 277,425
-------------
TOBACCO
2,200 Philip Morris Companies,
Inc....................... 228,800
-------------
TRANSPORTATION
3,800 Conrail, Inc................ 252,225
-------------
UTILITIES - ELECTRIC
9,000 CINergy Corp................ 288,000
-------------
TOTAL UNITED STATES......... 8,861,244
-------------
VENEZUELA (0.1%)
STEEL & IRON
10,000 Siderurgica Venezolana
Sivens S.A. de C.V. (ADR)
-- 144A**................. 31,000
-------------
TOTAL COMMON AND PREFERRED
STOCKS (IDENTIFIED COST
$34,682,827).............. 36,762,272
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN
THOUSANDS) VALUE
- ----------- -------------
<C> <S> <C>
SHORT-TERM INVESTMENTS (10.3%)
U.S. GOVERNMENT AGENCY (a) (6.2%)
$2,500 Federal Home Loan Mortgage
Corp. 5.25% due
07/02/96.................. $ 2,499,635
-------------
REPURCHASE AGREEMENT (4.1%)
1,627 The Bank of New York 5.125%
due 07/01/96 (dated
06/28/96; proceeds
$1,627,278; collateralized
by $1,626,530 U.S.
Treasury Note 6.00% due
08/31/97 valued at
$1,659,115) (Identified
Cost $1,626,583).......... 1,626,583
-------------
TOTAL SHORT-TERM INVESTMENTS
(IDENTIFIED COST
$4,126,218)............... 4,126,218
-------------
TOTAL INVESTMENTS (IDENTIFIED
COST $38,809,045) (B)....... 101.6% 40,888,490
LIABILITIES IN EXCESS OF OTHER
ASSETS...................... (1.6) (651,783)
---------- -------------
NET ASSETS.................... 100.0% $ 40,236,707
---------- -------------
---------- -------------
- ----------------
ADR AMERICAN DEPOSITORY RECEIPT.
GDR GLOBAL DEPOSITORY RECEIPT.
* NON-INCOME PRODUCING SECURITY.
** RESALE IS RESTRICTED TO QUALIFIED INSTITUTIONAL INVESTORS.
++ CONSISTS OF ONE OR MORE 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. THE AGGREGATE GROSS UNREALIZED APPRECIATION WAS
$2,701,427 AND THE AGGREGATE GROSS UNREALIZED DEPRECIATION WAS
$621,982, RESULTING IN NET UNREALIZED APPRECIATION OF
$2,079,445.
</TABLE>
FORWARD FOREIGN CURRENCY CONTRACTS OPEN AT JUNE 30, 1996:
<TABLE>
<CAPTION>
CONTRACTS IN
TO EXCHANGE DELIVERY UNREALIZED
RECEIVE FOR DATE DEPRECIATION
- ---------- ---------- -------- --------------
<S> <C> <C> <C>
Y 33,814,891 $ 309,377 07/02/96 $ (1,100 )
Y 3,434,538 $ 31,366 07/03/96 (54 )
L 179,899 $ 279,562 07/05/96 (360 )
-------
Total unrealized depreciation...............$(1,514)
-------
-------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
GLOBAL EQUITY
SUMMARY OF INVESTMENTS
JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT OF
INDUSTRY VALUE NET ASSETS
- ------------------------------- ------------ -------------
<S> <C> <C>
Aerospace...................... $ 278,800 0.7%
Aerospace & Defense............ 215,930 0.5
Airlines....................... 252,625 0.6
Apparel........................ 305,568 0.8
Appliances & Household
Durables...................... 129,255 0.3
Auto Parts..................... 137,945 0.4
Automotive..................... 1,031,148 2.6
Banking........................ 2,496,203 6.2
Banks.......................... 198,163 0.5
Beverages - Soft Drinks........ 338,284 0.8
Brewery........................ 223,313 0.6
Broadcast Media................ 200,161 0.5
Brokerage...................... 237,706 0.6
Building & Construction........ 1,141,199 2.8
Building Materials............. 483,860 1.2
Business & Public Services..... 132,931 0.3
Business Services.............. 1,290,841 3.2
Chemicals...................... 1,751,634 4.4
Computer Services.............. 24,615 0.1
Computer Software.............. 234,479 0.6
Computers - Peripheral Equip-
ment.......................... 488,925 1.2
Computers - Systems............ 555,075 1.4
Conglomerates.................. 875,065 2.2
Consumer Products.............. 297,296 0.8
Electrical Equipment........... 347,420 0.9
Electronics.................... 1,103,419 2.8
Electronics - Semiconduc-
tors/Components............... 1,021,809 2.5
Energy......................... 700,243 1.7
Engineering & Construction..... 82,414 0.2
Entertainment.................. 338,063 0.8
Financial - Miscellaneous...... 495,400 1.2
Financial Services............. 953,401 2.4
Foods.......................... 254,869 0.6
Foods & Beverages.............. 130,330 0.3
Forest Products, Paper &
Packaging..................... 152,407 0.4
<CAPTION>
PERCENT OF
INDUSTRY VALUE NET ASSETS
- ------------------------------- ------------ -------------
<S> <C> <C>
Furniture...................... $ 126,616 0.3%
Hotels......................... 18,992 0.0
Household Products............. 228,825 0.6
Insurance...................... 923,279 2.3
International Trade............ 445,856 1.1
Leisure........................ 372,009 0.9
Machine Tools.................. 332,176 0.8
Machinery...................... 1,298,417 3.2
Machinery - Diversified........ 58,561 0.1
Manufacturing.................. 533,410 1.3
Medical Products & Supplies.... 218,400 0.6
Medical Supplies............... 97,836 0.2
Metals & Mining................ 748,899 1.9
Natural Gas.................... 566,260 1.4
Oil Integrated -
International................. 818,500 2.0
Pharmaceuticals................ 1,580,884 3.9
Publishing..................... 375,622 0.9
Real Estate.................... 1,115,524 2.8
Repurchase Agreement........... 1,626,583 4.1
Restaurants.................... 459,514 1.1
Retail......................... 1,472,218 3.7
Retail - Specialty............. 282,150 0.7
Retail - Specialty Apparel..... 253,788 0.6
Semiconductors................. 286,163 0.7
Shoes.......................... 277,425 0.7
Steel.......................... 92,812 0.2
Steel & Iron................... 437,518 1.1
Supermarkets................... 81,250 0.2
Telecommunication Equipment.... 68,876 0.2
Telecommunications............. 1,843,808 4.6
Textiles - Apparel............. 215,425 0.5
Tobacco........................ 273,006 0.7
Transportation................. 1,194,434 3.0
U.S. Government Agency......... 2,499,635 6.2
Utilities...................... 64,958 0.2
Utilities - Electric........... 698,065 1.7
------------ -----
$ 40,888,490 101.6%
------------ -----
------------ -----
</TABLE>
- ----------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT OF
TYPE OF INVESTMENT VALUE NET ASSETS
- ---------------------------------------------------------------------------------------------- ------------ -------------
<S> <C> <C>
Common Stocks................................................................................. $ 36,673,408 91.1%
Preferred Stocks.............................................................................. 88,864 0.2
Short-Term Investments........................................................................ 4,126,218 10.3
------------ -----
$ 40,888,490 101.6%
------------ -----
------------ -----
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DEVELOPING GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
COMMON STOCKS (91.7%)
AEROSPACE (0.4%)
10,000 Orbital Sciences Corp.*...... $ 162,500
-------------
BIOTECHNOLOGY (1.9%)
10,400 Creative Biomolecules,
Inc.*...................... 87,100
3,100 Genetics Institute, Inc.*.... 194,525
5,900 Genzyme Corp. General
Division*.................. 296,475
7,000 SangStat Medical Corp.*...... 118,125
2,200 Teva Pharmaceutical
Industries Ltd. (ADR)
(Israel)................... 83,325
-------------
779,550
-------------
BROADCAST MEDIA (2.4%)
5,000 American Radio Systems
Corp.*..................... 215,000
7,000 Jacor Communications, Inc.... 216,125
5,150 Lin Television Corp.*........ 182,825
10,000 Mecklermedia Corp............ 202,500
5,500 SFX Broadcasting, Inc. (Class
A)*........................ 211,750
-------------
1,028,200
-------------
BUILDING MATERIALS (0.5%)
10,050 Watsco, Inc.................. 211,050
-------------
BUSINESS EQUIPMENT (0.4%)
4,800 Checkpoint Systems, Inc.*.... 165,000
-------------
BUSINESS SERVICES (4.3%)
9,800 CFI Proservices, Inc.*....... 242,550
8,900 Compuserve Corp.*............ 186,900
6,000 Gartner Group, Inc. (Class
A)*........................ 219,750
4,000 Reynolds & Reynolds Co.
