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Previous: ITERATED SYSTEMS INC, 10-Q, 2000-05-05 |
Next: WESTERN SOUTHERN LIFE ASSURANCE CO SEPARATE ACCOUNT 2, 497, 2000-05-05 |
THE SARATOGA ADVANTAGE TRUST
SEMI ANNUAL REPORT-Class I
AS OF FEBRUARY 29, 2000
TABLE OF CONTENTS
President's Page 1
Letter.....................................
Investment Page 2
Review..................................
Schedules of Page 10
Investments...........................
Statements of Assets and Page 30
Liabilities...........................
Statements of Page 31
Operations............................
Statements of Changes in Net Page 32
Assets................................
Notes to Financial Page 34
Statements............................
Financial Page 39
Highlights................................
This report is authorized for distribution only to shareholders and to
others who have received a copy of the prospectus.
<PAGE>
TRUSTEES AND OFFICERS
Bruce E. Ventimiglia Trustee, Chairman, President & CEO
Patrick H. McCollough Trustee
Udo W. Koopmann Trustee
Floyd E. Seal Trustee
Scott C. Kane Vice President & Secretary
Stephen Ventimiglia Vice President
William P. Marra Treasurer & Chief Financial Officer
Mary A. Nelson Assistant Treasurer
Karen Jacoppo-Wood Assistant Secretary
Investment Manager Distributor
Saratoga Capital Management Funds Distributor Inc.
1501 Franklin Avenue 60 State Street, Suite 1300
Mineola, NY 11501-4803 Boston, MA 02109
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>
<PAGE>
THE SARATOGA ADVANTAGE TRUST
Semi-Annual Report to Shareholders
April 17, 2000
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, 1999 through February 29, 2000.
The pace of change brought on by the technology "revolution" has many
investors feeling simultaneously excited and confused. Many analysts forecast a
continuation of the economic environment of the last several years fueled by
strong economic growth, low inflation, benign interest rates, and a stable
dollar. While many market pundits believe that the fundamentals for investing in
stocks remain strong, investors should be cautious about the growing mania for
some of the "new-economy" stocks. Rather than chasing a "hot" investment craze,
for serious, "core" assets investors should keep focused on their long-term
investment goals. Revisit the time-honored "investment pyramid" approach to
investing by segregating core asset investment dollars from other money that you
are willing to take more risk with, and develop appropriate strategies for each.
The Saratoga Advantage Trust mutual funds have been designed to help you manage
your core assets. In addition, the overall performance of an index sometimes
masks the performance of many stocks, while extraordinary returns by just a few
companies can dramatically affect the return of an entire index.
DID YOU KNOW:
* The Standard & Poor's 500 Index had a return of 21% in 1999. If the S&P
500 were an equal weighted index (which it is not, it is a market capitalization
weighted index), simply removing just one stock (Qualcomm, that returned more
than 2600% in 1999) would have brought the mean return of the S&P 500 for 1999
down to 15.6%.
* 249 of the stocks in the S&P 500 had a negative return in 1999, while 40
of the S&P 500 stocks experienced returns greater than 100% for the year.
* Of the 6,242 U.S. stocks tracked by Morningstar, 54% had negative returns
in 1999 and the median return for these stocks in 1999 was -3.9%.
Many Mutual Funds Add Value
The risk of experiencing negative returns is much higher when investing in
individual stocks than in equity mutual funds.
DID YOU KNOW:
* 46% of the 5,323 stocks in existence for the full three years 1997-1999
produced a negative annualized total return.
* Just 2.5% of the 1,877 equity mutual funds with three year or longer
performance histories had a negative annualized total return from 1997-1999.
* As a group, U.S. equity mutual funds had higher average annualized
returns than aggregate U.S. stocks during the past three, five, and ten year
periods.
Try to stay focused on your long-term investment goals. Don't let
short-term stock and bond market fluctuations or investment manias change your
long-term investment strategy. The Saratoga Advantage Trust's portfolios are
managed by some of the world's leading institutional investment advisory firms.
Combining the strength of the Trust's performance with a well-designed asset
allocation plan can help you to achieve your long-term investment goals.
Successful investing requires discipline and patience.
Following you will find specific information on the investment strategy and
performance of each of the Trust's portfolios. Please speak with your financial
advisor if you have any questions about your investment in the Saratoga
Advantage Trust or your allocation of assets among the portfolios.
We are dedicated to serving your investment needs. Thank you for investing
with us.
Best wishes,
Bruce E. Ventimiglia
Chairman, President and
Chief Executive Officer
<PAGE>
LARGE CAPITALIZATION VALUE PORTFOLIO
Advised by:
OpCap Advisors
New York, New York
Objective: Seeks total return consisting of capital appreciation and dividend
income by investing primarily in a diversified portfolio of common stocks that,
in the Advisor's opinion, are believed to be undervalued in the market and offer
above-average price appreciation potential.
Large Capitalization
Total Aggregate Value
Return for the Period Ended February Portfolio Morningstar Large
29, 2000 (Class I) Value Average1
- ------------------------------------------------------- --------------------
9/1/94 (inception) - 2/29/00* 14.1% 14.6%
3/1/99 - 2/29/00 -8.4% -1.1%
9/1/99 - 2/29/00 -12.3% -6.8%
*Annualized performance for periods greater than one year
The Saratoga Large Capitalization Value Portfolio invests in a diverse group of
high-quality, undervalued companies that are chosen to outperform style
benchmarks such as the Morningstar Large Value Average. The investment team uses
fundamentally driven, value-oriented analysis, which leads to the selection of
high-quality businesses that are selling substantially less than their intrinsic
value. Each business is examined to determine industry position, profitability
and financial strength. Management is also evaluated for its decision-making
ability, experience, vision, compensation structure, and stock ownership. Over
time we expect the share price of these companies to approach their intrinsic
value, producing superior returns.
The Portfolio owned the common stocks of 43 companies as of February 29, 2000.
The largest holding was Freddie Mac, a federally chartered, government sponsored
enterprise formed for the purpose of financing home ownership in the United
States. Other major holdings included Computer Associates, which develops and
sells software for use on mainframe computers and client server computers;
Sprint, the third largest long distance company in the United States and a major
carrier of Internet traffic; Minnesota Mining & Manufacturing, a leading
manufacturer of industrial, consumer and medical products; and Monsanto, a major
producer of high-value agricultural products, pharmaceuticals and food
ingredients. Top contributors to the portfolio performance for the six months
ended February 29, included News Corp Ltd., Computer Associates, Citigroup, and
Alcoa Inc.
1. The Morningstar Large Value Average, as of February 29, 2000, consisted of
622 mutual funds comprised of large market capitalization stocks with the
lowest combinations of price-to-earnings and price-to-book scores.
Investors may not invest in the Average directly.
Past performance is not predictive of future performance.
<PAGE>
LARGE CAPITALIZATION GROWTH PORTFOLIO
Advised by:
Harris Bretall Sullivan & Smith, L.L.C.
San Francisco, California
Objective: Seeks capital appreciation by investing primarily in a diversified
portfolio of common stocks that, in the advisor's opinion, have faster earnings
growth potential than the Standard & Poor's 500.
Large Capitalization
Total Aggregate Growth
Return for the Period Portfolio Morningstar Large
Ended February 29, 2000 (Class I) Growth Average1
- --------------------------------------- --------------- ----------------
9/1/94 (inception) - 2/29/00* 26.0 % 26.7%
3/1/99 - 2/29/00 28.0 % 40.7 %
9/1/99 - 2/29/00 23.7 % 30.6 %
*Annualized performance for periods greater than one year
Harris Bretall began 1999 forecasting a strong year for the economy and
financial markets. Our expectations were significantly more optimistic than the
consensus view. Yet, even our forecast proved timid. U.S. Real GDP rose an
impressive 4.0. Inflation remained under control and interest rates, despite a
rise of more than 100 basis points, remained at relatively low levels. The
strength in the financial markets powered Saratoga Advantage Trust Large
Capitalization Growth Portfolio to one of the best appreciation years ever.
Economic growth, as we predicted, continued to strongly advance, expanding by
nearly 5% in the last two quarters of the year, while inflation stayed modest.
The inflation statistics for the month of November showed the core CPI up only
0.1%, and wholesale prices up a modest 0.3%. Investors reacted to this news with
enthusiasm for equities, pushing stock indices to all-time highs.
For 2000, Harris Bretall expects another strong economic year. We see few signs
of a slowdown in economic activity. While we expect the Federal Reserve Bank to
lean against this strength, possibly raising interest rates further, we do not
anticipate that such a rise in rates will harm the economy. The productivity
gains experienced by the United States will spread worldwide, keeping inflation
under control. In this environment, global economic expansion will continue,
creating an opportunity for strong corporate profit growth. In short, we
forecast a continuation of the economic environment of the last several years:
strong economic growth, low inflation, benign interest rates, and a stable
dollar. As of February 29, 2000, the Portfolio was invested in 42 stocks; stocks
which we believe position the Saratoga Advantage Trust Large Capitalization
Growth Portfolio to take advantage of the opportunities from productivity gains.
1. The Morningstar Large Growth Average, as of February 29, 2000, consisted of
639 mutual funds comprised of large market capitalization stocks with the
highest combinations of price-to-earnings and price-to-book scores.
Investors may not invest in the Average directly.
Past performance is not predictive of future performance.
<PAGE>
SMALL CAPITALIZATION PORTFOLIO
Advised by:
Thorsell, Parker Partners, Inc.
Westport, Connecticut
Objective: Seeks maximum capital appreciation by investing in a diversified
portfolio of the common stocks of small capitalization companies.
Small
Total Aggregate Capitalization
Return for the Period Portfolio Morningstar Small
Ended February 29, 2000 (Class I) Value Average1
- ------------------------------------ --------------------- ------------------
9/1/94 (inception) - 2/29/00* 10.9% 12.4%
3/1/99 -2/29/00 33.8% 14.2%
9/1/99-2/29/00 13.5% 3.1%
*Annualized performance for periods greater than one year
During the past several months momentum and positive investor sentiment have
supported a move toward smaller stocks such as those in your Portfolio. This
return to smaller (versus larger cap) stocks certainly helped performance during
the recent six and twelve month periods. In addition, your Portfolio had good
exposure in technology, which was by far the strongest sector in the recent
market. Your portfolio also had a substantial position in the energy sector,
which responded with substantial gains to the sharp rise in the price of oil and
gas.
Takeover activity became strong again in the smaller stock sector as profitable
mergers were at a record level as a percentage of your Portfolio. Although we do
not invest in companies solely because of their merger potential, the purchase
prices of these companies reflect the judgment of major investors that your
stocks are so undervalued and of such good quality that they are willing to pay
a premium to buy them out completely.
The last major factor in the recent strong performance was that we underweighted
interest sensitive stocks, such as banks, and held no real estate trusts or
utilities. With the general rise in interest rates, these areas did poorly and
we avoided much of the damage.
Thorsell, Parker continues its fundamental, bottom-up research on smaller U.S.
stocks. We buy stocks for both higher earnings and a higher P/E valuation, not
just for projected growth. When these investments are successful we sell them to
reinvest in new ideas, which we believe can also produce this "double play"
effect. This approach also results in lower average risk than the more
speculative style. By contrast, our objective is to buy stocks when they are out
of favor and sell stocks that are fully priced and very exposed to negative
surprises. Through a full market cycle we believe this approach will continue to
produce better results without exposing the portfolio to undue risks.
1. The Morningstar Small Value Average, as of February 29, 2000, consisted of
219 mutual funds comprised of small market capitalization stocks with the
lowest combinations of price-to-earnings and price-to-book scores.
Investors may not invest in the Average directly.
Past performance is not predictive of future performance.
<PAGE>
INTERNATIONAL EQUITY PORTFOLIO
Advised by:
Friends Ivory & Sime plc
Edinburgh, Scotland
Objective: Seeks capital appreciation by investing primarily in a diversified
portfolio of the securities of companies domiciled outside of the United States.
International
Total Aggregate Equity Morgan Stanley
Return for the Period Portfolio EAFE Index
Ended February 29, 2000 (Class I) (U.S. Dollars)1
- ----------------------------------- ------------------- --------------------
9/1/94 (inception) - 2/29/00* 10.6% 10.0%
3/1/99 - 2/29/00 41.5% 25.5%
9/1/99 - 2/29/00 26.4% 13.6%
*Annualized performance for periods greater than one year
Over the past six months global stock markets have continued to deliver strong
returns led by technology and telecommunications shares. International stock
markets have outperformed the United States stock market, led by Continental
Europe and Japan. Only the United Kingdom has lagged.
Global growth forecasts continue to be revised upwards. For the next two years
growth could be the highest since the late 1980's. Any increase in inflation is
likely to be modest as the deflationary impact of increased global competition
and technological change offset increased cyclical pressure for price increases.
We believe that stock picking continues to hold the key again for good
returns in 2000. We are currently slightly overweight in Japan and Continental
Europe and underweight in the UK and Pacific Ex-Japan.
As of February 2000, the major weightings in the Portfolio were as follows:
49.6% in Continental Europe, 15.8% in the United Kingdom, 26.5% in Japan and
3.1% in Pacific Ex-Japan.
Recent Portfolio additions include: Ericsson, a world leader in mobile
telephony; SAP, a multinational software provider; and Sony, a leading consumer
electronics manufacturer.
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 predictive of future performance.
<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 high quality, actively managed fixed
income securities.
Investment Quality Lipper
Total Aggregate Bond Short-Intermediate
Return for the Period Portfolio Investment Grade
Ended February 29, 2000 (Class I) Debt Funds Index1
- ------------------------------------- ------------------ --------------------
9/1/94 (inception) - 2/29/00* 5.0% 5.8%
3/1/99 - 2/29/00 1.5% 2.2%
9/1/99 - 2/29/00 1.3% 1.6%
*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 two and ten years. In the 12 months ended
February 29, 2000, the Portfolio distributed dividends of $0.51 per share.
Investments are normally divided approximately evenly between U.S. Treasury
securities and Corporate and Government Agency securities. Due to the
historically large yield advantage of Government Agency and Corporate bonds over
Treasuries, Corporate and Government Agency securities comprise approximately
75% of the Portfolio 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 5.8
years, and an average duration of 3.7 years in the Portfolio.
Other Portfolio statistics as of February 29, 2000 are as follows: Average
weighted yield-to-maturity was 6.9%, average weighted coupon was 6.6%, and the
average Moody's Rating was Aa3 with 36 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 predictive of future performance.
<PAGE>
MUNICIPAL BOND PORTFOLIO
Advised by:
OpCap Advisors
New York, New York
Objective: Seeks a high level of interest income exempt from federal income
taxation consistent with prudent investment management and the preservation of
capital.
Total Aggregate Lipper General
Return for the Period Municipal Bond Municipal Debt
Ended February 29, 2000 Portfolio (Class I) Funds Index1
- ----------------------------------- -------------------- -----------------
9/1/94 (inception) - 2/29/00* 3.9% 5.1%
3/1/99-2/29/00 -5.4% -4.0%
9/1/99-2/29/00 1.3% -1.1%
*Annualized performance for periods greater than one year
The bond market continued its downward spiral during the past six months as the
Federal Reserve continued to raise short-term rates in an effort to cool a
steamy economy and dampen inflationary pressures. The taxable bond yield curve
inverted, an unusual occurrence whereby shorter maturity bond yields moved
higher than longer maturity bonds. This was a consequence of an active Federal
Reserve pushing short-term rates higher while long bonds benefited from
continued muted inflation and the Treasury's surprising announcement that they
would buy back bonds with an emphasis on longer maturities. While the taxable
yield curve inverted, the municipal yield curve remained steep moving
treasury/municipal yield ratios to extremely attractive levels. In fact, insured
thirty year municipals are now higher yielding than thirty year treasuries and
present significant value on an after tax basis. February was the first month in
quite a while that investors began to show some interest in tax-exempt
securities as a result of the stock market's retreat and obvious value in
municipals.
Due to the steepness of the municipal yield curve, we continued to purchase
municipals with maturities ranging from fifteen to twenty years. We maintained
our emphasis on high quality securities with 98% of the Portfolio comprised of
municipals rated A or better. Slightly more than half of the municipals in the
fund are insured as this segment of the market remains attractive due to their
higher yields as a result of the over supply of insured municipals in the
marketplace. We continue to find value in the general obligation, healthcare and
housing sectors of the market as these sector comprise 37%, 16% and 16% of the
Portfolio respectively.
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 predictive of future performance.
<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 issued by the United States Government, its agencies and
instrumentalities and related repurchase agreements.
90 Day T-Bills
7-Day U.S. Government Money Average Discount
Compound Yield Market Portfolio Yield
- -------------------------------- ----------------------- ----------------------
2/29/00 4.9% 5.6%
Total Aggregate U.S. Government Money Lipper U.S. Treasury
Return for the Period Market Portfolio Money
Ended February 29, 2000 (Class I) Market Index1
- -------------------------------- ----------------------- ----------------------
9/1/94 (inception) - 2/29/00* 4.6% 4.8%
3/1/99 - 2/29/00 4.3% 4.4%
9/1/99 - 2/29/00 2.3% 2.3%
*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 29, 2000. The average dollar-weighted Portfolio maturity was 57 days
compared with a maximum allowable average maturity of 90 days. The Fed Funds
rate has risen 50 basis points over the last six months to 5.75%. An environment
of persistently strong economic growth has forced the Federal Reserve to respond
to perceived supply/demand imbalances with tighter monetary policy. The average
maturity of the Portfolio has remained within a range of 40 to 72 days since
last fall.
An investment in the U.S. Government Money Market Portfolio is not insured or
guaranteed by the Federal Deposit Insurance Corporation or any other
government agency. Although the U.S. Government Money Market Portfolio seeks
to preserve the value of your investment at $1.00 per share, it is possible to
lose money by investing in the Portfolio.
1. The Lipper U.S. Treasury Money Market Funds 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.
<PAGE>
This page intentionally left blank.
February 29, 2000 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
LARGE CAPITALIZATION VALUE PORTFOLIO
<TABLE>
<S> <C> <C> <C> <C>
Principal
Amount Value
- ---------------- -----------------
- ---------------- -----------------
SHORT-TERM GOVERNMENT NOTES - 6.86%
Federal Home Loan Bank - 6.86%
$ 4,960,000 5.72% due 3/1/00 $ 4,960,000
-----------------
-----------------
Total Short-Term Government Notes (Cost-$4,960,000) $ 4,960,000
-----------------
-----------------
Shares
- ----------------
- ----------------
COMMON STOCKS - 93.46%
Aerospace - 2.43%
47,600 Boeing Company 1,755,250
-----------------
-----------------
Airlines - 3.07%
42,000 AMR, Corp.* 2,220,750
-----------------
-----------------
Banking - 9.43%
25,500 Chase Manhattan Corporation 2,030,437
87,007 FleetBoston Financial Corporation 2,370,946
73,160 Wells Fargo Company 2,418,853
-----------------
-----------------
6,820,236
-----------------
-----------------
Beverages - 2.94%
69,000 Diageo PLC Sponsored ADR 2,126,062
-----------------
-----------------
Chemicals - 6.79%
45,400 E.I. du Pont de Nemours and Company 2,292,700
67,500 Monsanto Company 2,619,844
-----------------
-----------------
4,912,544
-----------------
-----------------
Computer Hardware - 0.71%
20,500 Compaq Computer Corporation 509,938
-----------------
-----------------
Computer Software - 4.05%
45,500 Computer Associates International, Inc. 2,926,218
-----------------
-----------------
Cosmetics/Toiletries - 0.95%
25,500 Avon Products Inc. 690,094
-----------------
-----------------
Financial Services - 12.64%
46,500 Citigroup, Inc. 2,403,468
42,200 Countrywide Credit Industries, Inc. 1,052,363
85,500 Freddie Mac 3,569,625
66,000 Household International Inc. 2,107,875
-----------------
-----------------
9,133,331
-----------------
-----------------
Electronics - 3.96%
44,500 Emerson Electric Company 2,027,531
18,500 Rockwell International Corporation 837,125
-----------------
-----------------
2,864,656
-----------------
-----------------
Shares Value
- ---------------- -----------------
Healthcare Services - 1.10%
45,600 Tenet Healthcare Corporation* 798,000
-----------------
-----------------
Insurance - 7.74%
32,100 Ace, Ltd. 573,788
34,900 AFLAC, Inc.. 1,276,031
43,976 Conseco, Inc. 643,149
52,400 John Hancock Financial Services* 831,850
56,282 XL Capital Ltd Class A 2,275,903
-----------------
-----------------
5,600,721
-----------------
-----------------
Machinery - 2.48%
51,100 Caterpillar, Inc. 1,791,694
-----------------
-----------------
Manufacturing - 0.42%
5,000 Textron, Inc. 305,000
-----------------
-----------------
Metals/Mining - 6.31%
28,000 Alcoa Inc. 1,918,000
30,000 Minnesota Mining & Manufacturing Company 2,643,750
-----------------
-----------------
4,561,750
-----------------
-----------------
Multimedia - 1.32%
19,000 News Corporation Limited Sponsored ADR 955,938
-----------------
-----------------
Oil/Gas - 1.47%
11,000 Anadarko Petroleum Corp. 338,250
27,100 Unocal Corp. 724,925
-----------------
-----------------
1,063,175
-----------------
-----------------
Pharmaceuticals - 4.78%
53,000 American Home Products Corporation 2,305,500
28,000 Cardinal Health Inc. 1,155,000
-----------------
-----------------
3,460,500
-----------------
-----------------
Retail - 7.68%
29,000 CVS Corporation 1,015,000
154,000 Kroger Company* 2,290,750
42,475 May Department Stores Company 1,112,314
36,000 McDonalds Corporation 1,136,250
-----------------
-----------------
5,554,314
-----------------
-----------------
Telecommunications - 8.75%
45,000 Bell Atlantic Corporation 2,202,188
33,000 MCI WorldCom, Inc.* 1,472,625
43,500 Sprint Corporation 2,653,500
-----------------
-----------------
6,328,313
-----------------
-----------------
Shares Value
- ---------------- -----------------
Transportation - 2.73%
40,000 Burlington Northern Santa Fe Corporation 787,500
61,000 Canadian Pacific Limited 1,189,500
-----------------
-----------------
1,977,000
-----------------
-----------------
Waste Disposal - 1.71%
82,500 Waste Management, Inc. 1,237,500
-----------------
-----------------
Total Common Stocks (Cost-$73,338,055) $ 67,592,984
-----------------
-----------------
Total Investments (Cost-$78,298,055) 100.32% $ 72,552,984
-----------------
-----------------
Other Liabilities in Excess of Other Assets (0.32%)
(228,774)
-----------------
-----------------
Total Net Assets 100.00% $ 72,324,210
============== =================
============== =================
</TABLE>
* Non-income producing security.
See accompanying notes to financial statements.
February 29, 2000 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
LARGE CAPITALIZATION GROWTH PORTFOLIO
13
<TABLE>
<S> <C> <C> <C> <C>
Principal
Amount Value
---------------- ------------------
---------------- ------------------
SHORT-TERM CORPORATE NOTES - 1.70%
Financial Services -
General Electric Capital Corporation Commercial Paper,
$ 2,500,000 5.60% due 3/2/00 $ 2,500,000
------------------
------------------
Total Short-Term Corporate Notes (Cost-$2,500,000) $ 2,500,000
------------------
------------------
Shares
----------------
----------------
COMMON STOCKS - 99.43%
Advertising - 1.75%
64,000 Interpublic Group of Companies, Inc. 2,572,000
------------------
------------------
Banking - 1.46%
65,000 Wells Fargo Company 2,149,062
------------------
------------------
Beverages - 0.82%
25,000 Coca-Cola Company 1,210,938
------------------
------------------
Biomedical - 4.64%
33,000 Biogen Inc.* 3,561,937
17,000 Genentech, Inc.* 3,278,875
------------------
------------------
6,840,812
------------------
------------------
Computer Hardware - 12.36%
55,000 Dell Computer Corporation* 2,244,688
44,000 EMC Corporation* 5,236,000
22,000 IBM Corp 2,244,000
46,000 Microsoft Corporation* 4,111,250
46,000 Sun Microsystems, Inc.* 4,381,500
------------------
------------------
18,217,438
------------------
------------------
Cosmetics/Toiletries - 3.50%
50,000 Colgate-Palmolive Company 2,609,375
29,000 Procter & Gamble Company 2,552,000
------------------
------------------
5,161,375
------------------
------------------
Distribution - 2.22%
66,000 Costco Wholesale Corporation* 3,275,250
------------------
------------------
Electronics - 16.51%
24,000 Applied Materials, Inc* 4,390,500
53,000 Intel Corporation 5,989,000
24,000 JDS Uniphase Corporation* 6,327,000
18,000 PMC-Sierra Inc.* 3,475,125
25,000 Texas Instruments Incorporated 4,162,500
------------------
24,344,125
------------------
Shares Value
---------------- ------------------
Financial Services - 9.73%
75,000 Charles Schwab Corporation 3,135,937
61,500 Citigroup, Inc. 3,178,781
60,000 Morgan Stanley Dean Witter & Company 4,226,250
41,000 The Goldman Sachs Group, Inc. 3,792,500
------------------
------------------
14,333,468
------------------
------------------
Insurance - 1.73%
28,750 American International Group, Inc. 2,542,578
------------------
------------------
Internet - 8.99%
60,000 America Online, Inc.* 3,540,000
22,000 Broadvision, Inc.* 5,556,375
26,000 Yahoo!, Inc.* 4,151,875
------------------
------------------
13,248,250
------------------
------------------
Manufacturing - 4.35%
34,000 General Electric Company 4,494,375
37,000 Illinois Tool Works, Inc. 1,912,438
------------------
------------------
6,406,813
------------------
------------------
Multimedia - 1.71%
75,000 The Walt Disney Company 2,512,500
------------------
------------------
Networking Products - 6.09%
55,000 Cisco Systems, Inc.* 7,270,312
9,000 Network Appliance, Inc* 1,698,750
------------------
------------------
8,969,062
------------------
------------------
Oil Field Services - 3.66%
75,000 Halliburton Company 2,841,683
35,000 Schlumberger Limited 2,551,458
------------------
5,393,141
------------------
------------------
Pharmaceuticals - 5.67%
37,000 Bristol-Myers Squibb Company 2,102,063
31,000 Johnson & Johnson 2,224,250
70,000 Pfizer, Inc. 2,248,750
51,000 Schering-Plough Corporation 1,778,625
------------------
------------------
8,353,688
------------------
------------------
Retail - 7.76%
69,000 Home Depot, Inc. 3,989,062
45,000 Target Corporation 2,655,000
80,000 Walgreen Company 2,065,000
56,000 Wal-Mart Stores, Inc. 2,726,500
------------------
11,435,562
------------------
Shares Value
---------------- ------------------
Telecommunications - 6.48%
46,000 Lucent Technologies, Inc. 2,737,000
54,000 MCI WorldCom, Inc.* 2,409,750
55,000 Qwest Communciations International Inc.* 2,507,010
50,000 SBS Communications Inc. 1,900,000
------------------
------------------
9,553,760
------------------
Total Common Stocks (Cost-$86,747,760) $ 146,519,822
------------------
------------------
Total Investments (Cost-$89,247,760) 101.13% $ 149,019,822
------------------
------------------
Other Liabilities in Excess of Other Assets (1.13%) (1,663,338)
------------------
------------------
Total Net Assets 100.00% $ 147,356,484
================= ==================
================= ==================
</TABLE>
* Non-income producing security.
