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Previous: NATIONAL MUNICIPAL TRUST SERIES 173, 497J, 1996-05-02 |
Next: MUTUAL FUND VARIABLE ANNUITY TRUST, N-30D, 1996-05-02 |
<PAGE>
THE SARATOGA ADVANTAGE TRUST
SEMI-ANNUAL REPORT
February 29, 1996
<PAGE>
THE SARATOGA ADVANTAGE TRUST
SEMI-ANNUAL REPORT
AS OF FEBRUARY 29, 1996
TABLE OF CONTENTS
President's Letter . . . . . . . . . . . . . . . . . . . . . . . . . . Page 1
Investment Review. . . . . . . . . . . . . . . . . . . . . . . . . . . Page 3
Schedules of Investments . . . . . . . . . . . . . . . . . . . . . . . Page 11
Statements of Assets and Liabilities . . . . . . . . . . . . . . . . . Page 26
Statements of Operations . . . . . . . . . . . . . . . . . . . . . . . Page 27
Statements of Changes in Net Assets. . . . . . . . . . . . . . . . . . Page 28
Notes to Financial Statements. . . . . . . . . . . . . . . . . . . . . Page 30
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . . Page 32
THIS REPORT IS AUTHORIZED FOR DISTRIBUTION ONLY TO SHAREHOLDERS
AND TO OTHERS WHO HAVE RECEIVED A COPY OF THE PROSPECTUS.
<PAGE>
TRUSTEES AND OFFICERS
Joseph M. La Motta Trustee, Chairman
Bruce E. Ventimiglia Trustee, President
Lacy B. Herrmann Trustee
George Loft Trustee
Patrick H. McCollough Trustee
Scott C. Kane Vice President
Stephen Ventimiglia Vice President
Sheldon Siegel Treasurer
Deborah Kaback Secretary
Leslie Klein Assistant Treasurer
Thomas E. Duggan Assistant Secretary
INVESTMENT MANAGER DISTRIBUTOR
Saratoga Capital Management OCC Distributors
33 Maiden Lane Two World Financial Center
New York, NY 10038-4578 New York, NY 10080-6116
TRANSFER AND SHAREHOLDER SERVICING AGENT CUSTODIAN
State Street Bank and Trust Company State Street Bank and Trust Company
P.O. Box 8505 P.O. Box 351
Boston, MA 02266 Boston, MA 02101
<PAGE>
THE SARATOGA ADVANTAGE TRUST
Semi-Annual Report to Shareholders
April 17, 1996
Dear Shareholder:
We are pleased to provide you with this semi-annual report on the investment
strategies and performance of the portfolios in The Saratoga Advantage Trust
(the Trust).
This report covers the six months from September 1, 1995 through February 29,
1996, a period of positive domestic stock and bond investment returns. During
this period of time, U.S. stocks provided a total return of 15.3%, as measured
by the Standard & Poor's 500 Index, while the total return for bonds was 3.9%,
as gauged by the Lehman Intermediate Government/Corporate Bond Index.
International stocks also produced positive returns during the period, gaining
6.9% as reported by the Morgan Stanley Europe, Australia and Far East (EAFE)
Index.
As the financial markets go through their cycles over time, the multiple
investment asset class structure of the Saratoga Advantage Trust provides
investors with the ability to react to economic, market and personal changes by
reallocating their assets, with no exchange charges, within the Trust to
structure a portfolio that makes sense for current conditions. This gives our
investors the opportunity to establish as conservative or aggressive a posture
as they prefer, through consultations with their financial advisors.
When reviewing the performance of the institutional investment advisory firms
that manage the portfolios of the Trust, and the performance of money managers
in general, please remember that it is not unusual for managers' returns to vary
significantly from their benchmark indexes over short-term measurement periods
such as several quarters. In fact, the more volatile the style of management
(e.g. small cap, growth or international management), the more likely it is to
have significant deviations from the index it is being measured against over
short-term measurement periods.
Investors should primarily focus on longer term results over statistically
significant time periods such as three years or longer. Over statistically
significant periods of time, investors should expect a manager to be performing
much closer to the indexes being measured against. The bottom line is that
successful investing requires discipline AND patience.
<PAGE>
Following you will find specific information on the investment strategy and
performance of each of the portfolios. As always, we encourage you to speak
with your financial advisor if you have any questions about your investment in
the Trust or your allocation of assets among the portfolios.
We remain dedicated to serving your investment needs and to earning your
continued confidence. Thank you for investing with us.
Sincerely,
/s/ Bruce E. Ventimiglia
Bruce E. Ventimiglia
President and Chief Executive Officer
<PAGE>
U.S. GOVERNMENT MONEY MARKET PORTFOLIO
Advised by:
Sterling Capital Management
Charlotte, North Carolina
OBJECTIVE: SEEKS MAXIMUM CURRENT INCOME, CONSISTENT WITH THE MAINTENANCE OF
LIQUIDITY AND THE PRESERVATION OF CAPITAL. THE PORTFOLIO INVESTS EXCLUSIVELY IN
SHORT-TERM SECURITIES AND RELATED REPURCHASE AGREEMENTS ISSUED BY THE UNITED
STATES GOVERNMENT, ITS AGENCIES AND INSTRUMENTALITIES.
U.S. Government 90 Day T-Bills
7-Day Money Market Average Discount
Compound Yield Portfolio Yield
------------------------- ---------------------- ---------------------
At 2/29/96 4.24% 4.86%
Total Aggregate U.S. Government
Return for the Period Ended Money Market
February 29, 1996 Portfolio 90 Day T-Bills
--------------------------- ---------------------- ---------------------
6 Months 2.28% 2.62%
1 Year 5.16% 5.66%
Since Inception (9/1/94)* 5.12% 5.65%
*Annualized performance for periods greater than one year.
By taking advantage of changes in short-term interest rates and utilizing a
variety of sectors within the short-term government market, Sterling Capital
Management seeks to maximize the Portfolio's yield while maintaining a constant
net asset value of $1.00 per share.
The Portfolio was invested mostly in U.S. Government Agency Notes as of February
29, 1996, due to the higher yields versus Treasury-Bills. The average dollar-
weighted portfolio maturity was 56 days, compared with a maximum allowable
average maturity of 90 days. Since last summer, The Federal Reserve has lowered
the Fed Funds rate fifty basis points to 5.25%. During the second half of 1995,
the average maturity of the portfolio ranged from 35 to 45 days. In 1996, as
the yield curve steepened and the likelihood of a Fed ease increased, the
average maturity of the portfolio was lengthened by investing in longer term
securities to take advantage of the higher yields.
SHARES OF THE U.S. GOVERNMENT MONEY MARKET PORTFOLIO ARE NOT GUARANTEED OR
INSURED BY THE U.S. GOVERNMENT. THERE CAN BE NO ASSURANCE THAT THE U.S.
GOVERNMENT MONEY MARKET PORTFOLIO WILL BE ABLE TO MAINTAIN A CONSTANT NET ASSET
VALUE OF $1.00 PER SHARE.
3
<PAGE>
INVESTMENT QUALITY BOND PORTFOLIO
Advised by:
Fox Asset Management, Inc.
Little Silver, New Jersey
OBJECTIVE: SEEKS CURRENT INCOME AND REASONABLE STABILITY OF PRINCIPAL THROUGH
INVESTMENT IN A DIVERSIFIED PORTFOLIO OF INVESTMENT QUALITY, ACTIVELY MANAGED
FIXED INCOME SECURITIES.
Lehman
Intermediate
Total Aggregate Government/
Return for the Period Investment Quality Corporate Bond
Ended February 29, 1996 Bond Portfolio Index
- ------------------------ -------------------- -----------------
6 Months 3.3% 3.9%
1 Year 8.8% 10.8%
Since Inception (9/1/94)* 7.0% 9.0%
*Annualized performance for periods greater than one year.
The portfolio seeks to provide high income by investing primarily in investment
grade bonds with maturities between 2 and 10 years. In the 12 months ended
February 29, 1996, the Portfolio distributed dividends of $.539 per share.
Investments are normally divided approximately evenly between U.S. Government
and corporate securities. Due to the current phenomenon of tight supply and
only a slight yield advantage available in corporate securities, there is
greater emphasis on U.S. Government holdings at this time.
Fox Asset Management's goal is to provide superior returns with low risk. Fox
will continue to focus on those instruments that offer improving credit quality,
liquidity, and the highest possible total return. Due to the challenge of
trying to preserve principal in the current volatile market environment, Fox is
maintaining a conservative investment posture with an average maturity of 3.7
years, and an average duration of 3.2 years in the Portfolio.
Other portfolio statistics as of February 29, 1996 are as follows: Average
weighted yield-to-maturity was 6.0%, average weighted coupon was 6.3%, and the
average Moody's Rating was Aa2 with 17 fixed income issues held.
4
<PAGE>
MUNICIPAL BOND PORTFOLIO
Advised by:
OpCap Advisors
New York, New York
OBJECTIVE: SEEKS A HIGH LEVEL OF INTEREST INCOME EXEMPT FROM FEDERAL INCOME
TAXATION, CONSISTENT WITH PRUDENT INVESTMENT MANAGEMENT AND THE PRESERVATION OF
CAPITAL.
Total Aggregate
Return for the Period Municipal Bond Lehman Municipal
Ended February 29, 1996 Portfolio Bond Index
- ------------------------ -------------------- -----------------
6 Months 5.1% 4.9%
1 Year 9.3% 11.0%
Since Inception (9/1/94)* 6.6% 9.2%
*Annualized performance for periods greater than one year.
The first 2 months of 1996 witnessed a departure from the strong bond market in
1995 which saw bond yields drop to near 1993 levels. The 30 year AAA general
obligation bond's yield rose 12 basis points to 5.40% from year end. This is a
reversal of fortune for the bond market as it had appeared that the market was
only moving in one direction - up. Signs of a stable and possibly growing
economy began to emerge early in the year with stronger housing and retail
economic statistics released. Furthermore, the Federal Reserve began to express
reservations about further monetary easings. Still, there is no sign of current
or future inflationary pressures which are ultimately what the bond market fears
the most.
The Fund's average weighted maturity is 14 years with a duration of 6.4 years.
The Fund is 64% invested in AAA municipals (including cash equivalents). The
top four sector holdings include pollution control (14.7%), general obligations
(14.5%), power (11.1%) and education (11.1%).
5
<PAGE>
LARGE CAPITALIZATION VALUE PORTFOLIO
Advised by:
OpCap Advisors
New York, New York
OBJECTIVE: SEEKS TOTAL RETURN CONSISTING OF CAPITAL APPRECIATION AND DIVIDEND
INCOME BY INVESTING IN A DIVERSIFIED PORTFOLIO OF COMMON STOCKS THAT ARE
BELIEVED TO BE UNDERVALUED IN THE MARKET AND OFFER ABOVE-AVERAGE PRICE
APPRECIATION POTENTIAL.
Total Aggregate
Return for the Period Large Capitalization S & P 500 S & P/Barra Value
Ended February 29, 1996 Value Portfolio Index Index
- ------------------------ --------------------- ----------- ------------------
6 Months 14.2% 15.3% 14.5%
1 Year 33.8% 34.7% 33.5%
Since Inception (9/1/94)* 25.9% 25.2% 23.0%
*Annualized performance for periods greater than one year.
The Saratoga Large Capitalization Value portfolio is designed for the long-term
investor who seeks to preserve capital and make it grow. As disciplined value
investors, OpCap Advisors seeks to invest in superior companies at reasonable
prices. Their philosophy is based on the concept that the single most important
determinant of whether a stock will increase in value is the rate of return on
invested capital within the company. They believe companies with high returns
can increase their value for extended periods. Therefore, they look for
companies with the above-average returns where those returns are protected by
strong competitive positions, and they want to buy those companies at what they
consider to be reasonable prices.
For the six months ending February 29, 1996 the Portfolio performed in-line with
the S&P/Barra Value Index and slightly underperformed the S&P 500. Strong
contributors to performance included Becton Dickinson, EXEL Ltd., ACE Ltd.,
Federal Home Loan Mortgage (Freddie Mac) and Loral Corporation.
The portfolio owned the common stocks of 36 companies as of February 29, 1996.
The five largest holdings were EXEL Ltd., a strongly capitalized specialty
insurance company; ACE Ltd., one of the leading providers of excess liability
insurance in the world; Federal Home Loan Mortgage Corp. (Freddie Mac), which
maintains a secondary market in residential mortgages primarily by securing and
guaranteeing such loans; First Interstate Bancorp Inc., the largest commercial
bank in the Western United States; and Citicorp, the largest banking company in
the United States.
6
<PAGE>
LARGE CAPITALIZATION GROWTH PORTFOLIO
Advised by:
Harris Bretall Sullivan & Smith, Inc.
San Francisco, California
OBJECTIVE: SEEKS CAPITAL APPRECIATION BY INVESTING IN A DIVERSIFIED PORTFOLIO OF
COMMON STOCKS THAT, IN THE ADVISOR'S OPINION, HAVE FASTER EARNINGS GROWTH
POTENTIAL THAN THE STANDARD & POOR'S 500.
Total Aggregate
Return for the Period Large Capitalization S & P 500 S & P/Barra Value
Ended February 29, 1996 Value Portfolio Index Index
- ------------------------ --------------------- ----------- ------------------
6 Months 2.9% 15.3% 16.11%
1 Year 25.2% 34.7% 35.9%
Since Inception (9/1/94)* 20.7% 25.2% 29.1%
*Annualized performance for periods greater than one year.
Harris Bretall Sullivan & Smith analyzes a universe of approximately 300
established, high-quality, growth-oriented companies and ranks them based on
present value, trends in current earnings and price performance. The Portfolio
is invested in stocks that rank in the top one-fifth of this universe. All
investment decisions are made through a team approach. The Harris Bretall
Strategy Team, which meets four times a week, sets the firm's economic framework
and reviews specific holdings, recent news announcements and company data.