(Class A).................. 213,000
6,000 Saville Systems Ireland PLC
(ADR)* (Ireland)........... 166,500
4,200 Sykes Enterprises, Inc.*..... 206,850
9,825 TCSI Corp.................... 233,344
7,999 Transaction Network Services,
Inc.*...................... 171,978
9,200 Vanstar Corp................. 154,100
-------------
1,794,972
-------------
BUSINESS SYSTEMS (2.0%)
6,750 American Management Systems,
Inc.*...................... 197,437
10,200 Cellular Technical Services
Co.*....................... 178,500
4,600 CSG Systems International,
Inc.*...................... 116,150
7,400 DecisionOne Corp.*........... 175,750
5,950 ITI Technologies, Inc........ 194,119
-------------
861,956
-------------
CHEMICALS (0.2%)
4,550 Hanna (M.A.) Co.............. 94,981
-------------
COMMERCIAL SERVICES (6.0%)
4,850 Analysts International
Corp....................... 197,637
4,800 APAC Teleservices, Inc.*..... 170,400
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
8,100 Barnett, Inc.*............... $ 228,825
6,800 Career Horizons, Inc.*....... 238,000
4,200 Danka Business Systems PLC
(ADR) (United Kingdom)..... 121,800
2,000 DeVRY, Inc.*................. 90,000
3,110 IntelliQuest Information
Group, Inc.*............... 101,852
13,300 Iron Mountain, Inc.*......... 269,325
9,600 Metromail Corp.*............. 214,800
12,500 Metromedia International
Group
Inc.*...................... 153,125
4,750 On Assignment, Inc.*......... 171,000
11,700 Protection One, Inc.*........ 191,587
5,000 Sitel Corp.*................. 207,500
4,350 Sylvan Learning Systems,
Inc.*...................... 164,212
-------------
2,520,063
-------------
COMMUNICATIONS - EQUIPMENT/MANUFACTURERS
(1.6%)
3,255 Andrew Corp.*................ 175,770
6,610 Boston Technology, Inc.*..... 111,544
5,750 Comverse Technology, Inc.*... 175,375
3,380 Premisys Communications,
Inc.*...................... 206,180
-------------
668,869
-------------
COMMUNICATIONS EQUIPMENT (1.9%)
3,020 Adtran, Inc.*................ 213,665
3,300 Cascade Communications
Corp.*..................... 224,400
2,800 Newbridge Networks Corp.*
(Canada)................... 183,400
2,220 U.S. Robotics Corp.*......... 189,255
-------------
810,720
-------------
COMPUTER EQUIPMENT (4.1%)
8,280 3D Systems Corp.*............ 180,090
3,800 ACT Networks, Inc.*.......... 122,550
3,800 Aspect Telecommunications
Corp.*..................... 188,100
19,000 Caere Corp.*................. 216,125
7,700 DSC Communications Corp.*.... 231,000
3,700 Glenayre Technologies,
Inc.*...................... 184,537
4,820 Picturetel Corp.*............ 189,787
17,500 Proxima Corp.*............... 207,812
3,300 Tellabs, Inc.*............... 220,275
-------------
1,740,276
-------------
COMPUTER SERVICES (3.0%)
14,250 Boston Communications Group,
Inc.*...................... 231,562
9,950 Dendrite International,
Inc.*...................... 340,787
6,700 DST Systems, Inc.*........... 214,400
5,000 First USA Paymentech,
Inc.*...................... 200,000
6,900 Network General Corp......... 146,625
4,110 Sterling Commerce, Inc.*..... 152,584
-------------
1,285,958
-------------
</TABLE>
<PAGE>
DEVELOPING GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
COMPUTER SOFTWARE (5.3%)
5,300 Business Objects S.A. (ADR)*
(France)................... $ 213,325
9,800 Ciber, Inc.*................. 208,250
24,000 FTP Software, Inc.*.......... 192,000
4,200 I2 Technologies, Inc.*....... 179,550
5,220 Integrated Systems, Inc.*.... 204,885
4,875 Macromedia, Inc.*............ 106,641
7,000 MetaTools, Inc.*............. 162,750
3,000 PeopleSoft, Inc.*............ 213,000
4,000 Renaissance Solutions
Inc.*...................... 110,000
2,200 Security Dynamics
Technologies, Inc.*........ 180,400
2,800 Shiva Corp.*................. 223,300
3,400 Transaction Systems
Architects, Inc. (Class
A)......................... 227,800
-------------
2,221,901
-------------
COMPUTER SOFTWARE & SERVICES (4.2%)
5,000 Aspect Development, Inc.*.... 125,000
700 Check Point Software
Technologies Ltd.*
(Israel)................... 16,800
10,000 Checkfree Corp.*............. 198,750
4,300 Clarify, Inc.*............... 210,700
5,500 Geoworks*.................... 189,750
3,340 Legato Systems, Inc.*........ 179,525
3,200 Netscape Communications
Corp.*..................... 199,200
7,100 Raptor Systems, Inc.*........ 186,375
4,000 Sapient Corp.*............... 165,000
6,000 Segue Software, Inc.*........ 172,500
25,740 Silicon Valley Research
Inc.*...................... 148,005
-------------
1,791,605
-------------
COMPUTERS (0.2%)
4,100 Lumisys, Inc.*............... 64,575
-------------
CONSUMER SERVICES (1.4%)
5,375 CUC International, Inc.*..... 190,812
7,000 Gemstar International Group
Ltd. (Hong Kong)........... 204,750
6,400 Thermolase Corp.*............ 174,400
-------------
569,962
-------------
ELECTRONIC COMPONENTS (0.4%)
4,100 Teltrend, Inc.*.............. 158,875
-------------
ELECTRONICS (1.9%)
6,000 Dynatech Corp................ 195,000
9,800 Etec Systems, Inc............ 215,600
9,700 Ortel Corp.*................. 232,800
8,400 Trimble Navigation Ltd....... 159,600
-------------
803,000
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
ENTERTAINMENT & LEISURE TIME (1.4%)
10,030 Cannondale Corp.*............ $ 198,092
7,930 Cinar Films, Inc. (Class B)*
(Canada)................... 170,495
9,000 Primadonna Resorts, Inc...... 207,000
-------------
575,587
-------------
ENVIRONMENTAL CONTROL (1.4%)
21,270 Philip Environmental, Inc.*
(Canada)................... 167,501
5,900 U.S. Filter Corp.*........... 205,025
7,000 United Waste Systems,
Inc.*...................... 222,250
-------------
594,776
-------------
FINANCIAL - MISCELLANEOUS (0.4%)
3,000 First USA, Inc............... 165,000
-------------
FINANCIAL SERVICES (2.3%)
7,400 Envoy Corp.*................. 214,600
3,300 Finova Group Inc............. 160,875
6,500 GreenPoint Financial Corp.... 183,625
10,000 People's Bank................ 222,500
27,000 World Acceptance Corp........ 195,750
-------------
977,350
-------------
FOREST PRODUCTS, PAPER & PACKAGING (0.5%)
7,260 Buckeye Cellulose Corp....... 200,557
-------------
HEALTH EQUIPMENT & SERVICES (0.5%)
4,700 Access Health Marketing,
Inc........................ 222,075
-------------
HEALTHCARE PRODUCTS & SERVICES (0.4%)
2,150 Medic Computer Systems,
Inc.*...................... 174,150
-------------
HEALTHCARE SERVICES (0.5%)
1,460 Healthsouth Corp.*........... 52,560
5,000 Vivra, Inc.*................. 164,375
-------------
216,935
-------------
HOSPITAL MANAGEMENT (2.6%)
8,400 American Oncology Resources,
Inc.*...................... 180,600
11,100 Mariner Health Group,
Inc.*...................... 203,962
7,700 Orthodontic Centers of
America,
Inc.*...................... 200,200
8,200 Sunrise Assisted Living,
Inc.*...................... 196,800
5,000 Total Renal Care Holdings,
Inc.*...................... 211,250
4,800 Veterinary Centers of
America,
Inc.*...................... 105,000
-------------
1,097,812
-------------
HOTELS/MOTELS (1.5%)
3,140 HFS, Inc.*................... 219,800
13,900 Red Roof Inns Inc.*.......... 196,338
11,100 Renaissance Hotel Group NV*
(Hong Kong)................ 235,875
-------------
652,013
-------------
</TABLE>
<PAGE>
DEVELOPING GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
INSURANCE (2.3%)
8,700 American Travellers Corp.*... $ 199,013
4,700 CRA Managed Care, Inc.*...... 210,325
7,200 Delphi Financial Group, Inc.
(Class A)*................. 190,800
9,000 Inphynet Medical Management,
Inc.*...................... 168,750
5,000 United Dental Care, Inc.*.... 205,000
-------------
973,888
-------------
LEISURE (0.5%)
13,000 GT Bicycles, Inc.*........... 211,250
-------------
MANUFACTURING (0.9%)
9,700 NN Ball & Roller, Inc........ 194,000
6,100 Waters Corp.*................ 201,300
-------------
395,300
-------------
MEDICAL PRODUCTS & SUPPLIES (2.9%)
3,510 Boston Scientific Corp.*..... 157,950
5,235 Clintrials Research, Inc.*... 214,635
2,100 Guidant Corp................. 103,425
4,700 Heartport, Inc.*............. 141,000
6,800 Spine-Tech, Inc.*............ 192,100
14,420 Staar Surgical Co.*.......... 221,708
10,000 TECNOL Medical Products,
Inc........................ 188,750
-------------
1,219,568
-------------
MEDICAL SERVICES (0.4%)
6,390 Physician Sales & Service,
Inc.*...................... 154,958
-------------
MEDICAL SOFTWARE/SERVICES (0.5%)
8,200 Amisys Managed Care
Systems*................... 212,175
-------------
METALS & MINING (0.7%)
10,000 Olympic Steel, Inc.*......... 277,500
-------------
OFFICE EQUIPMENT & SUPPLIES (1.4%)
5,000 Corporate Express, Inc.*..... 200,000
4,700 Daisytek International
Corp.*..................... 192,700
6,900 Viking Office Products,
Inc.*...................... 215,625
-------------
608,325
-------------
OIL & GAS DRILLING (0.4%)
16,100 Marine Drilling Company,
Inc.*...................... 161,000
-------------
OIL & GAS EXPLORATION - CANADIAN (0.5%)
4,200 Triton Energy Ltd............ 204,226
-------------
OIL & GAS PRODUCTS (0.3%)
4,200 ENSCO International, Inc.*... 136,500
-------------
OIL DRILLING & SERVICES (2.8%)
6,540 Global Industries Ltd.*...... 194,565
11,510 Global Marine, Inc.*......... 159,701
3,550 Input/Output, Inc.*.......... 114,931
11,000 Noble Drilling Corp.*........ 152,625
5,000 Smith International, Inc.*... 150,625
11,000 Stone Energy Corp.*.......... 220,000
3,000 Western Atlas, Inc.*......... 174,750
-------------
1,167,197
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
OIL INTEGRATED - INTERNATIONAL (0.5%)
2,370 Chesapeake Energy Corp.*..... $ 213,004
-------------
PHARMACEUTICALS (4.0%)
4,500 Agouron Pharmaceutical,
Inc.*...................... 174,375
9,600 Alliance Pharmaceutical
Corp.*..................... 157,200
3,640 Biochem Pharma, Inc.*........ 136,045
8,400 Depotech Corp.*.............. 207,900
2,670 Dura-Pharmaceuticals,
Inc.*...................... 149,520
5,250 Jones Medical Industries,
Inc........................ 172,594
29,100 La Jolla Pharmaceutical
Co.*....................... 156,413
11,600 PathoGenesis Corp.*.......... 178,350
10,500 Sequus Pharmaceuticals,
Inc.*...................... 208,688
5,400 Vertex Pharmaceuticals,
Inc.*...................... 163,350
-------------
1,704,435
-------------
POLLUTION CONTROL (0.4%)
4,500 Memtec Ltd. (ADR)
(Australia)................ 163,125
-------------
RESTAURANTS (0.4%)
5,000 BAB Holdings, Inc.*.......... 52,500
4,600 Daka International, Inc.*.... 106,950
-------------
159,450
-------------
RETAIL (9.4%)
4,860 Bed, Bath & Beyond, Inc.*.... 128,183
3,380 Blyth Industries, Inc.*...... 153,368
5,500 Borders Group, Inc.*......... 177,375
5,200 Consolidated Stores Corp..... 191,100
13,800 Damark International,
Inc.*...................... 193,200
5,000 Dollar Tree Stores, Inc.*.... 158,750
2,500 Empire of Carolina Inc.*..... 30,000
7,800 Friedman's, Inc. (Class
A)*........................ 198,900
7,250 Galoob (Lewis) Toys, Inc.*... 204,813
2,970 Gucci Group NV (Italy)....... 191,565
6,000 Gymboree Corp. (The)......... 181,500
8,500 Marks Bros. Jewelers, Inc.... 191,250
5,800 Men's Wearhouse, Inc.
(The)*..................... 187,050
7,500 Pacific Sunwear of
California, Inc.*.......... 176,250
4,600 PetSmart, Inc.*.............. 217,350
5,700 Proffitt's, Inc.*............ 202,350
7,150 Rexall Sundown, Inc.*........ 193,050
20,000 Sports & Recreation, Inc..... 182,500
9,750 Staples, Inc.*............... 188,906
11,500 Stein Mart, Inc.*............ 209,875
6,500 The Sports Authority, Inc.... 212,875
6,200 Williams-Sonoma Inc.*........ 145,700
-------------
3,915,910
-------------
SEMICONDUCTORS (0.7%)
8,050 International Rectifier
Corp.*..................... 129,806
9,000 Triquint Semiconductor,
Inc.*...................... 184,500
-------------
314,306
-------------
</TABLE>
<PAGE>
DEVELOPING GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -------------
<C> <S> <C>
SHOES (0.9%)
6,500 Reebok International Ltd.