See accompanying notes to financial statements.
February 29, 2000 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SMALL CAPITALIZATION PORTFOLIO
16
<TABLE>
<S> <C> <C> <C> <C>
Shares Value
-------------- --------------
-------------- --------------
COMMON STOCKS - 83.10%
Beverages - 3.32%
30,000 Canandaigua Brands, Inc.* $ 1,470,000
--------------
--------------
Building & Construction - 1.49%
140,000 American Homestar Corp* 297,500
25,000 Champion Enterprises, Inc.* 157,813
80,000 Oakwood Homes Corporation 205,000
--------------
--------------
660,313
--------------
--------------
Electronics - 22.92%
36,500 Harman International Industries, Inc 2,260,719
107,500 Silicon Valley Group, Inc.* 2,721,093
18,000 Teleflex Incorporated 508,500
44,000 Varian Semiconductor Equipment Associates, Inc.* 2,557,500
49,000 Vishay Intertechnology, Inc.* 2,107,000
--------------
--------------
10,154,812
--------------
--------------
Funeral Services - 3.99%
416,000 Stewart Enterprises, Inc. 1,768,000
--------------
--------------
Garden Products - 3.44%
46,000 Toro Company 1,523,750
--------------
--------------
Machinery - 4.26%
130,247 Albany International, Corp 1,888,582
--------------
--------------
Manufacturing - 4.69%
35,000 Harsco Corporation 868,438
30,000 Precision Castparts Corporation 774,375
20,000 Snap-on Incorporated 436,250
--------------
--------------
2,079,063
--------------
--------------
Medical Products - 6.04%
67,000 Varian Medical Systems, Inc.* 2,675,812
--------------
--------------
Music/Clubs - 3.43%
82,000 Steinway Musical Instruments, Inc.* 1,522,125
--------------
--------------
Oil/Gas - 16.15%
211,666 EEX Corporation* 515,936
15,000 Helmerich & Payne, Inc. 399,375
98,000 Marine Drilling Companies, Inc.* 2,235,625
125,000 Oceaneering International, Inc.* 2,375,000
110,000 Pride International, Inc.* 1,629,375
--------------
--------------
7,155,311
--------------
--------------
Publishing - 0.45%
5,000 Houghton Mifflin Company 199,063
--------------
--------------
Shares Value
-------------- --------------
Restaurants - 7.64%
61,500 CKE Restaurants, Inc. 392,063
75,000 Jack In The Box Inc.* 1,504,687
57,000 Outback Steakhouse, Inc. * 1,489,125
--------------
--------------
3,385,875
--------------
--------------
Retail - 2.68%
71,500 ShopKo Stores, Inc.* 1,188,687
--------------
--------------
Steel - 2.60%
279,700 Oregon Steel Mills, Inc. 1,153,762
--------------
--------------
Total Common Stocks (Cost-$39,536,091) 36,825,155
--------------
--------------
Principal
Amount
--------------
--------------
Repurchase Agreement - 10.89%
State Street Bank & Trust Company: at 3.50%, dated 2/29/00, to be
repurchased at $4,824,469 on 3/1/00, collateralized by $4,925,250
U.S. Treasury Note, 5.125% due 8/31/00
4,824,000 (Cost-$4,824,000) 4,824,000
--------------
--------------
Total Investments (Cost-$44,360,091) 93.99% $41,649,155
--------------
--------------
Other Assets in Excess of Other Liabilities 6.01% 2,664,179
--------------
--------------
Total Net Assets 100.00% $ 44,313,334
================== ==============
</TABLE>
* Non-income producing security.
See accompanying notes to financial statements.
February 29, 2000 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY PORTFOLIO
18
<TABLE>
<S> <C> <C> <C> <C>
Shares Value
-------------- ------------------
-------------- ------------------
COMMON STOCKS - 95.83%
FINLAND - 5.27%
Telecommunications
10,375 Nokia Oyj Sponsored ADR $ 2,057,492
------------------
------------------
FRANCE - 11.44%
Banking - 1.81%
17,000 Societe Generale Sponsored ADR 704,788
------------------
------------------
Insurance - 1.44%
8,900 AXA Sponsored ADR 560,700
------------------
------------------
Oil/Gas - 2.06%
11,970 Total Fina SA Sponsored ADR 803,486
------------------
------------------
Pharmaceuticals - 2.07%
15,600 Aventis S.A. Sponsored ADR 811,200
------------------
------------------
Telecommunications - 4.06%
10,850 Alcatel SA Sponsored ADR 512,663
6,500 France Telecom S.A. Sponsored ADR 1,069,250
------------------
------------------
1,581,913
------------------
------------------
GERMANY - 13.25%
Banking - 2.76%
12,800 Deutsche Bank AG Sponsored ADR 1,077,101
------------------
------------------
Computer Software - 2.34%
12,800 SAP AG Sponsored ADR 912,800
------------------
------------------
Diversified Manufacturing Operations - 2.66%
5,800 Siemens AG Unsponsored ADR 1,035,874
------------------
------------------
Machinery - 5.49%
6,500 Mannesmann AG Sponsored ADR 2,140,299
------------------
------------------
HONG KONG - 1.93%
Closed End Funds
56,500 WEBS-Hong Kong, WEBS-World Equity Benchmark Shares 752,156
------------------
------------------
JAPAN - 26.72%
Audio/Video Products - 2.89%
3,600 Sony Corporation Sponsored ADR 1,128,150
------------------
------------------
Banking - 1.95%
61,331 Bank of Tokyo-Mitsubishi, Ltd. ADR 758,971
------------------
------------------
Shares Value
-------------- ------------------
Computer Hardware - 2.10%
8,628 TDK Corporation Sponsored ADR 819,660
------------------
------------------
Cosmetics/Toiletries - 2.76%
4,059 Kao Corporation Unsponsored ADR 1,077,089
------------------
------------------
Finance - 1.91%
8,550 Orix Corporation Sponsored ADR 743,850
------------------
------------------
Indentification Sys/Dev - 2.07%
4,500 Secom, Co., LTD Unsponsored ADR 806,179
------------------
------------------
Manufacturing - 2.13%
3,720 Bridgestone Corporation Unsponsored ADR 831,359
------------------
------------------
Office Equipment - 3.86%
35,320 Canon, Inc. Sponsored ADR 1,501,100
------------------
------------------
Printing - 1.14%
9,031 Toppan Printing Co., Ltd. Unsponsored ADR 445,172
------------------
------------------
Retail - 2.65%
10,278 Seven-Eleven Japan Co., Ltd. Unsponsored ADR 1,034,803
------------------
------------------
Telecommunications - 3.26%
18,700 Nippon Telegraph & Telephone Corporation Sponsored ADR 1,271,600
------------------
------------------
NETHERLANDS - 6.95%
Banking - 2.06%
15,600 ING Groep N.V. Sponsored ADR 804,375
------------------
------------------
Electronics - 2.10%
4,282 Koninklijke (Royal) Philips Electronics N.V. NY Reg Share 820,003
------------------
------------------
Multimedia - 2.79%
15,750 VNU NV Sponsored ADR 1,086,504
------------------
------------------
SOUTH KOREA - 1.20%
Power/Utility - 0.58%
16,350 Korea Electric Power Corporation Sponsored ADR 224,813
------------------
------------------
Steel - 0.62%
9,625 Pohang Iron & Steel Company Ltd Sponsored ADR 241,828
------------------
------------------
SPAIN - 4.55%
Banking - 1.58%
58,800 Banco Santander Central Hispano Sponsored ADR 617,400
------------------
Shares Value
-------------- ------------------
Telecommunications - 2.97%
13,331 Telefonica S.A. Sponsored ADR 1,155,631
------------------
------------------
SWEDEN -5.17%
Telecommunications
21,000 Telefonaktiebolaget LM Ericsson Sponsored ADR 2,016,000
------------------
------------------
SWITZERLAND - 3.28%
Food Products - 1.81%
8,400 Nestle SA Sponsored ADR 708,170
------------------
------------------
Human Resources - 1.47%
5,800 Adecco SA Sponsored ADR 571,300
------------------
------------------
UNITED KINGDOM - 16.07%
Banking - 1.47%
5,800 Barclays PLC Sponsored ADR 571,300
------------------
------------------
Insurance - 1.70%
9,000 Prudential Corporation PLC Sponsored ADR 662,820
------------------
------------------
Multimedia - 2.39%
7,000 Reuters Group PLC Sponsored ADR 931,875
------------------
------------------
Oil/Gas - 2.11%
19,800 Shell Transport & Trading Company Sponsored ADR 822,938
------------------
------------------
Pharmaceuticals - 1.58%
12,600 Glaxo Wellcome PLC Sponsored ADR 614,250
------------------
------------------
Telecommunications - 6.84%
5,804 British Telecommunications PLC Sponsored ADR 1,034,562
55,600 Marconi Plc Unsponsored ADR 692,554
16,200 Vodafone Airtouch PLC Sponsored ADR 934,538
------------------
------------------
2,661,654
------------------
------------------
Total Investments (Cost-$26,661,689) 95.83% $ 37,366,603
------------------
------------------
Other Assets in Excess of Other Liabilities 4.17% 1,626,025
------------------
------------------
Total Net Assets 100.00% $ 38,992,628
============== ==================
============== ==================
</TABLE>
* Non-income producing security.
February 29, 2000 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
INVESTMENT QUALITY BOND PORTFOLIO
21
<TABLE>
<S> <C> <C> <C> <C>
Principal
Amount Value
------------------ ----------------
------------------ ----------------
U.S. GOVERNMENT NOTES - 48.72%
U.S. Treasury Notes - 22.11%
$ 3,505,458 3.375% due 1/15/07 $ 3,311,571
5,000,000 5.625% due 5/15/08 4,689,050
----------------
----------------
8,000,621
----------------
----------------
Federal Home Loan Mortgage Corp - 9.95%
2,500,000 5.125% due 10/15/08 2,166,024
288,352 6.50% due 4/15/20 286,818
479,401 6.85% due 10/15/21 477,153
670,137 7.25% due 4/15/24 669,300
----------------
----------------
3,599,295
----------------
----------------
Federal National Mortgage Association - 16.60%
6,375,000 6.00% due 5/15/08 5,898,852
107,080 7.00% due 12/25/18 106,644
----------------
----------------
6,005,496
----------------
----------------
Government National Mortgage Association - 0.06%
20,910 8.50% due 4/1/18 20,916
----------------
----------------
Total Cost U.S. Government Notes (Cost-$18,086,612) 17,626,328
----------------
----------------
CORPORATE NOTES & BONDS - 49.88%
Automotive - 3.81%
1,500,000 TRW, Inc., 6.05% due 1/15/05 1,379,834
----------------
----------------
Banking - 1.66%
600,000 Nationsbank Corp., 5.375% due 4/15/00 599,388
----------------
----------------
Broadcasting - 3.80%
250,000 Cox Communications Inc., 6.375% due 6/15/00 249,500
1,055,000 EZ Communications CBS 9.75% due 12/01/05 1,126,213
----------------
----------------
1,375,713
----------------
----------------
Chemicals - 4.01%
1,500,000 ICI Wilmington, 6.95% due 9/15/04 1,452,585
----------------
----------------
Financial Services - 11.13%
1,000,000 Associates Corporate N. America, 6.625% due 06/15/05 960,110
350,000 Associates Corporate N. America, 6.25% due 09/15/00 349,080
750,000 BHP Finance USA, 7.875% due 12/01/02 751,658
Delta Funding Home Equity Loan Trust Series 1997-1 Class A2,
441,249 6.92% due 5/25/15 438,628
Principal
Amount Value
------------------ -----------------
Fleet Credit Card Master Trust, Ser. 1995-F, Class A1, 6.05%
510,000 due 8/1/03 507,607
250,000 Morgan Stanley MTN, 5.75% due 2/15/01 246,743
276,404 National Auto Finance Ser 1996-1 A 6.33% due 12/21/02 275,713
Prime Credit Card Master Trust 1996-1 Class A 6.70%
500,000 due 7/15/04 497,340
----------------
----------------
4,026,879
----------------
----------------
Healthcare Services - 3.27%
1,200,000 Tenet Healthcare Corp., 8.825% due 12/1/03 1,182,000
----------------
----------------
Insurance - 2.53%
825,000 Geico Corporation, 9.15% due 9/15/21 913,613
----------------
----------------
Machinery - 0.27%
100,000 Ingersoll-Rand Company 6.255% due 2/15/01 98,976
----------------
----------------
Manufacturing - 0.35%
125,000 ADT Operations 8.25% due 8/01/00 125,573
----------------
----------------
Metals/Mining - 3.05%
1,200,000 Cyprus Minerals, Inc., 6.625% due 10/15/05 1,104,960
----------------
----------------
Multimedia - 2.82%
1,000,000 Westinghouse Electric CBS, 8.375% due 6/15/02 1,018,550
----------------
----------------
Oil/Gas - 0.76%
275,000 Amoco Canada Petro Company LTD, 7.25% due 12/01/02 275,063
----------------
----------------
Pharmaceuticals -2.83%
1,000,000 American Home Products 7.9% due 2/15/05 1,022,290
----------------
----------------
Power/Utility - 2.34%
150,000 Public Service Electric & Gas, 7.875% due 11/01/01 151,260
700,000 Southern California Edison, 5.875% due 1/15/01 693,826
----------------
----------------
845,086
----------------
----------------
Telecommunications - 0.53%
190,000 GTE Corporation 9.375% due 12/1/00 193,350
----------------
----------------
Transportation - 3.37%
1,300,000 Union Pacific Corp., 6.12% due 2/1/04 1,220,986
----------------
----------------
Waste Disposal - 3.35%
500,000 WMX Technologies, 6.70% due 5/1/01 487,965
750,000 WMX Technologies, 7.125% due 6/15/01 725,888
----------------
----------------
1,213,853
----------------
----------------
Total Corporate Notes & Bonds (Cost-$18,644,304) $ 18,048,699
----------------
Total Investments (Cost-$36,730,916) 98.60% $35,675,027
----------------
----------------
Other Assets in Excess of Other Liabilities 1.40% 505,943
----------------
----------------
Total Net Assets 100.00% $ 36,180,970
=========== ================
=========== ================
</TABLE>
MTN - Medium Term Note
See accompanying notes to financial statements.
February 29, 2000 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MUNICIPAL BOND PORTFOLIO
24
<TABLE>
<S> <C> <C> <C> <C>
Principal
Amount Value
--------------- ----------------
MUNICIPAL BONDS - 97.52%
ARIZONA - 4.21%
Water/Sewer
$ 500,000 Sedona Arizona Wastewater, 4.75% due 7/1/27 $ 407,755
----------------
----------------
CALIFORNIA - 8.57%
Education - 3.03%
California State Public Works Board Lease Revenue Various
50,000 California State University Projects, 6.00% due 9/1/15 53,022
California State Public Works Board Lease Revenue, 5.375%
250,000 due 10/1/17 240,233
----------------
----------------
293,254
----------------
----------------
Housing - 3.67%
California Housing Finance Agency Single Family Mortgage,
385,000 5.30% due 8/1/18 355,501
----------------
----------------
Turnpike/Toll - 1.88%
Foothill/Eastern Corridor Agency California Toll Road Revenue
200,000 Refunding 5.75% due 1/15/40 181,848
----------------
----------------
COLORADO - 1.56%
Health/Hospitals
150,000 Denver Colorado City & County Hospital, 6.00% due 10/1/15 151,548
----------------
----------------
FLORIDA - 0.37%
Education
35,000 Dade County Florida School Board Ser. A, 5.75% due 5/1/12 36,340
----------------
----------------
GEORGIA - 7.68%
Airport - 3.13%
305,000 Atlanta Georgia Airport Facilities Revenue, 6.25% due 1/01/21 303,213
----------------
----------------
Education - 2.34%
215,000 Jackson County Georgia School District, 6.00% due 7/1/14 227,266
----------------
----------------
General Obligation - 2.20%
200,000 Georgia State Ser. B, 6.250% due 4/1/07 213,528
----------------
----------------
HAWAII -4.43%
General Obligation
505,000 Hawaii State Ser CR, 4.75 due 4/01/18 428,937
----------------
----------------
ILLINOIS - 4.44%
Health/Hospitals
Illinois Health Facilities Authority Northwestern Medical Facility
500,000 Foundation, 5.00% due 11/15/18 430,085
----------------
----------------
Principal
Amount Value
--------------- ----------------
IOWA - 0.54%
Water/Sewer
50,000 West Des Moines Iowa Water Revenue, 6.80% due 12/1/13 52,611
----------------
----------------
KENTUCKY - 1.02%
Turnpike/Toll
Kentucky State Turnpike Authority Economic Development,
100,000 5.625% due 7/1/15 99,130
----------------
----------------
LOUISIANA - 1.58%
General Obligation
150,000 New Orleans Louisiana, 6.125% due 10/1/16 153,039
----------------
----------------
MARYLAND - 3.17%
Resource Recovery
Maryland State Energy Financing Adiministration Solid Waste
Disposal Revenue Wheelabrator Water Projects, 6.30%
300,000 due 12/01/10 307,257
----------------
----------------
MISSOURI - 0.42%
Housing
Missouri State Housing Development Commission GNMA Backed
40,000 Sec-C, 6.90% due 7/1/18 40,966
----------------
----------------
NEBRASKA - 0.41%
Power/Utility
40,000 Omaha Nebraska Public Power Distribution, 5.50% due 2/1/14 39,882
----------------
----------------
NEVADA - 1.54%
Housing
150,000 Nevada Housing Division - Single Family Ser. A, 6.15% due 4/1/17 149,676
----------------
----------------
NEW YORK - 10.74%
Education - 1.33%
New York State Dormitory Authority City University, 5.75%
125,000 due 7/1/09 129,091
----------------
----------------
General Obligation - 7.16%
200,000 New York New York Ser. A, 6.50% due 7/15/06 214,280
500,000 New York, NY Ser E, 5.25% due 2/1/12 479,450
----------------
----------------
693,730
----------------
----------------
Housing - 0.78%
75,000 New York State Mortgage Agency Ser. 54, 6.10% due 10/1/15 75,968
----------------
----------------
Pollution Control - 0.42%
New York State Environmental Facilities Corporation Pollution
40,000 Control, 5.875% due 6/15/14 40,488
----------------
----------------
Transportation - 1.05%
100,000 Metropolitan Transportation Authority New York, 5.50% due 7/1/08 101,731
----------------
Principal
Amount Value
--------------- ----------------
NORTH DAKOTA - 6.01%
Housing
250,000 North Dakota State Housing Finance Agency Ser. A, 5.25% due 7/1/18 223,418
390,000 North Dakota State Housing Finance Agency Ser. C, 5.50% due 7/1/18 359,502
----------------
----------------
582,920
----------------
----------------
OHIO - 5.13%
General Obligation - 4.54%
500,000 Akron Ohio, 5.00% due 12/1/18 440,530
----------------
----------------
Health/Hospitals - 0.58%
50,000 Lorain County Ohio Hospital Medical Center, 7.75% due 11/1/13 56,252
----------------
----------------
PENNSYLVANIA - 4.24%
General Obligation - 2.94%
300,000 Pennsylvania State Second Series, 5.00% due 11/15/12 285,333
----------------
----------------
Tax Allocation - 0.77%
Philadelphia Pennsylvania Municipal Authority Series A, 5.625%
75,000 due 11/15/14 74,511
----------------
----------------
Water/Sewer - 0.53%
Pittsburgh Pennsylvania Water & Sewer Authority Series B, 5.600%
50,000 due 9/1/15 51,332
----------------
----------------
PUERTO RICO - 0.68%
Power/Utility
65,000 Puerto Rico Electric Power Authority, 6.00% due 7/1/15 66,112
----------------
----------------
SOUTH CAROLINA - 6.84%
Health/Hospitals - 2.32%
Spartanburg County South Carolina Health Services Series B, 5.125%
250,000 due 4/15/17 224,545
----------------
----------------
Power/Utility - 4.52%
Piedmont Municipal Power Agency South Carolina Electric Revenue
500,000 Ser A, 5.00% due 1/1/18 438,195
----------------
----------------
TEXAS - 5.77%
Education - 2.20%
250,000 Houston Texas Independent School District Ser. A, 5.00% due 2/15/24 213,640
----------------
----------------
General Obligation - 1.01%
75,000 Houston Texas Ser. C, 5.25% due 4/1/14 71,618
25,000 San Antonio Texas Certificates of Obligation, 6.625% due 8/1/14 26,610
----------------
----------------
98,228
----------------
Housing - 2.03%
Texas State Veterans Housing Assistance Program Ser B, 5.75%
200,000 due 12/1/2013 196,994
----------------
Principal
Amount Value
--------------- ----------------
Power/Utility - 0.52%
50,000 Brazos River Authority Texas Revenue, 5.800% due 8/01/15 50,009
----------------
----------------
UTAH - 3.52%
General Obligation
400,000 Clearfield City Utah, 5.00% due 2/1/23 341,224
----------------
----------------
WASHINGTON - 3.02%
Education - 2.55%
Spokane Cnty Washington School District No. 356 Ser A, 5.45%
250,000 due 6/1/2013 247,098
----------------
----------------
Power/Utility - 0.47%
35,000 Seattle Washington Light & Power Series A, 5.75% due 8/1/11 35,568
Washington State Public Power Supply Nuclear Project No. 1
10,000 Series B, 7.25%7/1/12 10,302
----------------
----------------
45,870
----------------
----------------
WASHINGTON D.C. - 2.06%
Public Facilities
Washington DC Convention Center Authority Dedicated Tax
250,000 Revenue Senior Lien, 4.75% due 10/01/28 199,505
----------------
----------------
WISCONSIN - 9.31%
Education - 6.28%
Wisconsin State Health & Educational Facilities Authority Series A,
400,000 5.250% due 8/15/19 353,260
300,000 Wisconsin State Health & Educational Facilities, 5.25% due 8/15/27 255,540
----------------
----------------
608,800
----------------
----------------
Housing - 3.03%
Wisconsin Housing & Economic Development Home Ownership,
300,000 6.200% due 3/1/27 293,691
----------------
WYOMING- 0.26%
Housing
Wyoming Community Development Authority Housing, 6.65%
25,000 due 12/1/06 25,363
----------------
----------------
Total Investments (Cost-$10,094,719) 97.52% $ 9,452,993
----------------
----------------
Other Assets in Excess of Other Liabilities 2.48%
239,990
----------------
----------------
Total Net Assets 100.00% $ 9,692,983
============== ================
============== ================
</TABLE>
FRN - Floating Rate Note
See accompanying notes to financial statements.
February 29, 2000 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MONEY MARKET PORTFOLIO
28
<TABLE>
<S> <C> <C> <C> <C>
Principal
Amount Value
--------------- ----------------
--------------- ----------------
U.S. GOVERNMENT NOTES - 100.02%
Federal Farm Credit Bank Discount Notes - 8.56%
$ 52,000 5.55% due 3/23/00 $ 51,824
184,000 5.80% due 3/27/00 183,229
268,000 5.63% due 3/30/00 266,785
137,000 5.70% due 3/31/00 136,349
73,000 5.62% due 4/4/00 72,613
259,000 5.68% due 4/4/00 257,612
2,830,000 5.75% due 4/20/00 2,807,399
87,000 5.77% due 8/10/00 84,741
----------------
----------------
Total Federal Farm Credit Bank (Cost-$3,860,551) $ 3,860,551
----------------
----------------
Federal Home Loan Bank Discount Notes - 15.87%
373,000 5.80% due 3/22/00 371,738
120,000 5.83% due 4/7/00 119,281
1,232,000 5.68% due 4/12/00 1,223,836
3,204,000 5.70% due 4/12/00 3,182,693
2,000,000 5.15% due 5/17/00 2,000,000
265,000 5.67% due 5/26/00 261,411
Total Federal Home Loan Bank Discount Notes
----------------
----------------
(Cost-$7,158,959) $ 7,158,959
----------------
----------------
Federal Home Loan Mortgage Discount Notes - 25.02%
4,101,000 5.66% due 3/8/00 4,096,486
768,000 5.65% due 3/14/00 766,433
50,000 5.60% due 4/4/00 49,736
3,495,000 5.75% due 4/11/00 3,472,113
2,507,000 5.69% due 4/20/00 2,487,187
142,000 5.72% due 4/20/00 140,872
175,000 5.75% due 7/6/00 171,450
105,000 5.67% due 8/11/00 102,281
Total Federal Home Loan Mortgage Discount Notes
----------------
----------------
(Cost-$11,286,558) $ 11,286,558
----------------
----------------
Federal National Mortgage Association - 50.57%
656,000 5.60% due 3/1/00 656,000
4,500,000 5.60% due 3/2/00 4,499,300
4,775,000 5.62% due 3/2/00 4,774,254
170,000 5.55% due 3/7/00 169,843
246,000 5.57% due 3/7/00 245,772
22,000 5.58% due 3/28/00 21,908
32,000 5.71% due 4/3/00 31,833
1,729,000 5.72% due 4/20/00 1,715,264
1,147,000 5.75% due 5/11/00 1,133,993
Principal
Amount Value
--------------- ----------------
1,394,000 5.77% due 5/25/00 1,375,008
518,000 5.82% due 5/25/00 510,882
50,000 5.88% due 6/8/00 49,192
2,875,000 5.78% due 7/13/00 2,813,145
2,745,000 5.79% due 7/20/00 2,682,750
2,171,000 5.80% due 7/20/00 2,121,682
10,000 5.88% due 8/3/00 9,747
----------------
Total Federal National Mortgage Association (Cost-$22,810,573) $ 22,810,573
----------------
----------------
Total Investments (Cost-$45,116,641) 100.02% $ 45,116,641
----------------
----------------
Other Liabilities in Excess of Other Assets (0.02%) (10,928)
----------------
----------------
Total Net Assets 100.00% $ 45,105,713
==================== ================
==================== ================
</TABLE>
See accompanying notes to financial statements.
February 29, 2000 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
30
------------- ------------- ------------- -------------- ------------- ------------ --------------
U.S.