At the end of February, the Portfolio was invested in 38 stocks. Technology is
a major investment theme of the Portfolio. The advisor believes that technology
is revolutionizing the industry and creating exceptional opportunities for
astute managements. The Portfolio is invested not only in companies that are
developing new technologies, but also in those that are using technology to gain
market share.
As of February 29, 1996, approximately one-quarter of the Portfolio was invested
in technology developers including: Microsoft Corp., Motorola, Inc., Intel Corp.
and Hewlett-Packard Co. Additionally, Portfolio holdings that are using
technology to competitive advantage included: Home Depot, Inc., which is
benefiting from a sophisticated inventory management system; Charles Schwab
Corp., which is providing on-line services to clients; and The Walt Disney
Company, which is a major beneficiary of innovations in animation technology.
7
<PAGE>
SMALL CAPITALIZATION PORTFOLIO
Advised by:
Axe-Houghton Associates, Inc.
Rye Brook, New York
OBJECTIVE: SEEKS MAXIMUM CAPITAL APPRECIATION BY INVESTING IN A DIVERSIFIED
PORTFOLIO OF COMMON STOCKS OF SMALL CAPITALIZATION GROWTH COMPANIES.
Total Aggregate Small
Return for the Period Capitalization
Ended February 29, 1996 Portfolio Russell 2000 Index
- ------------------------ ---------------- ---------------------
6 Months 0.0% 7.1%
1 Year 24.9% 28.6%
Since Inception (9/1/94)* 16.9% 18.8%
*Annualized performance for periods greater than one year.
As of February 29, 1996, the average capitalization of the forty-five stocks in
the Portfolio was $635 million. The Portfolio remains nearly fully-invested,
with major commitments in technology, consumer spending, and healthcare. Major
holdings include: Teltrend, Inc. (telecommunications), CompUSA, Inc. (computer
retailing) and La Quinta Inns, Inc. (hotel chain). Each of these companies is
characterized by high rates of growth, favorable returns on equity and the
potential for continued reinvestment of earnings to expand their businesses.
Earnings of the companies in your Portfolio continue to be strong virtually
across-the-board, with many exceeding consensus expectations. Axe-Houghton
recognizes that the technology sector has been very strong this year and is
prepared to pare back their weighting should circumstances so dictate. For the
time being, however, we are witnessing a widespread secular move to increased
usage of computer-related products as the technology revolution gathers steam.
8
<PAGE>
INTERNATIONAL EQUITY PORTFOLIO
Advised by:
Ivory & Sime Inc.
Edinburgh, Scotland
OBJECTIVE: SEEKS CAPITAL APPRECIATION BY INVESTING PRIMARILY IN A DIVERSIFIED
PORTFOLIO OF SECURITIES OF COMPANIES HEADQUARTERED OUTSIDE THE UNITED STATES.
Total Aggregate Morgan Stanley
Return for the Period International Equity EAFE Index
Ended February 29, 1996 Portfolio (U.S. Dollars)
- ------------------------ ---------------------- ---------------------
6 Months 3.9% 6.9%
1 Year 12.5% 16.9%
Since Inception (9/1/94)* (2.0)% 4.9%
*Annualized performance for periods greater than one year.
While lagging behind Wall Street, International equity markets have performed
well over the last six months, largely due to the strength of the U.S. stock
market and the global easing of interest rates.
In local terms, the Japanese market has performed very strongly, however, this
has largely been due to a concerted effort to reverse the appreciation of the
Yen. In dollar terms the Japanese market has not advanced as quickly as the
major European stock markets of Germany, France and the UK. In the Far East the
global environment has been very favorable, especially in stock markets with
high exposure to the banking and property sectors, such as Hong Kong.
As of February 29, 1996, major weightings in the Portfolio were as follows:
36.3% in Japan, 20.6% in Continental Europe, 14.0% in Asia (ex Japan), 10.3% in
the United Kingdom, and 4.8% in Latin America. Looking forward, Ivory & Sime
remains committed to the Asian region, Japan is emerging from recession and is
likely to be one of the best performing developed markets in 1996. In the
smaller Asian markets whose economies are still growing at approximately 8% per
annum, Ivory & Sime anticipates returns in the 20-25% bracket by the end of the
year.
Some of the Portfolio's recent acquisitions include: Banco Frances, a leading
Argentinian retail bank and Ericsson, a Sweden based company that is a world
leader in many key areas of the telecommunications equipment industry.
9
<PAGE>
THIS PAGE INTENTIONALLY LEFT BLANK.
10
<PAGE>
FEBRUARY 29, 1996
SCHEDULES OF INVESTMENTS (UNAUDITED)
U.S. GOVERNMENT MONEY MARKET PORTFOLIO
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------------------ ---------------------
<C> <S> <C>
FEDERAL FARM CREDIT BANK-11.7%
$700,000 5.07%, 4/16/96 .............................. $695,465
905,000 5.13%, 3/11/96 .............................. 903,710
200,000 5.68%, 9/03/96 (1) .......................... 200,000
---------------------
Total Federal Farm Credit Bank
(cost--$1,799,175) .......................... $1,799,175
---------------------
FEDERAL HOME LOAN BANK-9.1%
$605,000 5.07%, 6/14/96 .............................. $596,054
500,000 5.41%, 3/14/97 .............................. 500,000
300,000 7.81%, 7/17/96 .............................. 301,986
---------------------
Total Federal Home Loan Bank
(cost--$1,398,040) .......................... $1,398,040
---------------------
FEDERAL HOME LOAN MORTGAGE CORPORATION-27.6%
$419,000 5.12%, 3/04/96 .............................. $418,821
100,000 5.13%, 3/13/96 .............................. 99,829
465,000 5.13%, 3/15/96 .............................. 464,072
2,490,000 5.13%, 3/18/96 .............................. 2,483,968
765,000 5.19%, 3/06/96 .............................. 764,449
---------------------
Total Federal Home Loan Mortgage Corporation
(cost--$4,231,139) .......................... $4,231,139
---------------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION-48.0%
$485,000 4.96%, 5/10/96 .............................. $480,322
705,000 5.04%, 7/17/96 .............................. 691,379
1,160,000 5.07%, 3/20/96 .............................. 1,156,896
415,000 5.07%, 7/12/96 .............................. 407,227
50,000 5.12%, 3/05/96 .............................. 49,972
665,000 5.12%, 4/12/96 .............................. 661,028
925,000 5.13%, 3/08/96 .............................. 924,077
55,000 5.15%, 3/06/96 .............................. 54,961
300,000 5.15%, 3/07/96 .............................. 299,742
100,000 5.15%, 3/14/96 .............................. 99,814
500,000 5.16%, 3/01/96 .............................. 500,000
825,000 5.16%, 3/26/96 .............................. 822,044
855,000 5.25%, 4/19/96 .............................. 848,890
365,000 5.63%, 6/28/96 .............................. 364,734
---------------------
Total Federal Home Loan Mortgage Corporation
(cost--$7,361,086) .......................... $7,361,086
---------------------
U.S. TREASURY NOTE-4.8%
$745,000 4.75%, 2/15/97
(cost--$742,333) ............................ $742,333
---------------------
Total Investments
(cost--$15,531,773) ............................................101.2% $15,531,773
Other Liabilities in Excess of
Other Assets ................................................... (1.2) (178,334)
----- ---------------------
TOTAL NET ASSETS ..................................................100.0% $15,353,439
----- ---------------------
----- ---------------------
</TABLE>
- --------------------------------------------------------------------------
(1) Represents a floating interest rate note subject to change on quarterly
coupon dates, based on the current 90 day U.S. Treasury Bill rate plus
20 basis points. Rate shown reflects the rate in effect at 2/29/96.
11
<PAGE>
FEBRUARY 29, 1996
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
INVESTMENT QUALITY BOND PORTFOLIO
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
-------------------- -------------------
<C> <S> <C>
U.S. TREASURY NOTES - 54.6%
$2,000,000 4.75%, 10/31/98 ................................ $1,961,880
500,000 5.125%, 2/28/98 ................................ 497,110
550,000 5.625%, 11/30/00 ............................... 546,992
2,650,000 6.75%, 5/31/99 ................................. 2,736,125
-------------------
Total U.S. Treasury Notes
(cost--$5,677,530) ............................. $5,742,107
-------------------
CORPORATE NOTES & BONDS - 33.8%
AUTOMOTIVE - 6.2%
$225,000 Ford Motor Credit Corp.
7.75%, 10/01/99 ................................ $236,781
400,000 General Motors Acceptance Corp.
7.75%, 1/15/99 ................................. 415,204
-------------------
651,985
-------------------
BANKING - 3.2%
350,000 Nationsbank Corp.
5.375%, 4/15/00 ................................ 340,186
-------------------
CHEMICALS - 1.3%
125,000 du Pont (E.I.) de Nemours & Co.
8.50%, 2/15/03 ................................. 136,201
-------------------
COMPUTERS - 3.9%
400,000 International Business Machines, Inc.
6.375%, 6/15/00 ................................ 405,440
-------------------
DRUGS & MEDICAL PRODUCTS - 3.5%
350,000 American Home Products Corp.
7.70%, 2/15/00 ................................. 369,411
-------------------
MISCELLANEOUS FINANCIAL SERVICES - 13.1%
350,000 Associates Corp. of North America
6.25%, 9/15/00 ................................. 351,344
350,000 Bear Stearns & Co.
7.625%, 9/15/99 ................................ 365,141
350,000 Dean Witter Discover & Co.
6.75%, 8/15/00 ................................. 357,168
50,000 Lehman Brothers, Inc.
9.875%, 10/15/00 ............................... 55,473
250,000 Morgan Stanley Group
5.75%, 2/15/01 ................................. 243,943
-------------------
1,373,069
-------------------
OIL/GAS- 2.6%
260,000 Amoco Canada Petroleum Co. Ltd.
7.25%, 12/01/02 ................................ 272,321
-------------------
Total Corporate Notes & Bonds
(cost--$3,540,794) ............................. $3,548,613
-------------------
FOREIGN GOVERNMENT NOTE - 8.9%
1,200,000 A$ Australian Commonwealth
8.75%, 1/15/01
(cost--$935,544) ............................... $936,057
-------------------
Total Investments
(cost--$10,153,868) .............................................. 97.3% $10,226,777
Other Assets in Excess of
Other Liabilities ................................................ 2.7 288,734
----- -------------------
TOTAL NET ASSETS .................................................... 100.0% $10,515,511
----- -------------------
----- -------------------
- ----------------------------------------------------------------------------------
</TABLE>
12
<PAGE>
FEBRUARY 29, 1996
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
MUNICIPAL BOND PORTFOLIO
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
--------------------- -------------------
<C> <S> <C>
MUNICIPAL NOTES & BONDS - 89.0%
CALIFORNIA - 11.3%
Education - 1.9%
California State Public Works Board Lease Revenue
$50,000 California State University Projects
6.00%, 9/01/15 ...................................... $50,541
10,000 Community College Projects
6.00%, 12/01/12 (AMBAC insured) ..................... 10,484
-------------------
61,025
-------------------
POLLUTION CONTROL - 3.2%
100,000 California State Pollution Control Financing Authority
Pollution Control Revenue (1)
3.50%, 2/28/08 ...................................... 100,000
-------------------
POWER/UTILITY - 3.8%
125,000 Los Angeles, California Department of Water and Power
Electric Plant Revenue
5.375%, 9/01/23 (FGIC insured) ...................... 119,225
-------------------
WATER/SEWER - 2.4%
75,000 San Francisco, California City & County Public Utilities
Community Water Revenue (Series A)
6.00%, 11/01/15 ..................................... 76,812
-------------------
357,062
-------------------
CONNECTICUT - 0.7%
HOUSING
20,000 Connecticut State Housing Finance Authority
Housing Mortgage Financing Program
6.50%, 5/15/18 ...................................... 20,815
-------------------
FLORIDA - 7.5%
EDUCATION - 1.1%
35,000 Dade County, Florida School Board
Certificates of Participation (Series A)
5.75%, 5/01/12 (MBIA insured) ....................... 35,836
-------------------
GENERAL OBLIGATION - 3.4%
Florida State Board of Education Capital Outlay
75,000 5.25%, 6/01/23 (Series D) ........................... 70,451
35,000 6.00%, 6/01/19 (Series A) ........................... 36,048
-------------------
106,499
-------------------
POWER/UTILITY - 0.8%
25,000 Jacksonville, Florida Electric Authority Revenue
St. John's River Power
5.50%, 10/01/14 ..................................... 24,712
-------------------
SALES TAX - 1.6%
50,000 St. Petersburg, Florida Professional Sports Facilities
Sales Tax Revenue
5.60%, 10/01/15 (MBIA insured) ...................... 50,554
-------------------
TURNPIKE/TOLL - 0.6%
20,000 Orlando & Orange County Expressway Authority
Florida Expressway Revenue
5.00%, 7/01/17 (FGIC insured) ....................... 18,680
-------------------
236,281
-------------------
IOWA - 1.7%
WATER/SEWER
50,000 West Des Moines, Iowa Water Revenue
6.80%, 12/01/13 (AMBAC insured) ..................... 54,119
-------------------
13
<PAGE>
FEBRUARY 29, 1996
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
MUNICIPAL BOND PORTFOLIO (CONT'D)
<CAPTION>
PRINCIPAL
AMOUNT VALUE
--------------------- -------------------
<C> <S> <C>
KENTUCKY - 3.2%
TURNPIKE/TOLL
$100,000 Kentucky State Turnpike Authority
Economic Development Road Revenue
5.625%, 7/01/15 (AMBAC insured) ..................... $100,533
-------------------
MASSACHUSETTS - 4.4%
GENERAL OBLIGATION - 2.0%
10,000 Boston, Massachusetts General Obligation Bonds (Series B
5.875%, 8/01/12 (AMBAC insured) ..................... 10,391
50,000 Lowell, Massachusetts General Obligation Bonds
6.05%, 4/01/11 ...................................... 52,555
-------------------
62,946
-------------------
TRANSPORTATION - 1.6%
50,000 Massachusetts Bay Transportation Authority
General Transportation System
5.90%, 3/01/24 ...................................... 50,337
-------------------
WATER/SEWER - 0.8%
Massachusetts State Water Resources Authority
15,000 5.50%, 11/01/15 (Series B) .......................... 14,543
10,000 5.75%, 8/01/10 (Series A) ........................... 10,405
-------------------
24,948
-------------------
138,231
-------------------
MICHIGAN - 3.9%
POLLUTION CONTROL
125,000 Michigan State Environmental Protection Program
5.40%, 11/01/19 ..................................... 122,052
-------------------
MISSOURI - 1.5%
HOUSING
45,000 Missouri State Housing Development Community
Single Family Mortgage Revenue
6.90%, 7/01/18 ...................................... 47,642
-------------------
NEBRASKA - 1.3%
POWER/UTILITY
40,000 Omaha Public Power Distribution
5.50%, 2/01/14 ...................................... 40,638
-------------------
NEVADA - 4.1%
GENERAL OBLIGATION
50,000 Clark County, Nevada General Obligation Bonds
6.00%, 6/01/16 (AMBAC insured) ...................... 55,178
75,000 Nevada State General Obligation Bonds
Municipal Bond Bank (Series A)
5.50%, 11/01/20 ..................................... 74,225
-------------------
129,403
-------------------
NEW HAMPSHIRE - 1.0%
TURNPIKE/TOLL
30,000 New Hampshire State Turnpike Systems
6.00%, 4/01/13 ...................................... 30,849
-------------------
NEW JERSEY - 0.3%
WATER/SEWER
10,000 Gloucester County, New Jersey
Utilities Authority Sewer Revenue
6.125%, 1/01/13 ..................................... 10,539
-------------------
14
<PAGE>
FEBRUARY 29, 1996
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
MUNICIPAL BOND PORTFOLIO (CONT'D)
<CAPTION>
Principal
Amount Value
--------------------- -------------------
<C> <S> <C>
NEW YORK - 24.7%
EDUCATION - 7.6%
New York State Dormitory Authority Revenue
$75,000 Albany Memorial Hospital
5.50%, 7/01/10 ...................................... $74,043
125,000 Consolidated City University System
5.75%, 7/01/09 ...................................... 133,660
30,000 Sarah Lawrence College
6.00%, 7/01/15 ...................................... 31,457
-------------------
239,160
-------------------
GENERAL OBLIGATION - 0.7%
20,000 New York City General Obligation Bonds (Series B)
7.00%, 10/01/19 ..................................... 21,023
-------------------
HOUSING - 0.7%
20,000 New York State Mortgage Agency Revenue (Series A)
6.875%, 4/01/17 ..................................... 20,555
-------------------
POLLUTION CONTROL - 7.6%
New York State Energy Research and Development Authority
Pollution Control Revenue (1)
100,000 New York State Gas and Electric
3.20%, 6/01/29 ...................................... 100,000
100,000 Niagara Mohawk
3.50%, 7/01/15 ...................................... 100,000
40,000 New York State Environmental Facilities Corp.
