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DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES TWO WORLD TRADE CENTER,
NEW YORK, NEW YORK 10048
LETTER TO THE SHAREHOLDERS JUNE 30, 1997
DEAR SHAREHOLDER:
We are pleased to present the semiannual report on the operations of Dean Witter
Select Dimensions Investments Series for the six-month period ended June 30,
1997.
Following a modest increase in the federal-funds rate in late March, it appeared
as if the Federal Reserve Board was poised for a series of further rate
increases. However, the slight cooling off of recent economic data, an ongoing
lack of inflationary pressure and progress toward a balanced budget agreement
have argued against a quick succession of tightening moves.
As a result, interest rates actually declined during the second quarter, with
the yield on 30-year U.S. Treasury bonds down 32 basis points (0.32 percentage
points) to 6.78 percent. While rates seem to be holding at these lower levels,
the possibility exists that the Federal Reserve Board may again tighten its
policy in an attempt to ward off future inflationary pressure. Interest rates
available on money-market securities held steady during the second quarter.
AMID POSITIVE ECONOMIC NEWS, MIXED SIGNALS
On the heels of stronger-than-expected economic activity for the first quarter,
the second quarter began to show conflicting signals. Employment data for June,
for example, provided mixed indicators on the strength of the economy by
registering an increase in the unemployment rate to five percent, while growth
in employment came in at a solid 217,000 jobs. A sign of a possible slowing in
the pace of economic activity came on July 1 with the release of the National
Association of Purchasing Managers Index for June, which fell from May's levels.
However, retail sales turned positive after falling for three consecutive
months.
The financial markets greeted constrained year-over-year wage increases and six
consecutive months of declining producer prices with jubilation. Payroll growth
has now risen by 234,000 per month thus far
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DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS JUNE 30, 1997, CONTINUED
in 1997, above a strong average growth of 212,000 for 1996. Labor shortages
exist in some metropolitan markets. Looking toward the third quarter, the
Federal Reserve Board has justification to either raise its Federal funds target
rate or hold steady awaiting further economic evidence.
GLOBAL STOCK MARKETS CONTINUE TO FLY HIGH
Most global equity markets enjoyed favorable performance in the first half of
1997. In the United States, the stock market endured a correction of nearly 10
percent after the Federal Reserve Board raised interest rates in March. The
downturn was short lived, however, as inflation data showed little, if any,
pressure. While the stocks of large-capitalization companies have dominated the
market year-to-date, smaller and mid-sized stocks are finally showing signs of
breaking out of their slump.
The Latin American equity markets began the year on a strong note, gaining an
average of 15 percent during the first quarter, as robust corporate earnings
growth and attractive valuations prompted strong capital inflows. The region's
markets rallied an additional 22 percent on average during the second quarter,
as macroeconomic and political fundamentals continued to improve and corporate
earnings results were generally in line with expectations.
The Asian equity markets posted mixed results during the first half of 1997, as
capital inflows tapered off from the high levels experienced at the end of 1996.
Sentiment was negatively impacted by a general lack of earnings-growth momentum,
and continued declines in export growth throughout much of the region. Investors
were also somewhat nervous about the prospects for further asset deflation in
the region, which has depressed the Thai and Korean stock markets over the past
year. The Japanese market staged a recovery in the second quarter as the
prospects for higher interest rates faded, sentiment for a self-sustaining
economic recovery rebounded and the selling pressure that crushed bank stocks
subsided.
The investment climate in the European emerging markets remains broadly
positive. With the exception of Russia, the stock markets of Eastern Europe were
constrained by poor sentiment following the Czech currency crisis. Russian
equities continued to post the region's strongest gains, surging 120 percent in
U.S. dollar terms during the first half of 1997, as concerns surrounding
President Yeltsin's health faded.
On a cautionary note, market volatility has picked up. Stock markets worldwide
have fluctuated on U.S. interest rate moves, economic data releases, earnings
disappointments and election results. Despite this increase in volatility,
equities continue to offer attractive total return potential in the current
environment of fiscally tight government policies, strong global economic growth
and low inflation.
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LETTER TO THE SHAREHOLDERS JUNE 30, 1997, CONTINUED
AGGRESSIVE GROWTH
DEVELOPING GROWTH PORTFOLIO
The Developing Growth Portfolio recorded a total return of 2.92 percent for
six-month period ended June 30, 1997. Over the same period, the Standard &
Poor's 500 Composite Stock Price Index registered a total return of 20.62
percent.
By and large, small-cap growth stocks remained out of favor during the first
three months. The underperformance of these stocks relative to the stocks of
larger, more established companies was in full force in the first quarter of
1997. Generally, the smaller the company, the worse it performed. Trading
liquidity was at a very high premium and investors were selling first and asking
questions later if there was even a hint that earnings estimates would not be
met.
The second quarter of the year saw small-cap performance improve significantly,
attributable largely to the fact that the Federal Reserve Board did not raise
interest rates in May. The earnings season, the time of the year when many
companies report their profits, will prove to be a test of strength for small
caps.
In our view, small-cap stocks appear very attractive at this time, both from
relative and absolute perspectives. Factors that could make this sector even
more appealing include a continued strong U.S. dollar, which would result in
lower-than-expected earnings for large multinational companies; a conviction
among investors that interest rates will not be increased in the foreseeable
future; and attractive valuations, which would increase small stocks' position
as investment opportunities relative to the stocks of larger companies.
The Portfolio's primary investment sectors are technology, health care and
consumer goods. A cash position totaling 8.4 percent of net assets is on hand in
order to increase liquidity and to enable the Portfolio to purchase attractively
priced stocks when opportunities arise.
EMERGING MARKETS PORTFOLIO
The Emerging Markets Portfolio produced a total return of 22.63 percent for the
six-month period ended June 30, 1997, while its benchmark, the International
Finance Corporation (IFC) Investable Emerging Markets Total Return Index, rose
16.13 percent. As an asset class, emerging markets performed well during the
period, as strong gains witnessed in Latin America and Europe offset lackluster
returns in Asia.
As economic and political fundamentals continued to improve during the first
half of 1997, the Portfolio's Sub-Adviser, TCW Funds Management, Inc. (TCW),
maintained an overweighted position
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LETTER TO THE SHAREHOLDERS JUNE 30, 1997, CONTINUED
in Latin American equities. In Brazil, where the Portfolio had its greatest
exposure at the end of June, at 15 percent of net assets, TCW remains focused on
state-owned companies because of recent progress on privatization.
With respect to Asian equities, TCW has slightly increased the Portfolio's Hong
Kong exposure to listed companies doing business in on expectations that strong
capital inflows from mainland China, as well as from other disappointing
Southeast Asian markets should continue to bolster Hong Kong's performance. In
Taiwan, exposure to the electronics, property and construction sectors was
increased because of improved earnings growth outlooks. Indian equities are
overweighted given attractive valuation levels, a favorable liquidity
environment, and expectations for a rebound in corporate earnings. With
prospects for an export-led economic recovery on the horizon, the Portfolio's
position in South Korea is gradually being increased.
The Portfolio shifted to an underweighted position in Malaysian equities because
more cautious lending policies are expected to slow economic activity. The
Portfolio exited the Thai equity market early in the year as overlending in the
property sector put downward pressure on weaker banks and financial
institutions. Although the Thai government was able to defend the currency for
some time by significantly raising interest rates, it ultimately chose to permit
a devaluation.
In the emerging markets of Europe, the Portfolio increased exposure to Russian
equities while maintaining an overweighted position in Poland. Exposure to the
Czech Republic was eliminated because of political and economic uncertainties.
In Africa, the Portfolio entered the Egyptian and South African equity markets
with small positions.
GROWTH
AMERICAN VALUE PORTFOLIO
Through the first half of 1997, the Standard & Poor's 500 Composite Stock Price
Index (S&P 500) had advanced 20.62 percent, versus 12.51 percent for the
American Value Portfolio and 13.57 percent for the average variable annuity
growth portfolio, as measured by Lipper Analytical Services, Inc.
Year-to-date, the S&P 500 has, by and large, outpaced most equity fund managers.
Market leadership has been concentrated in the 50 largest stocks. As a result,
valuations in these blue-chip issues have been bid up significantly. In this
market environment many portfolio managers have prudently chosen to diversify
their holdings in an effort to reduce risk and enhance liquidity. Managers have
been able to produce strong returns, but have still lagged the S&P 500.
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DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS JUNE 30, 1997, CONTINUED
The Portfolio remains quite diversified, both in terms of industries and market
capitalization. On the industry front, the Portfolio has a slight tilt toward
economically sensitive groups. At 23 percent of net assets, technology continues
to represent an important portfolio commitment. Driven by the need to be the
low-cost producer in a competitive global environment, demand for technology is
expected to rebound by the fall, which is typically the strongest seasonal
period for this sector.
With real wages rising ahead of inflation and unemployment at its lowest level
in several decades, retailers (approximately 7 percent of the Portfolio's net
assets) are expected to experience stronger relative earnings. Select cyclical
industries that we believe have secular strength include energy (approximately 7
percent of net assets) agriculture (4 percent of net assets) and aerospace (3
percent of net assets), which all should benefit from increased exports to newly
industrialized countries with developing middle classes.
Similarly, it is expected that global consumer-brand companies will continue to
excel as they too take advantage of growing markets abroad. The Portfolio
maintains a commitment of approximately ten percent here. Health care companies
with proprietary products, including drug, medical device and biotechnology
companies, are expected to continue to outpace general corporate earnings growth
and represent 10.8 percent of the Portfolio's net assets. The secular trends of
deregulation and consolidation are expected to continue to lift stocks in the
financial sector, which represents approximately 19 percent of the Portfolio's
net assets.
The Portfolio is also diversified in terms of market capitalization, although
the portfolio maintains a tilt toward larger-capitalization issues. As of June
30, 1997, large-cap issues represented approximately 65 percent of the stock
portfolio and mid-sized companies, approximately 35 percent.
CORE EQUITY PORTFOLIO
The Core Equity Portfolio registered a total return of 13.58 percent for the
six-month period ended June 30, 1997, versus 20.62 percent for the Standard &
Poor's 500 Composite Stock Price Index (S&P 500).
The Portfolio invests in companies that lead their respective fields in the
development of innovative services and products. While technology continues to
be a dominant theme, the Portfolio was repositioned during the first quarter for
greater diversification. At that time, the Portfolio eliminated such holdings as
Columbia/HCA Healthcare Corp., Corporate Express, Inc., and Electronic Data
Systems Corp. Positions were established in Amoco Corp. and Canadian Natural
Resources Ltd. in the energy sector and United Healthcare Corp. and Lilly (Eli)
& Co. in the health care sector.
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DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS JUNE 30, 1997, CONTINUED
The second quarter saw several additional changes in the Portfolio. Positions in
Chrysler Corp., Hewlett Packard Co., Green Tree Financial Corp. and
Boston-Chicken, Inc. were sold, while shares of Time Warner, Inc., Kellogg Co.
and Fannie Mae were purchased. Chrysler Corp. has been in the Portfolio since
its inception and over that time has been a tremendously profitable investment.
However, more advantageous investment opportunities have been found that are not
as cyclical in nature.
With economic growth moderating, inflation in check and corporate profits
strong, the Portfolio's Sub-Adviser, TCW Funds Management, Inc., remains
optimistic regarding the equity market in general and the Portfolio's prospects
in particular.
GLOBAL EQUITY PORTFOLIO
The Global Equity Portfolio produced a total return of 12.94 percent for the
six-month period ended June 30, 1997. For the same period, the Morgan Stanley
Capital International (MSCI) World Index registered a total return of 14.55
percent. The World Index was aided by the continued strong performance of the
United States' equity market, which rose 20.62 percent, as represented by the
Standard & Poor's 500 Composite Stock Price Index. At nearly 46 percent, the
United States is the World Index's largest component. The Portfolio's
underperformance of the World Index is attributable to its lighter exposure to
the United States (24 percent).
The Portfolio's asset allocation was maintained at 30 percent Europe, 24 percent
United States, 20 percent Japan, 6.8 percent emerging Asian markets, 6.8 percent
Latin America, with 2 percent invested in other markets. Net assets totaled
approximately $89 million on June 30.
The emphasis on Europe stems from the region's recovery in economic growth and
corporate earnings. European exports have benefited from the strong U.S. dollar,
which has provided a boost to corporate competitiveness. In addition, European
corporations have embraced cost-cutting in an effort to reduce head count,
restructure business units and sell underperforming assets. Similar moves in the
United States have increased returns on equity, as well as equity valuations.
The Portfolio's exposure to the Asian equity markets is based on the appearance
of value after two years of sub-par performance.
Highlighted stocks held in the Portfolio include HSBC Holdings PLC (banking,
Hong Kong), Siemens AG (electrical equipment, Germany), Cemex S.A. de C.V.
(building materials, Mexico), Sony Corp. (electronics, Japan), Koninklijke Ahold
NV (retail, the Netherlands), Novartis AG (pharmaceuticals, Switzerland) and
Hewlett-Packard Co. (computers, United States).
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DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS JUNE 30, 1997, CONTINUED
MID-CAP GROWTH PORTFOLIO
The Mid-Cap Growth Portfolio commenced operations on January 21, 1997. Through
June 30, 1997, the Portfolio's total return was 3.61 percent, versus 8.69
percent for the Standard & Poor's Midcap Index.
In selecting securities, the portfolio manager employs both a top down (where we
are in the economic cycle) and a bottom up (what companies will perform well in
this environment) approach. Early in the year, as inflation remained controlled,
the Portfolio's exposure to interest-rate sensitive sectors, such as banks and
brokerage firms, was increased. With international oil companies continuing to
spend on exploration and drilling, the Portfolio increased exposure to oil
equipment stocks as well. By April, when it became more apparent that inflation
was subdued and that the Federal Reserve Board's tightening moves would be less
severe than previously thought, the Portfolio was further tilted toward growth
industries such as technology and consumer staples.
Given our expectations for continued economic expansion characterized by low
inflation, the Portfolio is now tilted toward economically sensitive sectors.
The Portfolio is overweighted in technology, retail and energy-related
industries.
As of June 30, 1997, the Portfolio also maintained significant positions in such
steady-growth areas as health care, personal care products and financial
services.
GROWTH AND INCOME
BALANCED PORTFOLIO
The Balanced Portfolio recorded a total return of 9.82 percent for six-month
period ended June 30, 1997, compared to 20.62 percent for the S&P 500 and 3.09
percent for the Lehman Brothers Aggregate Bond Index. Broken down, the
Portfolio's equity investments produced a total return of 14.01 percent, while
the fixed-income segment had a total return of 2.84 percent.
The Portfolio's Sub-Adviser, TCW Funds Management, Inc. (TCW), believes that as
long as inflation remains benign, the key to stock market performance will be
corporate earnings. According to TCW, the companies represented in the
Portfolio's equity portion continue to deliver earnings above expectations.
Prominent among the Portfolio's stock holdings are numerous revitalized U.S.
industrial corporations that have become or are becoming the low-cost producers
in their respective industries. Primary investment sectors as of June 30, 1997
included aerospace, financial services, consumer products, technology and
pharmaceuticals.
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DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS JUNE 30, 1997, CONTINUED
In the fixed-income arena, TCW believes that the ability to maintain good
performance is dependent upon limiting any damage that might occur should the
economy slow more than expected. In particular, with the yield on the 30-year
U.S. Treasury bond threatening to break out on the downside, the portfolio
managers are mindful of reinvestment and early call risk. Further, the
Portfolio's strategy with regard to its mortgage-backed securities is aimed at
reducing prepayment risk should interest rates decline further. Also, a slightly
overweighted position in high-grade corporate bonds may be taken if yield
spreads for that sector widen against comparable U.S. Treasury securities.
DIVIDEND GROWTH PORTFOLIO
For the six-month period ended June 30, 1997, the Dividend Growth Portfolio
produced a total return of 18.37 percent. Over the same period, the S&P 500
recorded a total return of 20.62 percent. Since inception (November 9, 1994),
through June 30, 1997, the Portfolio has produced a cumulative total return of
106.39 percent, versus 102.28 percent for the S&P 500. On June 30, the Portfolio
had net assets in excess of $406 million.
Since its inception, the Portfolio has maintained a fully invested posture. On
June 30, 1997, 99 percent of the Portfolio's net assets was committed to common
stocks.
During the period under review, the Portfolio's position in Pacific Gas &
Electric Corp. was liquidated. Four new positions were initiated in PPG
Industries, Inc., American Home Products Corp., Lincoln National Corp. and
Unicom Corp. As of mid year, the Portfolio held 36 equity issues spread among 28
industry groups.
UTILITIES PORTFOLIO
The Utilities Portfolio provided a total return of 7.51 percent for first six
months of 1997, compared to 20.62 percent for the broad-based S&P 500. Given the
defensive characteristics of utilities in general and the Portfolio in
particular, the relative performance of the Fund lagged the general market
during this six-month period of strong industrial earnings and low inflation.
More specifically, as depicted by second quarter performance, it appears that
investor confidence has been enhanced by the growing clarity associated with the
form and direction of competition.
The Portfolio was 92 percent invested at mid-year. This posture is based on the
improvement in investor confidence, particularly within the electric and
telecommunications sectors, given the favorable outlook for growth, as well as
investment opportunities for these industries in a competitive environment. On
June 30, 1997, 87 percent of the Portfolio's net assets was allocated to utility
and utility-related equities. Within the equity component, 37 percent was
allocated to electric
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LETTER TO THE SHAREHOLDERS JUNE 30, 1997, CONTINUED
utilities, 32 percent to telecommunications and 18 percent to natural gas.
Enhancing the Portfolio's overall diversification are selective foreign
securities, which account for 15 percent of net assets and are focused on global
telecommunications. Approximately 4 percent of net assets was allocated to high
quality fixed-income securities, with 9 percent held in cash and cash
equivalents.
While the electric utility sector continues to focus on a balanced transition
from monopoly to deregulation, the trend of mergers and acquisitions continued
during the first half of 1997. The Fund continues to invest selectively within
this sector and remains committed to those companies characterized by low-cost
with good earnings growth opportunities.
The telecommunications sector recorded excellent performance as investors
continued to drive valuations upward in anticipation of further industry
consolidation and the related potential for attractive future earnings. Natural
gas prices and stock performance benefited from favorable weather and demand.
The Fund continues to focus on high-quality, well-diversified pipeline
companies, given the favorable long-term outlook of that industry. Foreign
telecommunications stocks have performed well, benefiting from worldwide demand,
and remain a key element in the Portfolio.
In the second half of 1997, the portfolio manager anticipates reducing modestly
the allocation to electric utilities in favor of selective telecommunications
growth situations and natural gas companies with growing unregulated businesses.
The Portfolio may also increase its foreign exposure to capitalize on and
participate in worldwide telecommunications infrastructure growth. The Portfolio
is positioned to take advantage of growth opportunities across all utility
sectors.
VALUE-ADDED MARKET PORTFOLIO
For the six-month period ended June 30, 1997, the Value-Added Market Portfolio
produced a total return of 14.97 percent, versus 20.62 percent for the S&P 500.
The Portfolio is index-oriented, investing in stocks that comprise the S&P 500,
its benchmark index. Unlike the Index, however, the Portfolio equally weights
all stock positions, thereby emphasizing the stocks of small- and mid-sized
companies, which historically outperform larger stocks.
While the Portfolio performed well over the most recent six- and twelve-month
periods, the results were overshadowed by the S&P 500's returns. Over the past
year, the S&P 500 has been driven by large-capitalization multinationals and
technology stocks. These sectors are more heavily weighted in the S&P 500 than
in the Portfolio.
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DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS JUNE 30, 1997, CONTINUED
Longer term, we expect the historical trend of small-cap stock outperformance
relative to the stocks of larger companies to continue. This would benefit the
Portfolio going forward because, as mentioned earlier, the portfolio's equal
weighting structure results in an emphasis on the stocks of smaller and
mid-sized companies.
INCOME
DIVERSIFIED INCOME PORTFOLIO
The Diversified Income Portfolio produced a total return of 3.51 percent for the
six-month period ended June 30, 1997, versus 2.83 percent for the Lehman
Brothers Government/Corporate Intermediate Bond Index.
U.S. GOVERNMENT/MORTGAGE SECTOR. For the period under review, mortgages
outperformed similar-maturity U.S. Treasury securities. Accordingly, as cash
flows permitted, current-coupon mortgage-backed securitiess were purchased in
both the 30- and 15-year sectors.
As of June 30, 1997, 71 percent of this portion of the Portfolio was comprised
of mortgage-backed securities issued by the Federal National Mortgage
Association (FNMA), Government National Mortgage Association (GNMA) and Federal
Home Loan Mortgage Corporation (FHLMC) with six to eight percent coupons, while
23 percent was invested in U.S. Treasury securities. The remaining two percent
was invested in U.S. government/agency zero-coupon strips.
HIGH YIELD SECTOR. Benefiting from a healthy economy, which continues to drive
credit quality improvements, as well as a relatively favorable interest rate
environment, the high-yield sector remains one of the better-performing areas
within the fixed-income markets. Despite some weakness following the Federal
Reserve Board's interest rate hike in March, the high-yield market quickly
recovered and finished the first half on a strong note. Many high-yield
companies have taken advantage of today's higher valuations and have raised
funds in attempts to strengthen their individual balance sheets. The resulting
improvement in credit quality has helped keep the high-yield market's relative
performance strong versus many other fixed-income sectors.
The Portfolio's high-yield sector continues to focus on single-B-rated issues,
emphasizing discount issues whenever possible. However, the portfolio manager
became a bit more defensive during the first half of 1997, given today's lower
high-yield market yields and the potential risk of an additional modest Federal
Reserve Board tightening. As a result, the Portfolio's high-yield investments
have been upgraded over the past year, increasing the allocation to
higher-quality securities. In terms of industry exposure, the high-yield portion
of the Portfolio is now focused primarily on growth/ recession resistant sectors
such as food/beverage, health care, telecommunications, media and cable.
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DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
LETTER TO THE SHAREHOLDERS JUNE 30, 1997, CONTINUED
SHORT-TERM GLOBAL BOND SECTOR. Over the past six months, the Portfolio's
investment strategy in the short-term global bond area has been to reduce the
previously overweighted positions in the higher-yielding southern European
markets and to further diversify its overall exposure to Europe.
This segment of the Portfolio has benefited substantially from the convergence
(or decline) of the higher yields of the southern European markets to the lower
levels prevailing in core markets such as Germany and France. The Portfolio's
European bond investments have been effectively hedged back to the U.S. dollar,
thus minimizing the effects of currency fluctuations while continuing to benefit
from higher European yields and rising bond prices.
NORTH AMERICAN GOVERNMENT SECURITIES PORTFOLIO
The North American Government Securities Portfolio produced a total return of
2.60 percent for the six-month period ended June 30, 1997. Over the same period,
the Lehman Brothers Short (1-5) U.S. Government Index registered a total return
of 2.82 percent. The Portfolio's net asset value will continue to fluctuate as
prices of the securities held in the Portfolio respond to changes in market
conditions and interest rates.
At mid-year, 100 percent of the Portfolio's assets was invested in the United
States. The Portfolio's subadviser, TCW Funds Management, Inc. (TCW), continues
to emphasize high-credit-quality mortgage-backed securities and U.S. Treasury
issues. Investor demand is strong and even though mortgage spreads have
tightened, the sector has retained its yield advantage relative to other fixed-
income securities. As such, TCW believes that the outlook for the
mortgage-backed market remains positive. TCW also remains positive on the U.S.
fixed-income market as a whole. Real rates of interest (taking into account the
effect of inflation) are still historically high. In the past, periods of strong
bond market performance have correlated with high real rates of interest.
Over the past six months the Portfolio did not hold any Mexican or Canadian
investments. While Mexico has made substantial progress toward economic
stabilization, it still faces a number of challenges, including a weak banking
system and ongoing political uncertainty. Currency and interest rate volatility
are likely to continue to play a major role as Mexico confronts these and other
issues.
In general, the Portfolio purchases Canadian securities when currency-hedge
costs decline and yield spreads widen. Similarly, when hedge costs increase or
yield spreads narrow, Canadian securities are sold. The portfolio managers will
continue to monitor both the Mexican and Canadian markets for investment
opportunities.
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LETTER TO THE SHAREHOLDERS JUNE 30, 1997, CONTINUED
MONEY MARKET PORTFOLIO
As of June 30, 1997, the Money Market Portfolio had assets in excess of $102
million with an average life of 60 days. The Portfolio's annualized net yield
for the six-month period ended June 30, 1997 was 4.90 percent. Its annualized
yield for June was 5.14 percent.
On June 30, 1997, approximately 77 percent of the Portfolio consisted of
high-quality commercial paper, 13 percent was invested in bankers' acceptances
issued by major, financially strong commercial banks, and eight percent was
invested in short-term bank notes and certificates of deposit issued by such
institutions. The remaining two percent was invested in federal agency
obligations.
At the end of the period under review, nearly 84 percent of the Portfolio's net
assets was scheduled to mature in less than four months. Therefore, the
Portfolio is well positioned for stability of value with a high degree of
liquidity. The Portfolio continues to be operated in a straightforward,
conservative style without "structured" notes or derivatives, which could
fluctuate excessively with changes in interest rates.
Investment yields available to the Portfolio during the next six months are not
expected to differ significantly from those available during the first half of
1997. As always, the Portfolio serves as a very useful investment for liquidity,
preservation of capital and a yield which will reflect prevailing money market
conditions.
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,
/s/ Charles A. Fiumefreddo
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 NAVs 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.
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DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
RESULTS OF SPECIAL MEETING (UNAUDITED)
On May 20, 1997, a special meeting of the Fund's shareholders was held for the
purpose of voting on five separate matters, the results of which were as
follows:
(1) For each Portfolio, approval of a new Investment Management Agreement
between the Fund and Dean Witter InterCapital Inc. in connection with
the merger of Morgan Stanley Group Inc. with Dean Witter, Discover &
Co.:
<TABLE>
<CAPTION>
PORTFOLIO FOR AGAINST ABSTAIN
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<S> <C> <C> <C>
Money Market.......................................................... 79,630,779 833,275 5,870,267
North American Government............................................. 426,975 10,116 9,329
Diversified........................................................... 3,447,549 18,297 207,715
Balanced.............................................................. 3,344,131 27,466 109,220
Utilities............................................................. 2,624,679 35,824 158,239
Dividend Growth....................................................... 16,594,818 144,717 1,045,094
Value-Added........................................................... 5,477,540 53,331 286,303
Core Equity........................................................... 1,518,471 14,427 90,689
American Value........................................................ 8,132,783 81,757 531,540
Mid-Cap Growth........................................................ 339,898 5,131 44,822
Global Equity......................................................... 5,133,729 68,522 300,045
Developing Growth..................................................... 3,439,913 77,567 291,476
Emerging Markets...................................................... 1,614,844 52,874 94,432
</TABLE>
(2) With respect to the North American Government Securities, Balanced, Core
Equity and Emerging Markets Portfolios, approval of new Sub-Advisory
Agreements between Dean Witter InterCapital Inc. and TCW Funds
Management, Inc. in connection with the merger of Morgan Stanley Group
Inc. with Dean Witter, Discover & Co.:
<TABLE>
<CAPTION>
PORTFOLIO FOR AGAINST ABSTAIN
- ---------------------------------------------------------------------- ---------- -------- --------
<S> <C> <C> <C>
North American Government............................................. 424,585 12,012 9,823
Balanced.............................................................. 3,284,106 34,343 162,368
Core Equity........................................................... 1,511,507 15,897 96,183
Emerging Markets...................................................... 1,603,777 52,334 106,039
</TABLE>
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
RESULTS OF SPECIAL MEETING (UNAUDITED) CONTINUED
(3) With respect to the Emerging Markets Portfolio, approval of the related
new secondary Sub-Advisory Agreements between TCW and each of TCW Asia
Limited and TCW London International, Limited:
<TABLE>
<CAPTION>
VOTE NO. OF SHARES
- ------------------------------------------------------------------------------------------------------- -------------------
<S> <C>
For.................................................................................................... 1,603,777
Against................................................................................................ 52,334
Abstain................................................................................................ 106,039
</TABLE>
(4) Election of Trustees:
<TABLE>
<CAPTION>
FOR WITHHELD
------------ --------
<S> <C> <C>
Michael Bozic................................................................... 137,090,552 5,098,032
Charles A. Fiumefreddo.......................................................... 137,034,910 5,153,674
Edwin J. Garn................................................................... 137,090,349 5,098,235
John R. Haire................................................................... 136,763,594 5,424,990
Wayne E. Hedien................................................................. 137,056,548 5,132,036
Dr. Manuel H. Johnson........................................................... 137,077,864 5,110,690
Michael E. Nugent............................................................... 137,111,156 5,077,428
Philip J. Purcell............................................................... 137,109,869 5,078,715
John L. Schroeder............................................................... 137,057,388 5,131,196
</TABLE>
(5) Ratification of Price Waterhouse LLP as Independent Accountants:
<TABLE>
<CAPTION>
VOTE NO. OF SHARES
- ------------------------------------------------------------------------------------------------------ ---------------------
<S> <C>
For................................................................................................... 134,351,352
Against............................................................................................... 645,432
Abstain............................................................................................... 7,191,800
</TABLE>
<PAGE>
MONEY MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
ANNUALIZED
PRINCIPAL YIELD ON
AMOUNT IN DATE OF MATURITY
THOUSANDS PURCHASE DATE VALUE
- -----------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
COMMERCIAL PAPER (77.2%)
AUTOMOTIVE - FINANCE (7.4%)
$ 2,000 Chrysler Financial Corp........................... 5.61% 08/18/97 $ 1,985,173
800 Ford Motor Credit Co.............................. 5.81 08/28/97 792,653
4,825 General Motors Acceptance Corp.................... 5.54-5.98 07/03/97-12/08/97 4,777,852
-----------
7,555,678
-----------
BANK HOLDING COMPANIES (8.8%)
1,940 BankAmerica Corp.................................. 5.75 08/21/97 1,924,499
2,625 Bankers Trust New York Corp....................... 5.70-5.76 07/17/97-07/18/97 2,618,162
2,600 Morgan (J.P.) & Co. Inc........................... 5.54-5.71 08/05/97-11/25/97 2,469,352
2,000 NationsBank Corp.................................. 5.70 07/10/97 1,997,195
-----------
9,009,208
-----------
BANKS - COMMERCIAL (18.7%)
2,475 ANZ (DE) Inc...................................... 5.40-5.41 07/21/97-08/19/97 2,461,380
4,500 Abbey National North America Corp................. 5.49-5.92 07/11/97-10/10/97 4,464,763
975 Deutsche Bank Financial Inc....................... 5.48 08/25/97 967,061
1,000 KfW International Finance Inc..................... 5.74 11/26/97 976,978
2,000 National Australia Funding (DE) Inc............... 5.51 07/17/97 1,995,191
4,500 Societe Generale N.A., Inc........................ 5.45-5.74 07/14/97-12/10/97 4,431,318
1,000 Toronto-Dominion Holdings USA Inc................. 5.74 12/23/97 972,875
3,000 WestPac Capital Corp.............................. 5.52-5.83 08/05/97-12/02/97 2,946,355
-----------
19,215,921
-----------
BROKERAGE (4.7%)
4,860 Goldman Sachs Group L.P........................... 5.71-5.73 07/22/97-09/08/97 4,824,594
-----------
FINANCE - COMMERCIAL (1.9%)
2,000 CIT Group Holdings, Inc........................... 5.67 08/20/97 1,984,472
-----------
FINANCE - CONSUMER (12.7%)
3,035 American General Finance Corp..................... 5.59-5.64 08/08/97-09/18/97 3,004,534
3,285 Avco Financial Services Inc....................... 5.71-6.25 07/01/97-07/29/97 3,274,194
4,385 Household Finance Corp............................ 5.62-5.79 08/04/97-09/02/97 4,350,323
2,445 Norwest Financial Inc............................. 5.74 09/15/97 2,415,940
-----------
13,044,991
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
MONEY MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
ANNUALIZED
PRINCIPAL YIELD ON
AMOUNT IN DATE OF MATURITY
THOUSANDS PURCHASE DATE VALUE
- -----------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
FINANCE - DIVERSIFIED (8.8%)
$ 4,200 Associates Corp. of North America................. 5.68-5.71% 07/01/97-07/23/97 $ 4,194,072
4,850 General Electric Capital Corp..................... 5.71-5.80 07/28/97-10/27/97 4,800,262
-----------
8,994,334
-----------
FINANCE - EQUIPMENT (2.0%)
2,035 Deere (John) Capital Corp......................... 5.62 08/06/97 2,023,665
-----------
HEALTHCARE - DIVERSIFIED (1.9%)
2,000 Becton, Dickinson & Co............................ 5.69 07/30/97 1,991,010
-----------
INDUSTRIALS (2.2%)
2,315 Caterpillar Financial Services Corp............... 5.64-5.70 08/12/97-09/11/97 2,292,590
-----------
OFFICE EQUIPMENT (8.1%)
4,865 IBM Credit Corp................................... 5.57-5.60 07/25/97-07/31/97 4,844,809
3,500 Xerox Credit Corp................................. 6.20 07/01/97 3,500,000
-----------
8,344,809
-----------
TOTAL COMMERCIAL PAPER
(AMORTIZED COST $79,281,272)..................................................... 79,281,272
-----------
BANKERS' ACCEPTANCES (13.3%)
4,322 BankBoston, N.A................................... 5.47-5.90 07/21/97-11/13/97 4,255,042
1,500 Chase Manhattan Bank, N.A......................... 5.73 08/07/97 1,491,290
2,000 First Bank, N. A.................................. 5.46 07/07/97 1,998,220
3,000 First Union National Bank......................... 5.84-5.89 10/28/97-11/03/97 2,941,469
1,000 First Union National Bank of Florida.............. 5.71 07/08/97 998,905
2,000 Mellon Bank, N.A.................................. 5.74 12/10/97 1,949,780
-----------
TOTAL BANKERS' ACCEPTANCES
(AMORTIZED COST $13,634,706)..................................................... 13,634,706
-----------
U.S. GOVERNMENT AGENCIES (2.5%)
615 Federal Farm Credit Bank.......................... 5.56 08/14/97 610,911
2,000 Federal Home Loan Banks........................... 5.60 12/04/97 1,953,460
-----------
TOTAL U.S. GOVERNMENT AGENCIES
(AMORTIZED COST $2,564,371)...................................................... 2,564,371
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
MONEY MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
ANNUALIZED
PRINCIPAL YIELD ON
AMOUNT IN DATE OF MATURITY
THOUSANDS PURCHASE DATE VALUE
- -----------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
CERTIFICATES OF DEPOSIT (2.8%)
$ 1,500 Bankers Trust Co.................................. 5.75% 12/31/97 $ 1,500,000
1,425 Chase Manhattan Bank (USA)........................ 5.55 07/15/97 1,425,000
-----------
TOTAL CERTIFICATES OF DEPOSIT
(AMORTIZED COST $2,925,000)...................................................... 2,925,000
-----------
SHORT-TERM BANK NOTE (4.5%)
4,645 La Salle National Bank (AMORTIZED COST
$4,645,000)..................................... 5.46-5.74 7/09/97-09/04/97 4,645,000
-----------
TOTAL INVESTMENTS
(AMORTIZED COST $103,050,349) (a)..................................... 100.3% 103,050,349
LIABILITIES IN EXCESS OF CASH AND OTHER ASSETS........................ (0.3) (283,339)
------- ------------
NET ASSETS............................................................ 100.0% $102,767,010
------- ------------
------- ------------
<FN>
- ---------------------
(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, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL DESCRIPTION
AMOUNT IN AND COUPON
THOUSANDS MATURITY DATE RATE VALUE
- --------------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS (19.3%)
U.S. Treasury Note
$ 250 11/15/98...................................................... 5.50 % $ 248,493
150 04/15/00...................................................... 5.50 147,318
200 02/28/99...................................................... 6.00 198,374
100 08/15/99...................................................... 6.00 99,766
200 05/15/99...................................................... 6.375 201,028
-------------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(IDENTIFIED COST $902,588)................................................ 894,979
-------------
MORTGAGE-BACKED SECURITIES (68.2%)
Federal Home Loan Mortgage Corp.