(United Kingdom)........... $ 218,563
5,100 Wolverine World Wide, Inc.... 165,750
-------------
384,313
-------------
TELECOMMUNICATIONS (3.4%)
10,400 Arch Communications Group,
Inc.*...................... 191,100
5,725 CommNet Cellular, Inc.*...... 171,750
3,820 Globalstar Telecommunications
Ltd.* (Bermuda)............ 164,260
8,200 IntelCom Group, Inc.*........ 205,000
8,750 Intercel, Inc.*.............. 175,000
6,200 Intermedia Communications of
Florida, Inc.*............. 198,400
6,600 LCI International, Inc.*..... 207,075
10,300 MobileMedia Corp.*........... 122,313
-------------
1,434,898
-------------
TEXTILES (1.7%)
5,600 Designer Holdings Ltd.*...... 149,100
3,800 Jones Apparel Group, Inc.*... 186,675
9,100 Marisa Christina, Inc.*...... 179,725
6,800 Nautica Enterprises, Inc.*... 195,500
-------------
711,000
-------------
TRANSPORTATION (3.1%)
3,950 Atlas Air, Inc.*............. 227,619
7,000 Comair Holdings, Inc......... 189,875
5,900 Fritz Companies, Inc.*....... 188,800
9,410 Hub Group, Inc.*............. 190,553
7,100 Landstar Systems, Inc.*...... 202,350
3,800 Midwest Express Holdings,
Inc.*...................... 122,075
14,000 Offshore Logistics, Inc.*.... 194,250
-------------
1,315,522
-------------
TOTAL COMMON STOCKS
(IDENTIFIED COST
$34,477,812)............... 38,648,118
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN
THOUSANDS) VALUE
- ----------- -------------
<C> <S> <C>
SHORT-TERM INVESTMENTS (9.0%)
U.S. GOVERNMENT AGENCY (a) (8.1%)
$ 3,400 Federal Home Loan Mortgage
Corp. 5.52% due 07/01/96... $ 3,400,000
-------------
REPURCHASE AGREEMENT (0.9%)
386 The Bank of New York 5.125%
due 07/01/96 (dated
06/28/96; proceeds
$386,275; collateralized by
$392,145 U.S. Treasury Note
5.25% due 07/31/98 valued
at $393,832) (Identified
Cost $386,110)............. 386,110
-------------
TOTAL SHORT-TERM INVESTMENTS
(IDENTIFIED COST
$3,786,110)................ 3,786,110
-------------
TOTAL INVESTMENTS (IDENTIFIED
COST $38,263,922) (B)....... 100.6% 42,434,228
LIABILITIES IN EXCESS OF OTHER
ASSETS...................... (0.6) (271,321)
---------- -------------
NET ASSETS.................... 100.0% $ 42,162,907
---------- -------------
---------- -------------
- ----------------
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. THE AGGREGATE GROSS UNREALIZED APPRECIATION WAS $6,176,215 AND THE
AGGREGATE GROSS UNREALIZED DEPRECIATION WAS $2,005,909, RESULTING IN NET
UNREALIZED APPRECIATION OF $4,170,306.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ------------- -------------
<C> <S> <C>
COMMON AND PREFERRED STOCKS, CONVERTIBLE
BONDS AND WARRANTS (93.4%)
ARGENTINA (4.2%)
BANKS
920 Banco de Galicia y Buenos
Aires S.A. de C.V.
(ADR).................. $ 23,575
3,045 Banco Frances del Rio de
la Plata S.A. (ADR).... 87,544
-------------
111,119
-------------
FOOD, BEVERAGE, TOBACCO & HOUSEHOLD
PRODUCTS
5,000 Bagley S.A. (Class B).... 12,656
800 Molinos Rio de la Plata
S.A. (Class B)*........ 8,404
2,800 Nobleza Piccardo S.A..... 10,645
-------------
31,705
-------------
MULTI-INDUSTRY
20,990 Perez Companc S.A. (Class
B)..................... 137,546
-------------
OIL & GAS
12,200 Astra Compania Argentina
de Petroleo S.A........ 28,927
1,200 Transportadora de Gas del
Sur S.A. (ADR)......... 14,700
3,375 Yacimentos Petroliferos
Fiscales S.A. (ADR).... 75,937
-------------
119,564
-------------
REAL ESTATE
6,500 Inversiones y
Representaciones
S.A.................... 21,785
-------------
STEEL
655 Siderar S.A. (A Shares)
(ADR)* - 144A**........ 13,264
11,500 Siderca S.A. (Class A)... 15,647
-------------
28,911
-------------
TELECOMMUNICATIONS
590 Telecom Argentina Stet -
France Telecom S.A.
(ADR).................. 27,656
1,300 Telefonica de Argentina
S.A. (ADR)............. 38,512
-------------
66,168
-------------
TOTAL ARGENTINA.......... 516,798
-------------
BRAZIL (11.7%)
BANKING
11,690,292 Banco Bradesco S.A.
(Pref.)................ 95,479
60,000 Banco Itau S.A.
(Pref.)................ 24,382
-------------
119,861
-------------
BREWERY
274,000 Companhia Cervejaria
Brahma (Conv.
Pref.)*................ 163,472
-------------
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ------------- -------------
<C> <S> <C>
ELECTRONIC & ELECTRICAL EQUIPMENT
68,100 Brasmotor S.A. (Pref.)... $ 21,298
-------------
FOOD, BEVERAGE, TOBACCO & HOUSEHOLD
PRODUCTS
4,800,000 Refrigeracao Parana S.A.
(Pref.)................ 11,952
-------------
METALS & MINING
1,800,000 Companhia Siderurgica
Nacional............... 45,896
2,800 Companhia Vale do Rio
Doce S.A. (ADR)........ 54,460
-------------
100,356
-------------
MULTI-INDUSTRY
63,000 Itausa Investimentos Itau
S.A. (Pref.)........... 48,317
-------------
OIL & GAS
937,000 Petroleo Brasileiro S.A.
(Pref.)................ 115,258
-------------
PAPER & FOREST PRODUCTS
6,400 Aracruz Celulose S.A.
(ADR).................. 60,800
8,000 Industrias Klabin de
Papel e Celulose S.A.
(Pref.)................ 10,120
-------------
70,920
-------------
STEEL & IRON
20,000,000 Usinas Siderurgicas de
Minas Gerais S.A.
(Pref.)................ 21,116
-------------
TELECOMMUNICATIONS
7,250 Telecomunicacoes
Brasileiras S.A.
(ADR).................. 504,781
13,285 Telecomunicacoes de Sao
Paulo S.A.............. 2,342
310,000 Telecomunicacoes de Sao
Paulo S.A. (Pref.)*.... 66,384
-------------
573,507
-------------
TEXTILES
30,000 Companhia de Tecidos
Norte de Minas
(Pref.)................ 11,832
-------------
UTILITIES - ELECTRIC
2,365 Centrais Electricas
Brasileiras S.A.
(ADR).................. 31,780
300,000 Centrais Electricas
Brasileiras S.A.
(Pref.)................ 85,757
2,975 Companhia Energetica de
Minas Gerais S.A.
(Pref.) (ADR)* -
144A**................. 78,094
40,000 Light Participacoes
S.A.................... 7,558
-------------
203,189
-------------
TOTAL BRAZIL............. 1,461,078
-------------
</TABLE>
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ------------- -------------
<C> <S> <C>
CHILE (7.1%)
BANKS
2,100 Banco BHIF (ADR)......... $ 42,262
-------------
BUILDING MATERIALS
960 Maderas y Sinteticos
Sociedad Anonima Masisa
(ADR).................. 17,040
-------------
CHEMICALS
850 Sociedad Quimica y Minera
de Chile S.A. (ADR).... 46,112
-------------
FOOD, BEVERAGE, TOBACCO & HOUSEHOLD
PRODUCTS
1,000 Compania Cervecerias
Unidas S.A. (ADR)...... 23,250
2,940 Embotelladora Andina S.A.
(ADR).................. 108,045
1,925 Santa Isabel S.A.
(ADR)*................. 53,419
-------------
184,714
-------------
INVESTMENT COMPANIES
2,810 Genesis Chile Fund
Ltd.................... 115,561
29,850 The Five Arrows Chile
Investment Fund Ltd.... 85,819
-------------
201,380
-------------
MULTI-INDUSTRY
2,150 Madeco S.A. (ADR)........ 60,469
-------------
TELECOMMUNICATIONS
1,510 Compania de
Telecommunicaciones de
Chile S.A. (ADR)....... 148,169
-------------
UTILITIES - ELECTRIC
540 Chilgener S.A. (ADR)..... 12,960
2,800 Empresa Nacional de
Electricidad Chile S.A.
(ADR).................. 60,200
3,890 Enersis S.A. (ADR)....... 120,590
-------------
193,750
-------------
TOTAL CHILE.............. 893,896
-------------
COLOMBIA (0.7%)
BANKING
5,300 Banco Industrial
Colombiano S.A.
(ADR).................. 89,437
-------------
CZECH REPUBLIC (0.4%)
TOBACCO
180 Tabak AS................. 44,425
-------------
GREECE (0.6%)
BANKING
750 Ergo Bank S.A............ 41,229
-------------
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ------------- -------------
<C> <S> <C>
BUILDING & CONSTRUCTION
2,640 Aegek.................... $ 17,525
-------------
FOOD, BEVERAGE, TOBACCO & HOUSEHOLD
PRODUCTS
480 Hellenic Bottling Co.
S.A.................... 15,912
-------------
TOTAL GREECE............. 74,666
-------------
HONG KONG (3.6%)
REAL ESTATE
14,000 Cheung Kong (Holdings)
Ltd.................... 100,837
-------------
TELECOMMUNICATIONS
60,000 Asia Satellite
Telecommunications
Holdings Ltd........... 177,903
-------------
TRANSPORTATION
376,000 The Guangshen Railway
Co.,
Ltd.................... 142,089
1,760 The Guangshen Railway
Co.,
Ltd. (ADR)*............ 33,660
-------------
175,749
-------------
TOTAL HONG KONG.......... 454,489
-------------
INDIA (3.1%)
BUILDING & CONSTRUCTION
5,300 Larsen & Toubro Ltd.
(GDR).................. 98,050
-------------
FINANCIAL SERVICES
3,350 Hindalco Industries Ltd.
(GDR)*................. 125,625
-------------
INDUSTRIALS
$ 5K Reliance Industries, Ltd.