Pollution Control Revenue
5.875%, 6/15/14 ..................................... 40,999
-------------------
240,999
-------------------
SALES TAX - 2.8%
New York State Local Government Assistance Corp.
75,000 6.00%, 4/01/16 ...................................... 78,141
10,000 6.25%, 4/01/18 ...................................... 10,550
-------------------
88,691
-------------------
TRANSPORTATION - 3.3%
100,000 Metropolitan Transit Authority
5.50%, 7/01/08 (FGIC insured) ....................... 105,405
-------------------
WATER/SEWER - 2.0%
65,000 New York City Municipal Water Finance Authority
Water and Sewer Systems Revenue
5.50%, 6/15/15 (MBIA insured) ....................... 64,082
-------------------
779,915
-------------------
OHIO - 1.9%
HEALTH/HOSPITAL
50,000 Lorain County, Ohio Hospital Revenue
7.75%, 11/01/13 (AMBAC insured) ..................... 60,498
-------------------
PENNSYLVANIA - 4.0%
TAX ALLOCATION - 2.4%
75,000 Philadelphia, Pennsylvania Municipal Authority Revenue
5.625%, 11/15/14 (FGIC insured) ..................... 74,778
-------------------
WATER/SEWER - 1.6%
50,000 Pittsburgh, Pennsylvania Water & Sewer Authority
Water & Sewer Systems Revenue
5.60%, 9/15/15 ...................................... 50,190
-------------------
124,968
-------------------
15
<PAGE>
FEBRUARY 29, 1996
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
MUNICIPAL BOND PORTFOLIO (CONT'D)
<CAPTION>
PRINCIPAL
AMOUNT VALUE
--------------------- -------------------
<C> <S> <C>
PUERTO RICO - 2.1%
POWER/UTILITY
$65,000 Puerto Rico Electric Power Authority
Power Revenue (Series X)
6.00%, 7/01/15 ...................................... $66,990
-------------------
TEXAS - 13.1%
AIRLINE/AIRPORT - 6.4%
200,000 Grapevine, Texas Industrial Development Corp. Revenue
Multiple Mode American Airlines (1)
3.50%, 12/01/24 ..................................... 200,000
-------------------
CORRECTIONAL FACILITIES - 0.3%
10,000 East Texas Criminal Justice Facilities Financing Corp.
Mortgage Revenue City of Henderson Project
6.125%, 11/01/14 (AMBAC insured) .................... 10,540
-------------------
EDUCATION - 0.5%
15,000 University of Texas Revenue Bonds (Series B)
6.75%, 8/15/13 ...................................... 16,576
-------------------
GENERAL OBLIGATION - 4.3%
75,000 Houston, Texas General Obligation Bonds
5.25%, 4/01/14 ...................................... 73,200
25,000 San Antonio, Texas General Obligation Bonds
6.625%, 8/01/14 ..................................... 26,909
35,000 Texas State General Obligation Bonds
6.00%, 8/01/12 ...................................... 36,551
-------------------
136,660
-------------------
POWER/UTILITY - 1.6%
50,000 Brazos River Authority Texas Revenue
Houston Light & Power Company
5.80%, 8/01/15 (MBIA insured) ....................... 50,477
-------------------
414,253
-------------------
WASHINGTON - 1.5%
POWER/UTILITY
35,000 Seattle, Washington Municipal Light & Power Revenue
5.75%, 8/01/11 ...................................... 35,819
10,000 Washington State Public Power Supply Systems
Nuclear Project Revenue
7.25%, 7/01/12 (FGIC insured) ....................... 11,161
-------------------
46,980
-------------------
WYOMING - 0.8%
HOUSING
25,000 Wyoming Community Development
Authority Housing Revenue
6.65%, 12/01/06 ..................................... 26,241
-------------------
Total Investments
(cost--$2,745,315)....................................................... 89.0% $2,808,009
Other Assets in Excess of
Other Liabilities........................................................ 11.0 346,361
------- -------------------
Total Net Assets............................................................ 100.0% $3,154,370
------- -------------------
------- -------------------
- ----------------------------------------------------------------------------------
</TABLE>
(1) Represents a variable rate demand note subject to change daily and payable
on demand. Rate shown reflects the rate in effect on 2/29/96.
16
<PAGE>
FEBRUARY 29, 1996
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
LARGE CAPITALIZATION VALUE PORTFOLIO
<TABLE>
<CAPTION>
PRICIPAL
AMOUNT VALUE
------------------- ------------------------
<C> <S> <C>
SHORT-TERM CORPORATE NOTES - 20.2%
MISCELLANEOUS FINANCIAL SERVICES
Federal Home Loan Mortgage Corp.
$50,000 5.10%, 3/01/96 ...................................... $50,000
875,000 5.12%, 3/20/96 ...................................... 872,636
100,000 5.14%, 3/04/96 ...................................... 99,957
------------------------
1,022,593
------------------------
900,000 Federal National Mortgage Association
5.11%, 3/06/96 ...................................... 899,361
------------------------
International Bank of Reconstruction and Development
150,000 5.27%, 3/12/96 ...................................... 149,759
280,000 5.29%, 3/12/96 ...................................... 279,547
------------------------
429,306
------------------------
Total Short-Term Corporate Notes
(cost--$2,351,260)................................... $2,351,260
------------------------
SHARES
-------------------
COMMON STOCKS - 79.6%
AEROSPACE - 5.7%
7,600 Loral Corp. ........................................... $358,150
3,500 McDonnell Douglas Corp. ............................... 308,875
------------------------
667,025
------------------------
AUTOMOTIVE - 2.9%
9,000 Varity Corp.* ......................................... 339,750
------------------------
BANKING - 6.4%
4,800 Citicorp ............................................... 374,400
2,300 First Interstate Bancorp, Inc. ....................... 375,763
------------------------
750,163
------------------------
CHEMICALS - 4.7%
3,700 du Pont (E.I.) de Nemours & Co. ....................... 283,050
1,980 Hercules, Inc. ........................................ 118,800
1,050 Monsanto Co. .......................................... 141,356
------------------------
543,206
------------------------
CONGLOMERATE - 1.9%
2,900 General Electric Co. .................................. 218,950
------------------------
CONTAINERS - 1.3%
3,800 Temple-Inland, Inc. ................................... 152,950
------------------------
DRUGS & MEDICAL PRODUCTS - 3.1%
4,340 Becton Dickinson & Co. ................................ 355,880
------------------------
ELECTRONICS - 5.6%
6,080 Arrow Electronics, Inc.* .............................. 299,440
6,000 Intel Corp. ........................................... 352,875
------------------------
652,315
------------------------
HEALTHCARE SERVICES - 4.2%
3,800 Columbia/HCA Healthcare Corp. ......................... 208,050
12,800 Tenet Healthcare Corp.* ............................... 286,400
------------------------
494,450
------------------------
INSURANCE - 21.0%
9,400 Ace Ltd. .............................................. 439,450
5,300 AFLAC, Inc. ........................................... 245,787
2,150 American International Group, Inc. .................... 207,744
7,810 EXEL Ltd. ............................................. 544,748
1,200 General Reinsurance Corp. ............................. 172,650
4,180 Progressive Corp., Ohio ................................ 192,280
15,000 Prudential Reinsurance Holdings, Inc. ................. 367,500
10,000 RenaissanceRe Holdings Ltd. ........................... 280,000
------------------------
2,450,159
------------------------
17
<PAGE>
FEBRUARY 29, 1996
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
LARGE CAPITALIZATION VALUE PORTFOLIO (CONT'D)
<CAPTION>
SHARES VALUE
------------------- ------------------------
<C> <S> <C>
METALS/MINING - 0.8%
3,000 Freeport McMoRan, Copper & Gold (Class B) .............. $97,875
------------------------
MISCELLANEOUS FINANCIAL SERVICES - 5.9%
7,200 Countrywide Credit Industries, Inc. ................... 151,200
4,850 Federal Home Loan Mortgage Corp. ...................... 400,125
4,200 Federal National Mortgage Corp. ....................... 132,825
------------------------
684,150
------------------------
PAPER PRODUCTS - 1.3%
3,800 Champion International Corp. .......................... 152,000
------------------------
PRINTING/PUBLISHING - 2.5%
8,000 R.R. Donnelley & Sons Co. ............................. 288,000
------------------------
RAILROAD - 1.5%
2,100 Norfolk Southern Corp. ................................ 171,150
------------------------
RETAIL - 2.7%
6,650 May Department Stores Co. ............................. 310,056
------------------------
TELECOMMUNICATIONS - 1.8%
5,000 Sprint Corp. .......................................... 215,000
------------------------
TEXTILES - 1.3%
13,000 Shaw Industries, Inc. ................................. 147,875
------------------------
TOYS/GAMES/HOBBY - 1.1%
4,000 Mattel, Inc. .......................................... 133,000
------------------------
TRANSPORTATION - 3.9%
3,000 AMR Corp. ............................................. 263,250
4,400 CSX Corp. ............................................. 197,450
------------------------
460,700
------------------------
Total Common Stocks
(cost--$7,751,962) .................................. $9,284,654
------------------------
Total Investments
(cost--$10,103,222) .................................................. 99.8% $11,635,914
Other Assets in Excess of
Other Liabilities .................................................... 0.2 25,683
------- ------------------------
Total Net Assets ........................................................ 100.0% $11,661,597
------- ------------------------
------- ------------------------
- ----------------------------------------------------------------------------------
</TABLE>
* Non-income producing security.