94 11/01/00...................................................... 5.50 91,463
65 11/01/99...................................................... 6.00 64,297
48 07/01/00...................................................... 7.00 48,642
91 05/01/11...................................................... 7.50 92,461
171 06/01/11...................................................... 7.50 173,828
137 08/01/11...................................................... 7.50 139,580
249 12/01/26...................................................... 8.00 254,404
-------------
Federal National Mortgage Assoc.
274 12/01/26...................................................... 5.632 279,109
301 04/01/27...................................................... 5.853 305,346
82 09/01/00...................................................... 6.00 80,817
297 05/01/27...................................................... 6.104 302,122
78 07/01/02...................................................... 6.50 77,202
123 09/01/26...................................................... 6.675 126,843
98 10/01/02...................................................... 7.00 98,658
138 01/01/03...................................................... 7.00 138,083
89 06/01/02...................................................... 7.00 89,603
58 07/01/24...................................................... 7.046 59,297
331 01/01/22...................................................... 7.75 346,041
-------------
Government National Mortgage Assoc.
128 02/20/23...................................................... 6.50 129,927
84 01/20/26...................................................... 6.50 85,230
89 05/20/26...................................................... 6.50 90,004
97 06/20/25...................................................... 7.00 100,023
TOTAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $3,154,982).............................................. 3,172,980
-------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
NORTH AMERICAN GOVERNMENT SECURITIES
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL DESCRIPTION
AMOUNT IN AND COUPON
THOUSANDS MATURITY DATE RATE VALUE
- --------------------------------------------------------------------------------------------------------
<C> <S> <C> <C>
SHORT-TERM INVESTMENTS (11.4%)
U.S. GOVERNMENT AGENCIES (a) (6.4%)
Federal Farm Credit Bank
$ 100 07/18/97.................................................... 5.38 % $ 99,746
Federal National Mortgage Assoc.
200 07/01/97.................................................... 5.23 199,730
-------------
TOTAL U.S. GOVERNMENT AGENCIES
(AMORTIZED COST $299,476)................................................. 299,476
-------------
REPURCHASE AGREEMENT (5.0%)
The Bank of New York 07/01/97 (dated 06/30/97; proceeds $230,276,
collateralized by $234,844 U.S. Treasury Bond 11.875% due 11/15/03
valued at $65,783, U.S. Treasury Bond 8.125% due 08/15/21 valued at
230 $93,899 and U.S. Treasury Note 6.50% due 04/30/99 valued at $75,824)
(Identified Cost $230,239).................................... 5.75 230,239
-------------
TOTAL SHORT-TERM INVESTMENTS
(IDENTIFIED COST $529,715).................................... 529,715
-------------
TOTAL INVESTMENTS
(IDENTIFIED COST $4,587,285) (b).............................. 98.9 % 4,597,674
OTHER ASSETS IN EXCESS OF LIABILITIES......................... 1.1 52,845
----- -------------
NET ASSETS.................................................... 100.0% $ 4,650,519
----- -------------
----- -------------
<FN>
- ---------------------
(a) Securities were purchased on a discount basis. The interest rates shown
have been adjusted to reflect a money market equivalent yield.
(b) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $25,276 and the
aggregate gross unrealized depreciation is $14,887, resulting in net
unrealized appreciation of $10,389.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- -------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
GOVERNMENT & CORPORATE BONDS (97.5%)
AUSTRALIA (e) (2.3%)
GOVERNMENT OBLIGATION
Au$ 1,375 Queensland Treasury Corp................ 8.00% 07/14/99 $ 1,083,439
------------
AUSTRIA (e) (3.0%)
GOVERNMENT OBLIGATION
ATS 15,750 Republic of Austria..................... 7.00 02/14/00 1,376,431
------------
CANADA (e) (1.2%)
GOVERNMENT OBLIGATION
Ca$ 740 Canada Treasury Bond.................... 8.00 11/01/98 560,227
------------
DENMARK (4.2%)
GOVERNMENT OBLIGATIONS
DKr 9,150 Denmark Treasury Note (e)............... 9.00 11/15/98 1,469,241
3,000 Denmark Treasury Note................... 6.00 12/10/99 470,379
------------
TOTAL DENMARK.................................................... 1,939,620
------------
FRANCE (e) (3.2%)
GOVERNMENT OBLIGATION
FRF 7,920 France Treasury Note.................... 7.75 04/12/00 1,480,123
------------
GERMANY (e) (2.1%)
GOVERNMENT OBLIGATIONS
DEM 945 Bundes Obligation....................... 7.00 02/22/99 571,875
230 Bundes Obligation....................... 6.875 02/24/99 138,989
400 Bundes Obligation....................... 7.00 01/13/00 247,085
------------
TOTAL GERMANY.................................................... 957,949
------------
ITALY (e) (1.4%)
GOVERNMENT OBLIGATIONS
ITL 1,025M Italy Treasury Bond..................... 9.50 02/01/99 632,493
75M Italy Treasury Bond..................... 10.50 04/01/00 48,786
------------
TOTAL ITALY...................................................... 681,279
------------
NEW ZEALAND (e) (1.1%)
GOVERNMENT OBLIGATION
NZ$ 784 New Zealand Treasury Bond............... 6.50 02/15/00 531,397
------------
PORTUGAL (2.7%)
GOVERNMENT OBLIGATIONS
PTE 4M Portugal Treasury Bond.................. 11.625 02/23/98 23,508
157M Portugal Treasury Bond (e).............. 8.375 01/23/99 929,073
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- -------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
50M Portugal Treasury Bond (e).............. 8.50% 03/23/99 $ 298,268
------------
TOTAL PORTUGAL................................................... 1,250,849
------------
SPAIN (e) (3.0%)
GOVERNMENT OBLIGATIONS
ESP 108M Spain Treasury Bond..................... 7.30 07/30/97 733,009
14M Spain Treasury Bond..................... 11.45 08/30/98 101,351
43M Spain Treasury Bond..................... 9.90 10/31/98 308,492
35M Spain Treasury Bond..................... 10.25 11/30/98 253,329
------------
TOTAL SPAIN...................................................... 1,396,181
------------
SWEDEN (e) (0.8%)
GOVERNMENT OBLIGATION
SEK 2,700 Sweden Treasury Bond.................... 11.00 01/21/99 381,721
------------
UNITED KINGDOM (e) (4.3%)
GOVERNMENT OBLIGATION
L 635 United Kingdom Treasury Bond............ 15.50 09/30/98 1,161,644
480 United Kingdom Treasury Bond (Conv.).... 9.00 03/03/00 834,413
------------
TOTAL UNITED KINGDOM............................................. 1,996,057
------------
UNITED STATES (68.2%)
AEROSPACE (0.4%)
$ 200 Sabreliner Corp. (Series B)............. 12.50 04/15/03 208,000
------------
BROADCAST MEDIA (2.6%)
200 Australis Media Ltd (Units)++........... 15.75++ 05/15/03 146,000
350 Capstar Broadcasting Partners - 144A*... 12.75++ 02/01/09 225,313
100 Echostar Satellite Broadcasting -
144A*................................. 12.50 07/01/02 99,000
300 Echostar Satellite Broadcasting......... 13.125++ 03/15/04 213,000
100 Paxson Communications Corp.............. 11.625 10/01/02 108,000
200 Spanish Broadcasting System, Inc........ 12.50 06/15/02 221,500
300 TCI Satellite Entertainment - 144A*..... 12.25++ 02/15/07 177,000
------------
1,189,813
------------
BUSINESS SERVICES (1.8%)
500 Anacomp, Inc. - 144A*................... 10.875 04/01/04 515,000
300 Xerox Credit Corp....................... 15.00 06/26/98 326,616
------------
841,616
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- -------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
CABLE & TELECOMMUNICATIONS (8.6%)
$ 300 Adelphia Communications, Inc. - 144A*... 9.875% 03/01/07 $ 291,750
225 Advanced Radio Telecommunication
(Units)++............................. 14.00 02/15/07 228,375
200 American Communications Services,
Inc................................... 13.00++ 11/01/05 120,000
250 American Communications Services,
Inc................................... 12.75++ 04/01/06 140,000
278 Falcon Holdings Group L.P. (Series B)... 11.00+ 09/15/03 278,256
150 Frontiervision, Inc..................... 11.00 10/15/06 156,375
400 Hyperion Telecommunication, Inc. (Series
B).................................... 13.00++ 04/15/03 204,960
400 In-Flight Phone Corp. (Series B)........ 14.00++ 05/15/02 38,000
500 Intermedia Communications, Inc.......... 12.50++ 05/15/06 343,750
200 IXC Communications Inc. (Series B)...... 12.50 10/01/05 229,000
125 Metrocall Inc........................... 10.375 10/01/07 114,063
200 Mobile Telecommunication Technologies
Corp.................................. 13.50 12/15/02 211,000
250 Nextel Communications................... 11.50++ 09/01/03 217,500
200 Nextel Communications................... 9.75++ 08/15/04 154,000
150 Nextlink Communications................. 12.50 04/15/06 160,500
200 Orbcomm Global LP/Capital (Series B).... 14.00 08/15/04 202,000
300 Paging Network, Inc..................... 10.125 08/01/07 291,000
100 Peoples Telephone Co., Inc.............. 12.25 07/15/02 106,000
250 USA Mobile Communications Holdings,
Inc................................... 14.00 11/01/04 276,875
250 Winstar Equipment Corp. - 144A*......... 12.50 03/15/04 243,750
------------
4,007,154
------------
COMPUTER EQUIPMENT (0.9%)
100 Unisys Corp............................. 15.00 07/01/97 100,000
250 Unisys Corp. (Conv.).................... 8.25 03/15/06 331,205
------------
431,205
------------
CONSUMER PRODUCTS (0.7%)
300 North Atlantic Trading - 144A*.......... 11.00 06/15/04 306,750
------------
ELECTRICAL & ALARM SYSTEMS (0.4%)
200 Mosler, Inc............................. 11.00 04/15/03 172,000
------------
ENTERTAINMENT/GAMING & LODGING (3.3%)
250 Fitzgeralds Gaming Corp. (Units)++...... 13.00 12/31/02 211,250
300 Lady Luck Gaming Finance Corp........... 11.875 03/01/01 304,500
200 Motels of America, Inc. (Series B)...... 12.00 04/15/04 186,000
250 Players International, Inc.............. 10.875 04/15/05 256,250
200 Stuart Entertainment, Inc. (Series B)... 12.50 11/15/04 193,000
200 Trump Atlantic City
Association/Funding................... 11.25 05/01/06 194,500
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- -------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
$ 200 Trump Castle Funding, Inc............... 11.75% 11/15/03 $ 185,000
------------
1,530,500
------------
FINANCIAL (0.5%)
250 Olympic Financial Ltd (Units)++......... 11.50 03/15/07 253,750
------------
FOODS & BEVERAGES (1.7%)
200 Envirodyne Industries, Inc.............. 10.25 12/01/01 201,000
200 Fleming Companies, Inc.................. 10.625 12/15/01 213,000
600 Specialty Foods Acquisition Corp.
(Series B)............................ 13.00++ 08/15/05 279,000
100 Specialty Foods Corp.................... 11.25 08/15/03 86,500
------------
779,500
------------
HEALTHCARE (1.7%)
400 Unilab Corp............................. 11.00 04/01/06 364,000
250 Unison Healthcare - 144A*............... 12.25 11/01/06 208,750
200 Urohealth Systems, Inc. (Units)++ -
144A*................................. 12.50 04/01/04 196,000
------------
768,750
------------
MANUFACTURING (0.9%)
500 International Semi - Tech
Microelectronics...................... 11.50++ 08/15/03 298,750
100 Uniroyal Technology Corp................ 11.75 06/01/03 99,500
------------
398,250
------------
MANUFACTURING - DIVERSIFIED (2.8%)
300 Interlake Corp.......................... 12.00 11/15/01 333,000
200 Interlake Corp.......................... 12.125 03/01/02 210,000
200 J.B. Poindexter & Co., Inc.............. 12.50 05/15/04 202,000
250 Jordan Industries, Inc.................. 10.375 08/01/03 262,500
500 Jordan Industries, Inc. - 144A*......... 11.75++ 04/01/09 282,500
------------
1,290,000
------------
PUBLISHING (0.4%)
200 United States Banknote Corp............. 10.375 06/01/02 203,000
------------
RESTAURANTS (1.4%)
1 American Restaurant Group Holdings,
Inc................................... 13.00 09/15/98 1,372
400 Boston Chicken, Inc. (Conv.)............ 4.50 02/01/04 305,332
100 Carrols Corp............................ 11.50 08/15/03 106,750
200 FRD Acquisition Corp. (Series B)........ 12.50 07/15/04 212,500
------------
625,954
------------
RETAIL (0.7%)
150 Apparel Ventures, Inc. (Series B)....... 12.25 12/31/00 135,000
400 County Seat Stores Co. (a).............. 12.00 10/01/02 196,000
------------
331,000
------------
RETAIL - FOOD CHAINS (1.4%)
250 Big V Supermarkets, Inc................. 11.00 02/15/04 256,875
200 Pathmark Stores, Inc.................... 11.625 06/15/02 203,000
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- -------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
$ 200 Pathmark Stores, Inc.................... 9.625% 05/01/03 $ 192,500
------------
652,375
------------
TEXTILES - APPAREL MANUFACTURERS (0.2%)
150 U.S. Leather, Inc....................... 10.25 07/31/03 113,250
------------
UTILITIES (0.4%)
200 Panda Global Energy - 144A*............. 12.50 04/15/04 194,000
------------
</TABLE>
<TABLE>
<C> <S> <C> <C> <C>
U.S. GOVERNMENT & AGENCY OBLIGATIONS (37.4%)
990 Federal Home Loan Mortgage Corp......... 7.00 06/01/04 994,022
----------
Federal National Mortgage Assoc. (e)
940 ........................................ 6.00 02/01/11-
03/01/11 906,869
3,830 ........................................ 7.00 07/01/25-
07/01/27 3,753,315
478 ........................................ 8.00 06/01/26 488,475
----------
5,148,659
----------
Government National Mortgage Assoc. (e)
2,902 ........................................ 6.50 01/15/24-
03/15/26 2,777,224
980 ........................................ 7.00 01/15/26-
04/15/26 962,019
1,465 ........................................ 7.50 02/15/26-
07/15/26 1,468,803
947 ........................................ 8.00 02/15/26-
06/15/26 969,045
----------
6,177,091
----------
</TABLE>
<TABLE>
<C> <S> <C> <C> <C>
1,000 Resolution Funding Corp................. 0.00 01/15/05 609,800
----------
U.S. Treasury Notes (e)
200 ........................................ 5.75 10/31/00 196,834
1,000 ........................................ 5.875 11/30/01 980,750
500 ........................................ 6.00 06/30/99 499,297
350 ........................................ 6.25 06/30/02 347,917
2,000 ........................................ 8.625 08/15/97 2,008,160
----------
4,032,958
----------
500 U.S. Treasury Strip (e)................. 0.00 02/15/00 425,814
----------
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS........................ 17,388,344
----------
TOTAL UNITED STATES............................................... 31,685,211
----------
TOTAL GOVERNMENT & CORPORATE BONDS
(IDENTIFIED COST $45,987,626)..................................... 45,320,484
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (b) (0.7%)
ENTERTAINMENT/GAMING & LODGING (0.0%)
500 Cobblestone Holdings Inc. - 144A*................................. $ 10,000
-----------
HEALTHCARE (0.2%)
10,000 Unigene Laboratories, Inc......................................... 46,563
20,000 Unilab Corp....................................................... 22,500
-----------
69,063
-----------
MANUFACTURING - DIVERSIFIED (0.2%)
3,000 Thermadyne Holding Corp. (c)...................................... 90,375
-----------
TEXTILES (0.3%)
20,000 Ithaca Industries, Inc............................................ 155,000
-----------
TOTAL COMMON STOCKS
(IDENTIFIED COST $263,678)........................................ 324,438
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION
WARRANTS DATE
- ---------- --------
<C> <S> <C> <C>
WARRANTS (b) (0.0%)
CABLE & TELECOMMUNICATIONS (0.0%)
400 Hyperion Telecommunication Inc. - 144A*................. 04/01/01 12,000
-----------
ENTERTAINMENT/GAMING & LODGING (0.0%)
787 Fitzgeralds Gaming Corp................................. 12/19/98 787
100 Fitzgeralds South Inc. - 144A*.......................... 03/15/99 1
-----------
788
-----------
TOTAL WARRANTS
(IDENTIFIED COST $4,545).......................................... 12,788
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE
- ---------- --------- ---------
<C> <S> <C> <C> <C>
SHORT-TERM INVESTMENTS (3.0%)
GOVERNMENT & AGENCY OBLIGATIONS (d) (2.6%)
IRELAND (e) (1.5%)
IEP 476 Irish Government Exchange Note............ 5.80% 12/05/97 712,467
-----------
UNITED STATES (1.1%)
$ 500 Federal Home Loan Mortgage Corp........... 6.00 07/01/97 500,000
-----------
TOTAL GOVERNMENT & AGENCY OBLIGATIONS
(AMORTIZED COST $1,279,260)....................................... 1,212,467
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- -------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
REPURCHASE AGREEMENT (0.4%)
$ 192 The Bank of New York (dated 06/30/97;
proceeds $192,414; collateralized by
$27,763 U.S. Treasury Note 6.25% due
02/15/03 valued at $28,159, $56,000 U.S.
Treasury Note 6.75% due 05/31/99 valued
at $56,957, $43,779 U.S. Treasury Note
6.625% due 06/30/01 valued at $44,155,
and $62,000 U.S. Treasury Note 8.875%
due 05/15/00 valued at $66,960)
(Identified Cost $192,383).............. 5.75% 07/01/97 $ 192,383
-----------
TOTAL SHORT-TERM INVESTMENTS
(IDENTIFIED COST $1,471,643)...................................... 1,404,850
-----------
TOTAL INVESTMENTS
(IDENTIFIED COST $47,727,492) (F).................................... 101.2 % 47,062,560
LIABILITIES IN EXCESS OF CASH AND OTHER ASSETS....................... (1.2) (571,528)
------ -----------
NET ASSETS........................................................... 100.0 % $46,491,032
------ -----------
------ -----------
<FN>
- ---------------------
M In millions.
* Resale is restricted to qualified institutional investors.
++ Consists of one or more class of securities traded together as a unit;
bonds with attached stocks/warrants.
+ Payment-in-kind security.
++ Currently a zero coupon bond and will pay interest at the rate shown at a
future specified date.
(a) Non-income producing security; issuer in default.
(b) Non-income producing securities.
(c) Acquired through exchange offer.
(d) Securities were purchased on a discount basis. The interest rates shown
have been adjusted to reflect a money market equivalent yield.
(e) Some or all of these securities are segregated in connection with open
forward foreign currency contracts and/or securities purchased on a
forward commitment basis.
(f) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $703,854 and the
aggregate gross unrealized depreciation is $1,368,786, resulting in net
unrealized depreciation of $664,932.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
FORWARD FOREIGN CURRENCY CONTRACTS OPEN AT JUNE 30, 1997:
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS IN EXCHANGE DELIVERY APPRECIATION/
TO DELIVER FOR DATE (DEPRECIATION)
- ---------------------------------------------------------------------
<S> <C> <C> <C>
BEF 33,402,780 $ 1,010,206 07/23/97 $ 80,506
DEM 880,000 $ 588,550 07/29/97 83,202
ATS 8,447,952 $ 719,998 08/18/97 28,604
NLG 1,386,000 $ 740,523 08/26/97 32,546
NLG 609,000 $ 355,351 09/23/97 43,553
$ 195,620 L 118,000 11/25/97 (153)
NLG 1,339,000 $ 709,942 12/17/97 24,051
Au$ 365,000 $ 272,035 01/02/98 (3,066)
CHF 2,171,700 $ 1,550,660 03/06/98 28,740
FRF 5,526,500 $ 973,833 05/04/98 12,322
NLG 1,068,980 $ 564,970 05/04/98 7,800
DKK 3,100,000 $ 486,809 06/03/98 13,633
DEM 1,148,000 $ 691,566 06/12/98 15,793
BEF 26,700,000 $ 769,896 06/23/98 5,590
--------------
Net unrealized appreciation.................... $ 373,121
--------------
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
BALANCED
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (63.5%)
AEROSPACE (4.7%)
22,400 Boeing Co.............................. $ 1,188,600
16,700 United Technologies Corp............... 1,386,100
-------------
2,574,700
-------------
AIR TRANSPORT (1.8%)
3,600 AMR Corp.*............................. 333,000
9,200 UAL Corp.*............................. 658,375
-------------
991,375
-------------
AIRLINES (1.7%)
11,500 Delta Air Lines, Inc................... 943,000
-------------
AUTO PARTS - AFTER MARKET (2.9%)
20,200 Lear Corp.*............................ 896,375
11,600 Magna International Inc.
(Class A)............................ 698,175
-------------
1,594,550
-------------
AUTOMOTIVE (2.1%)
31,000 Ford Motor Co.......................... 1,170,250
-------------
BANKS - MONEY CENTER (2.2%)
10,100 Citicorp............................... 1,217,681
-------------
BEVERAGES - SOFT DRINKS (1.4%)
20,600 PepsiCo, Inc........................... 773,787
-------------
BIOTECHNOLOGY (1.0%)
9,500 Amgen, Inc.*........................... 551,594
-------------
BROKERAGE (1.5%)
14,000 Merrill Lynch & Co., Inc............... 834,750
-------------
COMMERCIAL SERVICES (1.4%)
19,000 Corrections Corp. of America*.......... 755,250
-------------
COMMUNICATIONS EQUIPMENT (3.7%)
10,700 Ascend Communications, Inc.*........... 419,975
7,100 Cascade Communications Corp.*.......... 195,694
20,900 Cisco Systems, Inc.*................... 1,402,912
-------------
2,018,581
-------------
COMPUTER EQUIPMENT (1.2%)
15,300 Storage Technology Corp.*.............. 680,850
-------------
COMPUTER SERVICES (1.5%)
11,400 Computer Sciences Corp.*............... 822,225
-------------
COMPUTER SOFTWARE (2.8%)
12,200 Microsoft Corp.*....................... 1,542,537
-------------
CONSUMER PRODUCTS (1.1%)
12,400 Kimberly-Clark Corp.................... 616,900
-------------
ELECTRICAL EQUIPMENT (1.2%)
9,000 Honeywell, Inc......................... 682,875
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
ENTERTAINMENT (2.3%)
18,400 Mirage Resorts, Inc.*.................. $ 464,600
33,855 Westinghouse Electric Corp............. 782,897
-------------
1,247,497
-------------
FINANCIAL - MISCELLANEOUS (2.2%)
14,100 Associates First Capital Corp. (Class
A)................................... 782,550
10,100 Fannie Mae............................. 440,612
-------------
1,223,162
-------------
FOODS (1.0%)
6,700 Kellogg Co............................. 573,687
-------------
HEALTH EQUIPMENT & SERVICES (2.8%)
11,400 United Healthcare Corp................. 592,800
7,600 Warner-Lambert Co...................... 944,300
-------------
1,537,100
-------------
HEALTHCARE - DRUGS (1.6%)
8,000 Lilly (Eli) & Co....................... 874,500
-------------
HOUSEHOLD FURNISHINGS & APPLIANCES (0.9%)
11,400 American Standard Companies, Inc.*..... 510,150
-------------
INSURANCE BROKERS (1.4%)
10,800 Marsh & McLennan Companies, Inc........ 770,850
-------------
MACHINERY - CONSTRUCTION & MATERIALS (2.0%)
10,200 Caterpillar, Inc....................... 1,095,225
-------------
OFFICE EQUIPMENT & SUPPLIES (1.0%)
6,800 Xerox Corp............................. 536,350
-------------
OIL & GAS EXPLORATION - CANADIAN (0.7%)
14,800 Canadian Natural Resources Ltd.
(Canada)*............................ 384,423
-------------
OIL - DOMESTIC (0.6%)
3,800 Amoco Corp............................. 330,363
-------------
PHARMACEUTICALS (1.0%)
8,500 Johnson & Johnson...................... 547,188
-------------
PUBLISHING (1.2%)
14,100 Time Warner, Inc....................... 680,325
-------------
RAILROADS (1.7%)
10,134 Burlington Northern Santa Fe Corp...... 910,793
-------------
RETAIL - SPECIALTY (2.2%)
17,700 Home Depot, Inc........................ 1,220,194
-------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
BALANCED
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
SEMICONDUCTORS (3.6%)
14,000 Intel Corp............................. $ 1,981,875
-------------
SOAP & HOUSEHOLD PRODUCTS (2.3%)
8,900 Procter & Gamble Co.................... 1,257,125
-------------
TELECOMMUNICATIONS (0.9%)
6,600 Lucent Technologies Inc................ 475,613
-------------
TOBACCO (1.9%)
23,200 Philip Morris Companies, Inc........... 1,029,500
-------------
TOTAL COMMON STOCKS
(IDENTIFIED COST $28,512,187).......... 34,956,825
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS
- -----------
<C> <S> <C>
CORPORATE BONDS (4.4%)
BANKS (1.0%)
$ 200 NationsBank Corp.
7.50% due 09/15/06................... 204,980
325 Norwest Corp.
6.80% due 05/15/02................... 324,772
-------------
529,752
-------------
BANKS - MONEY CENTER (0.2%)
145 Citicorp
6.375% due 01/15/06.................. 137,962
-------------
BROKERAGE (0.3%)
150 Merrill Lynch & Co., Inc.
6.00% due 01/15/01................... 146,854
-------------
ENTERTAINMENT (0.3%)
180 Walt Disney Co. (Series B)
6.75% due 03/30/06................... 177,599
-------------
FINANCIAL (0.6%)
100 Abbey National PLC (United Kingdom)
6.69% due 10/17/05................... 97,747
100 BHP Finance U.S.A. Ltd.
6.69% due 03/01/06................... 97,469
110 Wells Fargo & Co.
6.875% due 04/01/06.................. 108,083
-------------
303,299
-------------
HEALTHCARE - DRUGS (0.1%)
45 Lilly (Eli) & Co.
8.375% due 12/01/06.................. 49,456
-------------
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- -------------------------------------------------------------------
<C> <S> <C>
INDUSTRIALS (1.3%)
$ 100 General American Transportation Corp.
6.75% due 03/01/06................... $ 97,099
150 Lockheed Martin Corp.
7.25% due 05/15/06................... 151,797
15 Mead Corp.
7.125% due 08/01/25.................. 13,593
40 Monsanto Co.
8.875% due 12/15/09.................. 46,329
200 Praxair, Inc.
6.90% due 11/01/06................... 198,162
15 Texas Utilities Electric Co.
7.875% due 04/01/24.................. 14,914
200 Willamette Industries, Inc.
7.85% due 07/01/26................... 205,696
-------------
727,590
-------------
TELECOMMUNICATIONS (0.3%)
50 AT&T Corp.
7.75% due 03/01/07................... 52,616
120 Northern Telecom Capital
7.40% due 06/15/06................... 122,714
-------------
175,330
-------------
UTILITIES - ELECTRIC (0.3%)
150 Union Electric Co.
6.75% due 05/01/08................... 146,789
-------------
TOTAL CORPORATE BONDS
(IDENTIFIED COST $2,392,058)........... 2,394,631
-------------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
MORTGAGE-BACKED SECURITIES (6.1%)
182 Federal Home Loan Mortgage Corp.
7.50% due 05/01/11................... 184,922
331 Federal Home Loan Mortgage Corp.
7.50% due 06/01/11................... 336,018
275 Federal Home Loan Mortgage Corp.
7.50% due 08/01/11................... 279,160
478 Federal Home Loan Mortgage Corp.
7.50% due 01/01/12................... 484,983
188 Federal Home Loan Mortgage Corp.
7.00% due 12/01/25................... 184,158
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
BALANCED
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- -------------------------------------------------------------------
<C> <S> <C>
$ 302 Federal Home Loan Mortgage Corp.
7.00% due 04/01/26................... $ 296,499
474 Federal Home Loan Mortgage Corp.
8.00% due 06/01/26................... 485,298
631 Government National Mortgage Assoc.
7.00% due 05/15/26................... 619,297
450 Government National Mortgage Assoc.
8.00% due 08/15/26................... 460,154
-------------
TOTAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $3,297,958)........... 3,330,489
-------------
U.S. GOVERNMENT OBLIGATIONS (23.5%)
1,805 U.S. Treasury Bond
7.50% due 11/15/24................... 1,947,721
795 U.S. Treasury Note
5.00% due 01/31/98................... 792,059
765 U.S. Treasury Note
5.125% due 04/30/98.................. 761,328
1,735 U.S. Treasury Note
6.00% due 09/30/98................... 1,736,804
500 U.S. Treasury Note
5.875% due 10/31/98.................. 499,520
300 U.S. Treasury Note
6.375% due 05/15/99.................. 301,542
175 U.S. Treasury Note
7.75% due 11/30/99................... 181,102
600 U.S. Treasury Note
7.75% due 01/31/00................... 621,876
1,565 U.S. Treasury Note
6.625% due 06/30/01.................. 1,579,914
1,920 U.S. Treasury Note
6.625% due 04/30/02.................. 1,937,453
80 U.S. Treasury Note
7.875% due 11/15/04.................. 86,286
2,275 U.S. Treasury Note
5.875% due 11/15/05.................. 2,176,811
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- -------------------------------------------------------------------
<C> <S> <C>
$ 440 U.S. Treasury Strip
0.00% due 05/15/02................... $ 323,642
-------------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(IDENTIFIED COST $12,913,286).......... 12,946,058
-------------
SHORT-TERM INVESTMENT (2.0%)
REPURCHASE AGREEMENT
1,116 The Bank of New York 5.75% due 07/01/97
(dated 06/30/97; proceeds $1,116,112;
collateralized by $2,949 U.S.
Treasury Bill 0.00% due 10/23/97
valued at $2,902, $378,559 U.S.
Treasury Bond 13.875% due 05/15/11
valued at $565,769 and $554,000 U.S.
Treasury Note 6.875% due 05/15/06
valued at $569,581) (IDENTIFIED COST
$1,115,933).......................... 1,115,933
-------------
TOTAL INVESTMENTS
(IDENTIFIED COST $48,231,422) (a)......... 99.5% 54,743,936
CASH AND OTHER ASSETS IN EXCESS OF
LIABILITIES............................... 0.5 256,974
----- -----------
NET ASSETS................................ 100.0% $55,000,910
----- -----------
----- -----------
<FN>
- ---------------------
* Non-income producing security.
(a) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $7,128,692 and the
aggregate gross unrealized depreciation is $616,178, resulting in net
unrealized appreciation of $6,512,514.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
UTILITIES
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (87.1%)
NATURAL GAS (18.3%)
12,000 AGL Resources, Inc.................... $ 247,500
17,000 American Water Works Company, Inc..... 363,375
5,500 Anadarko Petroleum Corp............... 330,000
10,000 Brooklyn Union Gas Co................. 286,250
10,000 Cabot Oil & Gas Corp.................. 176,250
10,000 Clayton Williams Energy, Inc.......... 113,750
4,500 Consolidated Natural Gas Co........... 242,156
7,000 Eastern Enterprises................... 242,813
6,311 El Paso Natural Gas Co................ 347,105
9,000 Enron Corp............................ 367,312
6,000 Ente Nazionale Idrocarburi SpA (ADR)
(Italy)............................. 341,250
8,000 Exxon Corp............................ 492,000
12,000 Indiana Energy Inc.................... 293,250
10,000 KN Energy, Inc........................ 421,250
13,000 MCN Corp.............................. 398,125
10,500 New Jersey Resources Corp............. 329,438
8,000 North Carolina Natural Gas Corp....... 267,000
9,750 Northwest Natural Gas Co.............. 254,719
10,000 Pacific Enterprises................... 336,250
6,000 Parker & Parsley Petroleum Co......... 212,250
11,000 Questar Corp.......................... 444,125
8,500 Sonat, Inc............................ 435,625
6,000 South Jersey Industries, Inc.......... 133,500
6,000 Southwest Gas Corp.................... 119,250
--------------
7,194,543
--------------
TELECOMMUNICATIONS (31.9%)
9,000 360 DEG. Communications Co.*.......... 154,125
8,000 ACC Corp.............................. 247,000
6,000 Airtouch Communications, Inc.......... 164,250
7,000 Alcatel Alsthom (ADR) (France)........ 176,750
7,500 Alltel Corp........................... 250,781
4,000 Ameritech Corp........................ 271,750
8,000 AT&T Corp............................. 280,500
15,000 BCE, Inc. (Canada).................... 420,000
2,500 Bell Atlantic Corp.................... 189,687
5,000 BellSouth Corp........................ 231,875
6,000 Brooks Fiber Properties, Inc.......... 202,500
6,000 C-TEC Corp............................ 205,500
6,500 Century Telephone Enterprises, Inc.... 218,969
12,000 Deutsche Telekom AG (ADR) (Germany)... 289,500
4,500 Ericsson (L.M.) Telephone Co. (Class
B) (ADR) (Sweden)................... 177,187
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
15,000 Grupo Iusacell S.A. de C.V. (Series L)
(ADR) (Mexico)...................... $ 275,625
5,500 GTE Corp.............................. 241,312
3,500 Harris Corp........................... 294,000
8,000 ICG Communications, Inc............... 153,000
12,000 Loral Space & Communications Ltd...... 180,000
4,896 Lucent Technologies Inc............... 352,818
10,500 MCI Communications Corp............... 401,625
9,000 Nextel Communications, Inc. (Class
A).................................. 169,875
6,500 Nippon Telegraph & Telephone Corp.
(ADR) (Japan)....................... 316,875
4,500 Northern Telecom Ltd. (Canada)........ 409,500
4,000 NYNEX Corp............................ 230,500
5,500 Philips Electronics NV (ADR)
(Netherlands)....................... 395,312
10,000 Portugal Telecom S.A. (ADR)
(Portugal).......................... 401,250
7,000 Royal PTT Nederland NV (ADR)
(Netherlands)....................... 277,375
6,194 SBC Communications, Inc............... 383,254
6,500 Southern New England
Telecommunications Corp............. 252,687
7,000 Sprint Corp........................... 368,375
10,000 Tele Danmark AS (ADR) (Denmark)....... 261,250
12,000 Tele-Communication Liberty Media Group
(Class A)........................... 285,000
5,000 Telecom Argentina S.A. (ADR)
(Argentina)......................... 262,500
2,500 Telecomunicacoes Brasileiras
S/A-Telebras (ADR).................. 379,375
6,000 Telefonica Espana S.A. (ADR)
(Spain)............................. 517,500
3,000 Telefonos de Mexico S.A. de C.V.
(Series L) (ADR) (Mexico)........... 143,250
9,000 Telephone & Data Systems, Inc......... 342,000
6,000 Teleport Communications Group Inc.