Large Large Investment Government
CapitalizationCapitalization Small International Quality Municipal Money
Value Growth Capitalization Equity Bond Bond Market
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
------------- ------------- ------------- -------------- ------------- ------------ --------------
Assets
Investments, (including
repurchase
agreements of $0, $0,
$4,824,000, $0, $0
$0, $0 respectively), at value
(cost -
$78,298,055; $89,247,760;
$44,360,091;
$26,661,689; $36,730,916;
$10,094,719
and $45,116,641, respectively; $72,552,984 $149,019,822 $41,649,155 $37,366,603 $35,675,027 $9,452,993 $45,116,641
note 1f)
Cash - 920,834 277 1,906,832 - 146,889 78,079
Receivable for shares of
beneficial
interest sold 423,167 542,754 384,827 369,534 53,886 1,164 386,136
Receivable for investments sold 1,490,242 5,440,169 2,459,627 - 286,070 - -
Interest receivable 2,336 469 - 574,501 126,862
- 81,256
Dividends receivable 130,453 55,950 8,790 14,861 - - -
Foreign taxes receivable 25,544
- - - - - -
Prepaid expenses and other assets 21,671 22,133 12,593 11,829 13,666 16,338 15,772
------------- ------------- ------------- -------------- ------------- ------------ -----------
Total Assets 74,618,517 156,003,998 44,515,738 39,695,203 36,603,150 9,744,246 45,677,884
------------- ------------- ------------- -------------- ------------- ------------ -----------
Liabilities
Payable to manager 39,076 74,168 22,686 23,067 16,129 4,665 17,270
Administration fee payable 5,391 10,232 3,130 2,758 2,630 682 3,260
Payable for shares of beneficial
interest redeemed 324,358 628,799 80,515 655,754 177,829 2,103 488,757
Payable for investments purchased 1,916,433 7,900,151 - - - - -
Other payables and accrued 9,049 34,164 96,073 20,996 225,592 43,813 62,884
expenses
------------- ------------- ------------- -------------- ------------- ----------------------
Total Liabilities 2,294,307 8,647,514 202,404 702,575 422,180 51,263 572,171
------------- ------------- ------------- -------------- ------------- ----------------------
Net Assets
Shares of beneficial interest at 44,355 46,610 39,153 23,819 37,115 10,099 232,408
par value
Paid-in-surplus 78,330,075 78,629,881 41,925,591 27,000,442 37,831,925 10,423,545 44,879,442
Accumulated undistributed net
investment
income (loss) 129,459 (220,933) (113,426) (118,519) 961 2,046 (2,931)
Accumulated net realized gain
(loss) on
investments and foreign
currency (434,608) 9,128,864 5,172,952 1,381,972 (633,142) (100,981) (3,206)
transactions
Net unrealized appreciation
(depreciation)
on investments (5,745,071) 59,772,062 (2,710,936) 10,704,914 (1,055,889) (641,726) -
------------- ------------- ------------- -------------- ------------- ----------------------
Total Net Assets $72,324,210 $147,356,484 $44,313,334 $38,992,628 $36,180,970 $9,692,983 $45,105,713
============= ============= ============= ============== ============= ======================
Net Asset Value per Share
Class I
Net Assets $68,784,387 $140,766,290 $42,650,063 $37,843,343 $34,944,817 $9,608,467 $44,018,691
Shares of beneficial interest 4,216,723 4,449,654 3,767,126 2,310,842 3,584,644 1,001,145 44,026,707
outstanding
------------- ------------- ------------- -------------- ------------- ----------------------
Net asset value and offering
price per $16.31 $31.64 $11.32 $16.38 $9.75 $9.60 $1.00
Share
============= ============= ============= ============== ============= ======================
Net Asset Value per Share
Class B
Net Assets $430,149 $659,005 $157,056 $189,382 $84,456 $8,274 $92,745
Shares of beneficial interest 26,618 21,200 14,032 11,697 8,670 862 92,744
outstanding
------------- ------------- ------------- -------------- ------------- ---------------------
Net asset value and offering
price per $16.16 $31.08 $11.19 $16.19 $9.74 $9.60 $1.00
Share
============= ============= ============= ============== ============= =====================
Net Asset Value per Share
Class C
Net Assets $3,109,674 $5,931,189 $1,506,215 $959,903 $1,151,697 $76,242 $994,277
Shares of beneficial interest 192,143 190,057 134,144 59,253 118,055 7,943 994,293
outstanding
------------- ------------- ------------- -------------- -------------- ----------- --------
Net asset value and offering
price per $16.18 $31.21 $11.23 $16.20 $9.76 $9.60 $1.00
Share
============= ============= ============= ============== ============== =========== ========
See accompanying notes to financial statements.
</TABLE>
Six Months Ended February 29, 2000 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
31
-------------- -------------- --------------- -------------- --------------- -------------- ---------
U.S.
Large Large Investment Government
Capitalization Capitalization Small International Quality Municipal Money
Value Growth Capitalization Equity Bond Bond Market
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
------------- -------------- --------------- -------------- --------------- -------------- ----------
Investment Income
Dividends $517,769 (1) $365,207 $112,832 $78,016 (1) $0 $0 $ 0
Interest 155,802 38,517 29,230 1,300,396 299,870 1,346,040
-
------------- -------------- --------------- -------------- --------------- -------------- ----------
Total investment income 673,571 403,724 142,062 78,016 1,300,396 299,870 1,346,040
------------- -------------- --------------- -------------- --------------- -------------- ----------
Operating Expenses
Management fees (notes 2a,
2e) 267,115 438,455 130,452 133,423 112,777 29,176 120,271
Administration fees (note
2c) 25,480 40,040 12,740 9,100 14,560 4,550 18,200
Transfer and dividend
disbursing agent fees 45,500 63,700 27,300 24,570 34,580 9,100 36,400
Custodian fees (note 2a) 26,527 34,206 51,127 30,425 30,736 29,976 27,354
Registration fees 15,252 11,946 12,107 10,372 10,720 9,169 13,535
Auditing fees 7,156 7,156 7,156 7,156 7,156 7,156 7,156
Reports and notices to
shareholders 5,460 11,874 6,574 2,513 5,460 - 6,572
Legal fees 9,100 10,010 7,280 4,550 5,096 1,820 6,370
Trustees' fees 1,820 9,275 5,010 748 3,797 748 5,010
Distribution & service fees
(note 2d)
Class B 1,555 1,984 498 529 383 58 446
Class C 11,715 20,595 4,050 2,552 3,141 297 3,298
Miscellaneous 2,053 3,328 2,615 1,098 1,097 364 1,587
------------- -------------- --------------- -------------- --------------- -------------- ----------
Total operating expenses 418,733 652,569 266,909 227,036 229,503 92,414 246,199
Less: Management fees
waived and/or expenses
assumed (note 2a) (1,762) - - - - (27,515) -
Expense offset
arrangement (note 2a) (1,047) (26,016) (167) (28,605) (8,896) (856) (54)
------------- -------------- --------------- -------------- --------------- -------------- ----------
Net operating expenses 415,924 626,553 266,742 198,431 220,607 64,043 246,145
------------- -------------- --------------- -------------- --------------- -------------- ----------
Net investment income
(loss) 257,647 (222,829) (124,680) (120,415) 1,079,789 235,827 1,099,895
------------- -------------- --------------- -------------- --------------- -------------- ----------
Realized and Unrealized
Gain(Loss) on Investments-Net
Net realized gain (loss)
on securities 3,059,451 9,293,224 6,038,535 1,542,668 (588,000) (100,981) (843)
Net change in unrealized
Appreciation(depreciation)
on investments (13,477,242) 19,765,173 (498,574) 6,755,306 26,672 (297,386) -
-------------- -------------- --------------- -------------- --------------- -------------- -----------
Net realized gain (loss)
and change in unrealized
appreciation (depreciation)
on investments (10,417,791) 29,058,397 5,539,961 8,297,974 (561,328) (398,367) (843)
Net increase (decrease) in
net assets resulting from
operations ($10,160,144) $28,835,568 $5,415,281 $8,177,559 $518,461 ($162,540) $1,099,052
============== ============== =============== ============== =============== ============== ============
(1) Net of foreign withholding taxes of $4,037 and $11,029 for Large Capitalization Value and
International Equity, respectively.
See accompanying notes to financial statements.
</TABLE>
Six Months Ended February 29, 2000 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
32
-------------------------------- -------------------------------- ------------------------------
Large Capitalization Value Large Capitalization Growth Small Capitalization
Portfolio Portfolio Portfolio
-------------------------------- -------------------------------- ------------------------------
6 Mos. Ended Year Ended 6 Mos. Ended Year Ended 6 Mos. Ended Year Ended
February 29, 2000 August 31,1999 February 29, 2000 August 31,1999 February 29, 2000 August 31,1999
Operations
Net investment income (loss) $257,647 $551,397 ($222,829) ($382,898) ($124,680) ($196,421)
Net realized gain (loss) on
investments 3,059,451 3,911,254 9,293,224 7,636,240 6,038,535 538,422
Net change in unrealized appreciation
(depreciation) on investments (13,477,242) 4,723,895 19,765,173 30,990,758 (498,574) 8,450,520
--------------- --------------- --------------- ---------------- ---------------- ------------
Net increase (decrease) in net
assets resulting from operations (10,160,144) 9,186,546 28,835,568 38,244,100 5,415,281 8,792,521
--------------- --------------- --------------- ---------------- ---------------- ------------
Dividends and Distributions to
Shareholders
Net investment income
Class I (658,178) (238,346) - - - -
Class B (2,492) - - - - -
Class C (20,810) - - - - -
Net realized gain
Class I (7,097,607) (2,604,268) (7,263,382) (1,644,127) (477,007) (6,885,615)
Class B (26,868) - (21,967) - (1,052) -
Class C (224,407) - (232,902) - (10,630) -
Total dividends and distributions
to shareholders (8,030,362) (2,842,614) (7,518,251) (1,644,127) (488,689) (6,885,615)
--------------- --------------- --------------- ---------------- ---------------- --------------
Share Transactions of
Beneficial Interest
Net proceeds from shares sold
Class I 17,932,902 43,516,472 22,465,625 50,917,991 5,780,661 15,232,180
Class B 355,470 180,079 405,545 206,626 70,605 76,827
Class C 2,496,740 1,173,280 3,935,459 2,225,861 1,124,970 246,405
Reinvestment of dividends and
distributions
Class I 7,680,655 2,808,762 7,192,439 1,626,717 474,529 6,833,808
Class B 27,162 - 20,096 - 1,005 -
Class C 238,806 - 225,959 - 10,629 -
Cost of shares redeemed
Class I (17,834,333) (16,842,950) (25,185,919) (40,089,419) (6,586,306) (8,991,933)
Class B (32,783) - (19,011) (11) (1,749) -
Class C (143,465) (26,750) (999,162) (26,409) (19,816) (6,695)
Net increase in net assets from
share transactions of beneficial
interest 10,721,154 30,808,893 8,041,031 14,861,356 854,528 13,390,592
--------------- --------------- --------------- ---------------- ---------------- ------------
Total increase (decrease) in
net assets (7,469,352) 37,152,825 29,358,348 51,461,329 5,781,120 15,297,498
Net Assets
Beginning of period 79,793,562 42,640,737 117,998,136 66,536,807 38,532,214 23,234,716
--------------- --------------- --------------- ---------------- ---------------- -------------
End of period (including
undistributed
(overdistributed) net investment
income
of $129,459, $553,292; ($220,933),
$1,896; ($113,426), $11,254;
($118,519),
$182,952; $961; $1,896; $2,046,
$2,047; ($2,931), and $1,895,
respectively) $72,324,210 $79,793,562 $147,356,484 $117,998,136 $44,313,334 $38,532,214
=============== =============== =============== ================ ================ ===============
See accompanying notes to financial statements.
</TABLE>
Six Months Ended February 29, 2000
(Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- --------------------------------- -------------------------------- ------------------------------- -----------------------------
International Equity Portfolio Investment Quality Bond Municipal Bond U.S. Government Money Market
Portfolio Portfolio Portfolio
- --------------------------------- --------------------------------- ------------------------------ -----------------------------
6 Mos. Ended Year Ended 6 Mos. Ended Year Ended 6 Mos. Ended Year Ended 6 Mos. Ended Year Ended
Feb. 29, 2000 August 31,1999 Feb. 29, 2000 August 31,1999 Feb. 29, 2000 August 31,1999 Feb. 29, 2000 August 31,1999
- ----------------- --------------- ---------------- --------------- --------------- --------------- --------------- -------------
- ----------------- --------------- ---------------- --------------- --------------- --------------- --------------- -------------
($120,415) $238,631 $1,079,789 $1,952,674 $235,827 $430,743 $1,099,895 $1,821,251
1,542,668 703,979 (588,000) 94,374 (100,981) 78,058 (843) (138)
6,755,306 3,788,888 26,672 (1,593,458) (297,386) (807,644)
- -
- ----------------- --------------- ---------------- --------------- --------------- ---------------- --------------- -------------
- ----------------- --------------- ---------------- --------------- --------------- ---------------- --------------- -------------
8,177,559 4,731,498 518,461 453,590 (162,540) (298,843) 1,099,052 1,821,113
- ----------------- --------------- ---------------- --------------- --------------- ---------------- --------------- -------------
- ----------------- --------------- ---------------- --------------- --------------- ---------------- --------------- -------------
(178,106) (173,213) (1,064,744) (1,950,367) (234,581) (430,382) (1,090,494) (1,819,600)
(520) - (1,717) (159) (201) (24) (1,646) (142)
(2,430) - (14,263) (2,186) (1,046) (186) (12,581) (1,510)
(587,319) - (20,777) (225,023) (62,225) (43,266) - -
(1,245) - - - (48) - - -
(5,821) - - - (365) - - -
(775,441) (173,213) (1,101,501) (2,177,735) (298,466) (473,858) (1,104,721) (1,821,252)
- ----------------- --------------- ---------------- --------------- --------------- ---------------- --------------- -------------
- ----------------- --------------- ---------------- --------------- --------------- ---------------- --------------- -------------
8,797,665 13,305,963 8,135,188 23,031,923 1,119,110 5,637,079 25,322,528 50,062,160
103,207 65,536 20,166 64,322 19,143 8,604 39,152 70,317
705,512 365,497 983,491 293,323 39,116 46,798 1,469,210 350,624
600,042 171,246 1,028,449 2,128,885 291,591 468,341 1,069,987 1,777,737
1,763 - 1,713 177 217 29 1,558 153
8,249 - 14,251 2,239 1,409 182 12,322 1,522
(7,583,794) (8,226,685) (14,716,571) (18,093,662) (2,899,669) (3,571,865) (30,726,505) (41,973,797)
(3,842) - (300) (49) (18,687) - (18,435) -
(228,087) (16,947) (120,722) (8,367) (380) (8,296) (782,698) (56,687)
2,400,715 5,664,610 (4,654,335) 7,418,791 (1,448,150) 2,580,872 (3,612,881) 10,232,029
- ----------------- --------------- ---------------- --------------- --------------- ---------------- --------------- -------------
- ----------------- --------------- ---------------- --------------- --------------- ---------------- --------------- -------------
9,802,833 10,222,895 (5,237,375) 5,694,646 (1,909,156) 1,808,171 (3,618,550) 10,231,890
29,189,795 18,966,900 41,418,345 35,723,699 11,602,139 9,793,968 48,724,263 38,492,373
- ----------------- --------------- ---------------- --------------- --------------- ---------------- --------------- -------------
- ----------------- --------------- ---------------- --------------- --------------- ---------------- --------------- -------------
$38,992,628 $29,189,795 $36,180,970 $41,418,345 $9,692,983 $11,602,139 $45,105,713 $48,724,263
================= =============== ================ =============== =============== ================ =============== =============
================= =============== ================ =============== =============== ================ =============== =============
</TABLE>
Six Months Ended February 29, 2000 (Unaudited)
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
34
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Saratoga Advantage Trust (the "Trust") was organized on April 8, 1994 as a
Delaware Business Trust and is registered under the Investment Company Act of
1940, as amended, as a diversified, open-end management investment company. The
Trust commenced investment operations on September 2, 1994. The Trust consists
of seven portfolios: the U.S. Government Money Market Portfolio; the Investment
Quality Bond Portfolio; the Municipal Bond Portfolio; the Large Capitalization
Value Portfolio; the Large Capitalization Growth Portfolio; the Small
Capitalization Portfolio and the International Equity Portfolio. Saratoga
Capital Management (the "Manager") serves as the Trusts' manager. Each of the
Portfolios are provided with discretionary advisory services of an Adviser
identified, retained, supervised and compensated by the Manager. The following
serve as Advisers (the "Advisers") to their respective portfolio(s): OpCap
Advisors (formerly Quest for Value Advisors): Municipal Bond and Large
Capitalization Value; Fox Asset Management Inc.: Investment Quality Bond; Harris
Bretall Sullivan and Smith, Inc.: Large Capitalization Growth; Thorsell, Parker
Partners, Inc.: Small Capitalization; Sterling Capital Management Co.: U.S.
Government Money Market and Friend Ivory & Sime plc: International Equity.
Unified Fund Services, Inc. (the "Administrator") served as the Trust's
administrator until January 31, 2000. Funds Distributor, Inc. served as the
Trust's administrator effective February 1, 2000 pursuant to the Administration
Agreement dated September 21, 1999. Unified Fund Services, Inc. (the
"Distributor") served as the Trust's Distributor until September 20, 1999. Funds
Distributor, Inc. served as the Trust's Distributor effective September 21, 1999
pursuant to the Distribution Agreement dated September 21, 1999. On August 19,
1994, U.S. Government Money Market issued 100,000 shares to the Manager for
$100,000 to provide initial capital for the Trust.
Currently, each portfolio offers Class I, Class B and Class C shares. Each
class represents interest in the same assets of the applicable portfolio, and
the classes are identical except for differences in their sales charge
structures, ongoing service and distribution charges and certain transfer agency
expenses. In addition, Class B shares and all corresponding reinvested dividend
shares automatically convert to Class I shares approximately eight years after
issuance. All classes of shares have equal voting privileges except that each
class has exclusive voting rights with respect to its service and/or
distribution plan.
The following is a summary of significant accounting policies consistently
followed by each Portfolio:
(a) Valuation of Investments
Investment securities listed on a national securities exchange and
securities traded in the over-the-counter National Market System are valued at
the last reported sale price on the valuation date; if there are no such
reported sales, the securities are valued at the last quoted bid price. Other
securities traded over-the-counter and not part of the National Market System
are valued at the last quoted bid price. Investment debt securities (other than
short term obligations) are valued each day by an independent pricing service
approved by the Board of Trustees using methods which include current market
quotations from a major market maker in the securities and trader-reviewed
"matrix" prices. Short-term debt securities having a remaining maturity of sixty
days or less are valued at amortized cost or amortized value, which approximates
market value. Any securities or other assets for which market quotations are not
readily available are valued at their fair value as determined in good faith
under procedures established by the Board of Trustees. The ability of issuers of
debt securities held by the portfolios to meet their obligations may be affected
by economic or political developments in a specific state, industry or region.
U.S. Government Money Market values all of its securities on the basis of
amortized cost which approximates market value. Investments in countries in
which International Equity may invest may involve certain considerations and
risks not typically associated with domestic investments as a result of, among
others, the possibility of future political and economic developments and the
level of governmental supervision and regulation of foreign securities markets.
(b) Federal Income Tax
It is each Portfolio's policy to comply with the requirements of the
Internal Revenue Code applicable to regulated investment companies and to
distribute substantially all of its taxable and tax-exempt income to
shareholders; accordingly, no Federal income tax provision is required.
(c) Security Transactions and Other Income
Security transactions are recorded on the trade date. In determining the
gain or loss from the sale of securities, the cost of securities sold is
determined on the basis of identified cost. Dividend income is recorded on the
ex-dividend date and interest income is recorded on accrual basis. Discounts or
premiums on debt securities purchased are accreted or amortized to interest
income over the lives of the respective securities.
(d) Dividends and Distributions
The following table summarizes each Portfolio's dividend and capital gain
declaration policy:
Income
Dividends Capital Gains
----------------------------
Large Capitalization Value annually annually
Large Capitalization Growth annually annually
Small Capitalization annually annually
International Equity annually annually
Investment Quality Bond daily * annually
Municipal Bond daily * annually
U.S. Government Money Market daily * annually
* paid monthly
Each Portfolio records dividends and distributions to its shareholders on
the ex-dividend date. The amount of dividends and distributions from net
investment income and net realized gains are determined in accordance with
federal income tax regulations, which may differ from generally accepted
accounting principles. These "book-tax" differences are either permanent or
temporary in nature. To the extent these differences are permanent in nature,
such amounts are reclassified within the net asset accounts based on their
federal tax-basis treatment; temporary differences do not require
reclassification. 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.
(e) Allocation of Expenses
Expenses specifically identifiable to a particular Portfolio are borne by
that Portfolio. Other expenses are allocated to each Portfolio based on its net
assets in relation to the total net assets of all the applicable Portfolios or
another reasonable basis.
(f) Repurchase Agreements
The Trust, through its custodian, receives delivery of the underlying
securities, the market value of which at the time of purchase is required to be
in an amount at least equal to 101% of the resale price. The Manager is
responsible for determining that the amount of these underlying securities is
maintained at a level such that their market value is at all times equal to 101%
of the resale price. In the event of default of the obligation to repurchase,
the Trust has the right to liquidate the collateral and apply the proceeds in
satisfaction of the obligation.
(g) Other
The preparation of the financial statements in accordance with generally
accepted accounting principles requires management to make estimates and
assumptions that effect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
2. MANAGEMENT FEE, ADMINISTRATION FEE AND OTHER TRANSACTIONS WITH AFFILIATES
(a) The management fees are payable monthly by the Portfolio to the Manager
and are computed daily at the following annual rates of each Portfolio's average
daily net assets: .65% for Large Capitalization Value, Large Capitalization
Growth and Small Capitalization; .75% for International Equity; .55% for
Investment Quality Bond and Municipal Bond and .475% for U.S. Government Money
Market.
For the six months ended February 29, 2000, the Manager voluntarily
waived $1,762 and $27,515 for Large Capitalization Value and Municipal Bond,
respectively.
The Portfolios also benefit from an expense offset arrangement with their
custodian bank where uninvested cash balances earn credits that reduce monthly
fees.
(b) The Manager, not the Portfolios, pays a portion of its management fees
to the Advisers at the following annual rates of each Portfolios' average daily
net assets: .30% for Large Capitalization Value, Large Capitalization Growth and
Small Capitalization; .40% for International Equity; .20% for Investment Quality
Bond and Municipal Bond and .125% for U.S. Government Money Market.
(c) The administration fee is accrued daily and payable monthly to the
Administrator.
(d) The Portfolios have adopted a Plan of Distribution (the "Plan")
pursuant to Rule 12b-1 under the 1940 Act with respect to the distribution of
Class B and Class C shares of the Portfolios. The Plan provides that each
Portfolio will pay the Distributor or other entities a fee, which is accrued
daily and paid monthly, at the annual rate of 1.0% of the average net assets of
Class B and Class C shares. Up to 0..25% of average daily net assets may be paid
directly to the Manager for support services. A portion of the fee payable
pursuant to the Plan, equal to 0.25% of the average daily net assets, is
currently characterized as a service fee. A service fee is a payment made for
personal service and/or the maintenance of shareholder accounts.
(e) The Trust and the Manager have entered into an Excess Expense
Agreement (the "Expense Agreement") effective January 1, 1999. In connection
with the Expense Agreement the Manager is currently waiving its management fees
and/or assuming certain other operating expenses of the Portfolios in order to
maintain the expense ratios of each class of the Portfolios at or below
predetermined levels (each an "Expense Cap"). Under the terms of the Expense
Agreement, expenses borne by the Manager are subject to reimbursement by the
Portfolios up to five years from the date the fee or expense was incurred, but
no reimbursement will be made by a Portfolio if it would result in the Portfolio
exceeding its Expense Cap. The Expense Agreement can be terminated by either
party, without penalty, upon 60 days prior notice. For the six months ended
February 29, 2000, reimbursement payments were made by the following Portfolios
to the Manager under the terms of the Expense Agreement: $5,648, $1,276, $9,358,
$4,607, $936 and $9,358 for the Large Capitalization Value, Large Capitalization
Growth, Small Capitalization, International Equity, Investment Quality Bond and
Money Market Portfolios respectively.
3. PURCHASES AND SALES OF SECURITIES
For the six months ended February 29, 2000 purchases and sales of
investment securities, other than short-term securities were as follows:
Purchases Sales
----------------------------
Large Capitalization Value $50,881,478 $41,006,805
Large Capitalization Growth 34,419,657 32,459,929
Small Capitalization 10,141,613 16,534,415
International Equity 12,377,396 11,039,804
Investment Quality Bond 14,310,638 16,120,354
Municipal Bond 1,187,030 1,652,503
4. UNREALIZED APPRECIATION (DEPRECIATION) FOR FEDERAL INCOME TAX PURPOSES
At February 29, 2000, the composition of unrealized appreciation
(depreciation) of investment securities were as follows:
Appreciation (Depreciation) Net
-----------------------------------------
Large Capitalization Value $4,819,308 ($10,564,379) ($5,745,071)
Large Capitalization Growth 62,086,328 (2,314,266) 59,772,062
Small Capitalization 8,798,584 (11,509,520) (2,710,936)
International Equity 11,441,940 (737,026) 10,704,914
Investment Quality Bond 38,601 (1,094,490) (1,055,889)
Municipal Bond 42,505 (684,231) (641,726)
For U.S. federal income tax, the cost of securities owned at February 29, 2000
was substantially the same as the cost of securities for financial statement
purposes.