18
<PAGE>
FEBRUARY 29, 1996
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
LARGE CAPITALIZATION GROWTH PORTFOLIO
<TABLE>
<CAPTION>
SHARES VALUE
----------------------- --------------------------
<C> <S> <C>
COMMON STOCKS - 92.5%
BANKING - 10.3%
8,150 BankAmerica Corp. ................................... $580,688
3,450 First Interstate Bancorp, Inc. ...................... 563,644
7,810 NationsBank Corp. ................................... 575,988
16,330 Norwest Corp. ....................................... 596,045
--------------------------
2,316,365
--------------------------
CHEMICALS - 4.9%
7,605 Great Lakes Chemical Corp. .......................... 543,757
14,780 Morton International, Inc. .......................... 559,793
--------------------------
1,103,550
--------------------------
COMPUTERS - 7.9%
7,570 Cabletron Systems, Inc.* ............................. 568,696
6,895 Hewlett - Packard Co. ............................... 694,671
20,690 Silicon Graphics, Inc.* .............................. 517,250
--------------------------
1,780,617
--------------------------
COMPUTER SERVICES - 14.5%
14,960 Adobe Systems, Inc. ................................. 501,160
16,140 Autodesk, Inc. ...................................... 570,952
13,320 Automatic Data Processing, Inc. ..................... 516,150
12,520 Cisco Systems, Inc. * ............................... 594,700
7,739 First Data Corp. .................................... 535,926
17,660 Sybase, Inc.* ........................................ 554,083
--------------------------
3,272,971
--------------------------
COMPUTER SOFTWARE - 7.2%
19,540 Electronic Arts, Inc.* ............................... 488,500
5,575 Microsoft Corp.* ..................................... 550,183
11,000 Oracle Systems Corp.* ............................... 572,000
--------------------------
1,610,683
--------------------------
CONGLOMERATE - 2.4%
7,140 General Electric Co. ................................ 539,070
--------------------------
DRUGS & MEDICAL PRODUCTS - 4.8%
8,970 Amgen, Inc.* ......................................... 535,957
8,130 Merck & Co., Inc. ................................... 538,613
--------------------------
1,074,570
--------------------------
ELECTRONICS - 6.9%
13,760 Applied Materials, Inc.* ............................. 491,920
18,400 General Instrument Corp.* ............................ 501,400
9,620 Intel Corp. ......................................... 565,776
--------------------------
1,559,096
--------------------------
ENTERTAINMENT - 2.6%
8,875 The Walt Disney Co. ................................. 581,312
--------------------------
HEALTHCARE SERVICES - 2.5%
8,680 United Healthcare Corp. ............................. 566,370
--------------------------
INSURANCE - 4.9%
5,892 American International Group, Inc. .................. 569,314
5,500 Chubb Corp. ......................................... 534,188
--------------------------
1,103,502
--------------------------
MANUFACTURING - 2.3%
14,300 Tyco International Ltd. ............................. 516,587
--------------------------
MISCELLANEOUS FINANCIAL SERVICES - 5.1%
10,515 Dean Witter Discover and Co. ........................ 565,181
23,240 Schwab (Charles) Corp. .............................. 592,620
--------------------------
1,157,801
--------------------------
19
<PAGE>
FEBRUARY 29, 1996
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
LARGE CAPITALIZATION GROWTH PORTFOLIO (CONT'D)
<CAPTION>
SHARES VALUE
----------------------- --------------------------
<C> <S> <C>
RETAIL - 6.8%
18,650 Circuit City Stores, Inc. ........................... $552,506
12,310 Home Depot, Inc. .................................... 532,407
21,100 Wal-Mart Stores, Inc. ............................... 448,375
--------------------------
1,533,288
--------------------------
TELECOMMUNICATIONS - 9.4%
8,400 AT&T Corp. .......................................... 534,450
9,850 Motorola, Inc. ...................................... 534,363
12,000 QUALCOMM, Inc.* ...................................... 473,250
12,200 Tellabs, Inc.* ....................................... 576,450
--------------------------
2,118,513
--------------------------
Total Investments
(cost--$18,830,892) .................................................... 92.5% $20,834,295
Other Assets in Excess of
Other Liabilities ...................................................... 7.5 1,692,132
------ --------------------------
TOTAL NET ASSETS ..........................................................100.0% $22,526,427
------ --------------------------
------ --------------------------
- ----------------------------------------------------------------------------------
</TABLE>
*Non - income producing security.
20
<PAGE>
FEBRUARY 29, 1996
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
SMALL CAPITALIZATION PORTFOLIO
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
---------------------- ----------------------
<C> <S> <C>
SHORT-TERM CORPORATE NOTES - 8.7%
MISCELLANEOUS FINANCIAL SERVICES
$1,500,000 Cargill Financial Services Corporation
5.40%, 3/01/96
(cost -- $1,500,000) ................................. $1,500,000
----------------------
SHARES
----------------------
COMMON STOCKS - 91.7%
AIRLINES - 2.9%
16,000 Comair Holdings, Inc. .................................. $498,000
----------------------
BUILDING & CONSTRUCTION - 3.1%
17,500 Cavalier Homes, Inc. ................................... 260,312
17,500 Southern Energy Homes, Inc.* ............................ 273,438
----------------------
533,750
----------------------
COMMERCIAL SERVICES - 7.9%
9,500 Corestaff, Inc.* ....................................... 401,375
12,500 F.Y.I., Inc.* .......................................... 215,625
10,500 RTW, Inc. * ............................................. 330,750
10,000 Stewart Enterprises, Inc. .............................. 415,000
----------------------
1,362,750
----------------------
COMPUTERS - 4.5%
15,000 Cognex Corp. * .......................................... 337,500
8,500 Micros Systems, Inc. * .................................. 442,000
----------------------
779,500
----------------------
COMPUTER SERVICES - 1.6%
17,000 American Business Information, Inc. * ................... 267,750
----------------------
COMPUTER SOFTWARE - 5.7%
12,300 Electronics for Imaging, Inc.* ......................... 562,725
5,500 Remedy Corp. * .......................................... 423,500
----------------------
986,225
----------------------
CORRECTIONAL FACILITIES - 1.7%
8,500 Wackenhut Corrections Corp. ............................ 297,500
----------------------
DRUGS & MEDICAL PRODUCTS - 4.8%
10,000 Gelman Sciences, Inc. * ................................. 237,500
16,000 Meridian Diagnostic ..................................... 160,000
19,000 Respironics, Inc. * ..................................... 422,750
----------------------
820,250
----------------------
ELECTRONICS - 6.4%
23,500 Methode Electronics, Inc. - Class A ..................... 329,000
12,500 Perceptron, Inc.* ....................................... 294,531
15,500 SDL, Inc. * ............................................. 470,813
----------------------
1,094,344
----------------------
FOOD SERVICES - 2.3%
12,500 Lone Star Steakhouse & Saloon * ......................... 398,437
----------------------
HEALTHCARE SERVICES - 4.8%
13,000 MedPartners/Mullikin, Inc. * ............................ 390,000
9,000 Omnicare, Inc. ......................................... 434,250
----------------------
824,250
----------------------
HOUSEHOLD PRODUCTS - 2.6%
12,000 Lancaster Colony Corp. ................................. 453,000
----------------------
INSURANCE - 2.4%
11,500 United Dental Care, Inc.* ............................... 408,250
----------------------
LEASING - 0.9%
11,000 Alrenco, Inc.* ......................................... 162,250
----------------------
21
<PAGE>
FEBRUARY 29, 1996
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
SMALL CAPITALIZATION PORTFOLIO (CONT'D)
<CAPTION>
SHARES VALUE
---------------------- ----------------------
<C> <S> <C>
LEISURE - 2.7%
10,500 Coleman Company, Inc. * ................................. $459,375
----------------------
LODGING - 2.9%
18,500 La Quinta Inns, Inc. ................................... 499,500
----------------------
MANUFACTURING - 2.0%
19,500 Special Devices, Inc. * ................................. 346,125
----------------------
MISCELLANEOUS FINANCIAL SERVICES - 1.3%
19,500 Jayhawk Acceptance Corp. * .............................. 216,937
----------------------
PRINTING & PUBLISHING - 4.4%
5,500 Scholastic Corp. * ...................................... 383,625
12,500 Scientific Games Holding Corp.* ......................... 375,000
----------------------
758,625
----------------------
RETAIL - 10.7%
12,500 CompUSA, Inc.* .......................................... 500,000
12,000 Dollar Tree Stores, Inc. * .............................. 453,000
10,000 Gadzooks, Inc.* ......................................... 272,500
15,000 Sunglass Hut International, Inc. * ...................... 416,250
7,500 The Men's Wearhouse, Inc. * ............................. 204,375
----------------------
1,846,125
----------------------
TELECOMMUNICATIONS - 11.9%
9,000 Century Telephone Enterprises ........................... 302,625
18,500 Harmonic Lightwaves, Inc. * ............................. 268,250
17,500 MIDCOM Communications, Inc. * ........................... 240,625
6,500 Picturetel Corp. * ...................................... 229,938
8,500 Spectrian Corp. * ....................................... 210,375
12,000 Teltrend, Inc. * ........................................ 577,500
14,500 TresCom International, Inc.* ............................ 217,500
----------------------
2,046,813
----------------------
TOBACCO/BEVERAGES/FOOD PRODUCTS - 1.5%
14,500 Pete's Brewing Co.* .................................... 264,625
----------------------
TRANSPORTATION - 2.7%
17,000 Rural/Metro Corp. * ..................................... 459,000
----------------------
TOTAL COMMON STOCKS
(cost--$13,171,066) .................................. $15,783,381
----------------------
Total Investments
(cost--$14,671,066) ...................................................... 100.4% $17,283,381
Other Liabilities in Excess of
Other Assets ............................................................. (0.4) (72,572)
------- ----------------------
TOTAL NET ASSETS ............................................................ 100.0% $17,210,809
------- ----------------------
------- ----------------------
- --------------------------------------------------------------------------------------
</TABLE>
* Non-income producing security.
22
<PAGE>
FEBRUARY 29, 1996
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
INTERNATIONAL EQUITY PORTFOLIO
<TABLE>
<CAPTION>
SHARES VALUE
-------------------- -----------------------
<C> <S> <C>
COMMON STOCKS - 86.0%
ARGENTINA - 3.4%
BANKING - 0.9%
1,700 Banco Frances del Rio de la Plata S.A. Sponsored ADR .... $44,200
-----------------------
OIL/GAS - 1.4%
6,500 Perez Companc S.A. ADR .................................. 64,748
-----------------------
TELECOMMUNICATIONS - 1.1%
2,000 Telephonica de Argentina ADR ............................ 52,250
-----------------------
161,198
-----------------------
BRAZIL - 1.4%
UTILITIES
2,500 Cemig S.A . Sponsored ADR ............................... 68,518
-----------------------
FINLAND - 2.5%
PAPER PRODUCTS - 1.6%
3,700 Repola OY Sponsored ADR ................................. 74,463
-----------------------
TELECOMMUNICATIONS - 0.9%
1,300 Nokia Corp. Sponsored ADR ............................... 45,337
-----------------------
119,800
-----------------------
FRANCE - 4.7%
AUTOMOTIVE
2,000 Valeo S.A. Sponsored ADR ................................ 110,355
3,000 Peugeot Citrogen S.A. ADR ............................... 112,240
-----------------------
222,595
-----------------------
GERMANY - 3.5%
CHEMICALS - 2.0%
600 Hoechst AG ADR .......................................... 94,800
-----------------------
MACHINERY/ENGINEERING - 1.5%
200 Mannesmann AG Sponsored ADR ............................. 71,510
-----------------------
166,310
-----------------------
HONG KONG - 8.9%
BANKING - 2.0%
600 HSBC Holdings Plc. Sponsored ADR ........................ 96,233
-----------------------
REAL ESTATE - 4.3%
16,500 Cheung Kong Holdings Ltd. ADR ........................... 114,710
10,000 Sun Hung Kai Properties Ltd. Sponsored ADR .............. 89,246
-----------------------
203,956
-----------------------
RETAIL - 1.6%
16,000 Dairy Farm International Holdings Ltd. Sponsored ADR .... 78,000
-----------------------
TRANSPORTATION - 1.0%
5,300 Swire Pacific Ltd. ADR .................................. 46,272
-----------------------
424,461
-----------------------
INDONESIA - 0.6%
TELECOMMUNICATIONS
800 Indonesian Satellite ADR ................................ 29,900
-----------------------
JAPAN - 36.3%
AUTOMOTIVE - 2.0%
2,200 Toyota Motor Corp. ADR .................................. 94,325
-----------------------
BANKING - 6.0%
700 Mitsubishi Trust & Banking Corp. Sponsored ADR .......... 107,825
600 Sakura Bank Ltd. ADR .................................... 65,038
600 Sumitomo Bank Ltd. Japan ADR ............................ 114,101
-----------------------
286,964
-----------------------
23
<PAGE>
FEBRUARY 29, 1996
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
INTERNATIONAL EQUITY PORTFOLIO (CONT'D)
<CAPTION>
-------------------- -----------------------
<C> <S> <C>
JAPAN (CONT'D)
BUILDING & CONSTRUCTION - 1.0%
700 Taisei Construction Ltd. ADR ............................ $45,593
-----------------------
CHEMICALS - 2.4%
1,600 Asahi Chemical Industry Co. Ltd. ADR .................... 115,318
-----------------------
CONGLOMERATE - 1.9%
3,600 Mitsubishi Corp. Sponsored ADR .......................... 88,998
-----------------------
DRUGS & MEDICAL PRODUCTS - 2.1%
5,400 Eisai Ltd. ADR .......................................... 98,583
-----------------------
ELECTRONICS - 9.5%
1,000 Hitachi Ltd. Sponsored ADR .............................. 100,750
700 Kyocera Corp. Sponsored ADR ............................. 94,500
700 Secom Ltd. ADR .......................................... 87,325
450 Sharp Corp. ADR ......................................... 70,172
1,700 Sony Corp. ADR ......................................... 99,450
-----------------------
452,197
-----------------------
MANUFACTURING - 1.6%
500 Bridgestone Corp. ADR ................................... 77,969
-----------------------
METALS/MINING - 2.1%
3,000 Kawasaki Steel Corp. Sponsored ADR ...................... 101,549
-----------------------
MISCELLANEOUS FINANCIAL SERVICES - 1.9%
450 Nomura Securities Ltd. ADR .............................. 92,422
-----------------------
PHOTOGRAPHY - 1.9%
1,000 Canon, Inc. Sponsored ADR ............................... 92,500
-----------------------
REAL ESTATE - 1.5%
600 Mitsubishi Estate Co. Ltd. ADR .......................... 73,025
-----------------------
RETAIL - 2.4%
500 Ito - Yokado Co. Ltd. Sponsored ADR ..................... 112,750
-----------------------
1,732,193
-----------------------
MALAYSIA - 2.4%
ENTERTAINMENT
13,000 Genting Berhad SH Malay ADR ............................. 116,286