(Class A)........................... 204,000
5,000 U.S. West Communications Group*....... 188,437
10,000 U.S. West Media Group*................ 202,500
7,000 United States Cellular Corp........... 207,375
7,000 Vanguard Cellular Systems, Inc. (Class
A).................................. 95,375
6,500 Vodafone Group PLC (ADR) (United
Kingdom)*........................... 314,844
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
UTILITIES
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
18,600 WorldCom, Inc......................... $ 594,037
--------------
12,581,200
--------------
UTILITIES - ELECTRIC (36.9%)
9,000 AES Corp.*............................ 636,750
11,000 Allegheny Power System, Inc........... 293,563
10,000 American Electric Power Co............ 420,000
5,000 Boston Edison Co...................... 131,875
12,000 Carolina Power & Light Co............. 430,500
10,000 Central & South West Corp............. 212,500
11,000 Central Louisiana Electric............ 309,375
9,500 CINergy Corp.......................... 330,719
10,000 CMS Energy Corp....................... 352,500
11,000 Consolidated Edison Co. of New York,
Inc................................. 323,813
10,000 Dominion Resources, Inc............... 366,250
12,500 DQE, Inc.............................. 353,125
15,355 Duke Power Co......................... 736,080
11,500 Edison International.................. 286,063
6,500 Enersis S.A. (ADR) (Chile)............ 231,156
10,000 Enova Corp............................ 240,625
9,500 Entergy Corp.......................... 260,063
14,000 FPL Group, Inc........................ 644,875
13,000 General Public Utilities Corp......... 466,375
13,000 Houston Industries, Inc............... 278,687
6,500 Illinova Corp......................... 143,000
12,000 IPALCO Enterprises, Inc............... 375,000
10,000 Kansas City Power & Light Co.......... 285,625
8,500 Korea Electric Power Corp. (ADR)
(South Korea)....................... 158,844
14,000 LG&E Energy Corp...................... 308,875
8,000 New England Electric System........... 296,000
12,000 NIPSCO Industries, Inc................ 495,750
16,000 Northwestern Public Service Co........ 344,000
10,000 OGE Energy Corp....................... 455,000
11,000 PacifiCorp............................ 242,000
7,500 Peco Energy Co........................ 157,500
8,000 PG & E Corp........................... 194,000
8,500 Pinnacle West Capital Corp............ 255,531
5,000 Portland General Corp................. 198,438
10,000 Public Service Company of Colorado.... 415,000
12,500 Public Service Company of New
Mexico.............................. 223,437
6,000 Public Service Enterprise Group,
Inc................................. 150,000
12,000 SCANA Corp............................ 297,750
12,000 Sierra Pacific Resources.............. 384,000
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
12,000 Southern Co........................... $ 262,500
12,000 Teco Energy, Inc...................... 306,750
9,000 TNP Enterprises, Inc.................. 208,688
9,000 Tucson Electric Power Co.............. 130,500
10,000 Utilicorp United, Inc................. 291,250
11,000 Western Resources, Inc................ 356,813
13,000 Wisconsin Energy Corp................. 323,375
--------------
14,564,520
--------------
TOTAL COMMON STOCKS
(IDENTIFIED COST $29,166,873)......... 34,340,263
--------------
PREFERRED STOCKS (0.9%)
UTILITIES - ELECTRIC (0.9%)
6,000 Alabama Power Capital Trust I (Series
Q) $1.84............................ 144,000
1,000 Duquesne Capital LP (Series A)
$2.09............................... 25,250
2,500 Public Service Electric & Gas Co.
(Series B) $2.00.................... 62,812
5,000 Virginia Power Capital $2.01.......... 126,563
--------------
TOTAL PREFERRED STOCKS
(IDENTIFIED COST $363,687)............ 358,625
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS
- -----------
<C> <S> <C>
CORPORATE BONDS (3.9%)
NATURAL GAS (0.4%)
$ 150 AGL Capital Trust - 144A** 8.17% due
06/01/37............................ 149,024
--------------
TELECOMMUNICATIONS (0.2%)
100 Southwestern Bell Telephone Co. 7.25%
due 07/15/25........................ 95,679
--------------
UTILITIES - ELECTRIC (3.3%)
1,200 Consolidated Edison Co. of New York,
Inc. 8.05% due 12/15/27............. 1,200,564
100 Florida Power & Light Co. 7.05% due
12/01/26............................ 93,836
--------------
1,294,400
--------------
TOTAL CORPORATE BONDS
(IDENTIFIED COST $1,546,777).......... 1,539,103
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
UTILITIES
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- -------------------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT AGENCY (0.1%)
$ 1,000 Tennessee Valley Authority (Series
95-A)
8.00% due 03/31/45
(IDENTIFIED COST $25,000)........... $ 25,375
--------------
SHORT-TERM INVESTMENTS (a) (7.3%)
U.S. GOVERNMENT AGENCY
1,500 Federal Farm Credit Bank 5.45% due
07/01/97............................ 1,500,000
1,400 Federal Home Loan Mortgage Corp. 6.00%
due 07/01/97........................ 1,400,000
--------------
--------------
TOTAL SHORT-TERM INVESTMENTS
(IDENTIFIED COST $2,900,000).......... 2,900,000
--------------
TOTAL INVESTMENTS
(IDENTIFIED COST $34,002,337) (b)............ 99.3% 39,163,366
CASH AND OTHER ASSETS IN EXCESS OF
LIABILITIES.................................. 0.7 268,538
------ -----------
NET ASSETS................................... 100.0% $39,431,904
------ -----------
------ -----------
<FN>
- ---------------------
ADR American Depository Receipt.
* Non-income producing security.
** Resale is restricted to qualified institutional investors.
(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 is $5,870,829 and the
aggregate gross unrealized depreciation is $709,800, resulting in net
unrealized appreciation of $5,161,029.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DIVIDEND GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (99.0%)
AEROSPACE (2.7%)
131,000 United Technologies Corp............ $ 10,873,000
---------------
AUTOMOTIVE (5.5%)
345,000 Chrysler Corp....................... 11,320,312
288,000 Ford Motor Co....................... 10,872,000
---------------
22,192,312
---------------
BANKS (5.5%)
234,000 Banc One Corp....................... 11,334,375
168,000 BankAmerica Corp.................... 10,846,500
---------------
22,180,875
---------------
BEVERAGES - SOFT DRINKS (2.8%)
305,000 PepsiCo, Inc........................ 11,456,562
---------------
CHEMICALS (5.5%)
128,000 Dow Chemical Co..................... 11,152,000
193,000 PPG Industries, Inc................. 11,218,125
---------------
22,370,125
---------------
COMPUTERS (2.8%)
125,000 International Business Machines
Corp.............................. 11,273,438
---------------
CONGLOMERATES (5.5%)
112,000 Minnesota Mining & Manufacturing
Co................................ 11,424,000
244,000 Tenneco, Inc........................ 11,025,750
---------------
22,449,750
---------------
DRUGS (5.6%)
171,000 Abbott Laboratories................. 11,414,250
147,000 American Home Products Corp......... 11,245,500
---------------
22,659,750
---------------
ELECTRICAL EQUIPMENT (2.7%)
148,000 Honeywell, Inc...................... 11,229,500
---------------
ELECTRONICS (2.7%)
170,000 General Electric Co................. 11,113,750
---------------
FOODS (2.8%)
256,000 Quaker Oats Company (The)........... 11,488,000
---------------
INSURANCE (2.7%)
170,000 Lincoln National Corp............... 10,943,750
---------------
MACHINERY - AGRICULTURAL (2.8%)
210,000 Deere & Co.......................... 11,523,750
---------------
MANUFACTURING - CONSUMER & INDUSTRIAL
PRODUCTS (2.9%)
212,400 Whirlpool Corp...................... 11,589,075
---------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
METALS & MINING (2.7%)
128,000 Phelps Dodge Corp................... $ 10,904,000
---------------
NATURAL GAS (2.7%)
271,000 Enron Corp.......................... 11,060,188
---------------
OFFICE EQUIPMENT & SUPPLIES (2.7%)
155,000 Pitney Bowes, Inc................... 10,772,500
---------------
OIL - DOMESTIC (2.7%)
179,000 Exxon Corp.......................... 11,008,500
---------------
OIL INTEGRATED - DOMESTIC (5.4%)
154,000 Atlantic Richfield Co............... 10,857,000
390,000 USX-Marathon Group.................. 11,261,250
---------------
22,118,250
---------------
OIL INTEGRATED - INTERNATIONAL (2.8%)
160,000 Mobil Corp.......................... 11,180,000
---------------
PAPER & FOREST PRODUCTS (2.7%)
208,000 Weyerhaeuser Co..................... 10,816,000
---------------
PHOTOGRAPHY (2.7%)
143,000 Eastman Kodak Co.................... 10,975,250
---------------
RAILROADS (2.8%)
205,000 CSX Corp............................ 11,377,500
---------------
RETAIL - DEPARTMENT STORES (2.7%)
230,000 May Department Stores Co............ 10,867,500
---------------
RETAIL - FOOD CHAINS (2.7%)
226,000 American Stores Co.................. 11,158,750
---------------
TELECOMMUNICATIONS (5.6%)
147,000 Bell Atlantic Corp.................. 11,153,625
218,000 Sprint Corp......................... 11,472,250
---------------
22,625,875
---------------
TOBACCO (2.8%)
257,000 Philip Morris Companies, Inc........ 11,404,375
---------------
UTILITIES - ELECTRIC (5.5%)
320,000 General Public Utilities Corp....... 11,480,000
490,000 Unicom Corp......................... 10,902,500
---------------
22,382,500
---------------
TOTAL COMMON STOCKS
(IDENTIFIED COST $338,089,489)...... 401,994,825
---------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DIVIDEND GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- ------------------------------------------------------------------
<C> <S> <C>
SHORT-TERM INVESTMENT (0.9%)
REPURCHASE AGREEMENT
$ 3,794 The Bank of New York 5.75% due
07/01/97 (dated 06/30/97; proceeds
$3,794,642; collateralized by
$1,410,000 U.S. Treasury Bond
9.125% due 05/15/18 valued at
$1,774,177, $1,595,707 U.S.
Treasury Note 6.375% due 05/15/00
valued at $1,613,658 and $475,782
U.S. Treasury Note 5.125% due
02/28/98 valued at $482,082)
(Identified Cost $3,794,036)...... $ 3,794,036
---------------
TOTAL INVESTMENTS
(IDENTIFIED COST $341,883,525) (a)......... 99.9% 405,788,861
OTHER ASSETS IN EXCESS OF LIABILITIES...... 0.1 308,950
------ ------------
NET ASSETS................................. 100.0% $406,097,811
------ ------------
------ ------------
<FN>
- ---------------------
(a) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $64,557,061 and the
aggregate gross unrealized depreciation is $651,725, resulting in net
unrealized appreciation of $63,905,336.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (93.1%)
AEROSPACE & DEFENSE (0.9%)
3,662 Boeing Co............................ $ 194,315
2,600 General Dynamics Corp................ 195,000
2,100 Lockheed Martin Corp................. 217,481
2,900 McDonnell Douglas Corp............... 198,650
2,400 Northrop Grumman Corp................ 210,750
---------------
1,016,196
---------------
AGRICULTURE RELATED (0.4%)
9,000 Archer-Daniels-Midland Co............ 211,500
2,500 Pioneer Hi-Bred International,
Inc................................ 200,000
---------------
411,500
---------------
AIR FREIGHT (0.2%)
3,400 Federal Express Corp.*............... 196,350
---------------
AIRLINES (0.7%)
2,100 AMR Corp.*........................... 194,250
2,200 Delta Air Lines, Inc................. 180,400
7,700 Southwest Airlines Co................ 199,237
6,600 US Airways Group Inc.*............... 231,000
---------------
804,887
---------------
ALUMINUM (0.6%)
5,500 Alcan Aluminum Ltd. (Canada)......... 190,781
2,700 Aluminum Co. of America.............. 203,512
2,900 Reynolds Metals Co................... 206,625
---------------
600,918
---------------
AUTO PARTS - AFTER MARKET (1.5%)
9,200 Cooper Tire & Rubber Co.............. 202,400
5,400 Dana Corp............................ 205,200
6,000 Echlin, Inc.......................... 216,000
5,800 Genuine Parts Co..................... 196,475
3,250 Goodyear Tire & Rubber Co............ 205,766
7,500 ITT Industries, Inc.................. 193,125
5,000 Snap-On, Inc......................... 196,875
3,700 TRW, Inc............................. 210,206
---------------
1,626,047
---------------
AUTOMOBILES (0.6%)
6,000 Chrysler Corp........................ 196,875
5,500 Ford Motor Co........................ 207,625
3,600 General Motors Corp.................. 200,475
---------------
604,975
---------------
BANKS - MONEY CENTER (1.0%)
2,800 BankAmerica Corp..................... 180,775
2,200 Bankers Trust New York Corp.......... 191,400
2,000 Chase Manhattan Corp................. 194,125
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
1,500 Citicorp............................. $ 180,844
3,200 First Chicago NBD Corp............... 193,600
1,850 Morgan (J.P.) & Co., Inc............. 193,094
---------------
1,133,838
---------------
BANKS - REGIONAL (3.8%)
4,500 Banc One Corp........................ 217,969
4,500 Bank of New York Co., Inc............ 195,750
2,700 BankBoston Corp...................... 194,569
3,800 Barnett Banks, Inc................... 199,500
2,900 Comerica, Inc........................ 197,200
3,600 CoreStates Financial Corp............ 193,500
2,250 Fifth Third Bancorp.................. 184,500
2,300 First Bank System, Inc............... 196,362
1,942 First Union Corp..................... 179,635
3,100 Fleet Financial Group, Inc........... 196,075
3,500 KeyCorp.............................. 195,562
4,400 Mellon Bank Corp..................... 198,550
3,750 National City Corp................... 196,875
3,700 NationsBank Corp..................... 238,650
3,200 Norwest Corp......................... 180,000
4,550 PNC Bank Corp........................ 189,394
1,700 Republic New York Corp............... 182,750
3,500 SunTrust Banks, Inc.................. 192,719
3,400 U.S. Bancorp......................... 218,025
3,400 Wachovia Corp........................ 198,262
700 Wells Fargo & Co..................... 188,650
---------------
4,134,497
---------------
BEVERAGES - ALCOHOLIC (0.7%)
4,700 Anheuser-Busch Companies, Inc........ 197,106
4,100 Brown-Forman Corp. (Class B)......... 200,131
7,600 Coors (Adolph) Co. (Class B)......... 200,450
5,000 Seagram Co. Ltd. (Canada)............ 201,250
---------------
798,937
---------------
BEVERAGES - SOFT DRINKS (0.5%)
2,900 Coca Cola Co......................... 195,750
5,000 PepsiCo, Inc......................... 187,812
8,100 Whitman Corp......................... 205,031
---------------
588,593
---------------
BIOTECHNOLOGY (0.2%)
3,200 Amgen Inc.*.......................... 185,800
---------------
BROADCAST MEDIA (0.6%)
9,600 Comcast Corp. (Class A Special)...... 204,600
13,500 Tele-Communications, Inc. (Class
A)*................................ 199,969
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
10,100 U.S. West Media Group, Inc.*......... $ 204,525
---------------
609,094
---------------
BUILDING MATERIALS (0.5%)
2,500 Armstrong World Industries, Inc...... 183,437
4,700 Masco Corp........................... 196,225
4,600 Owens-Corning........................ 198,375
---------------
578,037
---------------
BUSINESS SERVICES (0.2%)
5,600 Cognizant Corp....................... 226,800
---------------
CHEMICALS (1.5%)
2,200 Air Products & Chemicals, Inc........ 178,750
2,200 Dow Chemical Co...................... 191,675
3,600 Du Pont (E.I.) De Nemours & Co.,
Inc................................ 226,350
3,100 Eastman Chemical Co.................. 196,850
4,600 Monsanto Co.......................... 198,087
3,300 Praxair, Inc......................... 184,800
2,200 Rohm & Haas Co....................... 198,137
4,300 Union Carbide Corp................... 202,369
---------------
1,577,018
---------------
CHEMICALS - DIVERSIFIED (0.7%)
9,100 Engelhard Corp....................... 190,531
2,800 FMC Corp.*........................... 222,425
4,500 Goodrich (B.F.) Co................... 194,906
3,500 PPG Industries, Inc.................. 203,437
---------------
811,299
---------------
CHEMICALS - SPECIALTY (1.5%)
4,700 Ecolab, Inc.......................... 224,425
3,400 Grace (W. R.) & Co................... 187,425
3,800 Great Lakes Chemical Corp............ 199,025
4,200 Hercules, Inc........................ 201,075
3,900 International Flavors & Fragrances
Inc................................ 196,950
6,200 Morton International, Inc............ 187,162
5,200 Nalco Chemical Co.................... 200,850
5,700 Sigma-Aldrich Corp................... 199,144
---------------
1,596,056
---------------
COMMUNICATIONS EQUIPMENT (1.7%)
7,600 Andrew Corp.*........................ 212,800
8,100 DSC Communications Corp.*............ 180,225
7,400 General Instrument Corp.*............ 185,000
2,300 Harris Corp.......................... 193,200
3,100 Lucent Technologies Inc.............. 223,394
2,600 Motorola, Inc........................ 197,600
2,300 Northern Telecom Ltd. (Canada)....... 209,300
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
9,500 Scientific-Atlanta, Inc.............. $ 207,812
4,100 Tellabs, Inc.*....................... 228,575
---------------
1,837,906
---------------
COMPUTER EQUIPMENT (2.4%)
20,000 Amdahl Corp.*........................ 175,000
13,600 Apple Computer, Inc.*................ 192,950
2,150 COMPAQ Computer Corp.*............... 213,387
9,100 Data General Corp.*.................. 236,600
2,000 Dell Computer Corp.*................. 234,750
5,800 Digital Equipment Corp.*............. 205,537
3,800 Hewlett-Packard Co................... 212,800
21,500 Intergraph Corp.*.................... 180,062
2,600 International Business Machines
Corp............................... 234,487
13,100 Silicon Graphics, Inc.*.............. 196,500
6,100 Sun Microsystems, Inc.*.............. 226,844
15,400 Tandem Computers Inc.*............... 311,850
---------------
2,620,767
---------------
COMPUTER - NETWORKING (0.8%)
5,300 3Com Corp.*.......................... 238,169
8,800 Bay Networks, Inc.*.................. 233,750
6,400 Cabletron Systems, Inc.*............. 181,200
3,400 Cisco Systems, Inc.*................. 228,225
---------------
881,344
---------------
COMPUTER SOFTWARE & SERVICES (1.9%)
5,600 Adobe Systems, Inc................... 196,350
5,100 Autodesk, Inc........................ 195,394
3,900 Computer Associates International,
Inc................................ 217,181
2,800 Computer Sciences Corp.*............. 201,950
1,700 Microsoft Corp....................... 214,944
30,000 Novell, Inc.*........................ 207,187
4,300 Oracle Corp.*........................ 216,344
4,600 Parametric Technology Corp.*......... 195,500
4,000 Shared Medical Systems Corp.......... 215,000
26,900 Unisys Corp.*........................ 205,112
---------------
2,064,962
---------------
COMPUTERS - PERIPHERAL EQUIPMENT (0.4%)
4,700 EMC Corp.*........................... 183,300
5,900 Seagate Technology, Inc.*............ 207,606
---------------
390,906
---------------
CONSUMER - NONCYCLICAL (0.4%)
4,900 American Greetings Corp. (Class A)... 181,300
7,700 Jostens, Inc......................... 205,975
---------------
387,275
---------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
CONTAINERS - METAL & GLASS (0.4%)
6,700 Ball Corp............................ $ 201,419
3,700 Crown Cork & Seal Co., Inc........... 197,719
---------------
399,138
---------------
CONTAINERS - PAPER (0.7%)
4,700 Bemis Company, Inc................... 203,275
13,000 Stone Container Corp................. 186,062
3,100 Temple-Inland, Inc................... 167,400
3,600 Union Camp Corp...................... 180,000
---------------
736,737
---------------
DATA PROCESSING (0.8%)
4,000 Automatic Data Processing, Inc....... 188,000
4,700 Ceridian Corp.*...................... 198,575
5,600 Equifax, Inc......................... 208,250
5,000 First Data Corp...................... 219,687
---------------
814,512
---------------
DISTRIBUTORS - CONSUMER PRODUCTS (0.7%)
3,400 Cardinal Health, Inc................. 194,650
10,700 Fleming Companies., Inc.............. 192,600
5,700 Supervalu, Inc....................... 196,650
4,900 Sysco Corp........................... 178,850
---------------
762,750
---------------
ELECTRICAL EQUIPMENT (1.8%)
4,800 AMP, Inc............................. 200,400
3,400 Emerson Electric Co.................. 187,212
2,900 General Electric Co.................. 189,587
4,400 General Signal Corp.................. 191,950
2,300 Grainger (W.W.), Inc................. 179,831
2,600 Honeywell, Inc....................... 197,275
2,800 Raychem Corp......................... 208,250
3,100 Rockwell International Corp.......... 182,900
4,100 Thomas & Betts Corp.................. 215,506
9,700 Westinghouse Electric Corp........... 224,312
---------------
1,977,223
---------------
ELECTRONICS - DEFENSE (0.2%)
3,700 Raytheon Co.......................... 188,700
---------------
ELECTRONICS - INSTRUMENTATION (0.6%)
9,600 EG & G, Inc.......................... 216,000
2,400 Perkin-Elmer Corp.................... 190,950
3,400 Tektronix, Inc....................... 204,000
---------------
610,950
---------------
ELECTRONICS - SEMICONDUCTORS (1.1%)
5,600 Advanced Micro Devices, Inc.*........ 201,600
1,400 Intel Corp........................... 198,187
5,900 LSI Logic Corp.*..................... 188,800
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
4,900 Micron Technology, Inc.*............. $ 195,694
6,600 National Semiconductor Corp.*........ 202,125
2,200 Texas Instruments, Inc............... 184,937
---------------
1,171,343
---------------
ENGINEERING & CONSTRUCTION (0.6%)
3,700 Fluor Corp........................... 204,194
4,700 Foster Wheeler Corp.................. 190,350
8,300 McDermott International, Inc......... 242,256
---------------
636,800
---------------
ENTERTAINMENT (1.1%)
6,000 Brunswick Corp....................... 187,500
10,200 Harrah's Entertainment, Inc.*........ 186,150
5,400 King World Productions, Inc.......... 189,000
3,900 Time Warner, Inc..................... 188,175
6,500 Viacom, Inc. (Class B)*.............. 195,000
2,400 Walt Disney Co....................... 192,600
---------------
1,138,425
---------------
FINANCE - CONSUMER (1.1%)
3,000 Beneficial Corp...................... 213,187
6,300 Countrywide Credit Industries,
Inc................................ 196,481
5,500 Green Tree Financial Corp............ 195,937
1,900 Household International, Inc......... 223,131
5,100 MBNA Corp............................ 186,787
6,100 Providian Financial Corp............. 195,962
---------------
1,211,485
---------------
FINANCE - DIVERSIFIED (1.3%)
2,700 American Express Co.................. 201,150
4,800 American General Corp................ 229,200
4,600 Fannie Mae........................... 200,675
5,200 Federal Home Loan Mortgage Corp...... 178,750
1,600 MBIA Inc............................. 180,500
4,400 MGIC Investment Corp................. 210,925
5,400 Morgan Stanley, Dean Witter, Discover
& Co. (Note 3)..................... 232,537
---------------
1,433,737
---------------
FOODS (2.1%)
4,100 Campbell Soup Co..................... 205,000
2,800 ConAgra, Inc......................... 179,550
2,100 CPC International Inc................ 193,856
2,800 General Mills, Inc................... 182,350
3,900 Heinz (H.J.) Co...................... 179,887
3,200 Hershey Foods Corp................... 177,000
2,300 Kellogg Co........................... 196,937
4,700 Quaker Oats Company (The)............ 210,912
2,400 Ralston-Ralston Purina Group......... 197,250
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
4,800 Sara Lee Corp........................ $ 199,800
900 Unilever N.V. (ADR) (Netherlands).... 196,200
2,900 Wrigley (Wm.) Jr. Co. (Class A)...... 194,300
---------------
2,313,042
---------------
GOLD MINING (1.1%)
8,200 Barrick Gold Corp. (Canada).......... 180,400
32,400 Battle Mountain Gold Co.............. 184,275
33,700 Echo Bay Mines Ltd. (Canada)......... 193,775
14,400 Homestake Mining Co.................. 188,100
6,100 Newmont Mining Corp.................. 237,900
11,100 Placer Dome Inc. (Canada)............ 181,762
---------------
1,166,212
---------------
HARDWARE & TOOLS (0.4%)
5,400 Black & Decker Corp.................. 200,812
5,200 Stanley Works........................ 208,000
---------------
408,812
---------------
HEALTHCARE - DIVERSIFIED (2.1%)
2,900 Abbott Laboratories.................. 193,575
6,000 Allergan, Inc........................ 190,875
6,900 Alza Corp.*.......................... 200,100
2,400 American Home Products Corp.......... 183,600
12,600 Beverly Enterprises, Inc.*........... 204,750
2,500 Bristol-Myers Squibb Co.............. 202,500
8,000 Healthsouth Corp.*................... 199,500
2,900 Johnson & Johnson.................... 186,687
5,200 Mallinckrodt Group, Inc.............. 197,600
6,800 Manor Care, Inc...................... 221,850
1,950 Warner-Lambert Co.................... 242,287
---------------
2,223,324
---------------
HEALTHCARE - DRUGS (0.9%)
1,750 Lilly (Eli) & Co..................... 191,297
1,900 Merck & Co., Inc..................... 196,650
1,700 Pfizer, Inc.......................... 203,150
5,700 Pharmacia & Upjohn, Inc.............. 198,075
4,400 Schering-Plough Corp................. 210,650
---------------
999,822
---------------
HEALTHCARE HMOS (0.3%)
8,700 Humana, Inc.*........................ 201,187
3,500 United Healthcare Corp............... 182,000
---------------
383,187
---------------
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
HEAVY DUTY TRUCKS & PARTS (0.6%)
3,200 Cummins Engine Co., Inc.............. $ 225,800
13,100 Navistar International Corp.*........ 225,975
4,400 PACCAR, Inc.......................... 204,050
---------------
655,825
---------------
HOME BUILDING (0.7%)
4,500 Centex Corp.......................... 182,812
6,400 Fleetwood Enterprises, Inc........... 190,800
10,900 Kaufman & Broad Home Corp............ 191,431
6,300 Pulte Corp........................... 217,744
---------------
782,787
---------------
HOSPITAL MANAGEMENT (0.4%)
4,600 Columbia/HCA Healthcare Corp......... 180,837
7,000 Tenet Healthcare Corp.*.............. 206,937
---------------
387,774
---------------
HOTELS/MOTELS (0.7%)
3,600 HFS Incorporated*.................... 208,800
7,100 Hilton Hotels Corp................... 188,594
3,700 ITT Corp.*........................... 225,931
3,000 Marriot International, Inc........... 184,125
---------------
807,450
---------------
HOUSEHOLD FURNISHINGS & APPLIANCES (0.4%)
7,300 Maytag Corp.......................... 190,712
3,700 Whirlpool Corp....................... 201,881
---------------
392,593
---------------
HOUSEHOLD PRODUCTS (0.7%)
1,400 Clorox Co............................ 184,800
3,100 Colgate-Palmolive Co................. 202,275
3,800 Kimberly-Clark Corp.................. 189,050
1,350 Procter & Gamble Co.................. 190,687
---------------
766,812
---------------
HOUSEWARES (0.7%)
6,000 Fortune Brands, Inc.................. 223,875
5,100 Newell Co............................ 202,087
6,250 Rubbermaid, Inc...................... 185,937
5,400 Tupperware Corp...................... 197,100
---------------
808,999
---------------
INSURANCE BROKERS (0.4%)
4,050 Aon Corp............................. 209,587
2,800 Marsh & McLennan Companies, Inc...... 199,850
---------------
409,437
---------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
INVESTMENT BANKING/BROKERAGE (0.6%)
4,000 Merrill Lynch & Co., Inc............. $ 238,500
3,600 Salomon, Inc......................... 200,250
4,900 Schwab (Charles) Corp................ 199,369
---------------
638,119
---------------
LIFE INSURANCE (1.1%)
1,886 Aetna Inc............................ 193,079
4,800 Conseco, Inc......................... 177,600
3,100 Jefferson-Pilot Corp................. 216,612
3,000 Torchmark Corp....................... 213,750
2,200 Transamerica Corp.................... 205,837
4,100 UNUM Corp............................ 172,200
---------------
1,179,078
---------------
MACHINERY - DIVERSIFIED (2.0%)
3,400 Case Corp............................ 234,175
2,200 Caterpillar, Inc..................... 236,225
9,100 Cincinnati Milacron, Inc............. 236,031
3,900 Cooper Industries, Inc............... 194,025
3,900 Deere & Co........................... 214,012
3,400 Dover Corp........................... 209,100
4,600 Harnischfeger Industries, Inc........ 190,900
3,900 Ingersoll-Rand Co.................... 240,825
3,300 NACCO Industries, Inc. (Class A)..... 186,244
5,800 Timken Co............................ 206,262
---------------
2,147,799
---------------
MANUFACTURING (1.2%)
5,200 Avery Dennison Corp.................. 208,650
3,900 Briggs & Stratton Corp............... 195,000
11,000 Giddings & Lewis, Inc................ 228,250
4,700 Millipore Corp....................... 206,800
8,600 Pall Corp............................ 199,950
3,700 Parker-Hannifin Corp................. 224,544
---------------
1,263,194
---------------
MANUFACTURING - DIVERSIFIED (2.6%)
4,800 Aeroquip-Vickers, Inc................ 226,800
2,400 AlliedSignal, Inc.................... 201,600
4,000 Corning, Inc......................... 222,500
5,100 Crane Co............................. 213,244
2,100 Eaton Corp........................... 183,356
4,000 Illinois Tool Works, Inc............. 199,750
4,400 Johnson Controls, Inc................ 180,675
1,800 Minnesota Mining & Manufacturing
Co................................. 183,600
4,200 National Service Industries, Inc..... 204,487
4,300 Tenneco, Inc......................... 194,306
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
3,100 Textron Inc.......................... $ 205,763
5,900 Thermo Electron Corp.*............... 200,600
2,700 Tyco International Ltd............... 187,819
2,400 United Technologies Corp............. 199,200
---------------
2,803,700
---------------
MEDICAL PRODUCTS & SUPPLIES (1.9%)
5,300 Bard (C.R.), Inc..................... 192,456
4,000 Bausch & Lomb, Inc................... 188,500
3,600 Baxter International, Inc............ 188,100
3,500 Becton, Dickinson & Co............... 177,188
11,500 Biomet, Inc.......................... 214,188
3,200 Boston Scientific Corp.*............. 196,600
2,600 Guidant Corp......................... 221,000
2,700 Medtronic, Inc....................... 218,700
5,200 St. Jude Medical, Inc.*.............. 202,800
6,000 United States Surgical Corp.......... 223,500
---------------
2,023,032
---------------
METALS & MINING (0.9%)
6,900 ASARCO Inc........................... 211,313
7,800 Cyprus Amax Minerals Co.............. 191,100
6,800 Freeport-McMoran Copper & Gold, Inc.
(Class B).......................... 211,650
6,100 Inco Ltd. (Canada)................... 183,381
2,200 Phelps Dodge Corp.................... 187,413
---------------
984,857
---------------
MULTI-LINE INSURANCE (1.1%)
1,300 American International Group, Inc.... 194,188
1,100 CIGNA Corp........................... 195,250
2,400 Hartford Financial Services Group
Inc. (Note 3)...................... 198,600
3,000 Lincoln National Corp................ 193,125
1,900 Loews Corp........................... 190,238
3,466 Travelers Group, Inc................. 218,575
---------------
1,189,976
---------------
OFFICE EQUIPMENT & SUPPLIES (0.4%)
9,600 Moore Corp. Ltd. (Canada)............ 189,000
3,000 Pitney Bowes, Inc.................... 208,500
---------------
397,500
---------------
OIL & GAS DRILLING (1.3%)
5,100 Baker Hughes, Inc.................... 197,306
5,400 Dresser Industries, Inc.............. 201,150
2,400 Halliburton Co....................... 190,200
3,800 Helmerich & Payne, Inc............... 218,975
7,700 Rowan Companies, Inc.*............... 217,044
1,700 Schlumberger, Ltd.................... 212,500
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
2,700 Western Atlas, Inc.*................. $ 197,775
---------------
1,434,950
---------------
OIL - EXPLORATION & PRODUCTION (0.5%)
4,400 Burlington Resources, Inc............ 194,150
8,900 Oryx Energy Co.*..................... 188,013
12,600 Santa Fe Energy Resources, Inc.*..... 185,063
---------------
567,226
---------------
OIL INTEGRATED - DOMESTIC (2.2%)
3,650 Amerada Hess Corp.................... 202,803
4,500 Ashland, Inc......................... 208,688
2,700 Atlantic Richfield Co................ 190,350
3,100 Kerr-McGee Corp...................... 196,463
3,400 Louisiana Land & Exploration Co...... 194,225
7,900 Occidental Petroleum Corp............ 197,994
3,200 Pennzoil Co.......................... 245,600
4,700 Phillips Petroleum Co................ 205,625
6,500 Sun Co., Inc......................... 201,500
7,800 Union Pacific Resources Group,
Inc................................ 194,025
5,100 Unocal Corp.......................... 197,944
6,700 USX - Marathon Group................. 193,463
---------------
2,428,680
---------------
OIL INTEGRATED - INTERNATIONAL (1.1%)
2,300 Amoco Corp........................... 199,956
2,600 Chevron Corp......................... 192,238
3,300 Exxon Corp........................... 202,950
2,900 Mobil Corp........................... 202,638
3,600 Royal Dutch Petroleum Co.
(Netherlands)...................... 195,750
1,800 Texaco, Inc.......................... 195,750
---------------
1,189,282
---------------
PAPER & FOREST PRODUCTS (2.0%)
5,600 Boise Cascade Corp................... 197,750
3,300 Champion International Corp.......... 182,325
2,300 Georgia-Pacific Corp................. 196,363
4,300 International Paper Co............... 208,819
5,400 James River Corp. of Virginia........ 199,800
10,200 Louisiana-Pacific Corp............... 215,475
3,100 Mead Corp............................ 192,975
4,100 Potlatch Corp........................ 185,525
6,500 Westvaco Corp........................ 204,344
3,700 Weyerhaeuser Co...................... 192,400
2,800 Willamette Industries, Inc........... 196,000
---------------
2,171,776
---------------
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
PERSONAL PRODUCTS (0.6%)
7,100 Alberto-Culver Co. (Class B)......... $ 198,800
3,100 Avon Products, Inc................... 218,744
1,950 Gillette Co.......................... 184,763
---------------
602,307
---------------
PHOTOGRAPHY/IMAGING (0.8%)
2,300 Eastman Kodak Co..................... 176,525
8,400 Ikon Office Solutions, Inc........... 209,475
4,300 Polaroid Corp........................ 238,650
2,700 Xerox Corp........................... 212,963
---------------
837,613
---------------
POLLUTION CONTROL (0.2%)
14,500 Laidlaw, Inc. (Class B) (Canada)..... 200,281
---------------
PROPERTY - CASUALTY INSURANCE (1.1%)
2,800 Allstate Corp........................ 204,400
2,700 Chubb Corp........................... 180,563
1,100 General Re Corp...................... 200,200
4,300 Safeco Corp.......................... 200,756
2,500 St. Paul Companies, Inc.............. 190,625
7,900 USF&G Corp........................... 189,600
---------------
1,166,144
---------------
PUBLISHING (0.9%)
5,100 Dow Jones & Co., Inc................. 204,956
7,400 Dun & Bradstreet Corp................ 194,250
3,100 McGraw-Hill, Inc..................... 182,319
6,800 Meredith Corp........................ 197,200
3,600 Times Mirror Co. (Class A)........... 198,900
---------------
977,625
---------------
PUBLISHING - NEWSPAPER (0.7%)
1,830 Gannett Co., Inc..................... 180,713
4,200 Knight-Ridder, Inc................... 206,063
3,800 New York Times Co. (Class A)......... 188,100
4,000 Tribune Co........................... 192,250
---------------
767,126
---------------
RAILROADS (0.7%)
2,200 Burlington Northern Santa Fe Corp.... 197,725
3,400 CSX Corp............................. 188,700
1,900 Norfolk Southern Corp................ 191,425
2,900 Union Pacific Corp................... 204,450
---------------
782,300
---------------
RESTAURANTS (0.6%)
21,500 Darden Restaurants, Inc.............. 194,844
4,000 McDonald's Corp...................... 193,250
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
8,300 Wendy's International, Inc........... $ 215,281
---------------
603,375
---------------
RETAIL - DEPARTMENT STORES (1.3%)
5,700 Dillard Department Stores, Inc.