5. AUTHORIZED SHARES OF BENEFICIAL INTEREST AND PAR VALUE PER SHARE
Each Portfolio has unlimited Class I shares of beneficial interest
authorized with $.001 par value per share. Transactions in capital stock for the
I Class were as follows for the periods indicated:
(Unaudited)
6 Months Ended Year Ended
February 29, 2000 August 31, 1999
---------------- ---------------
Large Capitalization Value
Issued 936,845 2,133,762
Redeemed (949,942) (815,931)
Reinvested from
Dividends 417,417 144,855
---------------- ---------------
Net Increase in
Shares 404,320 1,462,686
---------------- ---------------
Large Capitalization Growth
Issued 764,778 2,054,585
Redeemed (8638,997) (1,573,032)
Reinvested from
Dividends 239,427 71,851
---------------- ---------------
Net Increase in
Shares 165,208 553,404
---------------- ---------------
Small Capitalization
Issued 564,517 1,541,540
Redeemed (631,683) (919,820)
Reinvested from
Dividends 51,024 795,518
---------------- ---------------
Net Increase
(Decrease) in Shares (16,142) 1,417,238
---------------- ---------------
International Equity
Issued 583,647 1,115,375
Redeemed (492,320) (686,830)
Reinvested from
Dividends 38,444 14,969
---------------- ---------------
Net Increase in
Shares 129,771 443,514
---------------- ---------------
Investment Quality Bond
Issued 825,239 2,250,732
Redeemed (1,501,331) (1,776,225)
Reinvested from
Dividends 104,760 209,194
---------------- ---------------
Net Increase
(Decrease) in Shares (571,332) 683,701
---------------- ---------------
Municipal Bond
Issued 116,179 534,305
Redeemed (300,754) (336,987)
Reinvested from
Dividends 30,144 44,442
---------------- ---------------
Net Increase
(Decrease) in Shares (154,431) 241,760
---------------- ---------------
U.S. Government Money Market
Issued 25,322,527 50,062,160
Redeemed (30,726,505) (41,973,797)
Reinvested from
Dividends 1,069,987 1,777,737
---------------- ---------------
Net Increase
(Decrease) in Shares (4,333,991) 9,866,100
---------------- ---------------
Each Portfolio has unlimited Class B and Class C shares of beneficial interest
authorized with $.001 par value per share. Transactions in capital stock for the
Class B and Class C shares were as follows for the period indicated:
<TABLE>
<S> <C> <C> <C> <C> <C>
Class B Class C
(Unaudited) Period from (Unaudited) Period from
6 Months 1/4/99* 6 Months 1/4/99*
Ended 2/29/00 to 8/31/99 Ended 2/29/00 to 8/31/99
----------------------------------- -----------------------------------
Large Capitalization Value
Issued 18,643 8,367 131,690 56,675
Redeemed (1,880) - (8,067) (1,212)
Reinvested from
Dividends 1,488 - 13,057 -
----------------- ------------------ -----------------------------------
Net Increase in
Shares 18,251 8,367 136,680 55,463
----------------------------------- -----------------------------------
Large Capitalization Growth
Issued 13,645 7,611 136,292 83,457
Redeemed (733) - (36,312) (980)
Reinvested from
Dividends 677 - 7,600 -
----------------------------------- -----------------------------------
Net Increase in
Shares 13,589 7,611 107,580 82,477
----------------------------------- -----------------------------------
Small Capitalization
Issued 6,838 7,276 110,766 24,889
Redeemed (191) - (1,932) (729)
Reinvested from
Dividends 109 - 1,150 -
----------------- ------------------ ----------------------------------
Net Increase in
Shares 6,756 7,276 109,984 24,160
----------------------------------- -----------------------------------
International Equity
Issued 6,724 5,159 47,172 30,308
Redeemed (300) - (17,361) (1,399)
Reinvested from
Dividends 114 - 533 -
----------------- ------------------ ---------------------------------
Net Increase in
Shares 6,538 5,159 30,344 28,909
----------------------------------- ----------------------------------
Investment Quality Bond
Issued 2,048 6,465 100,150 29,380
Redeemed (31) (5) (12,312) (843)
Reinvested from
Dividends 175 18 1,455 225
----------------------------------- ---------------------------------
Net Increase in
Shares 2,192 6,478 89,293 28,762
----------------------------------- ---------------------------------
Municipal Bond
Issued 1,927 837 4,036 4,598
Redeemed (1,927) - (40) (815)
Reinvested from
Dividends 22 3 146 18
----------------- ------------------ -----------------------------
Net Increase in
Shares 22 840 4,142 3,801
----------------------------------- ------------------------------
U.S. Government Money Market
Issued 39,151 70,317 1,469,197 350,624
Redeemed (18,435) - (782,698) (56,688)
Reinvested from
Dividends 1,558 153 12,322 1,522
----------------- ------------------ ---------------------------
Net Increase in
Shares 22,274 70,470 698,821 295,458
----------------------------------- -----------------------------------
* Commencement of offering
</TABLE>
6. CAPITAL LOSS CARRYFORWARDS
At August 31, 1999, the following portfolios had, for Federal income tax
purposes, unused capital loss carryforwards available to offset future capital
gains through the following fiscal years ended August 31:
<TABLE>
<S> <C> <C> <C> <C> <C>
Name of Portfolio Total 2005 2006 2007
----------------- ----- ---- ---- ----
U.S. Government Money Market Portfolio $2,309 $32 $187 $2,090
</TABLE>
In accordance with U.S. Treasury regulations, the following Portfolios have
incurred and will elect to defer realized capital losses arising after October
31, 1998 ("Post-October losses"). Such losses are treated for tax purposes as
arising on the first business day of the Portfolio's next taxable year
(September 1, 1999).
Capital
Losses
------------------
Large Capitalization Value Portfolio $
-
Large Capitalization Growth Portfolio
-
Small Capitalization Portfolio
-
International Equity Portfolio
-
Investment Quality Bond Portfolio 24,365
Municipal Bond Portfolio
-
U.S. Government Money Market Portfolio 54
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each period)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
INCOME FROM DIVIDENDS AND
INVESTMENT OPERATIONS DISTRIBUTIONS RATIOS
--------------------------------------------------------------------- -----------------------------
Ratio
Distributions Ratio of Net
Net to of Net Investment
Realized Dividends Shareholders Operating Income
Net Asset And to from Net Net Net Expenses (Loss)
Value, Unrealized Total Shareholders Realized Asset Assets to to
Beginning Net Investment Gain(Loss) from Net Gains Value, End of Average Average Portfolio
of Income on Investment Investment on End of Total Period Net Net Turnover
Period (Loss) Investments Operations Income Investments Period Return* (000's) Assets Assets Rate
Large Capitalization Value Portfolio (Class I)
September 1, 1999 to
February 29, 2000
(Unaudited) $20.59 -- ($2.31) ($2.31) ($0.17) ($1.80) $16.31 (12.32%) $68,784 1.02%(4) 0.67%(4) 54%
Year Ended
August 31, 1999 18.15 0.13 3.40 3.53 (0.09) (1.00) 20.59 19.84% 78,484 1.10%(1) 0.84%(1) 67%
Year Ended
August 31, 1998 18.57 0.14 0.07 0.21 (0.39) (0.24) 18.15 0.96% 42,641 1.30%(1) 0.69%(1) 54%
Year Ended
August 31, 1997 14.45 0.09 4.37 4.46 (0.08) (0.26) 18.57 31.37% 29,676 1.31%(1) 0.60%(1) 25%
Year Ended
August 31, 1996 12.30 0.07 2.33 2.40 (0.11) (0.14) 14.45 19.73% 18,274 1.28%(1) 0.97%(1) 26%
September 2, 1994 (2)
To August 31, 1995 10.00(3) 0.15 2.20 2.35 (0.05) -- 12.30 23.60% 5,515 0.40%(1,4) 2.29%(1,4) 33%
(1) During the fiscal years ended August 31,1999, August 31, 1998 and
August 31,1997, Saratoga Capital Management waived a portion of its management
fees. During all other time periods presented above, Saratoga Capital Management
waived all of its fees and assumed a portion of the operating expenses.
Additionally, for the periods presented above, the Portfolio benefited from an
expense offset arrangement with its custodian bank. I f 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 of
net investment income (loss) to average daily net assets would have been 1.12%
and 0.86% respectively, for the year ended August 31, 1999, 1.39% and 0.60%,
respectively, for the year ended August 31,1998, 1.56% and 0.35%, respectively,
for the year ended August 31,1997, 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 1, 1995.
Large Capitalization Growth Portfolio (Class I)
September 1, 1999 to
February 29, 2000
(Unaudited) $26.98 ($0.11) $6.43 $6.32 -- ($1.66) $31.64 23.75% $140,766 0.90%(4) (0.30%)(4) 24%
Year Ended
August 31, 1999 17.83 (0.09) 9.65 9.56 -- (0.41) 26.98 54.03% 115,586 1.02%(1) (0.36%)(1) 39%
Year Ended
August 31, 1998 17.87 (0.07) 0.81 0.74 -- (0.78) 17.83 3.91% 66,537 1.18%(1) (0.34%)(1) 45%
Year Ended
August 31, 1997 13.16 (0.02) 4.73 4.71 -- -- 17.87 35.79% 47,197 1.36%(1) (0.12%)(1) 53%
Year Ended
August 31, 1996 12.86 (0.02) 0.35 0.33 (0.01) (0.02) 13.16 2.56% 33,962 1.34%(1) (0.13%)(1) 50%
September 2, 1994 (2)
to August 31, 1995 10.00(3) 0.02 2.85 2.87 (0.01) -- 12.86 28.77% 11,107 0.51%(1,4) 0.32%(1,4) 23%
(1) During the fiscal years ended August 31,1999, August 31, 1998 and
August 31,1997, Saratoga Capital Management waived a portion of its management
fees. During all other time periods presented above, Saratoga Capital Management
waived all of its fees and assumed a portion of the operating expenses.
Additionally, for the periods presented above, 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 of net
investment income (loss) to average daily net assets would have been 1.02% and
(0.36%) respectively, for the year ended August 31, 1999, 1.25% and (0.41%),
respectively, for the year ended August 31,1998, 1.36% and (0.20%),
respectively, for the year ended August 31,1997, 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
Small Capitalization Portfolio (Class I)
September 1, 1999 to
February 29, 2000
(Unaudited) $10.10 ($0.20) $1.54 $1.34 -- ($0.12) $11.32 13.56% $42,650 1.32%(4) (0.61%)(4) 27%
Year Ended
August 31, 1999 9.82 0.05) 3.02 2.97 -- (2.69) 10.10 34.91% 38,225 1.21%(1) (0.60%)(1) 32%
Year Ended
August 31, 1998 15.05 (0.10) (4.20) (4.30) -- (0.93) 9.82 (30.64%) 23,235 1.28%(1) (0.63%)(1) 96%
Year Ended
August 31, 1997 13.58 (0.07) 2.37 2.30 -- (0.83) 15.05 18.07% 28,781 1.30%(1) (0.70%)(1) 162%
Year Ended
August 31, 1996 12.62 (0.09) 1.44 1.35 ($0.00) (0.39) 13.58 11.03% 22,071 1.25%(1) (0.83%)(1) 95%
September 2, 1994 (2)
to August 31, 1995 10.00(3) 0.02 2.61 2.63 (0.01) -- 12.62 26.38% 15,103 0.42%(1,4) 0.07%(1,4) 111%
(1) During the fiscal years ended August 31,1999, August 31, 1998 and
August 31,1997, Saratoga Capital Management waived a portion of its management
fees. During all other time periods presented above, Saratoga Capital Management
waived all of its fees and assumed a portion of the operating expenses.
Additionally, for the periods presented above, 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 of net
investment income (loss) to average daily net assets would have been 1.31% and
(0.70%), respectively, for the year ended August 31, 1999, 1.44% and 0.98%,
respectively, for the year ended August 31,1998, 1.64% and (1.04%),
respectively, for the year ended August 31,1997, 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.
International Equity Portfolio (Class I)
September 1, 1999 to
February 29, 2000
(Unaudited) $13.18 $0.02 $3.44 $3.46 ($0.08) ($0.18) $16.38 26.35% $37,843 1.20%(4) (0.68%)(4) 32%
Year Ended
August 31, 1999 10.92 0.11 2.25 2.36 (0.10) -- 13.18 21.70% 28,743 1.45%(1) 1.00%(1) 46%
Year Ended
August 31, 1998 10.74 0.13 0.09 0.22 (0.04) -- 10.92 2.08% 18,967 1.40% (1) 1.14%(1) 58%
Year Ended
August 31, 1997 9.59 0.23 1.12 1.35 (0.20) -- 10.74 14.39% 10,389 1.64%(1) 0.32%(1) 58%
Year Ended
August 31, 1996 9.33 0.00 0.34 0.34 (0.03) (0.05)9.59 3.68% 6,857 1.65%(1) 0.23%(1) 58%
September 2, 1994 (2)
to August 31, 1995 10.00(3) 0.05 (0.71) (0.66) (0.01) -- 9.33 (6.61%) 2,907 0.38%(1,4) 1.03%(1,4) 36%
(1) During the fiscal years ended August 31,1997, August 31, 1998 and
August 31, 1999, Saratoga Capital Management waived a portion of its management
fees. During all other time periods presented above, Saratoga Capital Management
waived all of its fees and assumed a portion of the operating expenses.
Additionally, for the periods presented above, 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 of net
investment income (loss) to average daily net assets would have been 1.49% and
1.04% respectively, for the year ended August 31, 1999, 1.96% and 0.59%,
respectively, for the year ended August 31,1998, 2.76% and (1.00%),
respectively, for the year ended August 31,1997, 3.91% and (2.33%),
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
Investment Quality Bond Portfolio (Class I)
September 1, 1999 to
February 29, 2000
(Unaudited) $9.88 $0.26 ($0.13) $0.13 ($0.26) -- $9.75 1.34% $34,945 1.07%(4) 5.34%(4) 38%
Year Ended
August 31, 1999 10.29 0.49 (0.35) 0.14 (0.49) (0.06) 9.88 1.33% 41,070 1.05%(1) 4.85%(1) 62%
Year Ended
August 31, 1998 10.09 0.50 0.21 0.71 (0.50) (0.01) 10.29 7.21% 35,724 1.19%(1) 4.86%(1) 44%
Year Ended
August 31, 1997 9.91 0.51 0.18 0.69 (0.51) 0.00 10.09 7.16% 22,507 1.28%(1) 5.03%(1) 30%
Year Ended
August 31, 1996 10.08 0.48 (0.16) 0.32 (0.48) (0.01) 9.91 3.23% 16,864 1.31%(1) 4.84%(1) 55%
September 2, 1994 (2)
To August 31, 1995 10.00(3) 0.60 0.08 0.68 (0.60) -- 10.08 7.12% 4,503 0.45%(1,4) 5.77%(1,4) 18%
(1) During the fiscal years ended August 31,1999, August 31, 1998 and
August 31,1997, Saratoga Capital Management waived a portion of its management
fees. During all other time periods presented above, Saratoga Capital Management
waived all of its fees and assumed a portion of the operating expenses.
Additionally, for the periods presented above, the Portfolio benefited from an
expense offset arrangement with its custodian bank. If such 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 of net investment income
(loss) to average daily net assets would have been 1.06% and 4.86%,
respectively, for the year ended August 31, 1999, 1.37% and 4.69%, respectively,
for the year ended August 31,1998, 1.52% and 4.71%, respectively, for the year
ended August 31,1997, 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.
Municipal Bond Portfolio (Class I)
September 1, 1999 to
February 29, 2000
(Unaudited) $10.00 $0.21 ($0.33) ($0.12) ($0.22) ($0.06) $9.60 (1.26%) $9,608 1.20%(4) 4.47%(4) 12%
Year Ended
August 31, 1999 10.72 0.42 (0.68) (0.26) (0.42) (0.04) 10.00 (2.55%) 11,556 1.20%(1) 3.96%(1) 23%
Year Ended
August 31, 1998 10.33 0.43 0.42 0.85 (0.44) (0.02)10.72 8.42% 9,794 1.20%(1) 4.07%(1) 18%
Year Ended
August 31, 1997 10.00 0.43 0.33 0.76 (0.43) -- 10.33 7.67% 7,223 1.21%(1) 4.19%(1) 20%
Year Ended
August 31, 1996 9.93 0.41 0.07 0.48 (0.41) -- 10.00 4.88% 4,708 1.23%(1) 4.03%(1) 12%
September 2, 1994 (2)
To August 31, 1995 10.00(3) 0.51 (0.07) 0.44 (0.51) -- 9.93 4.65% 1,477 0.37%(1,4) 4.79%(1,4) 27%
(1) During the fiscal years ended August 31,1999, August 31, 1998 and
August 31,1997, Saratoga Capital Management waived a portion of its management
fees. During all other time periods presented above, Saratoga Capital Management
waived all of its fees and assumed a portion of the operating expenses.
Additionally, for the periods presented above, 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 of net
investment income (loss) to average daily net assets would have been 1.68% and
4.54% respectively, for the year ended August 31, 1999, 2.15% and 3.12%,
respectively, for the year ended August 31,1998, 2.96% and 2.43%, respectively,
for the year ended August 31,1997, 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.
U.S. Government Money Market Portfolio (Class I)
September 1, 1999 to
February 29, 2000
(Unaudited) $1.000 $0.023 -- $0.023 ($0.023) -- $1.000 2.29% $44,019 0.98%(4) 4.56(4) n/a
Year Ended
August 31, 1999 1.000 0.044 0.000 0.044 (0.044) -- 1.000 4.11% 48,358 1.00%(1) 4.02%(1) n/a
Year Ended
August 31, 1998 1.000 0.045 0.000 0.045 (0.045) -- 1.000 4.59% 38,492 1.12%(1) 4.41%(1) n/a
Year Ended
August 31, 1997 1.000 0.043 0.000 0.043 (0.043) -- 1.000 4.41% 28,572 1.12%(1) 4.31%(1) n/a
Year Ended
August 31, 1996 1.000 0.044 0.000 0.044 (0.044) -- 1.000 4.47% 22,906 1.13%(1) 4.30%(1) n/a
September 2, 1994 (2)
to August 31, 1995 1.000(3) 0.052 0.000 0.052 (0.052) -- 1.000 5.36% 5,072 0.40%(1,4) 5.38%(1,4) n/a
</TABLE>
(1) During the fiscal years ended August 31,1999, August 31, 1998 and
August 31,1997, Saratoga Capital Management waived a portion of its management
fees. During all other time periods presented above, Saratoga Capital Management
waived all of its fees and assumed a portion of the operating expenses.
Additionally, for the periods presented above, 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 of net
investment income (loss) to average daily net assets would have been, 1.02% and
4.04%, respectively, for the year ended August, 31 1999, 1.30% and 4.24%,
respectively, for the year ended August 31,1998, 1.35% and 4.08%, respectively,
for the year ended August 31,1997, 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.
- --------------------------------------------------------------------------------
(2) Commencement of operations.
(3) Initial offering price.
(4) Annualized.
* Assumes reinvestment of all dividends and distributions.
Aggregate (not annualized) total return is shown for any period
shorter than one year.
<PAGE>
THE SARATOGA ADVANTAGE TRUST
SEMI ANNUAL REPORT-Class B
AS OF FEBRUARY 29, 2000
TABLE OF CONTENTS
President's Page 1
Letter.....................................
Investment Page 2
Review..................................
Schedules of Page 10
Investments...........................
Statements of Assets and Page 30
Liabilities...........................
Statements of Page 31
Operations............................
Statements of Changes in Net Page 32
Assets................................
Notes to Financial Page 34
Statements............................
Financial Page 39
Highlights................................
This report is authorized for distribution only to shareholders and to
others who have received a copy of the prospectus.
<PAGE>
TRUSTEES AND OFFICERS
Bruce E. Ventimiglia Trustee, Chairman, President & CEO
Patrick H. McCollough Trustee
Udo W. Koopmann Trustee
Floyd E. Seal Trustee
Scott C. Kane Vice President & Secretary
Stephen Ventimiglia Vice President
William P. Marra Treasurer & Chief Financial Officer
Mary A. Nelson Assistant Treasurer
Karen Jacoppo-Wood Assistant Secretary
Investment Manager Distributor
Saratoga Capital Management Funds Distributor Inc.
1501 Franklin Avenue 60 State Street, Suite 1300
Mineola, NY 11501-4803 Boston, MA 02109
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>
<PAGE>
<PAGE>
8
THE SARATOGA ADVANTAGE TRUST
Semi-Annual Report to Shareholders
April 17, 2000
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, 1999 through February 29, 2000.
The pace of change brought on by the technology "revolution" has many
investors feeling simultaneously excited and confused. Many analysts forecast a
continuation of the economic environment of the last several years fueled by
strong economic growth, low inflation, benign interest rates, and a stable
dollar. While many market pundits believe that the fundamentals for investing in
stocks remain strong, investors should be cautious about the growing mania for
some of the "new-economy" stocks. Rather than chasing a "hot" investment craze,
for serious, "core" assets investors should keep focused on their long-term
investment goals. Revisit the time-honored "investment pyramid" approach to
investing by segregating core asset investment dollars from other money that you
are willing to take more risk with, and develop appropriate strategies for each.
The Saratoga Advantage Trust mutual funds have been designed to help you manage
your core assets. In addition, the overall performance of an index sometimes
masks the performance of many stocks, while extraordinary returns by just a few
companies can dramatically affect the return of an entire index.
DID YOU KNOW:
* The Standard & Poor's 500 Index had a return of 21% in 1999. If the S&P
500 were an equal weighted index (which it is not, it is a market capitalization
weighted index), simply removing just one stock (Qualcomm, that returned more
than 2600% in 1999) would have brought the mean return of the S&P 500 for 1999
down to 15.6%.
* 249 of the stocks in the S&P 500 had a negative return in 1999, while 40
of the S&P 500 stocks experienced returns greater than 100% for the year.
* Of the 6,242 U.S. stocks tracked by Morningstar, 54% had negative returns
in 1999 and the median return for these stocks in 1999 was -3.9%.
Many Mutual Funds Add Value
The risk of experiencing negative returns is much higher when investing in
individual stocks than in equity mutual funds.
DID YOU KNOW:
* 46% of the 5,323 stocks in existence for the full three years 1997-1999
produced a negative annualized total return.
* Just 2.5% of the 1,877 equity mutual funds with three year or longer
performance histories had a negative annualized total return from 1997-1999.
* As a group, U.S. equity mutual funds had higher average annualized
returns than aggregate U.S. stocks during the past three, five, and ten year
periods.
Try to stay focused on your long-term investment goals. Don't let
short-term stock and bond market fluctuations or investment manias change your
long-term investment strategy. The Saratoga Advantage Trust's portfolios are
managed by some of the world's leading institutional investment advisory firms.
Combining the strength of the Trust's performance with a well-designed asset
allocation plan can help you to achieve your long-term investment goals.
Successful investing requires discipline and patience.
Following you will find specific information on the investment strategy and
performance of each of the Trust's portfolios. Please speak with your financial
advisor if you have any questions about your investment in the Saratoga
Advantage Trust or your allocation of assets among the portfolios.
We are dedicated to serving your investment needs. Thank you for investing
with us.
Best wishes,
Bruce E. Ventimiglia
Chairman, President and
Chief Executive Officer
<PAGE>
LARGE CAPITALIZATION VALUE PORTFOLIO
Advised by:
OpCap Advisors
New York, New York
Objective: Seeks total return consisting of capital appreciation and dividend
income by investing primarily in a diversified portfolio of common stocks that,
in the Advisor's opinion, are believed to be undervalued in the market and offer
above-average price appreciation potential.
Large Capitalization
Total Aggregate Value
Return for the Period Ended February Portfolio Morningstar Large
29, 2000 (Class B) Value Average1
- ------------------------------------------------------- --------------------
1/4/99 (inception) - 2/29/00* -10.0% -2.5%
3/1/99 - 2/29/00 -9.3% -1.1%
9/1/99 - 2/29/00 -12.7% -6.8%
*Annualized performance for periods greater than one year
The Saratoga Large Capitalization Value Portfolio invests in a diverse group of
high-quality, undervalued companies that are chosen to outperform style
benchmarks such as the Morningstar Large Value Average. The investment team uses
fundamentally driven, value-oriented analysis, which leads to the selection of
high-quality businesses that are selling substantially less than their intrinsic
value. Each business is examined to determine industry position, profitability
and financial strength. Management is also evaluated for its decision-making
ability, experience, vision, compensation structure, and stock ownership. Over
time we expect the share price of these companies to approach their intrinsic
value, producing superior returns.
The Portfolio owned the common stocks of 43 companies as of February 29, 2000.
The largest holding was Freddie Mac, a federally chartered, government sponsored
enterprise formed for the purpose of financing home ownership in the United
States. Other major holdings included Computer Associates, which develops and
sells software for use on mainframe computers and client server computers;
Sprint, the third largest long distance company in the United States and a major
carrier of Internet traffic; Minnesota Mining & Manufacturing, a leading
manufacturer of industrial, consumer and medical products; and Monsanto, a major
producer of high-value agricultural products, pharmaceuticals and food
ingredients. Top contributors to the portfolio performance for the six months
ended February 29, included News Corp Ltd., Computer Associates, Citigroup, and
Alcoa Inc.
1. The Morningstar Large Value Average, as of February 29, 2000, consisted of
622 mutual funds comprised of large market capitalization stocks with the
lowest combinations of price-to-earnings and price-to-book scores.
Investors may not invest in the Average directly.
Past performance is not predictive of future performance.
LARGE CAPITALIZATION GROWTH PORTFOLIO
Advised by:
Harris Bretall Sullivan & Smith, L.L.C.
San Francisco, California
Objective: Seeks capital appreciation by investing primarily in a diversified
portfolio of common stocks that, in the advisor's opinion, have faster earnings
growth potential than the Standard & Poor's 500.
Large Capitalization
Total Aggregate Growth
Return for the Period Portfolio Morningstar Large
Ended February 29, 2000 (Class B) Growth Average1
- --------------------------------------- --------------- ----------------
1/4/99 (inception) - 2/29/00* 28.3 % 36.1%
3/1/99 - 2/29/00 26.5 % 40.7 %
9/1/99 - 2/29/00 23.2 % 30.6 %
*Annualized performance for periods greater than one year
Harris Bretall began 1999 forecasting a strong year for the economy and
financial markets. Our expectations were significantly more optimistic than the
consensus view. Yet, even our forecast proved timid. U.S. Real GDP rose an
impressive 4.0. Inflation remained under control and interest rates, despite a
rise of more than 100 basis points, remained at relatively low levels. The
strength in the financial markets powered Saratoga Advantage Trust Large
Capitalization Growth Portfolio to one of the best appreciation years ever.
Economic growth, as we predicted, continued to strongly advance, expanding by
nearly 5% in the last two quarters of the year, while inflation stayed modest.
The inflation statistics for the month of November showed the core CPI up only
0.1%, and wholesale prices up a modest 0.3%. Investors reacted to this news with
enthusiasm for equities, pushing stock indices to all-time highs.
For 2000, Harris Bretall expects another strong economic year. We see few signs
of a slowdown in economic activity. While we expect the Federal Reserve Bank to
lean against this strength, possibly raising interest rates further, we do not
anticipate that such a rise in rates will harm the economy. The productivity
gains experienced by the United States will spread worldwide, keeping inflation
under control. In this environment, global economic expansion will continue,
creating an opportunity for strong corporate profit growth. In short, we
forecast a continuation of the economic environment of the last several years:
strong economic growth, low inflation, benign interest rates, and a stable
dollar. As of February 29, 2000, the Portfolio was invested in 42 stocks; stocks
which we believe position the Saratoga Advantage Trust Large Capitalization
Growth Portfolio to take advantage of the opportunities from productivity gains.
1. The Morningstar Large Growth Average, as of February 29, 2000, consisted of
639 mutual funds comprised of large market capitalization stocks with the
highest combinations of price-to-earnings and price-to-book scores.
Investors may not invest in the Average directly.
Past performance is not predictive of future performance.
SMALL CAPITALIZATION PORTFOLIO
Advised by:
Thorsell, Parker Partners, Inc.
Westport, Connecticut
Objective: Seeks maximum capital appreciation by investing in a diversified
portfolio of the common stocks of small capitalization companies.