3.50% due 11/03/99
(Conv.)................ 5,113
-------------
UTILITIES - ELECTRIC
1,800 BSES Ltd. (GDR).......... 33,750
7,000 BSES Ltd. (GDR).......... 131,250
-------------
165,000
-------------
TOTAL INDIA.............. 393,788
-------------
INDONESIA (3.1%)
BANKING
42,000 PT Bank Internasional
Indonesia.............. 207,653
-------------
FOOD, BEVERAGE, TOBACCO & HOUSEHOLD
PRODUCTS
30,000 PT Gudang Garam.......... 128,654
-------------
TELECOMMUNICATIONS
1,700 PT Telekomunikasi
Indonesia (ADR)........ 50,575
-------------
TOTAL INDONESIA.......... 386,882
-------------
</TABLE>
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ------------- -------------
<C> <S> <C>
MALAYSIA (16.4%)
AUTOMOTIVE
24,000 Edaran Otomobil Nasional
Berhad................. $ 229,992
-------------
BANKING
33,000 Commerce Asset Holdings
Berhad................. 201,123
82,000 DCB Holdings Berhad...... 281,115
-------------
482,238
-------------
CONGLOMERATES
25,000 Gadek Berhad............. 147,354
7,000 Gadek Berhad
(Warrants due
12/19/00)*............. 10,129
97,000 Hicom Holdings Berhad.... 276,143
6,500 Hicom Holdings Berhad
(Warrants due
12/18/00)*............. 3,093
18,000 Renong Berhad............ 28,725
20,400 Renong Berhad (ICULS).... 8,180
-------------
473,624
-------------
ENTERTAINMENT/GAMING & LODGING
27,000 Genting Berhad........... 211,107
-------------
PUBLISHING
44,000 New Straits Times Press
Berhad................. 229,350
-------------
RETAIL
53,000 Larut Consolidated
Berhad................. 76,503
12,000 Prime Utilities Berhad... 90,457
3,000 Prime Utilities Berhad
(Warrants due
03/11/01)*............. 4,980
MYR 6K Prime Utilities Berhad
1.00% due 03/11/01
(Conv.)................ 1,636
-------------
173,576
-------------
TELECOMMUNICATIONS
28,000 Telekom Malaysia
Berhad................. 249,238
-------------
TOTAL MALAYSIA........... 2,049,125
-------------
MEXICO (13.6%)
BUILDING & CONSTRUCTION
2,980 Empresas ICA Sociedad
Controladora S.A. de
C.V. (ADR)*............ 41,347
-------------
BUILDING MATERIALS
10,900 Apasco S.A. de C.V....... 60,380
35,360 Cemex S.A. de C.V. (B
Shares)................ 139,677
-------------
200,057
-------------
CONGLOMERATES
8,000 DESC S.A. de C.V. (Series
B)..................... 43,155
112 DESC S.A. de C.V. (Series
C)..................... 583
26,500 Grupo Carso S.A. de C.V.
(Series A1)*........... 188,387
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ------------- -------------
<C> <S> <C>
45,700 Grupo Industria Alfa S.A.
de C.V. (A Shares)..... $ 206,444
-------------
438,569
-------------
CONSUMER PRODUCTS
7,150 Kimberly-Clark de Mexico
S.A. de C.V. (A
Shares)................ 130,609
-------------
FINANCIAL SERVICES
19,300 Grupo Financiero Inbursa
S.A. de C.V. (B
Shares)*............... 79,929
-------------
FOOD, BEVERAGE, TOBACCO & HOUSEHOLD
PRODUCTS
600 Coca Cola FEMSA S.A. de
C.V. (ADR)............. 17,175
2,900 Empresas la Moderna S.A.
de C.V. (ADR).......... 52,200
10,000 Fomento Economico
Mexicano S.A. de C.V.
(B Shares)............. 28,752
11,800 Grupo Industrial Bimbo
S.A. de C.V. (Series
A)..................... 54,627
1,200 Grupo Industrial Maseca
S.A. de C.V............ 18,900
1,400 Panamerican Beverages,
Inc. (Class A)......... 62,650
-------------
234,304
-------------
MEDIA GROUP
3,220 Grupo Televisa S.A.
(GDR).................. 99,015
-------------
RETAIL
92,700 Cifra S.A. de C.V. (C
Shares)*............... 132,289
-------------
STEEL & IRON
4,800 Tubos de Acero de Mexico
S.A. de C.V. (ADR)*.... 45,300
-------------
TELECOMMUNICATIONS
8,500 Telefonos de Mexico S.A.
de C.V. (Series L)
(ADR).................. 284,750
-------------
TRANSPORTATION
2,700 Transportacion Maritima
Mexicana S.A. de C.V.
(Series A) (ADR)....... 17,213
-------------
TOTAL MEXICO............. 1,703,382
-------------
PAKISTAN (0.6%)
TELECOMMUNICATIONS
700 Pakistan
Telecommunications
Corp. (GDR)*........... 81,200
-------------
PERU (2.2%)
BREWERY
34,731 Cerveceria Backus &
Johnston S.A........... 43,911
-------------
</TABLE>
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ------------- -------------
<C> <S> <C>
FINANCIAL SERVICES
4,182 Banco de Credito del
Peru................... $ 83,117
-------------
METALS & MINING
1,300 Companhia de Minas
Buenaventura S.A.
(ADR)*................. 25,838
544 Companhia de Minas
Buenaventura S.A. (B
Shares)................ 5,342
4,376 Companhia de Minas
Buenaventura S.A. (C
Shares)................ 39,391
-------------
70,571
-------------
TELECOMMUNICATIONS
37,500 CPT Telefonica del Peru
S.A. (B Shares)........ 76,105
-------------
TOTAL PERU............... 273,704
-------------
PHILIPPINES (3.9%)
BANKING
5,800 Philippine National
Bank................... 97,074
-------------
FOOD, BEVERAGE, TOBACCO & HOUSEHOLD
PRODUCTS
45,650 San Miguel Corp. (Class
B)..................... 158,046
-------------
UTILITIES - ELECTRIC
22,700 Manila Electric Co. (B
Shares)................ 238,810
-------------
TOTAL PHILIPPINES........ 493,930
-------------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
PORTUGAL (2.7%)
BUILDING & CONSTRUCTION
1,300 Sociedade de Construcoes
Soares de Costa S.A.... 11,030
-------------
BUILDING MATERIALS
4,200 Cimentos de Portugal
S.A.................... 87,189
-------------
FOREST PRODUCTS, PAPER & PACKAGING
9,000 Portucel Industrial
Empresa
S.A.................... 57,588
-------------
INVESTMENT COMPANIES
3,700 Sonae Investimentos
Sociedade Gestora de
Participacoes Sociais
S.A.................... 96,070
-------------
TELECOMMUNICATIONS
3,400 Portugal Telecom S.A..... 88,780
-------------
TOTAL PORTUGAL........... 340,657
-------------
RUSSIA (0.9%)
OIL & GAS
1,360 Lukoil Holding Co.
(ADR).................. 57,290
-------------
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ------------- -------------
<C> <S> <C>
UTILITIES - ELECTRIC
2,000 Mosenergo (ADR) -
144A**................. $ 55,000
-------------
TOTAL RUSSIA............. 112,290
-------------
SINGAPORE (0.7%)
FOOD, BEVERAGE, TOBACCO & HOUSEHOLD
PRODUCTS
3,600 Fraser & Neave Ltd....... 37,263
-------------
MULTI-INDUSTRY
6,000 Keppel Corp., Ltd........ 50,195
-------------
TOTAL SINGAPORE.......... 87,458
-------------
SOUTH AFRICA (0.7%)
METALS & MINING
5,900 Driefontein Consolidated
Ltd. (ADR)............. 76,700
500 Kloof Gold Mining Co.,
Ltd. (ADR)............. 4,812
500 Vaal Reefs Exploration &
Mining Co., Ltd.
(ADR).................. 3,938
-------------
TOTAL SOUTH AFRICA....... 85,450
-------------
SOUTH KOREA (5.5%)
CHEMICALS
500 L.G. Chemical Ltd.
(GDR).................. 8,125
-------------
ELECTRONIC & ELECTRICAL EQUIPMENT
141 Samsung Electronics
(GDR).................. 7,120
469 Samsung Electronics (GDR)
- 144A**............... 23,685
-------------
30,805
-------------
STEEL & IRON
10,500 Pohang Iron & Steel Co.,
Ltd. (ADR)............. 255,938
-------------
UTILITIES - ELECTRIC
16,100 Korea Electric Power
Corp.
(ADR).................. 390,425
-------------
TOTAL SOUTH KOREA........ 685,293
-------------
TAIWAN (4.9%)
COMPUTERS
7,000 Acer Inc. (GDR).......... 52,500
-------------
INVESTMENT COMPANIES
23,000 ROC Taiwan Fund.......... 261,625
12,100 The Taiwan Index Fund
Ltd.................... 145,200
-------------
406,825
-------------
STEEL & IRON
5,880 China Steel Corp.
(GDS).................. 149,940
-------------
TOTAL TAIWAN............. 609,265
-------------
</TABLE>
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ------------- -------------
<C> <S> <C>
THAILAND (5.4%)
BANKING
9,500 Bangkok Bank PCL......... $ 128,702
$ 45K Siam Commercial Bank Co.
3.25% due 01/24/04
(Conv.)................ 54,450
15,900 Thai Farmers Bank,
Ltd.................... 174,079
-------------
357,231
-------------
BUILDING & CONSTRUCTION
2,400 Siam Cement Co., Ltd..... 117,769
-------------
OIL RELATED
10,100 PTT Exploration &
Production PCL......... 147,968
-------------
REAL ESTATE
4,300 Land & House PCL......... 54,190
-------------
TOTAL THAILAND........... 677,158
-------------
TURKEY (1.3%)
BREWERY
138,000 Ege Biracilik ve Malt
Sanayii
AS..................... 62,956
-------------
BUILDING MATERIALS
175,000 Eczacibasi Yapi Gerecleri
Sanayi ve Ticaret AS... 14,903
-------------
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ------------- -------------
<C> <S> <C>
METALS & MINING
460,000 Eregli Demir ve Celik
Fabrikalari T.A.S...... $ 50,924
122,000 Koc Holdings AS.......... 29,684
-------------
80,608
-------------
TELECOMMUNICATIONS
31,000 Netas Telekomunik........ 7,354
-------------
TOTAL TURKEY............. 165,821
-------------
VIETNAM (0.1%)
INVESTMENT COMPANIES
1,800 Lazard Vietnam Fund
Ltd.................... 18,000
-------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL COMMON AND PREFERRED
STOCKS, CONVERTIBLE BONDS
AND WARRANTS (IDENTIFIED
COST $10,984,923) (A)....... 93.4% 11,698,192
CASH AND OTHER ASSETS IN
EXCESS OF LIABILITIES....... 6.6 829,247
---------- -------------
NET ASSETS.................... 100.0% $ 12,527,439
---------- -------------
---------- -------------
- ----------------
ADR AMERICAN DEPOSITORY RECEIPT.
GDR GLOBAL DEPOSITORY RECEIPT.
GDS GLOBAL DEPOSITORY SHARES.
K IN THOUSANDS.
* NON-INCOME PRODUCING SECURITY.
** RESALE IS RESTRICTED TO QUALIFIED INSTITUTIONAL INVESTORS.
(A) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES APPROXIMATES
IDENTIFIED COST. THE AGGREGATE GROSS UNREALIZED APPRECIATION WAS
$957,357 AND THE AGGREGATE GROSS UNREALIZED DEPRECIATION WAS
$244,088, RESULTING IN NET UNREALIZED APPRECIATION OF $713,269.