(Class A).......................... 197,363
5,500 Federated Department Stores, Inc.*... 191,125
3,900 Harcourt General, Inc................ 185,738
4,100 May Department Stores Co............. 193,725
3,500 Mercantile Stores Co., Inc........... 220,281
4,800 Nordstrom, Inc....................... 235,200
3,600 Penney (J.C.) Co., Inc............... 187,875
---------------
1,411,307
---------------
RETAIL - DRUG STORES (0.8%)
4,100 CVS Corp............................. 210,125
8,000 Longs Drug Stores Corp............... 209,500
4,100 Rite Aid Corp........................ 204,488
4,100 Walgreen Co.......................... 219,863
---------------
843,976
---------------
RETAIL - FOOD CHAINS (1.0%)
5,000 Albertson's, Inc..................... 182,500
4,000 American Stores Co................... 197,500
5,400 Giant Food, Inc. (Class A)........... 176,175
6,900 Great Atlantic & Pacific Tea Co.,
Inc................................ 187,594
7,000 Kroger Co.*.......................... 203,000
5,000 Winn-Dixie Stores, Inc............... 186,250
---------------
1,133,019
---------------
RETAIL - GENERAL MERCHANDISE (0.9%)
5,700 Costco Companies Inc.*............... 187,388
3,600 Dayton-Hudson Corp................... 191,475
16,500 Kmart Corp.*......................... 202,125
4,000 Sears, Roebuck & Co.................. 215,000
6,600 Wal-Mart Stores, Inc. (Class A)...... 223,163
---------------
1,019,151
---------------
RETAIL - SPECIALTY (1.6%)
8,500 AutoZone, Inc.*...................... 200,281
5,300 Circuit City Stores, Inc............. 188,481
2,800 Home Depot, Inc...................... 193,025
5,200 Lowe's Companies, Inc................ 193,050
5,500 Pep Boys-Manny, Moe & Jack........... 187,344
6,200 Sherwin-Williams Co.................. 191,425
3,400 Tandy Corp........................... 190,400
5,900 Toys 'R' Us, Inc.*................... 206,500
8,200 Woolworth Corp.*..................... 196,800
---------------
1,747,306
---------------
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
RETAIL - SPECIALTY APPAREL (0.8%)
35,500 Charming Shoppes, Inc.*.............. $ 185,266
5,300 Gap, Inc............................. 206,038
10,300 Limited (The), Inc................... 208,575
8,400 TJX Companies, Inc................... 221,550
---------------
821,429
---------------
SAVINGS & LOAN COMPANIES (0.6%)
4,300 Ahmanson (H.F.) & Co................. 184,900
2,900 Golden West Financial Corp........... 203,000
4,200 Great Western Financial Corp......... 225,750
---------------
613,650
---------------
SEMICONDUCTOR EQUIPMENT (0.2%)
3,200 Applied Materials, Inc.*............. 226,400
---------------
SHOES (0.6%)
3,500 Nike, Inc. (Class B)................. 204,313
4,900 Reebok International Ltd............. 229,075
14,800 Stride Rite Corp..................... 190,550
---------------
623,938
---------------
SPECIALIZED SERVICES (0.9%)
5,900 Block (H.&R.), Inc................... 190,275
8,800 CUC International, Inc.*............. 227,150
3,100 Interpublic Group of Companies,
Inc................................ 190,069
11,500 Safety-Kleen Corp.................... 194,063
6,000 Service Corp. International.......... 197,250
---------------
998,807
---------------
SPECIALTY PRINTING (0.6%)
6,300 Deluxe Corp.......................... 214,988
5,400 Donnelley (R.R.) & Sons Co........... 197,775
8,700 Harland (John H.) Co................. 198,469
---------------
611,232
---------------
STEEL & IRON (1.3%)
7,500 Allegheny Teledyne Inc............... 202,500
22,000 Armco, Inc.*......................... 85,250
20,600 Bethlehem Steel Corp.*............... 215,013
8,900 Inland Steel Industries, Inc......... 232,513
3,600 Nucor Corp........................... 203,400
6,300 USX-U.S. Steel Group................. 220,894
10,700 Worthington Industries, Inc.......... 195,944
---------------
1,355,514
---------------
TELECOMMUNICATIONS (0.2%)
7,000 Airtouch Communications, Inc.*....... 191,625
---------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
TELECOMMUNICATIONS - LONG DISTANCE (0.7%)
5,600 AT&T Corp............................ $ 196,350
4,600 MCI Communications Corp.............. 175,950
3,500 Sprint Corp.......................... 184,188
7,500 WorldCom, Inc.*...................... 239,531
---------------
796,019
---------------
TELEPHONES (1.7%)
6,000 Alltel Corp.......................... 200,625
2,900 Ameritech Corp....................... 197,019
2,800 Bell Atlantic Corp................... 212,450
4,000 BellSouth Corp....................... 185,500
10,200 Frontier Corporation................. 203,363
4,400 GTE Corp............................. 193,050
3,700 NYNEX Corp........................... 213,213
3,900 SBC Communications, Inc.............. 241,313
5,100 U.S. West Communications Group,
Inc................................ 192,206
---------------
1,838,739
---------------
TEXTILES (0.9%)
6,500 Fruit of the Loom, Inc. (Class A)*... 201,500
4,200 Liz Claiborne, Inc................... 195,825
6,400 Russell Corp......................... 189,600
3,400 Springs Industries, Inc. (Class A)... 179,350
2,600 VF Corp.............................. 221,325
---------------
987,600
---------------
TOBACCO (0.4%)
4,600 Philip Morris Companies, Inc......... 204,125
6,900 UST, Inc............................. 191,475
---------------
395,600
---------------
TOYS (0.4%)
6,400 Hasbro Inc........................... 181,600
6,800 Mattel, Inc.......................... 230,350
---------------
411,950
---------------
TRUCKERS (0.4%)
6,500 Caliber System, Inc.................. 242,125
5,900 Ryder System, Inc.................... 194,700
---------------
436,825
---------------
UTILITIES - ELECTRIC (4.9%)
4,800 American Electric Power Co........... 201,600
7,700 Baltimore Gas & Electric Co.......... 205,494
5,700 Carolina Power & Light Co............ 204,488
9,400 Central & South West Corp............ 199,750
5,800 CINergy Corp......................... 201,913
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
6,800 Consolidated Edison Co. of New York,
Inc................................ $ 200,175
5,700 Dominion Resources, Inc.............. 208,763
7,400 DTE Energy Co........................ 204,425
5,000 Duke Energy Corp..................... 239,688
7,200 Edison International................. 179,100
7,000 Entergy Corp......................... 191,625
4,300 FPL Group, Inc....................... 198,069
5,300 GPU, Inc............................. 190,138
8,400 Houston Industries, Inc.............. 180,075
24,400 Niagara Mohawk Power Corp.*.......... 208,925
4,100 Northern States Power Co............. 212,175
9,500 Ohio Edison Co....................... 207,219
9,100 PacifiCorp........................... 200,200
10,000 PECO Energy Co....................... 210,000
8,300 PG & E Corp.......................... 201,275
9,800 PP&L Resources, Inc.................. 195,388
8,300 Public Service Enterprise Group,
Inc................................ 207,500
9,200 Southern Co.......................... 201,250
6,000 Texas Utilities Co................... 206,625
9,100 Unicom Corp.......................... 202,475
5,300 Union Electric Co.................... 199,744
---------------
5,258,079
---------------
UTILITIES - NATURAL GAS (2.4%)
3,600 Coastal Corp......................... 191,475
2,900 Columbia Gas System, Inc............. 189,225
3,700 Consolidated Natural Gas Co.......... 199,106
5,800 Eastern Enterprises.................. 201,188
5,000 Enron Corp........................... 204,063
9,100 Enserch Corp......................... 202,475
5,600 NICOR Inc............................ 200,900
11,500 NorAm Energy Corp.................... 175,375
6,300 ONEOK Inc............................ 202,781
5,700 Pacific Enterprises.................. 191,663
5,000 Peoples Energy Corp.................. 187,188
3,900 Sonat, Inc........................... 199,875
4,800 Williams Companies, Inc.............. 210,000
---------------
2,555,314
---------------
WASTE MANAGEMENT (0.4%)
5,600 Browning-Ferris Industries, Inc...... 186,200
6,200 Waste Management Inc................. 199,175
---------------
385,375
---------------
TOTAL COMMON STOCKS
(IDENTIFIED COST $80,590,226)........ 100,290,673
---------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- -------------------------------------------------------------------
<C> <S> <C>
SHORT-TERM INVESTMENTS (9.4%)
U.S. GOVERNMENT AGENCIES (a) (4.7%)
$ 1,000 Federal Home Loan Mortgage Corp.
5.41% due 07/07/97................. $ 999,098
4,000 Federal National Mortgage Assoc.
5.40% due 07/07/97................. 3,996,400
---------------
TOTAL U.S. GOVERNMENT AGENCIES
(AMORTIZED COST $4,995,498).......... 4,995,498
---------------
REPURCHASE AGREEMENT (4.7%)
5,096 The Bank of New York 5.75% due
07/01/97 (dated 06/30/97; proceeds
$5,096,735, collateralized by
$403,833 U.S. Treasury Bill 0.00%
due 07/31/97 valued at $402,153,
$1,067,890 U.S. Treasury Bond
11.625% due 11/15/04 valued at
$1,396,600 and $3,355,000 U.S.
Treasury Bond 6.75% due 08/15/26
valued at $3,399,087) (Identified
Cost $5,095,921)................... 5,095,921
---------------
TOTAL SHORT-TERM INVESTMENTS
(IDENTIFIED COST $10,091,419)........ 10,091,419
---------------
TOTAL INVESTMENTS
(IDENTIFIED COST $90,681,645) (b)........... 102.5% 110,382,092
LIABILITIES IN EXCESS OF OTHER ASSETS....... (2.5) (2,705,638)
------ ------------
NET ASSETS.................................. 100.0% $107,676,454
------ ------------
------ ------------
<FN>
- ---------------------
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 is $21,021,404 and the
aggregate gross unrealized depreciation is $1,320,957, resulting in net
unrealized appreciation of $19,700,447.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
CORE EQUITY
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (99.1%)
AEROSPACE (7.3%)
18,600 Boeing Co............................. $ 986,962
13,800 United Technologies Corp.............. 1,145,400
--------------
2,132,362
--------------
AIRLINES (5.3%)
2,300 AMR Corp.*............................ 212,750
9,600 Delta Air Lines, Inc.................. 787,200
7,700 UAL Corp.*............................ 551,031
--------------
1,550,981
--------------
AUTO PARTS - AFTER MARKET (2.6%)
16,800 Lear Corp.*........................... 745,500
--------------
AUTO PARTS - ORIGINAL EQUIPMENT (2.0%)
9,600 Magna International, Inc. (Class A)
(Canada)............................ 577,800
--------------
AUTOMOTIVE (3.3%)
25,779 Ford Motor Co......................... 973,157
--------------
BANKS - MONEY CENTER (3.5%)
8,400 Citicorp.............................. 1,012,725
--------------
BEVERAGES - SOFT DRINKS (2.2%)
17,100 PepsiCo, Inc.......................... 642,319
--------------
BIOTECHNOLOGY (1.6%)
7,900 Amgen, Inc.*.......................... 458,694
--------------
BROKERAGE (2.4%)
11,600 Merrill Lynch & Co., Inc.............. 691,650
--------------
COMMERCIAL SERVICES (2.1%)
15,700 Corrections Corp. of America*......... 624,075
--------------
COMMUNICATIONS EQUIPMENT (5.8%)
9,600 Ascend Communications, Inc.*.......... 376,800
5,600 Cascade Communications Corp.*......... 154,350
17,300 Cisco Systems, Inc.*.................. 1,161,262
--------------
1,692,412
--------------
COMPUTER EQUIPMENT (1.9%)
12,700 Storage Technology Corp.*............. 565,150
--------------
COMPUTER SERVICES (2.3%)
9,400 Computer Sciences Corp.*.............. 677,975
--------------
COMPUTER SOFTWARE (4.4%)
10,100 Microsoft Corp.*...................... 1,277,019
--------------
DRUGS (2.5%)
6,600 Lilly (Eli) & Co...................... 721,462
--------------
ELECTRICAL EQUIPMENT (2.0%)
7,500 Honeywell, Inc........................ 569,062
--------------
ENTERTAINMENT/GAMING (1.3%)
15,300 Mirage Resorts, Inc.*................. 386,325
--------------
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
FINANCIAL - MISCELLANEOUS (3.4%)
11,700 Associates First Capital Corp. (Class
A).................................. $ 649,350
8,100 Fannie Mae............................ 353,363
--------------
1,002,713
--------------
FOODS (1.7%)
5,600 Kellogg Co............................ 479,500
--------------
HEALTHCARE - DIVERSIFIED (2.7%)
6,300 Warner-Lambert Co..................... 782,775
--------------
HEALTHCARE - MISCELLANEOUS (1.7%)
9,500 United Healthcare Corp................ 494,000
--------------
HOUSEHOLD APPLIANCES (1.4%)
8,900 American Standard Companies, Inc.*.... 398,275
--------------
HOUSEHOLD PRODUCTS (1.7%)
10,000 Kimberly-Clark Corp................... 497,500
--------------
INSURANCE BROKERS (2.3%)
9,200 Marsh & McLennan Companies, Inc....... 656,650
--------------
MACHINERY - CONSTRUCTION & MATERIALS (3.1%)
8,400 Caterpillar, Inc...................... 901,950
--------------
MEDIA GROUP (4.2%)
11,600 Time Warner, Inc...................... 559,700
28,193 Westinghouse Electric Corp............ 651,963
--------------
1,211,663
--------------
OFFICE EQUIPMENT & SUPPLIES (1.5%)
5,500 Xerox Corp............................ 433,813
--------------
OIL & GAS EXPLORATION - CANADIAN (1.1%)
12,300 Canadian Natural Resources Ltd.
(Canada)*........................... 319,486
--------------
OIL INTEGRATED - INTERNATIONAL (0.9%)
3,000 Amoco Corp............................ 260,813
--------------
PHARMACEUTICALS (1.5%)
6,800 Johnson & Johnson..................... 437,750
--------------
RAILROADS (2.6%)
8,440 Burlington Northern Santa Fe Corp..... 758,545
--------------
RETAIL - SPECIALTY (3.5%)
14,700 Home Depot, Inc....................... 1,013,381
--------------
SEMICONDUCTORS (5.4%)
11,100 Intel Corp............................ 1,571,344
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
CORE EQUITY
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
SOAP & HOUSEHOLD PRODUCTS (3.6%)
7,400 Procter & Gamble Co................... $ 1,045,250
--------------
TELECOMMUNICATIONS (1.4%)
5,500 Lucent Technologies Inc............... 396,345
--------------
TOBACCO (2.9%)
19,200 Philip Morris Companies, Inc.......... 852,000
--------------
TOTAL COMMON STOCKS
(IDENTIFIED COST $24,170,088)......... 28,812,421
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS
- -----------
<C> <S> <C>
SHORT-TERM INVESTMENT (3.1%)
REPURCHASE AGREEMENT
$ 894 The Bank of New York 5.75% due
07/01/97 (dated 06/30/97; proceeds
$894,421; collateralized by $519,000
U.S Treasury Note 5.875% due
01/31/99 valued at $530,499,
$129,410 U.S Treasury Note 6.625%
due 03/31/02 valued at $132,573 and
$235,046 U.S Treasury Note 7.00% due
07/15/06 valued at $249,092)
(Identified Cost $894,278).......... 894,278
--------------
TOTAL INVESTMENTS
(IDENTIFIED COST $25,064,366) (a)............ 102.2% 29,706,699
LIABILITIES IN EXCESS OF OTHER ASSETS........ (2.2) (631,908)
------ -----------
NET ASSETS................................... 100.0% $29,074,791
------ -----------
------ -----------
<FN>
- ---------------------
* Non-income producing security.
(a) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $5,060,759 and the
aggregate gross unrealized depreciation is $418,426, resulting in net
unrealized appreciation of $4,642,333.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
AMERICAN VALUE
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (96.8%)
AGRICULTURE RELATED (4.4%)
15,100 Case Corp............................ $ 1,040,012
15,100 Deere & Co........................... 828,612
16,000 Dekalb Genetics Corp. (Class B)...... 1,276,000
25,000 Delta & Pine Land Co................. 890,625
40,000 Monsanto Co.......................... 1,722,500
19,900 Pioneer Hi-Bred International,
Inc................................ 1,592,000
---------------
7,349,749
---------------
APPAREL & FOOTWEAR (0.3%)
10,000 Westpoint Stevens, Inc.*............. 390,000
---------------
BANKS (5.9%)
14,000 1st United Bancorp................... 239,750
30,000 Bank of New York Co., Inc............ 1,305,000
26,000 BankAmerica Corp..................... 1,678,625
12,000 Barnett Banks, Inc................... 630,000
17,000 Fleet Financial Group, Inc........... 1,075,250
20,000 Mellon Bank Corp..................... 902,500
24,000 NationsBank Corp..................... 1,548,000
20,000 Norwest Corp......................... 1,125,000
9,200 State Street Corp.................... 425,500
14,000 Washington Mutual, Inc............... 836,500
---------------
9,766,125
---------------
BASIC CYCLICALS (1.0%)
16,000 Crompton & Knowles Corp.............. 356,000
7,500 Fuller (H.B.) Co..................... 412,500
11,000 Reynolds Metals Co................... 783,750
---------------
1,552,250
---------------
BIOTECHNOLOGY (2.3%)
54,000 Biochem Pharma, Inc.*................ 1,194,750
45,000 Centocor, Inc.*...................... 1,395,000
13,000 Gilead Sciences, Inc.*............... 359,125
22,000 Vertex Pharmaceuticals, Inc.*........ 836,000
---------------
3,784,875
---------------
CAPITAL GOODS (4.8%)
7,000 Aeroquip-Vickers, Inc................ 330,750
10,000 Boeing Co............................ 530,625
10,000 Crane Co............................. 418,125
20,000 General Electric Co.................. 1,307,500
17,000 Honeywell, Inc....................... 1,289,875
12,500 Kuhlman Corp......................... 403,125
7,500 McDonnell Douglas Corp............... 513,750
11,000 Parker-Hannifin Corp................. 667,562
6,900 Sundstrand Corp...................... 385,106
20,000 Timken Co............................ 711,250
8,000 Tyco International Ltd............... 556,500
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
11,000 United Technologies Corp............. $ 913,000
---------------
8,027,168
---------------
COMMUNICATIONS EQUIPMENT (7.4%)
6,500 Advanced Fibre Communications,
Inc.*.............................. 392,844
61,200 Bay Networks, Inc.*.................. 1,625,625
40,000 Brightpoint, Inc.*................... 1,302,500
8,000 CIENA Corp.*......................... 376,500
11,000 Cisco Systems, Inc.*................. 738,375
45,000 Ericsson (L.M.) Telephone Co. (Class
B) (ADR) (Sweden).................. 1,771,875
30,000 Lucent Technologies Inc.............. 2,161,875
21,000 Newbridge Networks Corp.* (Canada)... 913,500
19,000 Northern Telecom Ltd. (Canada)....... 1,729,000
22,000 Tellabs, Inc.*....................... 1,226,500
---------------
12,238,594
---------------
COMPUTER EQUIPMENT (1.4%)
4,000 Dell Computer Corp.*................. 469,500
40,000 EMC Corp.*........................... 1,560,000
4,500 SCI Systems, Inc.*................... 286,875
---------------
2,316,375
---------------
COMPUTER SERVICES (0.6%)
10,000 HNC Software, Inc.*.................. 380,000
10,000 Paychex, Inc......................... 383,750
7,500 Transaction Systems Architects, Inc.
(Class A)*......................... 256,875
---------------
1,020,625
---------------
COMPUTER SOFTWARE (3.4%)
10,000 BMC Software, Inc.*.................. 553,750
10,000 Computer Associates International,
Inc................................ 556,875
17,000 Compuware Corp.*..................... 811,750
1,300 Great Plains Software, Inc.*......... 35,100
13,000 Microsoft Corp.*..................... 1,643,687
12,000 Oracle Corp.*........................ 603,750
10,000 Peoplesoft, Inc.*.................... 527,500
20,000 Veritas Software Corp.*.............. 1,000,000
---------------
5,732,412
---------------
CONSTRUCTION (1.4%)
20,000 American Standard Companies, Inc.*... 895,000
15,000 Masco Corp........................... 626,250
24,000 Miller (Herman), Inc................. 858,000
---------------
2,379,250
---------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
AMERICAN VALUE
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
CONSUMER - NONCYCLICAL (5.4%)
20,000 Alberto-Culver Co. (Class B)......... $ 560,000
8,000 Avon Products, Inc................... 564,500
17,000 Coca Cola Co......................... 1,147,500
28,000 Colgate-Palmolive Co................. 1,827,000
13,800 Heinz (H.J.) Co...................... 636,525
30,000 PanAmerican Beverages, Inc. (Class A)
(Mexico)........................... 986,250
22,000 PepsiCo, Inc......................... 826,375
10,000 Procter & Gamble Co.................. 1,412,500
25,000 Sunbeam Corporation, Inc............. 943,750
---------------
8,904,400
---------------
CONSUMER BUSINESS SERVICES (2.6%)
40,000 Allied Waste Industries, Inc.*....... 680,000
16,000 Apollo Group, Inc. (Class A)*........ 564,000
29,000 Browning-Ferris Industries, Inc...... 964,250
15,000 Corrections Corp. of America*........ 596,250
34,000 Service Corp. International.......... 1,117,750
10,000 U.S.A. Waste Services, Inc.*......... 386,250
---------------
4,308,500
---------------
CONSUMER PRODUCTS (4.7%)
67,500 Arbor Drugs, Inc..................... 1,354,219
15,000 Callaway Golf Co..................... 532,500
20,000 CVS Corp............................. 1,025,000
10,500 Philips Electronics NV
(Netherlands)...................... 751,680
13,000 Philips Electronics NV
(Netherlands)...................... 934,375
30,000 Rite Aid Corp........................ 1,496,250
5,000 Samsonite Corp.*..................... 220,625
9,800 Sony Corp. (ADR) (Japan)............. 862,400
7,000 Sony Corp. (Japan)................... 610,209
---------------
7,787,258
---------------
DRUGS (5.0%)
20,000 Bristol-Myers Squibb Co.............. 1,620,000
15,000 Dura Pharmaceuticals, Inc.*.......... 596,250
15,000 Lilly (Eli) & Co..................... 1,639,687
1,040 Novartis (Switzerland)............... 1,661,437
10,000 Pfizer, Inc.......................... 1,195,000
13,500 Warner-Lambert Co.................... 1,677,375
---------------
8,389,749
---------------
ENERGY (6.4%)
30,000 Baker Hughes, Inc.................... 1,160,625
30,000 Cooper Cameron Corp.*................ 1,402,500
8,000 Diamond Offshore Drilling, Inc....... 625,000
10,000 EVI, Inc............................. 420,000
28,400 Falcon Drilling Company, Inc.*....... 1,636,550
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
16,000 Halliburton Co....................... $ 1,268,000
13,000 Halter Marine Group, Inc.*........... 312,000
20,000 Newpark Resources, Inc.*............. 675,000
15,000 Santa Fe International Corp.*........ 510,000
15,000 Schlumberger, Ltd.................... 1,875,000
12,000 Smith International, Inc.*........... 729,000
---------------
10,613,675
---------------
FINANCIAL - MISCELLANEOUS (6.9%)
20,000 American Express Co.................. 1,490,000
40,000 Hambrecht & Quist Group*............. 1,310,000
10,000 Kansas City Southern Industries,
Inc................................ 645,000
15,000 Legg Mason, Inc...................... 807,187
55,000 Lehman Brothers Holdings, Inc........ 2,227,500
34,000 Merrill Lynch & Co., Inc............. 2,027,250
21,000 Morgan Keegan, Inc................... 417,375
25,400 Paine Webber Group, Inc.............. 889,000
3,000 Price (T.) Rowe Associates, Inc...... 154,875
20,000 Reckson Associates Realty Corp....... 460,000
18,000 Salomon, Inc......................... 1,001,250
---------------
11,429,437
---------------
HEALTHCARE PRODUCTS & SERVICES (2.7%)
5,000 HBO & Co............................. 344,375
10,000 Health Care & Retirement Corp.*...... 333,750
47,000 Health Management Associates, Inc.
(Class A)*......................... 1,339,500
70,000 Healthsouth Corp.*................... 1,745,625
11,200 Tenet Healthcare Corp.*.............. 331,100
10,000 Vencor, Inc.*........................ 422,500
---------------
4,516,850
---------------
HOTELS (0.7%)
14,000 HFS Incorporated*.................... 812,000
17,400 Host Marriott Corp.*................. 309,938
---------------
1,121,938
---------------
INSURANCE (3.7%)
14,400 Allstate Corp........................ 1,051,200
6,000 Equitable of Iowa Co................. 336,000
9,000 Hartford Financial Services Group
Inc. (Note 3)...................... 744,750
24,000 Marsh & McLennan Companies, Inc...... 1,713,000
15,200 Nationwide Financial Services, Inc.
(Class A).......................... 403,750
14,000 St. Paul Companies, Inc.............. 1,067,500
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
AMERICAN VALUE
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
14,000 Travelers Group, Inc................. $ 882,875
---------------
6,199,075
---------------
INTERNET (1.2%)
30,000 America Online, Inc.*................ 1,668,750
20,000 E*TRADE Group, Inc.*................. 391,250
---------------
2,060,000
---------------
MEDIA GROUP (5.4%)
12,000 Argyle Television, Inc. (Class A)*... 301,500
19,400 Clear Channel Communications,
Inc.*.............................. 1,193,100
20,000 Cox Communications, Inc. (Class
A)*................................ 480,000
19,500 Evergreen Media Corp. (Class A)*..... 867,750
6,000 Gannett Co., Inc..................... 592,500
21,000 Jacor Communications, Inc.*.......... 804,563
26,000 Outdoor Systems, Inc.*............... 988,000
30,000 Time Warner, Inc..................... 1,447,500
10,000 Univision Communications, Inc. (Class
A)*................................ 391,250
8,000 Valassis Communications, Inc.*....... 192,000
75,000 Westinghouse Electric Corp........... 1,734,375
---------------
8,992,538
---------------
MEDICAL SUPPLIES (0.8%)
16,500 Guidant Corp......................... 1,402,500
---------------
RETAIL (6.6%)
10,000 Barnes & Noble, Inc.*................ 430,000
48,000 Costco Companies Inc.*............... 1,578,000
35,000 Dayton-Hudson Corp................... 1,861,563
13,000 Dollar General Corp.................. 487,500
30,000 Family Dollar Stores, Inc............ 817,500
20,000 General Nutrition Companies, Inc.*... 557,500
25,000 Home Depot, Inc...................... 1,723,438
63,000 Kmart Corp.*......................... 771,750
12,200 Polo Ralph Lauren Corp.*............. 333,975
11,000 Ross Stores, Inc..................... 358,875
6,000 Tiffany & Co......................... 277,125
50,000 Wal-Mart Stores, Inc................. 1,690,625
---------------
10,887,851
---------------
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
SEMICONDUCTOR CAPITAL EQUIPMENT (2.7%)
24,000 Applied Materials, Inc.*............. 1,698,000
2,000 DuPont Photomasks, Inc.*............. 107,875
10,000 Etec Systems, Inc.*.................. $ 428,125
31,000 KLA-Tencor Corp.*.................... 1,511,250
20,000 PRI Automation, Inc.*................ 757,500
---------------
4,502,750
---------------
SEMICONDUCTORS (6.5%)
70,000 Analog Devices, Inc.*................ 1,859,375
16,500 Burr-Brown Corp.*.................... 567,188
16,000 Lattice Semiconductor Corp.*......... 902,000
29,000 Linear Technology Corp............... 1,497,125
33,000 LSI Logic Corp.*..................... 1,056,000
26,000 Maxim Integrated Products, Inc.*..... 1,475,500
7,500 MEMC Electronic Materials, Inc.*..... 245,625
12,000 Micrel, Inc.*........................ 606,000
21,000 Micron Technology, Inc.*............. 838,688
800 Rambus Inc.*......................... 36,900
17,000 Texas Instruments, Inc............... 1,429,063
10,000 Vitesse Semiconductor Corp.*......... 326,250
---------------
10,839,714
---------------
TELECOMMUNICATIONS (0.6%)
10,000 Corning, Inc......................... 556,250
12,000 WorldCom, Inc.*...................... 383,250
---------------
939,500
---------------
TRANSPORTATION (2.0%)
2,500 Cummins Engine Co., Inc.............. 176,406
10,000 Eaton Corp........................... 873,125
32,000 OMI Corp.*........................... 306,000
12,000 PACCAR, Inc.......................... 556,500
5,000 Rollins Truck Leasing Corp........... 74,375
6,200 Ryanair Holdings PLC (ADR)
(Ireland)*......................... 166,625
9,500 Teekay Shipping Corp................. 328,344
25,000 US Airways Group Inc.*............... 875,000
---------------
3,356,375
---------------
TOTAL COMMON STOCKS
(IDENTIFIED COST $141,423,510)....... 160,809,533
---------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
AMERICAN VALUE
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- -------------------------------------------------------------------
<C> <S> <C>
SHORT-TERM INVESTMENT (3.0%)
REPURCHASE AGREEMENT
$ 5,065 The Bank of New York 5.75% due
07/01/97 (dated 06/30/97; proceeds
$5,066,501; collateralized by
$2,796,167 U.S. Treasury Bill 0.00%
due 07/31/97 valued at $2,784,535
and $2,359,211 U.S. Treasury Notes
6.50% due 05/31/01 valued at
$2,382,470) (Identified Cost
$5,065,692)........................ $ 5,065,692
---------------
TOTAL INVESTMENTS
(IDENTIFIED COST $146,489,202) (a) ......... 99.8% 165,875,225
OTHER ASSETS IN EXCESS OF LIABILITIES....... 0.2 297,108
------ ------------
NET ASSETS.................................. 100.0% $166,172,333
------ ------------
------ ------------
</TABLE>
- ---
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 is $20,779,758 and the
aggregate gross unrealized depreciation is $1,393,735, resulting in net
unrealized appreciation of $19,386,023.
FORWARD FOREIGN CURRENCY CONTRACTS OPEN AT JUNE 30, 1997:
<TABLE>
<CAPTION>
CONTRACTS
TO IN DELIVERY UNREALIZED
DELIVER EXCHANGE FOR DATE DEPRECIATION
- -------------------------------------------------------
<S> <C> <C> <C> <C>
$494,700 CHF 713,951 07/01/97 $ (6,027)
-------
-------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS AND RIGHTS (89.5%)
ARGENTINA (0.4%)
ENERGY
6,100 YPF Sociedad Anonima (Class D)
(ADR).............................. $ 187,575
--------------
TELECOMMUNICATIONS
4,100 Telefonica de Argentina S.A. (Class
B) (ADR)........................... 141,963
--------------
TOTAL ARGENTINA...................... 329,538
--------------
AUSTRALIA (0.8%)
BUSINESS SERVICES
22,000 Mayne Nickless Ltd................... 128,008
--------------
ENERGY
4,367 Broken Hill Proprietary Co. Ltd...... 64,126
20,000 Woodside Petroleum Ltd............... 171,844
--------------
235,970
--------------
FOODS & BEVERAGES
100,000 Goodman Fielder Ltd.................. 146,972
--------------
METALS & MINING
120,465 M.I.M. Holdings Ltd.................. 177,957
40,000 Pasminco Ltd......................... 81,098
--------------
259,055
--------------
TOTAL AUSTRALIA...................... 770,005
--------------
BELGIUM (0.2%)
RETAIL
3,500 G.I.B. Holdings Ltd.................. 167,218
--------------
BRAZIL (2.1%)
BANKING
3,000 Uniao de Bancos Brasileiros S.A.
(GDR)*............................. 111,375
--------------
PAPER PRODUCTS
9,000 Aracruz Celulose S.A. (ADR).......... 183,375
--------------
RETAIL - FOOD CHAINS
11,000 Companhia Brasileira de Distribuicao
Grupo Pao de Acucar (ADR).......... 250,250
--------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
STEEL & IRON
10,000 Usinas Siderurgicas de Minas Gerais
S.A. (ADR) - 144A**................ $ 110,000
10,000 Usinas Siderurgicas de Minas Gerais
S.A. (S Shares) (ADR).............. 110,000
--------------
220,000
--------------
TELECOMMUNICATIONS
6,000 Telecomunicacoes Brasileiras S.A.