Small
Total Aggregate Capitalization
Return for the Period Portfolio Morningstar Small
Ended February 29, 2000 (Class B) Value Average1
- ------------------------------------ --------------------- ------------------
1/4/99 (inception) - 2/29/00* 18.5% 3.6%
3/1/99 -2/29/00 32.2% 14.2%
9/1/99-2/29/00 12.9% 3.1%
*Annualized performance for periods greater than one year
During the past several months momentum and positive investor sentiment have
supported a move toward smaller stocks such as those in your Portfolio. This
return to smaller (versus larger cap) stocks certainly helped performance during
the recent six and twelve month periods. In addition, your Portfolio had good
exposure in technology, which was by far the strongest sector in the recent
market. Your portfolio also had a substantial position in the energy sector,
which responded with substantial gains to the sharp rise in the price of oil and
gas.
Takeover activity became strong again in the smaller stock sector as profitable
mergers were at a record level as a percentage of your Portfolio. Although we do
not invest in companies solely because of their merger potential, the purchase
prices of these companies reflect the judgment of major investors that your
stocks are so undervalued and of such good quality that they are willing to pay
a premium to buy them out completely.
The last major factor in the recent strong performance was that we underweighted
interest sensitive stocks, such as banks, and held no real estate trusts or
utilities. With the general rise in interest rates, these areas did poorly and
we avoided much of the damage.
Thorsell, Parker continues its fundamental, bottom-up research on smaller U.S.
stocks. We buy stocks for both higher earnings and a higher P/E valuation, not
just for projected growth. When these investments are successful we sell them to
reinvest in new ideas, which we believe can also produce this "double play"
effect. This approach also results in lower average risk than the more
speculative style. By contrast, our objective is to buy stocks when they are out
of favor and sell stocks that are fully priced and very exposed to negative
surprises. Through a full market cycle we believe this approach will continue to
produce better results without exposing the portfolio to undue risks.
1. The Morningstar Small Value Average, as of February 29, 2000, consisted of
219 mutual funds comprised of small market capitalization stocks with the
lowest combinations of price-to-earnings and price-to-book scores.
Investors may not invest in the Average directly.
Past performance is not predictive of future performance.
INTERNATIONAL EQUITY PORTFOLIO
Advised by:
Friends Ivory & Sime plc
Edinburgh, Scotland
Objective: Seeks capital appreciation by investing primarily in a diversified
portfolio of the securities of companies domiciled outside of the United States.
International
Total Aggregate Equity Morgan Stanley
Return for the Period Portfolio EAFE Index
Ended February 29, 2000 (Class B) (U.S. Dollars)1
- ----------------------------------- ------------------- --------------------
1/4/99 (inception) - 2/29/00* 28.9% 28.1%
3/1/99 - 2/29/00 39.9% 25.5%
9/1/99 - 2/29/00 25.8% 13.6%
*Annualized performance for periods greater than one year
Over the past six months global stock markets have continued to deliver strong
returns led by technology and telecommunications shares. International stock
markets have outperformed the United States stock market, led by Continental
Europe and Japan. Only the United Kingdom has lagged.
Global growth forecasts continue to be revised upwards. For the next two years
growth could be the highest since the late 1980's. Any increase in inflation is
likely to be modest as the deflationary impact of increased global competition
and technological change offset increased cyclical pressure for price increases.
We believe that stock picking continues to hold the key again for good
returns in 2000. We are currently slightly overweight in Japan and Continental
Europe and underweight in the UK and Pacific Ex-Japan.
As of February 2000, the major weightings in the Portfolio were as follows:
49.6% in Continental Europe, 15.8% in the United Kingdom, 26.5% in Japan and
3.1% in Pacific Ex-Japan.
Recent Portfolio additions include: Ericsson, a world leader in mobile
telephony; SAP, a multinational software provider; and Sony, a leading consumer
electronics manufacturer.
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 predictive of future performance.
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 high quality, actively managed fixed
income securities.
Investment Quality Lipper
Total Aggregate Bond Short-Intermediate
Return for the Period Portfolio Investment Grade
Ended February 29, 2000 (Class B) Debt Funds Index1
- ------------------------------------- ------------------ --------------------
1/4/99 (inception) - 2/29/00* -0.5% 1.7%
3/1/99 - 2/29/00 0.5% 2.2%
9/1/99 - 2/29/00 0.8% 1.6%
*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 two and ten years. In the 12 months ended
February 29, 2000, the Portfolio distributed dividends of $0.51 per share.
Investments are normally divided approximately evenly between U.S. Treasury
securities and Corporate and Government Agency securities. Due to the
historically large yield advantage of Government Agency and Corporate bonds over
Treasuries, Corporate and Government Agency securities comprise approximately
75% of the Portfolio 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 5.8
years, and an average duration of 3.7 years in the Portfolio.
Other Portfolio statistics as of February 29, 2000 are as follows: Average
weighted yield-to-maturity was 6.9%, average weighted coupon was 6.6%, and the
average Moody's Rating was Aa3 with 36 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 predictive of future performance.
MUNICIPAL BOND PORTFOLIO
Advised by:
OpCap Advisors
New York, New York
Objective: Seeks a high level of interest income exempt from federal income
taxation consistent with prudent investment management and the preservation of
capital.
Total Aggregate Lipper General
Return for the Period Municipal Bond Municipal Debt
Ended February 29, 2000 Portfolio (Class B) Funds Index1
- ----------------------------------- -------------------- -----------------
1/4/99 (inception) - 2/29/00* -5.0% -3.5%
3/1/99-2/29/00 -6.2% -4.0%
9/1/99-2/29/00 -1.7% -1.1%
*Annualized performance for periods greater than one year
The bond market continued its downward spiral during the past six months as the
Federal Reserve continued to raise short-term rates in an effort to cool a
steamy economy and dampen inflationary pressures. The taxable bond yield curve
inverted, an unusual occurrence whereby shorter maturity bond yields moved
higher than longer maturity bonds. This was a consequence of an active Federal
Reserve pushing short-term rates higher while long bonds benefited from
continued muted inflation and the Treasury's surprising announcement that they
would buy back bonds with an emphasis on longer maturities. While the taxable
yield curve inverted, the municipal yield curve remained steep moving
treasury/municipal yield ratios to extremely attractive levels. In fact, insured
thirty year municipals are now higher yielding than thirty year treasuries and
present significant value on an after tax basis. February was the first month in
quite a while that investors began to show some interest in tax-exempt
securities as a result of the stock market's retreat and obvious value in
municipals.
Due to the steepness of the municipal yield curve, we continued to purchase
municipals with maturities ranging from fifteen to twenty years. We maintained
our emphasis on high quality securities with 98% of the Portfolio comprised of
municipals rated A or better. Slightly more than half of the municipals in the
fund are insured as this segment of the market remains attractive due to their
higher yields as a result of the over supply of insured municipals in the
marketplace. We continue to find value in the general obligation, healthcare and
housing sectors of the market as these sector comprise 37%, 16% and 16% of the
Portfolio respectively.
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 predictive of future performance.
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 issued by the United States Government, its agencies and
instrumentalities and related repurchase agreements.
90 Day T-Bills
7-Day U.S. Government Money Average Discount
Compound Yield Market Portfolio Yield
- -------------------------------- ----------------------- ----------------------
2/29/00 4.9% 5.6%
Total Aggregate U.S. Government Money Lipper U.S. Treasury
Return for the Period Market Portfolio Money
Ended February 29, 2000 (Class B) Market Index1
- -------------------------------- ----------------------- ----------------------
1/4/99 (inception) - 2/29/00* 3.3% 5.1%
3/1/99 - 2/29/00 3.3% 4.4%
9/1/99 - 2/29/00 1.9% 2.3%
*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 29, 2000. The average dollar-weighted Portfolio maturity was 57 days
compared with a maximum allowable average maturity of 90 days. The Fed Funds
rate has risen 50 basis points over the last six months to 5.75%. An environment
of persistently strong economic growth has forced the Federal Reserve to respond
to perceived supply/demand imbalances with tighter monetary policy. The average
maturity of the Portfolio has remained within a range of 40 to 72 days since
last fall.
An investment in the U.S. Government Money Market Portfolio is not insured or
guaranteed by the Federal Deposit Insurance Corporation or any other
government agency. Although the U.S. Government Money Market Portfolio seeks
to preserve the value of your investment at $1.00 per share, it is possible to
lose money by investing in the Portfolio.
1. The Lipper U.S. Treasury Money Market Funds 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.
<PAGE>
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February 29, 2000 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
LARGE CAPITALIZATION VALUE PORTFOLIO
<TABLE>
<S> <C> <C> <C> <C>
Principal
Amount Value
- ---------------- -----------------
- ---------------- -----------------
SHORT-TERM GOVERNMENT NOTES - 6.86%
Federal Home Loan Bank - 6.86%
$ 4,960,000 5.72% due 3/1/00 $ 4,960,000
-----------------
-----------------
Total Short-Term Government Notes (Cost-$4,960,000) $ 4,960,000
-----------------
-----------------
Shares
- ----------------
- ----------------
COMMON STOCKS - 93.46%
Aerospace - 2.43%
47,600 Boeing Company 1,755,250
-----------------
-----------------
Airlines - 3.07%
42,000 AMR, Corp.* 2,220,750
-----------------
-----------------
Banking - 9.43%
25,500 Chase Manhattan Corporation 2,030,437
87,007 FleetBoston Financial Corporation 2,370,946
73,160 Wells Fargo Company 2,418,853
-----------------
-----------------
6,820,236
-----------------
-----------------
Beverages - 2.94%
69,000 Diageo PLC Sponsored ADR 2,126,062
-----------------
-----------------
Chemicals - 6.79%
45,400 E.I. du Pont de Nemours and Company 2,292,700
67,500 Monsanto Company 2,619,844
-----------------
-----------------
4,912,544
-----------------
-----------------
Computer Hardware - 0.71%
20,500 Compaq Computer Corporation 509,938
-----------------
-----------------
Computer Software - 4.05%
45,500 Computer Associates International, Inc. 2,926,218
-----------------
-----------------
Cosmetics/Toiletries - 0.95%
25,500 Avon Products Inc. 690,094
-----------------
-----------------
Financial Services - 12.64%
46,500 Citigroup, Inc. 2,403,468
42,200 Countrywide Credit Industries, Inc. 1,052,363
85,500 Freddie Mac 3,569,625
66,000 Household International Inc. 2,107,875
-----------------
-----------------
9,133,331
-----------------
-----------------
Electronics - 3.96%
44,500 Emerson Electric Company 2,027,531
18,500 Rockwell International Corporation 837,125
-----------------
-----------------
2,864,656
-----------------
-----------------
Shares Value
- ---------------- -----------------
Healthcare Services - 1.10%
45,600 Tenet Healthcare Corporation* 798,000
-----------------
-----------------
Insurance - 7.74%
32,100 Ace, Ltd. 573,788
34,900 AFLAC, Inc.. 1,276,031
43,976 Conseco, Inc. 643,149
52,400 John Hancock Financial Services* 831,850
56,282 XL Capital Ltd Class A 2,275,903
-----------------
-----------------
5,600,721
-----------------
-----------------
Machinery - 2.48%
51,100 Caterpillar, Inc. 1,791,694
-----------------
-----------------
Manufacturing - 0.42%
5,000 Textron, Inc. 305,000
-----------------
-----------------
Metals/Mining - 6.31%
28,000 Alcoa Inc. 1,918,000
30,000 Minnesota Mining & Manufacturing Company 2,643,750
-----------------
-----------------
4,561,750
-----------------
-----------------
Multimedia - 1.32%
19,000 News Corporation Limited Sponsored ADR 955,938
-----------------
-----------------
Oil/Gas - 1.47%
11,000 Anadarko Petroleum Corp. 338,250
27,100 Unocal Corp. 724,925
-----------------
-----------------
1,063,175
-----------------
-----------------
Pharmaceuticals - 4.78%
53,000 American Home Products Corporation 2,305,500
28,000 Cardinal Health Inc. 1,155,000
-----------------
-----------------
3,460,500
-----------------
-----------------
Retail - 7.68%
29,000 CVS Corporation 1,015,000
154,000 Kroger Company* 2,290,750
42,475 May Department Stores Company 1,112,314
36,000 McDonalds Corporation 1,136,250
-----------------
-----------------
5,554,314
-----------------
-----------------
Telecommunications - 8.75%
45,000 Bell Atlantic Corporation 2,202,188
33,000 MCI WorldCom, Inc.* 1,472,625
43,500 Sprint Corporation 2,653,500
-----------------
-----------------
6,328,313
-----------------
-----------------
Shares Value
- ---------------- -----------------
Transportation - 2.73%
40,000 Burlington Northern Santa Fe Corporation 787,500
61,000 Canadian Pacific Limited 1,189,500
-----------------
-----------------
1,977,000
-----------------
-----------------
Waste Disposal - 1.71%
82,500 Waste Management, Inc. 1,237,500
-----------------
-----------------
Total Common Stocks (Cost-$73,338,055) $ 67,592,984
-----------------
-----------------
Total Investments (Cost-$78,298,055) 100.32% $ 72,552,984
-----------------
-----------------
Other Liabilities in Excess of Other Assets (0.32%)
(228,774)
-----------------
-----------------
Total Net Assets 100.00% $ 72,324,210
============== =================
============== =================
</TABLE>
* Non-income producing security.
See accompanying notes to financial statements.
February 29, 2000 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
LARGE CAPITALIZATION GROWTH PORTFOLIO
13
<TABLE>
<S> <C> <C> <C> <C>
Principal
Amount Value
---------------- ------------------
---------------- ------------------
SHORT-TERM CORPORATE NOTES - 1.70%
Financial Services -
General Electric Capital Corporation Commercial Paper,
$ 2,500,000 5.60% due 3/2/00 $ 2,500,000
------------------
------------------
Total Short-Term Corporate Notes (Cost-$2,500,000) $ 2,500,000
------------------
------------------
Shares
----------------
----------------
COMMON STOCKS - 99.43%
Advertising - 1.75%
64,000 Interpublic Group of Companies, Inc. 2,572,000
------------------
------------------
Banking - 1.46%
65,000 Wells Fargo Company 2,149,062
------------------
------------------
Beverages - 0.82%
25,000 Coca-Cola Company 1,210,938
------------------
------------------
Biomedical - 4.64%
33,000 Biogen Inc.* 3,561,937
17,000 Genentech, Inc.* 3,278,875
------------------
------------------
6,840,812
------------------
------------------
Computer Hardware - 12.36%
55,000 Dell Computer Corporation* 2,244,688
44,000 EMC Corporation* 5,236,000
22,000 IBM Corp 2,244,000
46,000 Microsoft Corporation* 4,111,250
46,000 Sun Microsystems, Inc.* 4,381,500
------------------
------------------
18,217,438
------------------
------------------
Cosmetics/Toiletries - 3.50%
50,000 Colgate-Palmolive Company 2,609,375
29,000 Procter & Gamble Company 2,552,000
------------------
------------------
5,161,375
------------------
------------------
Distribution - 2.22%
66,000 Costco Wholesale Corporation* 3,275,250
------------------
------------------
Electronics - 16.51%
24,000 Applied Materials, Inc* 4,390,500
53,000 Intel Corporation 5,989,000
24,000 JDS Uniphase Corporation* 6,327,000
18,000 PMC-Sierra Inc.* 3,475,125
25,000 Texas Instruments Incorporated 4,162,500
------------------
24,344,125
------------------
Shares Value
---------------- ------------------
Financial Services - 9.73%
75,000 Charles Schwab Corporation 3,135,937
61,500 Citigroup, Inc. 3,178,781
60,000 Morgan Stanley Dean Witter & Company 4,226,250
41,000 The Goldman Sachs Group, Inc. 3,792,500
------------------
------------------
14,333,468
------------------
------------------
Insurance - 1.73%
28,750 American International Group, Inc. 2,542,578
------------------
------------------
Internet - 8.99%
60,000 America Online, Inc.* 3,540,000
22,000 Broadvision, Inc.* 5,556,375
26,000 Yahoo!, Inc.* 4,151,875
------------------
------------------
13,248,250
------------------
------------------
Manufacturing - 4.35%
34,000 General Electric Company 4,494,375
37,000 Illinois Tool Works, Inc. 1,912,438
------------------
------------------
6,406,813
------------------
------------------
Multimedia - 1.71%
75,000 The Walt Disney Company 2,512,500
------------------
------------------
Networking Products - 6.09%
55,000 Cisco Systems, Inc.* 7,270,312
9,000 Network Appliance, Inc* 1,698,750
------------------
------------------
8,969,062
------------------
------------------
Oil Field Services - 3.66%
75,000 Halliburton Company 2,841,683
35,000 Schlumberger Limited 2,551,458
------------------
5,393,141
------------------
------------------
Pharmaceuticals - 5.67%
37,000 Bristol-Myers Squibb Company 2,102,063
31,000 Johnson & Johnson 2,224,250
70,000 Pfizer, Inc. 2,248,750
51,000 Schering-Plough Corporation 1,778,625
------------------
------------------
8,353,688
------------------
------------------
Retail - 7.76%
69,000 Home Depot, Inc. 3,989,062
45,000 Target Corporation 2,655,000
80,000 Walgreen Company 2,065,000
56,000 Wal-Mart Stores, Inc. 2,726,500
------------------
11,435,562
------------------
Shares Value
---------------- ------------------
Telecommunications - 6.48%
46,000 Lucent Technologies, Inc. 2,737,000
54,000 MCI WorldCom, Inc.* 2,409,750
55,000 Qwest Communciations International Inc.* 2,507,010
50,000 SBS Communications Inc. 1,900,000
------------------
------------------
9,553,760
------------------
Total Common Stocks (Cost-$86,747,760) $ 146,519,822
------------------
------------------
Total Investments (Cost-$89,247,760) 101.13% $ 149,019,822
------------------
------------------
Other Liabilities in Excess of Other Assets (1.13%) (1,663,338)
------------------
------------------
Total Net Assets 100.00% $ 147,356,484
================= ==================
================= ==================
</TABLE>
* Non-income producing security.
See accompanying notes to financial statements.
February 29, 2000 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SMALL CAPITALIZATION PORTFOLIO
16
<TABLE>
<S> <C> <C> <C> <C>
Shares Value
-------------- --------------
-------------- --------------
COMMON STOCKS - 83.10%
Beverages - 3.32%
30,000 Canandaigua Brands, Inc.* $ 1,470,000
--------------
--------------
Building & Construction - 1.49%
140,000 American Homestar Corp* 297,500
25,000 Champion Enterprises, Inc.* 157,813
80,000 Oakwood Homes Corporation 205,000
--------------
--------------
660,313
--------------
--------------
Electronics - 22.92%
36,500 Harman International Industries, Inc 2,260,719
107,500 Silicon Valley Group, Inc.* 2,721,093
18,000 Teleflex Incorporated 508,500
44,000 Varian Semiconductor Equipment Associates, Inc.* 2,557,500
49,000 Vishay Intertechnology, Inc.* 2,107,000
--------------
--------------
10,154,812
--------------
--------------
Funeral Services - 3.99%
416,000 Stewart Enterprises, Inc. 1,768,000
--------------
--------------
Garden Products - 3.44%
46,000 Toro Company 1,523,750
--------------
--------------
Machinery - 4.26%
130,247 Albany International, Corp 1,888,582
--------------
--------------
Manufacturing - 4.69%
35,000 Harsco Corporation 868,438
30,000 Precision Castparts Corporation 774,375
20,000 Snap-on Incorporated 436,250
--------------
--------------
2,079,063
--------------
--------------
Medical Products - 6.04%
67,000 Varian Medical Systems, Inc.* 2,675,812
--------------
--------------
Music/Clubs - 3.43%
82,000 Steinway Musical Instruments, Inc.* 1,522,125
--------------
--------------
Oil/Gas - 16.15%
211,666 EEX Corporation* 515,936
15,000 Helmerich & Payne, Inc. 399,375
98,000 Marine Drilling Companies, Inc.* 2,235,625
125,000 Oceaneering International, Inc.* 2,375,000
110,000 Pride International, Inc.* 1,629,375
--------------
--------------
7,155,311
--------------
--------------
Publishing - 0.45%
5,000 Houghton Mifflin Company 199,063
--------------
--------------
Shares Value
-------------- --------------
Restaurants - 7.64%
61,500 CKE Restaurants, Inc. 392,063
75,000 Jack In The Box Inc.* 1,504,687
57,000 Outback Steakhouse, Inc. * 1,489,125
--------------
--------------
3,385,875
--------------
--------------
Retail - 2.68%
71,500 ShopKo Stores, Inc.* 1,188,687
--------------
--------------
Steel - 2.60%
279,700 Oregon Steel Mills, Inc. 1,153,762
--------------
--------------
Total Common Stocks (Cost-$39,536,091) 36,825,155
--------------
--------------
Principal
Amount
--------------
--------------
Repurchase Agreement - 10.89%
State Street Bank & Trust Company: at 3.50%, dated 2/29/00, to be
repurchased at $4,824,469 on 3/1/00, collateralized by $4,925,250
U.S. Treasury Note, 5.125% due 8/31/00
4,824,000 (Cost-$4,824,000) 4,824,000
--------------
--------------
Total Investments (Cost-$44,360,091) 93.99% $41,649,155
--------------
--------------
Other Assets in Excess of Other Liabilities 6.01% 2,664,179
--------------
--------------
Total Net Assets 100.00% $ 44,313,334
================== ==============
</TABLE>
* Non-income producing security.
See accompanying notes to financial statements.
February 29, 2000 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY PORTFOLIO
18
<TABLE>
<S> <C> <C> <C> <C>
Shares Value
-------------- ------------------
-------------- ------------------
COMMON STOCKS - 95.83%
FINLAND - 5.27%
Telecommunications
10,375 Nokia Oyj Sponsored ADR $ 2,057,492
------------------
------------------
FRANCE - 11.44%
Banking - 1.81%
17,000 Societe Generale Sponsored ADR 704,788
------------------
------------------
Insurance - 1.44%
8,900 AXA Sponsored ADR 560,700
------------------
------------------
Oil/Gas - 2.06%
11,970 Total Fina SA Sponsored ADR 803,486
------------------
------------------
Pharmaceuticals - 2.07%
15,600 Aventis S.A. Sponsored ADR 811,200
------------------
------------------
Telecommunications - 4.06%
10,850 Alcatel SA Sponsored ADR 512,663
6,500 France Telecom S.A. Sponsored ADR 1,069,250
------------------
------------------
1,581,913
------------------
------------------
GERMANY - 13.25%
Banking - 2.76%
12,800 Deutsche Bank AG Sponsored ADR 1,077,101
------------------
------------------
Computer Software - 2.34%
12,800 SAP AG Sponsored ADR 912,800
------------------
------------------
Diversified Manufacturing Operations - 2.66%
5,800 Siemens AG Unsponsored ADR 1,035,874
------------------
------------------
Machinery - 5.49%
6,500 Mannesmann AG Sponsored ADR 2,140,299
------------------
------------------
HONG KONG - 1.93%
Closed End Funds
56,500 WEBS-Hong Kong, WEBS-World Equity Benchmark Shares 752,156
------------------
------------------
JAPAN - 26.72%
Audio/Video Products - 2.89%
3,600 Sony Corporation Sponsored ADR 1,128,150
------------------
------------------
Banking - 1.95%
61,331 Bank of Tokyo-Mitsubishi, Ltd. ADR 758,971
------------------
------------------
Shares Value
-------------- ------------------
Computer Hardware - 2.10%
8,628 TDK Corporation Sponsored ADR 819,660
------------------
------------------
Cosmetics/Toiletries - 2.76%
4,059 Kao Corporation Unsponsored ADR 1,077,089
------------------
------------------
Finance - 1.91%
8,550 Orix Corporation Sponsored ADR 743,850
------------------
------------------
Indentification Sys/Dev - 2.07%
4,500 Secom, Co., LTD Unsponsored ADR 806,179
------------------
------------------
Manufacturing - 2.13%
3,720 Bridgestone Corporation Unsponsored ADR 831,359
------------------
------------------
Office Equipment - 3.86%
35,320 Canon, Inc. Sponsored ADR 1,501,100
------------------
------------------
Printing - 1.14%
9,031 Toppan Printing Co., Ltd. Unsponsored ADR 445,172
------------------
------------------
Retail - 2.65%
10,278 Seven-Eleven Japan Co., Ltd. Unsponsored ADR 1,034,803
------------------
------------------
Telecommunications - 3.26%
18,700 Nippon Telegraph & Telephone Corporation Sponsored ADR 1,271,600
------------------
------------------
NETHERLANDS - 6.95%
Banking - 2.06%
15,600 ING Groep N.V. Sponsored ADR 804,375
------------------
------------------
Electronics - 2.10%
4,282 Koninklijke (Royal) Philips Electronics N.V. NY Reg Share 820,003
------------------
------------------
Multimedia - 2.79%
15,750 VNU NV Sponsored ADR 1,086,504
------------------
------------------
SOUTH KOREA - 1.20%
Power/Utility - 0.58%
16,350 Korea Electric Power Corporation Sponsored ADR 224,813
------------------
------------------
Steel - 0.62%
9,625 Pohang Iron & Steel Company Ltd Sponsored ADR 241,828
------------------
------------------
SPAIN - 4.55%
Banking - 1.58%
58,800 Banco Santander Central Hispano Sponsored ADR 617,400
------------------
Shares Value
-------------- ------------------
Telecommunications - 2.97%
13,331 Telefonica S.A. Sponsored ADR 1,155,631
------------------
------------------
SWEDEN -5.17%
Telecommunications
21,000 Telefonaktiebolaget LM Ericsson Sponsored ADR 2,016,000
------------------
------------------
SWITZERLAND - 3.28%
Food Products - 1.81%
8,400 Nestle SA Sponsored ADR 708,170
------------------
------------------
Human Resources - 1.47%
5,800 Adecco SA Sponsored ADR 571,300
------------------
------------------
UNITED KINGDOM - 16.07%
Banking - 1.47%
5,800 Barclays PLC Sponsored ADR 571,300
------------------
------------------
Insurance - 1.70%
9,000 Prudential Corporation PLC Sponsored ADR 662,820
------------------
------------------
Multimedia - 2.39%
7,000 Reuters Group PLC Sponsored ADR 931,875
------------------
------------------
Oil/Gas - 2.11%
19,800 Shell Transport & Trading Company Sponsored ADR 822,938
------------------
------------------
Pharmaceuticals - 1.58%
12,600 Glaxo Wellcome PLC Sponsored ADR 614,250
------------------
------------------
Telecommunications - 6.84%
5,804 British Telecommunications PLC Sponsored ADR 1,034,562
55,600 Marconi Plc Unsponsored ADR 692,554
16,200 Vodafone Airtouch PLC Sponsored ADR 934,538
------------------
------------------
2,661,654
------------------
------------------
Total Investments (Cost-$26,661,689) 95.83% $ 37,366,603
------------------
------------------
Other Assets in Excess of Other Liabilities 4.17% 1,626,025
------------------
------------------
Total Net Assets 100.00% $ 38,992,628
============== ==================
============== ==================
</TABLE>
* Non-income producing security.
