<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
TWO WORLD TRADE CENTER
NEW YORK, NEW YORK 10048
DEAR SHAREHOLDER:
- --------------------------------------------------------------------------------
This annual report to shareholders of the various portfolios that comprise
the Dean Witter Select Dimensions Investment Series covers the fiscal year ended
December 31, 1996. The twelve investment portfolios described below are offered
to participants in the Dean Witter Select Dimensions Plan, tax-deferred variable
annuities and variable life insurance policies issued by Hartford Life Insurance
Company and ITT Hartford Life and Annuity Insurance Company.
U.S. EQUITY MARKETS SURGE AHEAD
Despite two minor stock market corrections, the first in June/July and the
second in October, 1996 was another impressive year for the stock market with
the Dow Jones Industrial Average (DJIA) ending the year over 6400. The Standard
& Poor's 500 Composite Stock Index (S&P 500) and the NASDAQ composite were also
strong, advancing 22.95 and 22.71 percent, respectively, for the year. Large
caps outperformed small caps by a wide margin, with the Russell 2000 trailing
larger-cap indices with a 14.70 percent gain for the year.
VOLATILITY IN THE BOND MARKETS
Despite short-term volatility, interest rates have been relatively constant
since February 1996. The meeting of the Federal Open Market Committee to
consider any possible policy change, held at the beginning of February 1997,
marked one full year of stable monetary policy.
The year ended with Federal Reserve Chairman Alan Greenspan warning, on
December 5, 1996, that the outlook for inflation remains uncertain, partly
because of a possible speculative bubble created by a surge in U.S. stocks, real
estate and other financial assets this year. This comment, his first such
warning since 1993, caused a downward price reaction in most financial markets
around the globe. However, the November U.S. employment report, released on
December 6, revealed smaller than expected growth of 118,000 new jobs and a rise
in the unemployment rate from 5.2 percent to 5.4 percent. While that report
calmed the markets somewhat, a degree of nervousness remained, since wages rose
an average of nine cents an hour, tying a record set in June and resulting in a
3.5 percent total increase for the past twelve months.
MIXED PERFORMANCE ABROAD
The economic environment in Europe throughout 1996 was, with the notable
exception of the United Kingdom, generally weaker than expected. Within the
Deutschemark bloc, sluggish economic conditions persisted well into the second
quarter before evidence of a resurgence emerged. Progress has varied
considerably from industry to industry: auto sales and chemical pricing improved
while pricing in pulp, paper and steel were weak. Unemployment continued to rise
in both France and Germany. In this environment, the European central banks
continued to maintain loose monetary policies, and in most countries, interest
rates fell steadily throughout 1996. At year-end, inflation was not a threat in
any Continental economy.
The U.K.'s economy has improved, driven by a competitive currency
(notwithstanding the sterling's appreciation against the dollar in November and
December), flexible labor markets, substantial foreign investment and robust
consumer spending. In November, the benchmark interest rate (base rate) was
raised as a preemptive strike at inflation and will likely rise again in the
near future.
As usual, politics affected European economies in 1996, most notably in
Spain and Italy. New governments were installed in both countries during the
second quarter -- a rightist government in Spain and a leftist coalition
government in Italy. The political orientations of these administrations are
less important than the fact that both are pro deregulation, pro business and
fiscally conservative.
Europe's equity markets were strong performers during the period under
review, particularly during the fourth quarter. Well-managed growth companies
were able to deliver rising earnings, which in turn, were rewarded by the market
with higher
<PAGE>
valuations. Cyclical earnings were, however, frequently disappointing, and these
stocks made little progress. The financial sectors also underperformed, mainly
because of high costs and the relative inflexibility of much of the European
banking sector.
The period under review began on a relatively strong note for Pacific Basin
countries, with investors encouraged by continued high levels of economic and
corporate earnings growth of these countries and by cuts in U.S. interest rates.
However, from May onward, the gyrations of Wall Street, wild swings in
expectations regarding U.S. interest rates and downturn around the global
electronics cycle created a negative background for markets around the Pacific.
Export growth has been disappointing, lowering forecasts for both GDP and
corporate earnings growth.
In contrast to much of the rest of the region, the Hong Kong market was
relatively strong, rising 33.10 percent for the year in U.S. dollar terms,
buoyed by encouraging economic data from China and a strong property market.
Taiwan also recorded strong gains. Early in 1996, Chinese missile tests off the
coast of Taiwan, stemming from China's desire to influence important Taiwanese
elections, severely depressed investor sentiment. However, after the elections,
tensions quickly subsided and a subsequent rapprochement in Chinese/Taiwanese
relations helped the market rally sharply. Furthermore, a decision by Morgan
Stanley Capital International, the main international equity performance index
provider, to include Taiwan in regional indices beginning September 2, 1996
resulted in a significant inflow of foreign funds to the market.
At the other end of the performance spectrum, Thailand put in a particularly
weak performance, falling by 36.60 percent for the year in U.S. dollar terms,
with almost all of the decline occurring in the second half of the year amid
concerns over a worsening deficit, resultant downgrades to GNP and corporate
earnings estimates, and political uncertainty. Toward the end of the year, the
Bank of Thailand took measures to reduce the level of offshore borrowing by Thai
corporations. While essentially a move in the right direction, the timing of
this effective monetary tightening in the face of slowing economic growth and an
escalating negative wealth effect has adversely affected the stock market.
Korea was also disappointing. First half corporate results were weak, hit by
exchange losses on foreign currency debt and a difficult domestic operating
environment. Moreover, weak export growth on the back of a rapid decline in DRAM
semiconductor prices and political scandals (including a death penalty passed on
a former president) further depressed sentiment.
At present, the main attraction of the Pacific Basin still lies in P/E
valuations that, at around 16.5 times twelve-month prospective earnings, are low
relative to historical valuations. Regional equities are currently available at
prices similar to those seen during the Gulf War of 1990-1991. In our view,
these low valuations more than compensate for present uncertainties, and there
is additional upside potential available, driven both by a reacceleration of
corporate earnings and by some price earnings expansion.
<PAGE>
AGGRESSIVE GROWTH
DEVELOPING GROWTH PORTFOLIO
The Developing Growth Portfolio produced a total return of 12.95 percent for the
twelve-month period ended December 31, 1996, compared to a return of 22.95
percent for the S&P 500 Index. The accompanying chart illustrates the growth of
a $10,000 investment in the Portfolio from inception (November 9, 1994) through
the fiscal year ended December 31, 1996, versus a similar hypothetical
investment in the issues that comprise the S&P 500 Index.
The period under review was a difficult environment for small-capitalization
stocks and aggressive growth stocks -- the two areas in which the Portfolio
primarily invests. The average market capitalization in the Portfolio is
approximately $500 million, in line with the Russell 2000 Index, but
significantly lower than the average small-cap fund, which generally has a
market cap of approximately $1.5 billion. Throughout the period, investors
continued to buy large, liquid stocks and sell smaller, less liquid companies.
This is a typical pattern whenever investors fear a market correction, interest
rate correction, or both. In addition, energy and financial stocks, two areas
not known for growth, massively outperformed the markets. Conversely, health
care and technology, traditionally known for good growth, substantially
underperformed the market. At year-end, approximately 25 percent of the
Portfolio's net assets were invested in technology and 10 percent in health
care.
Despite these trends, however, valuations for small caps have returned to a
level not seen in over eighteen months and thus, we believe, are setting the
stage for a strong rally.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C> <C>
November--1994 10000 10000
December--1994 10158 9916
December--1995 15365 13639
December--1996 17355 16769
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RETURNS.
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) The Standard & Poor's 500 Composite Stock Price Index (S&P 500) is a
broad-based index, the performance of which is based on the average
performance of 500 widely held common stocks. The performance of the Index
does not include any expenses, fees or charges. The Index is unmanaged and
should not be considered an investment.
(3) Closing value on December 31, 1996 for the underlying fund. This figure does
not reflect the deduction of any account fees or sales charges.
<PAGE>
EMERGING MARKETS PORTFOLIO
The Emerging Markets Portfolio produced a total return of 17.69 percent for
the twelve-month period ended December 31, 1996, compared to a return of 9.38
percent for the International Finance Corporation's Investable Emerging Markets
Total Return Index (IFCI), which measures the performance of the world's
emerging markets. The Portfolio's outperformance relative to its benchmark is
attributable to strong performance in its largest holdings, including Malaysia,
Brazil and Mexico. The accompanying chart illustrates the performance of a
$10,000 investment in the Portfolio from inception (November 9, 1994) through
December 31, 1996, versus a similar investment in the issues that comprise the
IFCI Index.
As an asset class, emerging markets generally performed well during the
year, buoyed by strong capital inflows as easing global liquidity and
strengthening market fundamentals renewed foreign investor interest early in the
year. Continued improvements of economic fundamentals, coupled with a benign
interest-rate environment, also provided further impetus to the markets during
the remainder of the year.
Asian equity markets posted mixed results in 1996 as a judicious asset
allocation strategy allowed the Portfolio to capitalize on its two largest Asian
holdings, Malaysia and Hong Kong, which delivered robust returns. Within Hong
Kong, the Portfolio emphasized "red-chips" -- Hong Kong-listed companies backed
by government-controlled entities in mainland China -- which strongly
outperformed in the second half of 1996 due to a strengthening of China's
economy. The Portfolio also benefited from an underweighted position in the
region's two weakest markets, Thailand and Korea.
With most Latin American markets posting gains during the year, the
Portfolio benefited from its sizable holdings in Brazil and Mexico. In Brazil,
continued progress on deregulation and reduction of the federal government's
role in the telecommunications, electricity and petroleum sectors bolstered the
market. In Mexico, a stronger than expected economic recovery resulted in its
stock market rising nearly 18 percent.
The Portfolio also benefited from increased exposure to several emerging
European markets, including Russia, Hungary, Poland and the Czech Republic, all
of which experienced strong rallies during the year.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C> <C>
November--1994 10000 10000
December--1994 10057 8740
December--1995 10000 8004
December--1996 11768 8754
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RETURNS.
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) The International Finance Corporation's Investable Emerging Markets Total
Return Index (IFCI) is designed to measure more precisely the returns
foreign portfolio investors might receive from investing in baskets of
stocks that were legally and practically available to them in the emerging
markets of Latin America, East Asia, South Asia, Europe, the Mideast and
Africa. The Index does not include any expenses, fees or charges. The Index
is unmanaged and should not be considered an investment.
(3) Closing value on December 31, 1996 for the underlying fund. This figure does
not reflect the deduction of any account fees or sales charges.
As of December 31, 1996 approximately 45.5 percent of the Portfolio's net
assets were invested in Asian Pacific equities, 37.0 percent in Latin America
and 10.8 percent in Europe. The largest country holdings were Malaysia (16.7
percent), Brazil (13.4 percent) and Mexico (11.1 percent). Smaller positions
were held in Hong Kong (5.6 percent), Chile (5.1 percent), Taiwan (4.5 percent),
Indonesia (4.2 percent), Philippines (4.1 percent), India (4.1 percent), South
Korea (4.0 percent), Argentina (3.0 percent), Turkey (2.8 percent), Poland (2.5
percent), Peru (2.4 percent), Russia (2.2 percent), Thailand (2.2 percent),
Portugal (1.6 percent), Colombia (1.0 percent), Venezuela (1.0 percent), Hungary
(0.7 percent), the Czech Republic (0.7 percent), Luxembourg (0.3 percent) and
Vietnam (0.1 percent). The Portfolio virtually eliminated its exposure to South
African equities prior to a market decline of 12.4 percent between March and
October.
<PAGE>
GROWTH
AMERICAN VALUE PORTFOLIO
The American Value Portfolio produced a total return of 12.95 percent for
the twelve-month period ended December 31, 1996, compared to a return of 22.95
for the S&P 500 Index. The accompanying chart illustrates the growth of a
$10,000 investment in the Portfolio from inception (November 9, 1994) through
December 31, 1996, versus a similar investment in the issues that comprise the
S&P 500 Index.
Throughout 1996, our top-down economic outlook turned out to be overly
conservative, resulting in the Portfolio's underperformance relative to its
benchmark. The Portfolio was positioned for slow economic growth during much of
the year, remaining equally weighted between steady growth stocks and cyclical
stocks. However, during the spring and summer many economic indicators led us to
believe that corporate earnings would be flat to down for 1996. Economic growth
began to decelerate while wage growth started to accelerate and raw material
prices for energy and grain rose. Thus, in midsummer we took, as it turned out,
an overly defensive position with the Portfolio.
By fall, it became apparent that productivity gains would enable earnings to
be respectable even in a slowing economic environment. As a result, we have
turned to overweighting those sectors of the market that should achieve relative
earnings outperformance in a modestly growing economy, based upon both near-term
considerations and long-term secular trends. The first of these sectors is
technology, which currently is about 30 percent of the Portfolio. The emerging
markets are investing heavily in technology to get basic phone service and
computing capacity in place in order to compete globally. Our technology
holdings are concentrated in the PC-related, networking and
semiconductor-related industries. Individual stock holdings include Intel Corp.,
Microsoft Corp., Seagate Technology, Inc. and Cisco Systems, Inc.
The second emphasis relates to the theme of an aging of the baby boomers and
their focus on saving for retirement. This should benefit the brokerage, life
insurance and banking industries. Holdings include SunAmerica Inc., a leader in
annuities, and, increasingly, banks like NationsBank that are building up their
asset management businesses and Citicorp with its major global presence. Such
health-care industries as drugs, biotechnology and medical devices are also
beneficiaries of the aging of the baby boom generation. Holdings here include
Lilly (Eli) & Co., Bristol-Myers Squibb Co., Centocor, Inc. and Medtronic, Inc.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C> <C>
November--1994 10000 10000
December--1994 10069 9916
December--1995 13991 13639
December--1996 15803 16769
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RETURNS.
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) The Standard & Poor's 500 Composite Stock Price Index (S&P 500) is a
broad-based index, the performance of which is based on the average
performance of 500 widely held common stocks. The performance of the Index
does not include any expenses, fees or charges. The Index is unmanaged and
should not be considered an investment.
(3) Closing value on December 31, 1996 for the underlying fund. This figure does
not reflect the deduction of any account fees or sales charges.
Finally, earnings of industries that export goods to the developing markets
should benefit from the expected continued strong economic growth in those
regions. Primary industry beneficiaries include aerospace, oil equipment,
agriculture related and consumer goods. Examples include: Boeing Co. in
aerospace, Schlumberger Ltd. in oil well equipment, Monsanto Co. in agriculture
and Avon Products Inc. in consumer goods.
Energy has been market weighted in the Portfolio for most of the year with a
concentration on the drilling and oil service stocks. This weighting is atypical
for the Portfolio. Positions began to be built in the first quarter when it
became clear that the oil and gas companies were entering a new phase of capital
spending that would remain unabated in 1997, even if oil prices went to $19-$20
per barrel. Again, volume growth is expected to remain resilient, boosted by
accelerating demand from developing countries undergoing industrialization and
an upgrading of their national standard of living.
<PAGE>
We expect the world economy to continue to experience moderate growth in
1997. Modest earnings growth of 8 percent or so and relatively stable inflation
should continue to drive the markets higher. We will continue to focus the
Portfolio on those sectors expected to have relative earnings outperformance,
such as the technology, interest-rate sensitive, health care and export related
industries.
CORE EQUITY PORTFOLIO
The Core Equity Portfolio produced a total return of 23.56 percent for the
twelve-month period ended December 31, 1996, compared to a return of 22.95
percent for the S&P 500 Index. The accompanying chart illustrates the growth of
a $10,000 investment in the Portfolio from inception (November 9, 1994) through
December 31, 1996, versus a similar investment in the issues that comprise the
S&P 500 Index.
The Portfolio invests in companies that lead their respective fields in the
development of innovative services or products, which provide sustainable
earnings growth. Technology has been a dominant theme in the Portfolio, with a
year-end weighting of 32 percent. The secular growth of technology worldwide is
staggering, even as most European and Asian countries struggle with economic
growth. Intel and Microsoft are prime examples of two of the Portfolio's
technology holdings that couple excellent management with market dominance.
According to TCW Funds Management, Inc. (TCW), the Portfolio's sub-adviser,
other themes include a sustainable recovery in airlines and an upturn in the
commercial aerospace cycle, an ongoing trend toward corporate outsourcing and
the aging of the population that requires more sophisticated financial services.
Commercial aerospace holdings include Boeing Co. and United Technologies Corp.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C> <C>
November--1994 10000 10000
December--1994 10067 9916
December--1995 11405 13639
December--1996 14091 16769
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RETURNS.
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) The Standard & Poor's 500 Composite Stock Price Index (S&P 500) is a
broad-based index, the performance of which is based on the average
performance of 500 widely held common stocks. The performance of the Index
does not include any expenses, fees or charges. The Index is unmanaged and
should not be considered an investment.
(3) Closing value on December 31, 1996 for the underlying fund. This figure does
not reflect the deduction of any account fees or sales charges.
<PAGE>
GLOBAL EQUITY PORTFOLIO
The Global Equity Portfolio produced a total return of 11.43 percent for the
twelve-month period ended December 31, 1996, compared to a return of 11.72
percent for the Morgan Stanley Capital International (MSCI) World Index. The
Index was propelled by strong rallies in most European markets and another
impressive 23.0 percent gain notched by the U.S. market. These markets reacted
favorably to a lack of inflationary growth and stable monetary policy by the
world's central banks. The accompanying chart illustrates the growth of a
$10,000 investment at inception (November 9, 1994) through the fiscal year ended
December 31, 1996, versus a similar hypothetical investment in the issues that
comprise the MSCI World Index.
At year-end, the Portfolio was broadly diversified by country and industry,
with 21.4 percent of its net assets invested in Europe, 44.6 percent in the
United States, 19.2 percent in Japan, 8.7 percent in emerging Asia, 5.8 percent
in Latin America and 1.5 percent in other countries.
The year's biggest disappointment was Japan. After years of subpar economic
growth, a soaring, uncompetitive currency and low business confidence, 1996
appeared to be a transition year. The Japanese market began the year by
rallying, with the markets embracing the depreciating yen, prospects for
deregulation and a self-sustaining economic recovery. However, sentiment shifted
through the year, overshadowed by an unresolved banking crisis, a slowing
economy and loss of government credibility to trigger much-needed structural
reform and deregulation. In this scenario, the Japanese market declined nearly
16 percent.
On a more positive note, the Hong Kong market roared ahead 33.1 percent on
the heels of the benign U.S. interest-rate picture, a firming property market
and an increase in investor confidence related to a smooth and seamless
transition to mainland China's rule in July 1997.
Latin American markets also performed well as beneficiaries of a stable U.S.
interest-rate environment, but more importantly as a result of a resumption of
growth in the region and restored investor confidence. Brazilian and Mexican
equity markets rebounded 38 percent and 16.1 percent, respectively.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C> <C>
November--1994 10000 10000
December--1994 9970 9840
December--1995 11342 11681
December--1996 12639 13050
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RETURNS.
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) The Morgan Stanley Capital International World Index (MSCI) measures
performance for a diverse range of global stock markets including the U.S.,
Canada, Europe, Australia, New Zealand and the Far East. The Index does not
include any expenses, fees or charges or reinvestment of dividends. The
Index is unmanaged and should not be considered an investment.
(3) Closing value on December 31, 1996 for the underlying fund. This figure does
not reflect the deduction of any account fees or sales charges.
On December 31, 1996, core holdings included Cheung Kong Holdings Ltd. (Hong
Kong -- real estate); British Telecom (U.K. -- telecommunications); Honda Motors
Co. (Japan -- automotive); YPF S.A. (Argentina -- energy); Aegon NV (Netherlands
- -- insurance) and Seagate Technology, Inc. (U.S. -- computers-peripheral
equipment).
<PAGE>
GROWTH AND INCOME
BALANCED PORTFOLIO
The Balanced Portfolio achieved a total return of 13.54 percent for the
twelve-month period ended December 31, 1996, compared to a return of 22.95
percent for the S&P 500 Index and 3.63 percent for the Lehman Brothers Aggregate
Bond Index. Unlike the all-equity S&P 500 Index, the Portfolio is primarily
invested in a combination of large-capitalization equities, U.S. government and
mortgage-backed securities and corporate bonds. The accompanying chart
illustrates the growth of a $10,000 investment in the Portfolio from inception
(November 9, 1994) through December 31, 1996, versus a similar investment in the
issues that comprise the S&P 500 Index and Lehman Brothers Aggregate Bond Index.
TCW Funds Management, Inc. (TCW) is the sub-adviser for this Portfolio.
At year-end, approximately 58.1 percent of the Portfolio's net assets were
invested in equities, with the remaining 41.5 percent in fixed-income
securities. The Portfolio's equity component was well diversified across
industry sectors, including airlines and aerospace, electronics, semiconductors,
communications equipment, computer software and services, air transport and
automotive. The Portfolio's largest equity holdings were Intel Corp., Boeing
Co., Microsoft Corp. and United Technologies Corp.
TCW has positioned the fixed-income component in a positive stance toward
lower interest rates with a duration slightly longer than that of its benchmark.
They have also increased exposure to the seven-to-twelve-year-maturity sector,
which should benefit from a positive market environment. Consistent with this
view, TCW has reduced the Portfolio's exposure to the mortgage sector which
tends to underperform in a declining interest-rate environment. Corporate bond
holdings are gradually being reduced in favor of U.S. Treasuries owing to narrow
spreads and the market's reduced tolerance for earnings surprises in a slowing
economy.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C> <C> <C>
November--1994 10000 10000 10000
December--1994 10060 9916 10069
December--1995 12359 13639 11929
December--1996 14033 16769 12362
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RETURNS.
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) The Standard & Poor's 500 Composite Stock Price Index (S&P 500) is a
broad-based index, the performance of which is based on the average
performance of 500 widely held common stocks. The performance of the Index
does not include any expenses, fees or charges. The Index is unmanaged and
should not be considered an investment.
(3) The Lehman Brothers Aggregate Bond Index tracks the performance of all U.S.
Government agency and Treasury securities, investment-grade corporate debt
securities, agency mortgage-backed securities and asset-backed securities.
The performance of the Index does not include any expenses, fees or charges.
The Index is unmanaged and should not be considered an investment.
(4) Closing value on December 31, 1996 for the underlying fund. This figure does
not reflect the deduction of any account fees or sales charges.
<PAGE>
DIVIDEND GROWTH PORTFOLIO
For the twelve-month period ended December 31, 1996, the Dividend Growth
Portfolio posted a total return of 24.49 percent, compared to a return of 22.95
percent for the S&P 500 Index. The accompanying chart illustrates the growth of
a $10,000 investment in the Portfolio from inception (November 9, 1994) through
December 31, 1996, versus a similar hypothetical investment in the issues that
comprise the Index.
On December 31, 1996, the Portfolio's net assets exceeded $258 million, of
which 97.9 percent were committed to common stock investments. During the fiscal
year, three issues were sold: 360 Communications, a spin-off from Sprint Corp.,
Payless Shoes Inc., a spinoff from May Department Stores Co., and Monsanto Co.
These issues no longer qualified for the Portfolio under its screening
processes. New positions were initiated in American Stores Co., Atlantic
Richfield Co., Banc One Corp., Ford Motor Company, Weyerhaeuser Co., Dow
Chemical Co., Exxon Corp., General Electric Co. and Minnesota Mining &
Manufacturing Co. At year-end, the Portfolio owned 34 equity issues spread among
26 industry groups.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C> <C>
November--1994 10000 10000
December--1994 9995 9916
December--1995 14005 13639
December--1996 17435 16769
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RETURNS.
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) The Standard & Poor's 500 Composite Stock Price Index (S&P 500) is a
broad-based index, the performance of which is based on the average
performance of 500 widely held common stocks. The performance of the Index
does not include any expenses, fees or charges. The Index is unmanaged and
should not be considered an investment.
(3) Closing value on December 31, 1996 for the underlying fund. This figure does
not reflect the deduction of any account fees or sales charges.
<PAGE>
UTILITIES PORTFOLIO
The Utilities Portfolio produced a total return of 8.48 percent for the
twelve-month period ended December 31, 1996, compared to a return of 22.95
percent for the broad-based S&P 500 Index. The accompanying chart illustrates
the growth of a $10,000 investment in the Portfolio from inception (November 9,
1994) through December 31, 1996, versus a similar hypothetical investment in the
issues that comprise the S&P 500 Index.
A volatile interest-rate environment and the uncertainties associated with a
transition of the utility industry from a monopoly to a competitive status
provided the investment backdrop for much of 1996. However, stabilization of
interest rates over the fourth quarter and a broad-based improvement in industry
fundamentals, aided in part by several merger and acquisition announcements,
afforded the Portfolio a strong year-end performance.
At year-end, the Portfolio remained at its near fully invested position,
reflecting in part an improving trend in industry fundamentals, including an
enhanced vision of the forthcoming competitive landscape and a degree of
optimism regarding interest-rate trends and volatility going into 1997. On
December 31, 1996, 90 percent of the Portfolio's net assets were allocated to
utility and utility-related equities. While the major portion of the Portfolio's
equity holdings remained within the electric utility sector, the overall
allocation was modestly reduced in favor of selective natural gas and foreign
investments having an emphasis on telecommunications. A diverse portfolio of
foreign securities accounted for 9 percent of net assets. Approximately 10
percent of the Portfolio's net assets were allocated to a high-quality
diversified portfolio of fixed-income securities, with 1 percent held in cash
equivalents.
While year-over-year interest rates were higher in 1996, continuing progress
by legislators and regulators toward the development of a fully competitive
utility industry provided a more optimistic outlook for investors. Throughout
1996, a common thread among all sectors of the utility industry were mergers and
acquisitions which resulted from a perceived need for size and scope in order to
be able to successfully compete in a deregulated environment. Specifically,
electric utilities began to receive regulatory relief on the matter of stranded
cost; thereby tempering the need for asset write-downs and limiting any threat
of financial weakening. The telecommunications industry received long awaited
federal legislation designed to increase competition, with full implementation
expected to commence in 1997. A worldwide demand for telecommunications services
should reinforce strong industry growth and the need for domestic and global
industry convergence. The natural gas sector benefited in 1996, from a
combination of higher commodity prices and a stream of acquisitions of gas
companies by electric utilities at attractive premium levels. For 1997, we
expect greater clarity on the structure and timing of a deregulated and
competitive utility industry, which in itself is expected to remove much of the
uncertainty that had prevailed throughout 1996 and give the Portfolio a better
understanding of the direction and prospects of utilities investments in 1997
and beyond.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C> <C>
November--1994 10000 10000
December--1994 10065 9916
December--1995 12888 13639
December--1996 13981 16769
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RETURNS.
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) The Standard & Poor's 500 Composite Stock Price Index (S&P 500) is a
broad-based index, the performance of which is based on the average
performance of 500 widely held common stocks. The performance of the Index
does not include any expenses, fees or charges. The Index is unmanaged and
should not be considered an investment.
(3) Closing value on December 31, 1996 for the underlying fund. This figure does
not reflect the deduction of any account fees or sales charges.
In 1997, the Portfolio anticipates broadening its exposure to selective
areas of telecommunications that are expected to show near-term benefits from
the competition and convergence occurring in the industry. In addition, a modest
increase in foreign investments is foreseen as global infrastructure growth
expands and investment opportunities appear. As worldwide restructuring,
alliances, competition and broad-based deregulation progress throughout the
utilities and related industries, we believe the Portfolio is well positioned to
meet its long-term total return objectives.
<PAGE>
VALUE-ADDED MARKET SERIES PORTFOLIO
For the twelve-month period ended December 31, 1996, the Value-Added Market
Portfolio produced a total return of 17.78 percent, compared to a return of
22.95 percent for the S&P 500 Index. The accompanying chart illustrates the
growth of a $10,000 investment in the Portfolio from inception (November 9,
1994) through December 31, 1996, versus a similar hypothetical investment in the
issues that comprise the S&P 500 Index.
The Portfolio lagged the capitalization-weighted S&P 500 because, while the
Portfolio invests in substantially all the stocks of the S&P 500, it equally
weights all positions. This means that the Portfolio emphasizes smaller- to
medium-cap companies that have historically outperformed larger caps over long
time periods. However, during the twelve-month period under review, large-cap
and technology stocks, both areas in which the Portfolio is under-weighted
relative to the S&P 500, were market leaders.
Going forward, we believe that the tide may again turn in favor of
smaller-cap companies, as many relative valuation measures such as
price-to-book, dividend yield and price-to-earning, indicate that small-cap
issues are undervalued compared to large caps. In addition, the expected
continued strong dollar will reduce the relative earnings growth of large
multinationals vis-a-vis small companies.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C> <C>
November--1994 10000 10000
December--1994 9924 9916
December--1995 12617 13639
December--1996 14861 16769
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RETURNS.
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) The Standard & Poor's 500 Composite Stock Price Index (S&P 500) is a
broad-based index, the performance of which is based on the average
performance of 500 widely held common stocks. The performance of the Index
does not include any expenses, fees or charges. The Index is unmanaged and
should not be considered an investment.
(3) Closing value on December 31, 1996 for the underlying fund. This figure does
not reflect the deduction of any account fees or sales charges.
<PAGE>
INCOME
DIVERSIFIED INCOME PORTFOLIO
The Diversified Income Portfolio produced a total return of 9.54 percent for
the twelve-month period ended December 31, 1996, compared to a return of 4.05
percent for the Lehman Brothers Mutual Fund Government/Corporate Intermediate
Bond Index (the Index). The accompanying chart illustrates the growth of a
$10,000 investment in the Portfolio from inception (November 9, 1994) through
the fiscal year ended December 31, 1996, versus a similar hypothetical
investment in the issues that comprise the Index.
U.S. GOVERNMENT/MORTGAGE SECTOR. For the period under review
mortgage-backed securities outperformed similar maturity U.S. Treasury
securities. Accordingly, as cash flows permitted, we purchased current coupon
mortgages at attractive levels, enhancing the Portfolio's prospects for higher
total returns. As of December 31, 1996, this sector of the Portfolio was
comprised of 86 percent mortgage-backed securities issued by Federal National
Mortgage Association (FNMA), Government National Mortgage Association (GNMA) and
Federal Home Loan Mortgage Corp. (FHLMC) with 6.00 percent to 8.00 percent
coupons, 10 percent in U.S. Treasuries and the remaining 4 percent in U.S.
agency strips.
HIGH-YIELD SECTOR. The investment strategy of the Portfolio's high-yield
sector remained essentially unchanged over the past year, with a continued
emphasis on discounted B-rated issues. In today's market, many of these issues
can be purchased at or below par, providing significant appreciation potential
and an attractive yield (in the 10 percent to 12 percent range) versus
comparable U.S. Treasury securities. In light of the rebounding economy, we feel
comfortable with the earnings outlook of most of our B-rated issuers. However,
recognizing that the economy may slow somewhat over the next 12 to 18 months, we
have tried to limit the portfolio's potential volatility by focusing primarily
on growth-related, recession-resistant industries such as cable, media, food and
beverage and telecommunications.
SHORT-TERM GLOBAL BONDS. This segment's investment strategy continues to
maintain its overweighting in the higher-yielding southern European markets such
as Spain and Italy, to take advantage of their outperformance relative to the
United States. In addition, this segment continues to hold its investments in
the dollar-bloc countries (e.g., Australia and New Zealand) in order to benefit
from the higher yields and stable currencies of those markets.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C> <C>
November--1994 10000 10000
December--1994 10076 10035
December--1995 10777 11574
December--1996 11806 12043
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RETURNS.
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) The Lehman Brothers Mutual Fund Government/Corporate Intermediate Bond Index
tracks the performance of government and corporate bonds, including the U.S.
Government agency and U.S. Treasury securities and corporate and yankee
bonds with maturities of 1 to 10 years. Unlike the Fund, the Index does not
include any expenses, fees or charges. The Index is unmanaged and should not
be considered an investment.
(3) Closing value on December 31, 1996 for the underlying fund. This figure does
not reflect the deduction of any account fees or sales charges.
<PAGE>
NORTH AMERICAN GOVERNMENT SECURITIES PORTFOLIO
The North American Government Securities Portfolio produced a total return
of 4.35 percent for the twelve-month period ended December 31, 1996. During the
same period, the Lehman Brothers Short (1-5) U.S. Government Index produced a
total return of 4.60 percent. The accompanying chart illustrates the growth of a
$10,000 investment in the Portfolio from inception (November 9, 1994) through
December 31, 1996, versus a similar hypothetical investment in the issues that
comprise the Index.
As of December 31, 1996, 100 percent of the Portfolio's assets were invested
in the United States. The Portfolio's sub-adviser, TCW Funds Management, Inc.
(TCW), continues to emphasize high credit quality mortgage-backed securities and
U.S. Treasury issues. A recent rise in interest rates reduced the prepayment
risk, which helped the mortgage backed sector's performance. The portfolio
managers seek to benefit from this slowdown in prepayment activity by investing
a portion of the Portfolio in adjustable rate mortgages that generally perform
well as prepayment expectations subside.
During the year ended December 31, 1996, the Portfolio did not hold any
Mexican investments. The portfolio managers will continue to monitor the Mexican
fixed-income market for investment opportunities. The Portfolio remained on the
sidelines with respect to investing in Canada during the year. In general, the
portfolio managers purchase 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 sub-adviser continually
monitors this sector for attractive investment opportunities relative to those
in the United States and Mexico.
Although interest rates have risen recently, TCW remains positive on the
U.S. fixed-income market as a whole. Real rates of interest (taking the effect
of inflation into account) are still historically high. (In the past, periods of
strong bond market performance have correlated with high real rates of
interest.) Mexico has made substantial progress toward economic stabilization
but still faces a number of challenges, such as an overall weak banking system
and continuing political uncertainties. At this time, currency and interest-rate
volatility are likely to continue to play a major role as Mexico confronts these
and other challenges. The sub-adviser will strictly evaluate these factors when
weighing any decisions to invest in peso-denominated securities. 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.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<S> <C> <C>
November--1994 10000 10000
December--1994 10061 10022
December--1995 10705 11291
December--1996 11171 11810
</TABLE>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RETURNS.
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) The Lehman Brothers Short (1-5) U.S. Government Index measures the
performance of all U.S. Government agency and U.S. Treasury securities with
maturities of one to five years. The performance of the Index does not
include any expenses, fees or charges. The Index is unmanaged and should not
be considered an investment.
(3) Closing value on December 31, 1996 for the underlying fund. This figure does
not reflect the deduction of any account fees or sales charges.
<PAGE>
MONEY MARKET PORTFOLIO
As of December 31, 1996, the Money Market Portfolio had assets in excess of
$87 million with an average life of 62 days. The Portfolio's total return for
the most recent twelve-month fiscal period was 5.07 percent, and its annualized
yield for December was 4.98 percent.
On December 31, 1996, approximately 84 percent of the Portfolio consisted of
high-quality commercial paper, 4 percent was invested in short-term bank notes
and certificates of deposit of major, financially strong commercial banks, 9
percent was invested in bankers' acceptances issued by such institutions and the
remaining 3 percent was invested in federal agency obligations.
At the end of this fiscal period, more than 85 percent of the Portfolio's
assets were due to mature in less than four months. Therefore, the Portfolio is
well positioned for stability of value with a high degree of liquidity. We
continue to operate the Portfolio in a straightforward, conservative style
without "structured notes" or derivatives, which could fluctuate excessively
when interest rates change.
We appreciate your support of Dean Witter Select Dimensions Investment
Series and look forward to continuing to serve your investment needs and
objectives.
Very truly yours,
[SIGNATURE]
Charles A. Fiumefreddo
CHAIRMAN OF THE BOARD
* * *
The net asset values (the "NAVs") presented in the financial statements of
Dean Witter Select Dimensions Investment Series (the "Fund") reflect the 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.
