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Previous: DEFINED ASSET FUNDS MUNICIPAL INVT TR FD INTERM TERM SER 248, 497, 1997-04-28 |
Next: SARATOGA ADVANTAGE TRUST, NSAR-A, 1997-04-28 |
<PAGE>
THE SARATOGA ADVANTAGE TRUST
SEMI ANNUAL REPORT
AS OF FEBRUARY 28, 1997
TABLE OF CONTENTS
President's
Letter.............................................................. Page 1
Investment
Review.............................................................. Page 3
Schedules of
Investments......................................................... Page 10
Statements of Assets and
Liabilities......................................................... Page 28
Statements of
Operations.......................................................... Page 29
Statements of Changes in Net
Assets.............................................................. Page 30
Notes to Financial
Statements.......................................................... Page 32
Financial
Highlights.......................................................... Page 35
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
Richard Peteka 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 8514 P.O. Box 351
Boston, MA 02266 Boston, MA 02101
<PAGE>
THE SARATOGA ADVANTAGE TRUST
Semi-Annual Report to Shareholders
April 22, 1997
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, 1996 through February 28,
1997, a period of positive domestic stock and bond investment returns. During
this period of time, U.S. stocks provided a total return of 22.5%, as measured
by the Standard & Poor's 500 Index, while the total return for bonds was 4.5%,
as gauged by the Lehman Intermediate Government/Corporate Bond Index.
International stocks also produced positive returns during the period, gaining
2.3% as reported by the Morgan Stanley Europe, Australia and Far East (EAFE)
Index.
Pursue Your Long-Term Goals With A Sensible Asset Allocation Strategy
Recent volatility in the stock and bond markets has caused many investors to
reevaluate their investment balance (asset allocation) between stock, bond and
money market investments. As the financial markets go through their cycles over
time, the multiple investment asset class structure of the Saratoga Advantage
Trust provides you with the ability to react to economic, market and personal
changes by reallocating your assets within the Trust to structure a portfolio
that makes sense for current conditions. Through consultations with your
financial advisor, you have the opportunity to establish as conservative or
aggressive a posture as you prefer.
It's Time In The Market That Counts, Not Timing The Market
Developing an asset allocation strategy that you are comfortable with will help
you stay invested over the long-term to try to achieve your investment goals.
The importance of "staying power" is illustrated by the following:
1. The stock market, as measured by the S&P 500, returned an average of
17.5% per year during the decade of the 1980's.
2. During this ten year period there were 2,528 trading days that the stock
market was open for business.
3. If you missed just the best 40 days of the decade (only 4 days per year
on average) your return would have been only 3.9% per year. That's 13.6
percentage points per year less than you would have received if you
stayed in the market throughout the decade.*
* Source: Datastream, Ibbotson Associates, and Bernstein estimates.
Investment success, like most good things in life, usually requires patience
and discipline. A well established asset allocation strategy can help you stay
invested over the long-term.
<PAGE>
Utilize Professional Management With Your Asset Allocation Strategy
Each of the Saratoga Advantage Trust's portfolios is advised by a nationally
renowned institutional money management organization with a special expertise
in their particular investment discipline. They are the same managers who
invest the portfolios for some of the nation's largest corporations, pension
funds and foundations. Their collective years of experience, advanced research
capabilities and superior management skills are usually not available to most
investors.
Remember, investors should primarily focus on longer term results over
statistically significant time periods such as three years or longer. 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.
Finally, pursuant to the recent proxy statement regarding the Saratoga
Advantage Trust, the shareholders have approved a new management agreement
between the Trust, on behalf of each Portfolio, and Saratoga Capital
Management, the Manager of the Trust. Shareholders also approved new investment
advisory agreements between the Manager and each of the Portfolios' advisors.
The material terms of these agreements are identical to the terms of the old
agreements. In addition, Unified Management Corporation will become the Trust's
distributor and Unified Advisers, Inc. will serve as the Trust's administrator,
four trustees of the Trust were elected and KPMG Peat Marwick LLP was selected
to continue as the independent accounting firm for the Trust.
We remain dedicated to serving your investment needs. Thank you for investing
with us.
Sincerely,
Bruce E. Ventimiglia
President and Chief Executive Officer
2
<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.
<TABLE>
<CAPTION>
U.S. Government 90 Day T-Bills
7-Day Money Market Average Discount
Compound Yield Portfolio Yield
- ---------------------------------- ------------------------- ------------------------
<S> <C> <C>
2/28/97 4.4% 5.0%
<CAPTION>
Total Aggregate U.S. Government Lipper U.S.
Return for the Period Money Market Treasury Money
Ended February 28, 1997 Portfolio Market Index(1)
- ---------------------------------- ------------------------- ------------------------
<S> <C> <C>
Since Inception (9/1/94)* 4.8% 4.9%
3/1/96 - 2/28/97 4.3% 4.7%
9/1/96 - 2/28/97 2.1% 2.3%
</TABLE>
*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 primarily in U.S. Government Agency Notes as of
February 28, 1997, due to the higher yields versus Treasury Bills. The average
dollar-weighted portfolio maturity was 69 days compared with a maximum
allowable average maturity of 90 days. Since the winter of 1996 the Federal
Reserve has held the Fed Funds rate steady at 5.25%. The average maturity of
the Portfolio has remained in a range from 55 to 70 days since last fall in an
environment of stable inflation and moderate growth.
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.
1. The Lipper U.S. Treasury Money Market Fund Index consists of the 30 largest
mutual funds that invest principally in U.S. Treasury obligations with
dollar-weighted average maturities of less than 90 days. These funds intend
to keep a constant net asset value.
Past performance is not indicative of future results.
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.
<TABLE>
<CAPTION>
Lipper
Total Aggregate Short-Intermediate
Return Investment Quality Investment Grade
Ended February 28, 1997 Bond Portfolio Debt Funds Index(1)
- ---------------------------------- --------------------- -------------------
<S> <C> <C>
Since Inception (9/1/94)* 5.7% 6.8%
3/1/96 - 2/28/97 3.7% 4.4%
9/1/96 - 2/28/97 3.8% 4.1%
</TABLE>
* 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 28, 1997, the Portfolio distributed dividends of $.51 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 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
3.5 years, and an average duration of 3.0 years in the Portfolio.
Other portfolio statistics as of February 28, 1997 are as follows: Average
weighted yield-to-maturity was 6.4%, average weighted coupon was 6.5% and the
average Moody's Rating was Aa2 with 21 fixed income issues held.
1. The Lipper Short-Intermediate Investment Grade Debt Funds Index consists of
the 30 largest mutual funds that invest at least 65% of their assets in
investment grade debt issues (rated in the top four grades) with
dollar-weighted average maturities of 1 to 5 years.
Past performance is not indicative of future results.
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.
<TABLE>
<CAPTION>
Total Aggregate Lipper General
Return for the Period Municipal Bond Municipal Debt
Ended February 28, 1997 Portfolio Funds Index(1)
- ------------------------------------ -------------------- --------------------
<S> <C> <C>
Since Inception (9/1/94)* 5.5% 6.9%
3/1/96-2/28/97 3.9% 4.0%
9/1/96-2/28/97 4.1% 4.6%
</TABLE>
* Annualized performance for periods greater than one year.
Though longer term municipal yields were lowered by 25 basis points during the
past 6 months, market anxieties continue to be present as Federal Reserve
Chairman Greenspan has warned the investment community that he is apt to raise
short term rates in order to stave off inflationary pressures in the economy.
His perceived intentions have sent yields on an upward path. Still, inflation
is no more evident today than it was six months ago. And one wonders whether
such favorable real rates will attract global buyers and keep yields from
rising too much higher. The economy is strong, but is without the concomitant
inflation which has historically coincided with a prolonged economic boom.
The municipal market has slightly outperformed the taxable market due to large
amounts of redemptions and coupon payments in January which were reinvested
into tax-exempts. The year-long erosion of tax reform fears which wreaked havoc
on the market in 1995 has also aided municipals.
We continue to invest in high quality municipals as quality spreads between the
higher and lower end of investment grade securities are still narrow. The
average quality of the Trust is AA+. We continue to favor the general
obligation sector (34% of portfolio) which has benefited from increased
municipal revenues due to the strength of the economy.
1. The Lipper General Municipal Debt Funds Index consists of the 30 largest
mutual funds that invest at least 65% of their assets in municipal debt
issues in the top four credit ratings.
Past performance is not indicative of future results.
5
<PAGE>
LARGE CAPITALIZATION VALUE PORTFOLIO
Advised by:
OpCap Adviors
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.
<TABLE>
<CAPTION>
Total Aggregate Large Capitalization Lipper Growth &
Return Value Portfolio Income Funds Index(1)
- --------------------------------- ------------------------ ----------------------
<S> <C> <C>
Since Inception (9/1/94)* 23.7% 20.9%
3/1/96 - 2/28/97 20.6% 21.2%
9/1/96 - 2/28/97 15.0% 18.6%
</TABLE>
* 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, we seek to invest in superior companies at reasonable prices. Our
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. We believe companies with high returns can increase
their value for extended periods. Therefore, we look for companies with the
above-average returns where those returns are protected by strong competitive
positions, and we want to buy those companies at what we consider to be
reasonable prices.
Strong contributors to performance included Ace Ltd., EXEL Ltd., Adaptec Inc.,
Citicorp and Federal Home Loan Mortgage Corporation.
The Portfolio owned the common stocks of 43 companies as of February 28, 1997.
The five largest holdings were EXEL Ltd., a strong capitalized specialty
insurance company; Ace Ltd., one of the leading providers of excess liability
insurance in the world; Wells Fargo & Co., provider of banking services to
retail, commercial, agribusiness, real estate and small-business customers,
mainly in California; Citicorp, the largest banking company in the United
States; and Tenet Healthcare Corp., the second largest publicly traded hospital
management company.
1. The Lipper Growth & Income Funds Index consists of the 30 largest mutual
funds that combine a growth of earnings orientation and an income
requirement for level and/or rising dividends.
Past performance is not indicative of future results.
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.
<TABLE>
<CAPTION>
Total Aggregate
Return for the Period Large Capitalization Lipper Growth Funds
Ended February 28, 1997 Growth Portfolio Index(1)
- ---------------------------------- ------------------------ ----------------------
<S> <C> <C>
Since Inception (9/1/94)* 19.9% 20.2%
3/1/96 - 2/28/97 18.7% 18.0%
9/1/96 - 2/28/97 19.1% 16.7%
</TABLE>
* Annualized performance for periods greater than one year.
Harris Bretall Sullivan & Smith, Inc. (HBSS) analyzes a universe of
approximately 300 established, high quality, U.S. based companies and ranks
them relative to each other and the S&P 500. This relative ranking is based on
present value, trends in current earnings and price performance. The Portfolio
is invested in stocks that rank in the top one third of this universe. All
investment decisions are made through a team approach. This team, called the
strategy team, meets fours times a week to set the firm's economic framework
and review specific holdings, recent news announcements and company data.
At the end of February, the Portfolio was invested in 42 stocks. Technology
continues to be a major investment theme of the Portfolio. The advisor believes
that technology is creating exceptional opportunities for astute management.
The Portfolio is invested not only in companies that are developing new
technologies, but also those that are using technology to gain market share and
increase productivity.
Additionally the Portfolio is invested in companies with "global franchises".
The advisor believes that as the global marketplace continues to evolve, U.S.
based companies with worldwide brand recognition will be the major benefactor.
As of the end of February, 1997, one third of the Portfolio was invested in
companies that the advisor feels have established "global franchises". Included
in this group are: American International Group Inc., Cisco Systems Inc.,
Citicorp, Colgate-Palmolive Co., The Walt Disney Co., General Electric Co.,
Gillette Co., Hewlett-Packard Co., Intel Corp., Johnson & Johnson, Merck & Co.
Inc., McDonalds Corp., Microsoft Corp., and Pfizer, Inc.
1. The Lipper Growth Funds Index consists of the 30 largest mutual funds that
normally invest in companies whose long-term earnings are expected to grow
significantly faster than the earnings of the stocks represented in the
major unmanaged stock indices.
Past performance is not indicative of future results.
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.
<TABLE>
<CAPTION>
Total Aggregate Small
Return for the Period Capitalization Lipper Small Cap
Ended February 28, 1997 Portfolio Funds Index(1)
- --------------------------------- --------------------- ---------------------
<S> <C> <C>
Since Inception (9/1/94)* 10.2% 16.5%
3/1/96 -2/28/97 0.8% 7.2%
9/1/96-2/28/97 -9.2% 0.9%
</TABLE>
* Annualized performance for periods greater than one year.
Investor Note: As of April 15, 1997, the Saratoga Small Capitalization
Portfolio is being advised by Thorsell, Parker Partners, Inc. of Westport,
Connecticut. Richard Thorsell, the Chief Investment Officer of Thorsell,
Parker, is managing the Portfolio. Mr. Thorsell has had extensive portfolio
management experience, earlier he was with Fidelity Management as the founder
and first leader of the fund group which specialized in small to mid-size
stocks. He was also the Chairman of the Investment Committee at PaineWebber. In
addition, he received an MBA from the Harvard Business School and is the author
of Investing on Your Own, a book on small capitalization stocks.