February 29, 2000 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
INVESTMENT QUALITY BOND PORTFOLIO
21
<TABLE>
<S> <C> <C> <C> <C>
Principal
Amount Value
------------------ ----------------
------------------ ----------------
U.S. GOVERNMENT NOTES - 48.72%
U.S. Treasury Notes - 22.11%
$ 3,505,458 3.375% due 1/15/07 $ 3,311,571
5,000,000 5.625% due 5/15/08 4,689,050
----------------
----------------
8,000,621
----------------
----------------
Federal Home Loan Mortgage Corp - 9.95%
2,500,000 5.125% due 10/15/08 2,166,024
288,352 6.50% due 4/15/20 286,818
479,401 6.85% due 10/15/21 477,153
670,137 7.25% due 4/15/24 669,300
----------------
----------------
3,599,295
----------------
----------------
Federal National Mortgage Association - 16.60%
6,375,000 6.00% due 5/15/08 5,898,852
107,080 7.00% due 12/25/18 106,644
----------------
----------------
6,005,496
----------------
----------------
Government National Mortgage Association - 0.06%
20,910 8.50% due 4/1/18 20,916
----------------
----------------
Total Cost U.S. Government Notes (Cost-$18,086,612) 17,626,328
----------------
----------------
CORPORATE NOTES & BONDS - 49.88%
Automotive - 3.81%
1,500,000 TRW, Inc., 6.05% due 1/15/05 1,379,834
----------------
----------------
Banking - 1.66%
600,000 Nationsbank Corp., 5.375% due 4/15/00 599,388
----------------
----------------
Broadcasting - 3.80%
250,000 Cox Communications Inc., 6.375% due 6/15/00 249,500
1,055,000 EZ Communications CBS 9.75% due 12/01/05 1,126,213
----------------
----------------
1,375,713
----------------
----------------
Chemicals - 4.01%
1,500,000 ICI Wilmington, 6.95% due 9/15/04 1,452,585
----------------
----------------
Financial Services - 11.13%
1,000,000 Associates Corporate N. America, 6.625% due 06/15/05 960,110
350,000 Associates Corporate N. America, 6.25% due 09/15/00 349,080
750,000 BHP Finance USA, 7.875% due 12/01/02 751,658
Delta Funding Home Equity Loan Trust Series 1997-1 Class A2,
441,249 6.92% due 5/25/15 438,628
Principal
Amount Value
------------------ -----------------
Fleet Credit Card Master Trust, Ser. 1995-F, Class A1, 6.05%
510,000 due 8/1/03 507,607
250,000 Morgan Stanley MTN, 5.75% due 2/15/01 246,743
276,404 National Auto Finance Ser 1996-1 A 6.33% due 12/21/02 275,713
Prime Credit Card Master Trust 1996-1 Class A 6.70%
500,000 due 7/15/04 497,340
----------------
----------------
4,026,879
----------------
----------------
Healthcare Services - 3.27%
1,200,000 Tenet Healthcare Corp., 8.825% due 12/1/03 1,182,000
----------------
----------------
Insurance - 2.53%
825,000 Geico Corporation, 9.15% due 9/15/21 913,613
----------------
----------------
Machinery - 0.27%
100,000 Ingersoll-Rand Company 6.255% due 2/15/01 98,976
----------------
----------------
Manufacturing - 0.35%
125,000 ADT Operations 8.25% due 8/01/00 125,573
----------------
----------------
Metals/Mining - 3.05%
1,200,000 Cyprus Minerals, Inc., 6.625% due 10/15/05 1,104,960
----------------
----------------
Multimedia - 2.82%
1,000,000 Westinghouse Electric CBS, 8.375% due 6/15/02 1,018,550
----------------
----------------
Oil/Gas - 0.76%
275,000 Amoco Canada Petro Company LTD, 7.25% due 12/01/02 275,063
----------------
----------------
Pharmaceuticals -2.83%
1,000,000 American Home Products 7.9% due 2/15/05 1,022,290
----------------
----------------
Power/Utility - 2.34%
150,000 Public Service Electric & Gas, 7.875% due 11/01/01 151,260
700,000 Southern California Edison, 5.875% due 1/15/01 693,826
----------------
----------------
845,086
----------------
----------------
Telecommunications - 0.53%
190,000 GTE Corporation 9.375% due 12/1/00 193,350
----------------
----------------
Transportation - 3.37%
1,300,000 Union Pacific Corp., 6.12% due 2/1/04 1,220,986
----------------
----------------
Waste Disposal - 3.35%
500,000 WMX Technologies, 6.70% due 5/1/01 487,965
750,000 WMX Technologies, 7.125% due 6/15/01 725,888
----------------
----------------
1,213,853
----------------
----------------
Total Corporate Notes & Bonds (Cost-$18,644,304) $ 18,048,699
----------------
Total Investments (Cost-$36,730,916) 98.60% $35,675,027
----------------
----------------
Other Assets in Excess of Other Liabilities 1.40% 505,943
----------------
----------------
Total Net Assets 100.00% $ 36,180,970
=========== ================
=========== ================
</TABLE>
MTN - Medium Term Note
See accompanying notes to financial statements.
February 29, 2000 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MUNICIPAL BOND PORTFOLIO
24
<TABLE>
<S> <C> <C> <C> <C>
Principal
Amount Value
--------------- ----------------
MUNICIPAL BONDS - 97.52%
ARIZONA - 4.21%
Water/Sewer
$ 500,000 Sedona Arizona Wastewater, 4.75% due 7/1/27 $ 407,755
----------------
----------------
CALIFORNIA - 8.57%
Education - 3.03%
California State Public Works Board Lease Revenue Various
50,000 California State University Projects, 6.00% due 9/1/15 53,022
California State Public Works Board Lease Revenue, 5.375%
250,000 due 10/1/17 240,233
----------------
----------------
293,254
----------------
----------------
Housing - 3.67%
California Housing Finance Agency Single Family Mortgage,
385,000 5.30% due 8/1/18 355,501
----------------
----------------
Turnpike/Toll - 1.88%
Foothill/Eastern Corridor Agency California Toll Road Revenue
200,000 Refunding 5.75% due 1/15/40 181,848
----------------
----------------
COLORADO - 1.56%
Health/Hospitals
150,000 Denver Colorado City & County Hospital, 6.00% due 10/1/15 151,548
----------------
----------------
FLORIDA - 0.37%
Education
35,000 Dade County Florida School Board Ser. A, 5.75% due 5/1/12 36,340
----------------
----------------
GEORGIA - 7.68%
Airport - 3.13%
305,000 Atlanta Georgia Airport Facilities Revenue, 6.25% due 1/01/21 303,213
----------------
----------------
Education - 2.34%
215,000 Jackson County Georgia School District, 6.00% due 7/1/14 227,266
----------------
----------------
General Obligation - 2.20%
200,000 Georgia State Ser. B, 6.250% due 4/1/07 213,528
----------------
----------------
HAWAII -4.43%
General Obligation
505,000 Hawaii State Ser CR, 4.75 due 4/01/18 428,937
----------------
----------------
ILLINOIS - 4.44%
Health/Hospitals
Illinois Health Facilities Authority Northwestern Medical Facility
500,000 Foundation, 5.00% due 11/15/18 430,085
----------------
----------------
Principal
Amount Value
--------------- ----------------
IOWA - 0.54%
Water/Sewer
50,000 West Des Moines Iowa Water Revenue, 6.80% due 12/1/13 52,611
----------------
----------------
KENTUCKY - 1.02%
Turnpike/Toll
Kentucky State Turnpike Authority Economic Development,
100,000 5.625% due 7/1/15 99,130
----------------
----------------
LOUISIANA - 1.58%
General Obligation
150,000 New Orleans Louisiana, 6.125% due 10/1/16 153,039
----------------
----------------
MARYLAND - 3.17%
Resource Recovery
Maryland State Energy Financing Adiministration Solid Waste
Disposal Revenue Wheelabrator Water Projects, 6.30%
300,000 due 12/01/10 307,257
----------------
----------------
MISSOURI - 0.42%
Housing
Missouri State Housing Development Commission GNMA Backed
40,000 Sec-C, 6.90% due 7/1/18 40,966
----------------
----------------
NEBRASKA - 0.41%
Power/Utility
40,000 Omaha Nebraska Public Power Distribution, 5.50% due 2/1/14 39,882
----------------
----------------
NEVADA - 1.54%
Housing
150,000 Nevada Housing Division - Single Family Ser. A, 6.15% due 4/1/17 149,676
----------------
----------------
NEW YORK - 10.74%
Education - 1.33%
New York State Dormitory Authority City University, 5.75%
125,000 due 7/1/09 129,091
----------------
----------------
General Obligation - 7.16%
200,000 New York New York Ser. A, 6.50% due 7/15/06 214,280
500,000 New York, NY Ser E, 5.25% due 2/1/12 479,450
----------------
----------------
693,730
----------------
----------------
Housing - 0.78%
75,000 New York State Mortgage Agency Ser. 54, 6.10% due 10/1/15 75,968
----------------
----------------
Pollution Control - 0.42%
New York State Environmental Facilities Corporation Pollution
40,000 Control, 5.875% due 6/15/14 40,488
----------------
----------------
Transportation - 1.05%
100,000 Metropolitan Transportation Authority New York, 5.50% due 7/1/08 101,731
----------------
Principal
Amount Value
--------------- ----------------
NORTH DAKOTA - 6.01%
Housing
250,000 North Dakota State Housing Finance Agency Ser. A, 5.25% due 7/1/18 223,418
390,000 North Dakota State Housing Finance Agency Ser. C, 5.50% due 7/1/18 359,502
----------------
----------------
582,920
----------------
----------------
OHIO - 5.13%
General Obligation - 4.54%
500,000 Akron Ohio, 5.00% due 12/1/18 440,530
----------------
----------------
Health/Hospitals - 0.58%
50,000 Lorain County Ohio Hospital Medical Center, 7.75% due 11/1/13 56,252
----------------
----------------
PENNSYLVANIA - 4.24%
General Obligation - 2.94%
300,000 Pennsylvania State Second Series, 5.00% due 11/15/12 285,333
----------------
----------------
Tax Allocation - 0.77%
Philadelphia Pennsylvania Municipal Authority Series A, 5.625%
75,000 due 11/15/14 74,511
----------------
----------------
Water/Sewer - 0.53%
Pittsburgh Pennsylvania Water & Sewer Authority Series B, 5.600%
50,000 due 9/1/15 51,332
----------------
----------------
PUERTO RICO - 0.68%
Power/Utility
65,000 Puerto Rico Electric Power Authority, 6.00% due 7/1/15 66,112
----------------
----------------
SOUTH CAROLINA - 6.84%
Health/Hospitals - 2.32%
Spartanburg County South Carolina Health Services Series B, 5.125%
250,000 due 4/15/17 224,545
----------------
----------------
Power/Utility - 4.52%
Piedmont Municipal Power Agency South Carolina Electric Revenue
500,000 Ser A, 5.00% due 1/1/18 438,195
----------------
----------------
TEXAS - 5.77%
Education - 2.20%
250,000 Houston Texas Independent School District Ser. A, 5.00% due 2/15/24 213,640
----------------
----------------
General Obligation - 1.01%
75,000 Houston Texas Ser. C, 5.25% due 4/1/14 71,618
25,000 San Antonio Texas Certificates of Obligation, 6.625% due 8/1/14 26,610
----------------
----------------
98,228
----------------
Housing - 2.03%
Texas State Veterans Housing Assistance Program Ser B, 5.75%
200,000 due 12/1/2013 196,994
----------------
Principal
Amount Value
--------------- ----------------
Power/Utility - 0.52%
50,000 Brazos River Authority Texas Revenue, 5.800% due 8/01/15 50,009
----------------
----------------
UTAH - 3.52%
General Obligation
400,000 Clearfield City Utah, 5.00% due 2/1/23 341,224
----------------
----------------
WASHINGTON - 3.02%
Education - 2.55%
Spokane Cnty Washington School District No. 356 Ser A, 5.45%
250,000 due 6/1/2013 247,098
----------------
----------------
Power/Utility - 0.47%
35,000 Seattle Washington Light & Power Series A, 5.75% due 8/1/11 35,568
Washington State Public Power Supply Nuclear Project No. 1
10,000 Series B, 7.25%7/1/12 10,302
----------------
----------------
45,870
----------------
----------------
WASHINGTON D.C. - 2.06%
Public Facilities
Washington DC Convention Center Authority Dedicated Tax
250,000 Revenue Senior Lien, 4.75% due 10/01/28 199,505
----------------
----------------
WISCONSIN - 9.31%
Education - 6.28%
Wisconsin State Health & Educational Facilities Authority Series A,
400,000 5.250% due 8/15/19 353,260
300,000 Wisconsin State Health & Educational Facilities, 5.25% due 8/15/27 255,540
----------------
----------------
608,800
----------------
----------------
Housing - 3.03%
Wisconsin Housing & Economic Development Home Ownership,
300,000 6.200% due 3/1/27 293,691
----------------
WYOMING- 0.26%
Housing
Wyoming Community Development Authority Housing, 6.65%
25,000 due 12/1/06 25,363
----------------
----------------
Total Investments (Cost-$10,094,719) 97.52% $ 9,452,993
----------------
----------------
Other Assets in Excess of Other Liabilities 2.48%
239,990
----------------
----------------
Total Net Assets 100.00% $ 9,692,983
============== ================
============== ================
</TABLE>
FRN - Floating Rate Note
See accompanying notes to financial statements.
February 29, 2000 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MONEY MARKET PORTFOLIO
28
<TABLE>
<S> <C> <C> <C> <C>
Principal
Amount Value
--------------- ----------------
--------------- ----------------
U.S. GOVERNMENT NOTES - 100.02%
Federal Farm Credit Bank Discount Notes - 8.56%
$ 52,000 5.55% due 3/23/00 $ 51,824
184,000 5.80% due 3/27/00 183,229
268,000 5.63% due 3/30/00 266,785
137,000 5.70% due 3/31/00 136,349
73,000 5.62% due 4/4/00 72,613
259,000 5.68% due 4/4/00 257,612
2,830,000 5.75% due 4/20/00 2,807,399
87,000 5.77% due 8/10/00 84,741
----------------
----------------
Total Federal Farm Credit Bank (Cost-$3,860,551) $ 3,860,551
----------------
----------------
Federal Home Loan Bank Discount Notes - 15.87%
373,000 5.80% due 3/22/00 371,738
120,000 5.83% due 4/7/00 119,281
1,232,000 5.68% due 4/12/00 1,223,836
3,204,000 5.70% due 4/12/00 3,182,693
2,000,000 5.15% due 5/17/00 2,000,000
265,000 5.67% due 5/26/00 261,411
Total Federal Home Loan Bank Discount Notes
----------------
----------------
(Cost-$7,158,959) $ 7,158,959
----------------
----------------
Federal Home Loan Mortgage Discount Notes - 25.02%
4,101,000 5.66% due 3/8/00 4,096,486
768,000 5.65% due 3/14/00 766,433
50,000 5.60% due 4/4/00 49,736
3,495,000 5.75% due 4/11/00 3,472,113
2,507,000 5.69% due 4/20/00 2,487,187
142,000 5.72% due 4/20/00 140,872
175,000 5.75% due 7/6/00 171,450
105,000 5.67% due 8/11/00 102,281
Total Federal Home Loan Mortgage Discount Notes
----------------
----------------
(Cost-$11,286,558) $ 11,286,558
----------------
----------------
Federal National Mortgage Association - 50.57%
656,000 5.60% due 3/1/00 656,000
4,500,000 5.60% due 3/2/00 4,499,300
4,775,000 5.62% due 3/2/00 4,774,254
170,000 5.55% due 3/7/00 169,843
246,000 5.57% due 3/7/00 245,772
22,000 5.58% due 3/28/00 21,908
32,000 5.71% due 4/3/00 31,833
1,729,000 5.72% due 4/20/00 1,715,264
1,147,000 5.75% due 5/11/00 1,133,993
Principal
Amount Value
--------------- ----------------
1,394,000 5.77% due 5/25/00 1,375,008
518,000 5.82% due 5/25/00 510,882
50,000 5.88% due 6/8/00 49,192
2,875,000 5.78% due 7/13/00 2,813,145
2,745,000 5.79% due 7/20/00 2,682,750
2,171,000 5.80% due 7/20/00 2,121,682
10,000 5.88% due 8/3/00 9,747
----------------
Total Federal National Mortgage Association (Cost-$22,810,573) $ 22,810,573
----------------
----------------
Total Investments (Cost-$45,116,641) 100.02% $ 45,116,641
----------------
----------------
Other Liabilities in Excess of Other Assets (0.02%) (10,928)
----------------
----------------
Total Net Assets 100.00% $ 45,105,713
==================== ================
==================== ================
</TABLE>
See accompanying notes to financial statements.
February 29, 2000 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
30
------------- ------------- ------------- -------------- ------------- ------------ --------------
U.S.
Large Large Investment Government
CapitalizationCapitalization Small International Quality Municipal Money
Value Growth Capitalization Equity Bond Bond Market
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
------------- ------------- ------------- -------------- ------------- ------------ --------------
Assets
Investments, (including
repurchase
agreements of $0, $0,
$4,824,000, $0, $0
$0, $0 respectively), at value
(cost -
$78,298,055; $89,247,760;
$44,360,091;
$26,661,689; $36,730,916;
$10,094,719
and $45,116,641, respectively; $72,552,984 $149,019,822 $41,649,155 $37,366,603 $35,675,027 $9,452,993 $45,116,641
note 1f)
Cash - 920,834 277 1,906,832 - 146,889 78,079
Receivable for shares of
beneficial
interest sold 423,167 542,754 384,827 369,534 53,886 1,164 386,136
Receivable for investments sold 1,490,242 5,440,169 2,459,627 - 286,070 - -
Interest receivable 2,336 469 - 574,501 126,862
- 81,256
Dividends receivable 130,453 55,950 8,790 14,861 - - -
Foreign taxes receivable 25,544
- - - - - -
Prepaid expenses and other assets 21,671 22,133 12,593 11,829 13,666 16,338 15,772
------------- ------------- ------------- -------------- ------------- ------------ -----------
Total Assets 74,618,517 156,003,998 44,515,738 39,695,203 36,603,150 9,744,246 45,677,884
------------- ------------- ------------- -------------- ------------- ------------ -----------
Liabilities
Payable to manager 39,076 74,168 22,686 23,067 16,129 4,665 17,270
Administration fee payable 5,391 10,232 3,130 2,758 2,630 682 3,260
Payable for shares of beneficial
interest redeemed 324,358 628,799 80,515 655,754 177,829 2,103 488,757
Payable for investments purchased 1,916,433 7,900,151 - - - - -
Other payables and accrued 9,049 34,164 96,073 20,996 225,592 43,813 62,884
expenses
------------- ------------- ------------- -------------- ------------- ----------------------
Total Liabilities 2,294,307 8,647,514 202,404 702,575 422,180 51,263 572,171
------------- ------------- ------------- -------------- ------------- ----------------------
Net Assets
Shares of beneficial interest at 44,355 46,610 39,153 23,819 37,115 10,099 232,408
par value
Paid-in-surplus 78,330,075 78,629,881 41,925,591 27,000,442 37,831,925 10,423,545 44,879,442
Accumulated undistributed net
investment
income (loss) 129,459 (220,933) (113,426) (118,519) 961 2,046 (2,931)
Accumulated net realized gain
(loss) on
investments and foreign
currency (434,608) 9,128,864 5,172,952 1,381,972 (633,142) (100,981) (3,206)
transactions
Net unrealized appreciation
(depreciation)
on investments (5,745,071) 59,772,062 (2,710,936) 10,704,914 (1,055,889) (641,726) -
------------- ------------- ------------- -------------- ------------- ----------------------
Total Net Assets $72,324,210 $147,356,484 $44,313,334 $38,992,628 $36,180,970 $9,692,983 $45,105,713
============= ============= ============= ============== ============= ======================
Net Asset Value per Share
Class I
Net Assets $68,784,387 $140,766,290 $42,650,063 $37,843,343 $34,944,817 $9,608,467 $44,018,691
Shares of beneficial interest 4,216,723 4,449,654 3,767,126 2,310,842 3,584,644 1,001,145 44,026,707
outstanding
------------- ------------- ------------- -------------- ------------- ----------------------
Net asset value and offering
price per $16.31 $31.64 $11.32 $16.38 $9.75 $9.60 $1.00
Share
============= ============= ============= ============== ============= ======================
Net Asset Value per Share
Class B
Net Assets $430,149 $659,005 $157,056 $189,382 $84,456 $8,274 $92,745
Shares of beneficial interest 26,618 21,200 14,032 11,697 8,670 862 92,744
outstanding
------------- ------------- ------------- -------------- ------------- ---------------------
Net asset value and offering
price per $16.16 $31.08 $11.19 $16.19 $9.74 $9.60 $1.00
Share
============= ============= ============= ============== ============= =====================
Net Asset Value per Share
Class C
Net Assets $3,109,674 $5,931,189 $1,506,215 $959,903 $1,151,697 $76,242 $994,277
Shares of beneficial interest 192,143 190,057 134,144 59,253 118,055 7,943 994,293
outstanding
------------- ------------- ------------- -------------- -------------- ----------- --------
Net asset value and offering
price per $16.18 $31.21 $11.23 $16.20 $9.76 $9.60 $1.00
Share
============= ============= ============= ============== ============== =========== ========
See accompanying notes to financial statements.
</TABLE>
Six Months Ended February 29, 2000 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
31
-------------- -------------- --------------- -------------- --------------- -------------- ---------
U.S.
Large Large Investment Government
Capitalization Capitalization Small International Quality Municipal Money
Value Growth Capitalization Equity Bond Bond Market
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
------------- -------------- --------------- -------------- --------------- -------------- ----------
Investment Income
Dividends $517,769 (1) $365,207 $112,832 $78,016 (1) $0 $0 $ 0
Interest 155,802 38,517 29,230 1,300,396 299,870 1,346,040
-
------------- -------------- --------------- -------------- --------------- -------------- ----------
Total investment income 673,571 403,724 142,062 78,016 1,300,396 299,870 1,346,040
------------- -------------- --------------- -------------- --------------- -------------- ----------
Operating Expenses
Management fees (notes 2a,
2e) 267,115 438,455 130,452 133,423 112,777 29,176 120,271
Administration fees (note
2c) 25,480 40,040 12,740 9,100 14,560 4,550 18,200
Transfer and dividend
disbursing agent fees 45,500 63,700 27,300 24,570 34,580 9,100 36,400
Custodian fees (note 2a) 26,527 34,206 51,127 30,425 30,736 29,976 27,354
Registration fees 15,252 11,946 12,107 10,372 10,720 9,169 13,535
Auditing fees 7,156 7,156 7,156 7,156 7,156 7,156 7,156
Reports and notices to
shareholders 5,460 11,874 6,574 2,513 5,460 - 6,572
Legal fees 9,100 10,010 7,280 4,550 5,096 1,820 6,370
Trustees' fees 1,820 9,275 5,010 748 3,797 748 5,010
Distribution & service fees
(note 2d)
Class B 1,555 1,984 498 529 383 58 446
Class C 11,715 20,595 4,050 2,552 3,141 297 3,298
Miscellaneous 2,053 3,328 2,615 1,098 1,097 364 1,587
------------- -------------- --------------- -------------- --------------- -------------- ----------
Total operating expenses 418,733 652,569 266,909 227,036 229,503 92,414 246,199
Less: Management fees
waived and/or expenses
assumed (note 2a) (1,762) - - - - (27,515) -
Expense offset
arrangement (note 2a) (1,047) (26,016) (167) (28,605) (8,896) (856) (54)
------------- -------------- --------------- -------------- --------------- -------------- ----------
Net operating expenses 415,924 626,553 266,742 198,431 220,607 64,043 246,145
------------- -------------- --------------- -------------- --------------- -------------- ----------
Net investment income
(loss) 257,647 (222,829) (124,680) (120,415) 1,079,789 235,827 1,099,895
------------- -------------- --------------- -------------- --------------- -------------- ----------
Realized and Unrealized
Gain(Loss) on Investments-Net
Net realized gain (loss)
on securities 3,059,451 9,293,224 6,038,535 1,542,668 (588,000) (100,981) (843)
Net change in unrealized
Appreciation(depreciation)
on investments (13,477,242) 19,765,173 (498,574) 6,755,306 26,672 (297,386) -
-------------- -------------- --------------- -------------- --------------- -------------- -----------
Net realized gain (loss)
and change in unrealized
appreciation (depreciation)
on investments (10,417,791) 29,058,397 5,539,961 8,297,974 (561,328) (398,367) (843)
Net increase (decrease) in
net assets resulting from
operations ($10,160,144) $28,835,568 $5,415,281 $8,177,559 $518,461 ($162,540) $1,099,052
============== ============== =============== ============== =============== ============== ============
(1) Net of foreign withholding taxes of $4,037 and $11,029 for Large Capitalization Value and
International Equity, respectively.
See accompanying notes to financial statements.
</TABLE>
Six Months Ended February 29, 2000 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
32
-------------------------------- -------------------------------- ------------------------------
Large Capitalization Value Large Capitalization Growth Small Capitalization
Portfolio Portfolio Portfolio
-------------------------------- -------------------------------- ------------------------------
6 Mos. Ended Year Ended 6 Mos. Ended Year Ended 6 Mos. Ended Year Ended
February 29, 2000 August 31,1999 February 29, 2000 August 31,1999 February 29, 2000 August 31,1999
Operations
Net investment income (loss) $257,647 $551,397 ($222,829) ($382,898) ($124,680) ($196,421)
Net realized gain (loss) on
investments 3,059,451 3,911,254 9,293,224 7,636,240 6,038,535 538,422
Net change in unrealized appreciation
(depreciation) on investments (13,477,242) 4,723,895 19,765,173 30,990,758 (498,574) 8,450,520
--------------- --------------- --------------- ---------------- ---------------- ------------
Net increase (decrease) in net
assets resulting from operations (10,160,144) 9,186,546 28,835,568 38,244,100 5,415,281 8,792,521
--------------- --------------- --------------- ---------------- ---------------- ------------
Dividends and Distributions to
Shareholders
Net investment income
Class I (658,178) (238,346) - - - -
Class B (2,492) - - - - -
Class C (20,810) - - - - -
Net realized gain
Class I (7,097,607) (2,604,268) (7,263,382) (1,644,127) (477,007) (6,885,615)
Class B (26,868) - (21,967) - (1,052) -
Class C (224,407) - (232,902) - (10,630) -
Total dividends and distributions
to shareholders (8,030,362) (2,842,614) (7,518,251) (1,644,127) (488,689) (6,885,615)
--------------- --------------- --------------- ---------------- ---------------- --------------
Share Transactions of
Beneficial Interest
Net proceeds from shares sold
Class I 17,932,902 43,516,472 22,465,625 50,917,991 5,780,661 15,232,180
Class B 355,470 180,079 405,545 206,626 70,605 76,827
Class C 2,496,740 1,173,280 3,935,459 2,225,861 1,124,970 246,405
Reinvestment of dividends and
distributions
Class I 7,680,655 2,808,762 7,192,439 1,626,717 474,529 6,833,808
Class B 27,162 - 20,096 - 1,005 -
Class C 238,806 - 225,959 - 10,629 -
Cost of shares redeemed
Class I (17,834,333) (16,842,950) (25,185,919) (40,089,419) (6,586,306) (8,991,933)
Class B (32,783) - (19,011) (11) (1,749) -
Class C (143,465) (26,750) (999,162) (26,409) (19,816) (6,695)
Net increase in net assets from
share transactions of beneficial
interest 10,721,154 30,808,893 8,041,031 14,861,356 854,528 13,390,592
--------------- --------------- --------------- ---------------- ---------------- ------------
Total increase (decrease) in
net assets (7,469,352) 37,152,825 29,358,348 51,461,329 5,781,120 15,297,498
Net Assets
Beginning of period 79,793,562 42,640,737 117,998,136 66,536,807 38,532,214 23,234,716
--------------- --------------- --------------- ---------------- ---------------- -------------
End of period (including
undistributed
(overdistributed) net investment
income
of $129,459, $553,292; ($220,933),
$1,896; ($113,426), $11,254;
($118,519),
$182,952; $961; $1,896; $2,046,
$2,047; ($2,931), and $1,895,
respectively) $72,324,210 $79,793,562 $147,356,484 $117,998,136 $44,313,334 $38,532,214
=============== =============== =============== ================ ================ ===============
See accompanying notes to financial statements.