<PAGE>
MONEY MARKET
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ANNUALIZED
PRINCIPAL YIELD
AMOUNT (IN ON DATE OF MATURITY
THOUSANDS) PURCHASE DATE VALUE
- ----------- -------------- --------------- ------------
<C> <S> <C> <C> <C>
COMMERCIAL PAPER (84.3%)
AUTOMOTIVE - FINANCE (4.5%)
$ 3,950 General Motors Acceptance Corp.......................... 5.44-5.86% 01/03/97-06/10/97 $ 3,917,641
------------
BANK HOLDING COMPANIES (7.0%)
2,600 Morgan (J.P.) & Co. Inc................................. 5.43-5.49 03/20/97-05/30/97 2,559,434
3,500 PNC Funding Corp........................................ 5.41-5.52 01/16/97-02/03/97 3,486,358
------------
6,045,792
------------
BANKS - COMMERCIAL (17.8%)
3,900 Abbey National North America Corp....................... 5.38-5.49 03/10/97-04/24/97 3,847,290
1,000 ABN - AMRO North America Finance Inc.................... 5.60 02/28/97 991,219
2,755 Commerzbank U.S. Finance Inc............................ 5.44-5.53 02/07/97-05/05/97 2,721,961
2,000 International Nederlanden (U.S.) Funding Corp........... 5.44 01/06/97 1,998,497
3,000 National Australia Funding (DE) Inc..................... 5.53-5.73 01/31/97-06/16/97 2,965,051
1,500 Societe Generale N.A., Inc.............................. 5.62 03/27/97 1,480,627
1,500 WestPac Capital Corp.................................... 5.47 06/19/97 1,462,538
------------
15,467,183
------------
BROKERAGE (9.5%)
3,950 Goldman Sachs Group L.P................................. 5.40-5.45 01/08/97-03/14/97 3,932,652
4,385 Morgan Stanley Group, Inc............................... 5.39-5.88 01/10/97-02/05/97 4,370,120
------------
8,302,772
------------
ENTERTAINMENT (0.6%)
510 Walt Disney Co.......................................... 5.76 01/06/97 509,593
------------
FINANCE - COMMERCIAL (1.7%)
1,500 CIT Group Holdings, Inc................................. 5.42 05/29/97 1,467,440
------------
FINANCE - CONSUMER (13.8%)
3,670 American Express Credit Corp............................ 5.37-5.40 03/07/97-05/09/97 3,623,624
1,200 American General Finance Corp........................... 5.46 04/02/97 1,183,711
3,500 Avco Financial Services Inc............................. 5.38-5.43 02/13/97-03/21/97 3,467,277
1,140 Household Finance Corp.................................. 5.50 01/07/97 1,138,972
2,600 Norwest Financial Inc................................... 5.49-5.55 01/02/97-02/21/97 2,587,383
------------
12,000,967
------------
FINANCE - CORPORATE (4.9%)
4,300 Corporate Asset Funding Co. Inc......................... 5.40-5.50 02/06/97-04/17/97 4,265,684
------------
FINANCE - DIVERSIFIED (6.7%)
2,075 Associates Corp. of North America....................... 5.38-5.40 01/15/97-03/06/97 2,064,781
3,825 General Electric Capital Corp........................... 5.40-5.49 01/13/97-04/30/97 3,785,543
------------
5,850,324
------------
FINANCE - EQUIPMENT (1.1%)
1,000 Deere (John) Capital Corp............................... 5.39 04/23/97 983,604
------------
<PAGE>
</TABLE>
MONEY MARKET
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ANNUALIZED
PRINCIPAL YIELD
AMOUNT (IN ON DATE OF MATURITY
THOUSANDS) PURCHASE DATE VALUE
- ----------- -------------- --------------- ------------
<C> <S> <C> <C> <C>
HEALTHCARE - DIVERSIFIED (2.3%)
$ 1,000 Becton Dickinson & Co................................... 5.49% 06/11/97 $ 976,074
1,061 Schering Corp........................................... 5.46-5.53 01/29/97-05/20/97 1,048,354
------------
2,024,428
------------
INDUSTRIALS (1.8%)
1,545 Motorola Inc............................................ 5.48 01/08/97 1,543,363
------------
INSURANCE (1.1%)
1,000 MetLife Funding Inc..................................... 5.41 03/19/97 988,557
------------
OFFICE EQUIPMENT (4.0%)
2,600 IBM Credit Corp......................................... 5.38-5.42 01/10/97-01/30/97 2,593,643
890 International Business Machines Corp.................... 5.36 02/14/97 884,246
------------
3,477,889
------------
RETAIL (4.3%)
3,750 Sears Roebuck Acceptance Corp........................... 5.45-5.56 01/14/97-03/26/97 3,725,719
------------
TELECOMMUNICATIONS (3.2%)
1,500 BellSouth Telecommunications Inc........................ 5.42 03/13/97 1,484,173
1,300 U.S. West Communications Inc............................ 5.41 01/22/97 1,295,920
------------
2,780,093
------------
TOTAL COMMERCIAL PAPER (AMORTIZED COST $73,351,049)...................................... 73,351,049
------------
BANKERS' ACCEPTANCES (8.7%)
3,665 First National Bank of Boston........................... 5.47-5.64 01/03/97-05/13/97 3,636,762
1,000 First Union National Bank of Florida.................... 5.43 05/06/97 981,563
2,000 Mellon Bank, N.A........................................ 5.52-5.60 01/24/97-05/16/97 1,976,268
1,000 Republic National Bank of New York...................... 5.45 04/10/97 985,233
------------
TOTAL BANKERS' ACCEPTANCES (AMORTIZED COST $7,579,826)................................... 7,579,826
------------
U.S. GOVERNMENT AGENCIES (2.9%)
2,530 Federal Home Loan Banks (Amortized Cost $2,522,823)..... 5.50-6.55 01/02/97-02/04/97 2,522,823
------------
CERTIFICATES OF DEPOSIT (4.6%)
2,000 Chase Manhattan Bank (USA).............................. 5.45-5.53 02/25/97-06/17/97 2,000,000
2,000 Union Bank of California, N.A........................... 5.71-5.72 01/09/97-03/18/97 2,000,000
------------
TOTAL CERTIFICATES OF DEPOSIT (AMORTIZED COST $4,000,000)................................ 4,000,000
------------
TOTAL INVESTMENTS (AMORTIZED COST $87,453,698) (A).............................. 100.5% 87,453,698
LIABILITIES IN EXCESS OF CASH AND OTHER ASSETS......................................................... (0.5) (452,009)
----------- -------------
NET ASSETS............................................................................................. 100.0% $ 87,001,689
----------- -------------
----------- -------------
- --------------------
(A) COST IS THE SAME FOR FEDERAL INCOME TAX PURPOSES.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
NORTH AMERICAN GOVERNMENT SECURITIES
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN COUPON MATURITY
THOUSANDS) RATE DATE VALUE
- ----------- ------------ --------- ----------
<C> <S> <C> <C> <C>
U.S. GOVERNMENT & AGENCY OBLIGATIONS (25.1%)
$ 35 Federal Home Loan Banks............................................ 6.78% 04/04/97 $ 35,131
250 U.S. Treasury Note................................................. 5.50 11/15/98 248,372
200 U.S. Treasury Note................................................. 5.50 02/28/99 198,350
150 U.S. Treasury Note................................................. 5.50 04/15/00 147,495
100 U.S. Treasury Note................................................. 6.00 08/15/99 100,026
115 U.S. Treasury Note................................................. 6.125 05/15/98 115,574
200 U.S. Treasury Note................................................. 6.375 05/15/99 201,808
----------
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (IDENTIFIED COST $1,053,939)..................... 1,046,756
----------
MORTGAGE-BACKED SECURITIES (50.7%)
98 Federal Home Loan Mortgage Corp.................................... 5.50 11/01/00 95,638
76 Federal Home Loan Mortgage Corp.................................... 6.00 11/01/99 74,599
71 Federal Home Loan Mortgage Corp.................................... 7.00 07/01/00 72,120
96 Federal Home Loan Mortgage Corp.................................... 7.50 05/01/11 97,251
180 Federal Home Loan Mortgage Corp.................................... 7.50 06/01/11 182,445
145 Federal Home Loan Mortgage Corp.................................... 7.50 08/01/11 147,348
250 Federal Home Loan Mortgage Corp.................................... 8.00 12/01/26 254,766
88 Federal National Mortgage Assoc.................................... 6.00 09/01/00 86,982
86 Federal National Mortgage Assoc.................................... 6.50 07/01/02 84,808
149 Federal National Mortgage Assoc.................................... 6.675 09/01/26 152,770
94 Federal National Mortgage Assoc.................................... 7.00 06/01/02 94,461
99 Federal National Mortgage Assoc.................................... 7.00 10/01/02 99,153
146 Federal National Mortgage Assoc.................................... 7.00 01/01/03 146,282
78 Federal National Mortgage Assoc.................................... 7.825 07/01/24 80,699
137 Government National Mortgage Assoc................................. 6.50 02/20/23 138,537
95 Government National Mortgage Assoc................................. 6.50 01/20/26 95,841
97 Government National Mortgage Assoc................................. 6.50 05/20/26 97,705
114 Government National Mortgage Assoc................................. 7.125 06/20/25 116,412
----------
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $2,115,311)............................... 2,117,817
----------
<CAPTION>
<C> <S> <C> <C> <C>
SHORT-TERM INVESTMENTS (29.0%)
U.S. GOVERNMENT AGENCY (a) (24.0%)
1,000 Federal Home Loan Banks (Amortized Cost $999,846).................. 5.55 01/02/97 999,846
----------
REPURCHASE AGREEMENT (5.0%)
209 The Bank of New York (dated 12/31/96; proceeds $209,010;
collateralized by $57,000 U.S. Treasury Bill 0.00% due 06/26/97
valued at $55,584, $49,918 U.S. Treasury Note 6.25% due 05/31/00
valued at $50,394, $51,766 U.S. Treasury Note 5.625% due 02/28/01
valued at $51,736 and $55,000 U.S. Treasury Note 6% due 05/31/98
valued at $55,444) (Identified Cost $208,979).................... 5.375 01/02/97 208,979
----------
TOTAL SHORT-TERM INVESTMENTS (IDENTIFIED COST $1,208,825)................................... 1,208,825
----------
TOTAL INVESTMENTS (IDENTIFIED COST $4,378,075) (B)............................ 104.8% 4,373,398
LIABILITIES IN EXCESS OF CASH AND OTHER ASSETS................................ (4.8) (201,690)
----------- ------------
NET ASSETS.................................................................... 100.0% $ 4,171,708
----------- ------------
----------- ------------
- --------------------
(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
$3,948 AND THE AGGREGATE GROSS UNREALIZED DEPRECIATION IS
$8,625, RESULTING IN NET UNREALIZED DEPRECIATION OF $4,677.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN COUPON MATURITY
THOUSANDS) RATE DATE VALUE
- ----------- --------- --------------- -----------
<C> <S> <C> <C> <C>
GOVERNMENT & CORPORATE BONDS (81.3%)
AUSTRALIA (2.7%)
GOVERNMENT OBLIGATION
Au$ 1,084 Queensland Treasury Corp. (a)............................... 8.00 % 05/14/97 $ 867,481
-----------
CANADA (1.8%)
GOVERNMENT OBLIGATION
Ca$ 740 Canada Treasury Bond (a).................................... 8.00 11/01/98 576,155
-----------
DENMARK (3.6%)
GOVERNMENT OBLIGATIONS
DKr 3,350 Denmark Treasury Note (a)................................... 9.00 11/15/98 619,064
3,100 Denmark Treasury Note (a)................................... 6.00 02/15/99 546,248
-----------
TOTAL DENMARK........................................................................... 1,165,312
-----------
GERMANY (0.5%)
GOVERNMENT OBLIGATION
DEM 230 Bundes Obligation (a)....................................... 6.875 02/24/99 159,238
-----------
ITALY (2.3%)
FINANCE (0.1%)
ITL 30M Credit Suisse Finance Gibraltar............................. 11.625 05/27/97 20,103
-----------
GOVERNMENT OBLIGATION (2.2%)
1,025M Italy Treasury Bond......................................... 9.50 02/01/99 716,014
-----------
TOTAL ITALY............................................................................. 736,117
-----------
PORTUGAL (4.4%)
GOVERNMENT OBLIGATIONS
PTE 157M Portugal Treasury Bond (a).................................. 8.375 01/23/99 1,058,814
50M Portugal Treasury Bond...................................... 8.50 03/23/99 339,200
-----------
TOTAL PORTUGAL.......................................................................... 1,398,014
-----------
SPAIN (2.4%)
GOVERNMENT OBLIGATIONS
ESP 14M Spain Treasury Bond (a)..................................... 11.45 08/30/98 117,291
43M Spain Treasury Bond (a)..................................... 9.90 10/31/98 354,453
35M Spain Treasury Bond (a)..................................... 10.25 11/30/98 291,096
-----------
TOTAL SPAIN............................................................................. 762,840
-----------
SWEDEN (1.3%)
GOVERNMENT OBLIGATION
SEK 2,800 Sweden Treasury Bond (a).................................... 10.75 01/23/97 410,429
-----------
UNITED KINGDOM (4.0%)
GOVERNMENT OBLIGATION
L 755 United Kingdom Government Bond (Conv.) (a).................. 7.00 08/06/97 1,298,518
-----------
<PAGE>
</TABLE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN COUPON MATURITY
THOUSANDS) RATE DATE VALUE
- ----------- --------- --------------- -----------
<C> <S> <C> <C> <C>
UNITED STATES (58.3%)
AEROSPACE (0.6%)
$ 200 Sabreliner Corp. (Series B)................................. 12.50 % 04/15/03 $ 196,000
-----------
AUTOMOTIVE (0.3%)
100 AM General Corporation...................................... 12.875 05/01/02 95,125
-----------
BROADCAST MEDIA (1.4%)
200 Australis Media Limited (Units)++........................... 15.75++ 05/15/03 117,000
100 Paxson Communications Corp.................................. 11.625 10/01/02 104,750
200 Spanish Broadcasting System, Inc............................ 7.50 06/15/02 212,000
-----------
433,750
-----------
BUSINESS SERVICES (1.9%)
322 Anacomp, Inc................................................ 13.00+ 06/04/02 331,987
250 Xerox Corp.................................................. 15.00 06/10/97 259,765
-----------
591,752
-----------
CABLE & TELECOMMUNICATIONS (5.2%)
214 Adelphia Communications Corp. (Series B).................... 9.50+ 02/15/04 186,594
200 American Communications Industries, Inc..................... 13.00++ 11/01/05 120,500
100 AT&T Capital Corp........................................... 15.00 05/05/97 103,035
264 Falcon Holdings Group L.P. (Series B)....................... 11.00+ 09/15/03 237,375
150 Frontiervision L.P.......................................... 11.00 10/15/06 150,000
400 Hyperion Communications..................................... 13.00++ 04/15/03 228,000
400 In-Flight Phone Corp. (Series B)............................ 14.00++ 05/15/02 134,500
200 IXC Communications Inc. (Series B).......................... 12.50 10/01/05 220,000
200 Mobile Telecommunication Technologies Corp.................. 13.50 12/15/02 200,000
100 Peoples Telephone Co., Inc.................................. 12.25 07/15/02 105,500
-----------
1,685,504
-----------
COMPUTER EQUIPMENT (1.9%)
150 Advanced Micro Devices, Inc................................. 11.00 08/01/03 162,750
200 Integrated Device Technology (Conv.)........................ 5.50 06/01/02 175,312
100 Unisys Corp................................................. 15.00 07/01/97 104,750
150 Unisys Corp. (Conv.)........................................ 8.25 03/15/06 183,392
-----------
626,204
-----------
ELECTRICAL & ALARM SYSTEMS (1.1%)
200 Mosler, Inc................................................. 11.00 04/15/03 189,000
200 Protection One, Inc. (Conv.)................................ 6.75 09/15/03 184,892
-----------
373,892
-----------
ENTERTAINMENT/GAMING & LODGING (6.4%)
500 Cobblestone Holdings Inc.................................... 0.00 06/01/04 200,000
250 Fitzgeralds Gaming Corp. (Units)++.......................... 13.00 12/31/02 212,500
200 Lady Luck Gaming Finance Corp............................... 11.875 03/01/01 197,250
200 Motels of America, Inc. (Series B).......................... 12.00 04/15/04 169,000
150 Nextlink Communications L.L.C............................... 12.50 04/15/06 161,250
</TABLE>
<PAGE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN COUPON MATURITY
THOUSANDS) RATE DATE VALUE
- ----------- --------- --------------- -----------
<C> <S> <C> <C> <C>
$ 200 Orbcomm Global L.P. - 144A*................................. 14.00 % 08/15/04 $ 202,500
250 Players International, Inc.................................. 10.875 04/15/05 248,750
100 Plitt Theaters, Inc. (Canada)............................... 10.875 06/15/04 101,626
200 President Riverboat Casinos, Inc............................ 13.00 09/15/01 167,000
200 Stuart Entertainment, Inc. - 144A*.......................... 12.50 11/15/04 203,500
200 Trump Castle Funding, Inc................................... 11.75 11/15/03 177,000
-----------
2,040,376
-----------
FINANCIAL - MISCELLANEOUS (0.4%)
200 PRT Funding Corp............................................ 11.625 04/15/04 140,000
-----------
FOODS & BEVERAGES (1.8%)
100 Envirodyne Industries, Inc.................................. 10.25 12/01/01 97,000
150 Great American Cookie, Inc. (Series B)...................... 10.875 01/15/01 137,250
700 Specialty Foods Acquisition Corp. (Series B)................ 13.00++ 08/15/05 273,000
100 Specialty Foods Corp........................................ 11.25 08/15/03 76,000
-----------
583,250
-----------
HEALTHCARE (1.1%)
300 Unilab Corp................................................. 11.00 04/01/06 204,000
150 Unison Healthcare - 144A*................................... 12.25 11/01/06 153,564
-----------
357,564
-----------
MANUFACTURING (0.8%)
250 Ithaca Industries, Inc...................................... 11.125 12/15/02 165,000
100 Uniroyal Technology Corp.................................... 11.75 06/01/03 99,750
-----------
264,750
-----------
MANUFACTURING - DIVERSIFIED (1.7%)
100 Interlake Corp.............................................. 12.125 03/01/02 104,375
200 J.B. Poindexter & Co., Inc.................................. 12.50 05/15/04 197,250
250 Jordan Industries, Inc...................................... 10.375 08/01/03 247,500
-----------
549,125
-----------
OIL & GAS (0.3%)
100 Empire Gas Corp............................................. 7.00 07/15/04 87,000
-----------
PUBLISHING (1.3%)
200 Affiliated Newspapers Investments, Inc...................... 13.25++ 07/01/06 164,000
300 Marvel Holdings, Inc........................................ 0.00 04/15/98 45,000
200 United States Banknote Corp................................. 10.375 06/01/02 197,500
-----------
406,500
-----------
RESTAURANTS (1.4%)
140 American Restaurant Group Holdings, Inc..................... 13.00 09/15/98 127,395
100 Carrols Corp................................................ 11.50 08/15/03 106,000
200 FRD Acquisition Corp. (Series B)............................ 12.50 07/15/04 205,250
-----------
438,645
-----------
<PAGE>
</TABLE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN COUPON MATURITY
THOUSANDS) RATE DATE VALUE
- ----------- --------- --------------- -----------
<C> <S> <C> <C> <C>
RETAIL (0.8%)
$ 150 Apparel Ventures, Inc. (Series B)........................... 12.25 % 12/31/00 $ 118,500
400 County Seat Stores Co. (b).................................. 12.00 10/01/02 146,000
-----------
264,500
-----------
TEXTILES - APPAREL MANUFACTURERS (1.0%)
200 Reeves Industries, Inc...................................... 11.00 07/15/02 193,000
150 U.S. Leather, Inc........................................... 10.25 07/31/03 132,000
-----------
325,000
-----------
U.S. GOVERNMENT & AGENCY OBLIGATIONS (28.9%)
Federal National Mortgage Assoc.
02/01/11-
978 ............................................................ 6.00 03/01/11 940,598
07/01/25-
1,871 ............................................................ 7.00 02/01/26 1,829,689
497 ............................................................ 8.00 07/01/26 505,940
-----------
3,276,227
-----------
Government National Mortgage Assoc. (a)
987 ............................................................ 6.50 03/15/26 940,875
01/15/26-
989 ............................................................ 7.00 04/15/26 966,650
02/15/26-
1,498 ............................................................ 7.50 07/15/26 1,498,398
02/15/26-
974 ............................................................ 8.00 06/15/26 993,453
-----------
4,399,376
-----------
U.S. Treasury Notes
200 ............................................................ 5.75 10/31/00 197,438
1,000 ............................................................ 5.875 11/30/01 985,620
-----------
1,183,058
-----------
500 U.S. Treasury Strip......................................... 0.00 02/15/00 414,914
-----------
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS.............................................. 9,273,575
-----------
TOTAL UNITED STATES..................................................................... 18,732,512
-----------
TOTAL GOVERNMENT & CORPORATE BONDS (IDENTIFIED COST $26,254,081)........................ 26,106,616
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES
- -----------
<C> <S> <C>
COMMON AND PREFERRED STOCKS (c) (1.0%)
ENTERTAINMENT/GAMING & LODGING (0.3%)
500 Cobblestone Holdings Inc............................................................ 9,000
3,000 Lady Luck Gaming Corp. (Series A) (Pref.)........................................... 91,500
-----------
100,500
-----------
FOOD & BEVERAGES (0.2%)
7,000 Seven-Up/RC Bottling Co. Southern California, Inc. (d).............................. 69,125
-----------
<PAGE>
</TABLE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -----------
<C> <S> <C>
HEALTHCARE (0.1%)
10,000 Unigene Laboratories, Inc........................................................... $ 19,688
20,000 Unilab Corp......................................................................... 8,750
-----------
28,438
-----------
MANUFACTURING - DIVERSIFIED (0.2%)
3,000 Thermadyne Holding Corp. (d)........................................................ 79,500
-----------
OIL & GAS (0.2%)
10,000 HarCor Energy, Inc.................................................................. 47,500
-----------
TOTAL COMMON AND PREFERRED STOCKS (IDENTIFIED COST $306,478)........................ 325,063
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION
WARRANTS DATE
- ----------- ---------------
<C> <S> <C> <C>
WARRANTS (C) (0.1%)
CABLE & TELECOMMUNICATIONS (0.1%)
400 Hyperion Telecommunication Inc. - 144A*............................. 04/01/01 18,000
200 In-Flight Phone Corp. - 144A*....................................... 08/31/02 200
-----------
18,200
-----------
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 $15,743)............................................. 18,988
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN COUPON MATURITY
THOUSANDS) RATE DATE
- ----------- --------- ---------------
<C> <S> <C> <C> <C>
SHORT-TERM INVESTMENTS (11.7%)
TIME DEPOSIT (e) (0.7%)
AUSTRALIA
Au$ 304 Bankers Trust (Identified Cost $241,558).................... 5.75 % 01/03/97 241,528
-----------
GOVERNMENT & AGENCY OBLIGATIONS (f) (10.3%)
IRELAND (2.4%)
IEP 476 Irish Government Exchange Note.............................. 5.80 12/05/97 764,815
-----------
NEW ZEALAND (2.0%)
NZ$ 340 New Zealand Treasury Bill................................... 8.85 02/10/97 237,692
580 New Zealand Treasury Bill................................... 8.83 04/09/97 401,274
-----------
TOTAL NEW ZEALAND....................................................................... 638,966
-----------
UNITED STATES (5.9%)
$ 1,900 Federal Home Loan Mortgage Corp............................. 6.50 01/02/97 1,899,657
-----------
TOTAL GOVERNMENT & AGENCY OBLIGATIONS (Amortized Cost $3,299,062)....................... 3,303,438
-----------
<PAGE>
</TABLE>
DIVERSIFIED INCOME
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN COUPON MATURITY
THOUSANDS) RATE DATE VALUE
- ----------- --------- --------------- -----------
<C> <S> <C> <C> <C>
REPURCHASE AGREEMENT (0.7%)
$ 223 The Bank of New York (dated 12/31/96; proceeds $222,917;
collateralized by $17,690 U.S. Treasury Note 5.125% due
06/30/98 valued at $17,532, $84,000 U.S. Treasury Note
5.50% due 02/28/99 valued at $84,875, $41,386 U.S.
Treasury Note 6.50% due 04/30/99 valued at $42,350, and
$82,000 U.S. Treasury Note 6.25% due 06/30/98 valued at
$82,551) (Identified Cost $222,851)....................... 5.375% 01/02/97 $ 222,851
-----------
TOTAL SHORT-TERM INVESTMENTS (IDENTIFIED COST $3,763,471)............................... 3,767,817
-----------
TOTAL INVESTMENTS (IDENTIFIED COST $30,339,773) (g)....................... 94.1% 30,218,484
CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES............................ 5.9 1,900,714
----------- -------------
NET ASSETS................................................................ 100.0% $ 32,119,198
----------- -------------
----------- -------------
- --------------------
M IN MILLIONS.
* RESALE IS RESTRICTED TO QUALIFIED INSTITUTIONAL INVESTORS.
++ CONSISTS OF ONE OR MORE CLASS OF SECURITIES TRADED TOGETHER AS A
UNIT; GENERALLY BONDS WITH ATTACHED STOCKS/WARRANTS.
+ PAYMENT-IN-KIND SECURITY.
++ CURRENTLY A ZERO COUPON BOND AND WILL PAY INTEREST AT THE RATE
SHOWN AT A FUTURE SPECIFIED DATE.
(A) SOME OR ALL OF THESE SECURITIES ARE SEGREGATED IN CONNECTION
WITH OPEN FORWARD FOREIGN CURRENCY CONTRACTS AND/OR SECURITIES
PURCHASED ON A FORWARD COMMITMENT BASIS.
(B) NON-INCOME PRODUCING SECURITY, ISSUER IN DEFAULT.
(C) NON-INCOME PRODUCING SECURITIES.
(D) ACQUIRED THROUGH EXCHANGE OFFER.
(E) SUBJECT TO WITHDRAWAL RESTRICTIONS UNTIL MATURITY.
(F) SECURITIES WERE PURCHASED ON A DISCOUNT BASIS. THE INTEREST
RATES SHOWN HAVE BEEN ADJUSTED TO REFLECT A MONEY MARKET
EQUIVALENT YIELD.
(G) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES APPROXIMATES
IDENTIFIED COST. THE AGGREGATE GROSS UNREALIZED APPRECIATION IS
$665,259 AND THE AGGREGATE GROSS UNREALIZED DEPRECIATION IS
$786,548, RESULTING IN NET UNREALIZED DEPRECIATION OF $121,289.
</TABLE>
FORWARD FOREIGN CURRENCY CONTRACTS OPEN AT DECEMBER 31, 1996:
<TABLE>
<CAPTION>
IN UNREALIZED
CONTRACTS EXCHANGE DELIVERY APPRECIATION
TO DELIVER FOR DATE (DEPRECIATION)
- ---------- ---------- -------- ----------------
<S> <C> <C> <C>
Y 115,000,000 $1,035,197 06/05/97 $ 16,749
CHF 1,942,650 $1,500,000 06/10/97 33,941
FRF 3,908,000 $ 757,731 06/10/97 (5,676)
DEM 1,148,000 $ 768,458 06/11/97 15,678
NLG 336,000 $ 200,957 06/27/97 4,085
DEM 880,000 $ 588,550 07/29/97 10,936
NLG 609,000 $ 355,351 09/23/97 (2,490)
-------
Net unrealized appreciation .................. $73,223
-------
-------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
BALANCED
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ---------- ------------
<C> <S> <C>
COMMON STOCKS (58.1%)
AEROSPACE (4.3%)
7,600 Boeing Co....................................................... $ 808,450
13,000 United Technologies Corp........................................ 858,000
------------
1,666,450
------------
AIR TRANSPORT (0.6%)
2,600 AMR Corp.*...................................................... 229,125
------------
AIRLINES (0.5%)
2,700 Delta Air Lines, Inc............................................ 191,362
------------
ALUMINUM (0.4%)
2,300 Aluminum Co. of America......................................... 146,625
------------
AUTO PARTS - AFTER MARKET (0.5%)
5,800 Lear Corp.*..................................................... 197,925
------------
AUTOMOTIVE (2.2%)
16,800 Chrysler Corp................................................... 554,400
9,100 Ford Motor Co................................................... 290,062
------------
844,462
------------
BANKS - MONEY CENTER (1.8%)
6,700 Citicorp........................................................ 690,100
------------
BASIC CYCLICAL COMMODITIES (0.6%)
5,900 Union Carbide Corp.............................................. 241,162
------------
BIOTECHNOLOGY (1.0%)
7,100 Amgen Inc.*..................................................... 386,062
------------
BROADCAST MEDIA (0.9%)
10,500 Infinity Broadcasting Corp. (Class A)........................... 353,062
------------
BROKERAGE (1.4%)
6,800 Merrill Lynch & Co., Inc........................................ 554,200
------------
COMMERCIAL SERVICES (1.2%)
15,800 Corrections Corp. of America*................................... 483,875
------------
COMMUNICATIONS EQUIPMENT (3.2%)
4,800 Ascend Communications, Inc...................................... 297,600
5,100 Cascade Communications Corp.*................................... 281,137
10,200 Cisco Systems, Inc.*............................................ 648,975
------------
1,227,712
------------
COMPUTER EQUIPMENT (1.2%)
9,600 Storage Technology Corp.*....................................... 457,200
------------
<PAGE>
</TABLE>
BALANCED
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ---------- ------------
<C> <S> <C>
COMPUTER SERVICES (2.4%)
3,900 Computer Sciences Corp.......................................... $ 320,287
4,100 Electronic Data Systems Corp.*.................................. 177,325
11,800 First Data Corp................................................. 430,700
------------
928,312
------------
COMPUTER SOFTWARE (2.2%)
10,400 Microsoft Corp.*................................................ 859,300
------------
COMPUTERS - SYSTEMS (0.7%)
5,300 Hewlett-Packard Co.............................................. 266,325
------------
CONSUMER PRODUCTS (1.2%)
4,900 Kimberly-Clark Corp............................................. 466,725
------------
CONSUMER SERVICES (1.1%)
18,750 CUC International, Inc.*........................................ 445,312
------------
ELECTRIC - MAJOR (0.8%)
3,200 General Electric Co............................................. 316,400
------------
ELECTRICAL EQUIPMENT (1.2%)
7,100 Honeywell, Inc.................................................. 466,825
------------
ENTERTAINMENT (1.7%)
10,000 Mirage Resorts, Inc.*........................................... 216,250
6,100 Walt Disney Co.................................................. 424,712
------------
640,962
------------
FINANCIAL - MISCELLANEOUS (3.2%)
10,100 Associates First Capital Corp. (Class A)........................ 445,663
2,200 Federal Home Loan Mortgage Corp................................. 242,275
14,500 Green Tree Financial Corp....................................... 560,063
------------
1,248,001
------------
HEALTH EQUIPMENT & SERVICES (2.2%)
11,850 Columbia/HCA Healthcare Corp.................................... 482,888
4,800 Warner-Lambert Co............................................... 360,000
------------
842,888
------------
HOUSEHOLD FURNISHINGS & APPLIANCES (1.3%)
13,600 American Standard Companies, Inc.*.............................. 520,200
------------
INSURANCE BROKERS (0.9%)
3,400 Marsh & McLennan Companies, Inc................................. 353,600
------------
MACHINERY - CONSTRUCTION & MATERIALS (0.8%)
4,200 Caterpillar, Inc................................................ 316,050
------------
MULTI-LINE INSURANCE (0.8%)
3,050 American International Group, Inc............................... 330,163
------------
<PAGE>
</TABLE>
BALANCED
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ---------- ------------
<C> <S> <C>
OFFICE EQUIPMENT & SUPPLIES (1.2%)
11,300 Corporate Express, Inc.*........................................ $ 331,938
2,600 Xerox Corp...................................................... 136,826
------------
468,764
------------
OIL INTEGRATED - INTERNATIONAL (1.8%)
4,700 Chevron Corp.................................................... 305,500
4,100 Texaco, Inc..................................................... 402,313
------------
707,813
------------
OIL WELL - MACHINERY (0.9%)
3,400 Schlumberger, Ltd............................................... 339,575
------------
PAPER & FOREST PRODUCTS (1.0%)
7,800 Weyerhaeuser Co................................................. 369,525
------------
PHARMACEUTICALS (2.0%)
8,400 Johnson & Johnson............................................... 417,900
4,400 Merck & Co., Inc................................................ 348,700
------------
766,600
------------
RAILROADS (1.5%)
6,834 Burlington Northern Santa Fe Corp............................... 590,287
------------
RESTAURANTS (0.8%)
8,500 Boston Chicken Inc.*............................................ 303,875
------------
RETAIL - FOOD CHAINS (1.0%)
9,500 Safeway, Inc.*.................................................. 406,125
------------
RETAIL - SPECIALTY (0.9%)
7,000 Home Depot, Inc................................................. 350,875
------------
SEMICONDUCTORS (2.8%)
8,300 Intel Corp...................................................... 1,086,263
------------
SOAP & HOUSEHOLD PRODUCTS (1.2%)
4,300 Procter & Gamble Co............................................. 462,250
------------
TELECOMMUNICATIONS (1.1%)
4,300 GTE Corp........................................................ 195,650
5,000 Lucent Technologies, Inc........................................ 231,250
------------
426,900
------------
TOBACCO (1.0%)
3,500 Philip Morris Companies, Inc.................................... 394,188
------------
UTILITIES - ELECTRIC (0.6%)
6,100 American Electric Power Co., Inc................................ 250,863
------------
TOTAL COMMON STOCKS (IDENTIFIED COST $19,368,402)............... 22,594,288
------------
</TABLE>
<PAGE>
BALANCED
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN COUPON MATURITY
THOUSANDS) RATE DATE VALUE
- ---------- ---------- ---------- ------------
<C> <S> <C> <C> <C>
CORPORATE BONDS (5.3%)
BANKS (0.5%)
$ 200 NationsBank Corp........................ 7.50 % 09/15/06 $ 205,650
------------
BANKS - MONEY CENTER (0.4%)
145 Citicorp................................ 6.375 01/15/06 138,540
------------
BROKERAGE (0.3%)
150 Merrill Lynch & Co., Inc................ 6.00 01/15/01 146,987
------------
ENTERTAINMENT (0.5%)
180 Walt Disney Co.......................... 6.75 03/30/06 177,910
------------
FINANCIAL (0.8%)
100 Abbey National PLC (United Kingdom)..... 6.69 10/17/05 98,223
100 BHP Finance U.S.A. Ltd.................. 6.69 03/01/06 97,983
110 Wells Fargo & Co........................ 6.875 04/01/06 108,181
------------
304,387
------------
HEALTHCARE - DRUGS (0.1%)
45 Lilly (Eli) & Co........................ 8.375 12/01/06 49,973
------------
INDUSTRIALS (1.9%)
100 General American Transportation Corp.... 6.75 03/01/06 96,877
150 Lockheed Martin Corp.................... 7.25 05/15/06 152,729
15 Mead Corp............................... 7.125 08/01/25 13,674
40 Monsanto Co............................. 8.875 12/15/09 46,424
200 Praxair Inc............................. 6.90 11/01/06 198,008
15 Texas Utilities Electric Co............. 7.875 04/01/24 14,990
200 Willamette Industries, Inc.............. 7.85 07/01/26 209,764
------------
732,466
------------
TELECOMMUNICATIONS (0.4%)
50 AT&T Corp............................... 7.75 03/01/07 52,946
120 Northern Telecom Capital................ 7.40 06/15/06 123,935
------------
176,881
------------
UTILITIES - ELECTRIC (0.4%)
150 Union Electric Co....................... 6.75 05/01/08 147,423
------------
TOTAL CORPORATE BONDS (IDENTIFIED COST $2,065,527).............. 2,080,217
------------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C> <C> <C>
MORTGAGE-BACKED SECURITIES (7.5%)
190 Federal Home Loan Mortgage Corp......... 7.00 12/01/25 186,336
304 Federal Home Loan Mortgage Corp......... 7.00 04/01/26 298,077
192 Federal Home Loan Mortgage Corp......... 7.50 05/01/11 194,502
346 Federal Home Loan Mortgage Corp......... 7.50 06/01/11 351,209
290 Federal Home Loan Mortgage Corp......... 7.50 08/01/11 294,695
498 Federal Home Loan Mortgage Corp......... 8.00 06/01/26 507,756
</TABLE>
<PAGE>
BALANCED
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN COUPON MATURITY
THOUSANDS) RATE DATE VALUE
- ---------- ---------- ---------- ------------
<C> <S> <C> <C> <C>
$ 639 Government National Mortgage Assoc...... 7.00 % 05/15/26 $ 624,294
458 Government National Mortgage Assoc...... 8.00 08/15/26 467,416
------------
TOTAL MORTGAGE-BACKED SECURITIES (IDENTIFIED COST $2,899,102)... 2,924,285
------------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C> <C> <C>
U.S. GOVERNMENT OBLIGATIONS (19.9%)
1,095 U.S. Treasury Bond...................... 7.50 11/15/24 1,197,415
755 U.S. Treasury Note...................... 5.00 01/31/98 749,647
765 U.S. Treasury Note...................... 5.125 04/30/98 759,270
500 U.S. Treasury Note...................... 5.875 10/31/98 500,055
1,425 U.S. Treasury Note...................... 5.875 11/15/05 1,373,828
300 U.S. Treasury Note...................... 6.375 05/15/99 302,712
1,070 U.S. Treasury Note...................... 6.375 08/15/02 1,076,720
540 U.S. Treasury Note...................... 6.625 06/30/01 548,856
175 U.S. Treasury Note...................... 7.75 11/30/99 182,884
600 U.S. Treasury Note...................... 7.75 01/31/00 628,110
80 U.S. Treasury Note...................... 7.875 11/15/04 87,221
440 U.S. Treasury Strip..................... 0.00 05/15/02 315,995
------------
TOTAL U.S. GOVERNMENT OBLIGATIONS (IDENTIFIED COST
$7,662,056)................................................... 7,722,713
------------
SHORT-TERM INVESTMENTS (8.8%)
U.S. GOVERNMENT AGENCIES (a) (4.4%)
1,000 Federal Farm Credit Bank................ 5.60 01/02/97 999,845
705 Federal Home Loan Mortgage Corp......... 5.58 01/14/97 703,579
------------
TOTAL U.S. GOVERNMENT AGENCIES (Amortized Cost $1,703,424) 1,703,424
------------
REPURCHASE AGREEMENT (4.4%)
1,696 The Bank of New York (dated 12/31/96;
proceeds $1,696,409; collateralized by
$814,301 U.S. Treasury Bill 0.00% due
01/09/97 valued at $813,405, $849,000
U.S. Treasury Note 6.375% due 08/15/02
valued at $875,266 and $37,719 U.S.