(ADR).............................. 910,500
--------------
UTILITIES - ELECTRIC
4,050 Companhia Energetica de Minas Gerais
S.A. (ADR)......................... 208,575
--------------
TOTAL BRAZIL......................... 1,884,075
--------------
CANADA (1.0%)
NATURAL GAS
7,600 Renaissance Energy Ltd.*............. 211,448
--------------
OIL - EXPLORATION & PRODUCTION
22,000 Ranger Oil Ltd....................... 205,622
--------------
RETAIL - DEPARTMENT STORES
20,000 Hudson's Bay Company................. 449,210
--------------
TOTAL CANADA......................... 866,280
--------------
CHILE (0.5%)
PHARMACEUTICALS
4,500 Laboratorio Chile S.A. (ADR)......... 127,688
--------------
RETAIL - FOOD CHAINS
12,000 Supermercados Unimarc S.A. (ADR)*.... 225,000
--------------
TELECOMMUNICATIONS
3,825 Compania de Telecommunicaciones de
Chile S.A. (ADR)................... 126,225
--------------
TOTAL CHILE.......................... 478,913
--------------
DENMARK (1.0%)
PHARMACEUTICALS
5,000 Novo-Nordisk AS (Series B)........... 545,132
--------------
TRANSPORTATION
3,000 Kobenhavns Lufthavne AS.............. 318,224
--------------
TOTAL DENMARK........................ 863,356
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
FINLAND (0.8%)
DRUGS & HEALTHCARE
7,200 Orion-yhtymae Oy (B Shares).......... $ 272,634
--------------
MANUFACTURING
3,000 KCI Konecranes International......... 131,607
--------------
PAPER PRODUCTS
15,000 UPM-Kymmene Oy....................... 346,333
--------------
TOTAL FINLAND........................ 750,574
--------------
FRANCE (3.5%)
BUILDING MATERIALS
1,000 Imetal S.A........................... 132,508
--------------
COMPUTER SERVICES
1,800 Axime (Ex Segin)*.................... 212,795
--------------
ENERGY
3,800 Elf Aquitaine S.A.................... 409,805
--------------
FINANCIAL SERVICES
1,500 Cetelem.............................. 188,556
--------------
HOUSEHOLD PRODUCTS
2,600 Societe BIC S.A...................... 425,011
--------------
INSURANCE
6,000 AXA.................................. 373,029
6,400 Scor................................. 257,572
--------------
630,601
--------------
LEISURE
2,500 Accor S.A............................ 374,220
--------------
RETAIL - FOOD CHAINS
1,100 Promodes............................. 428,294
--------------
TIRE & RUBBER GOODS
5,000 Michelin (B Shares).................. 300,141
--------------
TOTAL FRANCE......................... 3,101,931
--------------
GERMANY (4.1%)
APPAREL
1,700 Adidas AG............................ 188,077
--------------
AUTOMOTIVE
670 Bayerische Motoren Werke (BMW) AG.... 554,205
1,400 MAN AG............................... 430,954
830 Volkswagen AG........................ 636,119
--------------
1,621,278
--------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
CHEMICALS
4,400 Bayer AG............................. $ 169,039
3,300 SGL Carbon AG........................ 451,728
--------------
620,767
--------------
CONGLOMERATES
4,600 VEBA AG.............................. 258,412
--------------
ELECTRICAL EQUIPMENT
7,600 Siemens AG........................... 451,121
--------------
MANUFACTURING
450 Mannesmann AG........................ 200,430
--------------
PHARMACEUTICALS
4,300 Gehe AG.............................. 293,322
--------------
TOTAL GERMANY........................ 3,633,407
--------------
HONG KONG (3.3%)
BANKING
30,000 Guoco Group Ltd...................... 158,007
15,808 HSBC Holdings PLC.................... 475,474
--------------
633,481
--------------
BUILDING & CONSTRUCTION
62,000 New World Infrastructure Ltd.*....... 175,279
--------------
BUSINESS SERVICES
124,000 First Pacific Co. Ltd................ 158,471
--------------
CONGLOMERATES
70,000 Hutchison Whampoa, Ltd............... 605,435
25,500 Swire Pacific Ltd. (Class A)......... 229,604
--------------
835,039
--------------
NATURAL GAS
192,000 Hong Kong & China Gas Co. Ltd........ 384,173
--------------
REAL ESTATE
18,000 Cheung Kong (Holdings) Ltd........... 177,758
70,000 Hong Kong Land Holdings Ltd.......... 186,200
11,000 Sun Hung Kai Properties Ltd.......... 132,415
--------------
496,373
--------------
UTILITIES - ELECTRIC
53,000 China Light & Power Co. Ltd.......... 300,355
--------------
TOTAL HONG KONG...................... 2,983,171
--------------
IRELAND (0.2%)
TRANSPORTATION
7,600 Ryanair Holdings PLC (ADR)*.......... 204,250
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
ITALY (1.1%)
ENERGY
5,000 Ente Nazionale Idrocarburi SpA
(ADR).............................. $ 284,375
--------------
MANUFACTURING
16,000 Industrie Natuzzi SpA (ADR).......... 410,000
--------------
TELECOMMUNICATIONS
50,000 Stet Societa Finanziaria Telefonica
SpA................................ 291,708
--------------
TOTAL ITALY.......................... 986,083
--------------
JAPAN (20.0%)
APPAREL
100 Maruco Co., Ltd...................... 833
--------------
AUTOMOTIVE
20,000 Honda Motor Co....................... 602,094
31,000 Suzuki Motor Co. Ltd................. 392,234
--------------
994,328
--------------
BANKING
30,000 Asahi Bank, Ltd...................... 255,236
30,000 Bank of Tokyo-Mitsubishi, Ltd........ 602,094
35,000 Sakura Bank Ltd...................... 268,150
--------------
1,125,480
--------------
BUILDING & CONSTRUCTION
54,000 Sekisui House Ltd.................... 546,597
--------------
BUSINESS SERVICES
5,000 Secom Co............................. 366,928
--------------
CHEMICALS
100,000 Asahi Chemical Industry Co. Ltd...... 597,731
30,000 Kaneka Corp.......................... 187,958
23,000 Nippon Shokubai K.K. Co.............. 182,635
--------------
968,324
--------------
CONSUMER PRODUCTS
13,000 Kao Corp............................. 180,367
--------------
ELECTRONICS
25,000 Canon, Inc........................... 680,628
40,000 Hitachi Ltd.......................... 446,771
30,000 Matsushita Electric Industrial Co.,
Ltd................................ 604,712
30,000 NEC Corp............................. 418,848
26,000 Sharp Corp........................... 358,464
7,000 Sony Corp............................ 610,209
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
8,000 TDK Corp............................. $ 587,086
--------------
3,706,718
--------------
ELECTRONICS - SEMICONDUCTORS/COMPONENTS
6,000 Rohm Co., Ltd........................ 617,801
--------------
FINANCIAL SERVICES
30,000 Nomura Securities Co. Ltd............ 413,613
7,000 Orix Corp............................ 518,586
3,000 Promise Co., Ltd..................... 171,728
--------------
1,103,927
--------------
INTERNATIONAL TRADE
86,000 Mitsui & Co.......................... 825,480
--------------
MACHINE TOOLS
29,000 Asahi Diamond Industries Co. Ltd..... 268,237
--------------
MACHINERY
37,000 Minebea Co., Ltd..................... 393,892
71,000 Mitsubishi Heavy Industries, Ltd..... 544,581
--------------
938,473
--------------
MANUFACTURING
53,000 Hitachi Cable........................ 437,967
--------------
PHARMACEUTICALS
21,000 Eisai Co. Ltd........................ 397,644
25,000 Fujisawa Pharmaceutical.............. 257,417
12,000 Sankyo Co. Ltd....................... 403,141
200 Seijo Corp........................... 2,583
8,000 Terumo Corp.......................... 152,880
--------------
1,213,665
--------------
REAL ESTATE
200 Chubu Sekiwa Real Estate, Ltd........ 2,129
25,000 Mitsui Fudosan Co., Ltd.............. 344,677
--------------
346,806
--------------
RESTAURANTS
20 Yoshinoya D & C Company Ltd.......... 244,328
--------------
RETAIL
6,000 Aoyama Trading Co., Ltd.............. 192,670
1,300 Honma Golf Co. Ltd................... 28,360
13,000 Izumiya Co. Ltd...................... 208,726
9,000 Jusco Co............................. 303,927
--------------
733,683
--------------
STEEL & IRON
300,000 NKK Corp............................. 643,979
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
TELECOMMUNICATIONS
60 DDI Corp............................. $ 442,932
100 Nippon Telegraph & Telephone......... 959,860
--------------
1,402,792
--------------
TEXTILES - APPAREL
18,000 Kuraray Co. Ltd...................... 179,058
--------------
TRANSPORTATION
80 East Japan Railway Co................ 410,471
43,000 Nippon Yusen Kabushiki Kaish......... 166,972
35,000 Yamato Transport Co. Ltd............. 436,737
--------------
1,014,180
--------------
TOTAL JAPAN.......................... 17,859,951
--------------
MALAYSIA (2.2%)
AUTOMOTIVE
20,000 Perusahaan Otomobil Nasional
Berhad............................. 93,502
--------------
BANKING
52,000 DCB Holdings Berhad.................. 164,818
29,000 Malayan Banking Berhad............... 304,477
22,666 Public Bank Berhad................... 35,382
--------------
504,677
--------------
BUILDING & CONSTRUCTION
69,000 United Engineers Malaysia Berhad..... 497,544
--------------
CONGLOMERATES
60,000 Road Builder (M) Holdings Berhad..... 282,884
--------------
FINANCIAL SERVICES
50,000 Arab Malaysian Finance Berhad........ 105,982
50,000 Arab Malaysian Finance Berhad
(Rights)*.......................... 12,617
--------------
118,599
--------------
LEISURE
20,000 Berjaya Sports Toto Berhad........... 94,295
150,000 Magnum Corporation Berhad............ 225,832
--------------
320,127
--------------
MACHINERY
27,000 UMW Holdings Berhad.................. 127,298
--------------
NATURAL GAS
20,000 Petronas Gas Berhad.................. 72,900
--------------
TOTAL MALAYSIA....................... 2,017,531
--------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
MEXICO (3.3%)
BANKING
125,000 Grupo Financiero Banamex Accival S.A.
de C.V. (B Shares)*................ $ 327,952
450 Grupo Financiero Banamex Accival S.A.
de C.V. (Series L)*................ 1,061
--------------
329,013
--------------
BEVERAGES
16,000 Pepsi-Gemex S.A. de C.V. (ADR)....... 200,000
--------------
BREWERY
36,000 Fomento Economico Mexicano, S.A. de
C.V. (Series B).................... 214,783
--------------
BUILDING MATERIALS
70,600 Cemex S.A. de C.V. (B Shares)........ 341,067
--------------
CONGLOMERATES
8,030 DESC S.A. de C.V. (Series C) (ADR)... 233,874
34,572 Grupo Industria Alfa S.A. de C.V. (A
Shares)............................ 236,352
--------------
470,226
--------------
FOOD PROCESSING
10,000 Grupo Industrial Maseca S.A. de C.V.
(ADR).............................. 165,000
--------------
MEDIA
10,000 Grupo Televisa S.A. de C.V. (GDR)*... 303,750
--------------
PAPER & FOREST PRODUCTS
60,000 Kimberly-Clark de Mexico, S.A. de
C.V. (A Shares).................... 238,396
--------------
RETAIL STORES
10,000 Grupo Elektra, S.A. de C.V. (GDR).... 220,000
--------------
TELECOMMUNICATIONS
9,100 Telefonos de Mexico S.A. de C.V.
(Series L) (ADR)................... 434,525
--------------
TOTAL MEXICO......................... 2,916,760
--------------
NETHERLANDS (4.2%)
BANKING
18,400 ABN-AMRO Holding NV.................. 342,892
--------------
BUSINESS & PUBLIC SERVICES
1,500 Randstad Holdings NV................. 158,096
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
CHEMICALS
3,000 Akzo Nobel NV........................ $ 410,896
--------------
ELECTRICAL EQUIPMENT
8,600 Philips Electronics NV............... 615,662
--------------
FOOD PROCESSING
900 Koninklijke Nutricia Verenigde
Bedrijven NV....................... 142,057
--------------
FURNITURE
4,000 Ahrend Groep NV...................... 269,857
--------------
INSURANCE
4,600 Aegon NV............................. 320,876
8,000 ING Groep NV......................... 368,635
--------------
689,511
--------------
PUBLISHING
7,600 Elsevier NV.......................... 126,925
9,000 Ver Ned Utigev Ver Bezit NV.......... 198,880
--------------
325,805
--------------
RETAIL
5,000 Gucci Group NV....................... 321,875
5,500 Koninklijke Ahold NV................. 463,747
--------------
785,622
--------------
TOTAL NETHERLANDS.................... 3,740,398
--------------
NORWAY (0.2%)
INSURANCE
24,500 Storebrand ASA*...................... 146,150
--------------
PERU (0.5%)
BANKING
34,000 Banco Wiese (ADR).................... 221,000
--------------
TELECOMMUNICATIONS
9,000 Telefonica del Peru S.A. (Class B)
(ADR).............................. 235,688
--------------
TOTAL PERU........................... 456,688
--------------
PHILIPPINES (0.1%)
TELECOMMUNICATIONS
900 Philippine Long Distance Telephone
Co. (ADR).......................... 57,825
--------------
PORTUGAL (0.2%)
TELECOMMUNICATIONS
4,000 Portugal Telecom S.A. (ADR).......... 160,500
--------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
SINGAPORE (1.2%)
BANKING
8,500 Development Bank of Singapore,
Ltd................................ $ 107,053
20,000 Overseas Union Bank, Ltd............. 124,545
4,000 Overseas Union Bank, Ltd.
(Rights)*.......................... 5,318
5,000 United Overseas Bank, Ltd............ 51,427
--------------
288,343
--------------
PUBLISHING
9,000 Singapore Press Holdings Ltd......... 181,360
--------------
TRANSPORTATION
32,000 Singapore Airlines Ltd............... 286,594
--------------
UTILITIES - TELECOMMUNICATIONS
175,000 Singapore Telecommunications, Ltd.... 323,258
--------------
TOTAL SINGAPORE...................... 1,079,555
--------------
SOUTH AFRICA (0.1%)
BREWERY
2,000 South African Breweries Ltd. (ADR)... 61,250
--------------
SPAIN (1.4%)
BANKS
3,200 Banco Bilbao Vizcaya S.A............. 259,688
1,400 Banco Popular Espanol S.A............ 342,644
--------------
602,332
--------------
FINANCIAL SERVICES
2,000 Corporacion Financiera Alba.......... 253,424
--------------
NATURAL GAS
500 Gas Natural SDG S.A. (Series E)...... 109,118
--------------
TELECOMMUNICATIONS
1,800 Telefonica de Espana S.A. (ADR)...... 155,250
--------------
UTILITIES - ELECTRIC
2,200 Empresa Nacional de Electricidad
S.A................................ 184,502
--------------
TOTAL SPAIN.......................... 1,304,626
--------------
SWEDEN (1.2%)
AUTO TRUCKS & PARTS
8,800 Scania AB (A Shares)................. 267,928
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
BUSINESS SERVICES
5,000 Assa Abloy AB (Series B)............. $ 102,351
6,000 Securitas AB (Series "B" Free)....... 169,463
--------------
271,814
--------------
MEDICAL SUPPLIES
6,200 Getinge Industrier AB (B Shares)..... 110,047
--------------
TELECOMMUNICATION EQUIPMENT
10,100 Ericsson (L.M.) Telephone Co. AB
(Series "B" Free).................. 398,452
--------------
TOTAL SWEDEN......................... 1,048,241
--------------
SWITZERLAND (1.7%)
CHEMICALS - SPECIALTY
294 Ciba Specialty Chemicals AG*......... 27,167
--------------
CONGLOMERATES
160 ABB AG - Bearer...................... 242,026
--------------
FOOD PROCESSING
350 Nestle S.A........................... 461,396
--------------
PHARMACEUTICALS
164 Novartis AG.......................... 261,996
130 Novartis AG - Bearer................. 207,502
40 Roche Holdings AG.................... 361,533
--------------
831,031
--------------
TOTAL SWITZERLAND.................... 1,561,620
--------------
UNITED KINGDOM (10.0%)
AEROSPACE
40,000 Rolls-Royce PLC...................... 152,422
--------------
AEROSPACE & DEFENSE
15,982 British Aerospace PLC................ 355,429
8,600 Smiths Industries PLC................ 109,904
--------------
465,333
--------------
AUTO PARTS
135,000 LucasVarity PLC...................... 467,251
--------------
BANKING
16,000 Abbey National PLC................... 218,317
4,886 Barclays Bank PLC.................... 96,913
303 Lloyds TSB Group PLC................. 3,111
27,330 National Westminster Bank PLC........ 367,228
--------------
685,569
--------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
BEVERAGES
24,800 Bass PLC............................. $ 302,489
--------------
BROADCAST MEDIA
6,300 Flextech PLC*........................ 68,141
--------------
BUILDING & CONSTRUCTION
30,626 Blue Circle Industries PLC........... 218,626
--------------
BUSINESS SERVICES
14,200 Reuters Holdings PLC................. 149,570
--------------
COMPUTER SOFTWARE & SERVICES
18,000 SEMA Group PLC....................... 371,405
--------------
CONGLOMERATES
32,701 BTR PLC.............................. 111,822
--------------
ENERGY
419 British Petroleum Co. PLC............ 5,208
117,000 Shell Transport & Trading Co. PLC.... 798,221
--------------
803,429
--------------
FOOD PROCESSING
41,000 Devro PLC............................ 231,279
13,000 Unilever PLC......................... 371,854
--------------
603,133
--------------
HOUSEHOLD PRODUCTS
26,000 Reckitt & Colman PLC................. 388,078
--------------
INSURANCE
14,552 General Accident PLC................. 211,877
39,287 Prudential Corp. PLC................. 383,691
39,368 Royal & Sun Alliance Insurance Group
PLC................................ 290,857
--------------
886,425
--------------
LEISURE
13,642 Granada Group PLC.................... 179,332
31,000 Rank Group PLC....................... 196,277
45,674 Tomkins PLC.......................... 197,604
--------------
573,213
--------------
PHARMACEUTICALS
28,692 Glaxo Wellcome PLC................... 593,213
16,475 Medeva PLC........................... 70,455
--------------
663,668
--------------
RESTAURANTS
12,500 Compass Group PLC.................... 139,776
--------------
RETAIL
51 Boots Co. PLC........................ 598
42,000 W.H. Smith Group PLC................. 252,296
--------------
252,894
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
TELECOMMUNICATIONS
90,600 British Telecommunications PLC....... $ 672,382
61,723 Securicor PLC........................ 292,715
40,268 Vodafone Group PLC................... 196,327
--------------
1,161,424
--------------
TRANSPORTATION
32,462 British Airways PLC.................. 369,745
--------------
UTILITIES
58 Thames Water PLC..................... 666
7,306 Yorkshire Water PLC.................. 47,778
8,118 Yorkshire Water PLC (B Shares)....... 4,863
--------------
53,307
--------------
TOTAL UNITED KINGDOM................. 8,887,720
--------------
UNITED STATES (24.2%)
AEROSPACE & DEFENSE
3,300 Lockheed Martin Corp................. 341,756
--------------
ALUMINUM
4,300 Aluminum Co. of America.............. 324,112
--------------
APPLIANCES & HOUSEHOLD DURABLES
15,500 Maytag Corp.......................... 404,937
12,000 Sunbeam Corporation.................. 453,000
--------------
857,937
--------------
AUTOMOTIVE
13,000 Chrysler Corp........................ 426,562
11,000 Ford Motor Co........................ 415,250
--------------
841,812
--------------
BANKING
9,300 First Tennessee National Corp........ 446,400
--------------
BEVERAGES - SOFT DRINKS
8,000 PepsiCo, Inc......................... 300,500
--------------
CHEMICALS
3,700 Dow Chemical Co...................... 322,362
7,100 Monsanto Co.......................... 305,744
5,900 Praxair, Inc......................... 330,400
--------------
958,506
--------------
COMMUNICATIONS - EQUIPMENT & SOFTWARE
8,200 Cisco Systems, Inc.*................. 550,425
--------------
COMPUTER SOFTWARE
11,000 Oracle Corp.*........................ 553,437
--------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
COMPUTERS
16,000 Gateway 2000, Inc.*.................. $ 519,000
10,000 Hewlett-Packard Co................... 560,000
16,000 Sun Microsystems, Inc.*.............. 595,000
--------------
1,674,000
--------------
COMPUTERS - PERIPHERAL EQUIPMENT
13,000 Seagate Technology, Inc.*............ 457,437
--------------
COMPUTERS - SYSTEMS
14,000 Diebold, Inc......................... 546,000
--------------
ELECTRICAL EQUIPMENT
4,200 Honeywell, Inc....................... 318,675
--------------
ELECTRONICS - DEFENSE
5,600 General Motors Corp. (Class H)....... 323,400
--------------
FINANCIAL SERVICES
6,000 American Express Co.................. 447,000
9,500 Fannie Mae........................... 414,437
7,600 Travelers Group, Inc................. 479,275
--------------
1,340,712
--------------
FOODS & BEVERAGES
4,900 General Mills, Inc................... 319,113
--------------
HOUSEHOLD PRODUCTS
5,000 Colgate-Palmolive Co................. 326,250
--------------
INSURANCE
34,000 Penn Treaty American Corp.*.......... 1,041,250
--------------
MEDICAL PRODUCTS & SUPPLIES
5,900 Baxter International, Inc............ 308,275
--------------
MEDICAL SERVICES
4,500 HBO & Co............................. 309,938
--------------
OIL - DOMESTIC
7,000 Atlantic Richfield Co................ 493,500
--------------
OIL INTEGRATED - INTERNATIONAL
7,400 Chevron Corp......................... 547,138
8,700 Exxon Corp........................... 535,050
7,400 Mobil Corp........................... 517,075
--------------
1,599,263
--------------
PHARMACEUTICALS
4,800 Abbott Laboratories.................. 320,400
4,000 American Home Products Corp.......... 306,000
12,100 Biochem Pharma, Inc.................. 267,713
--------------
894,113
--------------
RECREATION
5,200 Walt Disney Co....................... 417,300
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------------------------------------------------------------
<C> <S> <C>
RETAIL - DEPARTMENT STORES
11,300 Sears, Roebuck & Co.................. $ 607,375
--------------
RETAIL - SPECIALTY
19,300 Bed Bath & Beyond, Inc.*............. 586,238
--------------
RETAIL - SPECIALTY APPAREL
16,600 Gap, Inc............................. 645,325
--------------
SAVINGS & LOAN ASSOCIATIONS
10,000 Ahmanson (H.F.) & Co................. 430,000
6,100 Golden West Financial Corp........... 427,000
--------------
857,000
--------------
SEMICONDUCTOR EQUIPMENT
10,000 Altera Corp.......................... 505,000
12,000 Teradyne, Inc.*...................... 471,000
--------------
976,000
--------------
SEMICONDUCTORS
37,000 Cypress Semiconductor Corp.*......... 536,500
3,500 Intel Corp........................... 495,469
--------------
1,031,969
--------------
SHOES
7,500 Nike, Inc. (Class B)................. 437,813
--------------
TELECOMMUNICATIONS
19,000 Loral Space & Communications Ltd.*... 285,000
8,000 Lucent Technologies Inc.............. 576,500
--------------
861,500
--------------
TOTAL UNITED STATES.................. 21,547,331
--------------
TOTAL COMMON STOCKS AND RIGHTS
(IDENTIFIED COST $68,596,832)........ 79,864,947
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS
- -----------
<C> <S> <C>
SHORT-TERM INVESTMENTS (11.4%)
U.S. GOVERNMENT AGENCIES (a) (9.0%)
$ 5,000 Federal Home Loan Mortgage Corp.
5.40%-5.415% due
07/03/97-07/07/97.................. 4,996,698
3,000 Federal National Mortgage Assoc.
5.40% due 07/01/97................. 3,000,000
--------------
TOTAL U.S. GOVERNMENT AGENCIES
(AMORTIZED COST $7,996,698).......... 7,996,698
--------------
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- ------------------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENT (2.4%)
$ 2,147 The Bank of New York 5.75% due
07/01/97 (dated 06/30/97; proceeds
$2,146,903 collateralized by
$562,405 U.S. Treasury Bond 8.75%
due 08/15/20 valued at $700,708,
$566,226 U.S. Treasury Bond 6.00%
due 02/15/26 valued at $518,557 and
U.S. Treasury Note 6.375% due
08/15/02 valued at $970,226
(IDENTIFIED COST $2,146,560)....... $ 2,146,560
--------------
TOTAL SHORT-TERM INVESTMENTS
(IDENTIFIED COST $10,143,258)........ 10,143,258
--------------
TOTAL INVESTMENTS
(IDENTIFIED COST $78,740,090) (b)........ 100.9% 90,008,205
LIABILITIES IN EXCESS OF OTHER ASSETS.... (0.9) (835,544)
----- --------------
NET ASSETS............................... 100.0% $ 89,172,661
----- --------------
----- --------------
<FN>
- ---------------------
ADR American Depository Receipt.
GDR Global Depository Receipt.
* Non-income producing security.
** Resale is restricted to qualified institutional investors.
(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 is $12,188,002 and the
aggregate gross unrealized depreciation is $919,887, resulting in net
unrealized appreciation of $11,268,115.
</TABLE>
FORWARD FOREIGN CURRENCY CONTRACTS OPEN AT JUNE 30, 1997:
<TABLE>
<CAPTION>
CONTRACTS
TO IN DELIVERY UNREALIZED
DELIVER EXCHANGE FOR DATE DEPRECIATION
- -----------------------------------------------------------
<S> <C> <C> <C> <C>
$213,517 Y 24,381,549 07/03/97 $ (764)
$553,044 SGD 789,470 07/07/97 (658)
$158,458 MYR 399,853 07/09/97 (37)
------------
Total unrealized depreciation............. $(1,459)
------------
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
GLOBAL EQUITY
SUMMARY OF INVESTMENTS JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
INDUSTRY VALUE NET ASSETS
- -----------------------------------------------------------------
<S> <C> <C>
Aerospace............................... $ 152,422 0.2%
Aerospace & Defense..................... 807,089 0.9
Aluminum................................ 324,112 0.4
Apparel................................. 188,910 0.2
Appliances & Household Durables......... 857,937 1.0
Auto Parts.............................. 467,251 0.5
Auto Trucks & Parts..................... 267,928 0.3
Automotive.............................. 3,550,920 4.0
Banking................................. 4,688,230 5.3
Banks................................... 602,332 0.7
Beverages............................... 502,489 0.6
Beverages - Soft Drinks................. 300,500 0.3
Brewery................................. 276,033 0.3
Broadcast Media......................... 68,141 0.1
Building & Construction................. 1,438,046 1.6
Building Materials...................... 473,575 0.5
Business & Public Services.............. 158,096 0.2
Business Services....................... 1,074,791 1.2
Chemicals............................... 2,958,493 3.3
Chemicals - Specialty................... 27,167 0.0
Communications - Equipment & Software... 550,425 0.6
Computer Services....................... 212,795 0.2
Computer Software....................... 553,437 0.6
Computer Software & Services............ 371,405 0.4
Computers............................... 1,674,000 1.9
Computers - Peripheral Equipment........ 457,437 0.5
Computers - Systems..................... 546,000 0.6
Conglomerates........................... 2,200,409 2.5
Consumer Products....................... 180,367 0.2
Drugs & Healthcare...................... 272,634 0.3
Electrical Equipment.................... 1,385,458 1.5
Electronics............................. 3,706,718 4.2
Electronics - Defense................... 323,400 0.4
Electronics - Semiconductors/
Components............................ 617,801 0.7
Energy.................................. 1,921,154 2.1
Financial Services...................... 3,005,218 3.4
Food Processing......................... 1,371,586 1.5
Foods & Beverages....................... 466,085 0.5
Furniture............................... 269,857 0.3
Household Products...................... 1,139,339 1.3
Insurance............................... 3,393,937 3.8
International Trade..................... 825,480 0.9
Leisure................................. 1,267,560 1.4
Machine Tools........................... 268,237 0.3
<CAPTION>
PERCENT OF
INDUSTRY VALUE NET ASSETS
- -----------------------------------------------------------------
<S> <C> <C>
Machinery............................... $ 1,065,771 1.2%
Manufacturing........................... 1,180,004 1.3
Media................................... 303,750 0.3
Medical Products & Supplies............. 308,275 0.3
Medical Services........................ 309,938 0.3
Medical Supplies........................ 110,047 0.1
Metals & Mining......................... 259,055 0.3
Natural Gas............................. 777,639 0.9
Oil - Domestic.......................... 493,500 0.5
Oil - Exploration & Production.......... 205,622 0.2
Oil Integrated - International.......... 1,599,263 1.8
Paper & Forest Products................. 238,396 0.3
Paper Products.......................... 529,708 0.6
Pharmaceuticals......................... 4,568,619 5.1
Publishing.............................. 507,165 0.6
Real Estate............................. 843,179 0.9
Recreation.............................. 417,300 0.5
Repurchase Agreement.................... 2,146,560 2.4
Restaurants............................. 384,104 0.4
Retail.................................. 1,939,417 2.2
Retail - Department Stores.............. 1,056,585 1.2
Retail - Food Chains.................... 903,544 1.0
Retail - Specialty...................... 586,238 0.7
Retail - Specialty Apparel.............. 645,325 0.7
Retail Stores........................... 220,000 0.2
Savings & Loan Associations............. 857,000 1.0
Semiconductor Equipment................. 976,000 1.1
Semiconductors.......................... 1,031,969 1.2
Shoes................................... 437,813 0.5
Steel & Iron............................ 863,979 1.0
Telecommunication Equipment............. 398,452 0.4
Telecommunications...................... 5,939,900 6.7
Textiles - Apparel...................... 179,058 0.2
Tire & Rubber Goods..................... 300,141 0.3
Transportation.......................... 2,192,993 2.5
U.S. Government Agencies................ 7,996,698 9.0
Utilities............................... 53,307 0.1
Utilities - Electric.................... 693,432 0.8
Utilities - Telecommunications.......... 323,258 0.4
----------- -----
$90,008,205 100.9%
----------- -----
----------- -----
</TABLE>
<TABLE>
<CAPTION>
PERCENT OF
TYPE OF INVESTMENT VALUE NET ASSETS
- -----------------------------------------------------------------
<S> <C> <C>
Common Stocks........................... $79,847,012 89.5%
Rights.................................. 17,935 0.0
Short-Term Investments.................. 10,143,258 11.4
----------- -----
$90,008,205 100.9%
----------- -----
----------- -----
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DEVELOPING GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (94.4%)
ADVERTISING (0.4%)
10,000 Valassis Communications, Inc.*........ $ 240,000
--------------
AGRICULTURE (0.5%)
4,000 Dekalb Genetics Corp. (Class B)....... 319,000
--------------
APPAREL & FOOTWEAR (1.7%)
33,800 Braun's Fashions Corp.*............... 278,850
5,000 Jones Apparel Group, Inc.*............ 238,750
5,500 Polo Ralph Lauren Corp.*.............. 150,562
10,000 Quiksilver, Inc.*..................... 317,500
4,600 Samsonite Corp.*...................... 202,975
--------------
1,188,637
--------------
AUTO RELATED (0.9%)
18,000 Miller Industries, Inc.*.............. 288,000
7,300 Tower Automotive, Inc.*............... 313,900
--------------
601,900
--------------
BIOTECHNOLOGY (2.1%)
8,500 Centocor, Inc.*....................... 263,500
10,000 Gilead Sciences, Inc.*................ 276,250
10,100 IDEC Pharmaceuticals Corp.*........... 244,925
18,000 Liposome Co., Inc.*................... 159,750
14,100 Neoprobe Corp.*....................... 196,519
12,565 SangStat Medical Corp.*............... 282,712
--------------
1,423,656
--------------
BUSINESS SERVICES (1.5%)
4,000 Billing Information Concepts Corp.*... 139,000
7,500 Metzler Group, Inc.*.................. 240,000
7,500 Saville Systems, PLC (ADR)*
(Ireland)........................... 390,000
9,750 Sykes Enterprises, Inc.*.............. 251,062
--------------
1,020,062
--------------
CHEMICALS (0.3%)
11,500 Hexcel Corp.*......................... 198,375
--------------
COMMERCIAL EQUIPMENT (0.6%)
2,100 Mas Technology Ltd.*.................. 31,237
23,765 Melita International Corp............. 294,092
4,000 REMEC, Inc.*.......................... 91,000
--------------
416,329
--------------
COMMERCIAL SERVICES (4.1%)
14,000 Cameron Ashley Building Products,
Inc.*............................... 194,250
15,700 Checkfree Corp.*...................... 275,731
14,035 Coinmach Laundry Corp.*............... 333,331
9,000 Consolidated Graphics, Inc.*.......... 375,750
20,000 HA-LO Industries, Inc.*............... 465,000
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
13,300 Iron Mountain, Inc.*.................. $ 389,025
3,500 Lason Holdings, Inc.*................. 98,437
17,700 Sitel Corp.*.......................... 365,062
11,700 U.S. Rentals, Inc.*................... 296,156
--------------
2,792,742
--------------
COMMUNICATIONS EQUIPMENT (3.4%)
10,000 Adtran, Inc.*......................... 247,500
25,265 Boston Communications Group, Inc.*.... 353,710
5,850 Comverse Technology, Inc.*............ 304,931
18,750 Davox Corp.*.......................... 669,141
13,000 Digital Microwave Corp.*.............. 380,250
17,000 Ortel Corp.*.......................... 301,750
1,700 Qwest Communications International,
Inc.*............................... 46,112
--------------
2,303,394
--------------
COMPUTER SOFTWARE (7.4%)
12,500 BEA Systems, Inc.*.................... 226,562
4,700 CBT Group PLC (ADR)* (Ireland)........ 293,750
6,000 Cognos, Inc.* (Canada)................ 186,750
13,000 Credit Management Solutions, Inc.*.... 162,500
10,000 CyberMedia, Inc.*..................... 159,375
8,000 Documentum, Inc.*..................... 197,000
600 Great Plains Software, Inc.*.......... 16,200
7,000 Harbinger Corp.*...................... 196,000
12,000 HPR, Inc.*............................ 217,500
3,000 Imnet Systems, Inc.*.................. 92,625
6,000 Indus Group, Inc. (The)*.............. 115,500
20,800 Infinity Financial Technology,
Inc.*............................... 338,000
17,500 Interlink Computer Sciences, Inc.*.... 131,250
19,000 ISG International Software Group Ltd.*
(Israel)............................ 239,875
10,000 Medic Computer Systems, Inc.*......... 222,500
2,800 New Era of Networks, Inc.*............ 46,200
6,000 Peoplesoft, Inc.*..................... 316,500
8,000 Raptor Systems, Inc.*................. 89,000
18,320 Rational Software Corp.*.............. 306,860
5,900 Remedy Corp.*......................... 234,894
22,300 Segue Software, Inc.*................. 303,837
22,430 Simulation Sciences, Inc.*............ 333,646
8,000 Transaction Systems Architects, Inc.
(Class A)*.......................... 274,000
9,100 Wind River Systems, Inc.*............. 349,212
--------------
5,049,536
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DEVELOPING GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
COMPUTER SOFTWARE & SERVICES (5.5%)
15,000 Affiliated Computer Services, Inc.