</TABLE>
Six Months Ended February 29, 2000
(Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- --------------------------------- -------------------------------- ------------------------------- -----------------------------
International Equity Portfolio Investment Quality Bond Municipal Bond U.S. Government Money Market
Portfolio Portfolio Portfolio
- --------------------------------- --------------------------------- ------------------------------ -----------------------------
6 Mos. Ended Year Ended 6 Mos. Ended Year Ended 6 Mos. Ended Year Ended 6 Mos. Ended Year Ended
Feb. 29, 2000 August 31,1999 Feb. 29, 2000 August 31,1999 Feb. 29, 2000 August 31,1999 Feb. 29, 2000 August 31,1999
- ----------------- --------------- ---------------- --------------- --------------- --------------- --------------- -------------
- ----------------- --------------- ---------------- --------------- --------------- --------------- --------------- -------------
($120,415) $238,631 $1,079,789 $1,952,674 $235,827 $430,743 $1,099,895 $1,821,251
1,542,668 703,979 (588,000) 94,374 (100,981) 78,058 (843) (138)
6,755,306 3,788,888 26,672 (1,593,458) (297,386) (807,644)
- -
- ----------------- --------------- ---------------- --------------- --------------- ---------------- --------------- -------------
- ----------------- --------------- ---------------- --------------- --------------- ---------------- --------------- -------------
8,177,559 4,731,498 518,461 453,590 (162,540) (298,843) 1,099,052 1,821,113
- ----------------- --------------- ---------------- --------------- --------------- ---------------- --------------- -------------
- ----------------- --------------- ---------------- --------------- --------------- ---------------- --------------- -------------
(178,106) (173,213) (1,064,744) (1,950,367) (234,581) (430,382) (1,090,494) (1,819,600)
(520) - (1,717) (159) (201) (24) (1,646) (142)
(2,430) - (14,263) (2,186) (1,046) (186) (12,581) (1,510)
(587,319) - (20,777) (225,023) (62,225) (43,266) - -
(1,245) - - - (48) - - -
(5,821) - - - (365) - - -
(775,441) (173,213) (1,101,501) (2,177,735) (298,466) (473,858) (1,104,721) (1,821,252)
- ----------------- --------------- ---------------- --------------- --------------- ---------------- --------------- -------------
- ----------------- --------------- ---------------- --------------- --------------- ---------------- --------------- -------------
8,797,665 13,305,963 8,135,188 23,031,923 1,119,110 5,637,079 25,322,528 50,062,160
103,207 65,536 20,166 64,322 19,143 8,604 39,152 70,317
705,512 365,497 983,491 293,323 39,116 46,798 1,469,210 350,624
600,042 171,246 1,028,449 2,128,885 291,591 468,341 1,069,987 1,777,737
1,763 - 1,713 177 217 29 1,558 153
8,249 - 14,251 2,239 1,409 182 12,322 1,522
(7,583,794) (8,226,685) (14,716,571) (18,093,662) (2,899,669) (3,571,865) (30,726,505) (41,973,797)
(3,842) - (300) (49) (18,687) - (18,435) -
(228,087) (16,947) (120,722) (8,367) (380) (8,296) (782,698) (56,687)
2,400,715 5,664,610 (4,654,335) 7,418,791 (1,448,150) 2,580,872 (3,612,881) 10,232,029
- ----------------- --------------- ---------------- --------------- --------------- ---------------- --------------- -------------
- ----------------- --------------- ---------------- --------------- --------------- ---------------- --------------- -------------
9,802,833 10,222,895 (5,237,375) 5,694,646 (1,909,156) 1,808,171 (3,618,550) 10,231,890
29,189,795 18,966,900 41,418,345 35,723,699 11,602,139 9,793,968 48,724,263 38,492,373
- ----------------- --------------- ---------------- --------------- --------------- ---------------- --------------- -------------
- ----------------- --------------- ---------------- --------------- --------------- ---------------- --------------- -------------
$38,992,628 $29,189,795 $36,180,970 $41,418,345 $9,692,983 $11,602,139 $45,105,713 $48,724,263
================= =============== ================ =============== =============== ================ =============== =============
================= =============== ================ =============== =============== ================ =============== =============
</TABLE>
Six Months Ended February 29, 2000 (Unaudited)
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
34
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Saratoga Advantage Trust (the "Trust") was organized on April 8, 1994 as a
Delaware Business Trust and is registered under the Investment Company Act of
1940, as amended, as a diversified, open-end management investment company. The
Trust commenced investment operations on September 2, 1994. The Trust consists
of seven portfolios: the U.S. Government Money Market Portfolio; the Investment
Quality Bond Portfolio; the Municipal Bond Portfolio; the Large Capitalization
Value Portfolio; the Large Capitalization Growth Portfolio; the Small
Capitalization Portfolio and the International Equity Portfolio. Saratoga
Capital Management (the "Manager") serves as the Trusts' manager. Each of the
Portfolios are provided with discretionary advisory services of an Adviser
identified, retained, supervised and compensated by the Manager. The following
serve as Advisers (the "Advisers") to their respective portfolio(s): OpCap
Advisors (formerly Quest for Value Advisors): Municipal Bond and Large
Capitalization Value; Fox Asset Management Inc.: Investment Quality Bond; Harris
Bretall Sullivan and Smith, Inc.: Large Capitalization Growth; Thorsell, Parker
Partners, Inc.: Small Capitalization; Sterling Capital Management Co.: U.S.
Government Money Market and Friend Ivory & Sime plc: International Equity.
Unified Fund Services, Inc. (the "Administrator") served as the Trust's
administrator until January 31, 2000. Funds Distributor, Inc. served as the
Trust's administrator effective February 1, 2000 pursuant to the Administration
Agreement dated September 21, 1999. Unified Fund Services, Inc. (the
"Distributor") served as the Trust's Distributor until September 20, 1999. Funds
Distributor, Inc. served as the Trust's Distributor effective September 21, 1999
pursuant to the Distribution Agreement dated September 21, 1999. On August 19,
1994, U.S. Government Money Market issued 100,000 shares to the Manager for
$100,000 to provide initial capital for the Trust.
Currently, each portfolio offers Class I, Class B and Class C shares. Each
class represents interest in the same assets of the applicable portfolio, and
the classes are identical except for differences in their sales charge
structures, ongoing service and distribution charges and certain transfer agency
expenses. In addition, Class B shares and all corresponding reinvested dividend
shares automatically convert to Class I shares approximately eight years after
issuance. All classes of shares have equal voting privileges except that each
class has exclusive voting rights with respect to its service and/or
distribution plan.
The following is a summary of significant accounting policies consistently
followed by each Portfolio:
(a) Valuation of Investments
Investment securities listed on a national securities exchange and
securities traded in the over-the-counter National Market System are valued at
the last reported sale price on the valuation date; if there are no such
reported sales, the securities are valued at the last quoted bid price. Other
securities traded over-the-counter and not part of the National Market System
are valued at the last quoted bid price. Investment debt securities (other than
short term obligations) are valued each day by an independent pricing service
approved by the Board of Trustees using methods which include current market
quotations from a major market maker in the securities and trader-reviewed
"matrix" prices. Short-term debt securities having a remaining maturity of sixty
days or less are valued at amortized cost or amortized value, which approximates
market value. Any securities or other assets for which market quotations are not
readily available are valued at their fair value as determined in good faith
under procedures established by the Board of Trustees. The ability of issuers of
debt securities held by the portfolios to meet their obligations may be affected
by economic or political developments in a specific state, industry or region.
U.S. Government Money Market values all of its securities on the basis of
amortized cost which approximates market value. Investments in countries in
which International Equity may invest may involve certain considerations and
risks not typically associated with domestic investments as a result of, among
others, the possibility of future political and economic developments and the
level of governmental supervision and regulation of foreign securities markets.
(b) Federal Income Tax
It is each Portfolio's policy to comply with the requirements of the
Internal Revenue Code applicable to regulated investment companies and to
distribute substantially all of its taxable and tax-exempt income to
shareholders; accordingly, no Federal income tax provision is required.
(c) Security Transactions and Other Income
Security transactions are recorded on the trade date. In determining the
gain or loss from the sale of securities, the cost of securities sold is
determined on the basis of identified cost. Dividend income is recorded on the
ex-dividend date and interest income is recorded on accrual basis. Discounts or
premiums on debt securities purchased are accreted or amortized to interest
income over the lives of the respective securities.
(d) Dividends and Distributions
The following table summarizes each Portfolio's dividend and capital gain
declaration policy:
Income
Dividends Capital Gains
----------------------------
Large Capitalization Value annually annually
Large Capitalization Growth annually annually
Small Capitalization annually annually
International Equity annually annually
Investment Quality Bond daily * annually
Municipal Bond daily * annually
U.S. Government Money Market daily * annually
* paid monthly
Each Portfolio records dividends and distributions to its shareholders on
the ex-dividend date. The amount of dividends and distributions from net
investment income and net realized gains are determined in accordance with
federal income tax regulations, which may differ from generally accepted
accounting principles. These "book-tax" differences are either permanent or
temporary in nature. To the extent these differences are permanent in nature,
such amounts are reclassified within the net asset accounts based on their
federal tax-basis treatment; temporary differences do not require
reclassification. 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.
(e) Allocation of Expenses
Expenses specifically identifiable to a particular Portfolio are borne by
that Portfolio. Other expenses are allocated to each Portfolio based on its net
assets in relation to the total net assets of all the applicable Portfolios or
another reasonable basis.
(f) Repurchase Agreements
The Trust, through its custodian, receives delivery of the underlying
securities, the market value of which at the time of purchase is required to be
in an amount at least equal to 101% of the resale price. The Manager is
responsible for determining that the amount of these underlying securities is
maintained at a level such that their market value is at all times equal to 101%
of the resale price. In the event of default of the obligation to repurchase,
the Trust has the right to liquidate the collateral and apply the proceeds in
satisfaction of the obligation.
(g) Other
The preparation of the financial statements in accordance with generally
accepted accounting principles requires management to make estimates and
assumptions that effect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
2. MANAGEMENT FEE, ADMINISTRATION FEE AND OTHER TRANSACTIONS WITH AFFILIATES
(a) The management fees are payable monthly by the Portfolio to the Manager
and are computed daily at the following annual rates of each Portfolio's average
daily net assets: .65% for Large Capitalization Value, Large Capitalization
Growth and Small Capitalization; .75% for International Equity; .55% for
Investment Quality Bond and Municipal Bond and .475% for U.S. Government Money
Market.
For the six months ended February 29, 2000, the Manager voluntarily
waived $1,762 and $27,515 for Large Capitalization Value and Municipal Bond,
respectively.
The Portfolios also benefit from an expense offset arrangement with their
custodian bank where uninvested cash balances earn credits that reduce monthly
fees.
(b) The Manager, not the Portfolios, pays a portion of its management fees
to the Advisers at the following annual rates of each Portfolios' average daily
net assets: .30% for Large Capitalization Value, Large Capitalization Growth and
Small Capitalization; .40% for International Equity; .20% for Investment Quality
Bond and Municipal Bond and .125% for U.S. Government Money Market.
(c) The administration fee is accrued daily and payable monthly to the
Administrator.
(d) The Portfolios have adopted a Plan of Distribution (the "Plan")
pursuant to Rule 12b-1 under the 1940 Act with respect to the distribution of
Class B and Class C shares of the Portfolios. The Plan provides that each
Portfolio will pay the Distributor or other entities a fee, which is accrued
daily and paid monthly, at the annual rate of 1.0% of the average net assets of
Class B and Class C shares. Up to 0..25% of average daily net assets may be paid
directly to the Manager for support services. A portion of the fee payable
pursuant to the Plan, equal to 0.25% of the average daily net assets, is
currently characterized as a service fee. A service fee is a payment made for
personal service and/or the maintenance of shareholder accounts.
(e) The Trust and the Manager have entered into an Excess Expense
Agreement (the "Expense Agreement") effective January 1, 1999. In connection
with the Expense Agreement the Manager is currently waiving its management fees
and/or assuming certain other operating expenses of the Portfolios in order to
maintain the expense ratios of each class of the Portfolios at or below
predetermined levels (each an "Expense Cap"). Under the terms of the Expense
Agreement, expenses borne by the Manager are subject to reimbursement by the
Portfolios up to five years from the date the fee or expense was incurred, but
no reimbursement will be made by a Portfolio if it would result in the Portfolio
exceeding its Expense Cap. The Expense Agreement can be terminated by either
party, without penalty, upon 60 days prior notice. For the six months ended
February 29, 2000, reimbursement payments were made by the following Portfolios
to the Manager under the terms of the Expense Agreement: $5,648, $1,276, $9,358,
$4,607, $936 and $9,358 for the Large Capitalization Value, Large Capitalization
Growth, Small Capitalization, International Equity, Investment Quality Bond and
Money Market Portfolios respectively.
3. PURCHASES AND SALES OF SECURITIES
For the six months ended February 29, 2000 purchases and sales of
investment securities, other than short-term securities were as follows:
Purchases Sales
----------------------------
Large Capitalization Value $50,881,478 $41,006,805
Large Capitalization Growth 34,419,657 32,459,929
Small Capitalization 10,141,613 16,534,415
International Equity 12,377,396 11,039,804
Investment Quality Bond 14,310,638 16,120,354
Municipal Bond 1,187,030 1,652,503
4. UNREALIZED APPRECIATION (DEPRECIATION) FOR FEDERAL INCOME TAX PURPOSES
At February 29, 2000, the composition of unrealized appreciation
(depreciation) of investment securities were as follows:
Appreciation (Depreciation) Net
-----------------------------------------
Large Capitalization Value $4,819,308 ($10,564,379) ($5,745,071)
Large Capitalization Growth 62,086,328 (2,314,266) 59,772,062
Small Capitalization 8,798,584 (11,509,520) (2,710,936)
International Equity 11,441,940 (737,026) 10,704,914
Investment Quality Bond 38,601 (1,094,490) (1,055,889)
Municipal Bond 42,505 (684,231) (641,726)
For U.S. federal income tax, the cost of securities owned at February 29, 2000
was substantially the same as the cost of securities for financial statement
purposes.
5. AUTHORIZED SHARES OF BENEFICIAL INTEREST AND PAR VALUE PER SHARE
Each Portfolio has unlimited Class I shares of beneficial interest
authorized with $.001 par value per share. Transactions in capital stock for the
I Class were as follows for the periods indicated:
(Unaudited)
6 Months Ended Year Ended
February 29, 2000 August 31, 1999
---------------- ---------------
Large Capitalization Value
Issued 936,845 2,133,762
Redeemed (949,942) (815,931)
Reinvested from
Dividends 417,417 144,855
---------------- ---------------
Net Increase in
Shares 404,320 1,462,686
---------------- ---------------
Large Capitalization Growth
Issued 764,778 2,054,585
Redeemed (8638,997) (1,573,032)
Reinvested from
Dividends 239,427 71,851
---------------- ---------------
Net Increase in
Shares 165,208 553,404
---------------- ---------------
Small Capitalization
Issued 564,517 1,541,540
Redeemed (631,683) (919,820)
Reinvested from
Dividends 51,024 795,518
---------------- ---------------
Net Increase
(Decrease) in Shares (16,142) 1,417,238
---------------- ---------------
International Equity
Issued 583,647 1,115,375
Redeemed (492,320) (686,830)
Reinvested from
Dividends 38,444 14,969
---------------- ---------------
Net Increase in
Shares 129,771 443,514
---------------- ---------------
Investment Quality Bond
Issued 825,239 2,250,732
Redeemed (1,501,331) (1,776,225)
Reinvested from
Dividends 104,760 209,194
---------------- ---------------
Net Increase
(Decrease) in Shares (571,332) 683,701
---------------- ---------------
Municipal Bond
Issued 116,179 534,305
Redeemed (300,754) (336,987)
Reinvested from
Dividends 30,144 44,442
---------------- ---------------
Net Increase
(Decrease) in Shares (154,431) 241,760
---------------- ---------------
U.S. Government Money Market
Issued 25,322,527 50,062,160
Redeemed (30,726,505) (41,973,797)
Reinvested from
Dividends 1,069,987 1,777,737
---------------- ---------------
Net Increase
(Decrease) in Shares (4,333,991) 9,866,100
---------------- ---------------
Each Portfolio has unlimited Class B and Class C shares of beneficial interest
authorized with $.001 par value per share. Transactions in capital stock for the
Class B and Class C shares were as follows for the period indicated:
<TABLE>
<S> <C> <C> <C> <C> <C>
Class B Class C
(Unaudited) Period from (Unaudited) Period from
6 Months 1/4/99* 6 Months 1/4/99*
Ended 2/29/00 to 8/31/99 Ended 2/29/00 to 8/31/99
----------------------------------- -----------------------------------
Large Capitalization Value
Issued 18,643 8,367 131,690 56,675
Redeemed (1,880) - (8,067) (1,212)
Reinvested from
Dividends 1,488 - 13,057 -
----------------- ------------------ -----------------------------------
Net Increase in
Shares 18,251 8,367 136,680 55,463
----------------------------------- -----------------------------------
Large Capitalization Growth
Issued 13,645 7,611 136,292 83,457
Redeemed (733) - (36,312) (980)
Reinvested from
Dividends 677 - 7,600 -
----------------------------------- -----------------------------------
Net Increase in
Shares 13,589 7,611 107,580 82,477
----------------------------------- -----------------------------------
Small Capitalization
Issued 6,838 7,276 110,766 24,889
Redeemed (191) - (1,932) (729)
Reinvested from
Dividends 109 - 1,150 -
----------------- ------------------ ----------------------------------
Net Increase in
Shares 6,756 7,276 109,984 24,160
----------------------------------- -----------------------------------
International Equity
Issued 6,724 5,159 47,172 30,308
Redeemed (300) - (17,361) (1,399)
Reinvested from
Dividends 114 - 533 -
----------------- ------------------ ---------------------------------
Net Increase in
Shares 6,538 5,159 30,344 28,909
----------------------------------- ----------------------------------
Investment Quality Bond
Issued 2,048 6,465 100,150 29,380
Redeemed (31) (5) (12,312) (843)
Reinvested from
Dividends 175 18 1,455 225
----------------------------------- ---------------------------------
Net Increase in
Shares 2,192 6,478 89,293 28,762
----------------------------------- ---------------------------------
Municipal Bond
Issued 1,927 837 4,036 4,598
Redeemed (1,927) - (40) (815)
Reinvested from
Dividends 22 3 146 18
----------------- ------------------ -----------------------------
Net Increase in
Shares 22 840 4,142 3,801
----------------------------------- ------------------------------
U.S. Government Money Market
Issued 39,151 70,317 1,469,197 350,624
Redeemed (18,435) - (782,698) (56,688)
Reinvested from
Dividends 1,558 153 12,322 1,522
----------------- ------------------ ---------------------------
Net Increase in
Shares 22,274 70,470 698,821 295,458
----------------------------------- -----------------------------------
* Commencement of offering
</TABLE>
6. CAPITAL LOSS CARRYFORWARDS
At August 31, 1999, the following portfolios had, for Federal income tax
purposes, unused capital loss carryforwards available to offset future capital
gains through the following fiscal years ended August 31:
<TABLE>
<S> <C> <C> <C> <C> <C>
Name of Portfolio Total 2005 2006 2007
----------------- ----- ---- ---- ----
U.S. Government Money Market Portfolio $2,309 $32 $187 $2,090
</TABLE>
In accordance with U.S. Treasury regulations, the following Portfolios have
incurred and will elect to defer realized capital losses arising after October
31, 1998 ("Post-October losses"). Such losses are treated for tax purposes as
arising on the first business day of the Portfolio's next taxable year
(September 1, 1999).
Capital
Losses
------------------
Large Capitalization Value Portfolio $
-
Large Capitalization Growth Portfolio
-
Small Capitalization Portfolio
-
International Equity Portfolio
-
Investment Quality Bond Portfolio 24,365
Municipal Bond Portfolio
-
U.S. Government Money Market Portfolio 54
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each period)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
INCOME FROM DIVIDENDS AND
INVESTMENT OPERATIONS DISTRIBUTIONS RATIOS
--------------------------------------------------------------------- -----------------------------
Ratio
Distributions Ratio of Net
Net to of Net Investment
Realized Dividends Shareholders Operating Income
Net Asset And to from Net Net Net Expenses (Loss)
Value, Unrealized Total Shareholders Realized Asset Assets to to
Beginning Net Investment Gain(Loss) from Net Gains Value, End of Average Average Portfolio
of Income on Investment Investment on End of Total Period Net Net Turnover
Period (Loss) Investments Operations Income Investments Period Return* (000's)Assets(2) Assets(2) Rate
Large Capitalization Value Portfolio (Class B)
September 1, 1999 to
February 29, 2000
(Unaudited) $20.50 $0.10 ($2.47) ($2.37) ($0.17) ($1.80) $16.16 (12.68%) $430 1.53% 0.16% 54%
January 4, 1999 (1)
to August 31, 1999 20.21 (0.02) 0.31 0.29 -- -- 20.50 1.43% 172 1.72% (0.53%) 67%
(1) During the fiscal year ended August 31,1999, Saratoga Capital
Management waived a portion of its management fees. During all other time
periods presented above, Saratoga Capital Management waived all of its fees and
assumed a portion of the operating expenses. Additionally, for the periods
presented above, 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 of net investment income (loss) to average daily
net assets would have been 2.21% and 1.02% respectively, for the year ended
August 31, 1999.
Large Capitalization Growth Portfolio (Class B)
September 1, 1999 to
February 29, 2000
(Unaudited) $26.75 ($0.01) $6.00 $5.99 -- ($1.66) $31.08 23.19% $659 1.25% (0.66%) 24%
January 4, 1999 (1)
to August 31, 1999 24.74 (0.04) 2.05 2.01 -- -- 26.75 8.12% 204 1.19% (0.73%) 39%
(1) During the fiscal year ended August 31,1999, Saratoga Capital
Management waived a portion of its management fees. During all other time
periods presented above, Saratoga Capital Management waived all of its fees and
assumed a portion of the operating expenses. Additionally, for the periods
presented above, 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 of net investment income (loss) to average daily
net assets would have been 3.31% and (2.86%) respectively, for the year ended
August 31, 1999.
Small Capitalization Portfolio (Class B)
September 1, 1999 to
February 29, 2000
(Unaudited) $10.04 ($0.02) $1.29 $1.27 -- ($0.12) $11.19 12.94% $157 1.95% (1.25%) 27%
January 4, 1999 (1)
To August 31, 1999 9.33 (0.02) 0.73 0.71 -- -- 10.04 7.61% 73 1.42% (1.02%) 32%
(1) During the fiscal year ended August 31,1999, Saratoga Capital
Management waived a portion of its management fees. During all other time
periods presented above, Saratoga Capital Management waived all of its fees and
assumed a portion of the operating expenses. Additionally, for the periods
presented above, 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 of net investment income (loss) to average daily
net assets would have been 1.43% and (1.02%) respectively, for the year ended
August 31, 1999.
International Equity Portfolio (Class B)
September 1, 1999 to
February 29, 2000
(Unaudited) $13.09 ($0.03) $3.39 $3.36 ($0.08) ($0.18) $16.19 25.77% $189 1.64% (1.31%) 32%
January 4, 1999 (1)
to August 31, 1999 12.29 (0.02) 0.82 0.80 -- -- 13.09 6.51% 68 2.16% (0.77%) 46%
(1) During the fiscal year ended August 31,1999, Saratoga Capital
Management waived a portion of its management fees. During all other time
periods presented above, Saratoga Capital Management waived all of its fees and
assumed a portion of the operating expenses. Additionally, for the periods
presented above, 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 of net investment income (loss) to average daily
net assets would have been 2.84% and (1.45%) respectively, for the year ended
August 31, 1999.
Investment Quality Bond Portfolio (Class B)
September 1, 1999 to
February 29, 2000
(Unaudited) $9.88 $0.22 ($0.14) $0.08 ($0.22) -- $9.74 0.81% $84 1.89% 4.49% 38%
January 4, 1999 (1)
to August 31, 1999 10.29 0.28 (0.41) (0.13) (0.28) -- 9.88 (1.32%) 64 1.07% 2.23% 62%
(1) During the fiscal year ended August 31,1999, Saratoga Capital
Management waived a portion of its management fees. During all other time
periods presented above, Saratoga Capital Management waived all of its fees and
assumed a portion of the operating expenses. Additionally, for the periods
presented above, 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 of net investment income (loss) to average daily
net assets would have been 1.13% and 2.29 % respectively, for the year ended
August 31, 1999.
Municipal Bond Portfolio (Class B)
September 1, 1999 to
February 29, 2000
(Unaudited) $10.00 $0.17 ($0.34) ($0.17) ($0.17) ($0.06) $9.60 (1.75%) $8 2.20% 3.43% 12%
January 4, 1999 (1)
to August 31, 1999 10.66 0.25 (0.66) (0.41) (0.25) -- 10.00 (3.91%) 8 1.24% 1.76% 23%
(1) During the fiscal year ended August 31,1999, Saratoga Capital
Management waived a portion of its management fees. During all other time
periods presented above, Saratoga Capital Management waived all of its fees and
assumed a portion of the operating expenses. Additionally, for the periods
presented above, 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 of net investment income (loss) to average daily
net assets would have been 1.44% and 1.96 % respectively, for the year ended
August 31, 1999.