Axe- Houghton invests in growth companies with stock market capitalizations of
up to $1 billion and holds existing positions up to a maximum value of $2
billion, at which point profits are typically taken. As of February 28, 1997,
there were sixty stocks in the Portfolio. The Portfolio remains nearly
fully-invested, with major commitments in technology, consumer spending, and
healthcare. Major holdings include: COREStaff Inc. (temporary services) 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. The fourth
quarter of calendar year 1996 and January/February 1997 have been particularly
difficult periods for growth stocks. But just as these stocks can be volatile
on the downside, their movement can be dramatic on the upside.
1. The Lipper Small Cap Funds Index consists of the 30 largest mutual funds
that by prospectus or portfolio practice invest primarily in companies with
market capitalizations less than $1 billion at the time of purchase.
Past performance is not indicative of future results.
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.
<TABLE>
<CAPTION>
Morgan Stanley
Total Aggregate International EAFE Index
Return Equity Portfolio (U.S. Dollars)(1)
- ------------------------------------- ------------------- -------------------
<S> <C> <C>
Since Inception (9/1/94)* 1.3% 4.2%
3/1/96 - 2/28/97 6.4% 3.2%
9/1/96 - 2/28/97 6.6% 2.3%
</TABLE>
* Annualized performance for periods greater than one year.
Most international markets have performed well over the last six months in
local currency terms. The strength of the dollar has, however, diminished this
return for U.S. investors. For example, the dollar has appreciated by about 14%
against the Deutsche Mark over the period. The Japanese stockmarket has been a
notable under-performer in both local and dollar terms. The reasons for the
disappointing returns in the region have been concerns over the outlook for
economic growth and the stability of certain financial institutions.
Ivory & Sime focuses on areas of the world outside the U.S. that are expected
to experience superior economic growth. Individual stock selection is based on
detailed fundamental analysis and a strong emphasis on visiting the companies
in which investments are made.
As of February 28, 1997, major weightings in the Portfolio were as follows:
24.9% in Japan, 32.8% in Continental Europe, 13.5% in Asia (ex Japan), 16.9% in
the U.K. and 4.3% in Latin America.
Some of the Portfolio's recent acquisitions include: SGS Thomson, a niche
player in the semiconductor market and Telefonica de Espana, Spain's dominant
telecom operator which is benefiting from strong growth domestically and in
Latin America.
1. The Europe, Australia, Far East Index (EAFE) is a widely recognized index
prepared by Morgan Stanley Capital International. This unmanaged index
consists of non-U.S. companies which are listed on one of twenty foreign
markets and assumes the reinvestment of dividends. The Gross Domestic
Product (GDP) version of the index is used above.
Past performance is not indicative of future results.
9
<PAGE>
This page intentionally left blank.
<PAGE>
February 28, 1997
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (unaudited)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MONEY MARKET PORTFOLIO
<TABLE>
<CAPTION>
Principal
Amount Value
----------------- -----------------
<S> <C> <C> <C>
Federal Farm Credit Bank - 7.7%
$1,500,000 5.16%, 4/30/97 $1,487,100
185,000 5.24%, 3/03/97 184,946
85,000 5.25%, 5/02/97 84,231
210,000 5.26%, 3/04/97 209,908
135,000 5.50%, 5/01/97 134,958
-----------------
Total Federal Farm Credit Bank
(cost--$2,101,143) $2,101,143
-----------------
Federal Home Loan Bank - 23.9%
$1,455,000 5.15%, 3/04/97 $1,454,376
3,080,000 5.17%, 3/13/97 3,074,692
275,000 5.26%, 3/03/97 274,920
525,000 5.36%, 5/16/97 519,059
1,200,000 5.625%, 12/03/97 1,200,000
-----------------
Total Federal Home Loan Bank
(cost--$6,523,047) $6,523,047
-----------------
Federal Home Loan Mortgage Corporation - 34.3%
$4,200,000 5.15%, 3/13/97 $4,192,790
3,200,000 5.16%, 3/31/97 3,186,240
2,000,000 5.515%, 1/02/98 1,997,335
-----------------
Total Federal Home Loan Mortgage Corporation
(cost--$9,376,365) $9,376,365
-----------------
Federal National Mortgage Association - 30.2%
$1,750,000 5.18%, 5/13/97 $1,731,618
4,965,000 5.20%, 3/06/97 4,961,414
100,000 5.20%, 3/13/97 99,827
450,000 5.22%, 7/21/97 440,735
1,000,000 5.60%, 1/16/98 999,153
-----------------
Total Federal National Mortgage Association
(cost--$8,232,747) $8,232,747
-----------------
U.S. Treasury Bill - 3.6%
$1,000,000 5.19%, 4/03/97
(cost--$995,242) $995,242
-----------------
Total Investments
(cost--$27,228,544) 99.7% $27,228,544
Other Assets in Excess of
Other Liabilities 0.3 74,122
----------- -----------------
Total Net Assets 100.0% $27,302,666
=========== =================
</TABLE>
10
<PAGE>
February 28, 1997
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (unaudited) (continued)
- --------------------------------------------------------------------------------
INVESTMENT QUALITY BOND PORTFOLIO
<TABLE>
<CAPTION>
Principal
Amount Value
----------------- -----------------
<S> <C> <C>
U.S. TREASURY NOTES - 59.3%
$3,050,000 5.625%, 11/30/00 $2,978,996
6,000,000 6.125%, 9/30/00 5,963,460
3,650,000 6.75%, 5/31/99 3,695,041
-----------------
Total U.S. Treasury Notes
(cost--$12,655,783) $12,637,497
-----------------
CORPORATE NOTES & BONDS - 36.7%
Automotive - 3.0%
$225,000 Ford Motor Credit Corp.
7.75%, 10/01/99 $231,467
400,000 General Motors Acceptance Corp.
7.75%, 1/15/99 409,156
-----------------
640,623
-----------------
Banking - 2.7%
600,000 Nationsbank Corp.
5.375%, 4/15/00 579,918
-----------------
Chemicals - 2.7%
550,000 du Pont (E.I.) de Nemours & Co.
8.50%, 2/15/03 579,205
-----------------
Computers - 1.9%
400,000 International Business Machines Corp.
6.375%, 6/15/00 398,056
-----------------
Conglomerate - 1.1%
250,000 General Electric Co.
5.50%, 11/01/01 237,260
-----------------
Drugs & Medical Products - 1.7%
350,000 American Home Products Corp.
7.70%, 2/15/00 360,864
-----------------
Entertainment - 2.3%
500,000 The Walt Disney Co.
6.375%, 3/30/01 495,265
-----------------
Healthcare Services - 2.5%
500,000 Tenet Healthcare Corp.
8.625%, 12/03/01 526,250
-----------------
Miscellaneous Financial Services - 10.8%
350,000 Associates Corp. of North America
6.25%, 9/15/00 345,972
Bear Stearns & Co.
250,000 5.75%, 2/15/01 241,295
350,000 7.625%, 9/15/99 359,110
1,050,000 Dean Witter Discover & Co.
6.75%, 8/15/00 1,052,394
50,000 Lehman Brothers, Inc.
9.875%, 10/15/00 54,408
250,000 Morgan Stanley Group
5.75%, 2/15/01 241,045
-----------------
2,294,224
-----------------
Oil/Gas - 1.3%
260,000 Amoco Canada Petroleum Co. Ltd.
7.25%, 12/01/02 266,744
-----------------
</TABLE>
11
<PAGE>
February 28, 1997
- -------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (unaudited) (continued)
- -------------------------------------------------------------------------------
INVESTMENT QUALITY BOND PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
Principal
Amount Value
----------------- -----------------
<S> <C> <C> <C>
Resource Recovery - 3.5%
$750,000 WMX Technologies, Inc.
7.125%, 6/15/01 $758,310
-----------------
Utility - 3.2%
700,000 Southern California Edison Co.
5.875%, 1/15/01 679,434
-----------------
Total Corporate Notes & Bonds
(cost--$7,859,498) $7,816,153
-----------------
Total Investments
(cost--$20,515,281) 96.0% $20,453,650
Other Assets in Excess of
Other Liabilities 4.0 855,264
----------- -----------------
Total Net Assets 100.0% $21,308,914
=========== =================
</TABLE>
12
<PAGE>
February 28, 1997
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (unaudited) (continued)
- --------------------------------------------------------------------------------
MUNICIPAL BOND PORTFOLIO
<TABLE>
<CAPTION>
Principal
Amount Value
------------------ ------------------
<S> <C> <C>
MUNICIPAL NOTES & BONDS - 97.8%
CALIFORNIA - 13.7%
Education - 7.4%
California State Public Works Board Lease Revenue
California State University Projects
$250,000 5.375%, 10/01/17 $241,093
50,000 6.00%, 9/01/15 50,933
200,000 Lafayette, California Elementary School District
5.90%, 5/15/18 203,260
------------------
495,286
------------------
General Obligation - 3.0%
200,000 California State Revenue Anticipation Notes
4.50, 6/30/97 200,637
------------------
Power/Utility - 2.2%
150,000 Southern California Public Power Authority
Power Project Revenue (Series A)
5.50%, 7/01/12 (AMBAC insured) 151,084
------------------
Water/Sewer - 1.1%
75,000 San Francisco, California City & County Public Utilities
Community Water Revenue (Series A)
6.00%, 11/01/15 77,278
------------------
924,285
------------------
COLORADO - 2.3%
Health/Hospital
150,000 Denver, Colorado City & County Revenue
Childrens Hospital Association Project
6.00%, 10/01/15 154,761
------------------
CONNECTICUT - 4.7%
General Obligation - 4.4%
300,000 Hartford, Connecticut General Obligation Bonds
5.30%, 12/15/15 293,757
------------------
Housing - 0.3%
20,000 Connecticut State Housing Finance Authority
Housing Mortgage Financing Program (Series B)
6.50%, 5/15/18 20,741
------------------
314,498
------------------
FLORIDA - 2.6%
Education - 0.5%
35,000 Dade County, Florida School Board
Certificates of Participation (Series A)
5.75%, 5/01/12 (MBIA insured) 35,772
------------------
General Obligation - 1.0%
75,000 Florida State Board of Education Capital Outlay (Series D)
5.25%, 6/01/23 69,561
------------------
Sales Tax - 0.8%
50,000 St. Petersburg, Florida Professional Sports Facilities
Sales Tax Revenue
5.60%, 10/01/15 (MBIA insured) 50,366
------------------
Turnpike/Toll - 0.3%
20,000 Orlando & Orange County Expressway Authority
Florida Expressway Revenue (Series A)
5.00%, 7/01/17 (FGIC insured) 18,371
------------------
174,070
------------------
</TABLE>
13
<PAGE>
February 28, 1997
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (unaudited) (continued)
- --------------------------------------------------------------------------------
MUNICIPAL BOND PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
Principal
Amount Value
------------------ ------------------
<S> <C> <C>
GEORGIA - 11.3%
Airports - 4.7%
$305,000 Atlanta, Georgia Airport Facilities Revenue
6.25%, 1/01/21 $313,970
------------------
Education - 3.3%
215,000 Jackson County, Georgia School District
6.00%, 7/01/14 (MBIA insured) 224,028
------------------
General Obligation - 3.3%
200,000 Georgia State General Obligation Bonds (Series B)
6.25%, 4/01/07 222,294
------------------
760,292
------------------
IOWA - 0.8%
Water/Sewer
50,000 West Des Moines, Iowa Water Revenue
6.80%, 12/01/13 (AMBAC insured) 54,816
------------------
KENTUCKY - 1.5%
Turnpike/Toll
100,000 Kentucky State Turnpike Authority
Economic Development Road Revenue
5.625%, 7/01/15 (AMBAC insured) 100,732
------------------
LOUISIANA - 2.3%
General Obligation
150,000 New Orleans, Louisiana General Obligation Bonds
6.125%, 10/01/16 156,680
------------------
MARYLAND - 4.7%
Resource Recovery
300,000 Maryland State Energy Financing Administration
Solid Waste Disposal Revenue Wheelabrator Water Projects
6.30%, 12/01/10 313,458
------------------
MASSACHUSETTS - 1.5%
General Obligation - 0.8%
50,000 Lowell, Massachusetts General Obligation Bonds
6.05%, 4/01/11 52,579
------------------
Transportation - 0.7%
50,000 Massachusetts Bay Transportation Authority
General Transportation System (Series B)
5.90%, 3/01/24 50,522
------------------
103,101
------------------
MICHIGAN - 6.0%
General Obligation - 4.2%
250,000 Michigan Municipal Bond Authority Revenue
6.50%, 10/01/09 282,813
------------------
Pollution Control - 1.8%
125,000 Michigan State Environmental Protection Program
5.40%, 11/01/19 119,790
------------------
402,603
------------------
MISSOURI - 0.7%
Housing
45,000 Missouri State Housing Development Community
Single Family Mortgage Revenue
6.90%, 7/01/18 47,369
------------------
</TABLE>
14
<PAGE>
February 28, 1997
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (unaudited) (continued)
- --------------------------------------------------------------------------------
MUNICIPAL BOND PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
Principal
Amount Value
------------------ ------------------
<S> <C> <C>
NEBRASKA - 0.6%
Power/Utility
$40,000 Omaha Public Power Distribution (Series C)
5.50%, 2/01/14 $40,706
------------------
NEVADA - 4.2%
General Obligation - 1.9%
50,000 Clark County, Nevada General Obligation Bonds (Series B)
6.00%, 6/01/16 (AMBAC insured) 53,498
75,000 Nevada State General Obligation Bonds
Municipal Bond Bank (Series A)
5.50%, 11/01/20 73,439
------------------
126,937
------------------
Housing - 2.3%
150,000 Nevada Housing Division
Single Family Program (Series A1)
6.15%, 4/01/17 152,766
------------------
279,703
------------------
NEW HAMPSHIRE - 0.5%
Turnpike/Toll
30,000 New Hampshire State Turnpike Systems
6.00%, 4/01/13 30,135
------------------
NEW YORK - 14.9%
Education - 3.1%
New York State Dormitory Authority Revenue
75,000 Albany Memorial Hospital
5.50%, 7/01/10 73,743
125,000 Consolidated City University System
5.75%, 7/01/09 132,130
------------------
205,873
------------------
General Obligation - 3.3%
200,000 New York State General Obligation Bonds (Series A)
6.50%, 7/15/06 222,708
------------------
Housing - 1.1%
75,000 New York State Mortgage Agency Revenue
Homeowner Mortgage (Series 54)
6.10%, 10/01/15 76,264
------------------
Pollution Control - 0.6%
40,000 New York State Environmental Facilities Corp.