Treasury Note 8.50% due 11/15/00
valued at $41,150) (Identified Cost
$1,695,902)........................... 5.375 01/02/97 1,695,902
------------
TOTAL SHORT-TERM INVESTMENTS (IDENTIFIED COST $3,399,326)....... 3,399,326
------------
TOTAL INVESTMENTS (IDENTIFIED COST $35,394,413) (B)............. 99.6 % 38,720,829
CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES.................. 0.4 172,199
---------- ------------
NET ASSETS...................................................... 100.0 % $ 38,893,028
---------- ------------
---------- ------------
- --------------------
* 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
$3,813,989 AND THE AGGREGATE GROSS UNREALIZED DEPRECIATION IS
$487,573, RESULTING IN NET UNREALIZED APPRECIATION OF
$3,326,416.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
UTILITIES
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -----------
<C> <S> <C>
COMMON STOCKS (89.7%)
NATURAL GAS (18.5%)
11,000 AGL Resources, Inc............. $ 232,375
17,000 American Water Works Company,
Inc.......................... 350,625
5,500 Anadarko Petroleum Corp........ 356,125
10,000 Brooklyn Union Gas Co.......... 301,250
4,500 Consolidated Natural Gas Co.... 248,625
7,000 Eastern Enterprises............ 247,625
5,811 El Paso Natural Gas Co......... 293,455
9,000 Enron Corp..................... 388,125
10,000 Enron Oil & Gas Co............. 252,500
5,000 Ente Nazionale Idrocarburi SpA
(ADR) (Italy)................ 258,125
12,000 Indiana Energy Inc............. 292,500
10,000 KN Energy, Inc................. 392,500
12,000 MCN Corp....................... 346,500
3,500 Mitchell Energy & Development
Corp. (Class B).............. 77,437
10,500 New Jersey Resources Corp...... 307,125
8,000 North Carolina Natural Gas
Corp......................... 231,000
9,750 Northwest Natural Gas Co....... 231,562
8,000 PanEnergy Corp................. 360,000
6,000 Parker & Parsley Petroleum
Co........................... 220,500
8,500 Questar Corp................... 312,375
7,500 Sonat, Inc..................... 386,250
6,000 South Jersey Industries,
Inc.......................... 146,250
6,000 Southwest Gas Corp............. 115,500
5,500 Tenneco, Inc................... 248,187
-----------
6,596,516
-----------
TELECOMMUNICATIONS (32.0%)
8,000 360 Communications Co.*........ 185,000
6,000 Airtouch Communications,
Inc.*........................ 151,500
7,000 Alcatel Alsthom (ADR)
(France)..................... 112,000
7,500 Alltel Corp.................... 235,312
4,000 Ameritech Corp................. 242,500
4,000 AT&T Corp...................... 174,000
7,500 BCE, Inc. (Canada)............. 358,125
2,500 Bell Atlantic Corp............. 161,875
5,000 BellSouth Corp................. 201,875
6,000 Brooks Fiber Properties,
Inc.*........................ 153,000
3,000 Cellular Communications
International, Inc.*......... 85,500
6,500 Century Telephone Enterprises,
Inc.......................... 200,687
10,000 Clayton Williams Energy,
Inc.*........................ 173,750
5,500 Clearnet Communications Inc.
(Class A) (Canada)*.......... 59,125
6,000 Comcast Corp. (Class A)........ 106,500
4,500 Ericsson (L.M.) Telephone Co.
(Class B) (ADR) (Sweden)..... 135,562
4,500 GTE Corp....................... 204,750
4,000 Harris Corp.................... 274,500
8,000 ICG Communications, Inc.*...... 141,000
8,000 Intercel, Inc.*................ 96,000
8,000 LCI International, Inc.*....... 172,000
12,000 Loral Space & Communications
Ltd.*........................ 220,500
8,896 Lucent Technologies, Inc....... 411,440
10,500 MCI Communications Corp........ 342,562
10,000 McLeod, Inc. (Class A)*........ 255,000
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -----------
<C> <S> <C>
15,000 Metromedia International Group
Inc.*........................ $ 148,125
6,000 MFS Communications Company,
Inc.*........................ 325,500
9,000 MIDCOM Communications, Inc.*... 76,500
9,500 News Corp. Ltd. (ADR)
(Australia).................. 198,313
8,000 Nextel Communications, Inc.
(Class A)*................... 104,000
6,500 Nippon Telegraph & Telephone
Corp. (ADR) (Japan).......... 255,938
6,500 Northern Telecom Ltd.
(Canada)..................... 402,188
4,000 NYNEX Corp..................... 192,500
3,000 Pacific Telesis Group.......... 110,250
8,000 Philips Electronics NV (ADR)
(Netherlands)................ 320,000
9,500 Portugal Telecom S.A. (ADR)
(Portugal)................... 268,375
6,000 Royal PTT Nederland NV (ADR)
(Netherlands)................ 227,250
4,000 SBC Communications, Inc........ 207,000
8,000 Scientific-Atlanta, Inc........ 120,000
6,500 Southern New England
Telecommunications Corp...... 252,688
7,000 Sprint Corp.................... 279,125
7,000 Tele Danmark AS (ADR)
(Denmark).................... 190,750
8,000 Tele-Communication Liberty
Media Group (Class A)*....... 228,000
6,000 Tele-Communications, Inc.
(Class A)*................... 78,000
5,000 Telecom Argentina S.A. (ADR)
(Argentina).................. 201,875
6,000 Telefonica Espana S.A. (ADR)
(Spain)...................... 415,500
3,000 Telefonos de Mexico S.A. de
C.V. (Series L) (ADR)
(Mexico)..................... 99,000
9,000 Telephone & Data Systems,
Inc.......................... 326,250
6,000 Teleport Communications Group
Inc. (Class A)*.............. 182,250
3,000 U.S. West Communications
Group........................ 96,750
10,000 U.S. West Media Group*......... 185,000
7,000 United States Cellular
Corp.*....................... 195,125
7,000 Vanguard Cellular Systems, Inc.
(Class A)*................... 108,500
5,000 Viacom, Inc. (Class A)*........ 172,500
6,500 Vodafone Group PLC (ADR)
(United Kingdom)............. 268,938
12,000 WorldCom, Inc.*................ 312,000
-----------
11,402,253
-----------
UTILITIES - ELECTRIC (39.2%)
9,000 AES Corp.*..................... 418,500
12,500 Allegheny Power System, Inc.... 379,688
10,000 American Electric Power Co..... 411,250
8,000 Bangor Hydro-Electric Co....... 74,000
5,000 Boston Edison Co............... 134,375
9,500 Carolina Power & Light Co...... 346,750
10,000 Central & South West Corp...... 256,250
10,000 Central Louisiana Electric..... 276,250
8,000 CINergy Corp................... 267,000
15,240 Citizens Utilities Co. (Class
A)*.......................... 165,735
8,000 CMS Energy Corp................ 269,000
8,000 Consolidated Edison Co. of New
York, Inc.................... 234,000
9,500 Dominion Resources, Inc........ 365,750
8,500 DQE, Inc....................... 246,500
5,000 Duke Power Co.................. 231,250
6,000 Eastern Utilities Assoc........ 104,250
11,500 Edison International........... 228,563
</TABLE>
<PAGE>
UTILITIES
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- -----------
<C> <S> <C>
6,500 Enersis S.A. (ADR) (Chile)..... $ 180,375
10,000 Enova Corp..................... 227,500
9,000 Entergy Corp................... 249,750
14,000 FPL Group, Inc................. 644,000
12,000 General Public Utilities
Corp......................... 403,500
12,000 Houston Industries, Inc........ 271,500
6,500 Illinova Corp.................. 178,750
12,000 IPALCO Enterprises, Inc........ 327,000
10,000 Kansas City Power & Light
Co........................... 285,000
8,500 Korea Electric Power Corp.
(ADR)........................ 174,250
12,000 LG&E Energy Corp............... 294,000
6,000 National Power PLC (ADR)
(United Kingdom)............. 203,250
8,000 New England Electric System.... 279,000
12,000 NIPSCO Industries, Inc......... 475,500
7,000 Northwestern Public Service
Co........................... 239,750
8,000 Oklahoma Gas & Electric Co..... 334,000
10,000 Pacific Enterprises............ 303,750
8,000 Pacific Gas & Electric Co...... 168,000
11,000 PacifiCorp..................... 225,500
9,500 Peco Energy Co................. 239,875
8,500 Pinnacle West Capital Corp..... 269,875
5,000 Portland General Corp.......... 210,000
10,000 Public Service Company of
Colorado..................... 388,750
12,000 Public Service Company of New
Mexico....................... 235,500
6,000 Public Service Enterprise
Group, Inc................... 163,500
11,000 SCANA Corp..................... 294,250
10,000 Sierra Pacific Resources....... 287,500
12,000 Southern Co.................... 271,500
12,000 Teco Energy, Inc............... 289,500
8,500 TNP Enterprises, Inc........... 232,688
9,000 Tucson Electric Power Co.*..... 149,625
7,000 Unicom Corp.................... 189,875
10,000 Utilicorp United, Inc.......... 270,000
11,000 Western Resources, Inc......... 339,625
12,000 Wisconsin Energy Corp.......... 322,500
-----------
14,028,049
-----------
TOTAL COMMON STOCKS
(IDENTIFIED COST
$29,260,906)................. 32,026,818
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
PREFERRED STOCKS (1.0%)
UTILITIES - ELECTRIC
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. $2.00.................... 62,500
5,000 Virginia Power Capital $2.01... 125,000
-----------
TOTAL PREFERRED STOCKS
(IDENTIFIED COST $363,687)... 356,750
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN
THOUSANDS) VALUE
- ----------- -----------
<C> <S> <C>
CORPORATE BONDS (4.7%)
NATURAL GAS (4.1%)
$ 1,500 Enserch Exploration, Inc. 7.54%
due 01/02/09-144A**.......... $ 1,478,520
-----------
TELECOMMUNICATIONS (0.6%)
100 Century Telephone
Enterprises, Inc. 7.20% due
12/01/25..................... 97,166
100 Southwestern Bell Telephone Co.
7.25% due 07/15/25........... 96,063
-----------
193,229
-----------
TOTAL CORPORATE BONDS
(IDENTIFIED COST
$1,702,656).................. 1,671,749
-----------
U.S. GOVERNMENT AGENCY (0.1%)
25 Tennessee Valley Authority
(Series 95-A) 8.00% due
03/31/45 (Identified Cost
$25,000)..................... 26,000
-----------
SHORT-TERM INVESTMENTS (6.4%)
U.S. GOVERNMENT AGENCY (a) (5.6%)
2,000 Federal Home Loan Banks 6.50%
due 01/02/97 (Amortized Cost
$1,999,639).................. 1,999,639
-----------
REPURCHASE AGREEMENT (0.8%)
280 The Bank of New York 5.375% due
01/02/97 (dated 12/31/96;
proceeds $279,717;
collateralized by $82,408
U.S. Treasury Bill 0.00% due
01/30/97 valued at $82,079,
$6,764 U.S. Treasury Note
6.75% due 05/31/97 valued at
$6,838, $96,000 U.S. Treasury
Note 5.125% due 02/28/98
valued at $97,043, $100,000
U.S. Treasury Note 5.875% due
06/30/00 valued at $99,266
(Identified Cost $279,634)... 279,634
-----------
TOTAL SHORT-TERM INVESTMENTS
(IDENTIFIED COST
$2,279,273).................. 2,279,273
-----------
TOTAL INVESTMENTS (IDENTIFIED
COST $33,631,522) (B)........... 101.9% 36,360,590
LIABILITIES IN EXCESS OF OTHER ASSETS...... (1.9) (674,507)
----------- -------------
NET ASSETS................................. 100.0% $ 35,686,083
----------- -------------
----------- -------------
- --------------------
ADR AMERICAN DEPOSITORY RECEIPT.
* NON-INCOME PRODUCING SECURITY.
** RESALE IS RESTRICTED TO QUALIFIED INSTITUTIONAL INVESTORS.
(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
$3,659,092 AND THE AGGREGATE GROSS UNREALIZED DEPRECIATION IS
$930,024, RESULTING IN NET UNREALIZED APPRECIATION OF
$2,729,068.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DIVIDEND GROWTH
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (97.9%)
AEROSPACE (3.1%)
121,600 United Technologies Corp...... $ 8,025,600
------------
AUTOMOTIVE (6.1%)
236,000 Chrysler Corp................. 7,788,000
249,000 Ford Motor Co................. 7,936,875
------------
15,724,875
------------
BANKS (6.3%)
187,000 Banc One Corp................. 8,041,000
81,000 BankAmerica Corp.............. 8,079,750
------------
16,120,750
------------
BEVERAGES - SOFT DRINKS (3.1%)
271,000 PepsiCo Inc................... 7,926,750
------------
CHEMICALS (3.1%)
103,000 Dow Chemical Co............... 8,072,625
------------
COMPUTERS (3.0%)
52,000 International Business
Machines Corp............... 7,852,000
------------
CONGLOMERATES (6.2%)
95,000 Minnesota Mining &
Manufacturing Co............ 7,873,125
34,000 Newport News Shipbuilding
Inc......................... 510,000
170,000 Tenneco, Inc.................. 7,671,250
------------
16,054,375
------------
DRUGS (3.0%)
154,000 Abbott Laboratories........... 7,815,500
------------
ELECTRICAL EQUIPMENT (3.0%)
119,000 Honeywell, Inc................ 7,824,250
------------
ELECTRONICS (3.0%)
78,000 General Electric Co........... 7,712,250
------------
FOODS (3.0%)
203,000 Quaker Oats Company (The)..... 7,739,375
------------
MACHINERY -
AGRICULTURAL (3.1%)
194,000 Deere & Co.................... 7,881,250
------------
METALS & MINING (3.1%)
119,000 Phelps Dodge Corp............. 8,032,500
------------
NATURAL GAS (3.5%)
15,810 El Paso Natural Gas Co........ 798,405
188,000 Enron Corp.................... 8,107,500
------------
8,905,905
------------
OFFICE EQUIPMENT (3.0%)
141,500 Pitney Bowes, Inc............. 7,711,750
------------
OIL - DOMESTIC (3.0%)
80,000 Exxon Corp.................... 7,840,000
------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------- ------------
<C> <S> <C>
OIL INTEGRATED -
DOMESTIC (6.2%)
61,000 Atlantic Richfield Co......... $ 8,082,500
326,000 USX-Marathon Group............ 7,783,250
------------
15,865,750
------------
OIL INTEGRATED - INTERNATIONAL (3.2%)
67,000 Mobil Corp.................... 8,190,750
------------
PAPER & FOREST
PRODUCTS (3.2%)
174,000 Weyerhaeuser Co............... 8,243,250
------------
PHOTOGRAPHY (3.1%)
100,000 Eastman Kodak Co.............. 8,025,000
------------
RAILROADS (3.1%)
186,000 CSX Corp...................... 7,858,500
------------
RETAIL - DEPARTMENT
STORES (3.1%)
173,000 May Department Stores Co...... 8,087,750
------------
RETAIL - FOOD CHAINS (3.1%)
196,000 American Stores Co............ 8,011,500
------------
TELECOMMUNICATIONS (6.4%)
126,000 Bell Atlantic Corp............ 8,158,500
210,000 Sprint Corp................... 8,373,750
------------
16,532,250
------------
TOBACCO (3.1%)
72,000 Philip Morris Companies,
Inc......................... 8,109,000
------------
UTILITIES - ELECTRIC (4.8%)
249,000 General Public Utilities
Corp........................ 8,372,625
194,700 Pacific Gas & Electric Co..... 4,088,700
------------
12,461,325
------------
TOTAL COMMON STOCKS
(IDENTIFIED COST
$230,534,063)............... 252,624,830
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN
THOUSANDS)
- -----------
<C> <S> <C>
SHORT-TERM INVESTMENT (2.0%)
REPURCHASE AGREEMENT
$ 5,094 The Bank of New York 5.375%
due 01/02/97 (dated
12/31/96; proceeds
$5,095,623; collateralized
by $5,145,047 U.S. Treasury
Note 5.875% due 10/31/98
valued at $5,195,984)
(Identified Cost
$5,094,102)................. 5,094,102
------------
TOTAL INVESTMENTS (IDENTIFIED
COST $235,628,165) (A)........ 99.9% 257,718,932
OTHER ASSETS IN EXCESS OF LIABILITIES.... 0.1 381,935
----------- ---------------
NET ASSETS............................... 100.0% $ 258,100,867
----------- ---------------
----------- ---------------
- --------------------
(A) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES APPROXIMATES
IDENTIFIED COST. THE AGGREGATE GROSS UNREALIZED APPRECIATION IS
$24,757,349 AND THE AGGREGATE GROSS UNREALIZED DEPRECIATION IS
$2,666,582, RESULTING IN NET UNREALIZED APPRECIATION OF
$22,090,767.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
COMMON STOCKS (96.3%)
AEROSPACE & DEFENSE (1.6%)
1,531 Boeing Co............................... $ 162,860
2,100 General Dynamics Corp................... 148,050
1,600 Lockheed Martin Corp.................... 146,400
2,500 McDonnell Douglas Corp.................. 160,000
1,750 Northrop Grumman Corp................... 144,812
3,000 Raytheon Co............................. 144,375
2,400 Rockwell International Corp.*........... 146,100
2,000 United Technologies Corp................ 132,000
------------
1,184,597
------------
AGRICULTURE RELATED (0.2%)
2,000 Pioneer Hi-Bred International, Inc...... 140,000
------------
AIRLINES (0.8%)
1,700 AMR Corp.*.............................. 149,812
2,000 Delta Air Lines, Inc.................... 141,750
6,500 Southwest Airlines Co................... 143,812
6,600 USAir Group, Inc.*...................... 154,275
------------
589,649
------------
ALUMINUM (0.5%)
4,300 Alcan Aluminum Ltd. (Canada)............ 144,587
2,300 Aluminum Co. of America................. 146,625
2,400 Reynolds Metals Co...................... 135,300
------------
426,512
------------
AUTO PARTS - AFTER MARKET (0.9%)
7,250 Cooper Tire & Rubber Co................. 143,187
4,700 Echlin, Inc............................. 148,637
3,200 Genuine Parts Co........................ 142,400
2,750 Goodyear Tire & Rubber Co............... 141,281
2,800 TRW, Inc................................ 138,600
------------
714,105
------------
AUTOMOBILES (0.5%)
4,100 Chrysler Corp........................... 135,300
4,600 Ford Motor Co........................... 146,625
2,500 General Motors Corp..................... 139,375
------------
421,300
------------
BANKS - MONEY CENTER (1.1%)
1,400 BankAmerica Corp........................ 139,650
1,600 Bankers Trust New York Corp............. 138,000
1,600 Chase Manhattan Corp.................... 142,800
1,300 Citicorp................................ 133,900
2,450 First Chicago NBD Corp.................. 131,687
1,450 Morgan (J.P.) & Co., Inc................ 141,556
------------
827,593
------------
BANKS - REGIONAL (4.1%)
3,200 Banc One Corp........................... 137,600
2,200 Bank of Boston Corp..................... 141,350
3,900 Bank of New York Co., Inc............... 131,625
3,400 Barnett Banks, Inc...................... 139,825
2,300 Boatmen's Bancshares, Inc............... 148,062
2,500 Comerica, Inc........................... 130,937
2,600 Corestates Financial Corp............... 134,875
2,250 Fifth Third Bancorp..................... 141,187
2,000 First Bank System, Inc.................. 136,500
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
1,942 First Union Corp........................ $ 143,708
2,600 Fleet Financial Group, Inc.............. 129,675
2,600 KeyCorp................................. 131,300
1,850 Mellon Bank Corp........................ 131,350
3,150 National City Corp...................... 141,356
1,350 NationsBank Corp........................ 131,962
3,200 Norwest Corp............................ 139,200
3,750 PNC Bank Corp........................... 141,094
1,700 Republic New York Corp.................. 138,762
2,800 SunTrust Banks, Inc..................... 137,900
2,900 U.S. Bancorp............................ 130,137
2,400 Wachovia Corp........................... 135,600
500 Wells Fargo & Co........................ 134,875
------------
3,008,880
------------
BEVERAGES - ALCOHOLIC (0.7%)
3,300 Anheuser-Busch Companies, Inc........... 132,000
3,200 Brown-Forman Corp. (Class B)............ 146,400
7,600 Coors (Adolph) Co. (Class B)............ 144,400
3,600 Seagram Co. Ltd. (Canada)............... 139,500
------------
562,300
------------
BEVERAGES - SOFT DRINKS (0.6%)
2,900 Coca Cola Co............................ 152,612
5,000 PepsiCo Inc............................. 146,250
6,300 Whitman Corp............................ 144,113
------------
442,975
------------
BIOTECHNOLOGY (0.1%)
2,400 Amgen Inc.*............................. 130,500
------------
BROADCAST MEDIA (0.6%)
8,500 Comcast Corp. (Class A Special)......... 150,875
11,200 Tele-Communications, Inc. (Class A)*.... 145,600
7,800 U.S. West Media Group*.................. 144,300
------------
440,775
------------
BUILDING MATERIALS (0.5%)
4,000 Masco Corp.............................. 144,000
3,200 Owens-Corning Fiberglas Corp............ 136,400
2,500 Sherwin-Williams Co..................... 140,000
------------
420,400
------------
BUSINESS SERVICES (0.2%)
4,300 Cognizant Corp.*........................ 141,900
------------
CHEMICALS (2.2%)
1,900 Air Products & Chemicals, Inc........... 131,337
1,900 Dow Chemical Co......................... 148,912
1,400 Du Pont (E.I.) de Nemours & Co.......... 132,125
2,500 Eastman Chemical Co..................... 138,125
3,700 Goodrich (B.F.) Co...................... 149,850
3,300 Hercules, Inc........................... 142,725
2,950 Mallinckrodt Group, Inc................. 130,169
3,650 Monsanto Co............................. 141,894
2,350 PPG Industries, Inc..................... 131,894
3,300 Praxair, Inc............................ 152,212
1,650 Rohm & Haas Co.......................... 134,681
3,600 Union Carbide Corp...................... 147,150
------------
1,681,074
------------
</TABLE>
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
CHEMICALS - DIVERSIFIED (0.6%)
4,200 Avery Dennison Corp..................... $ 148,575
7,450 Engelhard Corp.......................... 142,481
2,100 FMC Corp.*.............................. 147,262
------------
438,318
------------
CHEMICALS - SPECIALTY (1.4%)
3,800 Ecolab, Inc............................. 142,975
2,900 Grace (W. R.) & Co...................... 150,075
3,200 Great Lakes Chemical Corp............... 149,600
3,200 International Flavors & Fragrances
Inc................................... 144,000
3,700 Morton International, Inc............... 150,775
3,600 Nalco Chemical Co....................... 130,050
2,350 Sigma-Aldrich Corp...................... 146,581
------------
1,014,056
------------
COMMUNICATIONS - EQUIPMENT/MANUFACTURERS (2.1%)
2,000 3Com Corp.*............................. 146,500
2,700 Andrew Corp.*........................... 143,100
6,500 Bay Networks, Inc.*..................... 135,687
4,200 Cabletron Systems, Inc.*................ 139,650
2,200 Cisco Systems, Inc.*.................... 139,975
8,100 DSC Communications Corp.*............... 144,787
6,000 General Instrument Corp.*............... 129,750
2,000 Harris Corp............................. 137,250
2,300 Northern Telecom Ltd. (Canada).......... 142,312
9,500 Scientific-Atlanta, Inc................. 142,500
3,400 Tellabs, Inc.*.......................... 127,925
------------
1,529,436
------------
COMPUTER EQUIPMENT (0.2%)
2,600 Dell Computer Corp.*.................... 138,125
------------
COMPUTER SOFTWARE & SERVICES (2.2%)
5,100 Autodesk, Inc........................... 142,800
3,300 Automatic Data Processing, Inc.......... 141,487
3,600 Ceridian Corp.*......................... 145,800
3,000 Computer Associates International,
Inc................................... 149,250
1,800 Computer Sciences Corp.*................ 147,825
3,500 First Data Corp......................... 127,750
1,700 Microsoft Corp.*........................ 140,462
15,300 Novell, Inc.*........................... 144,394
3,400 Oracle Corp.*........................... 141,525
3,950 Seagate Technology, Inc.*............... 156,025
3,000 Shared Medical Systems Corp............. 147,375
------------
1,584,693
------------
COMPUTERS - SYSTEMS (2.6%)
12,300 Amdahl Corp.*........................... 149,137
6,300 Apple Computer, Inc.*................... 130,725
2,150 COMPAQ Computer Corp.*.................. 159,637
9,100 Data General Corp.*..................... 131,950
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
4,100 Digital Equipment Corp.*................ $ 149,137
4,700 EMC Corp.*.............................. 155,687
2,800 Hewlett-Packard Co...................... 140,700
15,000 Intergraph Corp.*....................... 153,750
1,000 International Business Machines Corp.... 151,000
6,200 Silicon Graphics, Inc.*................. 158,100
5,000 Sun Microsystems, Inc.*................. 128,125
10,600 Tandem Computers Inc.*.................. 145,750
21,900 Unisys Corp.*........................... 147,825
------------
1,901,523
------------
CONGLOMERATES (0.2%)
1,550 Textron Inc............................. 146,087
------------
CONSUMER - NON CYCLICAL (0.4%)
4,900 American Greetings Corp. (Class A)...... 139,038
6,600 Jostens, Inc............................ 139,425
------------
278,463
------------
CONTAINERS - METAL & GLASS (0.4%)
5,800 Ball Corp............................... 150,800
2,600 Crown Cork & Seal Co., Inc.............. 141,375
------------
292,175
------------
CONTAINERS - PAPER (0.6%)
4,000 Bemis Company, Inc...................... 147,500
9,700 Stone Container Corp.................... 144,287
2,500 Temple-Inland Inc....................... 135,312
------------
427,099
------------
COSMETICS (0.6%)
3,000 Alberto-Culver Co. (Class B)............ 144,000
2,500 Avon Products, Inc...................... 142,812
1,950 Gillette Co............................. 151,612
------------
438,424
------------
DISTRIBUTORS -
FOOD & HEALTH (0.6%)
9,000 Fleming Cos., Inc....................... 155,250
4,700 SuperValu Stores, Inc................... 133,362
4,250 Sysco Corp.............................. 138,656
------------
427,268
------------
ELECTRICAL EQUIPMENT (1.7%)
3,700 AMP, Inc................................ 141,987
1,350 Emerson Electric Co..................... 130,612
1,450 General Electric Co..................... 143,369
3,300 General Signal Corp..................... 141,075
1,800 Grainger (W.W.), Inc.................... 144,450
2,100 Honeywell, Inc.......................... 138,075
1,800 Raychem Corp............................ 144,225
3,300 Thomas & Betts Corp..................... 146,437
7,700 Westinghouse Electric Corp.............. 153,037
------------
1,283,267
------------
</TABLE>
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
ELECTRONICS - INSTRUMENTATION (0.6%)
6,500 EG & G, Inc............................. $ 130,812
2,400 Perkin-Elmer Corp....................... 141,300
2,900 Tektronix, Inc.......................... 148,625
------------
420,737
------------
ELECTRONICS - SEMICONDUCTORS (1.6%)
6,100 Advanced Micro Devices, Inc.*........... 157,075
4,400 Applied Materials, Inc.*................ 157,850
1,150 Intel Corp.............................. 150,506
5,200 LSI Logic Corp.*........................ 139,100
4,500 Micron Technology, Inc.................. 131,062
2,600 Motorola, Inc........................... 159,575
5,800 National Semiconductor Corp.*........... 141,375
2,200 Texas Instruments Inc................... 140,250
------------
1,176,793
------------
ENGINEERING &
CONSTRUCTION (0.4%)
2,200 Fluor Corp.............................. 138,050
3,800 Foster Wheeler Corp..................... 141,075
------------
279,125
------------
ENTERTAINMENT (0.8%)
3,900 King World Productions Inc.*............ 143,812
3,900 Time Warner, Inc........................ 146,250
4,100 Viacom, Inc. (Class B)*................. 142,987
2,000 Walt Disney Co.......................... 139,250
------------
572,299
------------
FINANCIAL - MISCELLANEOUS (1.4%)
2,700 American Express Co..................... 152,550
3,700 American General Corp................... 151,237
1,300 Federal Home Loan Mortgage Corp......... 143,162
3,650 Federal National Mortgage Assoc......... 135,962
3,600 Green Tree Financial Corp............... 139,050
3,400 MBNA Corp............................... 141,100
1,900 MGIC Investment Corp.................... 144,400
------------
1,007,461
------------
FOODS (2.4%)
5,880 Archer-Daniels-Midland Co............... 129,360
1,750 Campbell Soup Co........................ 140,437
2,800 ConAgra, Inc............................ 139,300
1,750 CPC International Inc................... 135,625
2,300 General Mills, Inc...................... 145,762
3,900 Heinz (H.J.) Co......................... 139,425
3,200 Hershey Foods Corp...................... 140,000
2,000 Kellogg Co.............................. 131,250
3,700 Quaker Oats Company (The)............... 141,062
1,900 Ralston-Ralston Purina Group............ 139,412
3,900 Sara Lee Corp........................... 145,275
800 Unilever NV (ADR) (Netherlands)......... 140,200
2,300 Wrigley (Wm.) Jr. Co. (Class A)......... 129,375
------------
1,796,483
------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
GOLD MINING (1.4%)
5,000 Barrick Gold Corp. (Canada)............. $ 143,750
21,100 Battle Mountain Gold Co................. 145,062
20,200 Echo Bay Mines Ltd. (Canada)............ 133,825
9,400 Homestake Mining Co..................... 133,950
3,200 Newmont Mining Corp..................... 143,200
6,450 Placer Dome Inc. (Canada)............... 140,287
10,400 Santa Fe Pacific Gold Corp.............. 159,900
------------
999,974
------------
HARDWARE & TOOLS (0.6%)
4,800 Black & Decker Corp..................... 144,600
4,000 Snap-On, Inc............................ 142,500
5,200 Stanley Works........................... 140,400
------------
427,500
------------
HEALTHCARE - DIVERSIFIED (1.1%)
2,500 Abbott Laboratories..................... 126,875
3,800 Allergan, Inc........................... 135,375
2,400 American Home Products Corp............. 140,700
1,250 Bristol-Myers Squibb Co................. 135,937
2,900 Johnson & Johnson....................... 144,275
1,950 Warner-Lambert Co....................... 146,250
------------
829,412
------------
HEALTHCARE - DRUGS (0.9%)
1,750 Lilly (Eli) & Co........................ 127,750
1,750 Merck & Co., Inc........................ 138,687
1,700 Pfizer, Inc............................. 140,887
3,500 Pharmacia & Upjohn, Inc................. 138,687
2,200 Schering-Plough Corp.................... 142,450
------------
688,461
------------
HEALTHCARE -
LONG TERM CARE (0.4%)
10,500 Beverly Enterprises, Inc.*.............. 133,875
5,500 Manor Care, Inc......................... 148,500
------------
282,375
------------
HEALTHCARE - SPECIALIZED SERVICES (0.2%)
5,500 Alza Corp.*............................. 142,312
------------
HEALTHCARE HMOS (0.4%)
7,700 Humana, Inc.*........................... 147,262
3,500 United Healthcare Corp.................. 157,500
------------
304,762
------------
HEAVY DUTY TRUCKS & PARTS (1.2%)
3,200 Cummins Engine Co., Inc................. 147,200
4,150 Dana Corp............................... 135,394
2,100 Eaton Corp.............................. 146,475
6,000 ITT Industries, Inc..................... 147,000
15,500 Navistar International Corp.*........... 141,437
2,200 PACCAR, Inc............................. 149,050
------------
866,556
------------
</TABLE>
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
HOME BUILDING (0.6%)
3,600 Centex Corp............................. $ 135,450
10,600 Kaufman & Broad Home Corp............... 136,475
4,800 Pulte Corp.............................. 147,600
------------
419,525
------------
HOSPITAL MANAGEMENT (0.4%)
3,500 Columbia/HCA Healthcare Corp............ 142,625
6,100 Tenet Healthcare Corp.*................. 133,437
------------
276,062
------------
HOTELS/MOTELS (1.0%)
6,900 Harrah's Entertainment, Inc.*........... 137,137
2,400 HFS Inc.*............................... 143,400
5,900 Hilton Hotels Corp...................... 154,137
3,200 ITT Corp.*.............................. 138,800
2,600 Marriot International, Inc.............. 143,650
------------
717,124
------------
HOUSEHOLD FURNISHINGS & APPLIANCES (0.4%)
2,100 Armstrong World Industries Inc.......... 145,950
7,300 Maytag Corp............................. 144,175
------------
290,125
------------
HOUSEHOLD PRODUCTS (0.8%)
1,400 Clorox Co............................... 140,525
1,550 Colgate-Palmolive Co.................... 142,987
1,500 Kimberly-Clark Corp..................... 142,875
1,350 Procter & Gamble Co..................... 145,125
------------
571,512
------------
HOUSEWARES (0.6%)
4,500 Newell Co............................... 141,750
6,250 Rubbermaid, Inc......................... 142,187
2,700 Tupperware Corp......................... 144,787
------------
428,724
------------
INSURANCE (1.0%)
1,886 Aetna Inc............................... 150,880
2,500 Jefferson-Pilot Corp.................... 141,562
2,600 Lincoln National Corp................... 136,500
1,400 MBIA Inc................................ 141,750
1,800 Transamerica Corp....................... 142,200
------------
712,892
------------
INSURANCE BROKERS (0.6%)
9,150 Alexander & Alexander Services, Inc..... 158,981
2,300 Aon Corp................................ 142,887
1,400 Marsh & McLennan Cos., Inc.............. 145,600
------------
447,468
------------
INVESTMENT BANKING/BROKERAGE (1.0%)
2,050 Dean Witter, Discover & Co. (Note 3).... 135,813
1,600 Merrill Lynch & Co., Inc................ 130,400
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
2,500 Morgan Stanley Group, Inc............... $ 142,813
3,100 Salomon, Inc............................ 146,088
3,466 Travelers Group, Inc.................... 157,270
------------
712,384
------------
LEISURE TIME (0.2%)
6,000 Brunswick Corp.......................... 144,000
------------
LIFE INSURANCE (0.6%)
2,600 Torchmark Corp.......................... 131,300
2,050 UNUM Corp............................... 148,113
4,700 USLIFE Corp............................. 156,275
------------
435,688
------------
MACHINE TOOLS (0.4%)
7,000 Cincinnati Milacron, Inc................ 153,125
11,000 Giddings & Lewis, Inc................... 141,625
------------
294,750
------------
MACHINERY - DIVERSIFIED (1.9%)
3,250 Briggs & Stratton Corp.................. 143,000
2,750 Case Corp............................... 149,875
1,750 Caterpillar, Inc........................ 131,688
3,300 Cooper Industries, Inc.................. 139,013
3,300 Deere & Co.............................. 134,063
3,100 Harnischfeger Industries, Inc........... 149,188
3,200 Ingersoll-Rand Co....................... 142,400
1,730 Johnson Controls, Inc................... 143,374
2,900 NACCO Industries, Inc. (Class A)........ 155,150
2,900 Timken Co............................... 133,038
------------
1,420,789
------------
MANUFACTURED HOUSING (0.2%)
5,200 Fleetwood Enterprises, Inc.............. 143,000
------------
MANUFACTURING - CONSUMER & INDUSTRIAL PRODUCTS (0.2%)
3,200 Whirlpool Corp.......................... 149,200
------------
MANUFACTURING -
DIVERSIFIED (2.4%)
1,950 AlliedSignal, Inc....................... 130,650
2,900 Corning, Inc............................ 134,125
5,100 Crane Co................................ 147,900
2,700 Dover Corp.............................. 135,675
1,700 Illinois Tool Works Inc................. 135,788
3,550 Millipore Corp.......................... 146,881
1,550 Minnesota Mining & Manufacturing Co..... 128,456
4,200 National Service Industries, Inc........ 156,975
5,400 Pall Corp............................... 137,700
3,700 Parker-Hannifin Corp.................... 143,375
3,200 Tenneco, Inc............................ 144,400
4,100 Trinova Corp............................ 149,138
2,700 Tyco International Ltd.................. 142,763
------------
1,833,826
------------
</TABLE>
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
MEDICAL PRODUCTS
& SUPPLIES (2.0%)
5,200 Bard (C.R.), Inc........................ $ 145,600
4,000 Bausch & Lomb, Inc...................... 140,000
3,600 Baxter International, Inc............... 147,600
3,500 Becton, Dickinson & Co.................. 151,813
9,300 Biomet, Inc............................. 140,663
2,280 Boston Scientific Corp.*................ 136,800
2,600 Guidant Corp............................ 148,200
2,100 Medtronic, Inc.......................... 142,800
3,500 St. Jude Medical, Inc.*................. 149,188
3,500 United States Surgical Corp............. 137,813
------------
1,440,477
------------
METALS & MINING (0.2%)
5,400 ASARCO, Inc............................. 134,325
------------
METALS - MISCELLANEOUS (0.8%)
6,300 Cyprus Amax Minerals Co................. 147,263
4,300 Freeport-McMoran Copper & Gold, Inc.