(Class A)*.......................... $ 420,000
10,000 Analysts International Corp........... 332,500
13,700 BDM International, Inc.*.............. 311,675
8,940 Cambridge Technology Partners,
Inc.*............................... 281,610
10,000 Computer Task Group, Inc.............. 372,500
10,085 Genesys Telecommunications
Laboratories, Inc................... 278,598
13,000 Information Management Resources,
Inc.*............................... 593,125
18,000 ONTRACK Data International, Inc.*..... 405,000
7,620 Sterling Commerce, Inc.*.............. 250,507
4,750 Sungard Data Systems, Inc.*........... 220,875
6,000 Viasoft, Inc.*........................ 304,500
--------------
3,770,890
--------------
CONSUMER SERVICES (2.3%)
11,000 800-JR CIGAR, Inc.*................... 228,250
4,000 Action Performance Co., Inc.*......... 97,000
19,000 E*TRADE Group, Inc.*.................. 371,687
9,230 Fairfield Communities, Inc.*.......... 310,359
15,900 Gemstar International Group Ltd.*..... 292,162
9,700 General Cigar Holdings, Inc.*......... 285,544
--------------
1,585,002
--------------
DISTRIBUTION (0.4%)
10,900 Central Garden & Pet Co.*............. 269,775
1,100 JLK Direct Distribution, Inc. (Class
A)*................................. 28,187
--------------
297,962
--------------
EDUCATION (1.0%)
16,000 Education Management Corp.*........... 408,000
8,100 Sylvan Learning Systems, Inc.*........ 274,387
--------------
682,387
--------------
ELECTRONICS (3.5%)
1,200 3Dfx Interactive, Inc................. 15,900
14,000 Barringer Technologies, Inc.*......... 208,250
17,000 Creative Technology Ltd.*
(Singapore)......................... 284,750
9,880 Datum, Inc.*.......................... 303,810
6,880 Dynatech Corp.*....................... 245,960
3,800 Hadco Corp.*.......................... 247,000
6,500 Pittway Corp. (Class A)............... 323,375
13,000 Stratasys, Inc.*...................... 208,000
10,800 Technitrol, Inc....................... 295,650
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
7,075 Teradyne, Inc.*....................... $ 277,694
--------------
2,410,389
--------------
ENGINEERING & CONSTRUCTION (2.1%)
16,000 American Precision Industries,
Inc.*............................... 310,000
5,000 Applied Power, Inc. (Class A)......... 258,125
17,600 MagneTek, Inc.*....................... 292,600
6,200 Mueller Industries, Inc.*............. 271,250
11,500 Watsco, Inc........................... 287,500
--------------
1,419,475
--------------
ENTERTAINMENT & LEISURE TIME (2.1%)
6,000 America Online, Inc.*................. 333,750
4,000 Ben & Jerry's Homemade, Inc. (Class
A)*................................. 55,000
8,320 Cinar Films, Inc. (Class B)*
(Canada)............................ 260,000
10,765 Golf Trust of America, Inc.*.......... 299,402
15,000 Oakley, Inc........................... 210,937
10,400 Vail Resorts, Inc.*................... 263,250
--------------
1,422,339
--------------
ENVIRONMENTAL (3.0%)
26,800 Allied Waste Industries, Inc.*........ 455,600
12,340 Memtec Ltd. (ADR) (Australia)......... 323,925
10,800 Newpark Resources, Inc.*.............. 364,500
21,270 Philip Services Corp.................. 337,661
11,000 Tetra Technologies, Inc.*............. 259,875
7,000 United Waste Systems, Inc.*........... 286,125
1,200 Waste Industries, Inc.*............... 21,000
--------------
2,048,686
--------------
FINANCE (1.8%)
6,760 Astoria Financial Corp................ 320,255
8,000 Bank United Corp. (Class A)........... 304,000
16,050 First Colorado Bancorp, Inc........... 306,956
5,600 HealthCare Financial Partners,
Inc.*............................... 112,700
8,000 Nationwide Financial Services, Inc.
(Class A)*.......................... 212,500
--------------
1,256,411
--------------
FINANCIAL SERVICES (4.6%)
21,000 Amresco, Inc.*........................ 451,500
6,165 CMAC Investment Corp.................. 294,379
9,500 Envoy Corp............................ 315,875
3,900 Finova Group Inc...................... 298,350
6,500 GreenPoint Financial Corp............. 432,656
5,725 Legg Mason, Inc....................... 308,077
7,000 McDonald & Co. Investments, Inc....... 321,125
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DEVELOPING GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
12,500 Morgan Keegan, Inc.................... $ 248,437
11,300 PennFed Financial Services, Inc....... 305,100
7,500 People's Bank......................... 194,062
--------------
3,169,561
--------------
FOREST PRODUCTS, PAPER & PACKING (0.4%)
8,450 Buckeye Cellulose Corp.*.............. 285,187
--------------
HEALTHCARE (4.5%)
10,000 Assisted Living Concepts, Inc.*....... 276,250
18,900 Coventry Corp.*....................... 287,044
10,000 EmCare Holdings, Inc.*................ 366,250
10,000 Lincare Holdings, Inc.*............... 430,000
10,765 Magellan Health Services, Inc.*....... 317,567
7,500 Mentor Corp........................... 222,187
24,500 NovaCare, Inc.*....................... 339,938
7,300 PhyCor, Inc.*......................... 250,938
9,025 RehabCare Group, Inc.*................ 333,925
6,800 Total Renal Care Holdings, Inc.*...... 273,275
--------------
3,097,374
--------------
HOTELS/MOTELS (1.3%)
11,000 Interstate Hotels Co.*................ 323,813
14,500 Prime Hospitality Corp................ 286,375
30,000 U.S. Franchise Systems, Inc. (Class
A)*................................. 288,750
--------------
898,938
--------------
HOUSEHOLD FURNISHINGS & APPLIANCES (0.4%)
17,200 O'Sullivan Industries Holdings,
Inc.*............................... 284,875
--------------
INSURANCE (2.0%)
7,140 Delphi Financial Group, Inc. (Class
A)*................................. 274,890
7,500 Fremont General Corp.................. 301,875
10,525 HCC Insurance Holdings, Inc........... 280,886
5,000 SunAmerica, Inc....................... 243,750
8,000 United Wisconsin Services, Inc........ 269,500
--------------
1,370,901
--------------
MEDIA GROUP (1.4%)
4,800 Jacor Communications, Inc.*........... 183,900
12,500 Mecklermedia Corp.*................... 228,125
8,665 Outdoor Systems, Inc.*................ 329,270
7,000 Universal Outdoor Holdings, Inc.*..... 244,125
--------------
985,420
--------------
MEDICAL EQUIPMENT (5.3%)
11,750 ArQule, Inc.*......................... 201,219
12,200 Ballard Medical Products.............. 244,763
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
7,900 Biopsys Medical, Inc.*................ $ 215,275
13,000 Closure Medical Corp.*................ 243,750
28,900 Endovascular Technologies, Inc.*...... 263,713
13,300 ESC Medical Systems Ltd.* (Israel).... 339,150
11,800 MiniMed, Inc.*........................ 311,225
22,000 Owens & Minor, Inc.................... 328,625
12,200 Safeskin Corp.*....................... 359,138
8,000 Sofamor Danek Group, Inc.*............ 366,000
12,000 Sterile Recoveries, Inc.*............. 204,000
9,000 Steris Corp.*......................... 334,125
9,000 VISX, Inc.*........................... 213,750
--------------
3,624,733
--------------
OFFICE EQUIPMENT (0.7%)
7,340 Danka Business Systems PLC (ADR)
(United Kingdom).................... 298,188
20,000 JetFax, Inc.*......................... 150,000
--------------
448,188
--------------
OFFICE EQUIPMENT & SUPPLIES (1.5%)
12,000 American Pad & Paper Co.*............. 202,500
18,000 Mail-Well, Inc.*...................... 513,000
16,500 Viking Office Products, Inc.*......... 311,438
--------------
1,026,938
--------------
OIL & GAS DRILLING (1.7%)
6,800 Cliffs Drilling Co.*.................. 248,200
5,160 Helmerich & Payne, Inc................ 297,345
15,000 Marine Drilling Co., Inc.*............ 292,500
11,360 Rowan Companies, Inc.*................ 320,210
--------------
1,158,255
--------------
OIL DRILLING & SERVICES (2.7%)
6,700 ENSCO International, Inc.*............ 353,425
13,200 Global Industries Ltd.*............... 306,900
12,635 Global Marine, Inc.*.................. 293,764
2,000 Hanover Compressor Co.*............... 39,000
13,410 Noble Drilling Corp.*................. 302,563
4,400 Smith International, Inc.*............ 267,300
9,000 Stone Energy Corp.*................... 246,375
--------------
1,809,327
--------------
OIL RELATED (1.5%)
15,000 Halter Marine Group, Inc.*............ 360,000
10,000 Maverick Tube Corp.*.................. 375,000
12,800 Veritas DGC, Inc.*.................... 291,200
--------------
1,026,200
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DEVELOPING GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
PERSONAL PRODUCTS (1.1%)
12,800 NBTY, Inc.*........................... $ 355,200
15,590 Twinlab Corp.*........................ 372,211
--------------
727,411
--------------
PHARMACEUTICALS (4.4%)
12,900 Biochem Pharma, Inc.*................. 285,413
7,000 Dura Pharmaceuticals, Inc.*........... 278,250
33,400 DUSA Pharmaceuticals, Inc.*........... 204,575
9,500 Inhale Therapeutic Systems*........... 228,000
8,150 Jones Medical Industries, Inc......... 387,125
21,430 Ligand Pharmaceuticals, Inc. (Class
B)*................................. 273,233
10,000 Medicis Pharmaceutical Corp. (Class
A)*................................. 497,500
23,200 Neurocrine Biosciences, Inc.*......... 203,000
11,600 PathoGenesis Corp.*................... 336,400
8,000 Vertex Pharmaceuticals, Inc.*......... 304,000
--------------
2,997,496
--------------
RETAIL (2.7%)
10,480 99 Cents Only Stores*................. 315,710
9,150 Blyth Industries, Inc.*............... 308,813
17,000 Borders Group, Inc.*.................. 410,125
5,500 Dollar Tree Stores, Inc.*............. 277,063
8,300 Men's Wearhouse, Inc. (The)*.......... 261,450
5,700 Meyer (Fred), Inc.*................... 294,619
--------------
1,867,780
--------------
RETAIL - SPECIALTY (1.5%)
6,800 Cole National Corp. (Class A)*........ 299,200
13,300 Hollywood Entertainment Corp.*........ 304,238
8,000 Kenneth Cole Productions, Inc. (Class
A)*................................. 130,500
9,300 Schein (Henry), Inc.*................. 284,813
--------------
1,018,751
--------------
SEMICONDUCTOR EQUIPMENT (4.7%)
13,000 Advanced Energy Industries, Inc.*..... 195,000
5,500 ASM Lithography Holding NV*
(Netherlands)....................... 320,719
7,250 Asyst Technologies, Inc.*............. 315,375
3,000 Brooks Automation, Inc.*.............. 57,750
16,025 Cyberoptics Corp.*.................... 250,391
8,670 Fusion Systems Corp.*................. 343,007
6,000 KLA-Tencor Corp.*..................... 292,500
7,100 Kulicke & Soffa Industries, Inc.*..... 229,419
8,600 MEMC Electronic Materials, Inc.*...... 281,650
5,000 PRI Automation, Inc.*................. 189,375
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
33,000 Quad Systems Corp.*................... $ 268,125
6,000 Semtech Corp.*........................ 217,500
7,000 Watkins-Johnson Co.................... 215,250
--------------
3,176,061
--------------
SEMICONDUCTORS (3.3%)
6,800 Altera Corp.*......................... 343,400
8,950 Analog Devices, Inc.*................. 237,734
5,570 Linear Technology Corp................ 287,551
5,130 Maxim Integrated Products, Inc.*...... 291,128
3,000 RF Micro Devices, Inc.*............... 57,000
100 RWD Technologies, Inc.*............... 1,725
15,775 Supertex, Inc.*....................... 173,525
8,800 TriQuint Semiconductor, Inc.*......... 299,200
5,600 Uniphase Corp.*....................... 323,400
7,500 Vitesse Semiconductor Corp.*.......... 244,688
--------------
2,259,351
--------------
TELECOMMUNICATIONS (0.7%)
9,920 Globalstar Telecommunications Ltd.*
(Bermuda)........................... 297,600
15,000 Transaction Network Services, Inc.*... 210,000
--------------
507,600
--------------
TRANSPORTATION (3.4%)
8,135 Air Express International Corp........ 321,841
15,000 Aviation Sales Co.*................... 367,500
11,100 Budget Group, Inc. (Class A)*......... 382,950
9,410 Hub Group, Inc. (Class A)*............ 283,476
9,000 Midwest Express Holdings, Inc.*....... 246,375
15,290 Offshore Logistics, Inc.*............. 288,599
15,000 OMI Corp.*............................ 143,438
7,800 Teekay Shipping Corp.................. 269,588
--------------
2,303,767
--------------
TOTAL COMMON STOCKS
(IDENTIFIED COST $53,304,977)......... 64,491,286
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS
- -----------
<C> <S> <C>
SHORT-TERM INVESTMENTS (8.4%)
U.S. GOVERNMENT AGENCY (a) (7.3%)
$ 5,000 Federal Home Loan Mortgage Corp. 6.00%
due 07/01/97 (Amortized Cost
$5,000,000)......................... 5,000,000
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DEVELOPING GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- -------------------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENT (1.1%)
$ 767 The Bank of New York 5.75% due
07/01/97 (dated 06/30/97; proceeds
$767,182; collateralized by $317,000
U.S. Treasury Note 8.25% due
07/15/98 valued at $336,571;
$212,534 U.S. Treasury Note 7.125%
due 09/30/99 valued at $220,616; and
$221,905 U.S. Treasury Note 6.375%
due 09/30/01 valued at $225,214)
(Identified cost $767,060).......... $ 767,060
--------------
TOTAL SHORT-TERM INVESTMENTS
(IDENTIFIED COST $5,767,060).......... 5,767,060
--------------
TOTAL INVESTMENTS
(IDENTIFIED COST $59,072,037) (b)......... 102.8% 70,258,346
LIABILITIES IN EXCESS OF OTHER ASSETS..... (2.8) (1,933,457)
----- --------------
NET ASSETS................................ 100.0% $ 68,324,889
----- --------------
----- --------------
<FN>
- ---------------------
ADR American Depository Receipt.
* Non-income producing security.
(a) Security was purchased on a discount basis. The interest rate shown has
been adjusted to reflect a money market equivalent yield.
(b) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $12,710,528 and the
aggregate gross unrealized depreciation is $1,524,219, resulting in net
unrealized appreciation of $11,186,309.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------
<C> <S> <C>
COMMON AND PREFERRED STOCKS, CONVERTIBLE BONDS,
WARRANTS AND RIGHTS (90.5%)
ARGENTINA (4.6%)
BANKS
2,889 Banco de Galicia y Buenos Aires
S.A. de C.V. (ADR)............ $ 75,836
4,821 Banco Frances del Rio de la
Plata S.A. (ADR).............. 156,683
--------------
232,519
--------------
ELECTRIC
1,600 Capex S.A....................... 15,042
--------------
FOOD, BEVERAGE, TOBACCO & HOUSEHOLD PRODUCTS
16,572 Molinos Rio de la Plata S.A.
(Class B)*.................... 64,806
--------------
MULTI-INDUSTRY
45,602 Perez Companc S.A. (Class B).... 366,239
--------------
OIL & GAS
9,775 Yacimentos Petroliferos Fiscales
S.A. (ADR).................... 300,581
--------------
REAL ESTATE
6,500 Inversiones y Representaciones
S.A. (Class B)................ 28,409
--------------
STEEL
27,300 Siderca S.A. (Class A).......... 70,718
--------------
TELECOMMUNICATIONS
990 Telecom Argentina Stet - France
Telecom S.A. (Class B)
(ADR)......................... 51,975
3,600 Telefonica de Argentina S.A.
(ADR)......................... 124,650
--------------
176,625
--------------
TOTAL ARGENTINA................. 1,254,939
--------------
BRAZIL (18.9%)
BANKING
11,690,292 Banco Bradesco S.A. (Pref.)..... 117,837
60,000 Banco Itau S.A. (Pref.)......... 33,612
--------------
151,449
--------------
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------
<C> <S> <C>
BREWERY
200,000 Companhia Cervejaria Brahma
(Conv. Pref.)*................ $ 152,360
--------------
BUILDING MATERIALS
168,000 Companhia Cimento Portland Itau
(Pref.)....................... 57,750
--------------
INVESTMENT COMPANIES
2,700 Brazil Fund, Inc................ 83,025
--------------
METALS & MINING
6,600 Companhia Vale do Rio Doce S.A.
(ADR)......................... 146,850
5,000 Companhia Vale do Rio Doce S.A.
(Pref. B Shares)*............. --
6,400 Companhia Vale do Rio Doce S.A.
(Pref.)....................... 141,568
--------------
288,418
--------------
MISCELLANEOUS
30,000 Encorpar S.A.................... --
--------------
MULTI-INDUSTRY
206,000 Itausa Investimentos Itau S.A.
(Pref.)....................... 189,465
--------------
OIL & GAS
2,239,000 Petroleo Brasileiro S.A.
(Pref.)....................... 621,965
--------------
STEEL & IRON
13,350 Usinas Siderurgicas de Minas
Gerais S.A. (Pref.)........... 148,705
--------------
TELECOMMUNICATIONS
57,062 Cia Riograndense
Telecomunicacoes S.A.......... 86,409
14,430 Telecomunicacoes Brasileiras
S.A. (ADR).................... 2,189,752
13,285 Telecomunicacoes de Sao Paulo
S.A.*......................... 3,919
741,518 Telecomunicacoes de Sao Paulo
S.A. (Pref.)*................. 242,144
--------------
2,522,224
--------------
TEXTILES
30,000 Companhia de Tecidos Norte de
Minas (Pref.)................. 11,706
--------------
UTILITIES - ELECTRIC
10,065 Centrais Electricas Brasileiras
S.A. (ADR).................... 278,675
470,000 Centrais Electricas Brasileiras
S.A. (Pref.).................. 280,323
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------
<C> <S> <C>
1,800,000 Companhia Energetica de Minas
Gerais (Pref.)*............... $ 92,809
7,775 Companhia Energetica de Minas
Gerais S.A. (Pref.) (ADR)*.... 398,955
--------------
1,050,762
--------------
TOTAL BRAZIL.................... 5,277,829
--------------
CHILE (5.1%)
BANKS
2,100 Banco BHIF (ADR)*............... 44,362
6,100 Banco Santander Chile (ADR)..... 89,975
--------------
134,337
--------------
CHEMICALS
2,050 Sociedad Quimica y Minera de
Chile S.A. (B Shares) (ADR)... 135,556
--------------
ELECTRIC
1,800 Chilectra S.A. (ADR) - 144A**... 53,550
--------------
FOOD, BEVERAGE, TOBACCO & HOUSEHOLD PRODUCTS
5,640 Embotelladora Andina S.A.
(Series A) (ADR).............. 120,907
3,540 Embotelladora Andina S.A.
(Series B) (ADR).............. 73,898
2,425 Santa Isabel S.A. (ADR)*........ 78,206
--------------
273,011
--------------
INVESTMENT COMPANIES
4,352 Genesis Chile Fund Ltd.......... 217,056
56,850 The Five Arrows Chile Investment
Trust Fund Ltd................ 191,585
--------------
408,641
--------------
MULTI-INDUSTRY
3,650 Madeco S.A. (ADR)............... 89,425
--------------
RETAIL
2,080 Supermercados Unimarc S.A.
(ADR)*........................ 39,000
--------------
TELECOMMUNICATIONS
6,417 Compania de Telecommunicaciones
de Chile S.A. (ADR)........... 211,761
--------------
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------
<C> <S> <C>
UTILITIES - ELECTRIC
540 Chilgener S.A. (ADR)............ $ 15,120
178 Chilgener S.A. (ADR) (Rights)... 399
2,030 Enersis S.A. (ADR).............. 72,192
--------------
87,711
--------------
TOTAL CHILE..................... 1,432,992
--------------
COLOMBIA (2.0%)
BANKING
15,900 Banco Industrial Colombiano S.A.
(ADR)......................... 286,200
--------------
BUILDING & CONSTRUCTION
21,300 Cementos Diamante S.A. (ADR) -
144A**........................ 276,900
--------------
TOTAL COLOMBIA.................. 563,100
--------------
EGYPT (0.5%)
BANKS
4,825 Commercial International Bank
(GDR) - 144A**................ 100,602
2,250 MISR International Bank S.A.E.
(GDR)* - 144A**............... 37,856
--------------
TOTAL EGYPT..................... 138,458
--------------
HONG KONG (7.5%)
CHEMICALS
347,000 China Merchants Holdings
International Co., Ltd........ 1,079,546
--------------
ELECTRIC
249,000 Beijing Datang Power Generation
Co., Ltd.*.................... 114,913
--------------
FINANCIAL SERVICES
31,800 Min Xin Holdings (Warrants due
12/31/99)..................... --
--------------
MACHINERY
46,000 First Tractor Co. (H Shares)*... 30,285
--------------
REAL ESTATE
28,000 Cheung Kong (Holdings) Ltd...... 276,512
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------
<C> <S> <C>
RETAIL - DEPARTMENT STORES
144,000 China Everbright-IHD Pacific
Ltd........................... $ 430,336
--------------
WHOLESALE DISTRIBUTOR
106,000 Guangnan Holdings............... 165,571
--------------
TOTAL HONG KONG................. 2,097,163
--------------
HUNGARY (0.6%)
CHEMICALS
2,300 BorsodChem RT (GDR) - 144A**.... 90,275
--------------
PHARMACEUTICALS
980 Gedeon Richter RT (GDR)* -
144A**........................ 87,710
--------------
TOTAL HUNGARY................... 177,985
--------------
INDIA (5.1%)
AUTO TRUCKS & PARTS
9,000 Tata Engineering & Locomotive
Co. Ltd. (GDR) - 144A**....... 135,000
--------------
BANKS
12,000 State Bank of India (GDR)*...... 309,000
--------------
FINANCIAL SERVICES
5,025 Hindalco Industries Ltd.
(GDR)*........................ 173,363
--------------
INDUSTRIALS
8,700 Mahindra & Mahindra (GDR)*...... 127,281
--------------
PHARMACEUTICALS
5,000 Ranbaxy Laboratories Ltd
(GDR)......................... 116,250
--------------
TELECOMMUNICATIONS
12,100 Videsh Sanchar Nigam Ltd.
(GDR)*........................ 245,025
--------------
UTILITIES - ELECTRIC
12,500 BSES Ltd. (GDR)................. 325,000
--------------
TOTAL INDIA..................... 1,430,919
--------------
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------
<C> <S> <C>
INDONESIA (4.0%)
BANKING
548,080 PT Bank Internasional
Indonesia..................... $ 473,454
43,740 PT Bank Internasional Indonesia
(Warrants due 01/17/00)*...... 17,093
--------------
490,547
--------------
FOOD, BEVERAGE, TOBACCO & HOUSEHOLD PRODUCTS
40,000 PT Gudang Garam................. 167,832
42,000 PT London Sumatra Indonesia*.... 133,032
--------------
300,864
--------------
RETAIL
63,000 PT Ramayana Lestari Sentosa*.... 181,407
--------------
TELECOMMUNICATIONS
94,000 PT Telekomunikasi............... 153,702
--------------
TOTAL INDONESIA................. 1,126,520
--------------
MALAYSIA (6.2%)
AGRICULTURE
23,000 IOI Corporated Berhad........... 26,244
42,000 Kulim (Malaysia) Berhad......... 79,540
--------------
105,784
--------------
BANKING
96,000 Commerce Asset Holdings
Berhad........................ 252,932
19,200 Commerce Asset Holdings Berhad
(Rights)*..................... 1,141
12,000 Commerce Asset Holdings BHD
(Warrants due 12/31/02)*...... --
92,000 DCB Holdings Berhad............. 291,601
--------------
545,674
--------------
CONGLOMERATES
46,000 Gadek Berhad.................... 255,150
7,000 Gadek Berhad (Warrants due
12/19/00)*.................... 14,699
6,500 Hicom Holdings Berhad (Warrants
due 12/18/00)*................ 5,099
49,000 United Engineers (Malaysia)
Berhad Ltd.................... 353,328
--------------
628,276
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------
<C> <S> <C>
LEISURE
28,000 Magnum Corporation Berhad....... $ 42,155
--------------
RETAIL
100,000 Larut Consolidated Berhad....... 106,181
--------------
TELECOMMUNICATIONS
63,000 Tenaga Nasional Berhad.......... 307,013
--------------
TOTAL MALAYSIA.................. 1,735,083
--------------
MEXICO (11.8%)
BUILDING & CONSTRUCTION
5,280 Empresas ICA Sociedad
Controladora S.A. de C.V.
(ADR)*........................ 84,810
--------------
BUILDING MATERIALS
16,200 Apasco S.A. de C.V.............. 116,473
54,360 Cemex S.A. de C.V. (B Shares)... 265,355
--------------
381,828
--------------
CONGLOMERATES
15,200 DESC S.A. de C.V. (Series B).... 111,584
34,600 Grupo Carso S.A. de C.V. (Series
A1)*.......................... 242,217
45,701 Grupo Industria Alfa S.A. de
C.V. (A Shares)............... 312,436
--------------
666,237
--------------
CONSUMER PRODUCTS
83,650 Kimberly-Clark de Mexico, S.A.
de C.V. (A Shares)............ 337,639
--------------
FINANCIAL SERVICES
30,124 Grupo Financiero Inbursa, S.A.
de C.V. (B Shares)............ 128,430
--------------
FOOD, BEVERAGE, TOBACCO & HOUSEHOLD PRODUCTS
5,200 Empresas la Moderna S.A. de C.V.
(ADR)......................... 111,150
25,200 Fomento Economico Mexicano S.A.
de C.V. (B Shares)............ 150,348
15,800 Grupo Industrial Bimbo S.A. de
C.V. (Series A)............... 113,398
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------
<C> <S> <C>
16,000 Grupo Modelo S.A. de C.V.
(Series C).................... $ 111,201
2,800 Panamerican Beverages, Inc.
(Class A)..................... 92,050
--------------
578,147
--------------
MEDIA GROUP
4,620 Grupo Televisa S.A. de C.V.
(GDR)*........................ 140,333
--------------
RETAIL
14,677 Cifra S.A. de C.V. (Series A)... 27,177
120,000 Cifra S.A. de C.V. (Series
C)*........................... 192,230
--------------
219,407
--------------
STEEL & IRON
7,300 Tubos de Acero de Mexico S.A. de
C.V. (ADR)*................... 134,594
--------------
TELECOMMUNICATIONS
12,940 Telefonos de Mexico S.A. de C.V.
(Series L) (ADR).............. 617,885
--------------
TOTAL MEXICO.................... 3,289,310
--------------
PERU (3.1%)
BREWERS
104,428 Union De Cerv Peruanas Backus &
Johnston S.A.................. 108,640
--------------
BUILDING MATERIALS
69,595 Cementos Lima, S.A.............. 141,394
--------------
FINANCIAL SERVICES
5,018 Credicorp Ltd................... 110,396
--------------
METALS & MINING
4,376 Compania de Minas Buenaventura
S.A. (A Shares)............... 40,741
3,960 Compania de Minas Buenaventura
S.A. (ADR)*................... 77,962
4,044 Compania de Minas Buenaventura
S.A. (B Shares)............... 39,785
--------------
158,488
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------
<C> <S> <C>
TELECOMMUNICATIONS
37,500 CPT Telefonica del Peru S.A. (B
Shares)....................... $ 98,379
9,267 CPT Telefonica del Peru S.A.
(ADR)......................... 242,680
--------------
341,059
--------------
TOTAL PERU...................... 859,977
--------------
PHILIPPINES (1.3%)
BANKS
33,500 Bank of the Philippine
Islands....................... 213,586
--------------
DIVERSIFIED MANUFACTURING
479,000 Solid Group, Inc................ 78,167
--------------
UTILITIES - ELECTRIC
16,893 Manila Electric Co. (B
Shares)....................... 83,343
--------------
TOTAL PHILIPPINES............... 375,096
--------------
POLAND (0.8%)
INVESTMENT COMPANIES
5,288 Polish National Investment
Fund*......................... 225,364
--------------
PORTUGAL (1.2%)
BUILDING MATERIALS
2,940 Cimentos de Portugal S.A........ 68,483
--------------
FOREST PRODUCTS, PAPER & PACKING
9,000 Portucel Industrial Empresa
S.A........................... 66,695
--------------
INVESTMENT COMPANIES
2,300 Sonae Investimentos Sociedade
Gestora de Participacoes
Sociais S.A................... 96,114
--------------
TELECOMMUNICATIONS
2,550 Portugal Telecom S.A............ 102,811
--------------
TOTAL PORTUGAL.................. 334,103
--------------
RUSSIA (4.4%)
METALS
32 Norilsk Nickel (RDC) - 144A**... 303,200
--------------
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------
<C> <S> <C>
OIL & GAS
2,460 Lukoil Holding Co. (ADR) -
144A**........................ $ 191,265
1,000 Surgutneftegaz (ADR) - 144A**... 53,125
--------------
244,390
--------------
TELECOMMUNICATIONS
25 Nizhny Novogrod Svyazinform
(BRIDGE) Certificate -
144A**........................ 124,250
4 Rostelecom (RDC) - 144A**....... 154,700
96 Samara Svyazinform (BRIDGE)
Certificate - 144A**.......... 139,200
38 Ural Telecom (BRIDGE)
Certificate - 144A**.......... 128,250
--------------
546,400
--------------
UTILITIES - ELECTRIC
3,500 Mosenergo (ADR) - 144A**........ 145,250
--------------
TOTAL RUSSIA.................... 1,239,240
--------------
SOUTH AFRICA (1.9%)
FINANCE - DIVERSIFIED
1,980 Anglo American Corp. of South
Africa Ltd.................... 119,315
8,700 Johnnies Industrial Corp.,
Ltd........................... 112,719
--------------
232,034
--------------
METALS & MINING
11,600 Gencor Ltd...................... 53,466
--------------
MULTI-INDUSTRY
11,220 Rembrandt Group Ltd............. 119,759
--------------
OIL & GAS
9,400 Sasol Ltd....................... 123,343
--------------
TOTAL SOUTH AFRICA.............. 528,602
--------------
SOUTH KOREA (3.2%)
ELECTRONICS - SEMICONDUCTORS/COMPONENTS
1,900 L.G. Semiconductor Co.*......... 74,198
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------
<C> <S> <C>
STEEL & IRON
13,500 Pohang Iron & Steel Co., Ltd.
(ADR)......................... $ 432,000
--------------
UTILITIES - ELECTRIC
20,600 Korea Electric Power Corp.
(ADR)......................... 384,963
--------------
TOTAL SOUTH KOREA............... 891,161
--------------
TAIWAN (3.9%)
COMPUTERS
14,000 Acer Inc. (GDR)................. 256,900
--------------
ELECTRONIC & ELECTRICAL EQUIPMENT
$ 60,000 United Microelectronics Corp.,
Ltd. 1.25% due 06/08/04
(Conv.) - 144A**.............. 183,000
--------------
INDUSTRIALS
$ 30,000 Far Eastern Department Stores
3.00% due 07/06/01 (Conv.) -
144A**........................ 32,400
--------------
INVESTMENT COMPANIES
25,400 ROC Taiwan Fund................. 296,863
12,100 The Taiwan Index Fund Ltd....... 187,550
--------------
484,413
--------------
STEEL & IRON
6,027 China Steel Corp. (GDS)......... 126,567
--------------
TOTAL TAIWAN.................... 1,083,280
--------------
VENEZUELA (4.3%)
DIVERSIFIED MANUFACTURING
39,000 Siderurgica Venezolana "Sivensa"
S.A.C.A. (ADR)................ 202,800
--------------
FOODS & BEVERAGES
26,700 Mavesa SA (ADR)................. 270,337
--------------
TELECOMMUNICATIONS
16,950 Compania Anonima Nacional
Telefonos de Venezuela
(ADR)*........................ 730,969
--------------
TOTAL VENEZUELA................. 1,204,106
--------------
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- -------------------------------------------------------------------
<C> <S> <C>
VIETNAM (0.1%)
INVESTMENT COMPANIES
1,800 Lazard Vietnam Fund Ltd......... $ 14,400
--------------
TOTAL COMMON AND PREFERRED STOCKS,
CONVERTIBLE BONDS, WARRANTS AND RIGHTS
(IDENTIFIED COST $19,591,723) (a)........ 90.5 % 25,279,627
CASH AND OTHER ASSETS IN EXCESS OF
LIABILITIES.............................. 9.5 2,663,758
----- ------------
NET ASSETS............................... 100.0% $ 27,943,385
----- ------------
----- ------------
<FN>
- ---------------------
ADR American Depository Receipt.
GDR Global Depository Receipt.
GDS Global Depository Shares.
RDC Russian Depository Certificate.
* 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 is $6,442,907 and the
aggregate gross unrealized depreciation is $755,003, resulting in net
unrealized appreciation of $5,687,904.