Pollution Control Revenue
5.875%, 6/15/14 40,814
------------------
Sales Tax - 4.3%
300,000 New York State Local Government Assistance Corp. (Series A)
5.375%, 4/01/16 289,404
------------------
Transportation - 1.5%
100,000 Metropolitan Transit Authority
5.50%, 7/01/08 (FGIC insured) 103,405
------------------
Water/Sewer - 1.0%
65,000 New York City Municipal Water Finance Authority
Water and Sewer Systems Revenue (Series F)
5.50%, 6/15/15 (MBIA insured) 64,183
------------------
1,002,651
------------------
</TABLE>
15
<PAGE>
February 28, 1997
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (unaudited) (continued)
- --------------------------------------------------------------------------------
MUNICIPAL BOND PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
Principal
Amount Value
------------------ ------------------
<S> <C> <C>
OHIO - 0.9%
Health/Hospital
$50,000 Lorain County, Ohio Hospital Revenue
7.75%, 11/01/13 (AMBAC insured) $59,447
------------------
PENNSYLVANIA - 8.4%
Education - 2.3%
150,000 Pennsylvania State Higher Educational Facilities Authority
Health Services Revenue University of Pennsylvania
(Series B)
5.75%, 1/01/17 151,069
------------------
General Obligation - 4.3%
300,000 Pennsylvania State General Obligation Bonds
5.00%, 11/15/12 (AMBAC insured) 290,460
------------------
Tax Allocation - 1.1%
75,000 Philadelphia, Pennsylvania Municipal Authority Revenue
5.625%, 11/15/14 (FGIC insured) 75,429
------------------
Water/Sewer - 0.7%
50,000 Pittsburgh, Pennsylvania Water & Sewer Authority
Water & Sewer Systems Revenue (Series B)
5.60%, 9/01/15 50,100
------------------
567,058
------------------
PUERTO RICO - 1.0%
Power/Utility
65,000 Puerto Rico Electric Power Authority
Power Revenue (Series X)
6.00%, 7/01/15 65,894
------------------
TEXAS - 9.6%
Education - 0.2%
10,000 University of Texas Revenue Bonds (Series B)
6.75%, 8/15/13 10,798
------------------
General Obligation - 5.0%
75,000 Houston, Texas General Obligation Bonds (Series C)
5.25%, 4/01/14 73,097
25,000 San Antonio, Texas General Obligation Bonds
6.625%, 8/01/14 28,069
35,000 Texas State General Obligation Bonds (Series D)
6.00%, 8/01/12 36,279
200,000 Texas State Tax & Revenue Anticipation Notes
4.75%, 8/29/97 200,830
------------------
338,275
------------------
Power/Utility - 0.8%
50,000 Brazos River Authority Texas Revenue
Houston Light & Power Company
5.80%, 8/01/15 (MBIA insured) 50,488
------------------
Water/Sewer - 3.6%
250,000 San Antonio, Texas Water Revenue
5.60%, 5/15/21 (MBIA insured) 245,428
------------------
644,989
------------------
</TABLE>
16
<PAGE>
February 28, 1997
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (unaudited) (continued)
- --------------------------------------------------------------------------------
MUNICIPAL BOND PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
Principal
Amount Value
------------------ ------------------
<S> <C> <C> <C>
WASHINGTON - 0.7%
Power/Utility
$35,000 Seattle Washington Municipal Light & Power Revenue
(Series A)
5.75%, 8/01/11 $35,739
10,000 Washington State Public Power Supply Systems
Nuclear Project Revenue (Series B)
7.25%, 7/01/12 (FGIC insured) 11,092
------------------
46,831
------------------
WISCONSIN - 4.5%
Housing
300,000 Wisconsin Housing & Economic Development Authority
Home Ownership Revenue
6.20%, 3/01/27 302,700
------------------
WYOMING - 0.4%
Housing
25,000 Wyoming Community Development
Authority Housing Revenue (Series 1)
6.65%, 12/01/06 26,143
------------------
Total Investments
(cost--$6,468,232) 97.8% $6,572,922
Other Assets in Excess of
Other Liabilities 2.2 151,050
----------- ------------------
Total Net Assets 100.0% $6,723,972
=========== ==================
</TABLE>
17
<PAGE>
February 28, 1997
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (unaudited) (continued)
- --------------------------------------------------------------------------------
LARGE CAPITALIZATION VALUE PORTFOLIO
<TABLE>
<CAPTION>
Principal
Amount Value
------------------ ------------------
<S> <C> <C>
SHORT-TERM CORPORATE NOTES - 9.7%
Automotive - 1.3%
$315,000 Ford Motor Credit Corp.
5.24%, 3/31/97 $313,625
------------------
Conglomerate - 0.8%
196,000 General Electric Capital Corp.
5.19%, 3/03/97 195,943
------------------
Miscellaneous Financial Services - 7.6%
800,000 Federal Home Loan Mortgage Corp.
5.16%, 3/19/97 797,936
1,089,000 Prudential Funding Corp.
5.23%, 3/07/97 1,088,051
------------------
1,885,987
------------------
Total Short-Term Corporate Notes
(cost--$2,395,555) $2,395,555
------------------
<CAPTION>
Shares
------------------
<S> <C> <C>
COMMON STOCKS - 89.9%
Aerospace - 5.9%
8,000 Lockheed Martin Corp. $708,000
12,000 McDonnell Douglas Corp. 762,000
------------------
1,470,000
------------------
Airlines - 2.2%
7,000 AMR Corp. * 550,375
------------------
Automotive - 3.1%
23,526 LucasVarity, Plc. * 770,476
------------------
Banking - 7.3%
7,300 Citicorp 852,275
3,166 Wells Fargo & Co. 963,255
------------------
1,815,530
------------------
Building & Construction - 2.0%
7,000 Armstrong World Industries, Inc. 482,125
------------------
Chemicals - 3.5%
3,700 du Pont (E.I.) de Nemours & Co. 396,825
6,000 Hercules, Inc. 279,000
5,250 Monsanto Co. 190,969
------------------
866,794
------------------
Conglomerates - 5.1%
15,000 Canadian Pacific Ltd. 371,250
2,900 General Electric Co. 298,337
15,000 Tenneco, Inc. 590,625
------------------
1,260,212
------------------
Drugs & Medical Products - 2.9%
14,680 Becton, Dickinson & Co. 722,990
------------------
Electronics - 2.6%
5,000 Adaptec, Inc. * 190,312
8,080 Arrow Electronics, Inc. * 453,490
------------------
643,802
------------------
Food Services - 1.7%
10,000 McDonald's Corp. 432,500
------------------
Healthcare Services - 5.4%
11,700 Columbia/HCA Healthcare Corp. 491,400
31,250 Tenet Healthcare Corp. * 847,656
------------------
1,339,056
------------------
</TABLE>
18
<PAGE>
February 28, 1997
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (unaudited) (continued)
- --------------------------------------------------------------------------------
LARGE CAPITALIZATION VALUE PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
Shares Value
------------------ ------------------
<S> <C> <C> <C>
Insurance - 22.0%
18,700 Ace Ltd. $1,215,500
16,950 AFLAC, Inc. 684,356
4,150 American International Group, Inc. 502,150
13,000 Everest Re Holdings, Inc. 409,500
28,620 EXEL Ltd. 1,262,858
3,700 General Re Corp. 627,613
4,180 Progressive Corp., Ohio 276,403
13,000 RenaissanceRe Holdings Ltd. 490,750
------------------
5,469,130
------------------
Leisure - 2.8%
16,000 Carnival Corp. 564,000
5,000 Sabre Group Holdings, Inc. * 141,250
------------------
705,250
------------------
Machinery/Engineering - 3.4%
10,800 Caterpillar, Inc. 846,450
------------------
Metals/Mining - 0.8%
6,000 Freeport McMoRan, Copper & Gold, Inc. (Class B) 204,000
------------------
Miscellaneous Financial Services - 5.4%
22,200 Countrywide Credit Industries, Inc. 646,575
23,400 Federal Home Loan Mortgage Corp. 696,150
------------------
1,342,725
------------------
Oil/Gas - 2.1%
1,395 El Paso Natural Gas Co. 74,807
8,500 Triton Energy Ltd. * 355,938
3,387 Union Pacific Resource Group, Inc. 82,558
------------------
513,303
------------------
Printing/Publishing - 2.1%
16,500 R.R. Donnelley & Sons Co. 509,438
------------------
Railroad - 1.0%
4,000 Union Pacific Corp. 241,000
------------------
Retail - 2.9%
15,650 May Department Stores Co. 729,681
------------------
Telecommunications - 3.1%
8,000 Sprint Corp. 364,000
35,000 Tele-Communications, Inc. * 415,625
------------------
779,625
------------------
Textiles - 0.7%
13,000 Shaw Industries, Inc. 169,000
------------------
Transportation - 1.9%
10,000 CSX Corp. 461,250
------------------
Total Common Stocks
(cost--$17,818,424) $22,324,712
------------------
Total Investments
(cost--$20,213,979) 99.6% $24,720,267
Other Assets in Excess of
Other Liabilities 0.4 111,063
----------- ------------------
Total Net Assets 100.0% $24,831,330
=========== ==================
</TABLE>
---------------------------------------------------------------------
* Non-income producing security.
19
<PAGE>
February 28, 1997
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (unaudited) (continued)
- --------------------------------------------------------------------------------
LARGE CAPITALIZATION GROWTH PORTFOLIO
<TABLE>
<CAPTION>
Principal
Amount Value
------------------ ------------------
<S> <C> <C>
SHORT TERM CORPORATE NOTES - 1.3%
Conglomerate
$500,000 General Electric Capital Corp.