(Class B)............................. 128,463
4,500 Inco Ltd. (Canada)...................... 143,438
2,200 Phelps Dodge Corp....................... 148,500
------------
567,664
------------
MULTI-LINE INSURANCE (0.7%)
1,300 American International Group, Inc....... 140,725
1,000 CIGNA Corp.............................. 136,625
2,100 ITT Hartford Group, Inc.+............... 141,750
2,500 Providian Corp.......................... 128,438
------------
547,538
------------
OFFICE EQUIPMENT
& SUPPLIES (0.8%)
2,800 Alco Standard Corp...................... 144,550
6,600 Moore Corp. Ltd. (Canada)............... 134,475
2,400 Pitney Bowes, Inc....................... 130,800
2,700 Xerox Corp.............................. 142,088
------------
551,913
------------
OIL & GAS (0.2%)
4,600 Union Pacific Resources Group Inc....... 134,550
------------
OIL & GAS DRILLING (0.4%)
2,700 Helmerich & Payne, Inc.................. 140,738
6,100 Rowan Cos., Inc.*....................... 138,013
------------
278,751
------------
OIL - DOMESTIC INTEGRATED (2.1%)
2,450 Amerada Hess Corp....................... 141,794
3,400 Ashland, Inc............................ 149,175
1,100 Atlantic Richfield Co................... 145,750
1,900 Kerr-McGee Corp......................... 136,800
2,600 Louisiana Land & Exploration Co......... 139,425
5,900 Occidental Petroleum Corp............... 137,913
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
2,600 Pennzoil Co............................. $ 146,900
3,300 Phillips Petroleum Co................... 146,025
5,600 Sun Co., Inc............................ 136,500
3,450 Unocal Corp............................. 140,156
5,500 USX-Marathon Group...................... 131,313
------------
1,551,751
------------
OIL - EXPLORATION & PRODUCTION (0.6%)
2,750 Burlington Resources, Inc............... 138,531
6,550 Oryx Energy Co.*........................ 162,113
10,200 Santa Fe Energy Resources, Inc.*........ 141,525
------------
442,169
------------
OIL - INTERNATIONAL INTEGRATED (1.2%)
1,750 Amoco Corp.............................. 140,875
2,100 Chevron Corp............................ 136,500
1,450 Exxon Corp.............................. 142,100
1,200 Mobil Corp.............................. 146,700
900 Royal Dutch Petroleum Co.
(Netherlands)......................... 153,675
1,500 Texaco, Inc............................. 147,188
------------
867,038
------------
OIL WELL EQUIPMENT & SERVICE (1.2%)
4,100 Baker Hughes, Inc....................... 141,450
4,400 Dresser Industries, Inc................. 136,400
2,400 Halliburton Co.......................... 144,600
8,800 McDermott International, Inc............ 146,300
1,400 Schlumberger, Ltd....................... 139,825
2,000 Western Atlas, Inc.*.................... 141,750
------------
850,325
------------
PAPER & FOREST PRODUCTS (2.3%)
4,800 Boise Cascade Corp...................... 152,400
3,300 Champion International Corp............. 142,725
2,000 Georgia-Pacific Corp.................... 144,000
3,600 International Paper Co.................. 145,350
3,900 James River Corp. of Virginia........... 129,188
6,700 Louisiana-Pacific Corp.................. 141,538
2,450 Mead Corp............................... 142,406
3,300 Potlatch Corp........................... 141,900
3,000 Union Camp Corp......................... 143,250
5,000 Westvaco Corp........................... 143,750
3,000 Weyerhaeuser Co......................... 142,125
2,100 Willamette Industries, Inc.............. 145,950
------------
1,714,582
------------
PERSONAL LOANS (0.4%)
2,200 Beneficial Corp......................... 139,425
1,550 Household International, Inc............ 142,988
------------
282,413
------------
</TABLE>
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
PHOTOGRAPHY/IMAGING (0.4%)
1,700 Eastman Kodak Co........................ $ 136,425
3,400 Polaroid Corp........................... 147,900
------------
284,325
------------
POLLUTION CONTROL (0.6%)
5,600 Browning-Ferris Industries, Inc......... 147,000
12,500 Laidlaw Inc. (Class B) (Canada)......... 143,750
4,050 WMX Technologies, Inc................... 132,131
------------
422,881
------------
PROPERTY - CASUALTY INSURANCE (1.3%)
2,300 Allstate Corp........................... 133,113
2,700 Chubb Corp.............................. 145,125
900 General Re Corp......................... 141,975
1,500 Loews Corp.............................. 141,375
3,650 SAFECO Corp............................. 143,263
2,500 St. Paul Companies, Inc................. 146,563
6,700 USF&G Corp.............................. 139,863
------------
991,277
------------
PUBLISHING (0.6%)
6,100 Dun & Bradstreet Corp................... 144,875
3,100 McGraw-Hill, Inc........................ 142,988
2,800 Meredith Corp........................... 147,700
------------
435,563
------------
PUBLISHING - NEWSPAPER (1.1%)
4,300 Dow Jones & Co., Inc.................... 145,663
1,830 Gannett Co., Inc........................ 137,021
3,600 Knight-Ridder Newspapers, Inc........... 137,700
3,800 New York Times Co. (Class A)............ 144,400
2,750 Times Mirror Co. (Class A).............. 136,813
1,800 Tribune Co.............................. 141,975
------------
843,572
------------
RAILROADS (1.0%)
1,700 Burlington Northern Sante Fe Corp....... 146,838
1,430 Conrail, Inc............................ 142,464
3,400 CSX Corp................................ 143,650
1,600 Norfolk Southern Corp................... 140,000
2,200 Union Pacific Corp...................... 132,275
------------
705,227
------------
RESTAURANTS (1.0%)
16,000 Darden Restaurants, Inc................. 140,000
6,400 Luby's Cafeterias, Inc.................. 127,200
3,000 McDonald's Corp......................... 135,750
15,200 Ryan's Family Steak Houses, Inc.*....... 104,500
11,200 Shoney's Inc.*.......................... 78,400
6,700 Wendy's International, Inc.............. 137,350
------------
723,200
------------
RETAIL - DEPARTMENT STORES (1.3%)
4,800 Dillard Department Stores, Inc. (Class
A).................................... 148,200
4,300 Federated Department Stores, Inc........ 146,738
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
3,100 Harcourt General, Inc................... $ 142,988
2,900 May Department Stores Co................ 135,575
2,800 Mercantile Stores Co., Inc.............. 138,250
3,800 Nordstrom, Inc.......................... 134,425
3,000 Penney (J.C.) Co., Inc.................. 146,250
------------
992,426
------------
RETAIL - DRUG STORES (0.5%)
2,700 Longs Drug Stores Corp.................. 132,638
3,400 Rite Aid Corp........................... 135,150
3,300 Walgreen Co............................. 132,000
------------
399,788
------------
RETAIL - FOOD CHAINS (1.2%)
4,000 Albertson's, Inc........................ 142,500
3,500 American Stores Co...................... 143,063
4,200 Giant Food, Inc. (Class A).............. 144,900
4,500 Great Atlantic & Pacific Tea Co., Inc... 143,438
3,000 Kroger Co.*............................. 139,500
4,200 Winn-Dixie Stores, Inc.................. 132,825
------------
846,226
------------
RETAIL - GENERAL MERCHANDISE (0.8%)
3,600 Dayton-Hudson Corp...................... 141,300
13,800 Kmart Corp.*............................ 143,175
3,100 Sears, Roebuck & Co..................... 142,988
5,500 Wal-Mart Stores, Inc. (Class A)......... 125,813
------------
553,276
------------
RETAIL - SPECIALTY (1.7%)
4,900 Circuit City Stores, Inc................ 147,613
3,200 CVS Corp.*.............................. 132,400
2,800 Home Depot, Inc......................... 140,350
3,900 Lowe's Companies, Inc................... 138,450
4,600 Pep Boys-Manny Moe & Jack............... 141,450
5,700 Price/Costco, Inc.*..................... 143,213
3,400 Tandy Corp.............................. 149,600
4,600 Toys 'R' Us, Inc.*...................... 138,000
6,700 Woolworth Corp.*........................ 146,563
------------
1,277,639
------------
RETAIL - SPECIALTY APPAREL (0.7%)
18,000 Charming Shoppes, Inc.*................. 90,000
4,500 Gap, Inc................................ 135,563
8,000 Limited (The), Inc...................... 147,000
2,950 TJX Companies, Inc...................... 139,756
------------
512,319
------------
SAVINGS & LOAN COMPANIES (0.6%)
4,300 Ahmanson (H.F.) & Co.................... 139,750
2,200 Golden West Financial Corp.............. 138,875
4,800 Great Western Financial Corp............ 139,200
------------
417,825
------------
</TABLE>
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
SHOES (0.6%)
2,500 Nike, Inc. (Class B).................... $ 149,375
3,100 Reebok International Ltd. (United
Kingdom).............................. 130,200
12,800 Stride Rite Corp........................ 128,000
------------
407,575
------------
SPECIALIZED SERVICES (1.0%)
4,700 Block (H.&R.), Inc...................... 136,300
5,825 CUC International, Inc.*................ 138,344
3,100 Interpublic Group of Companies, Inc..... 147,250
9,000 Safety-Kleen Corp....................... 147,375
5,100 Service Corp. International............. 142,800
------------
712,069
------------
SPECIALTY PRINTING (0.6%)
4,700 Deluxe Corp............................. 153,925
4,600 Donnelley (R.R.) & Sons Co.............. 144,325
4,400 Harland (John H.) Co.................... 145,200
------------
443,450
------------
STEEL (1.1%)
22,000 Armco, Inc.*............................ 90,750
15,000 Bethlehem Steel Corp.*.................. 135,000
7,500 Inland Steel Industries, Inc............ 150,000
2,900 Nucor Corp.............................. 147,900
4,550 USX-U.S. Steel Group.................... 142,756
7,700 Worthington Industries, Inc............. 139,563
------------
805,969
------------
STEEL & IRON (0.2%)
6,400 Allegheny Teledyne Inc.................. 147,200
------------
TELECOMMUNICATIONS (0.4%)
5,650 Airtouch Communications, Inc.*.......... 142,663
3,100 Lucent Technologies, Inc................ 143,375
------------
286,038
------------
TELECOMMUNICATIONS - LONG DISTANCE (0.8%)
3,400 AT&T Corp............................... 147,900
4,600 MCI Communications Corp................. 150,075
3,500 Sprint Corp............................. 139,563
6,000 WorldCom, Inc.*......................... 156,000
------------
593,538
------------
TEXTILES (1.0%)
3,600 Fruit of the Loom, Inc. (Class A)*...... 136,350
3,700 Liz Claiborne, Inc...................... 142,913
4,450 Russell Corp............................ 132,388
3,400 Springs Industries, Inc. (Class A)...... 146,200
2,200 VF Corp................................. 148,500
------------
706,351
------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
TOBACCO (0.6%)
3,000 American Brands, Inc.................... $ 148,875
1,250 Philip Morris Companies, Inc............ 140,781
4,400 UST, Inc................................ 142,450
------------
432,106
------------
TOYS (0.4%)
3,500 Hasbro Inc.............................. 136,063
5,100 Mattel, Inc............................. 141,525
------------
277,588
------------
TRANSPORTATION - MISCELLANEOUS (0.4%)
3,400 Federal Express Corp.*.................. 151,300
5,200 Ryder System, Inc....................... 146,250
------------
297,550
------------
TRUCKERS (0.2%)
7,200 Caliber System, Inc..................... 138,600
------------
UTILITIES - ELECTRIC (5.0%)
3,500 American Electric Power Co., Inc........ 143,938
5,100 Baltimore Gas & Electric Co............. 136,425
3,700 Carolina Power & Light Co............... 135,050
5,450 Central & South West Corp............... 139,656
4,200 CINergy Corp............................ 140,175
4,900 Consolidated Edison Co. of New York,
Inc................................... 143,325
3,800 Dominion Resources, Inc................. 146,300
4,200 DTE Energy Co........................... 135,975
3,200 Duke Power Co........................... 148,000
7,200 Edison International.................... 143,100
5,350 Entergy Corp............................ 148,463
3,000 FPL Group, Inc.......................... 138,000
4,300 General Public Utilities Corp........... 144,588
6,300 Houston Industries, Inc................. 142,538
14,400 Niagara Mohawk Power Corp.*............. 142,200
3,100 Northern States Power Co................ 142,213
5,800 Ohio Edison Co.......................... 131,950
6,200 Pacific Gas & Electric Co............... 130,200
6,900 PacifiCorp.............................. 141,450
6,000 PECO Energy Co.......................... 151,500
6,300 PP&L Resources, Inc..................... 144,900
5,200 Public Service Enterprise Group, Inc.... 141,700
6,300 Southern Co............................. 142,538
3,600 Texas Utilities Co...................... 146,700
4,900 Unicom Corp............................. 132,913
3,700 Union Electric Co....................... 142,450
------------
3,676,247
------------
</TABLE>
<PAGE>
VALUE-ADDED MARKET
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
UTILITIES - NATURAL GAS (2.7%)
2,800 Coastal Corp............................ $ 136,850
2,300 Columbia Gas System, Inc................ 146,338
2,600 Consolidated Natural Gas Co............. 143,650
4,000 Eastern Enterprises..................... 141,500
3,300 Enron Corp.............................. 142,313
6,300 ENSERCH Corp............................ 144,900
3,950 NICOR, Inc.............................. 141,213
9,400 NorAm Energy Corp....................... 144,525
5,300 ONEOK, Inc.............................. 159,000
4,600 Pacific Enterprises..................... 139,725
3,250 PanEnergy Corp.......................... 146,250
4,000 Peoples Energy Corp..................... 135,500
2,700 Sonat, Inc.............................. 139,050
3,750 Williams Cos., Inc...................... 140,625
------------
2,001,439
------------
UTILITIES - TELEPHONE (1.7%)
4,200 Alltel Corp............................. 131,775
2,500 Ameritech Corp.......................... 151,563
2,300 Bell Atlantic Corp...................... 148,925
3,200 BellSouth Corp.......................... 129,200
3,100 GTE Corp................................ 141,050
3,100 NYNEX Corp.............................. 149,188
3,800 Pacific Telesis Group................... 139,650
2,400 SBC Communications, Inc................. 124,200
4,200 U.S. West Communications Group.......... 135,450
------------
1,251,001
------------
TOTAL COMMON STOCKS (IDENTIFIED COST
$62,892,040).......................... 70,768,574
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN
THOUSANDS) VALUE
- ------------ ------------
SHORT-TERM INVESTMENTS (7.3%)
<C> <S> <C>
U.S. GOVERNMENT AGENCIES (a) (6.9%)
$ 3,900 Federal Home Loan Bank
6.50% due 01/02/97.................... $ 3,899,296
1,200 Federal Home Loan Mortgage Corp. 5.44%
due 01/06/97.......................... 1,199,093
------------
TOTAL U.S. GOVERNMENT AGENCIES
(Amortized Cost $5,098,389) 5,098,389
------------
REPURCHASE AGREEMENT (0.4%)
293 The Bank of New York 5.375% due 01/02/97
(dated 12/31/96; proceeds $293,356;
collateralized by $71,271 U.S.
Treasury Bill 0.00% due 11/13/97
valued at $68,005, $87,755 U.S.
Treasury Note 6.00% due 10/15/99
valued at $88,924 and $141,000 U.S.
Treasury Note 6.00% due 11/30/97
valued at $142,205) (Identified Cost
$293,269)............................. 293,269
------------
TOTAL SHORT-TERM INVESTMENTS
(IDENTIFIED COST $5,391,658).......... 5,391,658
------------
TOTAL INVESTMENTS (IDENTIFIED COST
$68,283,698) (B)....................... 103.6 % 76,160,232
LIABILITIES IN EXCESS OF OTHER ASSETS... (3.6) (2,643,752)
------ ------------
NET ASSETS.............................. 100.0 % $ 73,516,480
------ ------------
------ ------------
- --------------------
ADR AMERICAN DEPOSITORY RECEIPT.
+ PARENT COMPANY OF HARTFORD LIFE AND ITT HARTFORD LIFE AND
ANNUITY INSURANCE COMPANY, AFFILIATES OF THE FUND.
* 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
$9,232,450 AND THE AGGREGATE GROSS UNREALIZED DEPRECIATION IS
$1,355,916, RESULTING IN NET UNREALIZED APPRECIATION OF
$7,876,534.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
CORE EQUITY
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
COMMON STOCKS (98.2%)
AEROSPACE (7.4%)
6,600 Boeing Co......................................... $ 702,075
9,800 United Technologies Corp.......................... 646,800
------------
1,348,875
------------
AIRLINES (7.1%)
5,300 AMR Corp.*........................................ 467,062
6,800 Delta Air Lines, Inc.............................. 481,950
5,400 UAL Corp.*........................................ 337,500
------------
1,286,512
------------
AUTO PARTS -
AFTER MARKET (2.2%)
11,900 Lear Corp.*....................................... 406,087
------------
AUTO PARTS - ORIGINAL EQUIPMENT (2.1%)
6,800 Magna International, Inc. (Class A) (Canada)...... 379,100
------------
AUTOMOTIVE (4.1%)
15,500 Chrysler Corp..................................... 511,500
7,279 Ford Motor Co..................................... 232,018
------------
743,518
------------
BANKS - MONEY CENTER (3.4%)
6,000 Citicorp.......................................... 618,000
------------
BIOTECHNOLOGY (1.7%)
5,600 Amgen Inc.*....................................... 304,500
------------
BROADCAST MEDIA (1.5%)
8,300 Infinity Broadcasting Corp. (Class A)............. 279,087
------------
BROKERAGE (1.8%)
4,100 Merrill Lynch & Co., Inc.......................... 334,150
------------
COMMERCIAL SERVICES (2.3%)
13,400 Corrections Corp. of America*..................... 410,375
------------
COMMUNICATIONS
EQUIPMENT (6.7%)
4,000 Ascend Communications, Inc........................ 248,000
4,200 Cascade Communications Corp.*..................... 231,525
11,700 Cisco Systems, Inc.*.............................. 744,412
------------
1,223,937
------------
COMPUTER EQUIPMENT (2.4%)
9,000 Storage Technology Corp.*......................... 428,625
------------
COMPUTER SERVICES (6.4%)
6,700 Computer Sciences Corp.*.......................... 550,237
6,500 Electronic Data Systems Corp...................... 281,126
9,300 First Data Corp................................... 339,450
------------
1,170,813
------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
COMPUTER SOFTWARE (3.7%)
8,200 Microsoft Corp.*.................................. $ 677,525
------------
COMPUTERS - SYSTEMS (1.6%)
5,900 Hewlett-Packard Co................................ 296,475
------------
CONSUMER PRODUCTS (1.9%)
3,600 Kimberly-Clark Corp............................... 342,900
------------
ELECTRICAL EQUIPMENT (1.9%)
5,300 Honeywell, Inc.................................... 348,475
------------
ENTERTAINMENT/GAMING (0.8%)
6,800 Mirage Resorts, Inc.*............................. 147,050
------------
FINANCIAL - MISCELLANEOUS (4.4%)
8,300 Associates First Capital Corp. (Class A).......... 366,238
11,300 Green Tree Financial Corp......................... 436,463
------------
802,701
------------
HEALTH EQUIPMENT
& SERVICES (2.9%)
13,100 Columbia/HCA Healthcare Corp...................... 533,825
------------
HEALTHCARE - DIVERSIFIED (1.6%)
4,000 Warner-Lambert Co................................. 300,000
------------
HOUSEHOLD FURNISHINGS & APPLIANCES (2.4%)
11,400 American Standard Companies, Inc.*................ 436,050
------------
INSURANCE BROKERS (1.4%)
2,400 Marsh & McLennan Companies, Inc................... 249,600
------------
MACHINERY - CONSTRUCTION & MATERIALS (2.5%)
6,000 Caterpillar, Inc.................................. 451,500
------------
OFFICE EQUIPMENT
& SUPPLIES (2.3%)
7,200 Corporate Express, Inc.*.......................... 211,500
4,000 Xerox Corp........................................ 210,500
------------
422,000
------------
OIL - EXPLORATION & PRODUCTION (1.3%)
8,700 Canadian Natural Resources Ltd. (Canada)*......... 238,728
------------
PHARMACEUTICALS (1.4%)
5,000 Johnson & Johnson................................. 248,750
------------
RAILROADS (2.8%)
5,940 Burlington Northern Santa Fe Corp................. 513,068
------------
RESTAURANTS (1.3%)
6,600 Boston Chicken, Inc.*............................. 235,950
------------
</TABLE>
<PAGE>
CORE EQUITY
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
RETAIL - SPECIALTY (1.9%)
<C> <S> <C>
7,000 Home Depot, Inc................................... $ 350,875
------------
SEMICONDUCTORS (7.2%)
10,000 Intel Corp........................................ 1,308,750
------------
SOAP & HOUSEHOLD
PRODUCTS (3.1%)
5,300 Procter & Gamble Co............................... 569,750
------------
TELECOMMUNICATIONS (1.0%)
3,900 Lucent Technologies, Inc.......................... 180,375
------------
TOBACCO (1.7%)
2,700 Philip Morris Companies, Inc...................... 304,088
------------
TOTAL COMMON STOCKS (IDENTIFIED COST
$16,108,343).................................... 17,892,014
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN
THOUSANDS) VALUE
- ------------ ------------
<C> <S> <C>
SHORT-TERM INVESTMENT (3.0%)
REPURCHASE AGREEMENT
$ 546 The Bank of New York 5.375% due 01/02/97 (dated
12/31/96; proceeds $546,572; collateralized by
$26,809 U.S Treasury Bond 11.75% due 11/15/14
valued at $38,984, $66,717 U.S. Treasury Note
6.375% due 7/15/99 valued at $69,295, $225,000
U.S Treasury Note 4.75% due 9/30/98 valued at
$223,728 and $214,000 U.S Treasury Note 7.125%
due 2/29/00 valued at $225,330) (Identified cost
$546,409)....................................... $ 546,409
------------
TOTAL INVESTMENTS (IDENTIFIED COST
$16,654,752)(A)................................. 101.2 % 18,438,423
LIABILITIES IN EXCESS OF CASH AND OTHER ASSETS.... (1.2) (223,612)
------ ------------
NET ASSETS........................................ 100.0 % $ 18,214,811
------ ------------
------ ------------
- --------------------
* NON-INCOME PRODUCING SECURITY.
(A) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES APPROXIMATES
IDENTIFIED COST. THE AGGREGATE GROSS UNREALIZED APPRECIATION IS
$1,998,334 AND THE AGGREGATE GROSS UNREALIZED DEPRECIATION IS
$214,663, RESULTING IN NET UNREALIZED APPRECIATION OF
$1,783,671.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
AMERICAN VALUE
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
------------ ------------
<C> <S> <C>
COMMON STOCKS (94.8%)
AGRICULTURE RELATED (4.9%)
35,000 Archer-Daniels-Midland Co......................... $ 770,000
10,000 Dekalb Genetics Corp. (Class B)................... 507,500
15,000 Delta & Pine Land Co.............................. 480,000
48,500 Monsanto Co....................................... 1,885,437
8,000 Mycogen Corp.*.................................... 168,000
16,500 Pioneer Hi-Bred International, Inc................ 1,155,000
5,500 Potash Corp. of Saskatchewan, Inc. (Canada)....... 467,500
15,000 Tyson Foods, Inc. (Class A)....................... 511,875
------------
5,945,312
------------
APPAREL & FOOTWEAR (0.8%)
13,600 Jones Apparel Group, Inc.*........................ 508,300
10,000 Reebok International Ltd. (United Kingdom)........ 420,000
------------
928,300
------------
AUTO RELATED (0.9%)
20,000 General Motors Corp............................... 1,115,000
------------
BANKS (7.3%)
20,000 Bank of Boston Corp............................... 1,285,000
13,000 BankAmerica Corp.................................. 1,296,750
15,000 Chase Manhattan Corp.............................. 1,338,750
10,000 Citicorp.......................................... 1,030,000
21,000 First Chicago NBD Corp............................ 1,128,750
10,000 Mellon Bank Corp.................................. 710,000
12,500 NationsBank Corp.................................. 1,221,875
20,000 Norwest Corp...................................... 870,000
------------
8,881,125
------------
BASIC CYCLICALS (3.9%)
8,000 Aluminum Co. of America........................... 510,000
20,000 Crown Cork & Seal Co., Inc........................ 1,087,500
10,000 Du Pont (E.I.) de Nemours & Co.................... 943,750
10,000 Oregon Metallurgical Corp.*....................... 317,500
20,000 RMI Titanium Co.*................................. 562,500
40,000 Titanium Metals Corp.*............................ 1,305,000
------------
4,726,250
------------
BIOTECHNOLOGY (3.5%)
25,000 Biochem Pharma, Inc.*............................. 1,246,875
30,000 Biogen, Inc.*..................................... 1,155,000
46,000 Centocor, Inc.*................................... 1,644,500
9,000 IDEC Pharmaceuticals Corp.*....................... 212,625
------------
4,259,000
------------
CAPITAL GOODS (2.9%)
15,800 Boeing Co......................................... 1,680,725
15,000 Honeywell, Inc.................................... 986,250
13,000 United Technologies Corp.......................... 858,000
------------
3,524,975
------------
<CAPTION>
NUMBER OF
SHARES VALUE
------------ ------------
<C> <S> <C>
COMMUNICATIONS EQUIPMENT (6.7%)
16,000 3Com Corp.*....................................... $ 1,172,000
9,000 Adtran, Inc.*..................................... 373,500
1,100 Advanced Fibre Communications, Inc.*.............. 61,188
20,000 Andrew Corp.*..................................... 1,060,000
3,500 Ascend Communications, Inc.*...................... 217,000
20,000 Cisco Systems, Inc.*.............................. 1,272,500
30,000 Ericsson (L.M.) Telephone Co. (Class B) (ADR)
(Sweden)........................................ 903,750
8,000 Lucent Technologies, Inc.......................... 370,000
36,000 Pairgain Technologies, Inc.*...................... 1,093,500
11,000 Tellabs, Inc.*.................................... 413,875
8,000 U.S. Robotics Corp.*.............................. 576,000
10,000 Uniphase Corp.*................................... 525,000
------------
8,038,313
------------
COMPUTER EQUIPMENT (4.2%)
36,000 Dell Computer Corp.*.............................. 1,912,500
60,000 EMC Corp.*........................................ 1,987,500
9,000 Gateway 2000, Inc.*............................... 481,500
9,000 Quantum Corp.*.................................... 255,375
8,000 Western Digital Corp.*............................ 455,000
------------
5,091,875
------------
COMPUTER SERVICES (2.6%)
26,000 America Online, Inc.*............................. 864,500
12,000 Gartner Group, Inc. (Class A)*.................... 466,500
10,500 HNC Software, Inc.*............................... 328,125
8,000 Keane, Inc.*...................................... 254,000
4,000 Reuters Holdings PLC (ADR) (United Kingdom)....... 306,000
10,000 Transaction Systems Architects, Inc. (Class A)*... 327,500
25,000 Vanstar Corp.*.................................... 612,500
------------
3,159,125
------------
COMPUTER SOFTWARE (5.7%)
15,000 BMC Software, Inc.*............................... 620,625
12,500 Computer Associates International, Inc............ 621,875
22,000 Microsoft Corp.*.................................. 1,817,750
6,000 Parametric Technology Corp.*...................... 308,250
18,000 Peoplesoft, Inc.*................................. 861,750
9,600 Rational Software Corp.*.......................... 376,800
1,800 Rogue Wave Software*.............................. 28,350
40,000 Seagate Technology, Inc.*......................... 1,580,000
2,800 Select Software Tools Ltd. (ADR) (United
Kingdom)*....................................... 48,650
1,000 Veritas Software Co.*............................. 49,250
12,000 Viasoft, Inc.*.................................... 567,000
------------
6,880,300
------------
</TABLE>
<PAGE>
AMERICAN VALUE
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
------------ ------------
<C> <S> <C>
CONSTRUCTION (0.5%)
1,300 American Standard Companies, Inc.*................ $ 49,725
10,000 Miller (Herman), Inc.............................. 562,500
------------
612,225
------------
CONSUMER - NONCYCLICAL (2.1%)
11,000 Avon Products, Inc................................ 628,375
6,000 Interstate Bakeries Corp.......................... 294,750
1,200 Nu Skin Asia Pacific Inc. (Class A)*.............. 37,050
15,000 PanAmerican Beverages, Inc. (Class A) (Mexico).... 703,125
8,000 Procter & Gamble Co............................... 860,000
------------
2,523,300
------------
CONSUMER BUSINESS SERVICES (1.3%)
4,900 BA Merchant Services, Inc. (Class A)*............. 87,587
7,000 Diebold, Inc...................................... 440,125
13,100 National Education Corp.*......................... 199,775
12,000 Reynolds & Reynolds Co. (Class A)................. 312,000
17,700 Service Corp. International....................... 495,600
------------
1,535,087
------------
CONSUMER PRODUCTS (2.0%)
67,500 Arbor Drugs, Inc.................................. 1,155,937
14,700 Callaway Golf Company............................. 422,625
20,000 Safeway, Inc.*.................................... 855,000
------------
2,433,562
------------
DRUGS (4.5%)
13,000 Bristol-Myers Squibb Co........................... 1,413,750
30,000 Dura Pharmaceuticals, Inc.*....................... 1,428,750
19,000 Lilly (Eli) & Co.................................. 1,387,000
16,000 Warner-Lambert Co................................. 1,200,000
------------
5,429,500
------------
ENERGY (7.4%)
5,700 Apache Corp....................................... 201,638
7,000 Baker Hughes, Inc................................. 241,500
5,000 BJ Services Co.*.................................. 255,000
10,000 British Petroleum Co. PLC (ADR) (United
Kingdom)........................................ 1,413,750
12,000 Diamond Offshore Drilling, Inc.*.................. 684,000
12,400 Falcon Drilling Company, Inc.*.................... 486,700
20,000 Global Marine, Inc.*.............................. 412,500
12,000 Louisiana Land & Exploration Co................... 643,500
14,000 Marine Drilling Company, Inc.*.................... 274,750
5,000 Noble Drilling Corp.*............................. 99,375
18,000 Reading & Bates Corp.*............................ 477,000
8,000 Rowan Companies, Inc.*............................ 181,000
16,000 Schlumberger, Ltd................................. 1,598,000
14,000 Smith International, Inc.*........................ 628,250
14,000 Unocal Corp....................................... 568,750
11,000 Western Atlas, Inc.*.............................. 779,625
------------
8,945,338
------------
<CAPTION>
NUMBER OF
SHARES VALUE
------------ ------------
<C> <S> <C>
ENTERTAINMENT/GAMING & LODGING (2.7%)
5,000 HFS Inc.*......................................... $ 298,750
40,000 Hilton Hotels Corp................................ 1,045,000
40,000 International Game Technology..................... 730,000
15,000 MGM Grand, Inc.*.................................. 523,125
10,000 Mirage Resorts, Inc.*............................. 216,250
33,000 Sodak Gaming, Inc.*............................... 495,000
------------
3,308,125
------------
FINANCIAL - MISCELLANEOUS (8.5%)
15,000 Alex Brown, Inc................................... 1,087,500
8,000 American Express Co............................... 452,000
10,700 Crescent Real Estate Equities, Inc................ 564,425
25,000 Edwards (A.G.), Inc............................... 840,625
15,000 Federal Home Loan Mortgage Corp................... 1,651,875
20,000 Federal National Mortgage Assoc................... 745,000
1,500 Infinity Financial Technology, Inc.*.............. 25,125
27,000 Lehman Brothers Holdings, Inc..................... 847,125
21,000 Merrill Lynch & Co., Inc.......................... 1,711,500
20,000 Morgan Stanley Group, Inc......................... 1,142,500
7,000 Paine Webber Group Inc............................ 196,875
18,000 PMI Group, Inc.................................... 996,750
------------
10,261,300
------------
HEALTHCARE PRODUCTS & SERVICES (1.4%)
40,500 Health Management Associates, Inc. (Class A)*..... 911,250
20,000 Healthsouth Corp.*................................ 772,500
1,000 PhyCor, Inc.*..................................... 28,125
------------
1,711,875
------------
INSURANCE (3.3%)
9,500 Allstate Corp..................................... 549,813
28,754 Conseco Inc....................................... 1,833,068
10,000 Exel, Ltd. (Bermuda).............................. 378,750
27,000 SunAmerica, Inc................................... 1,198,125
------------
3,959,756
------------
MEDIA GROUP (1.2%)
12,000 Argyle Television, Inc. (Class A)*................ 288,000
5,400 Clear Channel Communications, Inc.*............... 195,075
15,000 Evergreen Media Corp. (Class A)*.................. 371,250
14,000 Infinity Broadcasting Corp.