</TABLE>
FORWARD FOREIGN CURRENCY CONTRACTS OPEN AT JUNE 30, 1997:
<TABLE>
<CAPTION>
CONTRACTS TO IN DELIVERY UNREALIZED
RECEIVE EXCHANGE FOR DATE APPRECIATION
- ----------------------------------------------------
<S> <C> <C> <C>
MYR 92,296 $ 36,604 07/01/97 $ 36
---
---
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
EMERGING MARKETS
SUMMARY OF INVESTMENTS JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
INDUSTRY VALUE NET ASSETS
- -------------------------------------------------------------------------------
<S> <C> <C>
Agriculture................................ $ 105,784 0.4%
Auto Trucks & Parts........................ 135,000 0.5
Banking.................................... 1,473,870 5.3
Banks...................................... 1,027,900 3.7
Brewers.................................... 108,640 0.4
Brewery.................................... 152,360 0.5
Building & Construction.................... 361,710 1.3
Building Materials......................... 649,454 2.3
Chemicals.................................. 1,305,377 4.7
Computers.................................. 256,900 0.9
Conglomerates.............................. 1,294,514 4.6
Consumer Products.......................... 337,639 1.2
Diversified Manufacturing.................. 280,967 1.0
Electric................................... 183,505 0.7
Electronic & Electrical Equipment.......... 183,000 0.7
Electronics - Semiconductors/Components.... 74,198 0.3
Finance - Diversified...................... 232,034 0.8
Financial Services......................... 412,188 1.5
Food, Beverage, Tobacco & Household
Products................................. 1,216,828 4.4
Foods & Beverages.......................... 270,338 1.0
Forest Products, Paper & Packing........... 66,695 0.2
Industrials................................ 159,681 0.6
Investment Companies....................... 1,311,956 4.7
Leisure.................................... 42,155 0.2
<CAPTION>
PERCENT OF
INDUSTRY VALUE NET ASSETS
- -------------------------------------------------------------------------------
<S> <C> <C>
Machinery.................................. $ 30,285 0.1%
Media Group................................ 140,333 0.5
Metals..................................... 303,200 1.1
Metals & Mining............................ 500,372 1.8
Multi-Industry............................. 764,888 2.7
Oil & Gas.................................. 1,290,280 4.6
Pharmaceuticals............................ 203,960 0.7
Real Estate................................ 304,921 1.1
Retail..................................... 545,994 2.0
Retail - Department Stores................. 430,336 1.5
Steel...................................... 70,718 0.2
Steel & Iron............................... 841,866 3.0
Telecommunications......................... 5,955,474 21.3
Textiles................................... 11,706 0.0
Utilities - Electric....................... 2,077,029 7.4
Wholesale Distributor...................... 165,572 0.6
----------------- ---
$ 25,279,627 90.5%
----------------- ---
----------------- ---
</TABLE>
<TABLE>
<CAPTION>
PERCENT OF
TYPE OF INVESTMENT VALUE NET ASSETS
- -------------------------------------------------------------------------------
<S> <C> <C>
Common Stocks.............................. $ 22,536,597 80.7%
Convertible Bonds.......................... 215,400 0.8
Convertible Preferred Stock................ 152,360 0.5
Preferred Stocks........................... 2,336,839 8.4
Rights & Warrants.......................... 38,431 0.1
----------------- ---
$ 25,279,627 90.5%
----------------- ---
----------------- ---
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
MID-CAP GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (59.4%)
AGRICULTURE RELATED (2.3%)
850 Dekalb Genetics Corp. (Class B)........ $ 67,787
1,200 Delta & Pine Land Co................... 42,750
100 IMC Global, Inc........................ 3,500
700 Pioneer Hi-Bred International, Inc..... 56,000
650 Tyson Foods, Inc. (Class A)............ 12,350
-------------
182,387
-------------
APPAREL & FOOTWEAR (0.6%)
600 Jones Apparel Group, Inc.*............. 28,650
500 Reebok International Ltd............... 23,375
-------------
52,025
-------------
AUTO RELATED (0.5%)
600 Miller Industries, Inc.*............... 9,600
1,000 Pep Boys-Manny, Moe & Jack............. 34,062
-------------
43,662
-------------
BANKS (2.3%)
300 City National Corp..................... 7,219
200 Comerica, Inc.......................... 13,600
200 Crestar Financial Corp................. 7,775
300 Fifth Third Bancorp.................... 24,600
300 First of America Bank Corp............. 13,725
100 First Union Corp....................... 9,250
1,300 Firstar Corp........................... 39,650
800 KeyCorp................................ 44,700
400 National Commerce Bancorporation....... 8,800
400 North Fork Bancorporation, Inc......... 8,550
200 Washington Mutual, Inc................. 11,950
-------------
189,819
-------------
BIOTECHNOLOGY (2.2%)
2,200 Alkermes, Inc.*........................ 31,900
1,200 Biochem Pharma, Inc.*.................. 26,550
500 Centocor, Inc.*........................ 15,500
1,300 Gilead Sciences, Inc.*................. 35,912
1,800 IDEC Pharmaceuticals Corp.*............ 43,650
650 Vertex Pharmaceuticals, Inc.*.......... 24,700
-------------
178,212
-------------
CAPITAL GOODS (1.3%)
500 Precision Castparts Corp............... 29,812
720 Sundstrand Corp........................ 40,185
300 Tyco International Ltd................. 20,869
400 Wyman-Gordon Co.*...................... 10,800
-------------
101,666
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
COMMUNICATIONS EQUIPMENT (4.5%)
3,000 Bay Networks, Inc.*.................... $ 79,687
2,125 Brightpoint, Inc.*..................... 69,195
1,400 Ericsson (L.M.) Telephone Co. (Class B)
(ADR) (Sweden)....................... 55,125
700 Newbridge Networks Corp. (Canada)*..... 30,450
600 Northern Telecom Ltd. (Canada)......... 54,600
1,400 Tellabs, Inc.*......................... 78,050
-------------
367,107
-------------
COMPUTER EQUIPMENT (1.7%)
1,300 EMC Corp.*............................. 50,700
1,000 Quantum Corp.*......................... 20,312
500 SCI Systems, Inc.*..................... 31,875
900 Seagate Technology, Inc.*.............. 31,669
-------------
134,556
-------------
COMPUTER SERVICES (0.5%)
2,100 Checkfree Corp.*....................... 36,881
50 Diebold, Inc........................... 1,950
-------------
38,831
-------------
COMPUTER SOFTWARE (1.5%)
500 BMC Software, Inc.*.................... 27,687
500 Computer Associates International,
Inc.................................. 27,844
100 Great Plains Software, Inc............. 2,700
350 Peoplesoft, Inc.*...................... 18,462
900 Veritas Software Corp.*................ 45,000
-------------
121,693
-------------
CONSTRUCTION (0.4%)
800 American Standard Companies, Inc.*..... 35,800
-------------
CONSUMER - NONCYCLICAL (4.6%)
800 Alberto-Culver Co. (Class B)........... 22,400
500 Avon Products, Inc..................... 35,281
250 Clorox Co.............................. 33,000
1,000 Consolidated Cigar Holdings Inc. (Class
A)*.................................. 27,750
1,200 Heinz (H.J.) Co........................ 55,350
600 Hershey Foods Corp..................... 33,187
500 Interstate Bakeries Corp............... 29,656
1,500 PanAmerican Beverages, Inc. (Class A)
(Mexico)............................. 49,312
300 Procter & Gamble Co.................... 42,375
100 Unilever N.V. PLC (Netherlands)........ 21,800
1,000 Whitman Corp........................... 25,312
-------------
375,423
-------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
MID-CAP GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
CONSUMER BUSINESS SERVICES (1.8%)
900 Corrections Corp. of America*.......... $ 35,775
800 Mail Boxes Etc.*....................... 22,200
400 Pittston Brink's Group................. 12,000
1,500 Service Corp. International............ 49,312
700 U.S.A. Waste Services, Inc.*........... 27,037
-------------
146,324
-------------
CONSUMER PRODUCTS (3.7%)
1,900 Arbor Drugs, Inc....................... 38,119
200 Callaway Golf Co....................... 7,100
500 CVS Corp............................... 25,625
1,400 Dean Foods Co.......................... 56,525
1,300 Dominick's Supermarkets, Inc.*......... 34,612
2,400 Kroger Co.*............................ 69,600
1,500 Safeway, Inc.*......................... 69,187
-------------
300,768
-------------
DRUGS (1.2%)
1,100 Dura Pharmaceuticals, Inc.*............ 43,725
1,000 Medicis Pharmaceutical Corp. (Class
A)*.................................. 49,750
250 Pharmaceutical Product Development,
Inc.*................................ 5,375
-------------
98,850
-------------
ENERGY (3.9%)
1,300 Baker Hughes, Inc...................... 50,294
1,500 Cooper Cameron Corp.*.................. 70,125
600 Diamond Offshore Drilling, Inc.*....... 46,875
400 ENSCO International, Inc.*............. 21,100
200 Falcon Drilling Company, Inc.*......... 11,525
800 Halter Marine Group, Inc.*............. 19,200
100 Louisiana Land & Exploration Co........ 5,712
200 Petroleum Geo - Services ASA (ADR)*.... 9,775
100 Rowan Companies, Inc.*................. 2,819
400 Santa Fe International Corp.*.......... 13,600
900 Smith International, Inc.*............. 54,675
100 Western Atlas, Inc.*................... 7,325
-------------
313,025
-------------
ENTERTAINMENT/GAMING & LODGING (1.7%)
1,200 HFS Incorporated*...................... 69,600
1,500 International Game Technology.......... 26,625
600 MGM Grand, Inc.*....................... 22,200
300 Mirage Resorts, Inc.*.................. 7,575
900 Sodak Gaming, Inc.*.................... 13,162
-------------
139,162
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
FINANCIAL - MISCELLANEOUS (2.8%)
200 Alex. Brown, Inc....................... $ 14,125
500 Associates First Capital Corp. (Class
A)................................... 27,750
525 Bear Stearns Companies, Inc............ 17,948
1,300 Catellus Development Corp.*............ 23,562
200 CMAC Investment Corp................... 9,550
900 Edwards (A.G.), Inc.................... 38,475
100 Finova Group Inc....................... 7,650
1,000 Legg Mason, Inc........................ 53,812
300 Lehman Brothers Holdings, Inc.......... 12,150
400 MGIC Investment Corp................... 19,175
100 Paine Webber Group, Inc................ 3,500
-------------
227,697
-------------
HEALTHCARE PRODUCTS & SERVICES (2.7%)
500 Dentsply International, Inc............ 24,438
1,400 Health Management Associates, Inc.
(Class A)*........................... 39,900
2,500 Healthsouth Corp.*..................... 62,344
600 PhyCor, Inc.*.......................... 20,625
2,800 Renal Treatment Centers, Inc.*......... 75,250
-------------
222,557
-------------
INSURANCE (1.0%)
800 CRA Managed Care, Inc.*................ 41,750
400 Equitable of Iowa Co................... 22,400
100 Executive Risk, Inc.................... 5,200
200 Nationwide Financial Services, Inc.
(Class A)*........................... 5,313
200 Protective Life Corp................... 10,050
-------------
84,713
-------------
INTERNET (0.8%)
1,100 America Online, Inc.*.................. 61,188
100 Security Dynamics Technologies,
Inc.*................................ 3,675
-------------
64,863
-------------
MEDIA GROUP (2.8%)
1,000 Argyle Television, Inc. (Class A)*..... 25,125
400 Clear Channel Communications, Inc.*.... 24,600
600 Evergreen Media Corp. (Class A)*....... 26,700
200 Heftel Broadcasting Corp. (Class A)*... 10,900
1,100 Jacor Communications, Inc.*............ 42,144
1,000 Outdoor Systems, Inc.*................. 38,000
400 Telemundo Group, Inc. (Class A)*....... 9,450
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
MID-CAP GROWTH
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
800 Universal Outdoor Holdings, Inc.*...... $ 27,900
500 Univision Communications, Inc. (Class
A)*.................................. 19,563
-------------
224,382
-------------
MEDICAL SUPPLIES (1.3%)
200 Guidant Corp........................... 17,000
2,700 Mentor Corp............................ 79,988
600 Nellcor Puritan Bennett Inc.*.......... 10,875
-------------
107,863
-------------
RESTAURANTS (0.4%)
800 Starbucks Corp.*....................... 31,150
-------------
RETAIL (3.4%)
800 99 Cents Only Stores*.................. 24,100
1,100 Barnes & Noble, Inc.*.................. 47,300
600 Costco Companies Inc.*................. 19,725
1,200 Eagle Hardware & Garden, Inc.*......... 27,375
2,100 General Nutrition Companies, Inc.*..... 58,538
250 Kohl's Corp.*.......................... 13,234
100 Neiman-Marcus Group, Inc.*............. 2,625
300 Polo Ralph Lauren Corp.*............... 8,213
1,300 Proffitt's, Inc.*...................... 56,875
400 Tiffany & Co........................... 18,475
-------------
276,460
-------------
SEMICONDUCTOR CAPITAL EQUIPMENT (2.8%)
900 Applied Materials, Inc.*............... 63,675
500 DuPont Photomasks, Inc.*............... 26,969
600 Etec Systems, Inc.*.................... 25,688
2,350 KLA-Tencor Corp.*...................... 114,563
-------------
230,895
-------------
SEMICONDUCTORS (5.7%)
900 Actel Corp.*........................... 15,188
2,700 Analog Devices, Inc.*.................. 71,719
1,000 Burr-Brown Corp.*...................... 34,375
3,300 Cypress Semiconductor Corp.*........... 47,850
500 Lattice Semiconductor Corp.*........... 28,188
500 Linear Technology Corp................. 25,813
1,300 LSI Logic Corp.*....................... 41,600
600 Micrel, Inc.*.......................... 30,300
2,000 Micron Technology, Inc................. 79,875
100 Rambus Inc.*........................... 4,613
2,500 Vitesse Semiconductor Corp.*........... 81,563
-------------
461,084
-------------
<CAPTION>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------
<C> <S> <C>
TRANSPORTATION (1.0%)
500 Knightsbridge Tankers Ltd.............. $ 12,563
1,000 OMI Corp.*............................. 9,563
100 Ryanair Holdings PLC (Ireland)
(ADR)*............................... 2,688
600 Teekay Shipping Corp................... 20,738
1,000 US Airways Group, Inc.*................ 35,000
-------------
80,552
-------------
TOTAL COMMON STOCKS
(IDENTIFIED COST $4,321,212)........... 4,831,526
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT IN
THOUSANDS
- -----------
<C> <S> <C>
SHORT-TERM INVESTMENT (a) (39.4%)
U.S. GOVERNMENT AGENCY
$ 3,200 Federal Home Loan Mortgage Corp. 6.00%
due 07/01/97 (AMORTIZED COST
$3,200,000).......................... 3,200,000
-------------
TOTAL INVESTMENTS
(IDENTIFIED COST $7,521,212) (b).......... 98.8 % 8,031,526
CASH AND OTHER ASSETS IN EXCESS OF
LIABILITIES............................... 1.2 96,301
----- -------------
NET ASSETS................................ 100.0% $ 8,127,827
----- -------------
----- -------------
<FN>
- ---------------------
ADR American Depository Receipt.
* Non-income producing security.
(a) Security was purchased on a discount basis. The interest rate shown has
been adjusted to reflect a money market equivalent yield.
(b) The aggregate cost for federal income tax purposes approximates identified
cost. The aggregate gross unrealized appreciation is $572,626 and the
aggregate gross unrealized depreciation is $62,312, resulting in net
unrealized appreciation of $510,314.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL STATEMENTS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
NORTH AMERICAN
GOVERNMENT DIVERSIFIED
MONEY MARKET SECURITIES INCOME BALANCED UTILITIES
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments in securities, at value *... $ 103,050,349 $ 4,597,674 $ 47,062,560 $ 54,743,936 $ 39,163,366
Cash.................................... 4,492 -- 383,884** 10,767 78,914
Receivable for:
Investments sold.................... -- -- 281,031 -- 244,624
Shares of beneficial interest sold.. 196,088 40,951 161,120 180,706 5,674
Dividends........................... -- -- -- 20,952 72,506
Dividends from affiliate............ -- -- -- -- --
Interest............................ 110,077 28,778 894,637 197,447 8,815
Foreign withholding taxes
reclaimed......................... -- -- -- -- 6,922
Compensated forward foreign currency
contracts......................... -- -- 106,596 -- --
Unrealized appreciation on open forward
foreign currency contracts............ -- -- 376,340 -- --
Prepaid expenses and other assets....... 5,339 737 371 430 349
Deferred organizational expenses........ 3,790 3,790 3,790 3,790 3,790
Receivable from affiliate............... -- -- -- -- --
-------------- --------------- --------------- -------------- --------------
TOTAL ASSETS....................... 103,370,135 4,671,930 49,270,329 55,158,028 39,584,960
-------------- --------------- --------------- -------------- --------------
LIABILITIES:
Payable for:
Investments purchased............... -- -- 2,548,571 4,416 22,000
Shares of beneficial interest
repurchased....................... -- 790 150,306 107,683 93,926
Compensated forward foreign currency
contracts......................... -- -- 45,977 -- --
Dividends to shareholders........... 42,449 -- -- -- --
Investment management fees.......... 546,358 2,514 15,483 34,228 21,600
Unrealized depreciation on open forward
foreign currency contracts............ -- -- 3,219 -- --
Accrued expenses and other payables..... 14,318 18,107 15,741 10,791 15,530
-------------- --------------- --------------- -------------- --------------
TOTAL LIABILITIES.................. 603,125 21,411 2,779,297 157,118 153,056
-------------- --------------- --------------- -------------- --------------
NET ASSETS:
Paid-in-capital......................... 102,766,956 4,631,193 46,301,834 47,658,040 34,613,148
Accumulated undistributed (dividends in
excess of) net investment income...... 46 19,278 324,853 77,102 87,540
Accumulated undistributed net realized
gain (accumulated net realized
loss)................................. 8 (10,341) 167,743 753,254 (429,813)
Net unrealized appreciation
(depreciation)........................ -- 10,389 (303,398) 6,512,514 5,161,029
-------------- --------------- --------------- -------------- --------------
NET ASSETS......................... $ 102,767,010 $ 4,650,519 $ 46,491,032 $ 55,000,910 $ 39,431,904
-------------- --------------- --------------- -------------- --------------
-------------- --------------- --------------- -------------- --------------
*IDENTIFIED COST................... $ 103,050,349 $ 4,587,285 $ 47,727,492 $ 48,231,422 $ 34,002,337
-------------- --------------- --------------- -------------- --------------
-------------- --------------- --------------- -------------- --------------
SHARES OF BENEFICIAL INTEREST
OUTSTANDING........................ 102,766,956 459,769 4,545,077 3,887,404 2,890,671
-------------- --------------- --------------- -------------- --------------
-------------- --------------- --------------- -------------- --------------
NET ASSET VALUE PER SHARE
(UNLIMITED AUTHORIZED SHARES OF $.01 PAR
VALUE).................................. $1.00 $10.11 $10.23 $14.15 $13.64
-------------- --------------- --------------- -------------- --------------
-------------- --------------- --------------- -------------- --------------
<FN>
- ------------------
** Includes foreign cash of $34,003.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL STATEMENTS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
DIVIDEND VALUE-ADDED
GROWTH MARKET CORE EQUITY AMERICAN VALUE GLOBAL EQUITY
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments in securities, at value *.. $ 405,788,861 $ 110,382,092 $ 29,706,699 $ 165,875,225 $ 90,008,205
Cash................................... -- -- -- -- --
Receivable for:
Investments sold................... 911,838 1,439,446 312,536 2,742,939 --
Shares of beneficial interest
sold............................. 1,631,416 331,575 109,146 373,559 163,362
Dividends.......................... 731,375 110,769 16,682 80,076 148,499
Dividends from affiliate........... -- 574 -- -- --
Interest........................... 606 814 143 809 343
Foreign withholding taxes
reclaimed........................ -- -- -- 204 37,903
Compensated forward foreign
currency contracts............... -- -- -- -- --
Unrealized appreciation on open forward
foreign currency contracts........... -- -- -- -- --
Prepaid expenses and other assets...... 10,790 521 218 750 824
Deferred organizational expenses....... 3,790 3,790 3,790 3,790 3,790
Receivable from affiliate.............. -- -- -- -- --
-------------- -------------- -------------- -------------- --------------
TOTAL ASSETS...................... 409,078,676 112,269,581 30,149,214 169,077,352 90,362,926
-------------- -------------- -------------- -------------- --------------
LIABILITIES:
Payable for:
Investments purchased.............. 2,518,823 4,468,074 1,021,531 2,661,480 1,066,935
Shares of beneficial interest
repurchased...................... 236,129 63,793 24,231 135,575 21,271
Compensated forward foreign
currency contracts............... -- -- -- -- --
Dividends to shareholders.......... -- -- -- -- --
Investment management fees......... 208,148 44,696 20,321 85,920 73,719
Unrealized depreciation on open forward
foreign currency contracts........... -- -- -- -- --
Accrued expenses and other payables.... 17,765 16,564 8,340 22,044 28,340
-------------- -------------- -------------- -------------- --------------
TOTAL LIABILITIES................. 2,980,865 4,593,127 1,074,423 2,905,019 1,190,265
-------------- -------------- -------------- -------------- --------------
NET ASSETS:
Paid-in-capital........................ 331,292,135 87,517,209 24,269,759 140,394,757 76,336,136
Accumulated undistributed (dividends in
excess of) net investment income..... 672,110 135,025 (6,787) 8,987 75,488
Accumulated undistributed net realized
gain (accumulated net realized
loss)................................ 10,228,230 323,773 169,486 6,382,566 1,489,941
Net unrealized appreciation
(depreciation)....................... 63,905,336 19,700,447 4,642,333 19,386,023 11,271,096
-------------- -------------- -------------- -------------- --------------
NET ASSETS........................ $ 406,097,811 $ 107,676,454 $ 29,074,791 $ 166,172,333 $ 89,172,661
-------------- -------------- -------------- -------------- --------------
-------------- -------------- -------------- -------------- --------------
*IDENTIFIED COST.................. $ 341,883,525 $ 90,681,645 $ 25,064,366 $ 146,489,202 $ 78,740,090
-------------- -------------- -------------- -------------- --------------
-------------- -------------- -------------- -------------- --------------
SHARES OF BENEFICIAL INTEREST
OUTSTANDING....................... 21,889,255 6,679,853 1,901,163 9,883,779 6,591,980
-------------- -------------- -------------- -------------- --------------
-------------- -------------- -------------- -------------- --------------
NET ASSET VALUE PER SHARE
(UNLIMITED AUTHORIZED SHARES OF $.01
PAR VALUE)............................. $18.55 $16.12 $15.29 $16.81 $13.53
-------------- -------------- -------------- -------------- --------------
-------------- -------------- -------------- -------------- --------------
<CAPTION>
DEVELOPING EMERGING
GROWTH MARKETS MID-CAP GROWTH
<S> <C> <C> <C>
- ---------------------------------------
ASSETS:
Investments in securities, at value *.. $ 70,258,346 $ 25,279,627 $ 8,031,526
Cash................................... -- 2,705,679 39,152
Receivable for:
Investments sold................... 46,606 96,871 2,100
Shares of beneficial interest
sold............................. 93,355 31,350 54,534
Dividends.......................... 8,425 81,306 1,543
Dividends from affiliate........... -- -- --
Interest........................... 123 30,374 --
Foreign withholding taxes
reclaimed........................ -- 879 --
Compensated forward foreign
currency contracts............... -- -- --
Unrealized appreciation on open forward
foreign currency contracts........... -- -- --
Prepaid expenses and other assets...... 488 3,216 --
Deferred organizational expenses....... 3,790 3,790 --
Receivable from affiliate.............. -- -- 6,154
-------------- -------------- --------------
TOTAL ASSETS...................... 70,411,133 28,233,092 8,135,009
-------------- -------------- --------------
LIABILITIES:
Payable for:
Investments purchased.............. 1,974,842 228,056 --
Shares of beneficial interest
repurchased...................... 62,643 16,236 1,028
Compensated forward foreign
currency contracts............... -- -- --
Dividends to shareholders.......... -- -- --
Investment management fees......... 28,329 28,325 --
Unrealized depreciation on open forward
foreign currency contracts........... -- -- --
Accrued expenses and other payables.... 20,430 17,090 6,154
-------------- -------------- --------------
TOTAL LIABILITIES................. 2,086,244 289,707 7,182
-------------- -------------- --------------
NET ASSETS:
Paid-in-capital........................ 62,028,028 22,255,554 7,739,651
Accumulated undistributed (dividends in
excess of) net investment income..... 26,111 17,132 15,567
Accumulated undistributed net realized
gain (accumulated net realized
loss)................................ (4,915,559) (16,673) (137,705)
Net unrealized appreciation
(depreciation)....................... 11,186,309 5,687,372 510,314
-------------- -------------- --------------
NET ASSETS........................ $ 68,324,889 $ 27,943,385 $ 8,127,827
-------------- -------------- --------------
-------------- -------------- --------------
*IDENTIFIED COST.................. $ 59,072,037 $ 19,591,723 $ 7,521,212
-------------- -------------- --------------
-------------- -------------- --------------
SHARES OF BENEFICIAL INTEREST
OUTSTANDING....................... 3,940,031 2,038,747 790,668
-------------- -------------- --------------
-------------- -------------- --------------
NET ASSET VALUE PER SHARE
(UNLIMITED AUTHORIZED SHARES OF $.01
PAR VALUE)............................. $17.34 $13.71 $10.28
-------------- -------------- --------------
-------------- -------------- --------------
</TABLE>
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL STATEMENTS, CONTINUED
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
NORTH
AMERICAN
GOVERNMENT DIVERSIFIED
MONEY MARKET SECURITIES INCOME BALANCED UTILITIES
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
INCOME
Dividends............................... $ -- $ -- $ -- $ 155,831** $ 589,760**
Interest................................ 2,534,446 134,745 1,667,513 531,241 126,570
-------------- ------------ ------------ ------------ ------------
TOTAL INCOME....................... 2,534,446 134,745 1,667,513 687,072 716,330
-------------- ------------ ------------ ------------ ------------
EXPENSES
Custodian fees.......................... 5,700 8,795 16,902 9,006 6,389
Investment management fee............... 227,749 14,184 76,809 179,386 119,030
Organizational expenses................. 796 796 796 796 796
Other................................... 1,137 1,106 -- 2,497 1,283
Professional fees....................... 6,508 8,383 7,217 6,885 7,780
Shareholder reports and notices......... 6,291 2,200 4,629 6,080 7,663
Transfer agent fees and expenses........ 239 248 248 248 248
Trustees' fees and expenses............. 1,213 329 258 316 329
-------------- ------------ ------------ ------------ ------------
TOTAL EXPENSES..................... 249,633 36,041 106,859 205,214 143,518
LESS: AMOUNTS REIMBURSED/ WAIVED... -- -- -- -- --
-------------- ------------ ------------ ------------ ------------
NET EXPENSES....................... 249,633 36,041 106,859 205,214 143,518
-------------- ------------ ------------ ------------ ------------
NET INVESTMENT INCOME.............. 2,284,813 98,704 1,560,654 481,858 572,812
-------------- ------------ ------------ ------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments......................... 8 (1,261) (288,909) 782,072 (255,394)
Foreign exchange transactions....... -- -- 417,101 -- --
-------------- ------------ ------------ ------------ ------------
NET GAIN (LOSS).................... 8 (1,261) 128,192 782,072 (255,394)
-------------- ------------ ------------ ------------ ------------
Net change in unrealized appreciation/
depreciation on:
Investments......................... -- 15,066 (543,643) 3,186,098 2,431,961
Translation of forward foreign
currency contracts, other assets
and liabilities denominated in
foreign currencies................ -- -- 288,195 -- --
-------------- ------------ ------------ ------------ ------------
NET APPRECIATION (DEPRECIATION).... -- 15,066 (255,448) 3,186,098 2,431,961
-------------- ------------ ------------ ------------ ------------
NET GAIN (LOSS).................... 8 13,805 (127,256) 3,968,170 2,176,567
-------------- ------------ ------------ ------------ ------------
NET INCREASE............................ $ 2,284,821 $ 112,509 $ 1,433,398 $ 4,450,028 $ 2,749,379
-------------- ------------ ------------ ------------ ------------
-------------- ------------ ------------ ------------ ------------
<FN>
- ------------------
* For the period January 21, 1997 (Commencement of operations) through June
30, 1997.
** Net of foreign withholding tax of $364, $12,123, $2,268, $2,822, $55,651,
$188, $20,127 and $122, respectively.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL STATEMENTS, CONTINUED
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
DIVIDEND VALUE-ADDED
GROWTH MARKET CORE EQUITY AMERICAN VALUE GLOBAL EQUITY
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
INCOME
Dividends.............................. $ 4,469,670 $ 764,523** $ 119,438 $ 560,210** $ 600,695**
Interest............................... 218,291 201,077 13,990 277,887 259,203
-------------- -------------- -------------- -------------- --------------
TOTAL INCOME...................... 4,687,961 965,600 133,428 838,097 859,898
-------------- -------------- -------------- -------------- --------------
EXPENSES
Custodian fees......................... 12,307 13,235 4,704 15,382 27,013
Investment management fee.............. 1,000,231 220,908 98,907 440,833 357,955
Organizational expenses................ 796 796 796 796 796
Other.................................. 1,103 6,508 1,313 2,293 7,416
Professional fees...................... 2,027 6,766 7,531 7,361 8,231
Shareholder reports and notices........ 30,943 13,994 2,544 22,993 8,709
Transfer agent fees and expenses....... 248 248 248 248 248
Trustees' fees and expenses............ 2,002 755 97 953 362
-------------- -------------- -------------- -------------- --------------
TOTAL EXPENSES.................... 1,049,657 263,210 116,140 490,859 410,730
LESS: AMOUNTS REIMBURSED/
WAIVED............................ -- -- -- -- --
-------------- -------------- -------------- -------------- --------------
NET EXPENSES...................... 1,049,657 263,210 116,140 490,859 410,730
-------------- -------------- -------------- -------------- --------------
NET INVESTMENT INCOME............. 3,638,304 702,390 17,288 347,238 449,168
-------------- -------------- -------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN
(LOSS):
Net realized gain (loss) on:
Investments........................ 10,338,190 323,773 205,376 6,697,758 2,357,819
Foreign exchange transactions...... -- -- -- -- (1,023)
-------------- -------------- -------------- -------------- --------------
NET GAIN (LOSS)................... 10,338,190 323,773 205,376 6,697,758 2,356,796
-------------- -------------- -------------- -------------- --------------
Net change in unrealized appreciation/
depreciation on:
Investments........................ 41,814,569 11,823,913 2,858,662 10,057,462 6,617,637
Translation of forward foreign
currency contracts, other assets
and liabilities denominated in
foreign currencies............... -- -- -- -- 2,255
-------------- -------------- -------------- -------------- --------------
NET APPRECIATION (DEPRECIATION)... 41,814,569 11,823,913 2,858,662 10,057,462 6,619,892
-------------- -------------- -------------- -------------- --------------
NET GAIN (LOSS)................... 52,152,759 12,147,686 3,064,038 16,755,220 8,976,688
-------------- -------------- -------------- -------------- --------------
NET INCREASE........................... $ 55,791,063 $ 12,850,076 $ 3,081,326 $ 17,102,458 $ 9,425,856
-------------- -------------- -------------- -------------- --------------
-------------- -------------- -------------- -------------- --------------
<CAPTION>
DEVELOPING EMERGING MID-CAP
GROWTH MARKETS GROWTH*
<S> <C> <C> <C>
- ---------------------------------------
INVESTMENT INCOME:
INCOME
Dividends.............................. $ 39,958** $ 214,968** $ 6,664**
Interest............................... 292,415 49,266 47,349
-------------- -------------- --------------
TOTAL INCOME...................... 332,373 264,234 54,013
-------------- -------------- --------------
EXPENSES
Custodian fees......................... 15,526 29,852 3,624
Investment management fee.............. 155,525 138,597 15,624
Organizational expenses................ 796 796 --
Other.................................. 2,125 2,953 328
Professional fees...................... 6,503 9,175 7,578
Shareholder reports and notices........ 12,360 1,003 1,073
Transfer agent fees and expenses....... 248 248 221
Trustees' fees and expenses............ 552 787 16
-------------- -------------- --------------
TOTAL EXPENSES.................... 193,635 183,411 28,464
LESS: AMOUNTS REIMBURSED/
WAIVED............................ -- -- (28,464)
-------------- -------------- --------------
NET EXPENSES...................... 193,635 183,411 --
-------------- -------------- --------------
NET INVESTMENT INCOME............. 138,738 80,823 54,013
-------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN
(LOSS):
Net realized gain (loss) on:
Investments........................ (2,920,924) 276,190 (137,705)
Foreign exchange transactions...... -- 603 --
-------------- -------------- --------------
NET GAIN (LOSS)................... (2,920,924) 276,793 (137,705)
-------------- -------------- --------------
Net change in unrealized appreciation/
depreciation on:
Investments........................ 4,756,501 4,318,808 510,314
Translation of forward foreign
currency contracts, other assets
and liabilities denominated in
foreign currencies............... -- (337) --
-------------- -------------- --------------
NET APPRECIATION (DEPRECIATION)... 4,756,501 4,318,471 510,314
-------------- -------------- --------------
NET GAIN (LOSS)................... 1,835,577 4,595,264 372,609
-------------- -------------- --------------
NET INCREASE........................... $ 1,974,315 $ 4,676,087 $ 426,622
-------------- -------------- --------------
-------------- -------------- --------------
</TABLE>
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL STATEMENTS, CONTINUED
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
NORTH AMERICAN
MONEY MARKET GOVERNMENT SECURITIES
------------------------------- ------------------------------
FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED MONTHS ENDED ENDED
JUNE 30, 1997 DECEMBER 31, JUNE 30, 1997 DECEMBER 31,
(UNAUDITED) 1996 (UNAUDITED) 1996
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income................... $ 2,284,813 $ 2,961,002 $ 98,704 $ 158,771
Net realized gain (loss)................ 8 -- (1,261) (8,538)
Net change in unrealized
appreciation/depreciation............. -- -- 15,066 (11,739)
-------------- -------------- ------------- --------------
NET INCREASE....................... 2,284,821 2,961,002 112,509 138,494
-------------- -------------- ------------- --------------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income................... (2,284,805) (2,960,990) (98,699) (144,983)
Net realized gain....................... -- -- -- --
-------------- -------------- ------------- --------------
TOTAL.............................. (2,284,805) (2,960,990) (98,699) (144,983)
-------------- -------------- ------------- --------------
TRANSACTIONS IN SHARES OF BENEFICIAL
INTEREST:
Net proceeds from sales................. 55,611,819 78,840,405 705,515 3,289,914
Reinvestment of dividends and
distributions......................... 2,284,805 2,960,989 98,699 144,983
Cost of shares repurchased.............. (42,131,319) (36,888,754) (339,213) (544,380)
-------------- -------------- ------------- --------------
NET INCREASE....................... 15,765,305 44,912,640 465,001 2,890,517
-------------- -------------- ------------- --------------
TOTAL INCREASE..................... 15,765,321 44,912,652 478,811 2,884,028
NET ASSETS:
Beginning of period..................... 87,001,689 42,089,037 4,171,708 1,287,680
-------------- -------------- ------------- --------------
END OF PERIOD...................... $ 102,767,010 $ 87,001,689 $ 4,650,519 $ 4,171,708
-------------- -------------- ------------- --------------
-------------- -------------- ------------- --------------
UNDISTRIBUTED NET INVESTMENT INCOME..... $ 46 $ 38 $ 19,278 $ 19,273
-------------- -------------- ------------- --------------
-------------- -------------- ------------- --------------
SHARES ISSUED AND REPURCHASED:
Sold.................................... 55,611,819 78,840,405 70,058 326,740
Issued in reinvestment of dividends and
distributions......................... 2,284,805 2,960,989 9,838 14,475
Repurchased............................. (42,131,319) (36,888,754) (33,780) (54,111)
-------------- -------------- ------------- --------------
NET INCREASE............................ 15,765,305 44,912,640 46,116 287,104
-------------- -------------- ------------- --------------
-------------- -------------- ------------- --------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL STATEMENTS, CONTINUED