5.24%, 3/03/97
(cost--$500,000) $500,000
------------------
<CAPTION>
Shares
------------------
<S> <C> <C>
COMMON STOCKS - 97.7%
Advertising - 2.4%
18,500 Interpublic Group of Companies, Inc. $927,313
------------------
Banking - 10.2%
8,500 BankAmerica Corp. 966,875
9,000 Citicorp 1,050,750
19,300 Norwest Corp. 960,175
3,350 Wells Fargo & Co. 1,019,238
------------------
3,997,038
------------------
Building & Construction - 2.0%
13,000 Fluor Corp. 788,125
------------------
Casinos/Gaming - 2.1%
26,000 Circus Circus Enterprises * 812,500
------------------
Computers - 2.3%
16,400 Hewlett - Packard Co. 918,400
------------------
Computer Services - 8.2%
20,300 Automatic Data Processing, Inc. 865,287
12,700 Cisco Systems, Inc. * 706,437
17,000 Electronic Data Systems Corp. 767,125
24,000 First Data Corp. 879,000
------------------
3,217,849
------------------
Computer Software - 6.2%
38,600 Informix Corp. * 670,675
10,300 Microsoft Corp. * 1,004,250
19,000 Oracle Systems Corp. * 745,750
------------------
2,420,675
------------------
Conglomerate - 2.3%
8,800 General Electric Co. 905,300
------------------
Cosmetics/Toiletries - 2.2%
10,900 Gillette Co. 862,462
------------------
Drugs & Medical Products - 14.5%
16,100 Abbott Laboratories 905,625
14,500 American Home Products Corp. 928,000
15,000 Amgen, Inc. * 916,875
18,000 Johnson & Johnson 1,037,250
10,600 Merck & Co., Inc. 975,200
10,200 Pfizer, Inc. 934,575
------------------
5,697,525
------------------
Electronics - 4.9%
20,000 Applied Materials, Inc. * 1,012,500
6,500 Intel Corp. 922,187
------------------
1,934,687
------------------
Entertainment - 2.5%
13,000 The Walt Disney Co. 965,250
------------------
Food Services - 4.5%
19,000 McDonald's Corp. 821,750
27,000 Sysco Corp. 938,250
------------------
1,760,000
------------------
</TABLE>
20
<PAGE>
February 28, 1997
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (unaudited) (continued)
- --------------------------------------------------------------------------------
LARGE CAPITALIZATION GROWTH PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
Shares Value
------------------ ------------------
<S> <C> <C> <C>
Healthcare Services - 2.5%
20,000 United Healthcare Corp. $997,500
------------------
Household Products - 2.5%
9,500 Colgate-Palmolive Co. 983,250
------------------
Insurance - 2.4%
7,850 American International Group, Inc. 949,850
------------------
Manufacturing - 4.7%
11,200 Illinois Tool Works, Inc. 945,000
15,500 Tyco International Ltd. 914,500
------------------
1,859,500
------------------
Miscellaneous Financial Services - 2.7%
28,000 Schwab (Charles) Corp. 1,050,000
------------------
Railroads - 2.2%
14,300 Union Pacific Corp. 861,575
------------------
Retail - 6.8%
26,000 Circuit City Stores-Circuit City Group 812,500
18,000 Home Depot, Inc. 981,000
33,000 Wal-Mart Stores, Inc. 870,375
------------------
2,663,875
------------------
Telecommunications - 2.5%
17,900 Lucent Technologies, Inc. 964,363
------------------
Tobacco/Beverage/Food Products - 5.1%
13,800 General Mills, Inc. 900,450
33,000 PepsiCo, Inc. 1,084,875
------------------
1,985,325
------------------
Toys/Games/Hobby - 2.0%
31,100 Mattel, Inc. 773,613
------------------
Total Common Stocks
(cost--$31,041,975) $38,295,975
------------------
Total Investments
(cost--$31,541,975) 99.0% $38,795,975
Other Assets in Excess of
Other Liabilities 1.0 376,447
----------- ------------------
Total Net Assets 100.0% $39,172,422
=========== ==================
</TABLE>
---------------------------------------------------------------------
*Non - income producing security.
21
<PAGE>
February 28, 1997
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (unaudited) (continued)
- --------------------------------------------------------------------------------
SMALL CAPITALIZATION PORTFOLIO
<TABLE>
<CAPTION>
Principal
Amount Value
------------------ ------------------
<S> <C> <C>
SHORT-TERM CORPORATE NOTE - 6.8%
Miscellaneous Financial Services
$1,450,000 Federal Home Loan Bank
5.30%, 3/03/97
(cost -- $1,449,573) $1,449,573
------------------
Shares
------------------
<S> <C> <C>
COMMON STOCKS - 92.7%
Airlines - 2.0%
20,500 Comair Holdings, Inc. $422,813
------------------
Building & Construction - 0.5%
10,575 Cavalier Homes, Inc. 116,325
------------------
Commercial Services - 10.6%
10,450 Abacus Direct Corp. * 266,475
26,300 COREStaff, Inc. * 621,338
14,600 Data Processing Resources Corp. * 286,525
16,900 F.Y.I., Inc. * 392,925
20,000 RemedyTemp, Inc. * 345,000
24,600 TeleSpectrum Worldwide, Inc. * 341,325
------------------
2,253,588
------------------
Computers - 4.0%
18,850 Cognex Corp. * 341,656
5,925 PRI Automation, Inc. * 292,547
7,300 STB Systems, Inc. * 211,700
------------------
845,903
------------------
Computer Software - 5.5%
2,940 CBT Group Plc. Sponsored ADR * 160,230
7,350 Electronics for Imaging, Inc. * 282,975
10,770 Information Management Resources, Inc. * 203,284
8,100 Remedy Corp. * 310,837
6,900 Splash Technology Holdings, Inc. * 205,275
------------------
1,162,601
------------------
Correctional Facilities - 2.3%
27,800 Wackenhut Corrections Corp. * 479,550
------------------
Drugs & Medical Products - 3.6%
29,800 Meridian Diagnostics, Inc. 331,525
21,900 Respironics, Inc. * 431,156
------------------
762,681
------------------
Education - 1.6%
23,000 Youth Services International, Inc. * 345,000
------------------
Electronics - 12.3%
18,800 American Residential Services, Inc. * 453,550
14,450 ESS Technology, Inc. * 380,216
8,650 Fusion Systems Corp. * 235,712
10,950 Jabil Circuit, Inc. * 362,719
16,150 Perceptron, Inc. * 524,875
18,100 SDL, Inc. * 371,050
16,200 Special Devices, Inc. * 291,600
------------------
2,619,722
------------------
Entertainment - 2.5%
19,750 Regal Cinemas, Inc. * 525,844
------------------
Healthcare Services - 3.6%
17,650 Alternative Living Services, Inc. * 266,956
14,685 NABI, Inc. * 141,343
12,350 Sunrise Assisted Living, Inc. * 345,800
------------------
754,099
------------------
</TABLE>
22
<PAGE>
February 28, 1997
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (unaudited) (continued)
- --------------------------------------------------------------------------------
SMALL CAPITALIZATION PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
Shares Value
------------------ ------------------
<S> <C> <C> <C>
Insurance - 2.5%
19,150 United Dental Care, Inc. * $529,019
------------------
Lodging - 5.3%
31,650 La Quinta Inns, Inc. 625,088
25,100 Suburban Lodges of America, Inc. * 495,725
------------------
1,120,813
------------------
Machinery/Engineering - 1.4%
7,650 Applied Power, Inc. 299,306
------------------
Manufacturing - 5.6%
19,200 Advanced Lighting Technologies, Inc. * 436,800
9,600 Chicago Miniature Lamp, Inc. * 163,200
4,900 Hologic, Inc. * 127,400
9,450 Vivid Technologies, Inc. * 199,631
15,050 Zag Industries Ltd. * 255,850
------------------
1,182,881
------------------
Miscellaneous Financial Services - 0.6%
3,830 Raymond James Financial, Inc. 127,826
------------------
Oil/Gas - 6.2%
5,900 Atwood Oceanics, Inc. * 309,750
11,250 Core Laboratories N.V. * 188,438
13,600 Patterson Energy, Inc. * 312,800
18,300 Pride Petroleum Services, Inc. * 306,525
9,300 Stone Energy Corp. * 204,600
------------------
1,322,113
------------------
Printing/Publishing - 1.9%
15,550 Consolidated Graphics, Inc. * 400,413
------------------
Recreation - 0.8%
7,900 Vail Resorts, Inc. * 172,813
------------------
Retail - 9.1%
11,550 Barnett, Inc. * 265,650
17,500 Cross-Continent Auto Retailers, Inc. * 277,812
19,300 Gadzooks, Inc. * 472,850
14,200 Hibbett Sporting Goods, Inc. * 227,200
14,350 Pacific Sunwear of California * 401,800
16,550 RDO Equipment Co. * 287,556
------------------
1,932,868
------------------
Telecommunications - 5.8%
12,300 Advanced Fibre Communications * 399,750
12,150 Davox Corp. * 347,794
21,950 Harmonic Lightwaves, Inc. * 367,662
10,200 Periphonics Corp. * 122,400
------------------
1,237,606
------------------
Transportation - 2.3%
15,200 Rural/Metro Corp. * 478,800
------------------
Other - 2.7%
15,950 Stewart Enterprises, Inc. 563,234
------------------
Total Common Stocks
(cost--$19,416,337) $19,655,818
------------------
Total Investments
(cost--$20,865,910) 99.5% $21,105,391
Other Assets in Excess of
Other Liabilities 0.5 107,179
---------- ------------------
Total Net Assets 100.0% $21,212,570
========== ==================
</TABLE>
---------------------------------------------------------------------
* Non-income producing security.
23
<PAGE>
February 28, 1997
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (unaudited) (continued)
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY PORTFOLIO
<TABLE>
<CAPTION>
Shares Value
------------------ ------------------
<S> <C> <C>
COMMON STOCKS - 98.8%
ARGENTINA - 1.4%
Telecommunications
3,500 Telefonica de Argentina S.A. Sponsored ADR $110,688
------------------
BRAZIL - 1.2%
Utilities
2,500 Cemig S.A. Sponsored ADR 99,958
------------------
FRANCE - 5.4%
Chemicals - 2.0%
4,600 Rhone-Poulenc S.A. Sponsored ADR 160,425
------------------
Electronics - 1.5%
1,900 SGS-Thomson Microelectronics N.V. * 125,400
------------------
Insurance - 1.9%
4,700 AXA-UAP Sponsored ADR * 158,037
------------------
443,862
------------------
GERMANY - 5.5%
Automotive - 1.8%
1,500 Volkswagen AG Sponsored ADR 145,367
------------------
Banking - 1.8%
2,800 Deutsche Bank AG Sponsored ADR 145,296
------------------
Machinery/Engineering - 1.9%
400 Mannesmann AG Sponsored ADR 157,925
------------------
448,588
------------------
HONG KONG - 3.4%
Conglomerate - 1.7%
15,800 Swire Pacific Ltd. Sponsored ADR 135,679
------------------
Real Estate - 1.7%
11,000 New World Development Co. Ltd. Sponsored ADR 136,363
------------------
272,042
------------------
INDIA - 1.7%
Utilities
6,650 BSES Ltd. GDR 141,312
------------------
ITALY - 4.0%
Coglomerate - 2.2%
4,200 Stet Societa' Finanziaria Telefonica SpA Sponsored ADR 179,550
------------------
Oil/Gas - 1.8%
3,000 ENI SpA Sponsored ADR 149,250
------------------
328,800
------------------
JAPAN - 24.9%
Automotive - 1.8%
2,800 Toyota Motor Corp. ADR 144,200
------------------
Banking - 4.1%
7,000 Bank of Tokyo-Mitsubishi ADR 116,375
900 Mitsubishi Trust & Banking Corp. Sponsored ADR 99,180
930 Sumitomo Bank Ltd. Japan ADR 117,126
------------------
332,681
------------------
Chemicals - 0.9%
1,450 Asahi Chemical Industry Co. Ltd. ADR 78,453
------------------
Conglomerate - 1.4%
6,000 Mitsubishi Corp. Sponsored ADR 111,359
------------------
</TABLE>
24
<PAGE>
February 28, 1997
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (unaudited) (continued)
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
Shares Value
------------------ ------------------
<S> <C> <C>
JAPAN (cont'd)
Drugs & Medical Products - 1.3%
5,670 Eisai Co. Ltd. Sponsored ADR $106,174
------------------
Electronics - 7.6%
2,700 Fujitsu Ltd. ADR 133,109
900 Kyocera Corp. Sponsored ADR 105,075
850 Sharp Corp. ADR 106,347
1,910 Sony Corp. Sponsored ADR 137,520
1,000 Sumitomo Electric Industries Ltd. ADR 138,371
------------------
620,422
------------------
Manufacturing - 1.4%
650 Bridgestone Corp. ADR 116,331
------------------
Metals/Mining - 1.2%
3,650 Kawasaki Steel Corp. Sponsored ADR 97,683
------------------
Miscellaneous Financial Services - 1.0%
600 Nomura Securities Co. Ltd. ADR 80,040
------------------
Photography - 1.7%
1,300 Canon, Inc. Sponsored ADR 135,850
------------------
Real Estate - 1.1%
800 Mitsubishi Estate Co. Ltd. ADR 94,125
------------------
Retail - 1.4%
4,000 Marui Co. ADR 114,674
------------------
2,031,992
------------------
MALAYSIA - 1.1%
Conglomerate
25,000 Sime Darby Bhd. Sponsored ADR 94,637
------------------
MEXICO - 1.7%
Building & Construction
8,600 Empresas ICA de S.A. Sponsored ADR * 141,900
------------------
NETHERLANDS - 5.8%
Building & Construction - 2.3%
10,000 Hunter Douglas N.V. Sponsored ADR 188,934
------------------
Conglomerate - 1.9%
2,200 Akzo Nobel N.V. Sponsored ADR 158,400
------------------
Printing/Publishing - 1.6%
6,200 VNU - Ver Ned Bezit Sponsored ADR 128,323
------------------
475,657
------------------
PHILIPPINES - 2.4%
Telecommunications - 1.8%
2,500 Philippine Long Distance Telephone Co. Sponsored ADR 145,000
------------------
Tobacco/Beverage/Food Products - 0.6%
1,300 San Miguel Corp. Sponsored ADR 48,383
------------------
193,383
------------------
SINGAPORE - 4.0%
Banking - 2.1%
3,300 Development Bank of Singapore Ltd. Sponsored ADR 174,952
------------------
Real Estate - 1.9%
15,500 City Developments Ltd. Sponsored ADR 153,261
------------------
328,213
------------------
</TABLE>
25
<PAGE>
February 28, 1997
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (unaudited) (continued)
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
Shares Value
------------------ ------------------
<S> <C> <C>
SOUTH KOREA - 0.9%
Telecommunications
6,180 Korea Mobile Telecommunications ADR * $76,478
------------------
SPAIN - 2.2%
Telecommunications
2,600 Telefonica de Espana Sponsored ADR 179,075
------------------
SWEDEN - 7.8%
Automotive - 2.2%
7,200 Volvo AB Sponsored ADR 179,100
------------------
Machinery/Engineering - 3.7%
5,500 Sandvik AB Sponsored ADR 133,867
7,000 SKF AB Sponsored ADR 168,875
------------------
302,742
------------------
Telecommunications - 1.9%
4,800 Telefonaktiebolaget LM Ericsson Sponsored ADR 151,425
------------------
633,267
------------------
SWITZERLAND - 2.1%
Drugs & Medical Products
2,000 Roche Holdings AG Sponsored ADR 168,336
------------------
UNITED KINGDOM - 16.9%
Airports - 1.1%
10,000 BAA Plc. Sponsored ADR 86,794
------------------
Banking - 2.6%
1,800 Barclays Plc. Sponsored ADR 130,500
330 HSBC Holdings Plc. Sponsored ADR 80,540
------------------
211,040
------------------
Building & Construction - 0.8%
11,000 Redland Plc. Sponsored ADR 62,812
------------------
Chemicals - 1.2%
3,000 BOC Group Plc. Sponsored ADR 98,250
------------------
Conglomerates - 1.2%
12,000 General Electric Co. Plc. ADR 72,928
1,820 Rank Group Plc. Sponsored ADR 25,025
------------------
97,953
------------------
Drugs & Medical Products - 1.2%
3,000 Glaxo Wellcome Plc. Sponsored ADR 101,625
------------------
Leisure - 1.2%
25,000 Ladbroke Group Plc. ADR 94,623
------------------
Manufacturing - 0.9%
4,000 Tomkins Plc. Sponsored ADR 76,000
------------------
Media/Broadcasting - 1.1%
2,000 Carlton Communications Plc. Sponsored ADR 86,250
------------------
Oil/Gas - 1.2%
1,000 Shell Transport & Trading Co. ADR 101,375
------------------
Retail - 1.4%
5,000 Boots Co. Plc. ADR 110,697
------------------
</TABLE>
26
<PAGE>
February 28, 1997
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS (unaudited) (continued)
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY PORTFOLIO (cont'd)
<TABLE>
<CAPTION>
Shares Value
------------------ ------------------
<S> <C> <C> <C>
UNITED KINGDOM (cont'd)
Tobacco/Beverage/Food Products - 3.0%
3,700 Bass Plc. Sponsored ADR $104,525
3,000 BAT Industries Plc. Sponsored ADR 52,875
3,000 Grand Metropolitan Plc. Sponsored ADR 90,000
------------------
247,400
------------------
1,374,819
------------------
UNITED STATES - 6.4%
Other
33,473 Foreign Fund, Inc. (WEBS - Japanese Index Series) * 401,676
8,000 Foreign Fund, Inc. (WEBS - Malaysian Index Series) 126,000
------------------
527,676
------------------
Total Investments
(cost--$7,690,173) 98.8% $8,070,683
Other Assets in Excess of
Other Liabilities 1.2 98,527
----------- ------------------
Total Net Assets 100.0% $8,169,210
=========== ==================
</TABLE>
---------------------------------------------------------------------
* Non-income producing security.