(Class A)*...................................... 470,750
3,700 Univision Communications, Inc. (Class A)*......... 136,900
------------
1,461,975
------------
MEDICAL PRODUCTS & SUPPLIES (1.6%)
16,000 Boston Scientific Corp.*.......................... 960,000
8,000 Guidant Corp...................................... 456,000
8,000 Medtronic, Inc.................................... 544,000
------------
1,960,000
------------
</TABLE>
<PAGE>
AMERICAN VALUE
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
------------ ------------
<C> <S> <C>
RESTAURANTS (1.0%)
25,000 Boston Chicken, Inc.*............................. $ 893,750
13,000 Starbucks Corp.*.................................. 370,500
------------
1,264,250
------------
RETAIL (3.8%)
20,000 Dayton-Hudson Corp................................ 785,000
12,000 Federated Department Stores, Inc.*................ 409,500
5,000 Gucci Group NV (Italy)............................ 319,375
16,000 Home Depot, Inc................................... 802,000
9,000 Kohl's Corp.*..................................... 353,250
9,000 Neiman-Marcus Group, Inc.......................... 229,500
30,200 Price/Costco, Inc.*............................... 758,775
13,200 Proffitt's, Inc.*................................. 481,800
12,000 Tiffany & Co...................................... 439,500
------------
4,578,700
------------
SEMICONDUCTORS (9.3%)
19,000 Altera Corp.*..................................... 1,379,875
35,000 Analog Devices, Inc.*............................. 1,185,625
20,000 Applied Materials, Inc.*.......................... 717,500
25,000 Atmel Corp.*...................................... 828,125
13,000 Intel Corp........................................ 1,701,375
35,000 KLA Instruments Corp.*............................ 1,238,125
24,000 Maxim Integrated Products, Inc.*.................. 1,038,000
11,000 Microchip Technology, Inc.*....................... 558,250
33,000 Micron Technology, Inc............................ 961,125
8,000 Novellus Systems, Inc.*........................... 433,000
10,000 Tencor Instruments*............................... 263,750
20,000 Vitesse Semiconductor Corp.*...................... 910,000
------------
11,214,750
------------
TELECOMMUNICATIONS (0.5%)
12,000 McLeod, Inc. (Class A)*........................... 306,000
11,000 Teleport Communications Group Inc. (Class A)*..... 334,125
------------
640,125
------------
<CAPTION>
NUMBER OF
SHARES VALUE
------------ ------------
<C> <S> <C>
TRANSPORTATION (0.3%)
13,800 OMI Corp.*........................................ $ 120,750
5,500 Teekay Shipping Corp.............................. 180,125
------------
300,875
------------
TOTAL COMMON STOCKS (IDENTIFIED COST
$105,393,216)................................... 114,690,318
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN
THOUSANDS)
------------
<C> <S> <C>
U.S. GOVERNMENT OBLIGATIONS (1.3%)
$ 2,000 U.S. Treasury Strip
0.00% due 11/15/18.............................. 448,100
5,000 U.S. Treasury Strip
0.00% due 05/15/19.............................. 1,081,700
------------
TOTAL U.S. GOVERNMENT OBLIGATIONS (IDENTIFIED COST
$1,498,341)..................................... 1,529,800
------------
SHORT-TERM INVESTMENT (4.1%)
REPURCHASE AGREEMENT
4,954 The Bank of New York 5.375% due 01/02/97 (dated
12/31/96; proceeds $4,955,042; collateralized by
$182,514 U.S. Treasury Bond 10.625% due 08/15/15
valued at $265,415 and $4,740,293 U.S. Treasury
Note 5.875% due 10/31/98 valued at $4,787,219)
(Identified Cost $4,953,563).................... 4,953,563
------------
TOTAL INVESTMENTS (IDENTIFIED COST $111,845,120)
(A)............................................. 100.2 % 121,173,681
LIABILITIES IN EXCESS OF OTHER ASSETS............. (0.2) (269,850)
------ ------------
NET ASSETS........................................ 100.0 % $120,903,831
------ ------------
------ ------------
- --------------------
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
$12,056,733 AND THE AGGREGATE GROSS UNREALIZED DEPRECIATION IS
$2,728,172, RESULTING IN NET UNREALIZED APPRECIATION OF
$9,328,561.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
COMMON STOCKS AND RIGHTS (78.9%)
ARGENTINA (0.5%)
ENERGY
50,000 Astra Cia Argentina de Petroleo S.A............... $ 95,519
50,000 Astra Cia Argentina de Petroleo S.A.(Rights)*..... 458
6,100 YPF Sociedad Anonima S.A. (Class D) (ADR)......... 154,025
------------
250,002
------------
TELECOMMUNICATIONS
2,100 Telefonica de Argentina S.A. (ADR) (Class B)...... 54,338
------------
TOTAL ARGENTINA................................... 304,340
------------
AUSTRALIA (0.7%)
BUSINESS SERVICES
22,000 Mayne Nickless Ltd................................ 150,319
------------
ENERGY
4,367 Broken Hill Proprietary Co. Ltd................... 62,175
10,000 Woodside Petroleum Ltd............................ 73,015
------------
135,190
------------
METALS & MINING
60,000 M.I.M. Holdings Ltd............................... 83,899
40,000 Pasminco Ltd...................................... 62,924
------------
146,823
------------
TOTAL AUSTRALIA................................... 432,332
------------
BELGIUM (0.1%)
RETAIL
1,500 G.I.B. Holdings Ltd............................... 67,215
------------
BRAZIL (2.0%)
STEEL & IRON
4,100 Companhia Siderurgicas Nacional (ADR)............. 113,775
10,000 Usinas Siderurgicas de Minas Gerais S.A. (S
Shares) (ADR)................................... 102,250
------------
216,025
------------
TELECOMMUNICATIONS
5,000 Telecomunicacoes Brasileiras S.A. (ADR)........... 382,500
------------
UTILITIES - ELECTRIC
25,000 Centrais Electricas Brasileiras S.A. (Class B)
(ADR)........................................... 457,750
4,050 Companhia Energetica de Minas Gerais S.A. (ADR)... 137,700
------------
595,450
------------
TOTAL BRAZIL...................................... 1,193,975
------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
CANADA (0.7%)
ENERGY
1,500 Suncor, Inc....................................... $ 62,067
3,200 Talisman Energy, Inc.*............................ 106,487
------------
168,554
------------
TRANSPORTATION
7,000 Canadian National Railway Co...................... 266,146
------------
TOTAL CANADA...................................... 434,700
------------
CHILE (0.7%)
BEVERAGES - SOFT DRINKS
8,000 Compania Cervecerias Unidas S.A. (ADR)............ 128,000
------------
CHEMICALS
2,500 Sociedad Quimica y Minera de Chile S.A. (Class B)
(ADR)........................................... 135,312
------------
PHARMACEUTICALS
4,500 Laboratorio Chile S.A. (ADR)...................... 74,250
------------
TELECOMMUNICATIONS
900 Compania de Telecommunicaciones de Chile S.A.
(ADR)........................................... 91,013
------------
TOTAL CHILE....................................... 428,575
------------
DENMARK (0.3%)
PHARMACEUTICALS
500 Novo-Nordisk AS (Series B)........................ 94,179
------------
TRANSPORTATION
1,000 Kobenhavns Lufthavne AS........................... 101,816
------------
TOTAL DENMARK..................................... 195,995
------------
FINLAND (0.2%)
MANUFACTURING
3,000 KCI Konecranes International*..................... 94,510
------------
FRANCE (2.8%)
APPAREL
300 Hermes International.............................. 83,261
------------
BROADCAST MEDIA
500 Societe Television Francaise 1.................... 47,798
------------
BUILDING MATERIALS
300 Compagnie de Saint-Gobain......................... 42,440
500 IMETAL............................................ 73,817
------------
116,257
------------
ENERGY
2,800 Elf Aquitaine S.A................................. 254,879
------------
FINANCIAL SERVICES
700 Cetelem Groupe.................................... 80,948
------------
</TABLE>
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
FOODS & BEVERAGES
340 LVMH Moet-Hennessy Louis Vuitton.................. $ 94,952
1,500 SEITA............................................. 62,735
------------
157,687
------------
HOUSEHOLD PRODUCTS
600 Societe BIC S.A................................... 89,968
------------
INSURANCE
4,000 AXA............................................... 254,409
1,400 Scor S.A.......................................... 49,244
------------
303,653
------------
PHARMACEUTICALS
1,300 Sanofi S.A........................................ 129,286
------------
RETAIL
175 Carrefour Supermarche............................. 113,867
400 Castorama Dubois Investissement................... 68,845
------------
182,712
------------
STEEL & IRON
12,300 Usinor Sacilor.................................... 178,982
------------
TOTAL FRANCE...................................... 1,625,431
------------
GERMANY (2.1%)
APPAREL
1,700 Adidas AG......................................... 146,723
------------
AUTOMOTIVE
120 Bayerische Motoren Werke (BMW) AG................. 83,556
600 Volkswagen AG..................................... 249,189
------------
332,745
------------
CHEMICALS
3,800 BASF AG........................................... 146,180
2,400 Bayer AG.......................................... 97,807
------------
243,987
------------
MANUFACTURING - DIVERSIFIED
450 Mannesmann AG..................................... 194,776
------------
PHARMACEUTICALS
2,300 Gehe AG........................................... 147,015
------------
TELECOMMUNICATIONS
8,400 Deutsche Telekom AG (ADR)*........................ 171,150
------------
TOTAL GERMANY..................................... 1,236,396
------------
HONG KONG (5.0%)
BANKING
30,000 Guoco Group Ltd................................... 167,960
6,000 Hang Seng Bank Ltd................................ 72,925
15,808 HSBC Holdings PLC................................. 338,276
------------
579,161
------------
BUILDING & CONSTRUCTION
62,000 New World Infrastructure Ltd.*.................... 181,174
------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
BUSINESS SERVICES
124,000 First Pacific Co. Ltd............................. $ 161,133
------------
CONGLOMERATES
50,000 Hutchison Whampoa, Ltd............................ 392,746
25,500 Swire Pacific Ltd. (Class A)...................... 243,163
------------
635,909
------------
NATURAL GAS
160,000 Hong Kong & China Gas Co. Ltd..................... 309,284
------------
REAL ESTATE
33,000 Cheung Kong (Holdings) Ltd........................ 293,347
70,000 Hong Kong Land Holdings Ltd....................... 194,600
21,000 New World Development Co. Ltd..................... 141,873
11,000 Sun Hung Kai Properties Ltd....................... 134,762
------------
764,582
------------
TELECOMMUNICATIONS
21,500 Hong Kong Telecommunications, Ltd. (ADR).......... 349,375
------------
TOTAL HONG KONG................................... 2,980,618
------------
INDONESIA (0.1%)
TELECOMMUNICATIONS
3,000 PT Indosat (ADR).................................. 82,125
------------
ITALY (0.8%)
ENERGY
5,000 Ente Nazionale Idrocarburi SpA (ADR).............. 258,125
------------
TELECOMMUNICATIONS
25,000 Stet Societa Finanziaria Telefonica
SpA............................................. 113,712
40,000 Telecom Italia SpA................................ 103,889
------------
217,601
------------
TOTAL ITALY....................................... 475,726
------------
JAPAN (19.2%)
APPAREL
100 Maruco Co., Ltd................................... 3,356
------------
AUTOMOTIVE
15,000 Honda Motor Co.................................... 428,386
21,000 Suzuki Motor Co. Ltd.............................. 192,062
------------
620,448
------------
BANKING
40,000 Asahi Bank, Ltd................................... 355,479
------------
BUILDING & CONSTRUCTION
25,000 Sekisui House Ltd................................. 254,530
------------
BUILDING MATERIALS
7,000 Tostem Corp....................................... 193,270
4,000 Toyo Shutter...................................... 21,605
------------
214,875
------------
</TABLE>
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
BUSINESS SERVICES
5,000 Secom Co.......................................... $ 302,416
------------
CHEMICALS
50,000 Asahi Chemical Industry Co. Ltd................... 283,003
30,000 Kaneka Corp....................................... 153,494
23,000 Nippon Shokubai K.K. Co........................... 170,664
------------
607,161
------------
COMPUTER SOFTWARE
4,000 Square Co. Ltd.................................... 201,898
------------
CONSUMER PRODUCTS
13,000 Kao Corp.......................................... 151,424
------------
ELECTRONICS
21,000 Canon, Inc........................................ 463,848
20,000 Matsushita Electric Industrial Co., Ltd........... 326,143
20,000 NEC Corp.......................................... 241,587
14,000 Sharp Corp........................................ 199,310
6,000 Sony Corp......................................... 392,925
8,000 TDK Corp.......................................... 521,139
------------
2,144,952
------------
ELECTRONICS - SEMICONDUCTORS/COMPONENTS
6,000 Rohm Co., Ltd..................................... 393,443
------------
FINANCIAL SERVICES
15,000 Nomura Securities Co. Ltd......................... 225,194
7,000 Orix Corp......................................... 291,113
3,000 Promise Co., Ltd.................................. 147,541
------------
663,848
------------
FURNITURE
4,000 Itoki Crebio Corp................................. 26,644
------------
INSURANCE
30,000 Tokio Marine & Fire Insurance Co.................. 282,140
------------
INTERNATIONAL TRADE
46,000 Mitsui & Co....................................... 373,080
------------
LEISURE
4,000 Nintendo Corp., Ltd............................... 284,728
------------
MACHINE TOOLS
29,000 Asahi Diamond Industries Co. Ltd.................. 262,726
------------
MACHINERY
32,000 Kawasaki Heavy Industries......................... 132,252
40,000 Komatsu Ltd....................................... 327,869
37,000 Minebea Co., Ltd.................................. 309,025
51,000 Mitsubishi Heavy Industries, Ltd.................. 404,832
------------
1,173,978
------------
MANUFACTURING
28,000 Hitachi Cable..................................... 189,646
------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
PHARMACEUTICALS
21,000 Eisai Co. Ltd..................................... $ 413,115
6,000 Sankyo Co. Ltd.................................... 169,801
200 Seijo Corp........................................ 3,831
8,000 Terumo............................................ 108,369
------------
695,116
------------
REAL ESTATE
4,000 Cesar Co.......................................... 20,880
2,000 Chubu Sekiwa Real Estate, Ltd..................... 25,712
------------
46,592
------------
RESTAURANTS
20 Yoshinoya D & C Company Ltd....................... 245,039
------------
RETAIL
6,000 Aoyama Trading Co., Ltd........................... 158,412
1,300 Honma Golf Co. Ltd................................ 26,135
13,000 Izumiya Co. Ltd................................... 183,952
9,000 Jusco Co.......................................... 305,177
1,000 Sundrug Co., Ltd.................................. 33,218
------------
706,894
------------
TELECOMMUNICATIONS
40 DDI Corp.......................................... 264,366
34 Nippon Telegraph & Telephone...................... 257,567
------------
521,933
------------
TEXTILES - APPAREL
18,000 Kuraray Co. Ltd................................... 166,178
------------
TRANSPORTATION
43,000 Nippon Yusen Kabushiki Kaish...................... 194,409
25,000 Yamato Transport Co. Ltd.......................... 258,844
------------
453,253
------------
TOTAL JAPAN....................................... 11,341,777
------------
MALAYSIA (2.5%)
BANKING
52,000 DCB Holdings Berhad............................... 178,139
14,000 Malayan Banking Berhad............................ 155,248
22,666 Public Bank Berhad................................ 48,025
------------
381,412
------------
BUILDING & CONSTRUCTION
39,000 United Engineers (Malaysia) Berhad Ltd............ 352,159
------------
CONGLOMERATES
60,000 Road Builder (M) Holdings Berhad.................. 339,802
------------
LEISURE
10,000 Berjaya Sports Toto Berhad........................ 49,901
100,000 Magnum Corporation Berhad......................... 194,059
------------
243,960
------------
</TABLE>
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
MACHINERY
12,000 UMW Holdings Berhad............................... $ 56,079
------------
NATURAL GAS
20,000 Petronas Gas Berhad............................... 83,168
------------
TOBACCO
15,000 RJ Reynolds Berhad................................ 40,693
------------
TOTAL MALAYSIA.................................... 1,497,273
------------
MEXICO (1.9%)
AUTOMOTIVE
18,000 Sanluis Corporacion S.A. de C.V................... 111,401
------------
BANKING
30,000 Grupo Financiero Banamex Accival S.A. de C.V. (B
Shares)*........................................ 62,625
450 Grupo Financiero Banamex Accival S.A. de C.V.
(Series L)*..................................... 854
------------
63,479
------------
BEVERAGES - SOFT DRINKS
2,800 PanAmerican Beverages, Inc. (Class A)............. 131,250
------------
BROADCAST MEDIA
6,000 Grupo Radio Centro S.A. de C.V. (ADR)*............ 41,250
------------
BUILDING & CONSTRUCTION
16,000 Corporacion GEO S.A. de C.V. (Series B)*.......... 75,181
------------
BUILDING MATERIALS
14,600 Cemex S.A. de C.V. (B Shares)..................... 56,659
50,000 Grupo Cementos de Chihuahua S.A. de C.V. (B
Shares)*........................................ 57,958
------------
114,617
------------
CONGLOMERATES
3,000 DESC S.A. de C.V. (C Shares) (ADR)*............... 66,000
34,572 Grupo Industria Alfa S.A. de C.V. (A Shares)...... 158,720
------------
224,720
------------
MANUFACTURING
4,000 Elamax S.A. de C.V.* (Class I).................... 38,000
------------
METALS & MINING
12,100 Tubos de Acero de Mexico S.A. de C.V. (ADR)*...... 192,088
------------
TELECOMMUNICATIONS
4,100 Telefonos de Mexico S.A. de C.V. (Series L)
(ADR)........................................... 135,300
------------
TOTAL MEXICO...................................... 1,127,286
------------
NETHERLANDS (3.0%)
BANKING
2,600 ABN-AMRO Holding NV............................... 169,140
------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
BUILDING MATERIALS
800 Hunter Douglas NV................................. $ 53,941
------------
BUSINESS & PUBLIC SERVICES
1,500 Randstad Holdings NV.............................. 108,346
------------
CHEMICALS
1,500 Akzo Nobel NV..................................... 204,885
------------
FOOD PROCESSING
900 Nutricia Vereenigde Bedrijven NV.................. 136,735
------------
FURNITURE
3,000 Ahrend Groep NV................................... 167,207
------------
INSURANCE
2,600 Aegon NV.......................................... 165,679
4,000 ING Groep NV...................................... 143,998
------------
309,677
------------
PUBLISHING
7,600 Elsevier NV....................................... 128,441
5,000 Ver Ned Uitgev Ver Bezit NV....................... 104,468
850 Wegener NV........................................ 78,811
600 Wolters Kluwer NV................................. 79,697
------------
391,417
------------
RETAIL
3,500 Koninklijke Ahold NV.............................. 218,775
------------
TOTAL NETHERLANDS................................. 1,760,123
------------
NORWAY (0.2%)
INSURANCE
24,500 Storebrand AS (A Shares)*......................... 142,151
------------
PANAMA (0.2%)
BANKING
2,000 Banco Latinoamericano de Exportaciones S.A. (E
Shares)......................................... 101,500
------------
PERU (0.2%)
METALS & MINING
4,000 Companhia de Minas Buenaventura S.A. (Series B)
(ADR)........................................... 67,500
------------
TELECOMMUNICATIONS
3,000 Telefonica del Peru S.A. (Class B) (ADR).......... 56,625
------------
TOTAL PERU........................................ 124,125
------------
PHILIPPINES (0.1%)
TELECOMMUNICATIONS
900 Philippine Long Distance Telephone Co. (ADR)...... 45,900
------------
PORTUGAL (0.2%)
TELECOMMUNICATIONS
4,000 Portugal Telecom S.A. (ADR)....................... 113,000
------------
</TABLE>
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
SINGAPORE (0.8%)
BANKING
8,500 Development Bank of Singapore, Ltd................ $ 114,832
20,000 Overseas Union Bank, Ltd.......................... 154,396
5,000 United Overseas Bank, Ltd......................... 55,754
------------
324,982
------------
PUBLISHING
4,000 Singapore Press Holdings Ltd...................... 78,914
------------
REAL ESTATE
25,000 DBS Land Ltd...................................... 92,030
------------
TOTAL SINGAPORE................................... 495,926
------------
SOUTH AFRICA (0.1%)
BREWERY
2,000 South African Breweries Ltd. (ADR)................ 50,750
------------
SOUTH KOREA (0.2%)
TELECOMMUNICATIONS
9,064 Korea Mobile Telecommunications (ADR)............. 116,699
------------
SPAIN (1.2%)
BANKS
1,600 Banco Bilbao Vizcaya.............................. 86,390
400 Banco Popular Espanol S.A......................... 78,564
------------
164,954
------------
FINANCIAL SERVICES
1,000 Corporacion Financiera Alba....................... 101,055
------------
NATURAL GAS
500 Gas Natural SDG S.A. (Series E)................... 116,306
------------
TELECOMMUNICATIONS
1,800 Telefonica de Espana S.A. (ADR)................... 124,650
------------
UTILITIES - ELECTRIC
1,000 Empresa Nacional de Electricidad S.A.............. 71,170
7,000 Iberdrola S.A..................................... 99,207
------------
170,377
------------
TOTAL SPAIN....................................... 677,342
------------
SWEDEN (2.0%)
AUTO TRUCKS & PARTS
8,800 Scania AB (A Shares).............................. 218,525
------------
BUSINESS SERVICES
5,000 Assa Abloy AB (Series B).......................... 90,565
4,000 Scribona AB (Series "B" Free)..................... 44,698
6,000 Securitas AB (Series "B" Free).................... 173,973
------------
309,236
------------
MEDICAL SUPPLIES
6,200 Getinge Industrier AB (B Shares).................. 121,810
------------
PHARMACEUTICALS
3,000 Astra AB (Series "A" Free)........................ 147,680
------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
RETAIL
1,400 Hennes & Mauritz AB (B Shares).................... $ 193,050
------------
TELECOMMUNICATION EQUIPMENT
6,200 Ericsson (L.M.) Telephone Co. AB (Series "B"
Free)........................................... 191,092
------------
TOTAL SWEDEN...................................... 1,181,393
------------
SWITZERLAND (0.8%)
CONGLOMERATES
80 ABB AG - Bearer................................... 99,255
------------
PHARMACEUTICALS
64 Novartis AG*...................................... 73,109
130 Novartis AG - Bearer*............................. 148,405
20 Roche Holdings AG................................. 155,216
------------
376,730
------------
TOTAL SWITZERLAND................................. 475,985
------------
UNITED KINGDOM (7.7%)
AEROSPACE
40,000 Rolls-Royce PLC................................... 176,199
------------
AEROSPACE & DEFENSE
7,873 British Aerospace PLC............................. 172,457
3,600 Smiths Industries PLC............................. 49,487
------------
221,944
------------
AUTO PARTS
8,646 BBA Group PLC..................................... 52,164
------------
BANKING
4,800 Barclays Bank, PLC................................ 82,313
17,000 Lloyds TSB Group PLC.............................. 125,585
9,939 National Westminster Bank PLC..................... 116,863
------------
324,761
------------
BEVERAGES
8,300 Bass PLC.......................................... 116,939
18,100 Guinness PLC...................................... 142,397
------------
259,336
------------
BROADCAST MEDIA
6,300 Flextech PLC*..................................... 72,780
------------
BUILDING & CONSTRUCTION
10,626 Blue Circle Industries PLC........................ 65,020
------------
BUSINESS SERVICES
8,400 Reuters Holdings PLC.............................. 108,054
------------
CHEMICALS
16,000 Albright & Wilson PLC............................. 46,072
------------
COMPUTER SOFTWARE & SERVICES
6,000 SEMA Group PLC.................................... 112,096
------------
</TABLE>
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
CONGLOMERATES
3,701 BTR PLC........................................... $ 18,079
------------
CONSUMER PRODUCTS
3,400 Vendome Luxury Group PLC
(Units)++....................................... 30,945
------------
ELECTRICAL EQUIPMENT
13,000 The BICC Group PLC................................ 61,276
------------
ENERGY
22,532 British Petroleum Co. PLC......................... 270,339
24,500 Shell Transport & Trading
Co. PLC......................................... 424,969
------------
695,308
------------
FOODS
6,200 Associated British Foods PLC...................... 51,327
------------
INSURANCE
2,513 General Accident PLC.............................. 32,908
24,680 Prudential Corp. PLC.............................. 208,124
29,148 Royal & Sun Alliance Insurance Group PLC.......... 222,570
------------
463,602
------------
LEISURE
6,575 Granada Group PLC................................. 97,256
15,282 Tomkins PLC....................................... 70,722
------------
167,978
------------
PHARMACEUTICALS
22,349 Glaxo Wellcome PLC................................ 363,909
16,311 Medeva PLC........................................ 71,011
------------
434,920
------------
RESTAURANTS
12,500 Compass Group PLC................................. 132,835
------------
RETAIL
5,143 Boots Co. PLC..................................... 53,067
9,500 Next PLC.......................................... 92,650
------------
145,717
------------
TELECOMMUNICATIONS
62,600 British Telecommunications PLC.................... 423,821
47,723 Securicor PLC..................................... 229,441
20,127 Vodafone Group PLC................................ 85,209
------------
738,471
------------
TRANSPORTATION
12,601 British Airways PLC............................... 130,993
------------
UTILITIES
4,000 Yorkshire Water PLC............................... 48,335
------------
TOTAL UNITED KINGDOM.............................. 4,558,212
------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
UNITED STATES (22.3%)
AEROSPACE & DEFENSE
3,400 Boeing Co......................................... $ 361,675
3,700 Lockheed Martin Corp.............................. 338,550
6,200 McDonnell Douglas Corp............................ 396,800
------------
1,097,025
------------
AIRLINES
6,500 UAL Corp.*........................................ 406,250
------------
AUTOMOTIVE
9,300 Ford Motor Co..................................... 296,437
------------
BEVERAGES - SOFT DRINKS
10,900 PepsiCo Inc....................................... 318,825
------------
BIOTECHNOLOGY
2,900 Biogen, Inc.*..................................... 111,650
3,100 Centocor, Inc.*................................... 110,825
------------
222,475
------------
CHEMICALS
3,900 Dow Chemical Co................................... 305,662
9,700 Monsanto Co....................................... 377,087
7,700 Praxair, Inc...................................... 355,162
------------
1,037,911
------------
COMMUNICATIONS - EQUIPMENT & SOFTWARE
5,900 Cisco Systems, Inc.*.............................. 375,387
------------
COMPUTERS - PERIPHERAL EQUIPMENT
13,000 Seagate Technology, Inc.*......................... 513,500
20,000 Teradyne, Inc.*................................... 487,500
------------
1,001,000
------------
COMPUTERS - SYSTEMS
7,000 Hewlett-Packard Co................................ 351,750
11,200 Sun Microsystems, Inc.*........................... 287,000
------------
638,750
------------
DRUGS
5,200 American Home Products Corp....................... 304,850
------------
ELECTRICAL EQUIPMENT
5,200 Honeywell, Inc.................................... 341,900
------------
FINANCIAL - MISCELLANEOUS
12,000 Ahmanson (H.F.) & Co.............................. 390,000
10,000 Federal National Mortgage Assoc................... 372,500
5,700 Golden West Financial Corp........................ 359,812
12,600 Great Western Financial Corp...................... 365,400
------------
1,487,712
------------
FOODS & BEVERAGES
5,700 General Mills, Inc................................ 361,238
------------
</TABLE>
<PAGE>
GLOBAL EQUITY
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
HOUSEHOLD PRODUCTS
3,800 Colgate-Palmolive Co.............................. $ 350,550
------------
INDUSTRIALS
5,000 Allied Signal, Inc................................ 335,000
------------
MEDICAL PRODUCTS & SUPPLIES
6,000 Medtronic, Inc.................................... 408,000
------------
MEDICAL SERVICES
5,700 HBO & Co.......................................... 338,438
------------
OFFICE EQUIPMENT & SUPPLIES
7,100 Alco Standard Corp................................ 366,538
------------
OIL INTEGRATED - INTERNATIONAL
5,300 Chevron Corp...................................... 344,500
3,900 Exxon Corp........................................ 382,200
2,800 Mobil Corp........................................ 342,300
------------
1,069,000
------------
PHARMACEUTICALS
3,000 Biochem Pharma, Inc.*............................. 149,625
------------
RETAIL - DEPARTMENT STORES
7,000 Sears, Roebuck & Co............................... 322,875
------------
RETAIL - SPECIALTY
15,500 Price/Costco, Inc.*............................... 389,438
------------
RETAIL - SPECIALTY APPAREL
9,000 Gap, Inc.......................................... 271,125
------------
SEMICONDUCTORS
3,900 Intel Corp........................................ 510,413
------------
SHOES
5,800 Nike, Inc. (Class B).............................. 346,550
------------
TRANSPORTATION
4,500 Conrail, Inc...................................... 448,313
------------
TOTAL UNITED STATES............................... 13,195,625
------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
VENEZUELA (0.3%)
TELECOMMUNICATIONS
5,700 Compania Anonima Nacional Telefonos de Venezuela
(Class D) (ADR)*................................ $ 160,313
------------
TOTAL COMMON STOCKS AND RIGHTS (IDENTIFIED COST
$42,066,840).................................... 46,717,318
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN
THOUSANDS)
- ------------
<C> <S> <C>
SHORT-TERM INVESTMENTS (22.3%)
U.S. GOVERNMENT AGENCIES (a) (18.5%)
$ 4,000 Federal Home Loan Banks 6.00% due 01/09/97........ 3,994,667
7,000 Federal Home Loan Mortgage Corp. 5.39% - 5.70% due
01/02/97 - 01/09/97............................. 6,996,718
------------
TOTAL U.S. GOVERNMENT AGENCIES (Amortized Cost
$10,991,385) 10,991,385
------------
REPURCHASE AGREEMENT (3.8%)
2,240 The Bank of New York 5.375% due 01/02/97 (dated
12/31/96; proceeds $2,240,894; collateralized by
$2,223,334 U.S. Treasury Notes 5.25% - 6.875%
due 01/31/01-5/15/06 valued at $2,285,030)
(Identified Cost $2,240,225).................... 2,240,225
------------
TOTAL SHORT-TERM INVESTMENTS (IDENTIFIED COST
$13,231,610).................................... 13,231,610
------------
TOTAL INVESTMENTS
(IDENTIFIED COST
$55,298,450) (B)................................ 101.2 % 59,948,928
LIABILITIES IN EXCESS OF OTHER ASSETS............. (1.2) (702,528)
------ ------------
NET ASSETS........................................ 100.0 % $ 59,246,400
------ ------------
------ ------------
- --------------------
ADR AMERICAN DEPOSITORY RECEIPT.
* NON-INCOME PRODUCING SECURITY.
++ CONSIST OF MORE THAN ONE CLASS OF SECURITIES TRADED TOGETHER AS
A UNIT.