-----------------------
NETHERLANDS - 1.7%
AIRLINES
2,400 KLM Royal Dutch Air Lines NV............................. 79,800
-----------------------
PHILIPPINES - 1.1%
TELECOMMUNICATIONS
850 Philippine Long Distance Telephone Co. Sponsored ADR .... 50,256
-----------------------
SOUTH KOREA - 1.0%
UTILITIES
2,000 Korea Electric Power Corp. ADR .......................... 48,500
-----------------------
SPAIN - 1.7%
OIL/GAS
2,300 Repsol SA Sponsored ADR ................................. 83,375
-----------------------
24
<PAGE>
FEBRUARY 29, 1996
SCHEDULES OF INVESTMENTS (UNAUDITED) (CONTINUED)
INTERNATIONAL EQUITY PORTFOLIO (CONT'D)
<CAPTION>
-------------------- -----------------------
<C> <S> <C>
SWEDEN - 4.6%
MACHINERY/ENGINEERING - 2.3%
5,500 Sandvik AB Sponsored ADR ................................ $110,813
-----------------------
TELECOMMUNICATIONS - 2.3%
5,000 Telefonaktiebolaget LM Ericsson Sponsored ADR ........... 109,375
-----------------------
220,188
-----------------------
SWITZERLAND - 1.9%
DRUGS & MEDICAL PRODUCTS
2,000 Ciba-Geigy AG Sponsored ADR ............................. 88,500
-----------------------
UNITED KINGDOM - 10.3%
BANKING - 1.2%
1,200 Barclays Plc. Sponsored ADR ............................. 56,550
-----------------------
CONGLOMERATE - 0.6%
1,820 Rank Organisation Plc. Sponsored ADR .................... 26,845
-----------------------
DRUGS & MEDICAL PRODUCTS - 1.8%
1,400 Glaxo Wellcome Plc. Sponsored ADR ....................... 38,325
3,000 Medeva Plc. Sponsored ADR ............................... 45,375
-----------------------
83,700
-----------------------
MANUFACTURING - 1.1%
3,200 Tomkins Plc. ADR ........................................ 51,600
-----------------------
MEDIA/BROADCASTING - 1.3%
2,000 Carlton Communications Plc. Sponsored ADR ............... 64,250
-----------------------
OIL/GAS - 0.4%
250 Shell Transport & Trading Plc. ADR ...................... 19,625
-----------------------
PRINTING/PUBLISHING - 0.4%
3,300 Rexam Plc. ADR .......................................... 19,387
-----------------------
TELECOMMUNICATIONS - 1.1%
2,500 Cable & Wireless Plc. Sponsored ADR ..................... 50,625
-----------------------
TOBACCO/BEVERAGES/FOOD PRODUCTS - 2.4%
2,700 Bass Plc. Sponsored ADR ................................. 63,113
3,000 BAT Industries Plc. Sponsored ADR ....................... 53,625
-----------------------
116,738
-----------------------
489,320
-----------------------
Total Common Stocks
(cost--$3,965,470) ................................... $4,101,200
-----------------------
CONTRACTS
--------------------
PURCHASED PUT OPTION ON FOREIGN
CURRENCY - 2.3%
58 Philadelphia Stock Exchange Japanese Yen Put
expiring Sept. '96 @ 96.00
(cost--$126,210) ..................................... $112,375
-----------------------
Total Investments
(cost--$4,091,680) ..................................................... 88.3% $4,213,575
Other Assets in Excess of
Other Liabilities ...................................................... 11.7 557,427
------- -----------------------
TOTAL NET ASSETS .......................................................... 100.0% $4,771,002
------- -----------------------
------- -----------------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
25
<PAGE>
FEBRUARY 29, 1996
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
<TABLE>
<CAPTION>
U.S. LARGE
GOVERNMENT INVESTMENT MUNICIPAL CAPITALIZATION
MONEY MARKET QUALITY BOND BOND VALUE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- --------------- --------------- --------------
<S> <C> <C> <C> <C>
ASSETS
Investments, at value (cost--$15,531,773,
$10,153,868, $2,745,315, $10,103,222,
$18,830,892, $14,671,066 and
$4,091,680, respectively) ...................... $15,531,773 $10,226,777 $2,808,009 $11,635,914
Cash ............................................. 5,596 295,383 143,861 12,136
Receivable for shares of beneficial
interest sold .................................. 292,100 67,775 41,471 105,727
Deferred organization expenses ................... 44,673 44,673 44,673 44,673
Receivable from manager........................... 21,065 25,752 108,666 74,186
Interest receivable .............................. 10,803 150,677 39,345 --
Receivable for investments sold .................. -- -- -- 99,400
Dividends receivable ............................. -- -- -- 10,795
Prepaid expenses and other assets ................ 8,162 8,214 7,495 7,902
-------------- --------------- --------------- --------------
Total Assets ................................ 15,914,172 10,819,251 3,193,520 11,990,733
-------------- --------------- --------------- --------------
LIABILITIES
Payable for investments purchased ................ 500,000 251,699 -- 280,000
Administration fee payable ....................... 20,885 20,885 20,885 20,885
Payable for shares of beneficial
interest redeemed .............................. 8,651 -- -- --
Dividends payable ................................ 1,127 111 350 --
Management fee payable ........................... -- -- -- --
Other payables and accrued expenses .............. 30,070 31,045 17,915 28,251
-------------- --------------- --------------- --------------
Total Liabilities ........................... 560,733 303,740 39,150 329,136
-------------- --------------- --------------- --------------
NET ASSETS
Shares of beneficial interest at par value........ 15,353 1,034 309 846
Paid-in-surplus................................... 15,338,086 10,438,956 3,093,136 10,037,731
Accumulated undistributed net investment
income (loss) .................................. -- -- -- 16,957
Accumulated net realized gain (loss)
on investments.................................. -- 2,491 (1,769) 73,371
Net unrealized appreciation on investments........ -- 73,030 62,694 1,532,692
-------------- --------------- --------------- --------------
Total Net Assets............................. $15,353,439 $10,515,511 $3,154,370 $11,661,597
-------------- --------------- --------------- --------------
-------------- --------------- --------------- --------------
Shares of beneficial interest outstanding........ 15,353,439 1,034,307 308,551 846,146
-------------- --------------- --------------- --------------
Net asset value and offering price per share..... $1.00 $10.17 $10.22 $13.78
-------------- --------------- --------------- --------------
-------------- --------------- --------------- --------------
<CAPTION>
LARGE
CAPITALIZATION SMALL INTERNATIONAL
GROWTH CAPITALIZATION EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO
-------------- --------------- ---------------
<S> <C> <C> <C>
ASSETS
Investments, at value (cost--$15,531,773,
$10,153,868, $2,745,315, $10,103,222,
$18,830,892, $14,671,066 and
$4,091,680, respectively) ....................... $20,834,295 $17,283,381 $4,213,575
Cash .............................................. 699,657 9,863 351,645
Receivable for shares of beneficial
interest sold ................................... 201,388 37,969 63,245
Deferred organization expenses .................... 44,673 44,673 44,673
Receivable from manager............................ -- -- 92,365
Interest receivable ............................... -- -- --
Receivable for investments sold ................... 808,293 -- 35,892
Dividends receivable .............................. 16,468 1,080 3,668
Prepaid expenses and other assets ................. 8,923 8,327 8,796
-------------- --------------- ---------------
Total Assets ................................. 22,613,697 17,385,293 4,813,859
-------------- --------------- ---------------
LIABILITIES
Payable for investments purchased ................. -- 82,931 --
Administration fee payable ........................ 20,885 20,885 20,885
Payable for shares of beneficial
interest redeemed ............................... -- 152 --
Dividends payable ................................. -- -- --
Management fee payable ............................ 12,437 22,978 --
Other payables and accrued expenses ............... 53,948 47,538 21,972
-------------- --------------- ---------------
Total Liabilities ............................ 87,270 174,484 42,857
-------------- --------------- ---------------
NET ASSETS
Shares of beneficial interest at par value......... 1,706 1,407 496
Paid-in-surplus.................................... 20,836,198 14,848,524 4,699,317
Accumulated undistributed net investment
income (loss) ................................... (33,667) (54,773) (9,231)
Accumulated net realized gain (loss)
on investments................................... (281,213) (196,664) (41,475)
Net unrealized appreciation on investments......... 2,003,403 2,612,315 121,895
-------------- --------------- ---------------
Total Net Assets.............................. $22,526,427 $17,210,809 $4,771,002
-------------- --------------- ---------------
-------------- --------------- ---------------
Shares of beneficial interest outstanding......... 1,706,451 1,406,713 496,495
-------------- --------------- ---------------
Net asset value and offering price per share...... $13.20 $12.23 $9.61
-------------- --------------- ---------------
-------------- --------------- ---------------
</TABLE>
See accompanying notes to financial statements.
<PAGE>
SIX MONTHS ENDED FEBRUARY 29, 1996
STATEMENTS OF OPERATIONS (UNAUDITED)
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
U.S. LARGE
GOVERNMENT INVESTMENT MUNICIPAL CAPITALIZATION
MONEY MARKET QUALITY BOND BOND VALUE
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- -------------- -------------- ------------
INVESTMENT INCOME
Dividends ....................................... $ -- $ -- $ -- $54,887 (1)
Interest ........................................ 257,712 218,634 (1) 54,626 41,246
-------------- -------------- -------------- ------------
Total investment income ....................... 257,712 218,634 54,626 96,133
-------------- -------------- -------------- ------------
OPERATING EXPENSES
Management fees (note 2a) ....................... 21,823 20,920 5,741 26,723
Administration fees (note 2c) ................... 20,885 20,885 20,885 20,885
Custodian fees (note 2a) ........................ 22,122 23,126 28,606 24,142
Transfer and dividend disbursing agent fees ..... 20,135 16,948 5,081 19,512
Registration fees ............................... 10,447 9,065 7,264 8,455
Amortization of deferred organization
expenses (note 1c) ............................ 6,357 6,357 6,357 6,357
Auditing fees ................................... 3,879 3,879 4,326 3,879
Reports and notices to shareholders ............. 3,454 2,730 948 2,883
Legal fees ...................................... 1,208 940 276 1,022
Miscellaneous ................................... 997 318 921 755
-------------- -------------- -------------- ------------
Total operating expenses ...................... 111,307 105,168 80,405 114,613
Less: Management fees waived and
expenses assumed (note 2a) ....... (59,389) (55,623) (68,021) (64,966)
Expense offset
arrangement (note 2a) ............ (232) (5,705) (837) (1,063)
-------------- -------------- -------------- ------------
Net operating expenses ...................... 51,686 43,840 11,547 48,584
-------------- -------------- -------------- ------------
Net investment income (loss) .............. 206,026 174,794 43,079 47,549
-------------- -------------- -------------- ------------
REALIZED AND UNREALIZED
GAIN(LOSS) ON INVESTMENTS-NET
Net realized gain (loss) on securities .......... -- 10,372 2,507 73,358
Net realized gain on options .................... -- -- -- --
Net realized gain (loss) on investments ....... -- 10,372 2,507 73,358
-------------- -------------- -------------- ------------
Net change in unrealized appreciation
(depreciation) on investments ................. -- 26,228 39,849 998,046
-------------- -------------- -------------- ------------
Net realized gain (loss) and change in
unrealized appreciation (depreciation)
on investments ............................. -- 36,600 42,356 1,071,404
-------------- -------------- -------------- ------------
Net increase in net assets resulting from
operations .................................... $206,026 $211,394 $85,435 $1,118,953
-------------- -------------- -------------- ------------
-------------- -------------- -------------- ------------
<CAPTION>
<S> <C> <C> <C>
LARGE
CAPITALIZATION SMALL INTERNATIONAL
GROWTH CAPITALIZATION EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO
-------------- -------------- --------------
INVESTMENT INCOME
Dividends ....................................... $64,103 $10,977 $15,656 (1)
Interest ........................................ -- 26,236 --
-------------- -------------- --------------
Total investment income ....................... 64,103 37,213 15,656
-------------- -------------- --------------
Operating Expenses
Management fees (note 2a) ....................... 53,798 50,869 14,595
Administration fees (note 2c) ................... 20,885 20,885 20,885
Custodian fees (note 2a) ........................ 34,417 31,018 25,185
Transfer and dividend disbursing agent fees ..... 44,022 38,228 11,775
Registration fees ............................... 11,135 7,559 7,593
Amortization of deferred organization
expenses (note 1c) ............................ 6,357 6,357 6,357
Auditing fees ................................... 3,879 3,879 4,873
Reports and notices to shareholders ............. 5,408 4,656 1,445
Legal fees ...................................... 1,962 1,596 455
Miscellaneous ................................... 1,002 1,052 1,409
-------------- -------------- --------------
Total operating expenses ...................... 182,865 166,099 94,572
-------------- -------------- --------------
Less: Management fees waived and
expenses assumed (note 2a) ....... (75,050) (73,890) (65,098)
Expense offset
arrangement (note 2a) ............ (10,061) (244) (4,587)
-------------- -------------- --------------
Net operating expenses ...................... 97,754 91,965 24,887
-------------- -------------- --------------
Net investment income (loss) .............. (33,651) (54,752) (9,231)
-------------- -------------- --------------
REALIZED AND UNREALIZED
GAIN(LOSS) ON INVESTMENTS-NET
Net realized gain (loss) on securities .......... (281,262) (196,324) (37,225)
Net realized gain on options .................... -- -- 61,738
-------------- -------------- --------------
Net realized gain (loss) on investments ....... (281,262) (196,324) 24,513
-------------- -------------- --------------
Net change in unrealized appreciation
(depreciation) on investments ................. 804,874 303,586 118,702
-------------- -------------- --------------
Net realized gain (loss) and change in
unrealized appreciation (depreciation)
on investments ............................. 523,612 107,262 143,215
-------------- -------------- --------------
Net increase in net assets resulting from
operations .................................... $489,961 $52,510 $133,984
-------------- -------------- --------------
-------------- -------------- --------------
</TABLE>
(1) Net of foreign withholding taxes of $1,001, $143 and $1,912 for
Investment Quality Bond, Large Capitalization Value and International
Equity, respectively.
See accompanying notes to financial statements.
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
U.S.