See accompanying notes to financial statements.
27
<PAGE>
February 28, 1997
- -------------------------------------------------------------------------------
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--$27,228,544;
$20,515,281; $6,468,232; $20,213,979;
$31,541,975; $20,865,910 and
$7,690,173, respectively) $27,228,544 $20,453,650 $6,572,922 $24,720,267
Cash 15,642 465,949 7,691 60,213
Receivable for shares of beneficial
interest sold 52,791 33,572 14,053 60,445
Interest receivable 44,052 368,684 116,838 --
Deferred organization expenses 31,924 31,924 31,924 31,924
Receivable from manager -- -- 6,756 --
Dividends receivable -- -- -- 29,756
Receivable for investments sold -- -- -- --
Prepaid expenses and other assets 9,528 9,130 7,088 9,306
------------------- ------------------- ------------------- -------------------
Total Assets 27,382,481 21,362,909 6,757,272 24,911,911
------------------- ------------------- ------------------- -------------------
Liabilities
Payable for shares of beneficial
interest redeemed 39,148 19,403 6,800 34,999
Payable to manager 3,803 4,664 -- 2,839
Administration fee payable 3,222 3,222 3,222 3,222
Dividends payable -- -- 769 --
Payable for investments purchased -- -- -- --
Other payables and accrued expenses 33,642 26,706 22,509 39,521
------------------- ------------------- ------------------- -------------------
Total Liabilities 79,815 53,995 33,300 80,581
------------------- ------------------- ------------------- -------------------
Total Net Assets $27,302,666 $21,308,914 $6,723,972 $24,831,330
=================== =================== =================== ===================
Composition of Net Assets
Shares of beneficial interest at par value $27,303 $2,125 $659 $1,528
Paid-in-surplus 27,275,458 21,370,965 6,625,886 20,032,517
Accumulated undistributed net investment
income (loss) -- -- -- 22,840
Accumulated undistributed net realized
gain (loss) on investments (95) (2,545) (7,263) 268,157
Accumulated net realized loss on foreign
currency transactions -- -- -- --
Net unrealized appreciation (depreciation)
on investments -- (61,631) 104,690 4,506,288
------------------- ------------------- ------------------- -------------------
Total Net Assets $27,302,666 $21,308,914 $6,723,972 $24,831,330
=================== =================== =================== ===================
Shares of beneficial interest outstanding 27,302,761 2,125,408 659,266 1,528,251
------------------- ------------------- ------------------- -------------------
Net asset value and offering price per share $1.00 $10.03 $10.20 $16.25
=================== =================== =================== ===================
</TABLE>
<TABLE>
<CAPTION>
------------------- ------------------- -------------------
Large
Capitalization Small International
Growth Capitalization Equity
Portfolio Portfolio Portfolio
------------------- ------------------- -------------------
<S> <C> <C> <C>
Assets
Investments, at value (cost--$27,228,544;
$20,515,281; $6,468,232; $20,213,979;
$31,541,975; $20,865,910 and
$7,690,173, respectively) $38,795,975 $21,105,391 $8,070,683
Cash 294,863 1,510 166,000
Receivable for shares of beneficial
interest sold 108,124 63,474 31,410
Interest receivable 364 -- --
Deferred organization expenses 31,924 31,924 31,924
Receivable from manager -- -- 6,651
Dividends receivable 34,558 -- 12,420
Receivable for investments sold -- 354,874 --
Prepaid expenses and other assets 10,497 9,208 10,352
------------------- ------------------- -------------------
Total Assets 39,276,305 21,566,381 8,329,440
------------------- ------------------- -------------------
Liabilities
Payable for shares of beneficial
interest redeemed 34,102 12,180 7,694
Payable to manager 20,118 1,820 --
Administration fee payable 3,222 3,222 3,222
Dividends payable -- -- --
Payable for investments purchased -- 298,145 121,614
Other payables and accrued expenses 46,441 38,444 27,700
------------------- ------------------- -------------------
Total Liabilities 103,883 353,811 160,230
------------------- ------------------- -------------------
Total Net Assets $39,172,422 $21,212,570 $8,169,210
=================== =================== ===================
Composition of Net Assets
Shares of beneficial interest at par value $2,499 $1,834 $816
Paid-in-surplus 30,867,804 20,477,697 7,839,049
Accumulated undistributed net investment
income (loss) (42,448) (266,442) 5,583
Accumulated undistributed net realized
gain (loss) on investments 1,090,567 760,000 (24,269)
Accumulated net realized loss on foreign
currency transactions -- -- (32,479)
Net unrealized appreciation (depreciation)
on investments 7,254,000 239,481 380,510
------------------- ------------------- -------------------
Total Net Assets $39,172,422 $21,212,570 $8,169,210
=================== =================== ===================
Shares of beneficial interest outstanding 2,499,239 1,833,825 815,609
------------------- ------------------- -------------------
Net asset value and offering price per share $15.67 $11.57 $10.02
=================== =================== ===================
</TABLE>
See accompanying notes to financial statements.
28
<PAGE>
Six Months Ended February 28, 1997
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
------------------- ------------------- -------------------
U.S.
Government Investment Municipal
Money Market Quality Bond Bond
Portfolio Portfolio Portfolio
------------------- ------------------- -------------------
<S> <C> <C> <C>
Investment Income
Dividends $ -- $ -- $ --
Interest 637,256 576,702 149,292
------------------- ------------------- -------------------
Total investment income 637,256 576,702 149,292
------------------- ------------------- -------------------
Operating Expenses
Management fees (note 2a) 56,486 51,687 15,322
Administration fees (note 2c) 20,827 20,827 20,827
Transfer and dividend disbursing agent fees 37,346 26,586 7,853
Custodian fees (note 2a) 23,674 22,812 27,776
Registration fees 8,427 8,392 6,475
Amortization of deferred organization
expenses (note 1c) 6,322 6,322 6,322
Auditing fees 5,108 5,108 5,554
Reports and notices to shareholders 4,503 3,753 1,272
Trustees' fees 3,663 446 446
Legal fees 2,326 1,901 571
Miscellaneous 1,922 2,154 2,195
------------------- ------------------- -------------------
Total operating expenses 170,604 149,988 94,613
Less: Management fees waived and/or
expenses assumed (note 2a) (36,406) (28,450) (60,464)
Expense offset
arrangement (note 2a) (415) (8,766) (719)
------------------- ------------------- -------------------
Net operating expenses 133,783 112,772 33,430
------------------- ------------------- -------------------
Net investment income (loss) 503,473 463,930 115,862
------------------- ------------------- -------------------
Realized and Unrealized
Gain(Loss) on Investments-Net
Net realized gain (loss) on securities (63) 3,751 4,562
Net realized gain on foreign currency
transactions -- -- --
------------------- ------------------- -------------------
Net realized gain (loss) on investments (63) 3,751 4,562
Net change in unrealized appreciation
(depreciation) on investments -- 205,017 102,042
------------------- ------------------- -------------------
Net realized gain (loss) and change in
unrealized appreciation (depreciation)
on investments (63) 208,768 106,604
------------------- ------------------- -------------------
Net increase (decrease) in net assets resulting
from operations $503,410 $672,698 $222,466
=================== =================== ===================
</TABLE>
<TABLE>
<CAPTION>
------------------- ------------------- -------------------
Large Large
Capitalization Capitalization Small
Value Growth Capitalization
Portfolio Portfolio Portfolio
------------------- ------------------- -------------------
<S> <C> <C> <C>
Investment Income
Dividends $140,219 (1) $210,899 $12,975
Interest 73,577 32,857 19,267
------------------- ------------------- -------------------
Total investment income 213,796 243,756 32,242
------------------- ------------------- -------------------
Operating Expenses
Management fees (note 2a) 72,649 128,525 73,599
Administration fees (note 2c) 20,827 20,827 20,827
Transfer and dividend disbursing agent fees 34,048 52,734 33,963
Custodian fees (note 2a) 26,848 27,554 35,293
Registration fees 8,208 7,027 7,455
Amortization of deferred organization
expenses (note 1c) 6,322 6,322 6,322
Auditing fees 5,108 5,108 5,108
Reports and notices to shareholders 4,693 8,214 4,356
Trustees' fees 3,663 4,087 446
Legal fees 2,368 4,062 2,210
Miscellaneous 2,726 3,362 3,624
------------------- ------------------- -------------------
Total operating expenses 187,460 267,822 193,203
Less: Management fees waived and/or
expenses assumed (note 2a) (41,453) -- (45,696)
Expense offset
arrangement (note 2a) (709) (12,630) (309)
------------------- ------------------- -------------------
Net operating expenses 145,298 255,192 147,198
------------------- ------------------- -------------------
Net investment income (loss) 68,498 (11,436) (114,956)
------------------- ------------------- -------------------
Realized and Unrealized
Gain(Loss) on Investments-Net
Net realized gain (loss) on securities 341,395 2,049,130 1,702,238
Net realized gain on foreign currency
transactions -- -- --
------------------- ------------------- -------------------
Net realized gain (loss) on investments 341,395. 2,049,130 1,702,238
Net change in unrealized appreciation
(depreciation) on investments 2,581,405 4,811,542 (3,754,006)
------------------- ------------------- -------------------
Net realized gain (loss) and change in
unrealized appreciation (depreciation)
on investments 2,922,800 6,860,672 (2,051,768)
------------------- ------------------- -------------------
Net increase (decrease) in net assets resulting
from operations $2,991,298 $6,849,236 ($2,166,724)
=================== =================== ===================
</TABLE>
<TABLE>
<CAPTION>
-------------------
International
Equity
Portfolio
-------------------
<S> <C>
Investment Income
Dividends $49,569 (1)
Interest --
-------------------
Total investment income 49,569
-------------------
Operating Expenses
Management fees (note 2a) 28,720
Administration fees (note 2c) 20,827
Transfer and dividend disbursing agent fees 16,547
Custodian fees (note 2a) 25,359
Registration fees 6,571
Amortization of deferred organization
expenses (note 1c) 6,322
Auditing fees 6,744
Reports and notices to shareholders 1,724
Trustees' fees 446
Legal fees 780
Miscellaneous 2,417
-------------------
Total operating expenses 116,457
Less: Management fees waived and/or
expenses assumed (note 2a) (53,425)
Expense offset
arrangement (note 2a) (9,421)
-------------------
Net operating expenses 53,611
-------------------
Net investment income (loss) (4,042)
-------------------
Realized and Unrealized
Gain(Loss) on Investments-Net
Net realized gain (loss) on securities (10,139)
Net realized gain on foreign currency
transactions 62,710
-------------------
Net realized gain (loss) on investments 52,571
Net change in unrealized appreciation
(depreciation) on investments 427,983
-------------------
Net realized gain (loss) and change in
unrealized appreciation (depreciation)
on investments 480,554
-------------------
Net increase (decrease) in net assets resulting
from operations $476,512
===================
</TABLE>
(1) Net of foreign withholding taxes of $200 and $5,765 for Large
Capitalization Value and International Equity, respectively.