(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
$6,004,214 AND THE AGGREGATE GROSS UNREALIZED DEPRECIATION IS
$1,353,736, RESULTING IN NET UNREALIZED APPRECIATION OF
$4,650,478.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
GLOBAL EQUITY
SUMMARY OF INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT OF
INDUSTRY VALUE NET ASSETS
- --------------------------------- ------------ -----------
<S> <C> <C>
Aerospace........................ $ 176,199 0.3%
Aerospace & Defense.............. 1,318,969 2.2
Airlines......................... 406,250 0.7
Apparel.......................... 233,340 0.4
Auto Parts....................... 52,164 0.1
Automotive....................... 1,361,031 2.3
Auto Trucks & Parts.............. 218,525 0.4
Banking.......................... 2,299,914 3.9
Banks............................ 164,954 0.3
Beverages........................ 259,336 0.4
Beverages - Soft Drinks.......... 578,075 1.0
Biotechnology.................... 222,475 0.4
Brewery.......................... 50,750 0.1
Broadcast Media.................. 161,828 0.3
Building & Construction.......... 928,064 1.6
Building Materials............... 499,690 0.8
Business & Public Services....... 108,346 0.2
Business Services................ 1,031,158 1.7
Chemicals........................ 2,275,328 3.8
Communications - Equipment &
Software........................ 375,387 0.6
Computer Software................ 201,898 0.3
Computer Software & Services..... 112,096 0.2
Computers - Peripheral
Equipment....................... 1,001,000 1.7
Computers - Systems.............. 638,750 1.1
Conglomerates.................... 1,317,765 2.2
Consumer Products................ 182,369 0.3
Drugs............................ 304,850 0.5
Electrical Equipment............. 403,176 0.7
Electronics...................... 2,144,952 3.6
Electronics -
Semiconductors/Components....... 393,443 0.7
Energy........................... 1,762,058 3.0
Financial - Miscellaneous........ 1,487,712 2.5
Financial Services............... 845,851 1.4
Food Processing.................. 136,735 0.2
Foods............................ 51,327 0.1
Foods & Beverages................ 518,925 0.9
Furniture........................ 193,851 0.3
<CAPTION>
PERCENT OF
INDUSTRY VALUE NET ASSETS
- --------------------------------- ------------ -----------
<S> <C> <C>
Household Products............... $ 440,518 0.7%
Industrials...................... 335,000 0.6
Insurance........................ 1,501,223 2.5
International Trade.............. 373,080 0.6
Leisure.......................... 696,666 1.2
Machine Tools.................... 262,726 0.4
Machinery........................ 1,230,057 2.1
Manufacturing.................... 322,156 0.5
Manufacturing - Diversified...... 194,776 0.3
Medical Products & Supplies...... 408,000 0.7
Medical Services................. 338,438 0.6
Medical Supplies................. 121,810 0.2
Metals & Mining.................. 406,411 0.7
Natural Gas...................... 508,758 0.9
Office Equipment & Supplies...... 366,538 0.6
Oil Integrated - International... 1,069,000 1.8
Pharmaceuticals.................. 2,248,801 3.8
Publishing....................... 470,331 0.8
Real Estate...................... 903,204 1.5
Repurchase Agreement 2,240,225 3.8
Restaurants...................... 377,874 0.6
Retail........................... 1,514,363 2.6
Retail - Department Stores....... 322,875 0.5
Retail - Specialty............... 389,438 0.7
Retail - Specialty Apparel....... 271,125 0.4
Semiconductors................... 510,413 0.9
Shoes............................ 346,550 0.6
Steel & Iron..................... 395,007 0.7
Telecommunication - Equipment.... 191,092 0.3
Telecommunications............... 3,360,993 5.7
Textiles - Apparel............... 166,178 0.3
Tobacco.......................... 40,693 0.1
Transportation................... 1,400,521 2.4
U.S. Government Agencies 10,991,385 18.5
Utilities........................ 48,335 0.1
Utilities - Electric............. 765,827 1.3
------------ -----------
$ 59,948,928 101.2%
------------ -----------
------------ -----------
</TABLE>
- ----------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT OF
TYPE OF INVESTMENT VALUE NET ASSETS
- ------------------------------------------------------------------------------------------------ ------------ -----------
<S> <C> <C>
Common Stocks................................................................................... $ 46,716,860 78.9%
Rights.......................................................................................... 458 0.0
Short-Term Investments.......................................................................... 13,231,610 22.3
------------ -----------
$ 59,948,928 101.2%
------------ -----------
------------ -----------
</TABLE>
FORWARD FOREIGN CURRENCY CONTRACT OPEN AT DECEMBER 31, 1996:
<TABLE>
<CAPTION>
CONTRACTS IN
TO EXCHANGE DELIVERY UNREALIZED
DELIVER FOR DATE APPRECIATION
- --------- ---------- --------- -----------
<S> <C> <C> <C>
$ 725,645 L426,173 01/07/97 $ 4,816
-----------
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DEVELOPING GROWTH
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
COMMON STOCKS (85.8%)
ADVERTISING (0.3%)
8,000 Lamar Advertising Co. (Class A)*.................. $ 186,000
------------
AEROSPACE (0.3%)
9,000 Orbital Sciences Corp.*........................... 153,000
------------
AGRICULTURE RELATED (0.1%)
1,700 Dekalb Genetics Corp. (Class B)*.................. 86,275
------------
APPAREL & FOOTWEAR (0.5%)
7,600 Jones Apparel Group, Inc.*........................ 284,050
------------
AUTO PARTS - ORIGINAL EQUIPMENT (0.3%)
6,500 Tower Automotive, Inc.*........................... 200,687
------------
BIOTECHNOLOGY (1.3%)
12,000 Guilford Pharmaceuticals, Inc.*................... 267,000
2,000 Interneuron Pharmaceuticals, Inc.*................ 52,000
14,600 Liposome Co., Inc.*............................... 279,225
7,000 SangStat Medical Corp.*........................... 183,750
------------
781,975
------------
BROADCAST MEDIA (1.3%)
30,200 Film Roman, Inc.*................................. 218,950
3,200 Infinity Broadcasting Corp. (Class A)*............ 107,600
5,750 Lin Television Corp.*............................. 241,500
12,500 Mecklermedia Corp.*............................... 246,875
------------
814,925
------------
BUILDING MATERIALS (0.9%)
19,300 Universal Forest Products, Inc.*.................. 250,900
10,050 Watsco, Inc....................................... 290,194
------------
541,094
------------
BUSINESS SERVICES (2.4%)
10,500 CFI Proservices, Inc.*............................ 144,375
6,000 Gartner Group, Inc. (Class A)*.................... 233,250
8,000 Reynolds & Reynolds Co. (Class A)................. 208,000
7,200 Saville Systems, PLC (ADR)* (Ireland)............. 287,100
6,300 Sykes Enterprises, Inc.*.......................... 228,375
9,825 TCSI Corp.*....................................... 61,406
11,200 Vanstar Corp.*.................................... 274,400
------------
1,436,906
------------
CHEMICALS (0.3%)
10,000 Hexcel Corp.*..................................... 162,500
------------
COMMERCIAL SERVICES (3.7%)
3,000 APAC Teleservices, Inc.*.......................... 114,000
7,100 Coinmach Laundry Corp.*........................... 120,700
5,500 Danka Business Systems PLC (ADR) (United
Kingdom)........................................ 194,562
1,600 International Telecomm Data Systems*.............. 38,400
13,300 Iron Mountain, Inc.*.............................. 402,325
600 Lason Holdings, Inc.*............................. 12,150
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
6,000 Leasing Solutions, Inc.*.......................... $ 154,500
4,750 On Assignment, Inc.*.............................. 135,375
11,600 Physician Support Systems, Inc.*.................. 217,500
11,300 Precision Response Corp.*......................... 395,500
10,000 Sitel Corp.*...................................... 141,250
6,525 Sylvan Learning Systems, Inc.*.................... 182,700
3,175 The Registry, Inc.*............................... 144,066
800 XlConnect Solutions, Inc.*........................ 23,000
------------
2,276,028
------------
COMMUNICATIONS - EQUIPMENT/MANUFACTURERS (0.4%)
5,850 Comverse Technology, Inc.*........................ 220,106
------------
COMPUTER EQUIPMENT (1.7%)
9,800 ACT Networks, Inc.*............................... 357,700
6,000 Dell Computer Corp.*.............................. 318,750
17,500 Proxima Corp.*.................................... 220,937
2,400 Splash Technology Holdings, Inc.*................. 51,600
3,000 Tellabs, Inc.*.................................... 112,875
------------
1,061,862
------------
COMPUTER SERVICES (1.4%)
8,000 Cotelligent Group, Inc.*.......................... 193,000
8,200 Network General Corp.*............................ 247,025
18,000 ONTRACK Data International, Inc.*................. 267,750
5,310 Sterling Commerce, Inc.*.......................... 187,177
------------
894,952
------------
COMPUTER SOFTWARE (9.2%)
2,000 Applix Inc*....................................... 43,000
10,000 Aspect Development, Inc.*......................... 270,000
800 Aurum Software, Inc.*............................. 18,400
7,450 Axent Technologies, Inc.*......................... 111,750
5,400 Baan Company, NV (Netherlands)*................... 186,975
5,070 Ciber, Inc.*...................................... 149,565
7,000 Citrix Systems, Inc.*............................. 271,250
10,000 Cyrix Corp.*...................................... 177,500
8,100 HCIA, Inc.*....................................... 279,450
4,140 HNC Software, Inc.*............................... 129,375
35,550 IA Corporation I*................................. 199,969
800 Infinity Financial Technology, Inc.*.............. 13,400
9,600 Information Management Resources, Inc.*........... 200,400
8,000 Ingram Micro, Inc. (Class A)*..................... 184,000
5,200 Manugistics Group, Inc.*.......................... 202,800
9,000 MetaTools, Inc.*.................................. 104,625
6,000 Peoplesoft, Inc.*................................. 287,250
20,000 Platinum Technology, Inc.*........................ 270,000
5,000 Pri Automation, Inc.*............................. 223,750
2,550 Remedy Corp.*..................................... 135,787
6,600 Renaissance Solutions Inc.*....................... 295,350
900 Rogue Wave Software*.............................. 14,175
2,000 Ross Systems, Inc.*............................... 19,000
700 SeaChange International, Inc.*.................... 17,850
4,400 Security Dynamics Technologies, Inc.*............. 138,050
</TABLE>
<PAGE>
DEVELOPING GROWTH
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
3,000 Shiva Corp.*...................................... $ 103,875
16,000 Simulation Sciences Inc.*......................... 236,000
15,390 Symantec Corp.*................................... 223,155
6,000 Transaction Systems Architects, Inc. (Class A)*... 196,500
20,000 TriTeal Corp.*.................................... 425,000
6,200 Trusted Information Systems, Inc.*................ 66,650
16,300 Visigenic Software, Inc.*......................... 238,387
3,800 Wind River Systems*............................... 178,600
------------
5,611,838
------------
COMPUTER SOFTWARE & SERVICES (4.4%)
7,400 Affiliated Computer Services, Inc.*............... 214,600
8,330 CCC Information Services Group, Inc.*............. 127,032
16,450 Diamond Multimedia Systems, Inc.*................. 189,175
14,300 Document Sciences Corp.*.......................... 135,850
5,000 Geoworks*......................................... 121,250
8,700 Hyperion Software Corp.*.......................... 183,787
17,190 IDT Corp.*........................................ 189,090
12,500 Interlink Computer Sciences, Inc.*................ 203,125
10,500 Memco Software Ltd.*.............................. 185,062
7,100 Raptor Systems, Inc.*............................. 142,000
6,000 Segue Software, Inc.*............................. 107,250
1,700 Summit Design, Inc.*.............................. 16,150
5,500 Sunguard Data Systems, Inc.*...................... 217,250
14,150 Sync Research, Inc.*.............................. 189,256
2,800 Versant Object Technology Corp.*.................. 51,800
4,000 Viasoft, Inc.*.................................... 189,000
6,000 VideoServer, Inc.*................................ 252,000
------------
2,713,677
------------
COMPUTERS (1.2%)
6,700 Network Appliance, Inc.*.......................... 338,350
7,000 Read Rite Corp.*.................................. 175,000
5,000 Synopsys, Inc.*................................... 228,750
------------
742,100
------------
COMPUTERS - PERIPHERAL EQUIPMENT (0.7%)
5,000 SCI Systems, Inc.*................................ 223,125
9,000 Tech Data Corp.*.................................. 245,250
------------
468,375
------------
COMPUTERS - SYSTEMS (0.4%)
3,000 COMPAQ Computer Corp.*............................ 222,750
------------
CONSUMER SERVICES (1.0%)
10,404 AccuStaff, Inc.*.................................. 219,784
8,062 CUC International, Inc.*.......................... 191,472
10,000 Gemstar International Group Ltd.*................. 170,000
------------
581,256
------------
COSMETICS (0.3%)
10,500 NBTY, Inc*........................................ 198,187
------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
DISTRIBUTION (0.4%)
10,300 Central Garden & Pet Co.*......................... $ 216,300
------------
DRUGS (0.7%)
8,200 IDEC Pharmaceuticals Corp.*....................... 193,725
11,100 Mycogen Corp.*.................................... 233,100
------------
426,825
------------
EDUCATION (0.5%)
10,000 Education Management Corp.*....................... 205,000
4,050 Learning Tree International, Inc.*................ 118,462
------------
323,462
------------
ELECTRONIC COMPONENTS (2.2%)
7,800 ADC Telecommunications, Inc.*..................... 241,800
12,500 Exar Corp.*....................................... 193,750
6,150 FORE Systems, Inc.*............................... 202,181
7,000 Galileo Corp.*.................................... 174,125
4,500 Linear Technology Corp.*.......................... 196,875
5,000 SDL, Inc*......................................... 128,750
8,000 Tencor Instruments*............................... 211,000
------------
1,348,481
------------
ELECTRONICS (3.3%)
3,400 Altera Corp.*..................................... 246,925
6,540 Analog Devices, Inc.*............................. 221,542
6,000 C-Cube Microsystems, Inc.*........................ 221,250
6,000 Dynatech Corp.*................................... 264,000
3,000 Microchip Technology, Inc.*....................... 152,250
7,700 Ortel Corp.*...................................... 180,950
6,500 Pittway Corp. (Class A)........................... 347,750
5,400 Technitrol, Inc................................... 207,225
7,000 Teradyne, Inc.*................................... 170,625
------------
2,012,517
------------
ENTERTAINMENT & LEISURE TIME (1.6%)
8,320 Cinar Films, Inc. (Class B)* (Canada)............. 209,040
9,400 Premier Parks, Inc.*.............................. 296,100
8,400 Sodak Gaming, Inc.*............................... 126,000
11,800 The North Face, Inc.*............................. 224,200
5,000 Vacation Break USA, Inc.*......................... 98,125
------------
953,465
------------
ENVIRONMENT (1.7%)
21,270 Philip Environmental, Inc* (Canada)............... 308,415
8,850 U.S. Filter Corp.*................................ 280,987
7,140 U.S.A. Waste Services, Inc.*...................... 227,587
7,000 United Waste Systems, Inc.*....................... 239,750
------------
1,056,739
------------
</TABLE>
<PAGE>
DEVELOPING GROWTH
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
ENVIRONMENTAL CONTROL (0.7%)
5,400 Newpark Resources, Inc.*.......................... $ 201,150
8,150 Tetra Technologies, Inc.*......................... 205,787
------------
406,937
------------
EQUIPMENT (0.4%)
8,400 Prime Service, Inc.*.............................. 231,000
------------
FINANCIAL SERVICES (4.2%)
2,890 Alex Brown, Inc.*................................. 209,525
8,400 Amresco, Inc...................................... 222,600
7,000 CMAC Investment Corp.*............................ 257,250
80 Data Broadcasting Corp.*.......................... 550
8,500 Envoy Corp........................................ 319,812
3,000 Finova Group, Inc................................. 192,750
6,500 GreenPoint Financial Corp......................... 307,125
3,000 Legg Mason, Inc................................... 115,500
4,000 McDonald & Company Investments.................... 139,000
7,000 Morgan Keegan, Inc................................ 119,875
3,000 PennFed Financial Services, Inc.*................. 59,625
12,000 People's Bank..................................... 342,000
6,000 SunAmerica, Inc................................... 266,250
------------
2,551,862
------------
FOOD WHOLESALERS (0.3%)
8,000 Northland Cranberries, Inc. (Class A)............. 180,000
------------
FOREST PRODUCTS, PAPER & PACKAGING (0.3%)
6,000 Buckeye Cellulose Corp.*.......................... 159,750
------------
HEALTHCARE SERVICES (0.5%)
10,000 ADAC Laboratories................................. 238,750
1,460 Healthsouth Corp.*................................ 56,393
------------
295,143
------------
HOSPITAL MANAGEMENT (0.8%)
5,390 NCS HealthCare, Inc. (Class A)*................... 154,963
5,900 PhyCor, Inc.*..................................... 165,938
5,000 Total Renal Care Holdings, Inc.*.................. 181,250
------------
502,151
------------
HOTELS/MOTELS (0.8%)
2,140 HFS Inc.*......................................... 127,865
13,900 Red Roof Inns Inc.*............................... 215,450
16,800 U S Franchise Systems, Inc.*...................... 170,100
------------
513,415
------------
HOUSEHOLD FURNISHINGS & APPLIANCES (1.5%)
7,000 American Standard Companies, Inc.*................ 267,750
5,500 Ethan Allen Interiors, Inc........................ 211,750
15,000 Furniture Brands International, Inc............... 210,000
17,200 O'Sullivan Industries Holdings, Inc.*............. 240,800
------------
930,300
------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
HOUSEHOLD PRODUCTS (0.4%)
5,500 USA Detergents, Inc.*............................. $ 223,438
------------
INDUSTRIALS (0.3%)
5,300 DT Industries, Inc................................ 182,850
------------
INSURANCE (1.5%)
4,700 CRA Managed Care, Inc.*........................... 207,975
8,000 Delphi Financial Group, Inc. (Class A)*........... 236,000
3,600 Fremont General Corp.............................. 111,600
6,350 HCC Insurance Holdings, Inc.*..................... 152,400
7,000 Triad Guaranty, Inc............................... 190,750
------------
898,725
------------
MACHINERY (0.4%)
17,600 MagneTek, Inc.*................................... 226,600
------------
MANUFACTURING (0.5%)
8,900 Shelby Williams Industries, Inc................... 109,025
7,100 Waters Corp.*..................................... 215,663
------------
324,688
------------
MEDIA GROUP (0.3%)
7,000 Universal Outdoor Holdings, Inc.*................. 161,000
------------
MEDICAL EQUIPMENT (0.3%)
4,600 Steris Corp.*..................................... 200,100
------------
MEDICAL PRODUCTS & SUPPLIES (2.4%)
16,900 Capstone Pharmacy Services, Inc.*................. 188,013
9,192 ClinTrials Research Inc.*......................... 202,224
13,100 Conmed Corp.*..................................... 262,000
4,170 Dentsply International, Inc....................... 198,075
3,900 Guidant Corp...................................... 222,300
6,000 MiniMed, Inc.*.................................... 189,000
4,200 Safeskin Corp.*................................... 204,750
------------
1,466,362
------------
MEDICAL SERVICES (1.4%)
24,500 Novacare, Inc.*................................... 269,500
3,000 Oxford Health Plans, Inc.*........................ 175,500
14,690 Physician Sales & Service, Inc.*.................. 211,169
7,240 Vivra, Inc.*...................................... 200,005
------------
856,174
------------
METALS & MINING (1.4%)
18,000 Miller Industries, Inc.*.......................... 360,000
6,200 Mueller Industries, Inc.*......................... 238,700
10,000 Olympic Steel, Inc.*.............................. 251,250
------------
849,950
------------
MISCELLANEOUS (0.3%)
4,000 Maxim Integrated Products, Inc.*.................. 173,000
2,300 Viisage Technology, Inc.*......................... 33,063
------------
206,063
------------
</TABLE>
<PAGE>
DEVELOPING GROWTH
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
NATURAL GAS (0.2%)
2,500 Noble Affiliates, Inc............................. $ 119,688
------------
OFFICE EQUIPMENT & SUPPLIES (1.1%)
10,000 American Pad & Paper Co.*......................... 226,250
12,500 Office Depot, Inc.*............................... 221,875
7,900 Viking Office Products, Inc.*..................... 209,350
------------
657,475
------------
OIL & GAS DRILLING (1.2%)
3,800 Helmerich & Payne, Inc............................ 198,075
12,100 Marine Drilling Co., Inc.*........................ 237,463
3,200 Precision Drilling Corp.*......................... 111,200
8,300 Rowan Companies, Inc.*............................ 187,788
------------
734,526
------------
OIL & GAS EXPLORATION (0.2%)
4,000 Basic Petroleum International, Ltd................ 128,500
------------
OIL & GAS PRODUCTS (1.7%)
15,000 Cairn Energy USA, Inc.*........................... 144,375
3,450 Chesapeake Energy Corp.*.......................... 191,906
20,000 Comstock Resources Inc.*.......................... 260,000
17,000 Tesoro Petroleum Corp............................. 238,000
3,600 Triton Energy Ltd.*............................... 174,600
------------
1,008,881
------------
OIL DRILLING & SERVICES (2.5%)
6,700 ENSCO International, Inc.*........................ 324,950
13,080 Global Industries Ltd.*........................... 238,710
11,000 Noble Drilling Corp.*............................. 218,625
4,000 Smith International, Inc.*........................ 179,500
11,000 Stone Energy Corp.*............................... 328,625
3,000 Western Atlas Inc.*............................... 212,625
------------
1,503,035
------------
PHARMACEUTICALS (2.6%)
3,100 Alliance Pharmaceutical Corp.*.................... 41,850
6,440 Biochem Pharma, Inc.*............................. 321,195
6,000 Dura Pharmaceuticals, Inc.*....................... 285,750
5,250 Jones Medical Industries, Inc..................... 190,313
20,490 Neurocrine Bioscience, Inc.*...................... 202,339
11,600 PathoGenesis Corp.*............................... 246,500
8,000 Vertex Pharmaceuticals Inc.*...................... 320,000
------------
1,607,947
------------
POLLUTION CONTROL (0.3%)
6,100 Memtec Ltd. (ADR) (Australia)..................... 196,725
------------
PUBLISHING (0.3%)
10,000 Valassis Communications, Inc.*.................... 211,250
------------
RESTAURANTS (0.7%)
7,800 Lone Star Steakhouse & Saloon, Inc................ 208,650
8,000 Outback Steakhouse, Inc.*......................... 212,000
------------
420,650
------------
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
RETAIL (4.1%)
2,100 Abercrombie & Fitch Co. (Class A)*................ $ 34,650
3,560 Bed, Bath & Beyond, Inc.*......................... 86,330
5,000 Blyth Industries, Inc.*........................... 228,125
6,000 Borders Group, Inc.*.............................. 215,250
4,000 Consolidated Stores Corp.*........................ 128,500
6,500 Dollar Tree Stores, Inc.*......................... 247,000
4,000 Galoob (Lewis) Toys, Inc.*........................ 56,000
2,970 Gucci Group NV (Italy)............................ 189,709
8,500 Marks Bros. Jewelers, Inc.*....................... 97,750
8,300 Men's Wearhouse, Inc. (The)*...................... 200,238
9,300 PetSmart, Inc.*................................... 202,275
9,750 Staples, Inc.*.................................... 175,500
8,000 Stein Mart, Inc.*................................. 158,000
9,750 The Sports Authority, Inc.*....................... 212,063
7,700 Williams-Sonoma Inc.*............................. 278,163
------------
2,509,553
------------
RETAIL - DEPARTMENT STORES (0.5%)
5,700 Meyer (Fred), Inc................................. 202,350
4,600 Neiman-Marcus Group, Inc.......................... 117,300
------------
319,650
------------
RETAIL - FOOD CHAINS (0.3%)
9,000 Dominick's Supermarkets, Inc.*.................... 195,750
1,000 P J America, Inc.*................................ 17,875
------------
213,625
------------
RETAIL - SPECIALTY (2.0%)
4,000 CDW Computer Centers, Inc.*....................... 237,000
9,760 Finish Line, Inc.*................................ 204,960
10,000 Hollywood Entertainment Corp.*.................... 185,000
11,700 Kenneth Cole Productions, Inc. (Class A)*......... 181,350
13,550 Movie Gallery, Inc.*.............................. 176,150
1,400 Stage Stores, Inc.*............................... 24,850
10,000 World Fuel Services Corp.......................... 222,500
------------
1,231,810
------------
RETAIL - SPECIALITY APPAREL (0.4%)
8,400 Loehmann's, Inc.*................................. 191,100
2,950 Saks Holdings, Inc.*.............................. 79,650
------------
270,750
------------
SAVINGS & LOAN ASSOCIATIONS (0.3%)
5,700 Astoria Financial Corp............................ 210,188
------------
SEMICONDUCTORS (0.6%)
15,000 S3 Incorporated*.................................. 243,750
3,800 Triquint Semiconductor, Inc.*..................... 99,275
------------
343,025
------------
</TABLE>
<PAGE>
DEVELOPING GROWTH
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
SHOES (0.6%)
15,290 Stride Rite Corp.................................. $ 152,900
7,650 Wolverine World Wide, Inc......................... 221,850
------------
374,750
------------
SPECIALIZED SERVICES (0.4%)
14,300 National Education Corp.*......................... 218,075
------------
STEEL & IRON (0.3%)
8,000 Gibraltar Steel Corp.*............................ 206,000
------------
TELECOMMUNICATIONS (1.4%)
4,000 Advanced Fibre Communications, Inc.*.............. 222,500
3,120 Globalstar Telecommunications Ltd.* (Bermuda)..... 188,760
7,000 LCI International, Inc.*.......................... 150,500
5,000 MFS Communications Company, Inc.*................. 271,250
1,000 West Teleservices Corporation*.................... 22,250
------------
855,260
------------
TELECOMMUNICATIONS EQUIPMENT (0.3%)
1,200 GeoTel Communications Corp.*...................... 15,000
6,000 Intermedia Communications of Florida, Inc.*....... 153,750
------------
168,750
------------
TEXTILES (0.6%)
8,500 Mohawk Industries, Inc.*.......................... 188,063
6,800 Nautica Enterprises, Inc.*........................ 170,000
------------
358,063
------------
TRANSPORTATION (2.0%)
4,770 Atlas Air, Inc.*.................................. 226,575
9,410 Hub Group, Inc.*.................................. 251,718
6,000 Midwest Express Holdings, Inc.*................... 216,000
14,000 Offshore Logistics, Inc.*......................... 271,250
<CAPTION>
NUMBER OF
SHARES VALUE
- ------------ ------------
<C> <S> <C>
4,500 Pittston Services Group........................... $ 121,500
8,800 Team Rental Group, Inc.*.......................... 140,800
------------
1,227,843
------------
TOTAL COMMON STOCKS (IDENTIFIED COST
$46,009,051).................................... 52,438,859
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN
THOUSANDS)
- ------------
<C> <S> <C>
SHORT-TERM INVESTMENTS (14.1%)
U.S. GOVERNMENT AGENCY (a) (13.1%)
$ 8,000 Federal Home Loan Banks
6.50% due 01/02/97
(Amortized Cost $7,998,556)..................... 7,998,556
------------
REPURCHASE AGREEMENT (1.0%)
594 The Bank of New York 5.375% due 01/02/97 (dated
12/31/96; proceeds $594,185; collateralized by
$200,000 U.S Treasury Bond 11.75% due 2/15/10
valued at $274,531, $132,983 U.S Treasury Bond
10.375% due 11/15/12 valued at $173,052 and
$146,747 U.S Treasury Note 8.00% due 5/15/01
valued at $158,305) (Identified Cost
$594,007)....................................... 594,007
------------
TOTAL SHORT-TERM INVESTMENTS (IDENTIFIED COST
$8,592,563)..................................... 8,592,563
------------
TOTAL INVESTMENTS (IDENTIFIED COST $54,601,614)
(B).............................................. 99.9 % 61,031,422
OTHER ASSETS IN EXCESS OF LIABILITIES............. 0.1 88,576
------ ------------
NET ASSETS........................................ 100.0 % $ 61,119,998
------ ------------
------ ------------
</TABLE>
<TABLE>
<S>
- ----------------
<CAPTION>
ADR
AMERICAN
DEPOSITORY
RECEIPT.
<S>
* 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
$8,653,525 AND THE AGGREGATE GROSS UNREALIZED DEPRECIATION IS
$2,223,717, RESULTING IN NET UNREALIZED APPRECIATION OF
$6,429,808.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ---------------- ------------
<C> <S> <C>
COMMON AND PREFERRED STOCKS, CONVERTIBLE BONDS AND WARRANTS
(93.3%)
ARGENTINA (3.0%)
BANKS
1,689 Banco de Galicia y Buenos Aires S.A. de C.V.
(ADR)........................................... $ 40,747
3,501 Banco Frances del Rio de la Plata S.A. (ADR)...... 96,298
------------
137,045
------------
FOOD, BEVERAGE, TOBACCO & HOUSEHOLD PRODUCTS
2,333 Molinos Rio de la Plata S.A. (Class B)*........... 8,307
------------
MULTI-INDUSTRY
22,990 Perez Companc S.A. (Class B)...................... 161,652
------------
OIL & GAS
1,200 Transportadora de Gas del Sur S.A. (ADR).......... 14,700
3,975 Yacimentos Petroliferos Fiscales S.A. (ADR)....... 100,369
------------
115,069
------------
REAL ESTATE
6,500 Inversiones y Representaciones S.A................ 20,869
------------
STEEL
11,500 Siderca S.A. (Class A)............................ 20,992
------------
TELECOMMUNICATIONS
590 Telecom Argentina Stet - France Telecom S.A.
(ADR)........................................... 23,821
1,300 Telefonica de Argentina S.A. (ADR)................ 33,638
------------
57,459
------------
TOTAL ARGENTINA................................... 521,393
------------
BRAZIL (13.4%)
BANKING
11,690,292 Banco Bradesco S.A. (Pref.)....................... 84,732
60,000 Banco Itau S.A. (Pref.)........................... 25,989
------------
110,721
------------
BREWERY
274,000 Companhia Cervejaria Brahma (Conv. Pref.)*........ 149,805
------------
BUILDING MATERIALS
20,000 Companhia Cimento Portland Itau (Pref.)........... 7,026
------------
ELECTRONIC & ELECTRICAL EQUIPMENT
68,100 Brasmotor S.A. (Pref.)............................ 18,911
------------
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ---------------- ------------
<C> <S> <C>
INVESTMENT COMPANIES
2,700 Brazil Fund, Inc.................................. $ 60,075
------------
METALS & MINING
1,800,000 Companhia Siderurgica Nacional.................... 51,112
6,600 Companhia Vale do Rio Doce S.A. (ADR)............. 127,462
5,000 Companhia Vale do Rio Doce S.A. (Pref.)........... 96,256
------------
274,830
------------
MULTI-INDUSTRY
63,000 Itausa Investimentos Itau S.A. (Pref.)............ 47,300
------------
OIL & GAS
937,000 Petroleo Brasileiro S.A. (Pref.).................. 149,267
------------
PAPER & FOREST PRODUCTS
8,000 Industrias Klabin de Papel e Celulose S.A.
(Pref.)......................................... 7,392
------------
STEEL & IRON
20,000,000 Usinas Siderurgicas de Minas Gerais S.A.
(Pref.)......................................... 20,406
------------
TELECOMMUNICATIONS
10,870 Telecomunicacoes Brasileiras S.A. (ADR)........... 831,555
13,285 Telecomunicacoes de Sao Paulo S.A................. 2,872
310,000 Telecomunicacoes de Sao Paulo S.A. (Pref.)*....... 67,138
------------
901,565
------------
TEXTILES
30,000 Companhia de Tecidos Norte de Minas (Pref.)....... 9,576
------------
UTILITIES - ELECTRIC
10,065 Centrais Electricas Brasileiras S.A. (ADR)........ 179,283
450,000 Centrais Electricas Brasileiras S.A. (Pref.)...... 167,196
5,675 Companhia Energetica de Minas Gerais S.A. (Pref.)
(ADR)*.......................................... 192,595
40,000 Light Participacoes S.A........................... 9,703
------------
548,777
------------
TOTAL BRAZIL...................................... 2,305,651
------------
CHILE (5.1%)
BANKS
2,100 Banco BHIF (ADR)*................................. 34,387
------------
CHEMICALS
2,050 Sociedad Quimica y Minera de Chile S.A. (ADR)..... 110,956
------------
</TABLE>
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ---------------- ------------
<C> <S> <C>
FOOD, BEVERAGE, TOBACCO & HOUSEHOLD PRODUCTS
3,540 Embotelladora Andina S.A. (ADR)................... $ 107,970
2,425 Santa Isabel S.A. (ADR)*.......................... 54,866
------------
162,836
------------
INVESTMENT COMPANIES
2,810 Genesis Chile Fund Ltd............................ 102,214
56,850 The Five Arrows Chile Investment Fund Ltd......... 156,622
------------
258,836
------------
MULTI-INDUSTRY
2,150 Madeco S.A. (ADR)................................. 52,137
------------
TELECOMMUNICATIONS
1,510 Compania de Telecommunicaciones de Chile S.A.
(ADR)........................................... 152,699
------------
UTILITIES - ELECTRIC
540 Chilgener S.A. (ADR).............................. 11,272
3,530 Enersis S.A. (ADR)................................ 97,958
------------
109,230
------------
TOTAL CHILE....................................... 881,081
------------
COLOMBIA (1.0%)
BANKING
8,600 Banco Industrial Colombiano S.A. (ADR)............ 176,300
------------
CZECH REPUBLIC (0.7%)
BANKING
1,000 Komercni Banka AS (GDR)* - 144A**................. 27,250
------------
TELECOMMUNICATIONS
194 SPT Telecom AS*................................... 24,152
------------
TOBACCO
305 Tabak AS.......................................... 76,816
------------
TOTAL CZECH REPUBLIC.............................. 128,218
------------
HONG KONG (5.6%)
COMMERCIAL SERVICES
82,000 Cosco Pacific Ltd................................. 95,423
------------
CONGLOMERATES
45,000 Citic Pacific, Ltd................................ 261,249
274,000 Guangzhou Investments Co., Ltd.................... 131,084
23,000 Hutchison Whampoa, Ltd.*.......................... 180,663
29,000 Shanghai Industrial Holdings, Ltd.*............... 105,741
------------
678,737
------------
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ---------------- ------------
<C> <S> <C>
REAL ESTATE
14,000 Cheung Kong (Holdings) Ltd........................ $ 124,450
10,600 New World Development Co., Ltd.................... 71,612
------------
196,062
------------
TOTAL HONG KONG................................... 970,222
------------
HUNGARY (0.7%)
OIL & GAS
5,000 Mol Magyar Olaj-Es Gazipari R.T. (GDR)* -
144A**.......................................... 61,500
------------
PHARMACEUTICALS
980 Gedeon Richter R.T. (GDR)* - 144A**............... 56,840
------------
TOTAL HUNGARY..................................... 118,340
------------
INDIA (4.1%)
BANKS
10,300 State Bank of India (GDR)*........................ 180,250
------------
BUILDING & CONSTRUCTION
7,800 Larsen & Toubro Ltd. (GDR)........................ 113,100
------------
FINANCIAL SERVICES
5,025 Hindalco Industries Ltd. (GDR)*................... 123,112
------------
INDUSTRIALS
$ 59,000 Mahindra & Mahindra Ltd. - 144A**5.00% due
07/09/01 (Conv.)................................ 61,213
------------
UTILITIES - ELECTRIC
10,700 BSES Ltd. (GDR)................................... 219,350
------------
TOTAL INDIA....................................... 697,025
------------
INDONESIA (4.2%)
BANKING
295,250 PT Bank Internasional Indonesia................... 290,748
------------
FOOD, BEVERAGE, TOBACCO & HOUSEHOLD PRODUCTS
42,000 PT Gudang Garam................................... 181,448
42,000 PT London Sumatra Indonesia*...................... 111,182
------------
292,630
------------
TELECOMMUNICATIONS
80,000 PT Telekomunikasi (ADR)........................... 138,077
------------
TOTAL INDONESIA................................... 721,455
------------
LUXEMBOURG (0.3%)
BANKS
3,000 OTP Bank R.T. (GDR)*.............................. 53,250
------------
MALAYSIA (16.7%)
AUTOMOTIVE
7,000 Edaran Otomobil Nasional Berhad................... 70,000
------------
</TABLE>
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ---------------- ------------
<C> <S> <C>
BANKING
55,000 Commerce Asset Holdings Berhad.................... $ 413,861
79,000 DCB Holdings Berhad............................... 270,634
------------
684,495
------------
CONGLOMERATES
47,000 Gadek Berhad...................................... 377,861
7,000 Gadek Berhad (Warrants due 12/19/00)*............. 26,614
128,000 Hicom Holdings Berhad............................. 367,525
6,500 Hicom Holdings Berhad (Warrants due 12/18/00)*.... 8,341
38,000 United Engineers (Malaysia) Berhad Ltd............ 343,129
------------
1,123,470
------------
ENTERTAINMENT/GAMING & LODGING
21,000 Genting Berhad.................................... 144,713
------------
PUBLISHING
68,000 New Straits Times Press Berhad.................... 393,188
------------
RETAIL
100,000 Larut Consolidated Berhad......................... 140,990
3,000 Prime Utilities Berhad (Warrants due 03/11/01)*... 6,891
------------
147,881
------------
TELECOMMUNICATIONS
36,000 Telekom Malaysia Berhad........................... 320,792
------------
TOTAL MALAYSIA.................................... 2,884,539
------------
MEXICO (11.1%)
BUILDING & CONSTRUCTION
3,380 Empresas ICA Sociedad Controladora S.A. de C.V.