Government Investment
Money Market Quality Bond
Portfolio Portfolio
----------------------------------------------------------------------------------
Six Months September 2, 1994(1) Six Months September 2, 1994(1)
Ended to Ended to
February 29, 1996 (2) August 31, 1995 February 29, 1996 (2) August 31, 1995
----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
OPERATIONS
Net investment income (loss) ................. $206,026 $101,762 $174,794 $91,743
Net realized gain (loss) on investments ...... -- 1 10,372 (949)
Net change in unrealized appreciation
(depreciation) on investments ............. -- -- 26,228 46,802
--------------- -------------- --------------- --------------
Net increase (decrease) in net assets
resulting from operations ................ 206,026 101,763 211,394 137,596
--------------- -------------- --------------- --------------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS
Net investment income ........................ (206,027) (101,762) (174,794) (91,743)
Net realized gain ............................ -- -- (6,932) --
--------------- -------------- --------------- --------------
Total dividends and distributions
to shareholders ............................ (206,027) (101,762) (181,726) (91,743)
--------------- -------------- --------------- --------------
SHARE TRANSACTIONS OF
BENEFICIAL INTEREST
Net proceeds from sales ...................... 11,924,829 5,475,388 6,439,440 4,973,274
Reinvestment of dividends and distributions .. 196,578 100,393 180,494 89,810
Cost of shares redeemed ...................... (1,839,993) (603,756) (636,925) (606,103)
--------------- -------------- --------------- --------------
Net increase in net assets from share
transactions of beneficial interest ...... 10,281,414 4,972,025 5,983,009 4,456,981
--------------- -------------- --------------- --------------
Total increase in net assets ........... 10,281,413 4,972,026 6,012,677 4,502,834
NET ASSETS
Beginning of period .......................... 5,072,026 100,000 4,502,834 0
--------------- -------------- --------------- --------------
End of period (including undistributed net
investment income of $0, $0; $0, $0; $0,
$0; $16,957, $46,159; ($33,667), $8,991;
($54,773), $1,294; ($9,231) and $13,971,
respectively) .............................. $15,353,439 $5,072,026 $10,515,511 $4,502,834
--------------- -------------- --------------- --------------
--------------- -------------- --------------- --------------
SHARES OF BENEFICIAL INTEREST
ISSUED AND REDEEMED
Issued ....................................... 11,924,829 5,475,388 632,205 499,131
Issued from reinvestment of dividends
and distributions .......................... 196,578 100,393 17,686 9,006
Redeemed ..................................... (1,839,993) (603,756) (62,458) (61,263)
--------------- -------------- --------------- --------------
Net increase ............................... 10,281,414 4,972,025 587,433 446,874
--------------- -------------- --------------- --------------
--------------- -------------- --------------- --------------
DIVIDENDS PER SHARE
Net investment income ........................ $0.023 $0.052 $0.235 $0.603
--------------- -------------- --------------- --------------
Net realized gain ............................ -- -- $0.009 --
--------------- -------------- --------------- --------------
<PAGE>
<CAPTION>
Large
Municipal Capitalization
Bond Value
Portfolio Portfolio
----------------------------------------------------------------------------------
Six Months September 2, 1994(1) Six Months September 2, 1994(1)
Ended to Ended to
February 29, 1996 (2) August 31, 1995 February 29, 1996 (2) August 31, 1995
----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
OPERATIONS
Net investment income (loss) ................. $43,079 $26,104 $47,549 $52,804
Net realized gain (loss) on investments ...... 2,507 (4,276) 73,358 85,960
Net change in unrealized appreciation
(depreciation) on investments ............. 39,849 22,845 998,046 534,646
--------------- -------------- --------------- --------------
Net increase (decrease) in net assets
resulting from operations ................ 85,435 44,673 1,118,953 673,410
--------------- -------------- --------------- --------------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS
Net investment income ........................ (43,079) (26,104) (76,751) (6,645)
Net realized gain ............................ -- -- (85,947) --
--------------- -------------- --------------- --------------
Total dividends and distributions
to shareholders ............................ (43,079) (26,104) (162,698) (6,645)
--------------- -------------- --------------- --------------
SHARE TRANSACTIONS OF
BENEFICIAL INTEREST
Net proceeds from sales ...................... 1,937,766 1,680,554 5,813,018 6,169,560
Reinvestment of dividends and distributions .. 42,451 25,671 161,529 6,623
Cost of shares redeemed ...................... (345,627) (247,370) (783,895) (1,328,258)
--------------- -------------- --------------- --------------
Net increase in net assets from share
transactions of beneficial interest ...... 1,634,590 1,458,855 5,190,652 4,847,925
--------------- -------------- --------------- --------------
Total increase in net assets ........... 1,676,946 1,477,424 6,146,907 5,514,690
NET ASSETS
Beginning of period .......................... 1,477,424 0 5,514,690 0
--------------- -------------- --------------- --------------
End of period (including undistributed net
investment income of $0, $0; $0, $0; $0,
$0; $16,957, $46,159; ($33,667), $8,991;
($54,773), $1,294; ($9,231) and $13,971,
respectively) .............................. $3,154,370 $1,477,424 $11,661,597 $5,514,690
--------------- -------------- --------------- --------------
--------------- -------------- --------------- --------------
SHARES OF BENEFICIAL INTEREST
ISSUED AND REDEEMED
Issued ....................................... 189,628 172,119 445,927 568,685
Issued from reinvestment of dividends
and distributions .......................... 4,163 2,624 12,415 669
Redeemed ..................................... (34,020) (25,963) (60,630) (120,920)
--------------- -------------- --------------- --------------
Net increase ............................... 159,771 148,780 397,712 448,434
--------------- -------------- --------------- --------------
--------------- -------------- --------------- --------------
DIVIDENDS PER SHARE
Net investment income ........................ $0.211 $0.510 $0.113 $0.047
--------------- -------------- --------------- --------------
Net realized gain ............................ -- -- $0.135 --
--------------- -------------- --------------- --------------
<PAGE>
<CAPTION>
Large
Capitalization Small
Growth Capitalization
Portfolio Portfolio
----------------------------------------------------------------------------------
Six Months September 2, 1994(1) Six Months September 2, 1994(1)
Ended to Ended to
February 29, 1996 (2) August 31, 1995 February 29, 1996 (2) August 31, 1995
----------------------------------------------------------------------------------
<S> <C> <C>
OPERATIONS
Net investment income (loss) .................. ($33,651) $10,814 ($54,752) $4,428
Net realized gain (loss) on investments ....... (281,262) 30,050 (196,324) 492,075
Net change in unrealized appreciation
(depreciation) on investments .............. 804,874 1,198,529 303,586 2,308,729
--------------- -------------- --------------- --------------
Net increase (decrease) in net assets
resulting from operations ................. 489,961 1,239,393 52,510 2,805,232
--------------- -------------- --------------- --------------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS
Net investment income ......................... (9,007) (1,823) (1,315) (3,134)
Net realized gain ............................. (30,001) -- (492,415) --
--------------- -------------- --------------- --------------
Total dividends and distributions
to shareholders ............................. (39,008) (1,823) (493,730) (3,134)
--------------- -------------- --------------- --------------
SHARE TRANSACTIONS OF
BENEFICIAL INTEREST
Net proceeds from sales ....................... 13,304,189 11,032,593 3,785,005 13,426,783
Reinvestment of dividends and distributions ... 38,884 1,816 493,046 2,991
Cost of shares redeemed ....................... (2,374,850) (1,164,728) (1,729,413) (1,128,481)
--------------- -------------- --------------- --------------
Net increase in net assets from share
transactions of beneficial interest ....... 10,968,223 9,869,681 2,548,638 12,301,293
--------------- -------------- --------------- --------------
Total increase in net assets ............ 11,419,176 11,107,251 2,107,418 15,103,391
NET ASSETS
Beginning of period ........................... 11,107,251 0 15,103,391 0
--------------- -------------- --------------- --------------
End of period (including undistributed net
investment income of $0, $0; $0, $0; $0,
$0; $16,957, $46,159; ($33,667), $8,991;
($54,773), $1,294; ($9,231) and $13,971,
respectively) ............................... $22,526,427 $11,107,251 $17,210,809 $15,103,391
--------------- -------------- --------------- --------------
--------------- -------------- --------------- --------------
SHARES OF BENEFICIAL INTEREST
ISSUED AND REDEEMED
Issued ........................................ 1,020,481 968,006 310,916 1,300,430
Issued from reinvestment of dividends
and distributions ........................... 2,923 182 39,783 308
Redeemed ...................................... (180,665) (104,476) (141,196) (103,528)
--------------- -------------- --------------- --------------
Net increase ................................ 842,739 863,712 209,503 1,197,210
--------------- -------------- --------------- --------------
--------------- -------------- --------------- --------------
DIVIDENDS PER SHARE
Net investment income ......................... $0.005 $0.013 $0.001 $0.014
--------------- -------------- --------------- --------------
Net realized gain ............................. $0.024 -- $0.394 --
--------------- -------------- --------------- --------------
<PAGE>
<CAPTION>
International
Equity
Portfolio
-----------------------------------------
Six Months September 2, 1994(1)
Ended to
February 29, 1996 (2) August 31, 1995
-----------------------------------------
<S> <C> <C>
OPERATIONS
Net investment income (loss) .................. ($9,231) $15,086
Net realized gain (loss) on investments ....... 24,513 (44,732)
Net change in unrealized appreciation
(depreciation) on investments .............. 118,702 3,193
--------------- --------------
Net increase (decrease) in net assets
resulting from operations ................. 133,984 (26,453)
--------------- --------------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS
Net investment income ......................... (13,971) (1,115)
Net realized gain ............................. (21,256) --
--------------- --------------
Total dividends and distributions
to shareholders ............................. (35,227) (1,115)
--------------- --------------
SHARE TRANSACTIONS OF
BENEFICIAL INTEREST
Net proceeds from sales ....................... 2,468,563 3,393,938
Reinvestment of dividends and distributions ... 34,439 1,113
Cost of shares redeemed ....................... (737,512) (460,728)
--------------- --------------
Net increase in net assets from share
transactions of beneficial interest ....... 1,765,490 2,934,323
--------------- --------------
Total increase in net assets ............ 1,864,247 2,906,755
NET ASSETS
Beginning of period ........................... 2,906,755 0
--------------- --------------
End of period (including undistributed net
investment income of $0, $0; $0, $0; $0,
$0; $16,957, $46,159; ($33,667), $8,991;
($54,773), $1,294; ($9,231) and $13,971,
respectively) ............................... $4,771,002 $2,906,755
--------------- --------------
--------------- --------------
SHARES OF BENEFICIAL INTEREST
ISSUED AND REDEEMED
Issued ........................................ 257,868 361,971
Issued from reinvestment of dividends
and distributions ........................... 3,576 118
Redeemed ...................................... (76,599) (50,439)
--------------- --------------
Net increase ................................ 184,845 311,650
--------------- --------------
--------------- --------------
DIVIDENDS PER SHARE
Net investment income ......................... $0.032 $0.009
--------------- --------------
Net realized gain ............................. $0.051 --
--------------- --------------
</TABLE>
(1) Commencement of operations.
(2) Unaudited.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
<PAGE>
FEBRUARY 29, 1996
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Saratoga Advantage Trust (the "Trust") was organized on April 8, 1994
as a Delaware Business Trust and is registered under the Investment Company
Act of 1940, as amended, as a diversified, open-end management investment
company. The Trust commenced investment operations on September 2, 1994.
The Trust consists of seven portfolios: the U.S. Government Money Market
Portfolio; the Investment Quality Bond Portfolio; the Municipal Bond
Portfolio; the Large Capitalization Value Portfolio; the Large Capitalization
Growth Portfolio; the Small Capitalization Portfolio and the International
Equity Portfolio. Saratoga Capital Management (the "Manager") serves as the
Trusts' manager. Each of the Portfolios are provided with discretionary
advisory services of an Adviser identified, retained, supervised and
compensated by the Manager. The following serve as Advisers (the "Advisers")
to their respective portfolio(s): OpCap Advisors (formerly Quest for Value
Advisors): Municipal Bond and Large Capitalization Value; Fox Asset
Management Inc.: Investment Quality Bond; Harris Bretall Sullivan and Smith,
Inc.: Large Capitalization Growth; Axe-Houghton Associates, Inc.: Small
Capitalization; Sterling Capital Management Co.: U.S. Government Money Market
and Ivory & Sime International, Inc.: International Equity. OpCap Advisors
(the "Administrator") provides the Trust with administrative services. OCC
Distributors (formerly Quest for Value Distributors) serves as the Trusts'
distributor. The Manager, Administrator and Distributor are all affiliates
of Oppenheimer Capital. On August 19, 1994, U.S. Government Money Market
issued 100,000 shares to the manager for $100,000 to provide initial capital
for the Trust. The preparation of the financial statements in accordance
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. The following is a summary of significant
accounting policies consistently followed by each Portfolio:
(a) VALUATION OF INVESTMENTS
Investment securities listed on a national securities exchange and
securities traded in the over-the-counter National Market System are valued
at the last reported sale price on the valuation date; if there are no such
reported sales, the securities are valued at the last quoted bid price.
Other securities traded over-the-counter and not part of the National Market
System are valued at the last quoted bid price. Investment debt securities
(other than short - term obligations) are valued each day by an independent
pricing service approved by the Board of Trustees using methods which include
current market quotations from a major market maker in the securities and
trader-reviewed "matrix" prices. Short-term debt securities having a
remaining maturity of sixty days or less are valued at amortized cost or
amortized value, which approximates market value. Any securities or other
assets for which market quotations are not readily available are valued at
their fair value as determined in good faith under procedures established by
the Board of Trustees. The ability of issuers of debt securities held by the
portfolios to meet their obligations may be affected by economic or political
developments in a specific state, industry or region. U.S. Government Money
Market values all of its securities on the basis of amortized cost which
approximates market value. Investments in countries in which International
Equity may invest may involve certain considerations and risks not typically
associated with domestic investments as a result of, among others, the
possibility of future political and economic developments and the level of
governmental supervision and regulation of foreign securities markets.
(b) FEDERAL INCOME TAX
It is each Portfolio's policy to comply with the requirements of the
Internal Revenue Code applicable to regulated investment companies and to
distribute substantally all of its taxable and tax-exempt income to
shareholders; accordingly, no federal income tax provision is required.
(c) DEFERRED ORGANIZATION EXPENSES
In connection with the Trust's organization, each Portfolio incurred
approximately $66,000 in costs. These costs have been deferred and are being
amortized to expense on a straight-line basis over sixty months from
commencement of operations.