</TABLE>
FORWARD FOREIGN CURRENCY CONTRACTS OPEN AT JUNE 30, 1996:
<TABLE>
<CAPTION>
IN UNREALIZED
CONTRACTS EXCHANGE DELIVERY APPRECIATION
TO RECEIVE FOR DATE (DEPRECIATION)
- --------------- ---------- -------- -----------
<S> <C> <C> <C>
$ 5,829 MYR 14,540 07/01/96 $ (1)
MYR 524,060 $ 209,691 07/02/96 437
MYR 190,915 $ 76,513 07/04/96 37
IDR 143,901,615 $ 61,840 07/31/96 27
-----
Net unrealized appreciation..................$500
-----
-----
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
EMERGING MARKETS
SUMMARY OF INVESTMENTS
JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT OF
INDUSTRY VALUE NET ASSETS
- ------------------------------ ----------- ----------
<S> <C> <C>
Automotive.................... $ 229,992 1.8 %
Banking....................... 1,394,721 11.1
Banks......................... 153,381 1.2
Brewery....................... 270,339 2.2
Building & Construction....... 285,722 2.3
Building Materials............ 319,188 2.5
Chemicals..................... 54,237 0.4
Computers..................... 52,500 0.4
Conglomerates................. 912,194 7.3
Consumer Products............. 130,609 1.0
Electronic & Electrical
Equipment.................... 52,103 0.4
Entertainment/Gaming &
Lodging...................... 211,107 1.7
Financial Services............ 288,671 2.3
Food, Beverage, Tobacco &
Household Products........... 802,550 6.4
Forest Products, Paper &
Packaging.................... 57,589 0.5
Industrials................... 5,113 0.1
<CAPTION>
PERCENT OF
INDUSTRY VALUE NET ASSETS
- ------------------------------ ----------- ----------
<S> <C> <C>
Investment Companies.......... $ 722,275 5.8 %
Media Group................... 99,015 0.8
Metals & Mining............... 336,985 2.7
Multi-Industry................ 296,527 2.4
Oil & Gas..................... 292,113 2.3
Oil Related................... 147,968 1.2
Paper & Forest Products....... 70,920 0.6
Publishing.................... 229,350 1.8
Real Estate................... 176,812 1.4
Retail........................ 305,865 2.4
Steel......................... 28,911 0.2
Steel & Iron.................. 472,293 3.8
Telecommunications............ 1,803,749 14.4
Textiles...................... 11,832 0.1
Tobacco....................... 44,425 0.4
Transportation................ 192,962 1.5
Utilities - Electric.......... 1,246,174 10.0
----------- ---
$11,698,192 93.4 %
----------- ---
----------- ---
</TABLE>
- ----------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT OF
TYPE OF INVESTMENT VALUE NET ASSETS
- ------------------------------ ---------- ----------
<S> <C> <C>
Common Stocks................. $10,865,330 86.7 %
Convertible Bonds............. 61,199 0.5
Convertible Preferred
Stocks....................... 163,472 1.3
Preferred Stocks.............. 589,989 4.7
Warrants...................... 18,202 0.2
---------- -----
$11,698,192 93.4 %
---------- -----
---------- -----
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NORTH
AMERICAN
GOVERNMENT DIVERSIFIED
MONEY MARKET SECURITIES INCOME BALANCED
------------ ------------ -------------- ------------
<S> <C> <C> <C> <C>
ASSETS:
Investments in securities, at
value *..................... $ 60,069,940 $ 2,582,889 $ 20,153,215 $ 28,009,866
Cash.......................... 1,974 138,180 30,759** --
Receivable for:
Investments sold............ -- -- 195,858 737,119
Shares of beneficial
interest sold............. 316,342 -- 72,661 46,523
Dividends................... -- -- -- 17,953
Dividends from affiliate
(Note 3).................. -- -- -- --
Interest.................... 21,484 20,348 351,655 87,663
Foreign withholding taxes
reclaimed................. -- -- -- --
Compensated forward foreign
currency contracts........ -- -- 8,894 --
Unrealized appreciation on
open forward foreign
currency contracts.......... -- -- 36,555 --
Prepaid expenses and other
assets...................... 293 82 46 87
Deferred organizational
expenses.................... 5,396 5,396 5,396 5,396
Receivable from affiliate..... -- 3,576 6,291 --
------------ ------------ -------------- ------------
TOTAL ASSETS.......... 60,415,429 2,750,471 20,861,330 28,904,607
------------ ------------ -------------- ------------
LIABILITIES:
Payable for:
Investments purchased....... -- -- 234,250 2,579,509
Shares of beneficial
interest repurchased...... 192,952 101 40 18
Compensated forward foreign
currency contracts........ -- -- 5,706 --
Investment management fee... 15,649 -- 3,715 5,451
Unrealized depreciation on
open forward foreign
currency contracts.......... -- -- 2,126 --
Accrued expenses and other
payables.................... 21,739 3,729 13,620 12,233
------------ ------------ -------------- ------------
TOTAL LIABILITIES..... 230,340 3,830 259,457 2,597,211
------------ ------------ -------------- ------------
NET ASSETS:
Paid-in-capital............... 60,185,047 2,774,824 20,321,284 24,446,966
Accumulated undistributed net
investment income
(net investment loss)....... 42 11,871 143,346 55,872
Accumulated undistributed net
realized gain
(accumulated net realized
loss)....................... -- (10,065) 202,007 310,710
Net unrealized appreciation
(depreciation).............. -- (29,989) (64,764) 1,493,848
------------ ------------ -------------- ------------
NET ASSETS............ $ 60,185,089 $ 2,746,641 $ 20,601,873 $ 26,307,396
------------ ------------ -------------- ------------
------------ ------------ -------------- ------------
*IDENTIFIED COST.............. $ 60,069,940 $ 2,612,878 $ 20,251,160 $ 26,516,018
------------ ------------ -------------- ------------
------------ ------------ -------------- ------------
SHARES OF BENEFICIAL INTEREST
OUTSTANDING................. 60,185,047 274,904 2,000,422 2,117,645
------------ ------------ -------------- ------------
------------ ------------ -------------- ------------
NET ASSET VALUE PER
SHARE (unlimited authorized
shares of $.01 par value)... $1.00 $9.99 $10.30 $12.42
------------ ------------ -------------- ------------
------------ ------------ -------------- ------------
- ------------------
** Includes foreign cash of $29,835.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DIVIDEND VALUE-ADDED AMERICAN GLOBAL DEVELOPING
UTILITIES GROWTH MARKET CORE EQUITY VALUE EQUITY GROWTH
------------ ------------- ------------ ----------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments in securities, at
value *..................... $ 29,886,235 $ 159,335,030 $ 48,828,043 $ 9,242,679 $ 80,714,937 $ 40,888,490 $ 42,434,228
Cash.......................... 2,054 -- 37,480 319,076 -- -- --
Receivable for:
Investments sold............ -- 320,089 106,062 31,374 419,809 176,364 2,257,146
Shares of beneficial
interest sold............. 70,704 754,353 289,642 36,724 389,230 172,625 239,142
Dividends................... 55,820 322,136 59,712 7,044 25,918 62,393 1,326
Dividends from affiliate
(Note 3).................. -- -- 999 -- -- -- --
Interest.................... 3,935 1,679 -- 189 52,207 695 165
Foreign withholding taxes
reclaimed................. 2,396 -- -- -- -- 9,394 --
Compensated forward foreign
currency contracts........ -- -- -- -- -- -- --
Unrealized appreciation on
open forward foreign
currency contracts.......... -- -- -- -- -- -- --
Prepaid expenses and other
assets...................... 156 1,707 3,585 6 307 189 209
Deferred organizational
expenses.................... 5,396 5,396 5,396 5,396 5,396 5,396 5,396
Receivable from affiliate..... 9,367 27,412 5,995 4,834 15,690 33,487 1,794
------------ ------------- ------------ ----------- ------------ ------------ ------------
TOTAL ASSETS.......... 30,036,063 160,767,802 49,336,914 9,647,322 81,623,494 41,349,033 44,939,406
------------ ------------- ------------ ----------- ------------ ------------ ------------
LIABILITIES:
Payable for:
Investments purchased....... 873,000 2,296,902 2,537,812 670,480 1,315,996 1,057,554 2,751,790
Shares of beneficial
interest repurchased...... 47 -- -- -- -- -- --
Compensated forward foreign
currency contracts........ -- -- -- -- -- -- --
Investment management fee... 8,129 78,287 12,557 -- 39,135 11,472 10,970
Unrealized depreciation on
open forward foreign
currency contracts.......... -- -- -- -- -- 1,514 --
Accrued expenses and other
payables.................... 24,925 41,579 22,385 12,073 33,083 41,786 13,739
------------ ------------- ------------ ----------- ------------ ------------ ------------
TOTAL LIABILITIES..... 906,101 2,416,768 2,572,754 682,553 1,388,214 1,112,326 2,776,499
------------ ------------- ------------ ----------- ------------ ------------ ------------
NET ASSETS:
Paid-in-capital............... 26,749,994 140,514,233 43,083,231 8,271,899 73,280,341 37,758,077 37,485,255
Accumulated undistributed net
investment income
(net investment loss)....... 68,337 345,496 60,857 6,575 9,586 38,701 (10,873)
Accumulated undistributed net
realized gain
(accumulated net realized
loss)....................... 62,629 6,321,672 95,978 189,161 1,751,832 361,204 518,219
Net unrealized appreciation
(depreciation).............. 2,249,002 11,169,633 3,524,094 497,134 5,193,521 2,078,725 4,170,306
------------ ------------- ------------ ----------- ------------ ------------ ------------
NET ASSETS............ $ 29,129,962 $ 158,351,034 $ 46,764,160 $ 8,964,769 $ 80,235,280 $ 40,236,707 $ 42,162,907
------------ ------------- ------------ ----------- ------------ ------------ ------------
------------ ------------- ------------ ----------- ------------ ------------ ------------
*IDENTIFIED COST.............. $ 27,637,233 $ 148,165,397 $ 45,303,949 $ 8,745,545 $ 75,521,416 $ 38,809,045 $ 38,263,922
------------ ------------- ------------ ----------- ------------ ------------ ------------
------------ ------------- ------------ ----------- ------------ ------------ ------------
SHARES OF BENEFICIAL INTEREST
OUTSTANDING................. 2,270,974 10,483,748 3,535,259 721,879 5,490,303 3,410,510 2,466,441
------------ ------------- ------------ ----------- ------------ ------------ ------------
------------ ------------- ------------ ----------- ------------ ------------ ------------
NET ASSET VALUE PER
SHARE (unlimited authorized
shares of $.01 par value)... $12.83 $15.10 $13.23 $12.42 $14.61 $11.80 $17.09
------------ ------------- ------------ ----------- ------------ ------------ ------------
------------ ------------- ------------ ----------- ------------ ------------ ------------
<CAPTION>
EMERGING
MARKETS
------------
<S> <C>
ASSETS:
Investments in securities, at
value *..................... $ 11,698,192
Cash.......................... 2,534,601
Receivable for:
Investments sold............ 125,442
Shares of beneficial
interest sold............. 92,244
Dividends................... 26,826
Dividends from affiliate
(Note 3).................. --
Interest.................... 19,306
Foreign withholding taxes
reclaimed................. --
Compensated forward foreign
currency contracts........ --
Unrealized appreciation on
open forward foreign
currency contracts.......... --
Prepaid expenses and other
assets...................... 37
Deferred organizational