(ADR)*.......................................... 49,432
14,600 Grupo Cementos de Chihuahua S.A. de C.V. (B
Shares)*........................................ 16,924
------------
66,356
------------
BUILDING MATERIALS
11,200 Apasco S.A. de C.V................................ 76,703
44,060 Cemex S.A. de C.V. (B Shares)..................... 172,105
------------
248,808
------------
CONGLOMERATES
11,200 DESC S.A. de C.V. (Series B)...................... 61,078
25,600 Grupo Carso S.A. de C.V. (Series A1)*............. 135,386
45,701 Grupo Industria Alfa S.A. de C.V. (A Shares)...... 211,552
------------
408,016
------------
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ---------------- ------------
<C> <S> <C>
CONSUMER PRODUCTS
9,130 Kimberly-Clark de Mexico S.A. de C.V. (A
Shares)......................................... $ 180,053
------------
FINANCIAL SERVICES
24,424 Grupo Financiero Inbursa S.A. de C.V. (B
Shares)......................................... 83,323
------------
FOOD, BEVERAGE, TOBACCO & HOUSEHOLD PRODUCTS
600 Coca Cola FEMSA S.A. de C.V. (ADR)................ 17,325
3,300 Empresas la Moderna S.A. de C.V. (ADR)............ 65,175
13,900 Fomento Economico Mexicano S.A. de C.V. (B
Shares)......................................... 47,597
11,800 Grupo Industrial Bimbo S.A. de C.V. (Series A).... 68,914
7,400 Grupo Modelo S.A. de C.V. (Series C).............. 42,889
1,400 Panamerican Beverages, Inc. (Class A)............. 65,625
------------
307,525
------------
MEDIA GROUP
3,720 Grupo Televisa S.A. (GDR)*........................ 95,325
------------
RETAIL
108,000 Cifra S.A. de C.V. (C Shares)*.................... 131,490
------------
STEEL & IRON
4,800 Tubos de Acero de Mexico S.A. de C.V. (ADR)*...... 76,200
------------
TELECOMMUNICATIONS
9,700 Telefonos de Mexico S.A. de C.V. (Series L)
(ADR)........................................... 320,100
------------
TOTAL MEXICO...................................... 1,917,196
------------
PERU (2.4%)
BREWERY
61,732 Cerveceria Backus & Johnston S.A.................. 53,238
------------
BUILDING MATERIALS
40,500 Cementos Lima S.A................................. 59,299
------------
FINANCIAL SERVICES
4,182 Credicorp Ltd..................................... 77,367
------------
METALS & MINING
4,376 Compania de Minas Buenaventura S.A. (A Shares).... 31,868
2,260 Compania de Minas Buenaventura S.A. (ADR)*........ 38,137
544 Compania de Minas Buenaventura S.A. (B Shares).... 4,493
------------
74,498
------------
</TABLE>
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ---------------- ------------
<C> <S> <C>
TELECOMMUNICATIONS
4,500 CPT Telefonica del Peru S.A. (ADR)................ $ 84,938
37,500 CPT Telefonica del Peru S.A. (B Shares)........... 69,854
------------
154,792
------------
TOTAL PERU........................................ 419,194
------------
PHILIPPINES (4.1%)
BANKS
43,000 Bank of the Philippine Islands.................... 260,358
------------
FOOD, BEVERAGE, TOBACCO & HOUSEHOLD PRODUCTS
45,900 San Miguel Corp. (Class B)........................ 202,757
------------
UTILITIES - ELECTRIC
29,110 Manila Electric Co. (B Shares).................... 238,334
------------
TOTAL PHILIPPINES................................. 701,449
------------
POLAND (2.5%)
BANKS
3,684 Bank Rozwoju Eksportu S.A......................... 110,515
------------
CONGLOMERATES
12,030 Elektrim Spolka Ackyjna S.A....................... 109,104
------------
INVESTMENT COMPANIES
4,150 Powszechne Swiadectwo Udzialowe................... 206,284
------------
TOTAL POLAND...................................... 425,903
------------
PORTUGAL (1.6%)
BUILDING & CONSTRUCTION
1,300 Sociedade de Construcoes Soares de Costa S.A...... 15,246
------------
BUILDING MATERIALS
2,940 Cimentos de Portugal S.A.......................... 63,274
------------
FOREST PRODUCTS, PAPER & PACKAGING
9,000 Portucel Industrial Empresa S.A................... 52,225
------------
INVESTMENT COMPANIES
2,300 Sonae Investimentos Sociedade Gestora de
Participacoes Sociais S.A....................... 72,811
------------
TELECOMMUNICATIONS
2,550 Portugal Telecom S.A.............................. 72,669
------------
TOTAL PORTUGAL.................................... 276,225
------------
RUSSIA (2.2%)
GAS
2,000 Gazprom (ADR) - 144A**............................ 35,350
------------
TELECOMMUNICATIONS
4 Rostelecom (RDC) - 144A**......................... 93,400
------------
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ---------------- ------------
<C> <S> <C>
OIL & GAS
2,460 Lukoil Holding Co. (ADR) - 144A**................. $ 114,082
1 Megionnefte Gai (RDC) - 144A**.................... 32,000
------------
146,082
------------
UTILITIES - ELECTRIC
3,500 Mosenergo (ADR) - 144A**.......................... 105,875
------------
TOTAL RUSSIA...................................... 380,707
------------
SOUTH KOREA (4.0%)
STEEL & IRON
13,500 Pohang Iron & Steel Co., Ltd. (ADR)............... 273,375
------------
UTILITIES - ELECTRIC
20,600 Korea Electric Power Corp. (ADR).................. 419,725
------------
TOTAL SOUTH KOREA................................. 693,100
------------
TAIWAN (4.5%)
COMPUTERS
14,000 Acer Inc. (GDR)................................... 127,400
------------
ELECTRONIC & ELECTRICAL EQUIPMENT
$ 60,000 United Microelectronics Corp., Ltd. - 144A** 1.25%
due 06/08/04 (Conv.)............................ 84,000
------------
INDUSTRIALS
$ 30,000 Far Eastern Department Stores 3.00% due 07/06/01
(Conv.)......................................... 31,575
------------
INVESTMENT COMPANIES
25,400 ROC Taiwan Fund................................... 260,350
12,100 The Taiwan Index Fund Ltd......................... 151,250
------------
411,600
------------
STEEL & IRON
6,027 China Steel Corp. (GDS)........................... 117,527
------------
TOTAL TAIWAN...................................... 772,102
------------
THAILAND (2.2%)
BANKING
14,000 Bangkok Bank PCL.................................. 135,376
------------
OIL RELATED
16,200 PTT Exploration & Production PCL.................. 233,712
------------
TOTAL THAILAND.................................... 369,088
------------
TURKEY (2.8%)
BANKING
3,082,000 Turkiye Garanti Bankasi A.S....................... 139,444
------------
FINANCIAL SERVICES
2,340,000 Aksigorta......................................... 69,141
------------
HOUSEHOLD APPLIANCES
710,000 Arcelik A.S....................................... 72,115
------------
</TABLE>
<PAGE>
EMERGING MARKETS
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ---------------- ------------
<C> <S> <C>
INDUSTRIALS
220,000 Kordsa Kord Bezi Sanayi Ve Ticaret A.S............ $ 88,366
------------
RETAIL
82,000 Migros Turk T.A.S................................. 100,323
------------
TELECOMMUNICATIONS
31,000 Netas Northern Elektrik Telekomunik A.S........... 7,013
------------
TOTAL TURKEY...................................... 476,402
------------
VENEZUELA (1.0%)
TELECOMMUNICATIONS
6,300 Compania Anonima Nacional Telefonos de Venezuela
(ADR)*.......................................... 177,188
------------
<CAPTION>
SHARES/PRINCIPAL
AMOUNT VALUE
- ---------------- ------------
<C> <S> <C>
VIETNAM (0.1%)
INVESTMENT COMPANIES
1,800 Lazard Vietnam Fund Ltd........................... $ 15,750
------------
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL COMMON AND PREFERRED STOCKS, CONVERTIBLE BONDS
AND WARRANTS (IDENTIFIED COST $14,712,682) (a)...... 93.3 % 16,081,778
CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES........ 6.7 1,158,413
------ ------------
NET ASSETS............................................ 100.0 % $ 17,240,191
------ ------------
------ ------------
- --------------------
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
$1,860,302 AND THE AGGREGATE GROSS UNREALIZED DEPRECIATION IS
$491,206, RESULTING IN NET UNREALIZED APPRECIATION OF
$1,369,096.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
EMERGING MARKETS
SUMMARY OF INVESTMENTS DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT OF
INDUSTRY VALUE NET ASSETS
- -------------------------------------------------- ------------ ------------
<S> <C> <C>
Automotive........................................ $ 70,000 0.4 %
Banking........................................... 1,564,334 9.1
Banks............................................. 775,805 4.5
Brewery........................................... 203,043 1.2
Building & Construction........................... 194,702 1.1
Building Materials................................ 378,407 2.2
Chemicals......................................... 110,956 0.6
Commercial Services............................... 95,423 0.6
Computers......................................... 127,400 0.8
Conglomerates..................................... 2,319,327 13.5
Consumer Products................................. 180,053 1.1
Electronic & Electrical Equipment................. 102,911 0.6
Entertainment/Gaming & Lodging.................... 144,713 0.8
Financial Services................................ 352,943 2.0
Food, Beverage, Tobacco & Household Products...... 974,055 5.7
Forest Products, Paper & Packaging................ 52,225 0.3
Gas............................................... 35,350 0.2
Household Appliances.............................. 72,115 0.4
<CAPTION>
PERCENT OF
INDUSTRY VALUE NET ASSETS
- -------------------------------------------------- ------------ ------------
<S> <C> <C>
Industrials....................................... $ 181,154 1.1 %
Investment Companies.............................. 1,025,356 5.9
Media Group....................................... 95,325 0.6
Metals & Mining................................... 349,328 2.0
Multi-Industry.................................... 261,089 1.5
Oil & Gas......................................... 471,918 2.7
Oil Related....................................... 233,712 1.4
Paper & Forest Products........................... 7,392 0.0
Pharmaceuticals................................... 56,840 0.3
Publishing........................................ 393,188 2.3
Real Estate....................................... 216,931 1.3
Retail............................................ 379,694 2.2
Steel............................................. 20,992 0.1
Steel & Iron...................................... 487,508 2.8
Telecommunications................................ 2,419,906 14.0
Textiles.......................................... 9,576 0.1
Tobacco........................................... 76,816 0.4
Utilities - Electric.............................. 1,641,291 9.5
------------ ---
$ 16,081,778 93.3 %
------------ ---
------------ ---
</TABLE>
- ----------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT OF
TYPE OF INVESTMENT VALUE NET ASSETS
- -------------------------------------------------- ------------ ------------
<S> <C> <C>
Convertible Preferred Stocks...................... $ 149,805 0.9 %
Convertible Bonds................................. 176,788 1.0
Common Stocks..................................... 14,819,556 86.0
Preferred Stocks.................................. 893,784 5.2
Warrants.......................................... 41,845 0.2
------------ ---
$ 16,081,778 93.3 %
------------ ---
------------ ---
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NORTH
AMERICAN
GOVERNMENT DIVERSIFIED
MONEY MARKET SECURITIES INCOME BALANCED
------------ ------------ -------------- ------------
<S> <C> <C> <C> <C>
ASSETS:
Investments in securities, at
value *..................... $ 87,453,698 $ 4,373,398 $ 30,218,484 $ 38,720,829
Cash.......................... 22,283 37,270 420,440** 11,137
Receivable for:
Investments sold............ -- -- -- --
Shares of beneficial
interest sold............. -- -- 798,988 11,383
Dividends................... -- -- -- 23,090
Dividends from affiliate.... -- -- -- --
Interest.................... 59,798 24,018 565,137 157,299
Foreign withholding taxes
reclaimed................. -- -- 2,522 --
Compensated forward foreign
currency contracts........ -- -- 57,261 --
Unrealized appreciation on
open forward foreign
currency contracts.......... -- -- 81,389 --
Prepaid expenses and other
assets...................... 2,176 669 1,511 2,833
Deferred organizational
expenses.................... 4,614 4,586 4,586 4,586
Receivable from affiliate..... -- 4,259 -- --
------------ ------------ -------------- ------------
TOTAL ASSETS........ 87,542,569 4,444,200 32,150,318 38,931,157
------------ ------------ -------------- ------------
LIABILITIES:
Payable for:
Investments purchased....... -- 256,035 -- --
Shares of beneficial
interest repurchased...... 483,550 1,065 98 --
Investment management
fees...................... 35,577 -- 205 19,599
Unrealized depreciation on
open forward foreign
currency contracts.......... -- -- 8,166 --
Accrued expenses and other
payables.................... 21,753 15,392 22,651 18,530
------------ ------------ -------------- ------------
TOTAL LIABILITIES... 540,880 272,492 31,120 38,129
------------ ------------ -------------- ------------
NET ASSETS:
Paid-in-capital............... 87,001,651 4,166,192 31,709,294 35,339,284
Accumulated undistributed net
investment income........... 38 19,273 325,346 91,307
Accumulated undistributed net
realized gain
(accumulated net realized
loss)....................... -- (9,080) 132,508 136,021
Net unrealized appreciation
(depreciation).............. -- (4,677) (47,950) 3,326,416
------------ ------------ -------------- ------------
NET ASSETS.......... $ 87,001,689 $ 4,171,708 $ 32,119,198 $ 38,893,028
------------ ------------ -------------- ------------
------------ ------------ -------------- ------------
*IDENTIFIED COST.............. $ 87,453,698 $ 4,378,075 $ 30,339,773 $ 35,394,413
------------ ------------ -------------- ------------
------------ ------------ -------------- ------------
SHARES OF BENEFICIAL INTEREST
OUTSTANDING................. 87,001,651 413,653 3,111,428 2,975,352
------------ ------------ -------------- ------------
------------ ------------ -------------- ------------
NET ASSET VALUE PER
SHARE (unlimited authorized
shares of $.01 par value)... $1.00 $10.09 $10.32 $13.07
------------ ------------ -------------- ------------
------------ ------------ -------------- ------------
- ----------------
** Includes foreign cash of $135,368.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DIVIDEND VALUE-ADDED AMERICAN GLOBAL DEVELOPING
UTILITIES GROWTH MARKET CORE EQUITY VALUE EQUITY GROWTH
------------ ------------- ------------ ----------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments in securities, at
value *..................... $ 36,360,590 $ 257,718,932 $ 76,160,232 $18,438,423 $121,173,681 $ 59,948,928 $ 61,031,422
Cash.......................... -- -- -- 258 -- -- --
Receivable for:
Investments sold............ -- 201,218 689,505 -- 591,258 -- 408,730
Shares of beneficial
interest sold............. 10,049 166,575 63,202 15,009 47,964 46,338 1,856
Dividends................... 81,286 642,210 107,242 15,490 48,660 37,959 5,187
Dividends from affiliate.... -- -- 451 -- -- -- --
Interest.................... 13,115 761 44 82 740 334 89
Foreign withholding taxes
reclaimed................. 1,852 -- 105 -- 802 11,052 --
Compensated forward foreign
currency contracts........ -- -- -- -- -- -- --
Unrealized appreciation on
open forward foreign
currency contracts.......... -- -- -- -- -- 4,816 --
Prepaid expenses and other
assets...................... 1,758 9,181 4,176 697 4,037 1,192 3,892
Deferred organizational
expenses.................... 4,586 4,586 4,586 4,586 4,586 4,586 4,586
Receivable from affiliate..... -- -- -- -- -- -- --
------------ ------------- ------------ ----------- ------------ ------------ ------------
TOTAL ASSETS........ 36,473,236 258,743,463 77,029,543 18,474,545 121,871,728 60,055,205 61,455,762
------------ ------------- ------------ ----------- ------------ ------------ ------------
LIABILITIES:
Payable for:
Investments purchased....... -- 475,050 3,456,752 237,971 880,072 730,460 284,243
Shares of beneficial
interest repurchased...... 761,590 -- -- 53 -- -- 168
Investment management
fees...................... 6,902 139,342 31,732 4,531 65,150 50,248 26,190
Unrealized depreciation on
open forward foreign
currency contracts.......... -- -- -- -- -- -- --
Accrued expenses and other
payables.................... 18,661 28,204 24,579 17,179 22,675 28,097 25,163
------------ ------------- ------------ ----------- ------------ ------------ ------------
TOTAL LIABILITIES... 787,153 642,596 3,513,063 259,734 967,897 808,805 335,764
------------ ------------- ------------ ----------- ------------ ------------ ------------
NET ASSETS:
Paid-in-capital............... 32,891,040 221,928,063 65,322,059 16,327,183 108,576,771 55,323,505 56,684,825
Accumulated undistributed net
investment income........... 100,389 503,590 103,153 12,380 25,801 10,246 --
Accumulated undistributed net
realized gain
(accumulated net realized
loss)....................... (34,414) 13,578,447 214,734 91,577 2,972,698 (738,555) (1,994,635)
Net unrealized appreciation
(depreciation).............. 2,729,068 22,090,767 7,876,534 1,783,671 9,328,561 4,651,204 6,429,808
------------ ------------- ------------ ----------- ------------ ------------ ------------
NET ASSETS.......... $ 35,686,083 $ 258,100,867 $ 73,516,480 $18,214,811 $120,903,831 $ 59,246,400 $ 61,119,998
------------ ------------- ------------ ----------- ------------ ------------ ------------
------------ ------------- ------------ ----------- ------------ ------------ ------------
*IDENTIFIED COST.............. $ 33,631,522 $ 235,628,165 $ 68,283,698 $16,654,752 $111,845,120 $ 55,298,450 $ 54,601,614
------------ ------------- ------------ ----------- ------------ ------------ ------------
------------ ------------- ------------ ----------- ------------ ------------ ------------
SHARES OF BENEFICIAL INTEREST
OUTSTANDING................. 2,757,570 15,692,762 5,190,715 1,344,734 7,900,740 4,911,691 3,620,377
------------ ------------- ------------ ----------- ------------ ------------ ------------
------------ ------------- ------------ ----------- ------------ ------------ ------------
NET ASSET VALUE PER
SHARE (unlimited authorized
shares of $.01 par value)... $12.94 $16.45 $14.16 $13.55 $15.30 $12.06 $16.88
------------ ------------- ------------ ----------- ------------ ------------ ------------
------------ ------------- ------------ ----------- ------------ ------------ ------------
<CAPTION>
EMERGING
MARKETS
------------
<S> <C>
ASSETS:
Investments in securities, at
value *..................... $ 16,081,778
Cash.......................... 1,286,040
Receivable for:
Investments sold............ 32,955
Shares of beneficial
interest sold............. 2,974
Dividends................... 22,149
Dividends from affiliate.... --
Interest.................... 2,315
Foreign withholding taxes
reclaimed................. --
Compensated forward foreign
currency contracts........ --
Unrealized appreciation on
open forward foreign
currency contracts.......... --
Prepaid expenses and other
assets...................... 823
Deferred organizational
expenses.................... 4,586
Receivable from affiliate..... 11,665
------------
TOTAL ASSETS........ 17,445,285
------------
LIABILITIES:
Payable for:
Investments purchased....... 168,237
Shares of beneficial
interest repurchased...... 51
Investment management
fees...................... --
Unrealized depreciation on
open forward foreign
currency contracts.......... --
Accrued expenses and other
payables.................... 36,806
------------
TOTAL LIABILITIES... 205,094
------------
NET ASSETS:
Paid-in-capital............... 16,146,149
Accumulated undistributed net
investment income........... 18,607
Accumulated undistributed net
realized gain
(accumulated net realized
loss)....................... (293,466)
Net unrealized appreciation
(depreciation).............. 1,368,901
------------
NET ASSETS.......... $ 17,240,191
------------
------------
*IDENTIFIED COST.............. $ 14,712,682
------------
------------
SHARES OF BENEFICIAL INTEREST
OUTSTANDING................. 1,539,182
------------
------------
NET ASSET VALUE PER
SHARE (unlimited authorized
shares of $.01 par value)... $11.20
------------
------------
</TABLE>
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NORTH
AMERICAN
MONEY GOVERNMENT DIVERSIFIED
MARKET SECURITIES INCOME BALANCED
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
INCOME
Interest................... $ 3,300,148 $ 173,256 $ 1,728,770* $ 629,967
Dividends from
affiliates............... -- -- -- --
Dividends.................. -- -- -- 233,582*
----------- ----------- ----------- -----------
TOTAL INCOME........ 3,300,148 173,256 1,728,770 863,549
----------- ----------- ----------- -----------
EXPENSES
Investment management
fee...................... 300,043 18,765 77,064 199,407
Transfer agent fees and
expenses................. 917 917 917 917
Shareholder reports and
notices.................. 16,605 342 4,252 7,143
S&P license fees........... -- -- -- --
Professional fees.......... 15,495 16,904 16,888 15,854
Trustees' fees and
expenses................. 2,493 -- 539 542
Custodian fees............. 12,873 1,862 28,910 11,205
Organizational expenses.... 1,583 1,610 1,610 1,610
Other...................... 854 1,480 6,308 2,140
----------- ----------- ----------- -----------
TOTAL EXPENSES...... 350,863 41,880 136,488 238,818
LESS: AMOUNTS
REIMBURSED/WAIVED....... (11,717) (27,395) (40,158) (108,046)
----------- ----------- ----------- -----------
NET EXPENSES........ 339,146 14,485 96,330 130,772
----------- ----------- ----------- -----------
NET INVESTMENT
INCOME......... 2,961,002 158,771 1,632,440 732,777
----------- ----------- ----------- -----------
NET REALIZED AND UNREALIZED
GAIN (LOSS):
Net realized gain (loss)
on:
Investments.............. -- (8,538) 133,672 165,198
Foreign exchange
transactions........... -- -- 89,008 --
----------- ----------- ----------- -----------
NET GAIN (LOSS)..... -- (8,538) 222,680 165,198
----------- ----------- ----------- -----------
Net change in unrealized
appreciation/depreciation
on:
Investments............. -- (11,739) (161,969) 2,556,189
Translation of forward
foreign currency
contracts, other
assets and liabilities
denominated in foreign
currencies............ -- -- 76,279 --
----------- ----------- ----------- -----------
NET APPRECIATION
(DEPRECIATION).... -- (11,739) (85,690) 2,556,189
----------- ----------- ----------- -----------
NET GAIN (LOSS)..... -- (20,277) 136,990 2,721,387
----------- ----------- ----------- -----------
NET INCREASE...... $ 2,961,002 $ 138,494 $ 1,769,430 $ 3,454,164
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
- ----------------
* Net of foreign withholding tax of $14,617, $106, $20,416, $2,954, $777,
$2,724, $42,570, $329 and $19,523, respectively.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DIVIDEND VALUE-ADDED CORE AMERICAN GLOBAL DEVELOPING EMERGING
UTILITIES GROWTH MARKET EQUITY VALUE EQUITY GROWTH MARKETS
--------- ----------- --------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
INCOME
Interest................... $ 171,347 $ 227,817 $ 176,387 $ 22,851 $ 383,053 $ 252,165 $ 208,368 $ 66,716
Dividends from
affiliates............... -- -- 1,474 -- -- -- -- --
Dividends.................. 952,484* 4,832,574 924,001* 88,674* 582,390* 492,343* 43,302* 152,587*
--------- ----------- --------- --------- --------- --------- --------- ---------
TOTAL INCOME........ 1,123,831 5,060,391 1,101,862 111,525 965,443 744,508 251,670 219,303
--------- ----------- --------- --------- --------- --------- --------- ---------
EXPENSES
Investment management
fee...................... 184,447 1,015,687 236,115 79,428 490,484 383,855 197,326 142,475
Transfer agent fees and
expenses................. 917 917 917 917 917 917 917 917
Shareholder reports and
notices.................. 6,524 30,661 9,521 2,169 17,388 9,057 8,049 4,914
S&P license fees........... -- -- 10,032 -- -- -- -- --
Professional fees.......... 16,061 18,674 16,068 16,467 16,516 17,878 16,553 17,482
Trustees' fees and
expenses................. 936 3,783 1,379 95 2,068 976 1,095 119
Custodian fees............. 14,307 15,057 28,169 12,712 24,858 52,200 43,030 61,377
Organizational expenses.... 1,610 1,610 1,610 1,610 1,610 1,610 1,610 1,610
Other...................... 1,850 729 704 685 1,570 13,900 722 1,482
--------- ----------- --------- --------- --------- --------- --------- ---------
TOTAL EXPENSES...... 226,652 1,087,118 304,515 114,083 555,411 480,393 269,302 230,376
LESS: AMOUNTS
REIMBURSED/WAIVED....... (84,769) -- (39,503) (68,743) (16,539) (204,845) (41,344) (173,194)
--------- ----------- --------- --------- --------- --------- --------- ---------
NET EXPENSES........ 141,883 1,087,118 265,012 45,340 538,872 275,548 227,958 57,182
--------- ----------- --------- --------- --------- --------- --------- ---------
NET INVESTMENT
INCOME......... 981,948 3,973,273 836,850 66,185 426,571 468,960 23,712 162,121
--------- ----------- --------- --------- --------- --------- --------- ---------
NET REALIZED AND UNREALIZED
GAIN (LOSS):
Net realized gain (loss)
on:
Investments.............. (34,414) 13,581,202 214,733 92,662 3,030,863 (693,720) (1,972,014) (213,045)
Foreign exchange
transactions........... -- -- -- -- (42) 1,102 -- (3,374)
--------- ----------- --------- --------- --------- --------- --------- ---------
NET GAIN (LOSS)..... (34,414) 13,581,202 214,733 92,662 3,030,821 (692,618) (1,972,014) (216,419)
--------- ----------- --------- --------- --------- --------- --------- ---------
Net change in unrealized
appreciation/depreciation
on:
Investments............. 1,420,438 15,794,035 6,697,183 1,698,937 6,446,354 4,064,928 4,927,547 1,352,740
Translation of forward
foreign currency
contracts, other
assets and liabilities
denominated in foreign
currencies............ -- -- -- -- -- 773 -- 377
--------- ----------- --------- --------- --------- --------- --------- ---------
NET APPRECIATION
(DEPRECIATION).... 1,420,438 15,794,035 6,697,183 1,698,937 6,446,354 4,065,701 4,927,547 1,353,117
--------- ----------- --------- --------- --------- --------- --------- ---------
NET GAIN (LOSS)..... 1,386,024 29,375,237 6,911,916 1,791,599 9,477,175 3,373,083 2,955,533 1,136,698
--------- ----------- --------- --------- --------- --------- --------- ---------
NET INCREASE...... $2,367,972 $33,348,510 $7,748,766 $1,857,784 $9,903,746 $3,842,043 $2,979,245 $1,298,819
--------- ----------- --------- --------- --------- --------- --------- ---------
--------- ----------- --------- --------- --------- --------- --------- ---------
</TABLE>
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
STATEMENTS OF CHANGES IN NET ASSETS
- ----------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31
<TABLE>
<CAPTION>
NORTH AMERICAN GOVERNMENT
MONEY MARKET SECURITIES
--------------------------- ---------------------------
1996 1995 1996 1995
------------- ------------ ------------- ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS:
Operations:
Net investment income..... $ 2,961,002 $ 882,216 $ 158,771 $ 32,639
Net realized gain
(loss).................. -- -- (8,538) (542)
Net change in unrealized
appreciation/depreciation... -- -- (11,739) 7,062
------------- ------------ ------------- ------------
Net increase.......... 2,961,002 882,216 138,494 39,159
------------- ------------ ------------- ------------
Dividends and distributions
from:
Net investment income..... (2,960,990) (882,190) (144,983) (27,649)
Net realized gain......... -- -- -- --
------------- ------------ ------------- ------------
Total................. (2,960,990) (882,190) (144,983) (27,649)
------------- ------------ ------------- ------------
Transactions in shares of
beneficial interest:
Net proceeds from sales... 78,840,405 48,812,289 3,289,914 1,470,457
Reinvestment of dividends
and distributions....... 2,960,989 882,190 144,983 27,649
Cost of shares
repurchased............. (36,888,754) (8,839,415) (544,380) (344,429)
------------- ------------ ------------- ------------
Net increase.......... 44,912,640 40,855,064 2,890,517 1,153,677
------------- ------------ ------------- ------------
Total increase........ 44,912,652 40,855,090 2,884,028 1,165,187
NET ASSETS:
Beginning of period.......... 42,089,037 1,233,947 1,287,680 122,493
------------- ------------ ------------- ------------
END OF PERIOD............... $ 87,001,689 $ 42,089,037 $ 4,171,708 $ 1,287,680
------------- ------------ ------------- ------------
------------- ------------ ------------- ------------
Undistributed net investment
income...................... $ 38 $ 26 $ 19,273 $ 5,485
------------- ------------ ------------- ------------
------------- ------------ ------------- ------------
SHARES ISSUED AND REPURCHASED:
Sold......................... 78,840,405 48,812,289 326,740 145,744
Issued in reinvestment of
dividends and
distributions.............. 2,960,989 882,190 14,475 2,744
Repurchased.................. (36,888,754) (8,839,415) (54,111) (34,139)
------------- ------------ ------------- ------------
Net increase................ 44,912,640 40,855,064 287,104 114,349
------------- ------------ ------------- ------------
------------- ------------ ------------- ------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
- ----------------------------------------------------------------
<TABLE>
<CAPTION>
DIVERSIFIED INCOME BALANCED UTILITIES
------------------------- -------------------------- --------------------------
1996 1995 1996 1995 1996 1995
------------ ----------- ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS:
Operations:
Net investment income..... $ 1,632,440 $ 230,744 $ 732,777 $ 233,569 $ 981,948 $ 236,601
Net realized gain
(loss).................. 222,680 22,350 165,198 112,736 (34,414) 20,650
Net change in unrealized
appreciation/depreciation... (85,690) 37,740 2,556,189 770,654 1,420,438 1,308,922
------------ ----------- ------------ ------------ ------------ ------------
Net increase.......... 1,769,430 290,834 3,454,164 1,116,959 2,367,972 1,566,173
------------ ----------- ------------ ------------ ------------ ------------
Dividends and distributions
from:
Net investment income..... (1,475,700) (155,118) (689,333) (188,705) (940,692) (179,128)
Net realized gain......... (20,718) -- (141,913) -- (20,650) --
------------ ----------- ------------ ------------ ------------ ------------
Total................. (1,496,418) (155,118) (831,246) (188,705) (961,342) (179,128)
------------ ----------- ------------ ------------ ------------ ------------
Transactions in shares of
beneficial interest:
Net proceeds from sales... 27,898,560 10,018,159 28,026,839 15,835,264 23,406,556 17,486,045
Reinvestment of dividends
and distributions....... 1,496,418 155,118 831,246 188,705 961,342 179,128
Cost of shares
repurchased............. (6,520,785) (1,739,300) (8,899,367) (1,436,358) (8,047,676) (1,590,907)
------------ ----------- ------------ ------------ ------------ ------------
Net increase.......... 22,874,193 8,433,977 19,958,718 14,587,611 16,320,222 16,074,266
------------ ----------- ------------ ------------ ------------ ------------
Total increase........ 23,147,205 8,569,693 22,581,636 15,515,865 17,726,852 17,461,311
NET ASSETS:
Beginning of period.......... 8,971,993 402,300 16,311,392 795,527 17,959,231 497,920
------------ ----------- ------------ ------------ ------------ ------------
END OF PERIOD............... $ 32,119,198 $ 8,971,993 $ 38,893,028 $ 16,311,392 $ 35,686,083 $ 17,959,231
------------ ----------- ------------ ------------ ------------ ------------
------------ ----------- ------------ ------------ ------------ ------------
Undistributed net investment
income...................... $ 325,346 $ 80,298 $ 91,307 $ 47,863 $ 100,389 $ 59,133
------------ ----------- ------------ ------------ ------------ ------------
------------ ----------- ------------ ------------ ------------ ------------
SHARES ISSUED AND REPURCHASED:
Sold......................... 2,726,316 994,906 2,258,138 1,408,020 1,865,091 1,534,125
Issued in reinvestment of
dividends and
distributions.............. 146,667 15,447 66,953 16,807 76,796 15,750
Repurchased.................. (639,097) (172,845) (721,662) (132,149) (638,597) (145,179)
------------ ----------- ------------ ------------ ------------ ------------
Net increase................ 2,233,886 837,508 1,603,429 1,292,678 1,303,290 1,404,696
------------ ----------- ------------ ------------ ------------ ------------
------------ ----------- ------------ ------------ ------------ ------------
<CAPTION>
DIVIDEND GROWTH
---------------------------
1996 1995
------------- ------------
<S> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS:
Operations:
Net investment income..... $ 3,973,273 $ 836,265
Net realized gain
(loss).................. 13,581,202 178,778
Net change in unrealized
appreciation/depreciation... 15,794,035 6,295,338
------------- ------------
Net increase.......... 33,348,510 7,310,381
------------- ------------
Dividends and distributions
from:
Net investment income..... (3,704,044) (606,921)
Net realized gain......... (181,533) --
------------- ------------
Total................. (3,885,577) (606,921)
------------- ------------
Transactions in shares of
beneficial interest:
Net proceeds from sales... 152,508,539 71,950,119
Reinvestment of dividends
and distributions....... 3,885,577 606,921
Cost of shares
repurchased............. (6,450,410) (1,943,986)
------------- ------------
Net increase.......... 149,943,706 70,613,054
------------- ------------
Total increase........ 179,406,639 77,316,514
NET ASSETS:
Beginning of period.......... 78,694,228 1,377,714
------------- ------------
END OF PERIOD............... $ 258,100,867 $ 78,694,228
------------- ------------
------------- ------------
Undistributed net investment
income...................... $ 503,590 $ 234,361
------------- ------------
------------- ------------
SHARES ISSUED AND REPURCHASED:
Sold......................... 10,022,691 5,787,107
Issued in reinvestment of
dividends and
distributions.............. 254,031 48,577
Repurchased.................. (394,437) (163,343)
------------- ------------
Net increase................ 9,882,285 5,672,341
------------- ------------
------------- ------------
</TABLE>
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
FOR THE YEAR ENDED DECEMBER 31
<TABLE>
<CAPTION>
VALUE-ADDED MARKET CORE EQUITY
------------------------- ----------------------
1996 1995 1996 1995
----------- ------------ ---------- ----------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS:
Operations:
Net investment income..... $ 836,850 $ 218,803 $ 66,185 $ 28,578
Net realized gain
(loss).................. 214,733 24,656 92,662 25,262
Net change in unrealized
appreciation/depreciation... 6,697,183 1,177,215 1,698,937 84,734
----------- ------------ ---------- ----------
Net increase
(decrease).......... 7,748,766 1,420,674 1,857,784 138,574
----------- ------------ ---------- ----------
Dividends and distributions
from:
Net investment income..... (781,217) (172,075) (56,282) (27,202)
Net realized gain......... (24,655) -- (26,347) --
Paid-in-capital........... -- -- -- --
----------- ------------ ---------- ----------
Total................. (805,872) (172,075) (82,629) (27,202)
----------- ------------ ---------- ----------
Transactions in shares of
beneficial interest:
Net proceeds from sales... 42,917,521 23,041,372 15,980,007 3,676,375
Reinvestment of dividends
and distributions....... 805,872 172,075 82,629 27,202
Cost of shares
repurchased............. (1,119,434) (841,114) (3,579,392) (174,491)
----------- ------------ ---------- ----------
Net increase.......... 42,603,959 22,372,333 12,483,244 3,529,086
----------- ------------ ---------- ----------
Total increase........ 49,546,853 23,620,932 14,258,399 3,640,458
NET ASSETS:
Beginning of period.......... 23,969,627 348,695 3,956,412 315,954
----------- ------------ ---------- ----------
END OF PERIOD............... $73,516,480 $ 23,969,627 $18,214,811 $3,956,412
----------- ------------ ---------- ----------
----------- ------------ ---------- ----------
Undistributed net investment
income...................... $ 103,153 $ 47,520 $ 12,380 $ 2,477
----------- ------------ ---------- ----------
----------- ------------ ---------- ----------
SHARES ISSUED AND REPURCHASED:
Sold......................... 3,257,040 1,981,323 1,265,283 339,322
Issued in reinvestment of
dividends and
distributions.............. 60,960 14,750 6,625 2,604
Repurchased.................. (85,436) (73,159) (284,554) (15,991)
----------- ------------ ---------- ----------
Net increase................ 3,232,564 1,922,914 987,354 325,935
----------- ------------ ---------- ----------
----------- ------------ ---------- ----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
- ----------------------------------------------------------------
<TABLE>
<CAPTION>
AMERICAN VALUE GLOBAL EQUITY DEVELOPING GROWTH
-------------------------- -------------------------- --------------------------
1996 1995 1996 1995 1996 1995
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS:
Operations:
Net investment income..... $ 426,571 $ 219,613 $ 468,960 $ 163,567 $ 23,712 $ 101,922
Net realized gain
(loss).................. 3,030,821 313,562 (692,618) (2,717) (1,972,014) 18,572
Net change in unrealized
appreciation/depreciation... 6,446,354 2,867,922 4,065,701 586,787 4,927,547 1,499,356
------------ ------------ ------------ ------------ ------------ ------------
Net increase
(decrease).......... 9,903,746 3,401,097 3,842,043 747,637 2,979,245 1,619,850
------------ ------------ ------------ ------------ ------------ ------------
Dividends and distributions
from:
Net investment income..... (466,925) (155,569) (488,553) (137,860) (44,381) (82,425)
Net realized gain......... (368,284) -- (42,086) -- (41,144) --
Paid-in-capital........... -- -- -- -- (12,078) --
------------ ------------ ------------ ------------ ------------ ------------
Total................. (835,209) (155,569) (530,639) (137,860) (97,603) (82,425)
------------ ------------ ------------ ------------ ------------ ------------
Transactions in shares of
beneficial interest:
Net proceeds from sales... 79,809,158 34,805,828 46,445,852 16,594,816 53,395,835 18,068,892
Reinvestment of dividends
and distributions....... 835,209 155,569 530,639 137,860 97,603 82,425
Cost of shares
repurchased............. (7,043,859) (794,842) (8,115,798) (1,462,568) (12,666,934) (2,657,067)
------------ ------------ ------------ ------------ ------------ ------------
Net increase.......... 73,600,508 34,166,555 38,860,693 15,270,108 40,826,504 15,494,250
------------ ------------ ------------ ------------ ------------ ------------
Total increase........ 82,669,045 37,412,083 42,172,097 15,879,885 43,708,146 17,031,675
NET ASSETS:
Beginning of period.......... 38,234,786 822,703 17,074,303 1,194,418 17,411,852 380,177
------------ ------------ ------------ ------------ ------------ ------------
END OF PERIOD............... $120,903,831 $ 38,234,786 $ 59,246,400 $ 17,074,303 $ 61,119,998 $ 17,411,852
------------ ------------ ------------ ------------ ------------ ------------
------------ ------------ ------------ ------------ ------------ ------------
Undistributed net investment
income...................... $ 25,801 $ 66,197 $ 10,246 $ 28,778 -- $ 20,669
------------ ------------ ------------ ------------ ------------ ------------
------------ ------------ ------------ ------------ ------------ ------------
SHARES ISSUED AND REPURCHASED:
Sold......................... 5,549,567 2,757,922 4,014,156 1,558,946 3,224,490 1,316,995
Issued in reinvestment of
dividends and
distributions.............. 58,182 12,349 45,738 13,086 6,038 5,995
Repurchased.................. (494,896) (64,214) (702,081) (138,315) (770,797) (199,866)
------------ ------------ ------------ ------------ ------------ ------------
Net increase................ 5,112,853 2,706,057 3,357,813 1,433,717 2,459,731 1,123,124
------------ ------------ ------------ ------------ ------------ ------------
------------ ------------ ------------ ------------ ------------ ------------
<CAPTION>
EMERGING MARKETS
-------------------------
1996 1995
------------ -----------
<S> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS:
Operations:
Net investment income..... $ 162,121 $ 45,935
Net realized gain
(loss).................. (216,419) (79,386)
Net change in unrealized
appreciation/depreciation... 1,353,117 15,784
------------ -----------
Net increase
(decrease).......... 1,298,819 (17,667)
------------ -----------
Dividends and distributions
from:
Net investment income..... (149,041) (39,505)
Net realized gain......... -- --
Paid-in-capital........... -- --
------------ -----------
Total................. (149,041) (39,505)
------------ -----------
Transactions in shares of
beneficial interest:
Net proceeds from sales... 13,447,515 3,782,735
Reinvestment of dividends
and distributions....... 149,041 39,505
Cost of shares
repurchased............. (1,598,361) (120,566)
------------ -----------
Net increase.......... 11,998,195 3,701,674
------------ -----------
Total increase........ 13,147,973 3,644,502
NET ASSETS:
Beginning of period.......... 4,092,218 447,716
------------ -----------
END OF PERIOD............... $ 17,240,191 $ 4,092,218
------------ -----------
------------ -----------
Undistributed net investment
income...................... $ 18,607 $ 6,298
------------ -----------
------------ -----------
SHARES ISSUED AND REPURCHASED:
Sold......................... 1,248,927 386,160
Issued in reinvestment of
dividends and
distributions.............. 13,861 4,031
Repurchased.................. (146,135) (12,240)
------------ -----------
Net increase................ 1,116,653 377,951
------------ -----------
------------ -----------
</TABLE>
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
1. ORGANIZATION AND ACCOUNTING POLICIES--Dean Witter Select Dimensions
Investment Series (the "Fund") is registered under the Investment Company Act of
1940, as amended, as a diversified, open-end management investment company. The
shares of the Fund will only be sold to Hartford Life Insurance Company and ITT
Hartford Life and Annuity Insurance Company for allocation to certain of its
separate accounts to fund variable annuity contracts and variable life insurance
policies they issue.