(d) SECURITY TRANSACTIONS AND OTHER INCOME
Security transactions are accounted for on the trade date. In
determining the gain or loss from the sale of securities, the cost of
securities sold is determined on the basis of identified cost. Dividend
income is recorded on the ex-dividend date and interest income is accrued as
earned. Discounts or premiums on debt securities purchased are accreted or
amortized to interest income over the lives of the respective securities.
(e) DIVIDENDS AND DISTRIBUTIONS
The following table summarizes each Portfolio's dividend and capital
gain declaration policy:
INCOME SHORT-TERM LONG-TERM
DIVIDENDS CAPITAL GAINS CAPITAL GAINS
--------------------------------------------
U.S. Government Money Market daily * annually annually
Investment Quality Bond daily * annually annually
Municipal Bond daily * annually annually
Large Capitalization Value annually annually annually
Large Capitalization Growth annually annually annually
Small Capitalization annually annually annually
International Equity annually annually annually
* paid monthly
Each Portfolio records dividends and distributions to its shareholders
on the ex-dividend date. The amount of dividends and distributions from net
investment income and net realized gains are determined in accordance with
federal income tax regulations, which may differ from generally accepted
accounting principles. These "book-tax" differences are either permanent or
temporary in nature. To the extent these differnces are permanent in nature,
such amounts are reclassified within the net asset 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 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 gains, respectively. To the extent
distributions exceed current and accumulated earnings and profits for federal
income tax purposes, they are reported as distributions of paid-in-surplus or
tax return of capital. For the six months ended February 29, 1996 there
were no permanent book-tax differences relating to shareholder distributions.
Net investment income, net realized gain(loss) and net assets were not
affected.
30
<PAGE>
FEBRUARY 29, 1996
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
(f) PURCHASED PUT OPTION ACCOUNTING POLICY
When a Portfolio purchases a put option, it pays a premium and an amount
equal to the premium is recorded as an investment. The option is subsequently
marked-to-market to reflect it's current market value. The Portfolio, as
purchaser of an option, has control over whether the option is exercised. If
an option expires, the Portfolio realizes a loss in the amount of the premium
paid. If an option is exercised, the premium paid is an adjustment to the
proceeds from the sale in determining whether the Portfolio has realized a
gain or loss. If a portfolio enters into a closing sale transaction, the
difference between the premium paid and the amount received from the sale is
the realized gain or loss.
The Portfolio, as a purchaser of an option, bears the risk of the
potential inability of the counter parties to meet the terms of their contracts.
(g) ALLOCATION OF EXPENSES
Expenses specifically identifiable to a particular Portfolio are borne by
that Portfolio. Other expenses are allocated to each Portfolio based on its
net assets in relation to the total net assets of all the applicable
Portfolios or another reasonable basis.
2. MANAGEMENT FEE, ADMINISTRATION FEE AND OTHER TRANSACTIONS WITH AFFILIATES
(a) The management fees, payable monthly to the Manager, are computed
daily at the following annual rates of each Portfolios' average daily net
assets: .475% for U.S. Government Money Market; .55% for Investment Quality
Bond and Municipal Bond; .65% for Large Capitalization Value, Large
Capitalization Growth and Small Capitalization and .75% for International
Equity.
For the six months ended February 29, 1996, the Manager waived all of its
management fees and assumed $37,566, $34,703, $62,280, $38,243, $21,252,
$23,021 and $50,503 in other operating expenses for U.S. Government Money
Market, Investment Quality Bond, Municipal Bond, Large Capitalization Value,
Large Capitalization Growth, Small Capitalization and International Equity,
respectively.
The Portfolios also benefit from a expense offset arrangement with their
custodian bank where uninvested cash balances earn credits that reduce
monthly fees. Had these cash balances been invested in an income producing
asset, they would have generated income for their respective Portfolios.
(b) The Manager pays a portion of its management fees to the Advisers at
the following annual rates of each Portfolios' average daily net assets:
.125% for U.S. Government Money Market; .20% for Investment Quality Bond and
Municipal Bond; .30% for Large Capitalization Value, Large Capitalization
Growth and Small Capitalization and .40% for International Equity. For the
six months ended February 29, 1996, the Manager paid the Advisers $5,743,
$7,607, $2,087, $12,334, $24,830, $23,478 and $7,784 for U.S. Government
Money Market, Investment Quality, Municipal Bond, Large Capitalization Value,
Large Capitalization Growth, Small Capitalization and International Equity,
respectively.
(c) The administration fee is accrued daily and payable monthly to the
Administrator at an annual rate of $42,000 for each Portfolio, provided that
each Portfolio's net assets do not exceed $80 million. In the event that a
Portfolio's net assets exceed $80 million, an additional fee of .05% of net
assets in excess of $80 million shall be payable by the Portfolio.
For the six months ended February 29, 1996 each Portfolio accrued
$20,885 in administrative fees.
(d) Total brokerage commissions paid by Investment Quality Bond, Large
Capitalization Value, Large Capitalization Growth, Small Capitalization and
International Equity were $808, $7,579, $21,783, $10,000 and $12,105,
respectively. Oppenheimer & Co., Inc., an affiliate of the Manager, received
$3,548 and $180 from Large Capitalization Value and Small Capitalization,
respectively; Hoeing & Co., Inc., an affiliate of Axe-Houghton Associates,
Inc., received $344 and $40 from Investment Quality and Small Capitalization,
respectively, for the six months ended February 29, 1996.
3. PURCHASES AND SALES OF SECURITIES
For the six months ended February 29, 1996 purchases and sales of
investment securities, other than short-term securities were as follows:
PURCHASES SALES
---------------------------
Investment Quality Bond $7,085,943 $1,160,742
Municipal Bond 1,214,627 90,949
Large Capitalization Value 4,914,283 1,252,560
Large Capitalization Growth 14,047,545 4,355,591
Small Capitalization 9,550,101 8,250,856
International Equity 2,668,938 1,157,967
For the six months ended February 29, 1996, U.S. Government Money Market
had purchases and sales/maturities of short-term securities of $60,727,507 and
$50,624,925, respectively.
4. UNREALIZED APPRECIATION (DEPRECIATION) AND COST OF INVESTMENTS FOR FEDERAL
INCOME TAX PURPOSES
At February 29, 1996, the composition of unrealized appreciation
(depreciation) of investment securities and the cost of investments for
Federal income tax purposes were as follows:
<TABLE>
<CAPTION>
APPRECIATION (DEPRECIATION) NET TAX COST
-----------------------------------------
<S> <C> <C> <C> <C>
Investment Quality Bond $88,540 ($15,631) $72,909 $10,153,868
Municipal Bond 71,333 (8,639) 62,694 2,745,315
Large Capitalization Value 1,662,151 (129,459) 1,532,692 10,103,222
Large Capitalization Growth 2,639,644 (636,241) 2,003,403 18,830,892
Small Capitalization 2,999,586 (387,271) 2,612,315 14,671,401
International Equity 248,394 (128,089) 120,305 4,093,270
</TABLE>
5. AUTHORIZED SHARES OF BENEFICIAL INTEREST AND PAR VALUE PER SHARE
Each Portfolio has unlimited shares of beneficial interest authorized
with $.001 par value per share.
6. FINANCIAL INSTRUMENTS AND ASSOCIATED RISKS
When a Portfolio purchases a put option, it is generally to hedge against
adverse movements in the value of portfolio holdings. The risk of buying an
option is that the Portfolio will pay a premium whether or not the option is
exercised. The Portfolio also has the additional risk of not being able to
enter into a closing transaction if an illiquid secondary market exists.
31
<PAGE>
FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
INCOME FROM DIVIDENDS AND
INVESTMENT OPERATIONS DISTRIBUTIONS
----------------------------------------- ------------------------------
<S> <C> <C> <C> <C> <C> <C>
Distributions
Net Realized to
and Dividends to Shareholders
Net Asset Unrealized Total Shareholders from Net
Value, Net Gain(Loss) from from Net Realized Gains
Beginning Investment on Investment Investment on
of Period Income(Loss) Investments Operations Income Investment
U.S. GOVERNMENT MONEY MARKET PORTFOLIO
SIX MONTHS ENDED
FEBRUARY 29 1995 (6) $1.000 $0.023 $0.000 $0.023 ($0.023) --
SEPTEMBER 2, 1994 (3)
TO AUGUST 31, 1995 1.000 (4) 0.052 0.000 0.052 (0.052) --
<CAPTION>
RATIOS
------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net Net Ratio of net Ratio of Net
Asset Assets Operating Investment
Value, End of Expenses Income(Loss) Portfolio Average
End of Total Period to Average to Average Turnover Commission
Period Return* (000's) Net Assets Net Assets Rate Rate
SIX MONTHS ENDED
FEBRUARY 29 1995 (6) $1.000 2.28% $15,353 1.13%(1,2,5) 4.48%(1,2,5) -- --
SEPTEMBER 2, 1994 (3)
TO AUGUST 31, 1995 1.000 5.36% 5,072 0.40%(1,5) 5.38%(1,5) -- --
</TABLE>
(1) DURING THE PERIODS PRESENTED ABOVE, SARATOGA CAPITAL MANAGEMENT WAIVED
ALL OF ITS FEES AND ASSUMED A PORTION OF THE OPERATING EXPENSES.
ADDITIONALLY, FOR THE SIX MONTHS ENDED FEBRUARY 29, 1996, THE PORTFOLIOS
BENEFITTED FROM AN EXPENSE OFFSET ARRANGEMENT WITH THEIR CUSTODIAN BANK. IF
SUCH WAIVERS, ASSUMPTIONS AND EXPENSE OFFSETS HAD NOT BEEN IN EFFECT FOR
THEIR RESPECTIVE PERIOD, THE ANNUALIZED RATIOS OF NET OPERATING EXPENSES TO
AVERAGE DAILY NET ASSETS AND THE ANNUALIZED RATIOS OF NET INVESTMENT INCOME
(LOSS) TO AVERAGE DAILY NET ASSETS WOULD HAVE BEEN 2.42% AND 3.19%,
RESPECTIVELY, FOR THE SIX MONTHS ENDED FEBRUARY 29, 1996 AND 6.69% AND
(0.91%), RESPECTIVELY, FOR THE PERIOD SEPTEMBER 2, 1994 (COMMENCEMENT OF
OPERATIONS) TO AUGUST 31, 1995.
INVESTMENT QUALITY BOND PORTFOLIO
<TABLE>
<CAPTION>
INCOME FROM DIVIDENDS AND
INVESTMENT OPERATIONS DISTRIBUTIONS
----------------------------------------- ------------------------------
<S> <C> <C> <C> <C> <C> <C>
Distributions
Net Realized to
and Dividends to Shareholders
Net Asset Unrealized Total Shareholders from Net
Value, Net Gain(Loss) from from Net Realized Gains
Beginning Investment on Investment Investment on
of Period Income(Loss) Investments Operations Income Investment
SIX MONTHS ENDED
FEBRUARY 29 1995 (6) $10.08 $0.24 $0.10 $0.34 ($0.24) ($0.01)
SEPTEMBER 2, 1994 (3)
TO AUGUST 31, 199 10.00 (4) 0.60 0.08 0.68 (0.60) --
<CAPTION>
RATIOS
------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net Net Ratio of net Ratio of Net
Asset Assets Operating Investment
Value, End of Expenses Income(Loss) Portfolio Average
End of Total Period to Average to Average Turnover Commission
Period Return* (000's) Net Assets Net Assets Rate Rate
SIX MONTHS ENDED
FEBRUARY 29 1995 (6) $10.17 3.33% $10,516 1.15%(1,2,5) 4.60%(1,2,5) 16% --
SEPTEMBER 2, 1994 (3)
TO AUGUST 31, 199 10.08 7.12% 4,503 0.45%(1,5) 5.77%(1,5) 18% --
</TABLE>
(1) DURING THE PERIODS PRESENTED ABOVE, SARATOGA CAPITAL MANAGEMENT WAIVED
ALL OF ITS FEES AND ASSUMED A PORTION OF THE OPERATING EXPENSES.
ADDITIONALLY, FOR THE SIX MONTHS ENDED FEBRUARY 29, 1996, THE PORTFOLIOS
BENEFITTED FROM AN EXPENSE OFFSET ARRANGEMENT WITH THEIR CUSTODIAN BANK. IF
SUCH WAIVERS, ASSUMPTIONS AND EXPENSE OFFSETS HAD NOT BEEN IN EFFECT FOR
THEIR RESPECTIVE PERIOD, THE ANNUALIZED RATIOS OF NET OPERATING EXPENSES TO
AVERAGE DAILY NET ASSETS AND THE ANNUALIZED RATIOS OF NET INVESTMENT INCOME
(LOSS) TO AVERAGE DAILY NET ASSETS WOULD HAVE BEEN 2.76% AND 2.99%,
RESPECTIVELY, FOR THE SIX MONTHS ENDED FEBRUARY 29, 1996 AND 7.93% AND
(1.71%), RESPECTIVELY, FOR THE PERIOD SEPTEMBER 2, 1994 (COMMENCEMENT OF
OPERATIONS) TO AUGUST 31, 1995.
MUNICIPAL BOND PORTFOLIO
<TABLE>
<CAPTION>
INCOME FROM DIVIDENDS AND
INVESTMENT OPERATIONS DISTRIBUTIONS
----------------------------------------- ------------------------------
<S> <C> <C> <C> <C> <C> <C>
Distributions
Net Realized to
and Dividends to Shareholders
Net Asset Unrealized Total Shareholders from Net
Value, Net Gain(Loss) from from Net Realized Gains
Beginning Investment on Investment Investment on
of Period Income(Loss) Investments Operations Income Investment
SIX MONTHS ENDED
FEBRUARY 29 1995 (6) $9.93 $0.21 $0.29 $0.50 ($0.21) --
SEPTEMBER 2, 1994 (3)
TO AUGUST 31, 199 10.00 (4) 0.51 (0.07) 0.44 (0.51) --
<CAPTION>
RATIOS
------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net Net Ratio of net Ratio of Net
Asset Assets Operating Investment
Value, End of Expenses Income(Loss) Portfolio Average
End of Total Period to Average to Average Turnover Commission
Period Return* (000's) Net Assets Net Assets Rate Rate
SIX MONTHS ENDED
FEBRUARY 29 1995 (6) $10.22 5.07% $3,154 1.11%(1,2,5) 4.13%(1,2,5) 5% --
SEPTEMBER 2, 1994 (3)
TO AUGUST 31, 199 9.93 4.65% 1,477 0.37%(1,5) 4.79%(1,5) 27% --
</TABLE>
(1) DURING THE PERIODS PRESENTED ABOVE, SARATOGA CAPITAL MANAGEMENT WAIVED
ALL OF ITS FEES AND ASSUMED A PORTION OF THE OPERATING EXPENSES.