See accompanying notes to financial statements.
29
<PAGE>
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
-------------------------------------------
U.S. Government Money Market
Portfolio
-------------------------------------------
Six Months
Ended Year Ended
February 28, 1997 (1) August 31, 1996
-------------------- --------------------
<S> <C> <C>
Operations
Net investment income (loss) $503,473 $631,895
Net realized gain (loss) on investments (63) (32)
Net change in unrealized appreciation
(depreciation) on investments -- --
-------------------- --------------------
Net increase (decrease) in net assets
resulting from operations 503,410 631,863
-------------------- --------------------
Dividends and Distributions to
Shareholders
Net investment income (503,473) (631,896)
Net realized gain on securities -- --
Net realized gain on foreign currency -- --
-------------------- --------------------
Total dividends and distributions
to shareholders (503,473) (631,896)
-------------------- --------------------
Share Transactions of
Beneficial Interest
Net proceeds from sales 13,889,570 24,971,593
Reinvestment of dividends and distributions 498,902 618,794
Cost of shares redeemed (9,992,043) (7,756,080)
-------------------- --------------------
Net increase (decrease) in net assets from
share transactions of beneficial interest 4,396,429 17,834,307
-------------------- --------------------
Total increase (decrease) in net assets 4,396,366 17,834,274
Net Assets
Beginning of period 22,906,300 5,072,026
-------------------- --------------------
End of period (including undistributed net
investment income of $0, $0; $0,
$0; $0, $0; $22,840, $81,988; ($42,448),
($31,012); ($266,442), ($151,486);
$5,583 and $11,612, respectively) $27,302,666 $22,906,300
==================== ====================
Shares of Beneficial Interest
Issued and Redeemed
Issued 13,889,570 24,971,593
Issued from reinvestment of dividends
and distributions 498,902 618,794
Redeemed (9,992,043) (7,756,080)
-------------------- --------------------
Net increase (decrease) 4,396,429 17,834,307
==================== ====================
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------
Investment Quality Bond
Portfolio
------------------------------------------
Six Months
Ended Year Ended
February 28, 1997 (1) August 31, 1996
------------------- -------------------
<S> <C> <C>
Operations
Net investment income (loss) $463,930 $526,035
Net realized gain (loss) on investments 3,751 22,362
Net change in unrealized appreciation
(depreciation) on investments 205,017 (313,450)
------------------- -------------------
Net increase (decrease) in net assets
resulting from operations 672,698 234,947
------------------- -------------------
Dividends and Distributions to
Shareholders
Net investment income (463,930) (526,035)
Net realized gain on securities -- (6,932)
Net realized gain on foreign currency (20,777) --
------------------- -------------------
Total dividends and distributions
to shareholders (484,707) (532,967)
------------------- -------------------
Share Transactions of
Beneficial Interest
Net proceeds from sales 7,228,319 14,478,935
Reinvestment of dividends and distributions 473,275 526,071
Cost of shares redeemed (3,444,720) (2,345,771)
------------------- -------------------
Net increase (decrease) in net assets from
share transactions of beneficial interest 4,256,874 12,659,235
------------------- -------------------
Total increase (decrease) in net assets 4,444,865 12,361,215
Net Assets
Beginning of period 16,864,049 4,502,834
------------------- -------------------
End of period (including undistributed net
investment income of $0, $0; $0,
$0; $0, $0; $22,840, $81,988; ($42,448),
($31,012); ($266,442), ($151,486);
$5,583 and $11,612, respectively) $21,308,914 $16,864,049
=================== ===================
Shares of Beneficial Interest
Issued and Redeemed
Issued 718,691 1,435,999
Issued from reinvestment of dividends
and distributions 46,945 52,358
Redeemed (342,112) (233,347)
------------------- -------------------
Net increase (decrease) 423,524 1,255,010
=================== ===================
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------
Municipal Bond
Portfolio
------------------------------------------
Six Months
Ended Year Ended
February 28, 1997 (1) August 31, 1996
------------------- -------------------
<S> <C> <C>
Operations
Net investment income (loss) $115,862 $123,660
Net realized gain (loss) on investments 4,562 (7,549)
Net change in unrealized appreciation
(depreciation) on investments 102,042 (20,197)
------------------- -------------------
Net increase (decrease) in net assets
resulting from operations 222,466 95,914
------------------- -------------------
Dividends and Distributions to
Shareholders
Net investment income (115,862) (123,660)
Net realized gain on securities -- --
Net realized gain on foreign currency -- --
------------------- -------------------
Total dividends and distributions
to shareholders (115,862) (123,660)
------------------- -------------------
Share Transactions of
Beneficial Interest
Net proceeds from sales 2,775,544 3,903,159
Reinvestment of dividends and distributions 114,263 121,243
Cost of shares redeemed (980,187) (766,332)
------------------- -------------------
Net increase (decrease) in net assets from
share transactions of beneficial interest 1,909,620 3,258,070
------------------- -------------------
Total increase (decrease) in net assets 2,016,224 3,230,324
Net Assets
Beginning of period 4,707,748 1,477,424
------------------- -------------------
End of period (including undistributed net
investment income of $0, $0; $0,
$0; $0, $0; $22,840, $81,988; ($42,448),
($31,012); ($266,442), ($151,486);
$5,583 and $11,612, respectively) $6,723,972 $4,707,748
=================== ===================
Shares of Beneficial Interest
Issued and Redeemed
Issued 273,451 386,019
Issued from reinvestment of dividends
and distributions 11,211 12,042
Redeemed (96,213) (76,024)
------------------- -------------------
Net increase (decrease) 188,449 322,037
=================== ===================
</TABLE>
(1) Unaudited.
See accompanying notes to financial statements.
30
<PAGE>
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
------------------------------------------
Large Capitalization Value
Portfolio
------------------------------------------
Six Months
Ended Year Ended
February 28, 1997 (1) August 31, 1996
------------------- -------------------
<S> <C> <C>
Operations
Net investment income (loss) $68,498 $112,608
Net realized gain (loss) on investments 341,395 317,589
Net change in unrealized appreciation
(depreciation) on investments 2,581,405 1,390,237
------------------- -------------------
Net increase (decrease) in net assets
resulting from operations 2,991,298 1,820,434
------------------- -------------------
Dividends and Distributions to
Shareholders
Net investment income (127,646) (76,779)
Net realized gain on securities (390,834) (85,953)
Net realized gain on foreign currency --
------------------- -------------------
Total dividends and distributions
to shareholders (518,480) (162,732)
------------------- -------------------
Share Transactions of
Beneficial Interest
Net proceeds from sales 7,235,103 13,591,164
Reinvestment of dividends and distributions 512,459 161,529
Cost of shares redeemed (3,663,509) (2,650,626)
------------------- -------------------
Net increase (decrease) in net assets from
share transactions of beneficial interest 4,084,053 11,102,067
------------------- -------------------
Total increase (decrease) in net assets 6,556,871 12,759,769
Net Assets
Beginning of period 18,274,459 5,514,690
------------------- -------------------
End of period (including undistributed net
investment income of $0, $0; $0,
$0; $0, $0; $22,840, $81,988; ($42,448),
($31,012); ($266,442), ($151,486);
$5,583 and $11,612, respectively) $24,831,330 $18,274,459
=================== ===================
Shares of Beneficial Interest
Issued and Redeemed
Issued 462,871 996,818
Issued from reinvestment of dividends
and distributions 32,641 12,415
Redeemed (231,774) (193,154)
------------------- -------------------
Net increase (decrease) 263,738 816,079
=================== ===================
</TABLE>
<TABLE>
<CAPTION>
-------------------------------------------
Large Capitalization Growth
Portfolio
-------------------------------------------
Six Months
Ended Year Ended
February 28, 1997 (1) August 31, 1996
-------------------- --------------------
<S> <C> <C>
Operations
Net investment income (loss) ($11,436) ($30,995)
Net realized gain (loss) on investments 2,049,130 (958,517)
Net change in unrealized appreciation
(depreciation) on investments 4,811,542 1,243,929
-------------------- --------------------
Net increase (decrease) in net assets
resulting from operations 6,849,236 254,417
-------------------- --------------------
Dividends and Distributions to
Shareholders
Net investment income -- (9,008)
Net realized gain on securities -- (30,096)
Net realized gain on foreign currency -- --
-------------------- --------------------
Total dividends and distributions
to shareholders -- (39,104)
-------------------- --------------------
Share Transactions of
Beneficial Interest
Net proceeds from sales 10,056,832 27,913,201
Reinvestment of dividends and distributions -- 38,924
Cost of shares redeemed (11,695,842) (5,312,493)
-------------------- --------------------
Net increase (decrease) in net assets from
share transactions of beneficial interest (1,639,010) 22,639,632
-------------------- --------------------
Total increase (decrease) in net assets 5,210,226 22,854,945
Net Assets
Beginning of period 33,962,196 11,107,251
-------------------- --------------------
End of period (including undistributed net
investment income of $0, $0; $0,
$0; $0, $0; $22,840, $81,988; ($42,448),
($31,012); ($266,442), ($151,486);
$5,583 and $11,612, respectively) $39,172,422 $33,962,196
==================== ====================
Shares of Beneficial Interest
Issued and Redeemed
Issued 688,622 2,115,299
Issued from reinvestment of dividends
and distributions -- 2,926
Redeemed (770,614) (400,706)
-------------------- --------------------
Net increase (decrease) (81,992) 1,717,519
=================== ===================
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------
Small Capitalization
Portfolio
------------------------------------------
Six Months
Ended Year Ended
February 28, 1997 (1) August 31, 1996
------------------- -------------------
<S> <C> <C>
Operations
Net investment income (loss) ($114,956) ($151,465)
Net realized gain (loss) on investments 1,702,238 442,165
Net change in unrealized appreciation
(depreciation) on investments (3,754,006) 1,684,758
------------------- -------------------
Net increase (decrease) in net assets
resulting from operations (2,166,724) 1,975,458
------------------- -------------------
Dividends and Distributions to
Shareholders
Net investment income -- (1,315)
Net realized gain on securities (1,384,063) (492,415)
Net realized gain on foreign currency -- --
------------------- -------------------
Total dividends and distributions
to shareholders (1,384,063) (493,730)
------------------- -------------------
Share Transactions of
Beneficial Interest
Net proceeds from sales 4,014,665 8,411,846
Reinvestment of dividends and distributions 1,374,221 493,046
Cost of shares redeemed (2,696,905) (3,418,635)
------------------- -------------------
Net increase (decrease) in net assets from
share transactions of beneficial interest 2,691,981 5,486,257
------------------- -------------------
Total increase (decrease) in net assets (858,806) 6,967,985
Net Assets
Beginning of period 22,071,376 15,103,391
------------------- -------------------
End of period (including undistributed net
investment income of $0, $0; $0,
$0; $0, $0; $22,840, $81,988; ($42,448),
($31,012); ($266,442), ($151,486);
$5,583 and $11,612, respectively) $21,212,570 $22,071,376
=================== ===================
Shares of Beneficial Interest
Issued and Redeemed
Issued 303,951 654,637
Issued from reinvestment of dividends
and distributions 107,867 39,783
Redeemed (203,692) (265,931)
------------------- -------------------
Net increase (decrease) 208,126 428,489
=================== ===================
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------
International Equity
Portfolio
------------------------------------------
Six Months
Ended Year Ended
February 28, 1997 (1) August 31, 1996
------------------- -------------------
<S> <C> <C>
Operations
Net investment income (loss) ($4,042) $11,618
Net realized gain (loss) on investments 52,571 117,637
Net change in unrealized appreciation
(depreciation) on investments 427,983 (50,666)
------------------- -------------------
Net increase (decrease) in net assets
resulting from operations 476,512 78,589
------------------- -------------------
Dividends and Distributions to
Shareholders
Net investment income (1,987) (13,977)
Net realized gain on securities (165) (21,256)
Net realized gain on foreign currency (160,803) --
------------------- -------------------
Total dividends and distributions
to shareholders (162,955) (35,233)
------------------- -------------------
Share Transactions of
Beneficial Interest
Net proceeds from sales 2,099,623 5,504,760
Reinvestment of dividends and distributions 159,271 34,444
Cost of shares redeemed (1,260,179) (1,632,377)
------------------- -------------------
Net increase (decrease) in net assets from
share transactions of beneficial interest 998,715 3,906,827
------------------- -------------------
Total increase (decrease) in net assets 1,312,272 3,950,183
Net Assets
Beginning of period 6,856,938 2,906,755
------------------- -------------------
End of period (including undistributed net
investment income of $0, $0; $0,
$0; $0, $0; $22,840, $81,988; ($42,448),
($31,012); ($266,442), ($151,486);
$5,583 and $11,612, respectively) $8,169,210 $6,856,938
=================== ===================
Shares of Beneficial Interest
Issued and Redeemed
Issued 210,269 567,890
Issued from reinvestment of dividends
and distributions 15,895 3,577
Redeemed (125,521) (168,151)
------------------- -------------------
Net increase (decrease) 100,643 403,316
=================== ===================
</TABLE>
31
<PAGE>
February 28, 1997
- --------------------------------------------------------------------------------
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: 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 (the
"Distributor") serves as the Trusts' distributor. The Manager, Administrator and
Distributor are all affiliates of Oppenheimer Capital. 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. The amortized cost method
involves valuing a security at cost on the date of purchase and thereafter
assuming a constant dollar amortization to maturity of the difference between
the principal amount due at maturity and the initial cost of the security.