The Fund, which consists of 12 separate portfolios ("Portfolios"), was
organized on June 2, 1994 as a Massachusetts business trust and commenced
operations on November 9, 1994. Subsequent to the date of this report an
additional portfolio, the Mid-Cap Growth Portfolio, commenced operations.
The investment objectives of each Portfolio are as follows:
<TABLE>
<C> <S>
PORTFOLIO INVESTMENT OBJECTIVE
Money Market Seeks high current income, preservation of capital and liquidity by
investing in short-term money market instruments.
North American Seeks to earn a high level of current income while maintaining relatively
Government low volatility of principal by primarily investing in investment grade fixed
Securities income securities issued or guaranteed by the U.S., Canadian or Mexican
governments.
Diversified Seeks, as a primary objective, to earn a high level of current income and,
Income as a secondary objective, to maximize total return, but only to the extent
consistent with its primary objective, by equally allocating its assets
among three separate groupings of fixed income securities.
Balanced Seeks to achieve high total return through a combination of income and
capital appreciation by investing in a diversified portfolio of common
stocks and investment grade fixed income securities.
Utilities Seeks to provide current income and long-term growth of income and capital
by investing in equity and fixed income securities of companies in the
public utilities industry.
Dividend Seeks to provide reasonable current income and long-term growth of income
Growth and capital by investing primarily in common stock of companies with a
record of paying dividends and the potential for increasing dividends.
Value-Added Seeks to achieve a high level of total return on its assets through a
Market combination of capital appreciation and current income by investing, on an
equally-weighted basis, in a diversified portfolio of common stocks of the
companies which are represented in the Standard & Poor's 500 Composite Stock
Price Index.
Core Equity Seeks long-term growth of capital by investing primarily in common stocks
and securities convertible into common stocks issued by domestic and foreign
companies.
American Value Seeks long-term capital growth consistent with an effort to reduce
volatility by investing principally in common stock of companies in
industries which, at the time of the investment, are believed to be
undervalued in the marketplace.
Global Equity Seeks a high level of total return on its assets primarily through long-term
capital growth and, to a lesser extent, from income, through investments in
all types of common stocks and equivalents (such as convertible securities
and warrants), preferred stocks and bonds and other debt obligations of
domestic and foreign companies and governments and international
organizations.
Developing Seeks long-term capital growth by investing primarily in common stocks of
Growth smaller and medium-sized companies that, in the opinion of the Investment
Manager, have the potential for growing more rapidly than the economy and
which may benefit from new products or services, technological developments
or changes in management.
Emerging Seeks long-term capital appreciation by investing primarily in equity
Markets securities of companies in emerging market countries. The Portfolio may
invest up to 35% of its total assets in high risk fixed income securities
that are rated below investment grade or are unrated.
</TABLE>
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
The preparation of financial statements in accordance with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures. Actual results
could differ from those estimates.
The following is a summary of significant accounting policies:
A. VALUATION OF INVESTMENTS--Money Market: Securities are valued at
amortized cost which approximates market value. All remaining Portfolios:
(1) an equity security listed or traded on the New York, American or other
domestic or foreign stock exchange is valued at its latest sale price on
that exchange prior to the time when assets are valued; if there were no
sales that day, the security is valued at the latest bid price (in cases
where securities are traded on more than one exchange, the securities are
valued on the exchange designated as the primary market 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 Portfolios) 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; (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.
The Money Market Portfolio amortizes premiums and accretes discounts over
the life of the respective securities; gains and losses realized upon the
sale of securities are based on amortized cost. For all other Portfolios,
discounts are accreted over the life of the respective securities.
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.
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
D. FORWARD FOREIGN CURRENCY CONTRACTS--Some of the Portfolios may enter into
forward foreign currency contracts which are valued daily at the appropriate
exchange rates. The resultant unrealized exchange gains and losses are
included in the Statement of Operations as unrealized gain/loss on foreign
exchange transactions. The Portfolios record realized gains or losses on
delivery of the currency or at the time the forward contract is extinguished
(compensated) by entering into a closing transaction prior to delivery.
E. FEDERAL INCOME TAX STATUS--It is the Fund's policy to comply individually
for each Portfolio with the requirements of the Internal Revenue Code
applicable to regulated investment companies and to distribute all of its
taxable income to its shareholders. Accordingly, no federal income tax
provision is required.
F. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS--The Fund records dividends
and distributions to its shareholders on the record date. The amount of
dividends and distributions from net investment income and net realized
capital gains are determined in accordance with federal income tax
regulations which may differ from generally accepted accounting principles.
These "book/tax" differences are either considered temporary or permanent in
nature. To the extent these differences are permanent in nature, such
amounts are reclassified within the capital accounts based on their federal
tax-basis treatment; temporary differences do not require reclassification.
Dividends and distributions which exceed net investment income and net
realized capital gains for financial reporting purposes but not for tax
purposes are reported as dividends in excess of net investment income or
distributions in excess of net realized capital gains. To the extent they
exceed net investment income and net realized capital gains for tax
purposes, they are reported as distributions of paid-in-capital.
G. ORGANIZATIONAL EXPENSES--The Investment Manager paid the organizational
expenses of approximately $96,000 ($8,000 for each respective Portfolio)
which have been reimbursed for the full amount thereof, exclusive of amounts
waived of approximately $22,000 ($1,833 for each respective Portfolio). Such
expenses have been deferred and are being amortized by the straight-line
method over a period not to exceed five years from the commencement of
operations.
H. EXPENSES--Direct expenses are charged to the respective Portfolio and
general Fund expenses are allocated on the basis of relative net assets or
equally among the Portfolios.
2. INVESTMENT MANAGEMENT AND SUB-ADVISORY AGREEMENTS--Pursuant to an Investment
Management Agreement with the Investment Manager, the Fund pays the Investment
Manager a management fee, accrued daily and payable monthly, by applying the
following annual rates to each Portfolio's net assets determined at the close of
each business day:
<TABLE>
<CAPTION>
PORTFOLIO ANNUAL RATE PORTFOLIO ANNUAL RATE
- --------------------------------------- ------------- --------------------------------------- -------------
<S> <C> <C> <C>
Money Market........................... 0.50 % Value-Added Market..................... 0.50 %
North American Government Securities... 0.65 Core Equity............................ 0.85
Diversified Income..................... 0.40 American Value......................... 0.625
Balanced............................... 0.75 Global Equity.......................... 1.00
Utilities.............................. 0.65 Developing Growth...................... 0.50
Dividend Growth........................ 0.625 Emerging Markets....................... 1.25
</TABLE>
Under the terms of the Agreement, in addition to managing the Fund's
investments, the Investment Manager maintains certain of the Fund's books and
records and furnishes, at its own expense, office space, facilities, equipment,
clerical, bookkeeping and certain legal services and pays the salaries of all
personnel, including officers of the Fund who are employees of the Investment
Manager. The Investment Manager also bears the cost of telephone services, heat,
light, power and other utilities provided to the Fund.
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
Under a Sub-Advisory Agreement between the Sub-Adviser and the Investment
Manager, the Sub-Adviser provides the North American Government Securities,
Balanced, Core Equity and Emerging Markets Portfolios with investment advice and
portfolio management relating to the Portfolios' investments in securities,
subject to the overall supervision of the Investment Manager. As compensation
for its services provided pursuant to the Sub-Advisory Agreement, the Investment
Manager pays the Sub-Adviser monthly compensation equal to 40% of its monthly
compensation.
At December 31, 1996, included in the Statements of Assets and Liabilities
are receivables from affiliate which represent expense reimbursements due to the
Fund. For the period January 1, 1996 through December 31, 1996, the Investment
Manager waived the management fee and reimbursed expenses to the extent they
exceeded 0.50% of daily net assets of the Portfolio or until such time as the
respective Portfolio had $50 million of net assets, whichever occurred first.
3. SECURITY TRANSACTIONS AND TRANSACTIONS WITH AFFILIATES--Purchases and
sales/maturities of portfolio securities, excluding short-term investments
(except for the Money Market Portfolio), for the year ended December 31, 1996
were as follows:
<TABLE>
<CAPTION>
U.S. GOVERNMENT SECURITIES OTHER
------------------------------- --------------------------------
PURCHASES SALES/MATURITIES PURCHASES SALES/MATURITIES
----------- ---------------- ------------ ----------------
<S> <C> <C> <C> <C>
Money Market...................................... $47,022,214 $ 45,136,750 $481,317,708 $ 440,873,633
North American Government Securities.............. 3,241,060 1,095,690 -- --
Diversified Income................................ 10,890,183 4,303,813 18,887,243 7,673,943
Balanced.......................................... 20,210,769 14,084,620 20,152,731 8,330,098
Utilities......................................... -- -- 19,680,747 3,810,230
Dividend Growth................................... -- -- 208,639,772 62,130,843
Value-Added Market................................ 141,965 -- 43,308,373 1,860,176
Core Equity....................................... -- -- 16,653,658 4,237,914
American Value.................................... 8,650,033 10,079,530 230,874,459 160,114,588
Global Equity..................................... 182,115 134,182 48,954,792 20,698,125
Developing Growth................................. -- -- 89,022,630 52,883,707
Emerging Markets.................................. -- -- 16,189,796 4,621,181
</TABLE>
For the year ended December 31, 1996, the following Portfolios incurred
brokerage commissions with Dean Witter Reynolds Inc. ("DWR"), an affiliate of
the Investment Manager, for portfolio transactions executed on behalf of the
Portfolios:
<TABLE>
<CAPTION>
DIVIDEND CORE AMERICAN GLOBAL DEVELOPING
BALANCED UTILITIES GROWTH EQUITY VALUE EQUITY GROWTH
- ----------- --------- --------- --------- ----------- --------- -----------
<S> <C> <C> <C> <C> <C> <C>
$ 5,464 $ 25,530 $ 173,213 $ 4,616 $ 108,676 $ 28,026 $ 28,536
- ----------- --------- --------- --------- ----------- --------- -----------
- ----------- --------- --------- --------- ----------- --------- -----------
</TABLE>
Included at December 31, 1996 in the payable for investments purchased and
receivable for investments sold were $475,050 and $201,218, respectively, for
Dividend Growth and $0 and $153,403, respectively, for American Value for
unsettled trades with DWR.
Included in the aforementioned purchases of portfolio securities of
Value-Added Market are purchases of Dean Witter Discover & Co., an affiliate of
the Investment Manager, of $60,403. Included in the aforementioned purchases of
portfolio securities of Utilities are purchases of Citizens Utilities Co., an
affiliate of the Fund by virtue of a common Trustee, of $180,750.
Dean Witter Trust Company, an affiliate of the Investment Manager, is the
Fund's transfer agent.
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
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 Portfolios' 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; Emerging Markets --
$183,000.
At December 31, 1996, the primary reason(s) for significant
temporary/permanent book/tax differences were as follows:
<TABLE>
<CAPTION>
TEMPORARY DIFFERENCES
-------------------------- PERMANENT
LOSS DIFFERENCES
DEFERRALS ------------------
POST-OCTOBER FROM WASH FOREIGN CURRENCY
LOSSES SALES GAINS/LOSSES
----------- ------------- ------------------
<S> <C> <C> <C>
North American Government Securities...... -
Diversified Income........................ - - -
Balanced.................................. -
Utilities................................. - -
Dividend Growth........................... -
Core Equity............................... -
American Value............................ - -
Global Equity............................. - - -
Developing Growth......................... - -
Emerging Markets.......................... - - -
</TABLE>
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 ("PFICs"). Emerging Markets had permanent differences attributable to
tax adjustments on PFICs sold by the Portfolio.
To reflect reclassifications arising from permanent book/tax differences for
the year ended December 31, 1996, the following accounts were (charged)
credited:
<TABLE>
<CAPTION>
ACCUMULATED UNDISTRIBUTED
ACCUMULATED NET REALIZED
UNDISTRIBUTED NET GAIN/ACCUMULATED NET
INVESTMENT INCOME REALIZED LOSS
---------------------- -------------------------
<S> <C> <C>
Diversified Income.................... $ 88,308 $ (88,308)
American Value........................ (42) 42
Global Equity......................... 1,061 (1,061)
Emerging Markets...................... (771) 771
</TABLE>
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
5. PURPOSES OF AND RISKS RELATING TO CERTAIN FINANCIAL INSTRUMENTS--Some of the
Portfolios may enter into forward foreign currency contracts ("forward
contracts") to facilitate settlement of foreign currency denominated portfolio
transactions or to manage foreign currency exposure associated with foreign
currency denominated securities.
At December 31, 1996, the Global Equity Portfolio had an outstanding forward
contract used to facilitate settlement of foreign currency denominated portfolio
transactions and the Diversified Income Portfolio had outstanding forward
contracts used to manage foreign currency exposure.
Forward contracts involve elements of market risk in excess of the amounts
reflected in the Statement of Assets and Liabilities. The Portfolios bear the
risk of an unfavorable change in the foreign exchange rates underlying the
forward contracts. Risks may also arise upon entering into these contracts from
the potential inability of the counterparties to meet the terms of their
contracts.
At December 31, 1996, Diversified Income's and Emerging Markets' cash
balances consisted principally of interest bearing deposits with Chase Manhattan
Bank N.A., each Portfolio's custodian.
<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 NET REALIZED TOTAL
VALUE NET AND TOTAL FROM DISTRIBUTIONS DIVIDENDS NET ASSET
YEAR ENDED BEGINNING INVESTMENT UNREALIZED INVESTMENT DIVIDENDS TO TO AND VALUE END
DECEMBER 31 OF PERIOD INCOME GAIN (LOSS) OPERATIONS SHAREHOLDERS SHAREHOLDERS DISTRIBUTIONS OF PERIOD
------------ --------- ---------- ------------- ---------- ------------ ------------ ------------ ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Money Market
1994 (a) $ 1.00 $0.01 -- $ 0.01 $(0.01) -- $(0.01) $ 1.00
1995 1.00 0.06 -- 0.06 (0.06) -- (0.06) 1.00
1996 1.00 0.05 -- 0.05 (0.05) -- (0.05) 1.00
North American Government Securities
1994 (a) 10.00 0.06 -- 0.06 (0.02) -- (0.02) 10.04
1995 10.04 0.53 $ 0.11 0.64 (0.50) -- (0.50) 10.18
1996 10.18 0.52 (0.09) 0.43 (0.52) -- (0.52) 10.09
Diversified Income
1994 (a) 10.00 0.08 -- 0.08 (0.03) -- (0.03) 10.05
1995 10.05 0.57 0.11 0.68 (0.51) -- (0.51) 10.22
1996 10.22 0.80 0.13 0.93 (0.82) $(0.01) (0.83) 10.32
Balanced
1994 (a) 10.00 0.08 (0.02) 0.06 (0.02) -- (0.02) 10.04
1995 10.04 0.40 1.85 2.25 (0.40) -- (0.40) 11.89
1996 11.89 0.33 1.25 1.58 (0.33) (0.07) (0.40) 13.07
Utilities
1994 (a) 10.00 0.07 -- 0.07 (0.03) -- (0.03) 10.04
1995 10.04 0.45 2.30 2.75 (0.44) -- (0.44) 12.35
1996 12.35 0.43 0.60 1.03 (0.43) (0.01) (0.44) 12.94
Dividend Growth
1994 (a) 10.00 0.08 (0.09) (0.01) (0.02) -- (0.02) 9.97
1995 9.97 0.36 3.57 3.93 (0.36) -- (0.36) 13.54
1996 13.54 0.34 2.94 3.28 (0.35) (0.02) (0.37) 16.45
Value-Added Market
1994 (a) 10.00 0.06 (0.14) (0.08) (0.02) -- (0.02) 9.90
1995 9.90 0.31 2.34 2.65 (0.31) -- (0.31) 12.24
1996 12.24 0.23 1.93 2.16 (0.23) (0.01) (0.24) 14.16
Core Equity
1994 (a) 10.00 0.07 -- 0.07 (0.02) -- (0.02) 10.05
1995 10.05 0.26 1.05 1.31 (0.29) -- (0.29) 11.07
1996 11.07 0.08 2.52 2.60 (0.08) (0.04) (0.12) 13.55
American Value
1994 (a) 10.00 0.06 0.01 0.07 (0.02) -- (0.02) 10.05
1995 10.05 0.21 3.66 3.87 (0.21) -- (0.21) 13.71
1996 13.71 0.08 1.68 1.76 (0.10) (0.07) (0.17) 15.30
Global Equity
1994 (a) 10.00 0.07 (0.10) (0.03) (0.03) -- (0.03) 9.94
1995 9.94 0.29 1.05 1.34 (0.29) -- (0.29) 10.99
1996 10.99 0.15 1.10 1.25 (0.17) (0.01) (0.18) 12.06
Developing Growth
1994 (a) 10.00 0.08 0.08 0.16 (0.03) -- (0.03) 10.13
1995 10.13 0.24 4.88 5.12 (0.25) -- (0.25) 15.00
1996 15.00 0.02 1.92 1.94 (0.04)** (0.02) (0.06) 16.88
Emerging Markets
1994 (a) 10.00 0.06 -- 0.06 (0.02) -- (0.02) 10.04
1995 10.04 0.29 (0.33) (0.04) (0.31) -- (0.31) 9.69
1996 9.69 0.16 1.51 1.67 (0.16) -- (0.16) 11.20
<CAPTION>
TOTAL
YEAR ENDED INVESTMENT
DECEMBER 31 RETURN+
------------ ----------
<S> <C>
Money Market
1994 (a) 0.76%(1)
1995 6.10
1996 5.07
North American Government
1994 (a) 0.61(1)
1995 6.40
1996 4.35
Diversified Income
1994 (a) 0.76(1)
1995 6.96
1996 9.54
Balanced
1994 (a) 0.60(1)
1995 22.86
1996 13.54
Utilities
1994 (a) 0.65(1)
1995 28.05
1996 8.48
Dividend Growth
1994 (a) (0.05) (1)
1995 40.13
1996 24.49
Value-Added Market
1994 (a) (0.76) (1)
1995 27.14
1996 17.78
Core Equity
1994 (a) 0.67(1)
1995 13.29
1996 23.56
American Value
1994 (a) 0.69(1)
1995 38.95
1996 12.95
Global Equity
1994 (a) (0.30) (1)
1995 13.76
1996 11.43
Developing Growth
1994 (a) 1.58(1)
1995 51.26
1996 12.95
Emerging Markets
1994 (a) 0.57(1)
1995 (0.57)
1996 17.69
</TABLE>
- ------------
(a) For the period November 9, 1994 (commencement of operations) through
December 31, 1994.
+ Calculated based on the net asset value as of the last business day of the
period.
* After application of the Fund's expense limitation.
** Includes distributions from paid-in-capital of $0.01.
(1) Not annualized.
(2) Annualized.
SEE NOTES TO FINANCIAL STATEMENTS
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATIOS TO RATIOS TO
AVERAGE NET ASSETS AVERAGE NET ASSETS
(BEFORE EXPENSES WERE (AFTER EXPENSES WERE
ASSUMED)* ASSUMED)
----------------------- -----------------------
NET ASSETS END NET NET PORTFOLIO AVERAGE
OF PERIOD INVESTMENT INVESTMENT TURNOVER COMMISSION
(000'S) EXPENSES INCOME EXPENSES INCOME RATE RATE PAID
-------------- ----------- ---------- ----------- ---------- --------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Money Market
1994 (a) $1,234 2.50%(2) 3.33 %(2 -- 5.83%(2) N/A(1) N/A
1995 42,089 0.81 5.11 -- 5.92 N/A N/A
1996 87,002 0.59 4.94 0.57% 4.96 N/A N/A
North American Government Securities
1994 (a) 122 2.50(2) 1.78(2) -- 4.28(2) -- (1) N/A
1995 1,288 2.50 3.24 -- 5.74 18% N/A
1996 4,172 1.45 4.55 0.50 5.50 48 N/A
Diversified Income
1994 (a) 402 2.50(2) 3.08(2) -- 5.58(2) -- (1) --
1995 8,972 1.33 5.95 -- 7.28 33 --
1996 32,119 0.71 8.26 0.50 8.47 69 --
Balanced
1994 (a) 796 2.50(2) 2.90(2) -- 5.40(2) -- (1) --
1995 16,311 1.39 2.45 -- 3.84 99 --
1996 38,893 0.90 2.35 0.50 2.75 88 $ 0.0580
Utilities
1994 (a) 498 2.50(2) 2.79(2) -- 5.29(2) -- (1) --
1995 17,959 1.43 3.01 -- 4.44 3 --
1996 35,686 0.80 3.16 0.50 3.46 15 0.0500
Dividend Growth
1994 (a) 1,378 2.50(2) 3.28(2) -- 5.78(2) -- (1) --
1995 78,694 0.83 2.80 -- 3.63 4 --
1996 258,101 0.67 2.44 0.67 2.44 39 0.0518
Value-Added Market
1994 (a) 349 2.50(2) 1.25(2) -- 3.75(2) -- (1) --
1995 23,970 1.46 1.64 -- 3.10 4 --
1996 73,516 0.64 1.69 0.56 1.77 4 0.0300
Core Equity
1994 (a) 316 2.50(2) 2.32(2) -- 4.82(2) -- (1) --
1995 3,956 2.50 (0.64) -- 1.86 39 --
1996 18,215 1.22 (0.03) 0.50 0.69 47 0.0573
American Value
1994 (a) 823 2.50(2) 1.60(2) -- 4.10(2) 10(1) --
1995 38,235 0.96 1.11 -- 2.07 174 --
1996 120,904 0.71 0.52 0.69 0.54 232 0.0557
Global Equity
1994 (a) 1,194 2.50(2) 2.20(2) -- 4.70(2) -- (1) --
1995 17,074 1.69 1.09 -- 2.78 74 --
1996 59,246 1.25 0.69 0.72 1.22 62 0.0451
Developing Growth
1994 (a) 380 2.50(2) 2.31(2) -- 4.81(2) 3(1) --
1995 17,412 1.24 0.86 -- 2.10 80 --
1996 61,120 0.68 (0.04) 0.58 0.06 146 0.0537
Emerging Markets
1994 (a) 448 2.50(2) 2.22(2) -- 4.72(2) -- (1) --
1995 4,092 2.50 0.18 -- 2.68 36 --
1996 17,240 2.02 (0.10) 0.50 1.42 46 0.0022
</TABLE>
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES
REPORT OF INDEPENDENT ACCOUNTANTS
- ----------------------------------------------------------------
To the Shareholders and Trustees of Dean Witter Select Dimensions Investment
Series
In our opinion, the accompanying statements of assets and liabilities, including
the portfolios of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Money Market Portfolio, North
American Government Securities Portfolio, Diversified Income Portfolio, Balanced
Portfolio, Utilities Portfolio, Dividend Growth Portfolio, Value-Added Market
Portfolio, Core Equity Portfolio, American Value Portfolio, Global Equity
Portfolio, Developing Growth Portfolio and Emerging Markets Portfolio
(constituting Dean Witter Select Dimensions Investment Series, hereafter
referred to as the "Fund") at December 31, 1996, the results of each of their
operations for the year then ended, the changes in each of their net assets for
each of the two years in the period then ended and the financial highlights for
each of the two years in the period then ended and for the period November 9,
1994 (commencement of operations) through December 31, 1994, in conformity with
generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at December 31, 1996 by
correspondence with the custodian and brokers and the application of alternative
auditing procedures where confirmations from brokers were not received, provide
a reasonable basis for the opinion expressed above.
PRICE WATERHOUSE LLP
1177 Avenue of the Americas
New York, New York 10036
February 14, 1997
<PAGE>
(This page has been left blank intentionally.)
<PAGE>
(This page has been left blank intentionally.)
<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.
This report is submitted for the general information of shareholders of the
Fund. For more detailed information about the Fund, its officers and trustees,
fees, expenses and other pertinent information, please see the prospectus of the
Fund.
This report is not authorized for distribution to prospective investors in the
Fund unless preceded or accompanied by an effective prospectus.
<PAGE>
SELECT
DIMENSIONS
DEAN WITTER
SELECT DIMENSIONS
INVESTMENT SERIES
ANNUAL REPORT
DECEMBER 31, 1996
[LOGO]
The Hartford
Individual Annuity Services
P.O. Box 5085
Hartford, CT 06102-5085
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES:
DEVELOPING GROWTH PORTFOLIO
GROWTH OF $10,000
DATE TOTAL S&P 500
November 9, 1994 $10,000 $10,000
December 31, 1994 $10,158 $ 9,916
December 31, 1995 $15,365 $13,639
December 31, 1996 $17,355 (3) $16,769
AVERAGE ANNUAL TOTAL RETURN (FUND)
ONE YEAR LIFE OF FUND
12.95% (1) 29.33% (1)
____ Fund ____ S&P 500 (2)
Past performance is not predictive of future returns.
- ----------------------------------------
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) The Standard & Poor's 500 Composite Stock Price Index (S&P 500) is a broad-
based index, the performance of which is based on the average performance
of 500 widely held common stocks. The performance of the index does not
include any expenses, fees or charges. The Index is unmanaged and should
not be considered an investment.
(3) Closing value on December 31, 1996 for the underlying fund. This figure
does not reflect the deduction of any account fees or sales charges.
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES:
EMERGING MARKETS PORTFOLIO
GROWTH OF $10,000
DATE TOTAL IFCI IX
November 9, 1994 $10,000 $10,000
December 31, 1994 $10,057 $ 8,740
December 31, 1995 $10,000 $ 8,004
December 31, 1996 $11,768 (3) $ 8,754
AVERAGE ANNUAL TOTAL RETURN (FUND)
ONE YEAR LIFE OF FUND
17.69% (1) 7.89% (1)
____ Fund ____ IFCI IX (2)
Past performance is not predictive of future returns.
- ----------------------------------------
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) The International Finance Corporation's Investable Emerging Markets Total
Return Index (IFCI) is designed to measure more precisely the returns
foreign portfolio investors might receive from investing in baskets of
stocks that were legally and practically available to them in the emerging
markets of Latin American, East Asia, South Asia, Europe, the Mideast and
Africa. The Index does not include any expenses, fees or charges. The
Index is unmanaged and should not be considered an investment.
(3) Closing value on December 31, 1996 for the underlying fund. This figure
does not reflect the deduction of any account fees or sales charges.
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES:
AMERICAN VALUE PORTFOLIO
GROWTH OF $10,000
DATE TOTAL S&P 500
November 9, 1994 $10,000 $10,000
December 31, 1994 $10,069 $ 9,916
December 31, 1995 $13,991 $13,639
December 31, 1996 $15,803 (3) $16,769
AVERAGE ANNUAL TOTAL RETURN (FUND)
ONE YEAR LIFE OF FUND
12.95% (1) 23.80% (1)
____ Fund ____ S&P 500 (2)
Past performance is not predictive of future returns.
- ----------------------------------------
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) The Standard & Poor's 500 Composite Stock Price Index (S&P 500) is a broad-
based index, the performance of which is based on the average performance
of 500 widely held common stocks. The performance of the index does not
include any expenses, fees or charges. The Index is unmanaged and should
not be considered an investment.
(3) Closing value on December 31, 1996 for the underlying fund. This figure
does not reflect the deduction of any account fees or sales charges.
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES:
CORE EQUITY PORTFOLIO
GROWTH OF $10,000
DATE TOTAL S&P 500
November 9, 1994 $10,000 $10,000
December 31, 1994 $10,067 $ 9,916
December 31, 1995 $11,405 $13,639
December 31, 1996 $14,091 (3) $16,769
AVERAGE ANNUAL TOTAL RETURN (FUND)
ONE YEAR LIFE OF FUND
23.56% (1) 17.35% (1)
____ Fund ____ S&P 500 (2)
Past performance is not predictive of future returns.
- ----------------------------------------
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) The Standard & Poor's 500 Composite Stock Price Index (S&P 500) is a broad-
based index, the performance of which is based on the average performance
of 500 widely held common stocks. The performance of the index does not
include any expenses, fees or charges. The Index is unmanaged and should
not be considered an investment.
(3) Closing value on December 31, 1996 for the underlying fund. This figure
does not reflect the deduction of any account fees or sales charges.
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES:
GLOBAL EQUITY PORTFOLIO
GROWTH OF $10,000
DATE TOTAL MSCI WORLD IX
November 9, 1994 $10,000 $10,000
December 31, 1994 $ 9,970 $ 9,840
December 31, 1995 $11,342 $11,681
December 31, 1996 $12,639 (3) $13,050
AVERAGE ANNUAL TOTAL RETURN (FUND)
ONE YEAR LIFE OF FUND
11.43% (1) 11.54% (1)
____ Fund ____ MSCI WORLD IX (2)
Past performance is not predictive of future returns.
- ----------------------------------------
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) The Morgan Stanley Capital International World Index (MSCI) measures
performance for a diverse range of global stock markets including the U.S.,
Canada, Europe, Australia, New Zealand and the Far East. The index does
not include any expenses, fees or charges or reinvestment of dividends.
The Index is unmanaged and should not be considered an investment.
(3) Closing value on December 31, 1996 for the underlying fund. This figure
does not reflect the deduction of any account fees or sales charges.
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES:
BALANCED PORTFOLIO
GROWTH OF $10,000
DATE TOTAL S&P 500 LEHMAN (AG) IX
November 9, 1994 $10,000 $10,000 $10,000
December 31, 1994 $10,060 $ 9,916 $10,069
December 31, 1995 $12,359 $13,639 $11,929
December 31, 1996 $14,033 (4) $16,769 $12,362
AVERAGE ANNUAL TOTAL RETURN (FUND)
ONE YEAR LIFE OF FUND
13.54% (1) 17.12% (1)
____ Fund ____ S&P 500 (2) ____ LEHMAN (3)
Past performance is not predictive of future returns.
- ----------------------------------------
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) The Standard & Poor's 500 Composite Stock Price Index (S&P 500) is a broad-
based index, the performance of which is based on the average performance
of 500 widely held common stocks. The performance of the index does not
include any expenses, fees or charges. The Index is unmanaged and should
not be considered an investment.
(3) The Lehman Brothers Aggregate Bond Index tracks the performance of all U.S.
Government agency and Treasury securities, investment-grade corporate debt
securities, agency mortgage-backed securities and asset-backed
securities. The performance of the index does not include any expenses,
fees or charges. The Index is unmanaged and should not be considered an
investment.
(4) Closing value on December 31, 1996 for the underlying fund. This figure
does not reflect the deduction of any account fees or sales charges.
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES:
DIVIDEND GROWTH PORTFOLIO
GROWTH OF $10,000
DATE TOTAL S&P 500
November 9, 1994 $10,000 $10,000
December 31, 1994 $ 9,995 $ 9,916
December 31, 1995 $14,005 $13,639
December 31, 1996 $17,435 (3) $16,769
AVERAGE ANNUAL TOTAL RETURN (FUND)
ONE YEAR LIFE OF FUND
24.49% (1) 29.61% (1)
____ Fund ____ S&P 500 (2)
Past performance is not predictive of future returns.
- ----------------------------------------
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) The Standard & Poor's 500 Composite Stock Price Index (S&P 500) is a broad-
based index, the performance of which is based on the average performance
of 500 widely held common stocks. The performance of the index does not
include any expenses, fees or charges. The Index is unmanaged and should
not be considered an investment.
(3) Closing value on December 31, 1996 for the underlying fund. This figure
does not reflect the deduction of any account fees or sales charges.
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES:
UTILITIES PORTFOLIO
GROWTH OF $10,000
DATE TOTAL S&P 500
November 9, 1994 $10,000 $10,000
December 31, 1994 $10,065 $ 9,916
December 31, 1995 $12,888 $13,639
December 31, 1996 $13,981 (3) $16,769
AVERAGE ANNUAL TOTAL RETURN (FUND)
ONE YEAR LIFE OF FUND
8.48% (1) 16.92% (1)
____ Fund ____ S&P 500 (2)
Past performance is not predictive of future returns.
- ----------------------------------------
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) The Standard & Poor's 500 Composite Stock Price Index (S&P 500) is a broad-
based index, the performance of which is based on the average performance
of 500 widely held common stocks. The performance of the index does not
include any expenses, fees or charges. The Index is unmanaged and should
not be considered an investment.
(3) Closing value on December 31, 1996 for the underlying fund. This figure
does not reflect the deduction of any account fees or sales charges.
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES:
VALUE-ADDED PORTFOLIO
GROWTH OF $10,000
DATE TOTAL S&P 500
November 9, 1994 $10,000 $10,000
December 31, 1994 $ 9,924 $ 9,916
December 31, 1995 $12,617 $13,639
December 31, 1996 $14,861 (3) $16,769
AVERAGE ANNUAL TOTAL RETURN (FUND)
ONE YEAR LIFE OF FUND
17.78% (1) 20.30% (1)
____ Fund ____ S&P 500 (2)
Past performance is not predictive of future returns.
- ----------------------------------------
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) The Standard & Poor's 500 Composite Stock Price Index (S&P 500) is a broad-
based index, the performance of which is based on the average performance
of 500 widely held common stocks. The performance of the index does not
include any expenses, fees or charges. The Index is unmanaged and should
not be considered an investment.
(3) Closing value on December 31, 1996 for the underlying fund. This figure
does not reflect the deduction of any account fees or sales charges.
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES:
DIVERSIFIED INCOME PORTFOLIO
GROWTH OF $10,000
DATE TOTAL LEHMAN
November 9, 1994 $10,000 $10,000
December 31, 1994 $10,076 $10,035
December 31, 1995 $10,777 $11,574
December 31, 1996 $11,806 (3) $12,043
AVERAGE ANNUAL TOTAL RETURN (FUND)
ONE YEAR LIFE OF FUND
9.54% (1) 8.05% (1)
____ FUND ____ LEHMAN (2)
Past performance is not predictive of future returns.
- ----------------------------------------
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) The Lehman Brothers Mutual Fund Government/Corporate Intermediate Bond
Index tracks the performance of government and corporate bonds, including
U.S. Government agency and U.S. Treasury securities and corporate and
yankee bonds with maturities of 1 to 10 years. Unlike the fund, the index
does not include any expenses, fees or charges. The Index is unmanaged and
should not be considered an investment.
(3) Closing value on December 31, 1996 for the underlying fund. This figure
does not reflect the deduction of any account fees or sales charges.
<PAGE>
DEAN WITTER SELECT DIMENSIONS INVESTMENT SERIES:
NORTH AMERICAN GOVERNMENT SECURITIES PORTFOLIO
GROWTH OF $10,000
DATE TOTAL LEHMAN
November 9, 1994 $10,000 $10,000
December 31, 1994 $10,061 $10,022
December 31, 1995 $10,705 $11,291
December 31, 1996 $11,171 (3) $11,810
AVERAGE ANNUAL TOTAL RETURN (FUND)
ONE YEAR LIFE OF FUND
4.35% (1) 5.30% (1)
____ FUND ____ LEHMAN (2)
Past performance is not predictive of future returns.
- ----------------------------------------
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
(2) The Lehman Brothers Short (1-5) U.S. Government Index measures the
performance of all U.S. Government agency and U.S. Treasury securities with
maturities of one to five years. The performance of the index does not
include any expenses, fees or charges. The Index is unmanaged and should
not be considered an investment.
(3) Closing value on December 31, 1996 for the underlying fund. This figure
does not reflect the deduction of any account fees or sales charges.