expenses.................... 5,396
Receivable from affiliate..... 4,193
------------
TOTAL ASSETS.......... 14,506,237
------------
LIABILITIES:
Payable for:
Investments purchased....... 1,958,900
Shares of beneficial
interest repurchased...... --
Compensated forward foreign
currency contracts........ --
Investment management fee... --
Unrealized depreciation on
open forward foreign
currency contracts.......... --
Accrued expenses and other
payables.................... 19,898
------------
TOTAL LIABILITIES..... 1,978,798
------------
NET ASSETS:
Paid-in-capital............... 11,790,045
Accumulated undistributed net
investment income
(net investment loss)....... 18,789
Accumulated undistributed net
realized gain
(accumulated net realized
loss)....................... 6,021
Net unrealized appreciation
(depreciation).............. 712,584
------------
NET ASSETS............ $ 12,527,439
------------
------------
*IDENTIFIED COST.............. $ 10,984,923
------------
------------
SHARES OF BENEFICIAL INTEREST
OUTSTANDING................. 1,135,789
------------
------------
NET ASSET VALUE PER
SHARE (unlimited authorized
shares of $.01 par value)... $11.03
------------
------------
</TABLE>
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NORTH
AMERICAN
MONEY GOVERNMENT DIVERSIFIED
MARKET SECURITIES INCOME BALANCED
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
INCOME
Interest.................. $ 1,340,362 $ 65,177 $ 643,165* $ 248,761
Dividends from affiliate
(Note 3)................ -- -- -- --
Dividends................. -- -- -- 100,140
----------- ----------- ----------- -----------
TOTAL INCOME.......... 1,340,362 65,177 643,165 348,901
----------- ----------- ----------- -----------
EXPENSES
Investment management
fee..................... 122,746 7,306 28,205 80,480
Transfer agent fees and
expenses................ 667 667 667 667
Shareholder reports and
notices................. 7,719 302 971 3,131
S&P license fees.......... -- -- -- --
Professional fees......... 8,690 8,262 7,296 6,242
Trustees' fees and
expenses................ 1,239 390 359 1,655
Custodian fees............ 7,168 1,268 7,254 2,708
Organizational expenses... 801 801 801 801
Other..................... 534 1,588 1,918 1,019
----------- ----------- ----------- -----------
TOTAL EXPENSES BEFORE
AMOUNTS
REIMBURSED/WAIVED... 149,564 20,584 47,471 96,703
LESS: AMOUNTS
REIMBURSED/WAIVED....... (11,716) (14,914) (12,215) (43,254)
----------- ----------- ----------- -----------
TOTAL EXPENSES AFTER
AMOUNTS
REIMBURSED/WAIVED... 137,848 5,670 35,256 53,449
----------- ----------- ----------- -----------
NET INVESTMENT
INCOME.......... 1,202,514 59,507 607,909 295,452
----------- ----------- ----------- -----------
NET REALIZED AND UNREALIZED
GAIN (LOSS):
Net realized gain (loss)
on:
Investments............. -- (9,523) 188,163 197,974
Foreign exchange
transactions.......... -- -- (5,010) --
----------- ----------- ----------- -----------
TOTAL GAIN (LOSS)..... -- (9,523) 183,153 197,974
----------- ----------- ----------- -----------
Net change in unrealized
appreciation/depreciation
on:
Investments............. -- (37,051) (138,625) 723,621
Translation of forward
foreign currency
contracts, other
assets and liabilities
denominated in foreign
currencies............ -- -- 36,121 --
----------- ----------- ----------- -----------
TOTAL APPRECIATION
(DEPRECIATION)...... -- (37,051) (102,504) 723,621
----------- ----------- ----------- -----------
NET GAIN (LOSS)....... -- (46,574) 80,649 921,595
----------- ----------- ----------- -----------
NET INCREASE...... $ 1,202,514 $ 12,933 $ 688,558 $ 1,217,047
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
- ------------------
* Net of $3,688, $8,163, $1,272, $309, $1,044, $22,988, $140 and $8,314 in
foreign witholding tax, respectively.
</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>
INVESTMENT INCOME:
INCOME
Interest.................. $ 73,026 $ 85,119 $ 66,480 $ 6,815 $ 158,554 $ 92,374 $ 80,177 $ 32,498
Dividends from affiliate
(Note 3)................ -- -- 1,672 -- -- -- -- --
Dividends................. 403,876* 1,660,876 347,790* 28,137* 220,325* 248,374* 12,944* 77,352*
--------- ----------- --------- --------- --------- --------- --------- ---------
TOTAL INCOME.......... 476,902 1,745,995 415,942 34,952 378,879 340,748 93,121 109,850
--------- ----------- --------- --------- --------- --------- --------- ---------
EXPENSES
Investment management
fee..................... 79,152 368,616 87,820 24,572 180,310 139,478 69,088 49,259
Transfer agent fees and
expenses................ 667 667 667 667 667 667 667 667
Shareholder reports and
notices................. 4,769 8,676 2,737 1,151 6,207 4,362 2,208 2,461
S&P license fees.......... -- -- 4,989 -- -- -- -- --
Professional fees......... 7,446 8,105 8,102 8,467 8,142 5,530 8,171 8,641
Trustees' fees and
expenses................ 563 1,833 844 2,396 1,047 390 562 348
Custodian fees............ 9,124 120 15,921 3,722 12,142 26,440 10,342 14,919
Organizational expenses... 801 801 801 801 801 801 801 801
Other..................... 623 549 694 716 560 7,180 727 967
--------- ----------- --------- --------- --------- --------- --------- ---------
TOTAL EXPENSES BEFORE
AMOUNTS
REIMBURSED/WAIVED... 103,145 389,367 122,575 42,492 209,876 184,848 92,566 78,063
LESS: AMOUNTS
REIMBURSED/WAIVED....... (42,259) -- (34,568) (27,814) (16,539) (115,105) (23,267) (58,554)
--------- ----------- --------- --------- --------- --------- --------- ---------
TOTAL EXPENSES AFTER
AMOUNTS
REIMBURSED/WAIVED... 60,886 389,367 88,007 14,678 193,337 69,743 69,299 19,509
--------- ----------- --------- --------- --------- --------- --------- ---------
NET INVESTMENT
INCOME.......... 416,016 1,356,628 327,935 20,274 185,542 271,005 23,822 90,341
--------- ----------- --------- --------- --------- --------- --------- ---------
NET REALIZED AND UNREALIZED
GAIN (LOSS):
Net realized gain (loss)
on:
Investments............. 41,979 6,142,894 71,322 163,899 1,441,713 360,765 499,696 85,979
Foreign exchange
transactions.......... -- -- -- -- -- 3,229 -- (2,140)
--------- ----------- --------- --------- --------- --------- --------- ---------
TOTAL GAIN (LOSS)..... 41,979 6,142,894 71,322 163,899 1,441,713 363,994 499,696 83,839
--------- ----------- --------- --------- --------- --------- --------- ---------
Net change in unrealized
appreciation/depreciation
on:
Investments............. 940,372 4,872,901 2,344,743 412,400 2,311,314 1,493,895 2,668,045 696,913
Translation of forward
foreign currency
contracts, other
assets and liabilities
denominated in foreign
currencies............ -- -- -- -- -- (673) -- (113)
--------- ----------- --------- --------- --------- --------- --------- ---------
TOTAL APPRECIATION
(DEPRECIATION)...... 940,372 4,872,901 2,344,743 412,400 2,311,314 1,493,222 2,668,045 696,800
--------- ----------- --------- --------- --------- --------- --------- ---------
NET GAIN (LOSS)....... 982,351 11,015,795 2,416,065 576,299 3,753,027 1,857,216 3,167,741 780,639
--------- ----------- --------- --------- --------- --------- --------- ---------
NET INCREASE...... $1,398,367 $12,372,423 $2,744,000 $596,573 $3,938,569 $2,128,221 $3,191,563 $ 870,980
--------- ----------- --------- --------- --------- --------- --------- ---------
--------- ----------- --------- --------- --------- --------- --------- ---------
</TABLE>
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
STATEMENTS OF CHANGES IN NET ASSETS
- ----------------------------------------------------------------
FOR THE SIX MONTHS ENDED JUNE 30, 1996 (UNAUDITED) AND FOR THE YEAR ENDED
DECEMBER 31, 1995
<TABLE>
<CAPTION>
NORTH AMERICAN GOVERNMENT
MONEY MARKET SECURITIES
--------------------------- ---------------------------
1996 1995 1996 1995
------------- ------------ ------------- ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS:
Operations:
Net investment income..... $ 1,202,514 $ 882,216 $ 59,507 $ 32,639
Net realized gain
(loss).................. -- -- (9,523) (542)
Net change in unrealized
appreciation/depreciation... -- -- (37,051) 7,062
------------- ------------ ------------- ------------
Net increase
(decrease).......... 1,202,514 882,216 12,933 39,159
------------- ------------ ------------- ------------
Dividends from net
investment income......... (1,202,498) (882,190) (53,121) (27,649)
------------- ------------ ------------- ------------
Transactions in shares of
beneficial interest:
Net proceeds from sales... 32,446,835 48,812,289 1,566,627 1,470,457
Reinvestment of
dividends............... 1,202,498 882,190 53,121 27,649
Cost of shares
repurchased............. (15,553,297) (8,839,415) (120,599) (344,429)
------------- ------------ ------------- ------------
Net increase.......... 18,096,036 40,855,064 1,499,149 1,153,677
------------- ------------ ------------- ------------
Total increase........ 18,096,052 40,855,090 1,458,961 1,165,187
NET ASSETS:
Beginning of period......... 42,089,037 1,233,947 1,287,680 122,493
------------- ------------ ------------- ------------
END OF PERIOD............... $ 60,185,089 $ 42,089,037 $ 2,746,641 $ 1,287,680
------------- ------------ ------------- ------------
------------- ------------ ------------- ------------
UNDISTRIBUTED NET INVESTMENT
INCOME...................... $ 42 $ 26 $ 11,871 $ 5,485
------------- ------------ ------------- ------------
------------- ------------ ------------- ------------
SHARES ISSUED AND REPURCHASED:
Sold........................ 32,446,835 48,812,289 155,074 145,744
Issued in reinvestment of
dividends................. 1,202,498 882,190 5,292 2,744
Repurchased................. (15,553,297) (8,839,415) (12,012) (34,139)
------------- ------------ ------------- ------------
Net increase................ 18,096,036 40,855,064 148,354 114,349
------------- ------------ ------------- ------------
------------- ------------ ------------- ------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
- ----------------------------------------------------------------
<TABLE>
<CAPTION>
DIVERSIFIED INCOME BALANCED UTILITIES
------------------------- -------------------------- --------------------------
1996 1995 1996 1995 1996 1995
------------ ----------- ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS:
Operations:
Net investment income..... $ 607,909 $ 230,744 $ 295,452 $ 233,569 $ 416,016 $ 236,601
Net realized gain
(loss).................. 183,153 22,350 197,974 112,736 41,979 20,650
Net change in unrealized
appreciation/depreciation... (102,504) 37,740 723,621 770,654 940,372 1,308,922
------------ ----------- ------------ ------------ ------------ ------------
Net increase
(decrease).......... 688,558 290,834 1,217,047 1,116,959 1,398,367 1,566,173
------------ ----------- ------------ ------------ ------------ ------------
Dividends from net
investment income......... (544,861) (155,118) (287,443) (188,705) (406,812) (179,128)
------------ ----------- ------------ ------------ ------------ ------------
Transactions in shares of
beneficial interest:
Net proceeds from sales... 12,180,275 10,018,159 13,052,460 15,835,264 13,485,717 17,486,045
Reinvestment of
dividends............... 544,861 155,118 287,443 188,705 406,812 179,128
Cost of shares
repurchased............. (1,238,953) (1,739,300) (4,273,503) (1,436,358) (3,713,353) (1,590,907)
------------ ----------- ------------ ------------ ------------ ------------
Net increase.......... 11,486,183 8,433,977 9,066,400 14,587,611 10,179,176 16,074,266
------------ ----------- ------------ ------------ ------------ ------------
Total increase........ 11,629,880 8,569,693 9,996,004 15,515,865 11,170,731 17,461,311
NET ASSETS:
Beginning of period......... 8,971,993 402,300 16,311,392 795,527 17,959,231 497,920
------------ ----------- ------------ ------------ ------------ ------------
END OF PERIOD............... $ 20,601,873 $ 8,971,993 $ 26,307,396 $ 16,311,392 $ 29,129,962 $ 17,959,231
------------ ----------- ------------ ------------ ------------ ------------
------------ ----------- ------------ ------------ ------------ ------------
UNDISTRIBUTED NET INVESTMENT
INCOME...................... $ 143,346 $ 80,298 $ 55,872 $ 47,863 $ 68,337 $ 59,133
------------ ----------- ------------ ------------ ------------ ------------
------------ ----------- ------------ ------------ ------------ ------------
SHARES ISSUED AND REPURCHASED:
Sold........................ 1,191,198 994,906 1,074,271 1,408,020 1,080,466 1,534,125
Issued in reinvestment of
dividends................. 53,477 15,447 23,596 16,807 32,628 15,750
Repurchased................. (121,795) (172,845) (352,145) (132,149) (296,400) (145,179)
------------ ----------- ------------ ------------ ------------ ------------
Net increase................ 1,122,880 837,508 745,722 1,292,678 816,694 1,404,696
------------ ----------- ------------ ------------ ------------ ------------
------------ ----------- ------------ ------------ ------------ ------------
<CAPTION>
DIVIDEND GROWTH
---------------------------
1996 1995
------------- ------------
<S> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS:
Operations:
Net investment income..... $ 1,356,628 $ 836,265
Net realized gain
(loss).................. 6,142,894 178,778
Net change in unrealized
appreciation/depreciation... 4,872,901 6,295,338
------------- ------------
Net increase
(decrease).......... 12,372,423 7,310,381
------------- ------------
Dividends from net
investment income......... (1,245,493) (606,921)
------------- ------------
Transactions in shares of
beneficial interest:
Net proceeds from sales... 67,971,701 71,950,119
Reinvestment of
dividends............... 1,245,493 606,921
Cost of shares
repurchased............. (687,318) (1,943,986)
------------- ------------
Net increase.......... 68,529,876 70,613,054
------------- ------------
Total increase........ 79,656,806 77,316,514
NET ASSETS:
Beginning of period......... 78,694,228 1,377,714
------------- ------------
END OF PERIOD............... $ 158,351,034 $ 78,694,228
------------- ------------
------------- ------------
UNDISTRIBUTED NET INVESTMENT
INCOME...................... $ 345,496 $ 234,361
------------- ------------
------------- ------------
SHARES ISSUED AND REPURCHASED:
Sold........................ 4,633,942 5,787,107
Issued in reinvestment of
dividends................. 85,082 48,577
Repurchased................. (45,753) (163,343)
------------- ------------
Net increase................ 4,673,271 5,672,341
------------- ------------
------------- ------------
</TABLE>
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
FOR THE SIX MONTHS ENDED JUNE 30, 1996 (UNAUDITED) AND FOR THE YEAR ENDED
DECEMBER 31, 1995
<TABLE>
<CAPTION>
VALUE-ADDED MARKET CORE EQUITY
------------------------- ----------------------
1996 1995 1996 1995
----------- ------------ ---------- ----------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS:
Operations:
Net investment income..... $ 327,935 $ 218,803 $ 20,274 $ 28,578
Net realized gain
(loss).................. 71,322 24,656 163,899 25,262
Net change in unrealized
appreciation/depreciation... 2,344,743 1,177,215 412,400 84,734
----------- ------------ ---------- ----------
Net increase
(decrease).......... 2,744,000 1,420,674 596,573 138,574
----------- ------------ ---------- ----------
Dividends from net
investment income......... (314,598) (172,075) (16,176) (27,202)
----------- ------------ ---------- ----------
Transactions in shares of
beneficial interest:
Net proceeds from sales... 20,739,612 23,041,372 5,170,933 3,676,375
Reinvestment of
dividends............... 314,598 172,075 16,176 27,202
Cost of shares
repurchased............. (689,079) (841,114) (759,149) (174,491)
----------- ------------ ---------- ----------
Net increase.......... 20,365,131 22,372,333 4,427,960 3,529,086
----------- ------------ ---------- ----------
Total increase........ 22,794,533 23,620,932 5,008,357 3,640,458
NET ASSETS:
Beginning of period......... 23,969,627 348,695 3,956,412 315,954
----------- ------------ ---------- ----------
END OF PERIOD............... $46,764,160 $ 23,969,627 $8,964,769 $3,956,412
----------- ------------ ---------- ----------
----------- ------------ ---------- ----------
UNDISTRIBUTED NET INVESTMENT
INCOME...................... $ 60,857 $ 47,520 $ 6,575 $ 2,477
----------- ------------ ---------- ----------
----------- ------------ ---------- ----------
SHARES ISSUED AND REPURCHASED:
Sold........................ 1,607,194 1,981,323 426,341 339,322
Issued in reinvestment of
dividends................. 24,381 14,750 1,375 2,604
Repurchased................. (54,467) (73,159) (63,217) (15,991)
----------- ------------ ---------- ----------
Net increase................ 1,577,108 1,922,914 364,499 325,935
----------- ------------ ---------- ----------
----------- ------------ ---------- ----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
- ----------------------------------------------------------------
<TABLE>
<CAPTION>
AMERICAN VALUE GLOBAL EQUITY DEVELOPING GROWTH
-------------------------- -------------------------- --------------------------
1996 1995 1996 1995 1996 1995
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS:
Operations:
Net investment income..... $ 185,542 $ 219,613 $ 271,005 $ 163,567 $ 23,822 $ 101,922
Net realized gain
(loss).................. 1,441,713 313,562 363,994 (2,717) 499,696 18,572
Net change in unrealized
appreciation/depreciation... 2,311,314 2,867,922 1,493,222 586,787 2,668,045 1,499,356
------------ ------------ ------------ ------------ ------------ ------------
Net increase
(decrease).......... 3,938,569 3,401,097 2,128,221 747,637 3,191,563 1,619,850
------------ ------------ ------------ ------------ ------------ ------------
Dividends from net
investment income......... (242,153) (155,569) (261,082) (137,860) (55,364) (82,425)
------------ ------------ ------------ ------------ ------------ ------------
Transactions in shares of
beneficial interest:
Net proceeds from sales... 40,345,773 34,805,828 24,931,952 16,594,816 29,887,918 18,068,892
Reinvestment of
dividends............... 242,153 155,569 261,082 137,860 55,364 82,425
Cost of shares
repurchased............. (2,283,848) (794,842) (3,897,769) (1,462,568) (8,328,426) (2,657,067)
------------ ------------ ------------ ------------ ------------ ------------
Net increase.......... 38,304,078 34,166,555 21,295,265 15,270,108 21,614,856 15,494,250
------------ ------------ ------------ ------------ ------------ ------------
Total increase........ 42,000,494 37,412,083 23,162,404 15,879,885 24,751,055 17,031,675
NET ASSETS:
Beginning of period......... 38,234,786 822,703 17,074,303 1,194,418 17,411,852 380,177
------------ ------------ ------------ ------------ ------------ ------------
END OF PERIOD............... $ 80,235,280 $ 38,234,786 $ 40,236,707 $ 17,074,303 $ 42,162,907 $ 17,411,852
------------ ------------ ------------ ------------ ------------ ------------
------------ ------------ ------------ ------------ ------------ ------------
UNDISTRIBUTED NET INVESTMENT
INCOME...................... $ 9,586 $ 66,197 $ 38,701 $ 28,778 $ (10,873) $ 20,669
------------ ------------ ------------ ------------ ------------ ------------
------------ ------------ ------------ ------------ ------------ ------------
SHARES ISSUED AND REPURCHASED:
Sold........................ 2,844,351 2,757,922 2,174,506 1,558,946 1,814,702 1,316,995
Issued in reinvestment of
dividends................. 17,321 12,349 22,627 13,086 3,587 5,995
Repurchased................. (159,256) (64,214) (340,501) (138,315) (512,494) (199,866)
------------ ------------ ------------ ------------ ------------ ------------
Net increase................ 2,702,416 2,706,057 1,856,632 1,433,717 1,305,795 1,123,124
------------ ------------ ------------ ------------ ------------ ------------
------------ ------------ ------------ ------------ ------------ ------------
<CAPTION>
EMERGING MARKETS
-------------------------
1996 1995
------------ -----------
<S> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS:
Operations:
Net investment income..... $ 90,341 $ 45,935
Net realized gain
(loss).................. 83,839 (79,386)
Net change in unrealized
appreciation/depreciation... 696,800 15,784
------------ -----------
Net increase
(decrease).......... 870,980 (17,667)
------------ -----------
Dividends from net
investment income......... (77,850) (39,505)
------------ -----------
Transactions in shares of
beneficial interest:
Net proceeds from sales... 7,936,154 3,782,735
Reinvestment of
dividends............... 77,850 39,505
Cost of shares
repurchased............. (371,913) (120,566)
------------ -----------
Net increase.......... 7,642,091 3,701,674
------------ -----------
Total increase........ 8,435,221 3,644,502
NET ASSETS:
Beginning of period......... 4,092,218 447,716
------------ -----------
END OF PERIOD............... $ 12,527,439 $ 4,092,218
------------ -----------
------------ -----------
UNDISTRIBUTED NET INVESTMENT
INCOME...................... $ 18,789 $ 6,298
------------ -----------
------------ -----------
SHARES ISSUED AND REPURCHASED:
Sold........................ 739,512 386,160
Issued in reinvestment of
dividends................. 7,272 4,031
Repurchased................. (33,524) (12,240)
------------ -----------
Net increase................ 713,260 377,951
------------ -----------
------------ -----------
</TABLE>
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
1. ORGANIZATION AND ACCOUNTING POLICIES--Dean Witter Select Dimensions
Investment Series (the "Fund") is registered under the Investment Company Act of
1940, as amended, as a diversified, open-end management investment company. The
shares of the Fund will only be sold to Hartford Life Insurance Company and ITT
Hartford Life and Annuity Insurance Company for allocation to certain of its
separate accounts to fund the benefits under certain flexible premium deferred
variable annuity contracts.
The Fund, which consists of 12 separate portfolios ("Portfolios"), was
organized on June 2, 1994 as a Massachusetts business trust and commenced
operations on November 9, 1994.