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) Investment Transactions and Other Income
Investment transactions are accounted for on the trade date. In determining
the gain or loss from the sale of investments, the cost of investments 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:
<TABLE>
<CAPTION>
Income Short-Term Long-Term
Dividends Capital Gains Capital Gains
----------------------------------------------------------
<S> <C> <C> <C>
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
</TABLE>
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 differences are permanent in nature,
such amounts are reclassified within the capital accounts based on their Federal
tax-basis treatment; temporary differences do not require reclassification.
Dividends and distributions which exceed net investment income and net realized
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 28, 1997 there were no permanent book-tax differences
relating to shareholder dividends and distributions, therefore, net investment
income, net realized gain(loss) and net assets were not affected.
32
<PAGE>
February 28, 1997
- --------------------------------------------------------------------------------
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 its 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 of
the Trust or another reasonable basis.
2. MANAGEMENT FEE, ADMINISTRATION FEE AND OTHER TRANSACTIONS WITH AFFILIATES
(a) The management fees are payable monthly to the Manager and are computed
daily at the following annual rates of each Portfolio's 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 28, 1997, the Manager voluntarily waived
all of its management fees and assumed $45,142 and $24,705 in other operating
expenses for Municipal Bond and International Equity, respectively. The Manager
also voluntarily waived $36,406; $28,450; $41,453 and and $45,696 in management
fees for U.S. Government Money Market, Investment Quality Bond, Large
Capitalization Value and Small Capitalization, respectively, for the six months
ended February 28, 1997.
The Portfolios also benefit from a expense offset arrangement with the
custodian bank where uninvested cash balances earn credits that reduce monthly
fees. Had these cash balances been invested in income producing securities, they
would have generated income for each respective Portfolio.
(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 28, 1997, the Manager paid the Advisers $14,865; $18,795; $5,572;
$33,530; $59,319; $33,969 and $15,317 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 28, 1997 each Portfolio accrued $20,827
in administrative fees.
(d) Total brokerage commissions paid by Large Capitalization Value, Large
Capitalization Growth, Small Capitalization and International Equity were
$8,834; $23,774; $11,431 and $17,163, respectively. Oppenheimer & Co., Inc., an
affiliate of the Manager, received $110 from Large Capitalization Value, for the
six months ended February 28, 1997.
3. PURCHASES AND SALES OF SECURITIES
For the six months ended February 28, 1997 purchases and sales of
investment securities, other than short-term securities were as follows:
Purchases Sales
---------------------------------------
Investment Quality Bond $5,033,758 $1,149,094
Municipal Bond 2,246,615 213,251
Large Capitalization Value 5,743,863 1,497,403
Large Capitalization Growth 10,328,185 10,348,323
Small Capitalization 12,801,336 12,337,656
International Equity 4,194,000 2,703,802
For the six months ended February 28, 1997, U.S. Government Money Market
had purchases and sales/maturities of short-term securities of $166,982,233 and
$163,079,978 respectively.
4. UNREALIZED APPRECIATION (DEPRECIATION) AND COST OF INVESTMENTS FOR FEDERAL
INCOME TAX PURPOSES
At February 28, 1997 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 $28,486 ($90,117) ($61,631) $20,515,281
Municipal Bond 119,526 (14,836) 104,690 6,468,232
Large Capitalization Value 4,909,643 (403,355) 4,506,288 20,213,979
Large Capitalization Growth 7,965,622 (717,355) 7,248,267 31,547,708
Small Capitalization 1,757,582 (1,518,101) 239,481 20,865,910
International Equity 853,966 (473,456) 380,510 7,690,173
</TABLE>
33
<PAGE>
February 28, 1997
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)(continued)
- --------------------------------------------------------------------------------
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.
7. SUBSEQUENT EVENT
Effective April 14, 1997, Oppenheimer Capital transferred its interest in
Saratoga Capital Management to Messrs. Ronald J. Goguen and John Sciavi (the
"Transaction"). In connection with the Transaction, Unified Advisers, Inc.
replaced OpCap Advisors as administrator of the Trust and Unified Management
Corporation replaced OCC Distributors as the Trust's distributor. On April 11,
1997, shareholders approved a new investment management agreement between
Saratoga Capital Management and the Trust with identical terms to the previous
agreement except for effective and termination dates and also approved new
investment advisory agreements between each Advisor and Saratoga Capital
Management in respect to each portfolio with identical terms to the previous
agreement except for effective and termination dates, and in the case of the
Small Capitalization, a new Advisor, Thorsell Parker Partners, Inc.
On February 13, 1997, PIMCO Advisors, L.P., a registered investment adviser
with $110 billion in assets under management through various subsidiaries,
signed a definitive agreement with Oppenheimer Group, Inc. and its subsidiary
Oppenheimer Financial Corp. for PIMCO Advisors, L.P., and its affiliate, Thomson
Advisory Group, Inc. to acquire the one-third managing general partner interest
in Oppenheimer Capital and the 1.0% general partner interest in Oppenheimer
Capital L.P. Oppenheimer Financial Corp., a holding company, holds a one-third
interest in Oppenheimer Capital (the parent of OpCap Advisors) and Oppenheimer
Capital L.P., a Delaware limited partnership whose units are traded on the New
York Stock Exchange, and of which Oppenheimer Financial Corp. is the sole
general partner, owns the remaining two-thirds interest.
34
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each period)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INCOME FROM
INVESTMENT OPERATIONS
---------------------------------------
Net Realized
and
Net Asset Unrealized Total
Value, Net Gain(Loss) from
Beginning Investment on Investment
of Period Income(Loss) Investments Operations
<S> <C> <C> <C> <C>
U.S. Government Money
Market Portfolio
Six Months Ended
February 28, 1997 (7) $1.000 $0.021 $0.000 $0.021
Year Ended August 31,
1996 $1.000 0.044 0.000 0.044
September 2, 1994 (3)
to August 31, 1995 $1.000(4) 0.052 0.000 0.052
</TABLE>
<TABLE>
<CAPTION>
DIVIDENDS AND
DISTRIBUTIONS
----------------------------------------------
Distributions Distributions
to to
Dividends to Shareholders Shareholders Net Net
Shareholders from Net from Net Asset Assets
from Net Realized Gains Realized Gains Value, End of
Investment on on End of Total Period
Income Securities Foreign Currency Period Return* (000's)
<S> <C> <C> <C> <C> <C> <C>
U.S. Government Money Market Portfolio
Six Months Ended
February 28, 1997 (7) ($0.021) $ -- $ -- $1.000 2.12% $27,303
Year Ended August 31,
1996 (0.044) -- -- 1.000 4.47% 22,906
September 2, 1994 (3)
to August 31, 1995 (0.052) -- -- 1.000 5.36% 5,072
</TABLE>
<TABLE>
<CAPTION>
RATIOS
------------------------------------------------------------
Ratio of Net Ratio of Net
Operating Investment
Expenses Income(Loss) Portfolio Average
to Average to Average Turnover Commission
Net Assets Net Assets Rate Rate
<S> <C> <C> <C> <C>
U.S. Government Money
Market Portfolio
Six Months Ended
February 28, 1997 (7) 1.13% (1,2,5,6) 4.23% (1,2,5) -- $ --
Year Ended August 31,
1996 1.13% (1,6) 4.30% (1) -- --
September 2, 1994 (3)
to August 31, 1995 0.40% (1,5) 5.38% (1,5) -- --
</TABLE>
(1) During the periods presented above, Saratoga Capital Management waived a
portion or all of its fees and assumed a portion of the operating
expenses. Additionally, for the six months ended February 28, 1997 and for
the year ended August 31, 1996, the Portfolio benefited from an expense
offset arrangement with its custodian bank. If such waivers, assumptions
and expense offsets had not been in effect for the respective periods, the
ratios of net operating expenses to average daily net assets and the
ratios of net investment income (loss) to average daily net assets would
have been 1.43% and 3.92% , annualized, respectively, for the six months
ended February 28, 1997, 1.79% and 3.64% , respectively, for the year
ended August 31, 1996 and 6.69% and (0.91%), annualized, respectively,
for the period September 2, 1994 (commencement of operations) to August
31, 1995.
<TABLE>
<CAPTION>
INCOME FROM
INVESTMENT OPERATIONS
---------------------------------------
Net Realized
and
Net Asset Unrealized Total
Value, Net Gain(Loss) from
Beginning Investment on Investment
of Period Income(Loss) Investments Operations
<S> <C> <C> <C> <C>
Investment Quality
Bond Portfolio
Six Months Ended
February 28, 1997 (7) $ 9.91 $0.25 $0.13 $0.38
Year Ended August 31,
1996 10.08 0.48 (0.16) 0.32
September 2, 1994 (3)
to August 31, 1995 10.00(4) 0.60 0.08 0.68
</TABLE>
<TABLE>
<CAPTION>
DIVIDENDS AND
DISTRIBUTIONS
----------------------------------------------
Distributions Distributions
to to
Dividends to Shareholders Shareholders Net Net
Shareholders from Net from Net Asset Assets
from Net Realized Gains Realized Gains Value, End of
Investment on on End of Total Period
Income Securities Foreign Currency Period Return* (000's)
<S> <C> <C> <C> <C> <C> <C>
Investment Quality Bond Portfolio
Six Months Ended
February 28, 1997 (7) ($0.25) $ -- ($0.01) $10.03 3.82% $21,309
Year Ended August 31,
1996 (0.48) (0.01) -- 9.91 3.23% 16,864
September 2, 1994 (3)
to August 31, 1995 (0.60) -- -- 10.08 7.12% 4,503
</TABLE>
<TABLE>
<CAPTION>
RATIOS
------------------------------------------------------------
Ratio of Net Ratio of Net
Operating Investment
Expenses Income(Loss) Portfolio Average
to Average to Average Turnover Commission
Net Assets Net Assets Rate Rate
<S> <C> <C> <C> <C>
Investment Quality Bond Portfolio
Six Months Ended
February 28, 1997 (7) 1.29% (1,2,5,6) 4.94% (1,2,5) 6% $ --
Year Ended August 31,
1996 1.31% (1,6) 4.84% (1) 55% --
September 2, 1994 (3)
to August 31, 1995 0.45% (1,5) 5.77% (1,5) 18% --
</TABLE>
(1) During the periods presented above, Saratoga Capital Management waived a
portion or all of its fees and assumed a portion of the operating
expenses. Additionally, for the six months ended February 28, 1997 and for
the year ended August 31, 1996, the Portfolio benefited from an expense
offset arrangement with its custodian bank. If such waivers, assumptions
and expense offsets had not been in effect for the respective periods, the
ratios of net operating expenses to average daily net assets and the
ratios of net investment income (loss) to average daily net assets would
have been 1.60% and 4.54% , annualized, respectively, for the six months
ended February 28, 1997, 2.12% and 3.90% , respectively, for the year
ended August 31, 1996 and 7.93% and (1.71%), annualized, respectively,
for the period September 2, 1994 (commencement of operations) to August
31, 1995.