ADDITIONALLY, FOR THE SIX MONTHS ENDED FEBRUARY 29, 1996, THE PORTFOLIOS
BENEFITTED FROM AN EXPENSE OFFSET ARRANGEMENT WITH THEIR CUSTODIAN BANK.
IF SUCH WAIVERS, ASSUMPTIONS AND EXPENSE OFFSETS HAD NOT BEEN IN EFFECT
FOR THEIR RESPECTIVE PERIOD, THE ANNUALIZED RATIOS OF NET OPERATING EXPENSES
TO AVERAGE DAILY NET ASSETS AND THE ANNUALIZED RATIOS OF NET INVESTMENT LOSS
TO AVERAGE DAILY NET ASSETS WOULD HAVE BEEN 7.70% AND (2.46%), RESPECTIVELY,
FOR THE SIX MONTHS ENDED FEBRUARY 29, 1996 AND 20.15% AND (14.99%),
RESPECTIVELY, FOR THE PERIOD SEPTEMBER 2, 1994 (COMMENCEMENT OF OPERATIONS)
TO AUGUST 31, 1995.
LARGE CAPITALIZATION VALUE PORTFOLIO
<TABLE>
<CAPTION>
INCOME FROM DIVIDENDS AND
INVESTMENT OPERATIONS DISTRIBUTIONS
----------------------------------------- ------------------------------
<S> <C> <C> <C> <C> <C> <C>
Distributions
Net Realized to
and Dividends to Shareholders
Net Asset Unrealized Total Shareholders from Net
Value, Net Gain(Loss) from from Net Realized Gains
Beginning Investment on Investment Investment on
of Period Income(Loss) Investments Operations Income Investment
SIX MONTHS ENDED
FEBRUARY 29 1995 (6) $12.30 $0.03 $1.70 $1.73 ($0.11) ($0.14)
SEPTEMBER 2, 1994 (3)
TO AUGUST 31, 199 10.00 (4) 0.15 2.20 2.35 (0.05) --
<CAPTION>
RATIOS
------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net Net Ratio of net Ratio of Net
Asset Assets Operating Investment
Value, End of Expenses Income(Loss) Portfolio Average
End of Total Period to Average to Average Turnover Commission
Period Return* (000's) Net Assets Net Assets Rate Rate
SIX MONTHS ENDED
FEBRUARY 29 1995 (6) $13.78 14.18% $11,662 1.18%(1,2,5) 1.16%(1,2,5) 19% $0.05
SEPTEMBER 2, 1994 (3)
TO AUGUST 31, 199 12.30 23.60% 5,515 0.40%(1,5) 2.29%(1,5) 33% --
</TABLE>
(1) DURING THE PERIODS PRESENTED ABOVE, SARATOGA CAPITAL MANAGEMENT WAIVED
ALL OF ITS FEES AND ASSUMED A PORTION OF THE OPERATING EXPENSES.
ADDITIONALLY, FOR THE SIX MONTHS ENDED FEBRUARY 29, 1996, THE PORTFOLIOS
BENEFITTED FROM AN EXPENSE OFFSET ARRANGEMENT WITH THEIR CUSTODIAN BANK.
IF SUCH WAIVERS, ASSUMPTIONS AND EXPENSE OFFSETS HAD NOT BEEN IN EFFECT FOR
THEIR RESPECTIVE PERIOD, THE ANNUALIZED RATIOS OF NET OPERATING EXPENSES TO
AVERAGE DAILY NET ASSETS AND THE ANNUALIZED RATIOS OF NET INVESTMENT LOSS TO
AVERAGE DAILY NET ASSETS WOULD HAVE BEEN 2.79% AND (0.45%), RESPECTIVELY,
FOR THE SIX MONTHS ENDED FEBRUARY 29, 1996 AND 6.54% AND (3.85%),
RESPECTIVELY, FOR THE PERIOD SEPTEMBER 2, 1994 (COMMENCEMENT OF OPERATIONS)
TO AUGUST 31, 1995.
LARGE CAPITALIZATION GROWTH PORTFOLIO
<TABLE>
<CAPTION>
INCOME FROM DIVIDENDS AND
INVESTMENT OPERATIONS DISTRIBUTIONS
----------------------------------------- ------------------------------
<S> <C> <C> <C> <C> <C> <C>
Distributions
Net Realized to
and Dividends to Shareholders
Net Asset Unrealized Total Shareholders from Net
Value, Net Gain(Loss) from from Net Realized Gains
Beginning Investment on Investment Investment on
of Period Income(Loss) Investments Operations Income Investment
SIX MONTHS ENDED
FEBRUARY 29 1995 (6) $12.86 ($0.02) $0.39 $0.37 ($0.01) ($0.02)
SEPTEMBER 2, 1994 (3)
TO AUGUST 31, 199 10.00 (4) 0.02 2.85 2.87 (0.01) --
<CAPTION>
RATIOS
------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net Net Ratio of net Ratio of Net
Asset Assets Operating Investment
Value, End of Expenses Income(Loss) Portfolio Average
End of Total Period to Average to Average Turnover Commission
Period Return* (000's) Net Assets Net Assets Rate Rate
SIX MONTHS ENDED
FEBRUARY 29 1995 (6) $13.20 2.87% $22,526 1.18%(1,2,5) (0.41%) (1,2,5) 27% $0.07
SEPTEMBER 2, 1994 (3)
TO AUGUST 31, 199 12.86 28.77% 11,107 0.51%(1,5) 0.32%(1,5) 23% --
</TABLE>
(1) DURING THE PERIODS PRESENTED ABOVE, SARATOGA CAPITAL MANAGEMENT WAIVED
ALL OF ITS FEES AND ASSUMED A PORTION OF THE OPERATING EXPENSES.
ADDITIONALLY, FOR THE SIX MONTHS ENDED FEBRUARY 29, 1996, THE PORTFOLIOS
BENEFITTED FROM AN EXPENSE OFFSET ARRANGEMENT WITH THEIR CUSTODIAN BANK. IF
SUCH WAIVERS, ASSUMPTIONS AND EXPENSE OFFSETS HAD NOT BEEN IN EFFECT FOR
THEIR RESPECTIVE PERIOD, THE ANNUALIZED RATIOS OF NET OPERATING EXPENSES TO
AVERAGE DAILY NET ASSETS AND THE ANNUALIZED RATIOS OF NET INVESTMENT LOSS TO
AVERAGE DAILY NET ASSETS WOULD HAVE BEEN 2.21% AND (1.44%), RESPECTIVELY,
FOR THE SIX MONTHS ENDED FEBRUARY 29, 1996 AND 5.00% AND (4.17%),
RESPECTIVELY, FOR THE PERIOD SEPTEMBER 2, 1994 (COMMENCEMENT OF OPERATIONS)
TO AUGUST 31, 1995.
SMALL CAPITALIZATION PORTFOLIO
<TABLE>
<CAPTION>
INCOME FROM DIVIDENDS AND
INVESTMENT OPERATIONS DISTRIBUTIONS
----------------------------------------- ------------------------------
<S> <C> <C> <C> <C> <C> <C>
Distributions
Net Realized to
and Dividends to Shareholders
Net Asset Unrealized Total Shareholders from Net
Value, Net Gain(Loss) from from Net Realized Gains
Beginning Investment on Investment Investment on
of Period Income(Loss) Investments Operations Income Investment
SIX MONTHS ENDED
FEBRUARY 29 1995 (6) $12.62 ($0.04) $0.04 $0.00 ($0.00) ($0.39)
SEPTEMBER 2, 1994 (3)
TO AUGUST 31, 199 10.00 (4) 0.02 2.61 2.63 (0.01) --
<CAPTION>
RATIOS
------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net Net Ratio of net Ratio of Net
Asset Assets Operating Investment
Value, End of Expenses Income(Loss) Portfolio Average
End of Total Period to Average to Average Turnover Commission
Period Return* (000's) Net Assets Net Assets Rate Rate
SIX MONTHS ENDED
FEBRUARY 29 1995 (6) $12.23 (0.01%) $17,211 1.18%(1,2,5) (0.70%) (1,2,5) 55% $0.06
SEPTEMBER 2, 1994 (3)
TO AUGUST 31, 199 12.62 26.38% 15,103 0.42%(1,5) 0.07%(1,5) 111% --
</TABLE>
(1) DURING THE PERIODS PRESENTED ABOVE, SARATOGA CAPITAL MANAGEMENT WAIVED
ALL OF ITS FEES AND ASSUMED A PORTION OF THE OPERATING EXPENSES.
ADDITIONALLY, FOR THE SIX MONTHS ENDED FEBRUARY 29, 1996, THE PORTFOLIOS
BENEFITTED FROM AN EXPENSE OFFSET ARRANGEMENT WITH THEIR CUSTODIAN BANK. IF
SUCH WAIVERS, ASSUMPTIONS AND EXPENSE OFFSETS HAD NOT BEEN IN EFFECT FOR
THEIR RESPECTIVE PERIOD, THE ANNUALIZED RATIOS OF NET OPERATING EXPENSES TO
AVERAGE DAILY NET ASSETS AND THE ANNUALIZED RATIOS OF NET INVESTMENT LOSS TO
AVERAGE DAILY NET ASSETS WOULD HAVE BEEN 2.12% AND (1.64%), RESPECTIVELY,
FOR THE SIX MONTHS ENDED FEBRUARY 29, 1996 AND 3.57% AND (3.08%),
RESPECTIVELY, FOR THE PERIOD SEPTEMBER 2, 1994 (COMMENCEMENT OF OPERATIONS)
TO AUGUST 31, 1995.
INTERNATIONAL EQUITY PORTFOLIO
<TABLE>
<CAPTION>
INCOME FROM DIVIDENDS AND
INVESTMENT OPERATIONS DISTRIBUTIONS
----------------------------------------- ------------------------------
<S> <C> <C> <C> <C> <C> <C>
Distributions
Net Realized to
and Dividends to Shareholders
Net Asset Unrealized Total Shareholders from Net
Value, Net Gain(Loss) from from Net Realized Gains
Beginning Investment on Investment Investment on
of Period Income(Loss) Investments Operations Income Investment
SIX MONTHS ENDED
FEBRUARY 29 1995 (6) $9.33 ($0.03) $0.39 $0.36 ($0.03) ($0.05)
SEPTEMBER 2, 1994 (3)
TO AUGUST 31, 199 10.00 (4) 0.05 (0.71) (0.66) (0.01) --
<CAPTION>
RATIOS
------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net Net Ratio of net Ratio of Net
Asset Assets Operating Investment
Value, End of Expenses Income(Loss) Portfolio Average
End of Total Period to Average to Average Turnover Commission
Period Return* (000's) Net Assets Net Assets Rate Rate
SIX MONTHS ENDED
FEBRUARY 29 1995 (6) $9.61 3.90% $4,771 1.28%(1,2,5) (0.47%)(1,2,5) 34% $0.09
SEPTEMBER 2, 1994 (3)
TO AUGUST 31, 199 9.33 (6.61%) 2,907 0.38%(1,5) 1.03%(1,5) 36% --
</TABLE>
(1) DURING THE PERIODS PRESENTED ABOVE, SARATOGA CAPITAL MANAGEMENT WAIVED
ALL OF ITS FEES AND ASSUMED A PORTION OF THE OPERATING EXPENSES.
ADDITIONALLY, FOR THE SIX MONTHS ENDED FEBRUARY 29, 1996, THE PORTFOLIOS
BENEFITTED FROM AN EXPENSE OFFSET ARRANGEMENT WITH THEIR CUSTODIAN BANK. IF
SUCH WAIVERS, ASSUMPTIONS AND EXPENSE OFFSETS HAD NOT BEEN IN EFFECT FOR
THEIR RESPECTIVE PERIOD, THE ANNUALIZED RATIOS OF NET OPERATING EXPENSES TO
AVERAGE DAILY NET ASSETS AND THE ANNUALIZED RATIOS OF NET INVESTMENT LOSS TO
AVERAGE DAILY NET ASSETS WOULD HAVE BEEN 4.86% AND (4.05%), RESPECTIVELY,
FOR THE SIX MONTHS ENDED FEBRUARY 29, 1996 AND 8.96% AND (7.55%),
RESPECTIVELY, FOR THE PERIOD SEPTEMBER 2, 1994 (COMMENCEMENT OF OPERATIONS)
TO AUGUST 31, 1995.
(2) AVERAGE DAILY NET ASSETS FOR THE SIX MONTHS ENDED FEBRUARY 29, 1996 WERE
$9,239,137, $7,649,132, $2,098,941, $8,267,548, $16,644,158, $15,738,132 AND
$3,913,381 FOR U.S. GOVERNMENT MONEY MARKET, INVESTMENT QUALITY BOND,
MUNICIPAL BOND, LARGE CAPITALIZATION VALUE, LARGE CAPITALIZATION GROWTH,
SMALL CAPITALIZATION AND INTERNATIONAL EQUITY, RESPECTIVELY.
(3) COMMENCEMENT OF OPERATIONS.
(4) INITIAL OFFERING PRICE.
(5) ANNUALIZED.
(6) UNAUDITED.
* ASSUMES REINVESTMENT OF ALL DIVIDENDS AND DISTRIBUTIONS. AGGREGATE (NOT
ANNUALIZED) TOTAL RETURN IS SHOWN FOR ANY PERIOD SHORTER THAN ONE YEAR.
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