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
DIVERSIFIED INCOME BALANCED
----------------------------- -----------------------------
FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED MONTHS ENDED ENDED
JUNE 30, 1997 DECEMBER 31, JUNE 30, 1997 DECEMBER 31,
(UNAUDITED) 1996 (UNAUDITED) 1996
<S> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income.................. $ 1,560,654 $ 1,632,440 $ 481,858 $ 732,777
Net realized gain (loss)............... 128,192 222,680 782,072 165,198
Net change in unrealized
appreciation/depreciation............ (255,448) (85,690) 3,186,098 2,556,189
------------- ------------- ------------- -------------
NET INCREASE...................... 1,433,398 1,769,430 4,450,028 3,454,164
------------- ------------- ------------- -------------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income.................. (1,561,147) (1,475,700) (496,063) (689,333)
Net realized gain...................... (92,957) (20,718) (164,839) (141,913)
------------- ------------- ------------- -------------
TOTAL............................. (1,654,104) (1,496,418) (660,902) (831,246)
------------- ------------- ------------- -------------
TRANSACTIONS IN SHARES OF BENEFICIAL
INTEREST:
Net proceeds from sales................ 18,137,884 27,898,560 15,583,017 28,026,839
Reinvestment of dividends and
distributions........................ 1,654,104 1,496,418 496,062 831,246
Cost of shares repurchased............. (5,199,448) (6,520,785) (3,760,323) (8,899,367)
------------- ------------- ------------- -------------
NET INCREASE...................... 14,592,540 22,874,193 12,318,756 19,958,718
------------- ------------- ------------- -------------
TOTAL INCREASE.................... 14,371,834 23,147,205 16,107,882 22,581,636
NET ASSETS:
Beginning of period.................... 32,119,198 8,971,993 38,893,028 16,311,392
------------- ------------- ------------- -------------
END OF PERIOD..................... $ 46,491,032 $ 32,119,198 $ 55,000,910 $ 38,893,028
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
UNDISTRIBUTED NET INVESTMENT INCOME.... $ 324,853 $ 325,346 $ 77,102 $ 91,307
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
SHARES ISSUED AND REPURCHASED:
Sold................................... 1,781,109 2,726,316 1,154,473 2,258,138
Issued in reinvestment of dividends and
distributions........................ 163,478 146,667 37,474 66,953
Repurchased............................ (510,938) (639,097) (279,895) (721,662)
------------- ------------- ------------- -------------
NET INCREASE........................... 1,433,649 2,233,886 912,052 1,603,429
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
<CAPTION>
UTILITIES DIVIDEND GROWTH
----------------------------- -----------------------------
FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED MONTHS ENDED ENDED
JUNE 30, 1997 DECEMBER 31, JUNE 30, 1997 DECEMBER 31,
(UNAUDITED) 1996 (UNAUDITED) 1996
<S> <C> <C> <C> <C>
- ---------------------------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income.................. $ 572,812 $ 981,948 $ 3,638,304 $ 3,973,273
Net realized gain (loss)............... (255,394) (34,414) 10,338,190 13,581,202
Net change in unrealized
appreciation/depreciation............ 2,431,961 1,420,438 41,814,569 15,794,035
------------- ------------- ------------- -------------
NET INCREASE...................... 2,749,379 2,367,972 55,791,063 33,348,510
------------- ------------- ------------- -------------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income.................. (585,661) (940,692) (3,469,784) (3,704,044)
Net realized gain...................... (140,005) (20,650) (13,688,407) (181,533)
------------- ------------- ------------- -------------
TOTAL............................. (725,666) (961,342) (17,158,191) (3,885,577)
------------- ------------- ------------- -------------
TRANSACTIONS IN SHARES OF BENEFICIAL
INTEREST:
Net proceeds from sales................ 4,025,501 23,406,556 101,502,792 152,508,539
Reinvestment of dividends and
distributions........................ 725,666 961,342 17,158,191 3,885,577
Cost of shares repurchased............. (3,029,059) (8,047,676) (9,296,911) (6,450,410)
------------- ------------- ------------- -------------
NET INCREASE...................... 1,722,108 16,320,222 109,364,072 149,943,706
------------- ------------- ------------- -------------
TOTAL INCREASE.................... 3,745,821 17,726,852 147,996,944 179,406,639
NET ASSETS:
Beginning of period.................... 35,686,083 17,959,231 258,100,867 78,694,228
------------- ------------- ------------- -------------
END OF PERIOD..................... $ 39,431,904 $ 35,686,083 $ 406,097,811 $258,100,867
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
UNDISTRIBUTED NET INVESTMENT INCOME.... $ 87,540 $ 100,389 $ 672,110 $ 503,590
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
SHARES ISSUED AND REPURCHASED:
Sold................................... 308,898 1,865,091 5,747,799 10,022,691
Issued in reinvestment of dividends and
distributions........................ 55,902 76,796 965,429 254,031
Repurchased............................ (231,699) (638,597) (516,735) (394,437)
------------- ------------- ------------- -------------
NET INCREASE........................... 133,101 1,303,290 6,196,493 9,882,285
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
</TABLE>
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL STATEMENTS, CONTINUED
STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED
<TABLE>
<CAPTION>
VALUE-ADDED MARKET CORE EQUITY
---------------------------------- -------------------------------
FOR THE SIX FOR THE SIX FOR THE YEAR
MONTHS ENDED FOR THE YEAR MONTHS ENDED ENDED
JUNE 30, 1997 ENDED JUNE 30, 1997 DECEMBER 31,
(UNAUDITED) DECEMBER 31, 1996 (UNAUDITED) 1996
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income................... $ 702,390 $ 836,850 $ 17,288 $ 66,185
Net realized gain (loss)................ 323,773 214,733 205,376 92,662
Net change in unrealized
appreciation/depreciation............. 11,823,913 6,697,183 2,858,662 1,698,937
-------------- ----------------- -------------- --------------
NET INCREASE....................... 12,850,076 7,748,766 3,081,326 1,857,784
-------------- ----------------- -------------- --------------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income................... (670,518) (781,217) (36,455) (56,282)
Net realized gain....................... (214,734) (24,655) (127,467) (26,347)
Paid-in capital......................... -- -- -- --
-------------- ----------------- -------------- --------------
TOTAL.............................. (885,252) (805,872) (163,922) (82,629)
-------------- ----------------- -------------- --------------
TRANSACTIONS IN SHARES OF BENEFICIAL
INTEREST:
Net proceeds from sales................. 26,456,893 42,917,521 13,267,364 15,980,007
Reinvestment of dividends and
distributions......................... 885,252 805,872 36,455 82,629
Cost of shares repurchased.............. (5,146,995) (1,119,434) (5,361,243) (3,579,392)
-------------- ----------------- -------------- --------------
NET INCREASE....................... 22,195,150 42,603,959 7,942,576 12,483,244
-------------- ----------------- -------------- --------------
TOTAL INCREASE..................... 34,159,974 49,546,853 10,859,980 14,258,399
NET ASSETS:
Beginning of period..................... 73,516,480 23,969,627 18,214,811 3,956,412
-------------- ----------------- -------------- --------------
END OF PERIOD...................... $ 107,676,454 $ 73,516,480 $ 29,074,791 $ 18,214,811
-------------- ----------------- -------------- --------------
-------------- ----------------- -------------- --------------
UNDISTRIBUTED (DIVIDENDS IN EXCESS OF)
NET INVESTMENT INCOME................... $ 135,025 $ 103,153 $ (6,787) $ 12,380
-------------- ----------------- -------------- --------------
-------------- ----------------- -------------- --------------
SHARES ISSUED AND REPURCHASED:
Sold.................................... 1,754,996 3,257,040 929,716 1,265,283
Issued in reinvestment of dividends and
distributions......................... 59,190 60,960 2,694 6,625
Repurchased............................. (325,048) (85,436) (375,981) (284,554)
-------------- ----------------- -------------- --------------
NET INCREASE............................ 1,489,138 3,232,564 556,429 987,354
-------------- ----------------- -------------- --------------
-------------- ----------------- -------------- --------------
<FN>
- ------------------
* For the period January 21, 1997 (Commencement of operations) through June
30, 1997.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL STATEMENTS, CONTINUED
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
AMERICAN VALUE GLOBAL EQUITY DEVELOPING GROWTH
-------------------------- -------------------------- --------------------------
FOR THE SIX FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE YEAR MONTHS ENDED FOR THE YEAR MONTHS ENDED FOR THE YEAR
JUNE 30, ENDED JUNE 30, ENDED JUNE 30, ENDED
1997 DECEMBER 31, 1997 DECEMBER 31, 1997 DECEMBER 31,
(UNAUDITED) 1996 (UNAUDITED) 1996 (UNAUDITED) 1996
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income.................. $ 347,238 $ 426,571 $ 449,168 $ 468,960 $ 138,738 $ 23,712
Net realized gain (loss)............... 6,697,758 3,030,821 2,356,796 (692,618) (2,920,924) (1,972,014)
Net change in unrealized
appreciation/depreciation............ 10,057,462 6,446,354 6,619,892 4,065,701 4,756,501 4,927,547
------------ ------------ ------------ ------------ ------------ ------------
NET INCREASE...................... 17,102,458 9,903,746 9,425,856 3,842,043 1,974,315 2,979,245
------------ ------------ ------------ ------------ ------------ ------------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income.................. (364,052) (466,925) (383,926) (488,553) (112,627) (44,381)
Net realized gain...................... (3,287,890) (368,284) (128,300) (42,086) -- (41,144)
Paid-in capital........................ -- -- -- -- -- (12,078)
------------ ------------ ------------ ------------ ------------ ------------
TOTAL............................. (3,651,942) (835,209) (512,226) (530,639) (112,627) (97,603)
------------ ------------ ------------ ------------ ------------ ------------
TRANSACTIONS IN SHARES OF BENEFICIAL
INTEREST:
Net proceeds from sales................ 36,176,021 79,809,158 27,108,024 46,445,852 11,927,280 53,395,835
Reinvestment of dividends and
distributions........................ 3,651,942 835,209 512,226 530,639 112,627 97,603
Cost of shares repurchased............. (8,009,977) (7,043,859) (6,607,619) (8,115,798) (6,696,704) (12,666,934)
------------ ------------ ------------ ------------ ------------ ------------
NET INCREASE...................... 31,817,986 73,600,508 21,012,631 38,860,693 5,343,203 40,826,504
------------ ------------ ------------ ------------ ------------ ------------
TOTAL INCREASE.................... 45,268,502 82,669,045 29,926,261 42,172,097 7,204,891 43,708,146
NET ASSETS:
Beginning of period.................... 120,903,831 38,234,786 59,246,400 17,074,303 61,119,998 17,411,852
------------ ------------ ------------ ------------ ------------ ------------
END OF PERIOD..................... $166,172,333 $120,903,831 $89,172,661 $59,246,400 $68,324,889 $61,119,998
------------ ------------ ------------ ------------ ------------ ------------
------------ ------------ ------------ ------------ ------------ ------------
UNDISTRIBUTED (DIVIDENDS IN EXCESS OF)
NET INVESTMENT INCOME.................. $ 8,987 $ 25,801 $ 75,488 $ 10,246 $ 26,111 --
------------ ------------ ------------ ------------ ------------ ------------
------------ ------------ ------------ ------------ ------------ ------------
SHARES ISSUED AND REPURCHASED:
Sold................................... 2,262,125 5,549,567 2,150,161 4,014,156 722,795 3,224,490
Issued in reinvestment of dividends and
distributions........................ 226,729 58,182 40,530 45,738 7,176 6,038
Repurchased............................ (505,815) (494,896) (510,402) (702,081) (410,317) (770,797)
------------ ------------ ------------ ------------ ------------ ------------
NET INCREASE........................... 1,983,039 5,112,853 1,680,289 3,357,813 319,654 2,459,731
------------ ------------ ------------ ------------ ------------ ------------
------------ ------------ ------------ ------------ ------------ ------------
<CAPTION>
MID-CAP
EMERGING MARKETS GROWTH
-------------------------- ------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE YEAR MONTHS ENDED
JUNE 30, ENDED JUNE 30,
1997 DECEMBER 31, 1997*
(UNAUDITED) 1996 (UNAUDITED)
<S> <C> <C> <C>
- ---------------------------------------
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income.................. $ 80,823 $ 162,121 $ 54,013
Net realized gain (loss)............... 276,793 (216,419) (137,705)
Net change in unrealized
appreciation/depreciation............ 4,318,471 1,353,117 510,314
------------ ------------ ------------
NET INCREASE...................... 4,676,087 1,298,819 426,622
------------ ------------ ------------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income.................. (82,298) (149,041) (38,446)
Net realized gain...................... -- -- --
Paid-in capital........................ -- -- --
------------ ------------ ------------
TOTAL............................. (82,298) (149,041) (38,446)
------------ ------------ ------------
TRANSACTIONS IN SHARES OF BENEFICIAL
INTEREST:
Net proceeds from sales................ 7,805,265 13,447,515 8,137,226
Reinvestment of dividends and
distributions........................ 82,298 149,041 38,446
Cost of shares repurchased............. (1,778,158) (1,598,361) (536,021)
------------ ------------ ------------
NET INCREASE...................... 6,109,405 11,998,195 7,639,651
------------ ------------ ------------
TOTAL INCREASE.................... 10,703,194 13,147,973 8,027,827
NET ASSETS:
Beginning of period.................... 17,240,191 4,092,218 100,000
------------ ------------ ------------
END OF PERIOD..................... $27,943,385 $17,240,191 $ 8,127,827
------------ ------------ ------------
------------ ------------ ------------
UNDISTRIBUTED (DIVIDENDS IN EXCESS OF)
NET INVESTMENT INCOME.................. $ 17,132 $ 18,607 $ 15,567
------------ ------------ ------------
------------ ------------ ------------
SHARES ISSUED AND REPURCHASED:
Sold................................... 632,893 1,248,927 831,634
Issued in reinvestment of dividends and
distributions........................ 6,695 13,861 3,994
Repurchased............................ (140,023) (146,135) (54,960)
------------ ------------ ------------
NET INCREASE........................... 499,565 1,116,653 780,668
------------ ------------ ------------
------------ ------------ ------------
</TABLE>
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS JUNE 30, 1997 (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 variable
annuity contracts and variable life insurance policies they issue.
The Fund, which consists of 13 separate portfolios ("Portfolios"), was organized
on June 2, 1994 as a Massachusetts business trust and commenced operations on
November 9, 1994, with the exception of Mid-Cap Growth which commenced
operations on January 21, 1997.
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
Government relatively low volatility of principal by primarily investing in
Securities investment grade fixed 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 income and, 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
Growth income 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
Market a 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.
- ---------------------------------------------------------------------------------------
</TABLE>
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
<TABLE>
<C> <S>
- --------------------------------------------------------------------------------------
PORTFOLIO INVESTMENT OBJECTIVE
- ---------------------------------------------------------------------------------------
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
Growth stocks of 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
Markets equity 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.
- ---------------------------------------------------------------------------------------
Mid-Cap Seeks long-term capital appreciation by investing primarily in
Growth equity securities of "mid-cap" companies (that is, companies whose
equity market capitalization falls within the range of $250 million
to $5 billion).
- ---------------------------------------------------------------------------------------
</TABLE>
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 pursuant to procedures adopted 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 Dean Witter InterCapital Inc. (the
"Investment Manager"), or (in the case of the North American Government
Securities, Balanced, Core Equity and Emerging Markets) by TCW Funds Management,
Inc. (the "Sub-Adviser"), 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 (valuation of debt securities for which market
quotations are not readily available may be based upon current market
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
prices of securities which are comparable in coupon, rating and maturity or an
appropriate matrix utilizing similar factors); (4) certain of the securities may
be valued by an outside pricing service approved by the Trustees. The pricing
service may utilize 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. Interest income is accrued daily
except where collection is not expected. Money Market 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.
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
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
foreign exchange transactions. The Portfolios record realized gains or losses on
delivery of the currency or at the time the forward contract is extinguished
(compensated) by entering into a closing transaction prior to delivery.
E. FEDERAL INCOME TAX STATUS -- It is the Fund's policy to comply individually
for each Portfolio with the requirements of the Internal Revenue Code applicable
to regulated investment companies and to distribute all of its taxable income to
its shareholders. Accordingly, no federal income tax provision is required.
F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- The Fund records dividends
and distributions to its shareholders on the record date. The amount of
dividends and distributions from net investment income and net realized capital
gains are determined in accordance with federal income tax regulations which may
differ from generally accepted accounting principles. These "book/tax"
differences are either considered temporary or permanent in nature. To the
extent these differences are permanent in nature, such amounts are reclassified
within the capital accounts based on their federal tax-basis treatment;
temporary differences do not require reclassification. Dividends and
distributions which exceed net investment income and net realized capital gains
for financial reporting purposes but not for tax purposes are reported as
dividends in excess of net investment income or distributions in excess of net
realized capital gains. To the extent they exceed net investment income and net
realized capital gains for tax purposes, they are reported as distributions of
paid-in-capital.
G. ORGANIZATIONAL EXPENSES -- The Investment Manager paid the organizational
expenses of approximately $96,000 ($8,000 for each respective Portfolio,
excluding Mid-Cap Growth) which have been reimbursed for the full amount
thereof, exclusive of amounts waived of approximately $22,000 ($1,833 for each
respective Portfolio, excluding Mid-Cap Growth). 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.
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
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% Core Equity................... 0.85%
North American Government
Securities........................ 0.65 American Value................ 0.625
Diversified Income................. 0.40 Global Equity................. 1.00
Balanced........................... 0.75 Developing Growth............. 0.50
Utilities.......................... 0.65 Emerging Markets.............. 1.25
Dividend Growth.................... 0.625 Mid-Cap....................... 0.75
Value-Added Market................. 0.50
</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 the Sub-Adviser and the Investment
Manager, the Sub-Adviser provides North American Government Securities,
Balanced, Core Equity and Emerging Markets 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-Adviser monthly compensation equal to 40% of its monthly compensation.
The Investment Manager has undertaken to reimburse all operating expenses and
waive the compensation provided for in its Investment Management Agreement with
Mid-Cap Growth until such time as the Portfolio has $50 million of net assets or
July 31, 1998, whichever comes first. At June 30, 1997, included in the
Statements of Assets and Liabilities is a receivable from an affiliate which
represents expense reimbursements due to the Portfolio.
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
3. SECURITY TRANSACTIONS AND TRANSACTIONS WITH AFFILIATES
Purchases and sales/maturities of portfolio securities, excluding short-term
investments (except for Money Market), for the period ended June 30, 1997 were
as follows:
<TABLE>
<CAPTION>
U.S. GOVERNMENT SECURITIES OTHER
------------------------------- --------------------------------
PURCHASES SALES/MATURITIES PURCHASES SALES/MATURITIES
----------- ---------------- ------------ ----------------
<S> <C> <C> <C> <C>
Money Market...................................... $ 3,896,730 $ 2,766,730 $294,819,490 $ 282,699,376
North American Government Securities.............. 1,236,261 343,442 -- --
Diversified Income................................ 14,449,346 6,124,231 20,704,393 9,383,365
Balanced.......................................... 9,450,475 3,806,243 18,872,823 10,178,176
Utilities......................................... -- -- 6,567,440 6,561,959
Dividend Growth................................... -- -- 144,302,170 47,084,933
Value-Added Market................................ 37,197 -- 19,495,507 2,158,252
Core Equity....................................... -- -- 13,983,347 6,126,978
American Value.................................... -- 2,746,032 194,582,226 164,003,745
Global Equity..................................... 15,270 15,479 48,072,043 23,942,741
Developing Growth................................. -- -- 47,692,218 37,475,369
Emerging Markets.................................. -- -- 10,759,484 6,156,633
Mid-Cap........................................... -- -- 5,531,953 1,073,037
</TABLE>
Included in the aforementioned sales of portfolio securities of Value-Added
Market are sales of Morgan Stanley, Dean Witter, Discover & Co., an affiliate of
the Investment Manager, of $123,681, as well as a realized gain of $39,336.
Included in the aforementioned purchases of portfolio securities of American
Value and Value-Added Market are purchases of Hartford Financial Services Group,
Inc., the parent company of Hartford Life and ITT Hartford Life and Annuity
Insurance Company, affiliates of the Fund, in the amount of $705,288 and
$25,097, respectively.
For the period ended June 30, 1997, the following Portfolios incurred brokerage
commissions with Dean Witter Reynolds Inc. ("DWR"), an affiliate of the
Investment Manager, for executed portfolio transactions:
<TABLE>
<CAPTION>
DIVIDEND DEVELOPING MID-CAP
BALANCED UTILITIES GROWTH CORE EQUITY AMERICAN VALUE GLOBAL EQUITY GROWTH GROWTH
- ------------ -------------- -------------- ------------ -------------- -------------- -------------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 1,412 $ 7,500 $ 71,090 $ 1,905 $ 17,705 $ 19,343 $ 12,764 $ 2,051
- ------------ -------------- -------------- ------------ -------------- -------------- -------------- ------------
- ------------ -------------- -------------- ------------ -------------- -------------- -------------- ------------
</TABLE>
For the period May 31, 1997 through June 30, 1997, American Value, Global Equity
and Emerging Markets incurred brokerage commissions with Morgan Stanley & Co.,
Inc, an affiliate of the Investment Manager since May 31, 1997, in the amount of
$2,210, $1,240 and $762 respectively.
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
Included at June 30, 1997 in the payable for investments purchased and
receivable for investments sold were $1,267,500 and $911,838, respectively, for
Dividend Growth, and $194,596 and $0, respectively, for American Value and
$143,375 and $0, respectively, for Global Equity for unsettled trades with DWR.
Included at June 30, 1997 in the receivable for investments sold was $296,891
for American Value, for unsettled trades with Morgan Stanley & Co., Inc.
Dean Witter Trust Company, an affiliate of the Investment Manager, is the Fund's
transfer agent.
4. FEDERAL INCOME TAX STATUS
At December 31, 1996, the following Portfolios had an approximate net capital
loss carryover which may be used to offset future capital gains to the extent
provided by regulations:
<TABLE>
<CAPTION>
AVAILABLE THROUGH DECEMBER 31,
-------------------------------
2003 2004 Total
------- ---------- ----------
<S> <C> <C> <C>
North American Government Securities.... $ 1,000 $ 7,000 $ 8,000
Developing Growth....................... -- 1,167,000 1,167,000
Emerging Markets........................ 13,000 75,000 88,000
</TABLE>
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 Portfolio's next taxable year. The following Portfolios incurred and will
elect to defer post-October losses during fiscal 1996; North American Government
Securities -- $1,000; Diversified Income -- $15,000; Utilities -- $162,000;
Global Equity -- $861,000; Developing Growth -- $787,000; and Emerging Markets
- -- $183,000.
At December 31, 1996, the primary reason(s) for significant temporary book/tax
differences were as follows:
<TABLE>
<CAPTION>
POST-OCTOBER LOSS DEFERRALS
LOSSES FROM WASH SALES
------------- ---------------
<S> <C> <C>
North American Government Securities.... -
Diversified Income...................... - -
Balanced................................ -
Utilities............................... - -
Dividend Growth......................... -
Core Equity............................. -
American Value.......................... -
Global Equity........................... - -
Developing Growth....................... - -
Emerging Markets........................ - -
</TABLE>
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS JUNE 30, 1997 (UNAUDITED) CONTINUED
Additionally, Diversified Income and Global Equity had temporary differences
attributable to the mark-to-market of forward foreign currency exchange
contracts and Global Equity and Emerging Markets had temporary differences
attributable to income from the mark-to-market of passive foreign investment
companies.
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.
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.
At June 30, 1997, American Value, Global Equity and Emerging Markets had
outstanding forward contracts used to facilitate settlement of foreign currency
denominated portfolio transactions and Diversified Income had outstanding
forward contracts used to manage foreign currency exposure.
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL HIGHLIGHTS
Selected ratios and per share data for a share of beneficial interest
outstanding throughout each period:
<TABLE>
<CAPTION>
NET ASSET
VALUE NET NET REALIZED TOTAL FROM DISTRIBUTIONS TOTAL DIVIDENDS
YEAR ENDED BEGINNING INVESTMENT AND UNREALIZED INVESTMENT DIVIDENDS TO TO AND
DECEMBER 31 OF PERIOD INCOME GAIN (LOSS) OPERATIONS SHAREHOLDERS SHAREHOLDERS DISTRIBUTIONS
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
MONEY MARKET
1994 (a) $ 1.00 $ 0.01 -- $ 0.01 $(0.01) -- $(0.01)
1995 1.00 0.06 -- 0.06 (0.06) -- (0.06)
1996 1.00 0.05 -- 0.05 (0.05) -- (0.05)
1997** 1.00 0.02 -- 0.02 (0.02) -- (0.02)
NORTH AMERICAN GOVERNMENT SECURITIES
1994 (a) 10.00 0.06 -- 0.06 (0.02) -- (0.02)
1995 10.04 0.53 $ 0.11 0.64 (0.50) -- (0.50)
1996 10.18 0.52 (0.09) 0.43 (0.52) -- (0.52)
1997** 10.09 0.22 0.03 0.25 (0.23) -- (0.23)
DIVERSIFIED INCOME
1994 (a) 10.00 0.08 -- 0.08 (0.03) -- (0.03)
1995 10.05 0.57 0.11 0.68 (0.51) -- (0.51)
1996 10.22 0.80 0.13 0.93 (0.82) $(0.01) (0.83)
1997** 10.32 0.39 (0.04) 0.35 (0.42) (0.02) (0.44)
BALANCED
1994 (a) 10.00 0.08 (0.02) 0.06 (0.02) -- (0.02)
1995 10.04 0.40 1.85 2.25 (0.40) -- (0.40)
1996 11.89 0.33 1.25 1.58 (0.33) (0.07) (0.40)
1997** 13.07 0.14 1.13 1.27 (0.15) (0.04) (0.19)
UTILITIES
1994 (a) 10.00 0.07 -- 0.07 (0.03) -- (0.03)
1995 10.04 0.45 2.30 2.75 (0.44) -- (0.44)
1996 12.35 0.43 0.60 1.03 (0.43) (0.01) (0.44)
1997** 12.94 0.19 0.76 0.95 (0.20) (0.05) (0.25)
DIVIDEND GROWTH
1994 (a) 10.00 0.08 (0.09) (0.01) (0.02) -- (0.02)
1995 9.97 0.36 3.57 3.93 (0.36) -- (0.36)
1996 13.54 0.34 2.94 3.28 (0.35) (0.02) (0.37)
1997** 16.45 0.19 2.78 2.97 (0.19) (0.68) (0.87)
VALUE-ADDED MARKET
1994 (a) 10.00 0.06 (0.14) (0.08) (0.02) -- (0.02)
1995 9.90 0.31 2.34 2.65 (0.31) -- (0.31)
1996 12.24 0.23 1.93 2.16 (0.23) (0.01) (0.24)
1997** 14.16 0.11 1.99 2.10 (0.11) (0.03) (0.14)
</TABLE>
<TABLE>
<C> <S>
- ---------------------
(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.
+ Calculated based on the net asset value as of the last business day of the period.
* After application of the Fund's expense limitation.
** For the six months ended June 30, 1997 (unaudited).
(1) Not annualized.
(2) Annualized.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
<TABLE>
<CAPTION>
RATIOS TO AVERAGE NET
ASSETS
RATIOS TO AVERAGE NET (AFTER EXPENSES WERE
ASSETS
(BEFORE EXPENSES WERE ASSUMED)
NET ASSETS ASSUMED) ------------------------
NET ASSET TOTAL END OF ------------------------- NET PORTFOLIO AVERAGE
YEAR ENDED VALUE END INVESTMENT PERIOD NET INVESTMENT INVESTMENT TURNOVER COMMISSION
DECEMBER 31 OF PERIOD RETURN+ (000'S) EXPENSES INCOME (LOSS) EXPENSES INCOME RATE RATE PAID
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
MONEY MARKET
1994 (a) $ 1.00 0.76%(1) $ 1,234 2.50%*(2) 3.33%*(2) -- 5.83%(2) N/A N/A
1995 1.00 6.10 42,089 0.81 5.11 -- 5.92 N/A N/A
1996 1.00 5.07 87,002 0.59 4.94 0.57% 4.96 N/A N/A
1997** 1.00 2.51(1) 102,767 0.55(2) 4.90(2) 0.55(2) 4.90(2) N/A N/A
NORTH AMERICAN
GOVERNMENT
SECURITIES
1994 (a) 10.04 0.61(1) 122 2.50* (2) 1.78* (2) -- 4.28(2) -- N/A
1995 10.18 6.40 1,288 2.50* 3.24* -- 5.74 18%(1) N/A
1996 10.09 4.35 4,172 1.45 4.55 0.50 5.50 48 N/A
1997** 10.11 2.60(1) 4,651 0.79(2) 2.17(2) 0.79(2) 2.17(2) 9(1) N/A
DIVERSIFIED
INCOME
1994 (a) 10.05 0.76(1) 402 2.50* (2) 3.08* (2) -- 5.58(2) -- N/A
1995 10.22 6.96 8,972 1.33 5.95 -- 7.28 33 N/A
1996 10.32 9.54 32,119 0.71 8.26 0.50 8.47 69 N/A
1997** 10.23 3.51(1) 46,491 0.56(2) 8.13(2) 0.56(2) 8.13(2) 45(1) N/A
BALANCED
1994 (a) 10.04 0.60(1) 796 2.50* (2) 2.90* (2) -- 5.40(2) -- --
1995 11.89 22.86 16,311 1.39 2.45 -- 3.84 99 --
1996 13.07 13.54 38,893 0.90 2.35 0.50 2.75 88 $ 0.0580
1997** 14.15 9.82(1) 55,001 0.88(2) 2.08(2) 0.88(2) 2.08(2) 31(1) 0.0578
UTILITIES
1994 (a) 10.04 0.65(1) 498 2.50* (2) 2.79* (2) -- 5.29(2) -- --
1995 12.35 28.05 17,959 1.43 3.01 -- 4.44 3 --
1996 12.94 8.48 35,686 0.80 3.16 0.50 3.46 15 0.0500
1997** 13.64 7.51(1) 39,432 0.42(2) 1.55(2) 0.42(2) 1.55(2) 19(1) 0.0500
DIVIDEND GROWTH
1994 (a) 9.97 (0.05) (1) 1,378 2.50* (2) 3.28* (2) -- 5.78(2) -- --
1995 13.54 40.13 78,694 0.83 2.80 -- 3.63 4 --
1996 16.45 24.49 258,101 0.67 2.44 0.67 2.44 39 0.0518
1997** 18.55 18.37(1) 406,098 0.66(2) 2.27(2) 0.66(2) 2.27(2) 15(1) 0.0556
VALUE-ADDED
MARKET
1994 (a) 9.90 (0.76) (1) 349 2.50* (2) 1.25* (2) -- 3.75(2) -- --
1995 12.24 27.14 23,970 1.46 1.64 -- 3.10 4 --
1996 14.16 17.78 73,516 0.64 1.69 0.56 1.77 4 0.0300
1997** 16.12 14.97(1) 107,676 0.60(2) 1.59(2) 0.60(2) 1.59(2) 3(1) 0.0300
</TABLE>
<TABLE>
<C> <S>
- ---------------------
(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.
+ Calculated based on the net asset value as of the last business day of the period.
* After application of the Fund's expense limitation.
** For the six months ended June 30, 1997 (unaudited).
(1) Not annualized.
(2) Annualized.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
FINANCIAL HIGHLIGHTS, CONTINUED
Selected ratios and per share data for a share of beneficial interest
outstanding throughout each period:
<TABLE>
<CAPTION>
NET ASSET
VALUE NET NET REALIZED TOTAL FROM DISTRIBUTIONS TOTAL DIVIDENDS
YEAR ENDED BEGINNING INVESTMENT AND UNREALIZED INVESTMENT DIVIDENDS TO TO AND
DECEMBER 31 OF PERIOD INCOME GAIN (LOSS) OPERATIONS SHAREHOLDERS SHAREHOLDERS DISTRIBUTIONS
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
CORE EQUITY
1994 (a) $ 10.00 $ 0.07 -- $ 0.07 $(0.02) -- $(0.02)
1995 10.05 0.26 $ 1.05 1.31 (0.29) -- (0.29)
1996 11.07 0.08 2.52 2.60 (0.08) $(0.04) (0.12)
1997** 13.55 0.02 1.82 1.84 (0.03) (0.07) (0.10)
AMERICAN VALUE
1994 (a) 10.00 0.06 0.01 0.07 (0.02) -- (0.02)
1995 10.05 0.21 3.66 3.87 (0.21) -- (0.21)
1996 13.71 0.08 1.68 1.76 (0.10) (0.07) (0.17)
1997** 15.30 0.04 1.86 1.90 (0.04) (0.35) (0.39)
GLOBAL EQUITY
1994 (a) 10.00 0.07 (0.10) (0.03) (0.03) -- (0.03)
1995 9.94 0.29 1.05 1.34 (0.29) -- (0.29)
1996 10.99 0.15 1.10 1.25 (0.17) (0.01) (0.18)
1997** 12.06 0.07 1.48 1.55 (0.06) (0.02) (0.08)
DEVELOPING GROWTH
1994 (a) 10.00 0.08 0.08 0.16 (0.03) -- (0.03)
1995 10.13 0.24 4.88 5.12 (0.25) -- (0.25)
1996 15.00 0.02 1.92 1.94 (0.04)++ (0.02) (0.06)
1997** 16.88 0.04 0.45 0.49 (0.03) -- (0.03)
EMERGING MARKETS
1994 (a) 10.00 0.06 -- 0.06 (0.02) -- (0.02)
1995 10.04 0.29 (0.33) (0.04) (0.31) -- (0.31)
1996 9.69 0.16 1.51 1.67 (0.16) -- (0.16)
1997** 11.20 0.04 2.51 2.55 (0.04) -- (0.04)
MID-CAP GROWTH
1997 (b) 10.00 0.10 0.26 0.36 (0.08) -- (0.08)
</TABLE>
<TABLE>
<C> <S>
- ---------------------
(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 period January 21, 1997 (commencement of operations) through June 30, 1997.
+ Calculated based on the net asset value as of the last business day of the period.
++ Includes distributions from paid-in-capital of $0.01.
* After application of the Fund's expense limitation.
** For the six months ended June 30, 1997 (unaudited).
(1) Not annualized.
(2) Annualized.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
<TABLE>
<CAPTION>
RATIOS TO AVERAGE NET
ASSETS
RATIOS TO AVERAGE NET (AFTER EXPENSES WERE
ASSETS
(BEFORE EXPENSES WERE ASSUMED)
NET ASSETS ASSUMED) ------------------------
NET ASSET TOTAL END OF ------------------------- NET PORTFOLIO AVERAGE
YEAR ENDED VALUE END INVESTMENT PERIOD NET INVESTMENT INVESTMENT TURNOVER COMMISSION
DECEMBER 31 OF PERIOD RETURN+ (000'S) EXPENSES INCOME (LOSS) EXPENSES INCOME RATE RATE PAID
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CORE EQUITY
1994 (a) $ 10.05 0.67%(1) $ 316 2.50%*(2) 2.32%*(2) -- 4.82%(2) -- --
1995 11.07 13.29 3,956 2.50* (0.64)* -- 1.86 39% --
1996 13.55 23.56 18,215 1.22 (0.03) 0.50% 0.69 47 $ 0.0573
1997** 15.29 13.58(1) 29,075 1.01(2) 0.15(2) 1.01(2) 0.15(2) 27(1) 0.0442
AMERICAN VALUE
1994 (a) 10.05 0.69(1) 823 2.50* (2) 1.60* (2) -- 4.10(2) 10(1) --
1995 13.71 38.95 38,235 0.96 1.11 -- 2.07 174 --
1996 15.30 12.95 120,904 0.71 0.52 0.69 0.54 232 0.0557
1997** 16.81 12.51(1) 166,172 0.70(2) 0.49(2) 0.70(2) 0.49(2) 126(1) 0.0605
GLOBAL EQUITY
1994 (a) 9.94 (0.30) (1) 1,194 2.50* (2) 2.20* (2) -- 4.70(2) -- --
1995 10.99 13.76 17,074 1.69 1.09 -- 2.78 74 --
1996 12.06 11.43 59,246 1.25 0.69 0.72 1.22 62 0.0451
1997** 13.53 12.94(1) 89,173 1.15(2) 1.25(2) 1.15(2) 1.25(2) 38(1) 0.0374
DEVELOPING
GROWTH
1994 (a) 10.13 1.58(1) 380 2.50* (2) 2.31* (2) -- 4.81(2) 3(1) --
1995 15.00 51.26 17,412 1.24 0.86 -- 2.10 80 --
1996 16.88 12.95 61,120 0.68 (0.04) 0.58 0.06 146 0.0537
1997** 17.34 2.92(1) 68,325 0.62(2) 0.45(2) 0.62(2) 0.45(2) 70(1) 0.0554
EMERGING
MARKETS
1994 (a) 10.04 0.57(1) 448 2.50* (2) 2.22* (2) -- 4.72(2) -- --
1995 9.69 (0.57) 4,092 2.50* 0.18* -- 2.68 36 --
1996 11.20 17.69 17,240 2.02 (0.10) 0.50 1.42 46 0.0022
1997** 13.71 22.63(1) 27,943 1.65(2) 0.73(2) 1.65(2) 0.73(2) 30(1) 0.0005
MID-CAP GROWTH
1997 (b) 10.28 3.61(1) 8,128 1.23(2) 1.36(2) --(2) 2.59(2) 32(1) 0.0547
</TABLE>
<TABLE>
<C> <S>
- ---------------------
(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 period January 21, 1997 (commencement of operations) through June 30, 1997.
+ Calculated based on the net asset value as of the last business day of the period.
++ Includes distributions from paid-in-capital of $0.01.
* After application of the Fund's expense limitation.
** For the six months ended June 30, 1997 (unaudited).
(1) Not annualized.
(2) Annualized.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
TRUSTEES
------------------------------------------------------
<TABLE>
<S> <C>
Michael Bozic Dr. Manuel H. Johnson
Charles A. Fiumefreddo Michael E. Nugent
Edwin J. Garn Philip J. Purcell
John R. Haire John L. Schroeder
</TABLE>
OFFICERS
------------------------------------------------------
Charles A. Fiumefreddo
CHAIRMAN AND CHIEF EXECUTIVE OFFICER
Barry Fink
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,
Balanced, Core Equity and Emerging Markets Portfolios
------------------------------------------------------
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>
June 30, 1997
<PAGE>
SELECT
[ARTWORK]
DEAN WITTER
SELECT DIMENSIONS
INVESTMENT SERIES
SEMI-ANNUAL REPORT
June 30, 1997
[LOGO] DEAN WITTER
Hartford Life
Individual Annuity Services
P.O. Box 5085
Hartford, CT 06102-5085