<TABLE>
<CAPTION>
INCOME FROM
INVESTMENT OPERATIONS
---------------------------------------
Net Realized
and
Net Asset Unrealized Total
Value Net Gain(Loss) from
Beginning Investment on Investment
of Period Income(Loss) Investments Operations
<S> <C> <C> <C> <C>
Municipal Bond Portfolio
Six Months Ended
February 28, 1997 (7) $10.00 $0.21 $0.20 $0.41
Year Ended August 31,
1996 9.93 0.41 0.07 0.48
September 2, 1994 (3)
to August 31, 1995 10.00(4) 0.51 (0.07) 0.44
</TABLE>
<TABLE>
<CAPTION>
DIVIDENDS AND
DISTRIBUTIONS
----------------------------------------------
Distributions Distributions
to to
Dividends to Shareholders Shareholders Net Net
Shareholders from Net from Net Asset Assets
from Net Realized Gains Realized Gains Value, End of
Investment on on End of Total Period
Income Securities Foreign Currency Period Return* (000's)
<S> <C> <C> <C> <C> <C> <C>
Municipal Bond Portfolio
Six Months Ended
February 28, 1997 (7) ($0.21) $ -- $ -- $10.20 4.11% $6,724
Year Ended August 31,
1996 (0.41) -- -- 10.00 4.88% 4,708
September 2, 1994 (3)
to August 31, 1995 (0.51) -- -- 9.93 4.65% 1,477
</TABLE>
<TABLE>
<CAPTION>
RATIOS
------------------------------------------------------------
Ratio of Net Ratio of Net
Operating Investment
Expenses Income(Loss) Portfolio Average
to Average to Average Turnover Commission
Net Assets Net Assets Rate Rate
<S> <C> <C> <C> <C>
Municipal Bond Portfolio
Six Months Ended
February 28, 1997 (7) 1.23% (1,2,5,6) 4.16% (1,2,5) 4% $ --
Year Ended August 31,
1996 1.23% (1,6) 4.03% (1) 12% --
September 2, 1994 (3)
to August 31, 1995 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 28, 1997 and for the year ended August
31, 1996, the Portfolio benefited from an expense offset arrangement with
its custodian bank. If such waivers, assumptions and expense offsets had
not been in effect for the respective periods, the ratios of net operating
expenses to average daily net assets and the ratios of net investment
income (loss) to average daily net assets would have been 3.40% and 1.96%
, annualized, respectively, for the six months ended February 28, 1997,
5.32% and (0.12%), respectively, for the year ended August 31, 1996 and
20.15% and (14.99%), annualized, respectively, for the period September
2, 1994 (commencement of operations) to August 31, 1995.
<TABLE>
<CAPTION>
INCOME FROM
INVESTMENT OPERATIONS
---------------------------------------
Net Realized
and
Net Asset Unrealized Total
Value, Net Gain(Loss) from
Beginning Investment on Investment
of Period Income(Loss) Investments Operations
<S> <C> <C> <C> <C>
Large Capitalization
Value Portfolio
Six Months Ended
February 28, 1997 (7) $14.45 $0.03 $2.11 $2.14
Year Ended August 31,
1996 12.30 0.07 2.33 2.40
September 2, 1994 (3)
to August 31, 1995 10.00(4) 0.15 2.20 2.35
</TABLE>
<TABLE>
<CAPTION>
DIVIDENDS AND
DISTRIBUTIONS
----------------------------------------------
Distributions Distributions
to to
Dividends to Shareholders Shareholders Net Net
Shareholders from Net from Net Asset Assets
from Net Realized Gains Realized Gains Value, End of
Investment on on End of Total Period
Income Securities Foreign Currency Period Return* (000's)
<S> <C> <C> <C> <C> <C> <C>
Large Capitalization Value Portfolio
Six Months Ended
February 28, 1997 (7) ($0.08) ($0.26) $ -- $16.25 14.96% $24,831
Year Ended August 31,
1996 (0.11) (0.14) -- 14.45 19.73% 18,274
September 2, 1994 (3)
to August 31, 1995 (0.05) -- -- 12.30 23.60% 5,515
</TABLE>
<TABLE>
<CAPTION>
RATIOS
------------------------------------------------------------
Ratio of Net Ratio of Net
Operating Investment
Expenses Income(Loss) Portfolio Average
to Average to Average Turnover Commission
Net Assets Net Assets Rate Rate
<S> <C> <C> <C> <C>
Large Capitalization Value Portfolio
Six Months Ended
February 28, 1997 (7) 1.31% (1,2,5,6) 0.61% (1,2,5) 8% $0.0599
Year Ended August 31,
1996 1.28% (1,6) 0.97% (1) 26% 0.0565
September 2, 1994 (3)
to August 31, 1995 0.40% (1,5) 2.29% (1,5) 33% --
</TABLE>
(1) During the periods presented above, Saratoga Capital Management waived a
portion or all of its fees and assumed a portion of the operating
expenses. Additionally, for the six months ended February 28, 1997 and for
the year ended August 31, 1996, the Portfolio benefited from an expense
offset arrangement with its custodian bank. If such waivers, assumptions
and expense offsets had not been in effect for the respective periods, the
ratios of net operating expenses to average daily net assets and the
ratios of net investment income (loss) to average daily net assets would
have been 1.68% and 0.24% , annualized, respectively, for the six months
ended February 28, 1997, 2.19% and 0.04% , respectively, for the year
ended August 31, 1996 and 6.54% and (3.85%), annualized, respectively,
for the period September 2, 1994 (commencement of operations) to August
31, 1995.
<TABLE>
<CAPTION>
INCOME FROM
INVESTMENT OPERATIONS
---------------------------------------
Net Realized
and
Net Asset Unrealized Total
Value, Net Gain(Loss) from
Beginning Investment on Investment
of Period Income(Loss) Investments Operations
<S> <C> <C> <C> <C>
Large Capitalization
Growth Portfolio
Six Months Ended
February 28, 1997 (7) $13.16 ($0.00) $2.51 $2.51
Year Ended August 31,
1996 12.86 (0.02) 0.35 0.33
September 2, 1994 (3)
to August 31, 1995 10.00(4) 0.02 2.85 2.87
</TABLE>
<TABLE>
<CAPTION>
DIVIDENDS AND
DISTRIBUTIONS
----------------------------------------------
Distributions Distributions
to to
Dividends to Shareholders Shareholders Net Net
Shareholders from Net from Net Asset Assets
from Net Realized Gains Realized Gains Value, End of
Investment on on End of Total Period
Income Securities Foreign Currency Period Return* (000's)
<S> <C> <C> <C> <C> <C> <C>
Large Capitalization Growth Portfolio
Six Months Ended
February 28, 1997 (7) $ -- $ -- $ -- $15.67 19.07% $39,172
Year Ended August 31,
1996 (0.01) (0.02) -- 13.16 2.56% 33,962
September 2, 1994 (3)
to August 31, 1995 (0.01) -- -- 12.86 28.77% 11,107
</TABLE>
<TABLE>
<CAPTION>
RATIOS
------------------------------------------------------------
Ratio of Net Ratio of Net
Operating Investment
Expenses Income(Loss) Portfolio Average
to Average to Average Turnover Commission
Net Assets Net Assets Rate Rate
<S> <C> <C> <C> <C>
Large Capitalization Growth Portfolio
Six Months Ended
February 28, 1997 (7) 1.35% (1,2,5,6) (0.06%) (1,2,5) 28% $0.0700
Year Ended August 31,
1996 1.34% (1,6) (0.13%) (1) 50% 0.0700
September 2, 1994 (3)
to August 31, 1995 0.51% (1,5) 0.32% (1,5) 23% --
</TABLE>
(1) During the periods presented above, Saratoga Capital Management waived a
portion or all of its fees and assumed a portion of the operating
expenses. Additionally, for the six months ended February 28, 1997 and for
the year ended August 31, 1996, the Portfolio benefited from an expense
offset arrangement with its custodian bank. If such waivers, assumptions
and expense offsets had not been in effect for the respective periods, the
ratios of net operating expenses to average daily net assets and the
ratios of net investment income (loss) to average daily net assets would
have been 1.35% and (0.12%), annualized, respectively, for the six months
ended February 28, 1997, 1.67% and (0.60%), respectively, for the year
ended August 31, 1996 and 5.00% and (4.17%), annualized, respectively,
for the period September 2, 1994 (commencement of operations) to August
31, 1995.
<TABLE>
<CAPTION>
INCOME FROM
INVESTMENT OPERATIONS
---------------------------------------
Net Realized
and
Net Asset Unrealized Total
Value, Net Gain(Loss) from
Beginning Investment on Investment
of Period Income(Loss) Investments Operations
<S> <C> <C> <C> <C>
Small Capitalization
Portfolio
Six Months Ended
February 28, 1997 (7) $13.58 ($0.05) ($1.13) ($1.18)
Year Ended August 31,
1996 12.62 (0.09) 1.44 1.35
September 2, 1994 (3)
to August 31, 1995 10.00(4) 0.02 2.61 2.63
</TABLE>
<TABLE>
<CAPTION>
DIVIDENDS AND
DISTRIBUTIONS
----------------------------------------------
Distributions Distributions
to to
Dividends to Shareholders Shareholders Net Net
Shareholders from Net from Net Asset Assets
from Net Realized Gains Realized Gains Value, End of
Investment on on End of Total Period
Income Securities Foreign Currency Period Return* (000's)
<S> <C> <C> <C> <C> <C> <C>
Small Capitalization Portfolio
Six Months Ended
February 28, 1997 (7) $ -- ($0.83) $ -- $11.57 (9.23%) $21,213
Year Ended August 31,
1996 (0.00) (0.39) -- 13.58 11.03% 22,071
September 2, 1994 (3)
to August 31, 1995 (0.01) -- -- 12.62 26.38% 15,103
</TABLE>
<TABLE>
<CAPTION>
RATIOS
------------------------------------------------------------
Ratio of Net Ratio of Net
Operating Investment
Expenses Income(Loss) Portfolio Average
to Average to Average Turnover Commission
Net Assets Net Assets Rate Rate
<S> <C> <C> <C> <C>
Small Capitalization Portfolio
Six Months Ended
February 28, 1997 (7) 1.30% (1,2,5,6) (1.02%) (1,2,5) 57% $0.0598
Year Ended August 31,
1996 1.25% (1,6) (0.83%) (1) 95% 0.0595
September 2, 1994 (3)
to August 31, 1995 0.42% (1,5) 0.07% (1,5) 111% --
</TABLE>
(1) During the periods presented above, Saratoga Capital Management waived a
portion or all of its fees and assumed a portion of the operating
expenses. Additionally, for the six months ended February 28, 1997 and for
the year ended August 31, 1996, the Portfolio benefited from an expense
offset arrangement with its custodian bank. If such waivers, assumptions
and expense offsets had not been in effect for the respective periods, the
ratios of net operating expenses to average daily net assets and the
ratios of net investment income (loss) to average daily net assets would
have been 1.71% and (1.42%), annualized, respectively, for the six
months ended February 28, 1997, 1.84% and (1.42%), respectively, for the
year ended August 31, 1996 and 3.57% and (3.08%), annualized,
respectively, for the period September 2, 1994 (commencement of
operations) to August 31, 1995.
<TABLE>
<CAPTION>
INCOME FROM
INVESTMENT OPERATIONS
---------------------------------------
Net Realized
and
Net Asset Unrealized Total
Value, Net Gain(Loss) from
Beginning Investment on Investment
of Period Income(Loss) Investments Operations
<S> <C> <C> <C> <C>
International Equity
Portfolio
Six Months Ended
February 28, 1997 (7) $ 9.59 ($0.01) $0.64 $0.63
Year Ended August 31,
1996 9.33 0.00 0.34 0.34
September 2, 1994 (3)
to August 31, 1995 10.00(4) 0.05 (0.71) (0.66)
</TABLE>
<TABLE>
<CAPTION>
DIVIDENDS AND
DISTRIBUTIONS
----------------------------------------------
Distributions Distributions
to to
Dividends to Shareholders Shareholders Net Net
Shareholders from Net from Net Asset Assets
from Net Realized Gains Realized Gains Value, End of
Investment on on End of Total Period
Income Securities Foreign Currency Period Return* (000's)
<S> <C> <C> <C> <C> <C> <C>
International Equity Portfolio
Six Months Ended
February 28, 1997 (7) ($0.00) ($0.00) ($0.20) $10.02 6.62% $8,169
Year Ended August 31,
1996 (0.03) (0.05) -- 9.59 3.68% 6,857
September 2, 1994 (3)
to August 31, 1995 (0.01) -- -- 9.33 (6.61%) 2,907
</TABLE>
<TABLE>
<CAPTION>
RATIOS
------------------------------------------------------------
Ratio of Net Ratio of Net
Operating Investment
Expenses Income(Loss) Portfolio Average
to Average to Average Turnover Commission
Net Assets Net Assets Rate Rate
<S> <C> <C> <C> <C>
International Equity Portfolio
Six Months Ended
February 28, 1997 (7) 1.65% (1,2,5,6) (0.11%) (1,2,5) 38% $0.0575
Year Ended August 31,
1996 1.65% (1,6) 0.23% (1) 58% 0.0861
September 2, 1994 (3)
to August 31, 1995 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 28, 1997 and for the year ended August
31, 1996, the Portfolio benefited from an expense offset arrangement with
its custodian bank. If such waivers, assumptions and expense offsets had
not been in effect for the respective periods, the ratios of net operating
expenses to average daily net assets and the ratios of net investment
income (loss) to average daily net assets would have been 3.04% and
(1.75%), annualized, respectively, for the six months ended February 28,
1997, 3.91% and (2.33%), respectively, for the year ended August 31, 1996
and 8.96% and (7.55%), annualized, 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 28, 1997 were
$23,980,752; $18,951,090; $5,617,867; $22,538,788; $39,873,914;
$22,833,468 and $7,722,175 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) Gross of expense offsets (See note 2a in Notes to Financial Statements)
(7) Unaudited.
* Assumes reinvestment of all dividends and distributions. Aggregate (not
annualized) total return is shown for any period shorter than one year.
35
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