The 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
Government low 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,
Income as 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
Growth and 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 (UNAUDITED) (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 (UNAUDITED) (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 $96,436 ($8,036
for each respective Portfolio) and was reimbursed for the full amount
thereof, exclusive of amounts waived of $22,075 ($1,840 for each respective
Portfolio except $1,835 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 the Investment Manager 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 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
At June 30, 1996, included in the Statements of Assets and Liabilities are
receivables from affiliate which represent expense reimbursements due to 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 six months ended June 30, 1996
were as follows:
<TABLE>
<CAPTION>
U.S. GOVERNMENT SECURITIES OTHER
------------------------------- --------------------------------
PURCHASES SALES/MATURITIES PURCHASES SALES/MATURITIES
----------- ---------------- ------------ ----------------
<S> <C> <C> <C> <C>
Money Market...................................... $15,408,379 $ 10,915,000 $221,552,407 $ 209,304,666
North American Government Securities.............. 2,040,374 588,023 -- --
Diversified Income................................ 2,993,020 47,902 9,199,836 2,522,634
Balanced.......................................... 12,431,898 8,437,674 11,935,724 5,410,279
Utilities......................................... -- -- 9,902,622 433,088
Dividend Growth................................... -- -- 97,276,129 29,628,511
Value-Added Market................................ 162,285 -- 20,738,751 455,554
Core Equity....................................... -- -- 6,216,759 1,677,702
American Value.................................... 2,891,109 6,007,053 102,181,716 67,347,153
Global Equity..................................... 106,095 134,182 28,957,761 9,043,707
Developing Growth................................. -- -- 44,769,835 22,633,828
Emerging Markets.................................. -- -- 9,229,717 1,687,884
</TABLE>
For the six months ended June 30, 1996, 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 CORE AMERICAN GLOBAL DEVELOPING
BALANCED UTILITIES GROWTH EQUITY VALUE EQUITY GROWTH
----------- --------- --------- --------- ----------- --------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Commissions........................... $ 3,751 $ 12,405 $ 83,493 $ 2,555 $ 67,341 $ 15,318 $ 18,426
----------- --------- --------- --------- ----------- --------- -----------
----------- --------- --------- --------- ----------- --------- -----------
</TABLE>
Included in the payable for investments purchased for unsettled trades with
DWR at June 30, 1996 were as follows:
<TABLE>
<CAPTION>
DIVIDEND CORE AMERICAN GLOBAL DEVELOPING
GROWTH EQUITY VALUE EQUITY GROWTH
-------------- ----------- ------------- --------- ---------------
<S> <C> <C> <C> <C> <C>
Payable for investments purchased... $ 2,000,800 $ 228,963 $ 156,200 $ 227,529 $ 484,443
-------------- ----------- ------------- --------- ---------------
-------------- ----------- ------------- --------- ---------------
</TABLE>
Included in Developing Growth's receivable for investments sold is $324,741
for unsettled trades with DWR at June 30, 1996.
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 $74,153.
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 and Emerging Markets
- -- $14,000.
<PAGE>
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (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:
<TABLE>
<CAPTION>
GLOBAL DEVELOPING EMERGING
BALANCED EQUITY GROWTH MARKETS
- --------- ----------- --------------- ---------------
<S> <C> <C> <C>
$16,000 $ 44,000 $ 23,000 $ 64,000
- --------- ----------- ------- -------
- --------- ----------- ------- -------
</TABLE>
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 mark-to-market of open
forward foreign exchange contracts and compensated forward foreign exchange
contracts -- Diversified; income from mark-to-market of passive foreign
investment companies -- Global Equity and Emerging Markets.
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 June 30, 1996, Global Equity and Emerging Market Portfolios 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 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 TOTAL
YEAR ENDED BEGINNING INVESTMENT UNREALIZED INVESTMENT DIVIDENDS TO VALUE END INVESTMENT
DECEMBER 31 OF PERIOD INCOME GAIN (LOSS) OPERATIONS SHAREHOLDERS OF PERIOD RETURN+
------------ --------- ---------- ------------- ---------- ------------ ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
Money Market
1994 (a) $ 1.00 $0.01 $ -- $ 0.01 $(0.01) $ 1.00 0.76%(1)
1995 1.00 0.06 -- 0.06 (0.06) 1.00 6.10
1996 (b) 1.00 0.02 -- 0.02 (0.02) 1.00 2.47(1)
North American Government Securities
1994 (a) 10.00 0.06 -- 0.06 (0.02) 10.04 0.61(1)
1995 10.04 0.53 0.11 0.64 (0.50) 10.18 6.40
1996 (b) 10.18 0.24 (0.19) 0.05 (0.24) 9.99 0.55(1)
Diversified Income
1994 (a) 10.00 0.08 -- 0.08 (0.03) 10.05 0.76(1)
1995 10.05 0.57 0.11 0.68 (0.51) 10.22 6.96
1996 (b) 10.22 0.40 0.10 0.50 (0.42) 10.30 4.88(1)
Balanced
1994 (a) 10.00 0.08 (0.02) 0.06 (0.02) 10.04 0.60(1)
1995 10.04 0.40 1.85 2.25 (0.40) 11.89 22.86
1996 (b) 11.89 0.16 0.54 0.70 (0.17) 12.42 5.91(1)
Utilities
1994 (a) 10.00 0.07 -- 0.07 (0.03) 10.04 0.65(1)
1995 10.04 0.45 2.30 2.75 (0.44) 12.35 28.05
1996 (b) 12.35 0.20 0.49 0.69 (0.21) 12.83 5.69(1)
Dividend Growth
1994 (a) 10.00 0.08 (0.09) (0.01) (0.02) 9.97 (0.05) (1)
1995 9.97 0.36 3.57 3.93 (0.36) 13.54 40.13
1996 (b) 13.54 0.15 1.57 1.72 (0.16) 15.10 12.75(1)
Value-Added Market
1994 (a) 10.00 0.06 (0.14) (0.08) (0.02) 9.90 (0.76) (1)
1995 9.90 0.31 2.34 2.65 (0.31) 12.24 27.14
1996 (b) 12.24 0.11 1.00 1.11 (0.12) 13.23 9.10(1)
Core Equity
1994 (a) 10.00 0.07 -- 0.07 (0.02) 10.05 0.67(1)
1995 10.05 0.26 1.05 1.31 (0.29) 11.07 13.29
1996 (b) 11.07 0.04 1.35 1.39 (0.04) 12.42 12.54(1)
American Value
1994 (a) 10.00 0.06 0.01 0.07 (0.02) 10.05 0.69(1)
1995 10.05 0.21 3.66 3.87 (0.21) 13.71 38.95
1996 (b) 13.71 0.05 0.92 0.97 (0.07) 14.61 7.10(1)
Global Equity
1994 (a) 10.00 0.07 (0.10) (0.03) (0.03) 9.94 (0.30) (1)
1995 9.94 0.29 1.05 1.34 (0.29) 10.99 13.76
1996 (b) 10.99 0.10 0.82 0.92 (0.11) 11.80 8.38(1)
Developing Growth
1994 (a) 10.00 0.08 0.08 0.16 (0.03) 10.13 1.58(1)
1995 10.13 0.24 4.88 5.12 (0.25) 15.00 51.26
1996 (b) 15.00 0.02 2.11 2.13 (0.04) 17.09 14.31(1)
Emerging Markets
1994 (a) 10.00 0.06 -- 0.06 (0.02) 10.04 0.57(1)
1995 10.04 0.29 (0.33) (0.04) (0.31) 9.69 (0.57)
1996 (b) 9.69 0.11 1.34 1.45 (0.11) 11.03 15.11(1)
</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.
(b) For the six months ended June 30, 1996 (unaudited).
+ Calculated based on the net asset value as of the last business day of 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)
----------------------- -----------------------
NET ASSETS END NET NET PORTFOLIO AVERAGE
OF PERIOD INVESTMENT INVESTMENT TURNOVER COMMISSION
(000'S) EXPENSES INCOME EXPENSES INCOME RATE RATE PAID
-------------- ----------- ---------- ----------- ---------- --------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Money Market
1994 (a) $1,234 2.50%(2) 3.33 %(2 -- % 5.83%(2) N/A N/A
1995 42,089 0.81 5.11 -- 5.92 N/A N/A
1996 (b) 60,185 0.61(2) 4.85(2) 0.56(2) 4.90(2) N/A N/A
North American Government Securities
1994 (a) 122 2.50(2) 1.78(2) -- 4.28(2) -- %(1) N/A
1995 1,288 2.50 3.24 -- 5.74 18 N/A
1996 (b) 2,747 1.83(2) 3.97(2) 0.50(2) 5.29(2) 34(1) N/A
Diversified Income
1994 (a) 402 2.50(2) 3.08(2) -- 5.58(2) -- (1) N/A
1995 8,972 1.33 5.95 -- 7.28 33 N/A
1996 (b) 20,602 0.67(2) 8.43(2) 0.50(2) 8.60(2) 20(1) N/A
Balanced
1994 (a) 796 2.50(2) 2.90(2) -- 5.40(2) -- (1) --
1995 16,311 1.39 2.45 -- 3.84 99 --
1996 (b) 26,307 0.90(2) 2.34(2) 0.50(2) 2.74(2) 67(1) $ 0.0101
Utilities
1994 (a) 498 2.50(2) 2.79(2) -- 5.29(2) -- (1) --
1995 17,959 1.43 3.01 -- 4.44 3 --
1996 (b) 29,130 0.84(2) 3.07(2) 0.50(2) 3.41(2) 2(1) 0.0493
Dividend Growth
1994 (a) 1,378 2.50(2) 3.28(2) -- 5.78(2) -- (1) --
1995 78,694 0.83 2.80 -- 3.63 4 --
1996 (b) 158,351 0.66(2) 2.29(2) 0.66(2) 2.29(2) 25(1) 0.0500
Value-Added Market
1994 (a) 349 2.50(2) 1.25(2) -- 3.75(2) -- (1) --
1995 23,970 1.46 1.64 -- 3.10 4 --
1996 (b) 46,764 0.70(2) 1.67(2) 0.50(2) 1.87(2) 1(1) 0.0300
Core Equity
1994 (a) 316 2.50(2) 2.32(2) -- 4.82(2) -- (1) --
1995 3,956 2.50 (0.64) -- 1.86 39 --
1996 (b) 8,965 1.46(2) (0.25) (2) 0.50(2) 0.71(2) 30(1) 0.0560
American Value
1994 (a) 823 2.50(2) 1.60(2) -- 4.10(2) 10(1) --
1995 38,235 0.96 1.11 -- 2.07 174 --
1996 (b) 80,235 0.73(2) 0.58(2) 0.67(2) 0.64(2) 133(1) 0.0518
Global Equity
1994 (a) 1,194 2.50(2) 2.20(2) -- 4.70(2) -- (1) --
1995 17,074 1.69 1.09 -- 2.78 74 --
1996 (b) 40,237 1.32(2) 1.12(2) 0.50(2) 1.94(2) 37(1) 0.0501
Developing Growth
1994 (a) 380 2.50(2) 2.31(2) -- 4.81(2) 3(1) --
1995 17,412 1.24 0.86 -- 2.10 80 --
1996 (b) 42,163 0.67(2) 0.01(2) 0.50(2) 0.18(2) 87(1) 0.0526
Emerging Markets
1994 (a) 448 2.50(2) 2.22(2) -- 4.72(2) -- (1) --
1995 4,092 2.50 0.18 -- 2.68 36 --
1996 (b) 12,527 1.97(2) 0.81(2) 0.49(2) 2.29(2) 25(1) 0.0015
</TABLE>
<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>
ITT Hartford SELECT
Individual Annuity Operations DIMENSIONS
P.O. Box 5085
Hartford, CT 06102-5085
DEAN WITTER
SELECT DIMENSIONS
INVESTMENT SERIES
SEMI-ANNUAL REPORT
June 30, 1996
DEAN WITTER
#40474