U.S. Government Money Market Portfolio (Class B)
September 1, 1999 to
February 29, 2000
(Unaudited) $1.000 $0.018 -- $1.018 ($0.018) -- $1.000 1.86% $93 1.83% 3.69% n/a
January 4, 1999 (1)
to August 31, 1999 1.000 0.022 -- 0.022 (0.022) -- 1.000 1.94% 70 1.06% 1.82% n/a
</TABLE>
(1) During the fiscal year ended August 31,1999, Saratoga Capital
Management waived a portion of its management fees. During all other time
periods presented above, Saratoga Capital Management waived all of its fees and
assumed a portion of the operating expenses. Additionally, for the periods
presented above, 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 of net investment income (loss) to average daily
net assets would have been 1.10% and 1.86 % respectively, for the year ended
August 31, 1999.
(1) Commencement of offering.
(2) Annualized.
* Assumes reinvestment of all dividends and distributions.
Aggregate (not annualized) total return is shown for any period shorter
than one year.
<PAGE>
THE SARATOGA ADVANTAGE TRUST
SEMI ANNUAL REPORT-Class C
AS OF FEBRUARY 29, 2000
TABLE OF CONTENTS
President's Page 1
Letter.....................................
Investment Page 2
Review..................................
Schedules of Page 10
Investments...........................
Statements of Assets and Page 30
Liabilities...........................
Statements of Page 31
Operations............................
Statements of Changes in Net Page 32
Assets................................
Notes to Financial Page 34
Statements............................
Financial Page 39
Highlights................................
This report is authorized for distribution only to shareholders and to
others who have received a copy of the prospectus.
<PAGE>
TRUSTEES AND OFFICERS
Bruce E. Ventimiglia Trustee, Chairman, President & CEO
Patrick H. McCollough Trustee
Udo W. Koopmann Trustee
Floyd E. Seal Trustee
Scott C. Kane Vice President & Secretary
Stephen Ventimiglia Vice President
William P. Marra Treasurer & Chief Financial Officer
Mary A. Nelson Assistant Treasurer
Karen Jacoppo-Wood Assistant Secretary
Investment Manager Distributor
Saratoga Capital Management Funds Distributor Inc.
1501 Franklin Avenue 60 State Street, Suite 1300
Mineola, NY 11501-4803 Boston, MA 02109
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 17, 2000
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, 1999 through February 29, 2000.
The pace of change brought on by the technology "revolution" has many
investors feeling simultaneously excited and confused. Many analysts forecast a
continuation of the economic environment of the last several years fueled by
strong economic growth, low inflation, benign interest rates, and a stable
dollar. While many market pundits believe that the fundamentals for investing in
stocks remain strong, investors should be cautious about the growing mania for
some of the "new-economy" stocks. Rather than chasing a "hot" investment craze,
for serious, "core" assets investors should keep focused on their long-term
investment goals. Revisit the time-honored "investment pyramid" approach to
investing by segregating core asset investment dollars from other money that you
are willing to take more risk with, and develop appropriate strategies for each.
The Saratoga Advantage Trust mutual funds have been designed to help you manage
your core assets. In addition, the overall performance of an index sometimes
masks the performance of many stocks, while extraordinary returns by just a few
companies can dramatically affect the return of an entire index.
DID YOU KNOW:
* The Standard & Poor's 500 Index had a return of 21% in 1999. If the S&P
500 were an equal weighted index (which it is not, it is a market capitalization
weighted index), simply removing just one stock (Qualcomm, that returned more
than 2600% in 1999) would have brought the mean return of the S&P 500 for 1999
down to 15.6%.
* 249 of the stocks in the S&P 500 had a negative return in 1999, while 40
of the S&P 500 stocks experienced returns greater than 100% for the year.
* Of the 6,242 U.S. stocks tracked by Morningstar, 54% had negative returns
in 1999 and the median return for these stocks in 1999 was -3.9%.
Many Mutual Funds Add Value
The risk of experiencing negative returns is much higher when investing in
individual stocks than in equity mutual funds.
DID YOU KNOW:
* 46% of the 5,323 stocks in existence for the full three years 1997-1999
produced a negative annualized total return.
* Just 2.5% of the 1,877 equity mutual funds with three year or longer
performance histories had a negative annualized total return from 1997-1999.
* As a group, U.S. equity mutual funds had higher average annualized
returns than aggregate U.S. stocks during the past three, five, and ten year
periods.
Try to stay focused on your long-term investment goals. Don't let
short-term stock and bond market fluctuations or investment manias change your
long-term investment strategy. The Saratoga Advantage Trust's portfolios are
managed by some of the world's leading institutional investment advisory firms.
Combining the strength of the Trust's performance with a well-designed asset
allocation plan can help you to achieve your long-term investment goals.
Successful investing requires discipline and patience.
Following you will find specific information on the investment strategy and
performance of each of the Trust's portfolios. Please speak with your financial
advisor if you have any questions about your investment in the Saratoga
Advantage Trust or your allocation of assets among the portfolios.
We are dedicated to serving your investment needs. Thank you for investing
with us.
Best wishes,
Bruce E. Ventimiglia
Chairman, President and
Chief Executive Officer
<PAGE>
LARGE CAPITALIZATION VALUE PORTFOLIO
Advised by:
OpCap Advisors
New York, New York
Objective: Seeks total return consisting of capital appreciation and dividend
income by investing primarily in a diversified portfolio of common stocks that,
in the Advisor's opinion, are believed to be undervalued in the market and offer
above-average price appreciation potential.
Large Capitalization
Total Aggregate Value
Return for the Period Ended February Portfolio Morningstar Large
29, 2000 (Class C) Value Average1
- ------------------------------------------------------- --------------------
1/4/99 (inception) - 2/29/00* -9.9% -2.5%
3/1/99 - 2/29/00 -9.3% -1.1%
9/1/99 - 2/29/00 -12.7% -6.8%
*Annualized performance for periods greater than one year
The Saratoga Large Capitalization Value Portfolio invests in a diverse group of
high-quality, undervalued companies that are chosen to outperform style
benchmarks such as the Morningstar Large Value Average. The investment team uses
fundamentally driven, value-oriented analysis, which leads to the selection of
high-quality businesses that are selling substantially less than their intrinsic
value. Each business is examined to determine industry position, profitability
and financial strength. Management is also evaluated for its decision-making
ability, experience, vision, compensation structure, and stock ownership. Over
time we expect the share price of these companies to approach their intrinsic
value, producing superior returns.
The Portfolio owned the common stocks of 43 companies as of February 29, 2000.
The largest holding was Freddie Mac, a federally chartered, government sponsored
enterprise formed for the purpose of financing home ownership in the United
States. Other major holdings included Computer Associates, which develops and
sells software for use on mainframe computers and client server computers;
Sprint, the third largest long distance company in the United States and a major
carrier of Internet traffic; Minnesota Mining & Manufacturing, a leading
manufacturer of industrial, consumer and medical products; and Monsanto, a major
producer of high-value agricultural products, pharmaceuticals and food
ingredients. Top contributors to the portfolio performance for the six months
ended February 29, included News Corp Ltd., Computer Associates, Citigroup, and
Alcoa Inc.
1. The Morningstar Large Value Average, as of February 29, 2000, consisted of
622 mutual funds comprised of large market capitalization stocks with the
lowest combinations of price-to-earnings and price-to-book scores.
Investors may not invest in the Average directly.
Past performance is not predictive of future performance.
LARGE CAPITALIZATION GROWTH PORTFOLIO
Advised by:
Harris Bretall Sullivan & Smith, L.L.C.
San Francisco, California
Objective: Seeks capital appreciation by investing primarily in a diversified
portfolio of common stocks that, in the advisor's opinion, have faster earnings
growth potential than the Standard & Poor's 500.
Large Capitalization
Total Aggregate Growth
Return for the Period Portfolio Morningstar Large
Ended February 29, 2000 (Class C) Growth Average1
- --------------------------------------- --------------- ----------------
1/4/99 (inception) - 2/29/00* 28.5 % 36.1%
3/1/99 - 2/29/00 26.7 % 40.7 %
9/1/99 - 2/29/00 23.2 % 30.6 %
*Annualized performance for periods greater than one year
Harris Bretall began 1999 forecasting a strong year for the economy and
financial markets. Our expectations were significantly more optimistic than the
consensus view. Yet, even our forecast proved timid. U.S. Real GDP rose an
impressive 4.0. Inflation remained under control and interest rates, despite a
rise of more than 100 basis points, remained at relatively low levels. The
strength in the financial markets powered Saratoga Advantage Trust Large
Capitalization Growth Portfolio to one of the best appreciation years ever.
Economic growth, as we predicted, continued to strongly advance, expanding by
nearly 5% in the last two quarters of the year, while inflation stayed modest.
The inflation statistics for the month of November showed the core CPI up only
0.1%, and wholesale prices up a modest 0.3%. Investors reacted to this news with
enthusiasm for equities, pushing stock indices to all-time highs.
For 2000, Harris Bretall expects another strong economic year. We see few signs
of a slowdown in economic activity. While we expect the Federal Reserve Bank to
lean against this strength, possibly raising interest rates further, we do not
anticipate that such a rise in rates will harm the economy. The productivity
gains experienced by the United States will spread worldwide, keeping inflation
under control. In this environment, global economic expansion will continue,
creating an opportunity for strong corporate profit growth. In short, we
forecast a continuation of the economic environment of the last several years:
strong economic growth, low inflation, benign interest rates, and a stable
dollar. As of February 29, 2000, the Portfolio was invested in 42 stocks; stocks
which we believe position the Saratoga Advantage Trust Large Capitalization
Growth Portfolio to take advantage of the opportunities from productivity gains.
1. The Morningstar Large Growth Average, as of February 29, 2000, consisted of
639 mutual funds comprised of large market capitalization stocks with the
highest combinations of price-to-earnings and price-to-book scores.
Investors may not invest in the Average directly.
Past performance is not predictive of future performance.
SMALL CAPITALIZATION PORTFOLIO
Advised by:
Thorsell, Parker Partners, Inc.
Westport, Connecticut
Objective: Seeks maximum capital appreciation by investing in a diversified
portfolio of the common stocks of small capitalization companies.
Small
Total Aggregate Capitalization
Return for the Period Portfolio Morningstar Small
Ended February 29, 2000 (Class C) Value Average1
- ------------------------------------ --------------------- ------------------
1/4/99 (inception) - 2/29/00* 18.8% 3.6%
3/1/99 -2/29/00 32.6% 14.2%
9/1/99-2/29/00 13.1% 3.1%
*Annualized performance for periods greater than one year
During the past several months momentum and positive investor sentiment have
supported a move toward smaller stocks such as those in your Portfolio. This
return to smaller (versus larger cap) stocks certainly helped performance during
the recent six and twelve month periods. In addition, your Portfolio had good
exposure in technology, which was by far the strongest sector in the recent
market. Your portfolio also had a substantial position in the energy sector,
which responded with substantial gains to the sharp rise in the price of oil and
gas.
Takeover activity became strong again in the smaller stock sector as profitable
mergers were at a record level as a percentage of your Portfolio. Although we do
not invest in companies solely because of their merger potential, the purchase
prices of these companies reflect the judgment of major investors that your
stocks are so undervalued and of such good quality that they are willing to pay
a premium to buy them out completely.
The last major factor in the recent strong performance was that we underweighted
interest sensitive stocks, such as banks, and held no real estate trusts or
utilities. With the general rise in interest rates, these areas did poorly and
we avoided much of the damage.
Thorsell, Parker continues its fundamental, bottom-up research on smaller U.S.
stocks. We buy stocks for both higher earnings and a higher P/E valuation, not
just for projected growth. When these investments are successful we sell them to
reinvest in new ideas, which we believe can also produce this "double play"
effect. This approach also results in lower average risk than the more
speculative style. By contrast, our objective is to buy stocks when they are out
of favor and sell stocks that are fully priced and very exposed to negative
surprises. Through a full market cycle we believe this approach will continue to
produce better results without exposing the portfolio to undue risks.
1. The Morningstar Small Value Average, as of February 29, 2000, consisted of
219 mutual funds comprised of small market capitalization stocks with the
lowest combinations of price-to-earnings and price-to-book scores.
Investors may not invest in the Average directly.
Past performance is not predictive of future performance.
INTERNATIONAL EQUITY PORTFOLIO
Advised by:
Friends Ivory & Sime plc
Edinburgh, Scotland
Objective: Seeks capital appreciation by investing primarily in a diversified
portfolio of the securities of companies domiciled outside of the United States.
International
Total Aggregate Equity Morgan Stanley
Return for the Period Portfolio EAFE Index
Ended February 29, 2000 (Class C) (U.S. Dollars)1
- ----------------------------------- ------------------- --------------------
1/4/99 (inception) - 2/29/00* 29.0% 28.1%
3/1/99 - 2/29/00 40.0% 25.5%
9/1/99 - 2/29/00 25.8% 13.6%
*Annualized performance for periods greater than one year
Over the past six months global stock markets have continued to deliver strong
returns led by technology and telecommunications shares. International stock
markets have outperformed the United States stock market, led by Continental
Europe and Japan. Only the United Kingdom has lagged.
Global growth forecasts continue to be revised upwards. For the next two years
growth could be the highest since the late 1980's. Any increase in inflation is
likely to be modest as the deflationary impact of increased global competition
and technological change offset increased cyclical pressure for price increases.
We believe that stock picking continues to hold the key again for good
returns in 2000. We are currently slightly overweight in Japan and Continental
Europe and underweight in the UK and Pacific Ex-Japan.
As of February 2000, the major weightings in the Portfolio were as follows:
49.6% in Continental Europe, 15.8% in the United Kingdom, 26.5% in Japan and
3.1% in Pacific Ex-Japan.
Recent Portfolio additions include: Ericsson, a world leader in mobile
telephony; SAP, a multinational software provider; and Sony, a leading consumer
electronics manufacturer.
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 predictive of future performance.
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 high quality, actively managed fixed
income securities.
Investment Quality Lipper
Total Aggregate Bond Short-Intermediate
Return for the Period Portfolio Investment Grade
Ended February 29, 2000 (Class C) Debt Funds Index1
- ------------------------------------- ------------------ --------------------
1/4/99 (inception) - 2/29/00* -0.3% 1.7%
3/1/99 - 2/29/00 0.7% 2.2%
9/1/99 - 2/29/00 0.9% 1.6%
*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 two and ten years. In the 12 months ended
February 29, 2000, the Portfolio distributed dividends of $0.51 per share.
Investments are normally divided approximately evenly between U.S. Treasury
securities and Corporate and Government Agency securities. Due to the
historically large yield advantage of Government Agency and Corporate bonds over
Treasuries, Corporate and Government Agency securities comprise approximately
75% of the Portfolio 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 5.8
years, and an average duration of 3.7 years in the Portfolio.
Other Portfolio statistics as of February 29, 2000 are as follows: Average
weighted yield-to-maturity was 6.9%, average weighted coupon was 6.6%, and the
average Moody's Rating was Aa3 with 36 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 predictive of future performance.
MUNICIPAL BOND PORTFOLIO
Advised by:
OpCap Advisors
New York, New York
Objective: Seeks a high level of interest income exempt from federal income
taxation consistent with prudent investment management and the preservation of
capital.
Total Aggregate Lipper General
Return for the Period Municipal Bond Municipal Debt
Ended February 29, 2000 Portfolio (Class C) Funds Index1
- ----------------------------------- -------------------- -----------------
1/4/99 (inception) - 2/29/00* -5.1% -3.5%
3/1/99-2/29/00 -6.3% -4.0%
9/1/99-2/29/00 -1.7% -1.1%
*Annualized performance for periods greater than one year
The bond market continued its downward spiral during the past six months as the
Federal Reserve continued to raise short-term rates in an effort to cool a
steamy economy and dampen inflationary pressures. The taxable bond yield curve
inverted, an unusual occurrence whereby shorter maturity bond yields moved
higher than longer maturity bonds. This was a consequence of an active Federal
Reserve pushing short-term rates higher while long bonds benefited from
continued muted inflation and the Treasury's surprising announcement that they
would buy back bonds with an emphasis on longer maturities. While the taxable
yield curve inverted, the municipal yield curve remained steep moving
treasury/municipal yield ratios to extremely attractive levels. In fact, insured
thirty year municipals are now higher yielding than thirty year treasuries and
present significant value on an after tax basis. February was the first month in
quite a while that investors began to show some interest in tax-exempt
securities as a result of the stock market's retreat and obvious value in
municipals.
Due to the steepness of the municipal yield curve, we continued to purchase
municipals with maturities ranging from fifteen to twenty years. We maintained
our emphasis on high quality securities with 98% of the Portfolio comprised of
municipals rated A or better. Slightly more than half of the municipals in the
fund are insured as this segment of the market remains attractive due to their
higher yields as a result of the over supply of insured municipals in the
marketplace. We continue to find value in the general obligation, healthcare and
housing sectors of the market as these sector comprise 37%, 16% and 16% of the
Portfolio respectively.
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 predictive of future performance.
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 issued by the United States Government, its agencies and
instrumentalities and related repurchase agreements.
90 Day T-Bills
7-Day U.S. Government Money Average Discount
Compound Yield Market Portfolio Yield
- -------------------------------- ----------------------- ----------------------
2/29/00 4.9% 5.6%
Total Aggregate U.S. Government Money Lipper U.S. Treasury
Return for the Period Market Portfolio Money
Ended February 29, 2000 (Class C) Market Index1
- -------------------------------- ----------------------- ----------------------
1/4/99 (inception) - 2/29/00* 3.4% 5.1%
3/1/99 - 2/29/00 3.3% 4.4%
9/1/99 - 2/29/00 1.9% 2.3%
*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 29, 2000. The average dollar-weighted Portfolio maturity was 57 days
compared with a maximum allowable average maturity of 90 days. The Fed Funds
rate has risen 50 basis points over the last six months to 5.75%. An environment
of persistently strong economic growth has forced the Federal Reserve to respond
to perceived supply/demand imbalances with tighter monetary policy. The average
maturity of the Portfolio has remained within a range of 40 to 72 days since
last fall.
An investment in the U.S. Government Money Market Portfolio is not insured or
guaranteed by the Federal Deposit Insurance Corporation or any other
government agency. Although the U.S. Government Money Market Portfolio seeks
to preserve the value of your investment at $1.00 per share, it is possible to
lose money by investing in the Portfolio.
1. The Lipper U.S. Treasury Money Market Funds 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.
<PAGE>
This page intentionally left blank.
February 29, 2000 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
LARGE CAPITALIZATION VALUE PORTFOLIO
<TABLE>
<S> <C> <C> <C> <C>
Principal
Amount Value
- ---------------- -----------------
- ---------------- -----------------
SHORT-TERM GOVERNMENT NOTES - 6.86%
Federal Home Loan Bank - 6.86%
$ 4,960,000 5.72% due 3/1/00 $ 4,960,000
-----------------
-----------------
Total Short-Term Government Notes (Cost-$4,960,000) $ 4,960,000
-----------------
-----------------
Shares
- ----------------
- ----------------
COMMON STOCKS - 93.46%
Aerospace - 2.43%
47,600 Boeing Company 1,755,250
-----------------
-----------------
Airlines - 3.07%
42,000 AMR, Corp.* 2,220,750
-----------------
-----------------
Banking - 9.43%
25,500 Chase Manhattan Corporation 2,030,437
87,007 FleetBoston Financial Corporation 2,370,946
73,160 Wells Fargo Company 2,418,853
-----------------
-----------------
6,820,236
-----------------
-----------------
Beverages - 2.94%
69,000 Diageo PLC Sponsored ADR 2,126,062
-----------------
-----------------
Chemicals - 6.79%
45,400 E.I. du Pont de Nemours and Company 2,292,700
67,500 Monsanto Company 2,619,844
-----------------
-----------------
4,912,544
-----------------
-----------------
Computer Hardware - 0.71%
20,500 Compaq Computer Corporation 509,938
-----------------
-----------------
Computer Software - 4.05%
45,500 Computer Associates International, Inc. 2,926,218
-----------------
-----------------
Cosmetics/Toiletries - 0.95%
25,500 Avon Products Inc. 690,094
-----------------
-----------------
Financial Services - 12.64%
46,500 Citigroup, Inc. 2,403,468
42,200 Countrywide Credit Industries, Inc. 1,052,363
85,500 Freddie Mac 3,569,625
66,000 Household International Inc. 2,107,875
-----------------
-----------------
9,133,331
-----------------
-----------------
Electronics - 3.96%
44,500 Emerson Electric Company 2,027,531
18,500 Rockwell International Corporation 837,125
-----------------
-----------------
2,864,656
-----------------
-----------------
Shares Value
- ---------------- -----------------
Healthcare Services - 1.10%
45,600 Tenet Healthcare Corporation* 798,000
-----------------
-----------------
Insurance - 7.74%
32,100 Ace, Ltd. 573,788
34,900 AFLAC, Inc.. 1,276,031
43,976 Conseco, Inc. 643,149
52,400 John Hancock Financial Services* 831,850
56,282 XL Capital Ltd Class A 2,275,903
-----------------
-----------------
5,600,721
-----------------
-----------------
Machinery - 2.48%
51,100 Caterpillar, Inc. 1,791,694
-----------------
-----------------
Manufacturing - 0.42%
5,000 Textron, Inc. 305,000
-----------------
-----------------
Metals/Mining - 6.31%
28,000 Alcoa Inc. 1,918,000
30,000 Minnesota Mining & Manufacturing Company 2,643,750
-----------------
-----------------
4,561,750
-----------------
-----------------
Multimedia - 1.32%
19,000 News Corporation Limited Sponsored ADR 955,938
-----------------
-----------------
Oil/Gas - 1.47%
11,000 Anadarko Petroleum Corp. 338,250
27,100 Unocal Corp. 724,925
-----------------
-----------------
1,063,175
-----------------
-----------------
Pharmaceuticals - 4.78%
53,000 American Home Products Corporation 2,305,500
28,000 Cardinal Health Inc. 1,155,000
-----------------
-----------------
3,460,500
-----------------
-----------------
Retail - 7.68%
29,000 CVS Corporation 1,015,000
154,000 Kroger Company* 2,290,750
42,475 May Department Stores Company 1,112,314
36,000 McDonalds Corporation 1,136,250
-----------------
-----------------
5,554,314
-----------------
-----------------
Telecommunications - 8.75%
45,000 Bell Atlantic Corporation 2,202,188
33,000 MCI WorldCom, Inc.* 1,472,625
43,500 Sprint Corporation 2,653,500
-----------------
-----------------
6,328,313
-----------------
-----------------
Shares Value
- ---------------- -----------------
Transportation - 2.73%
40,000 Burlington Northern Santa Fe Corporation 787,500
61,000 Canadian Pacific Limited 1,189,500
-----------------
-----------------
1,977,000
-----------------
-----------------
Waste Disposal - 1.71%
82,500 Waste Management, Inc. 1,237,500
-----------------
-----------------
Total Common Stocks (Cost-$73,338,055) $ 67,592,984
-----------------
-----------------
Total Investments (Cost-$78,298,055) 100.32% $ 72,552,984
-----------------
-----------------
Other Liabilities in Excess of Other Assets (0.32%)
(228,774)
-----------------
-----------------
Total Net Assets 100.00% $ 72,324,210
============== =================
============== =================
</TABLE>
* Non-income producing security.
See accompanying notes to financial statements.
February 29, 2000 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
LARGE CAPITALIZATION GROWTH PORTFOLIO
13
<TABLE>
<S> <C> <C> <C> <C>
Principal
Amount Value
---------------- ------------------
---------------- ------------------
SHORT-TERM CORPORATE NOTES - 1.70%
Financial Services -
General Electric Capital Corporation Commercial Paper,
$ 2,500,000 5.60% due 3/2/00 $ 2,500,000
------------------
------------------
Total Short-Term Corporate Notes (Cost-$2,500,000) $ 2,500,000
------------------
------------------
Shares
----------------
----------------
COMMON STOCKS - 99.43%
Advertising - 1.75%
64,000 Interpublic Group of Companies, Inc. 2,572,000
------------------
------------------
Banking - 1.46%
65,000 Wells Fargo Company 2,149,062
------------------
------------------
Beverages - 0.82%
25,000 Coca-Cola Company 1,210,938
------------------
------------------
Biomedical - 4.64%
33,000 Biogen Inc.* 3,561,937
17,000 Genentech, Inc.* 3,278,875
------------------
------------------
6,840,812
------------------
------------------
Computer Hardware - 12.36%
55,000 Dell Computer Corporation* 2,244,688
44,000 EMC Corporation* 5,236,000
22,000 IBM Corp 2,244,000
46,000 Microsoft Corporation* 4,111,250
46,000 Sun Microsystems, Inc.* 4,381,500
------------------
------------------
18,217,438
------------------
------------------
Cosmetics/Toiletries - 3.50%
50,000 Colgate-Palmolive Company 2,609,375
29,000 Procter & Gamble Company 2,552,000
------------------
------------------
5,161,375
------------------
------------------
Distribution - 2.22%
66,000 Costco Wholesale Corporation* 3,275,250
------------------
------------------
Electronics - 16.51%
24,000 Applied Materials, Inc* 4,390,500
53,000 Intel Corporation 5,989,000
24,000 JDS Uniphase Corporation* 6,327,000
18,000 PMC-Sierra Inc.* 3,475,125
25,000 Texas Instruments Incorporated 4,162,500
------------------
24,344,125
------------------
Shares Value
---------------- ------------------
Financial Services - 9.73%
75,000 Charles Schwab Corporation 3,135,937
61,500 Citigroup, Inc. 3,178,781
60,000 Morgan Stanley Dean Witter & Company 4,226,250
41,000 The Goldman Sachs Group, Inc. 3,792,500
------------------
------------------
14,333,468
------------------
------------------
Insurance - 1.73%
28,750 American International Group, Inc. 2,542,578
------------------
------------------
Internet - 8.99%
60,000 America Online, Inc.* 3,540,000
22,000 Broadvision, Inc.* 5,556,375
26,000 Yahoo!, Inc.* 4,151,875
------------------
------------------
13,248,250
------------------
------------------
Manufacturing - 4.35%
34,000 General Electric Company 4,494,375
37,000 Illinois Tool Works, Inc. 1,912,438
------------------
------------------
6,406,813
------------------
------------------
Multimedia - 1.71%
75,000 The Walt Disney Company 2,512,500
------------------
------------------
Networking Products - 6.09%
55,000 Cisco Systems, Inc.* 7,270,312
9,000 Network Appliance, Inc* 1,698,750
------------------
------------------
8,969,062
------------------
------------------
Oil Field Services - 3.66%
75,000 Halliburton Company 2,841,683
35,000 Schlumberger Limited 2,551,458
------------------
5,393,141
------------------
------------------
Pharmaceuticals - 5.67%
37,000 Bristol-Myers Squibb Company 2,102,063
31,000 Johnson & Johnson 2,224,250
70,000 Pfizer, Inc. 2,248,750
51,000 Schering-Plough Corporation 1,778,625
------------------
------------------
8,353,688
------------------
------------------
Retail - 7.76%
69,000 Home Depot, Inc. 3,989,062
45,000 Target Corporation 2,655,000
80,000 Walgreen Company 2,065,000
56,000 Wal-Mart Stores, Inc. 2,726,500
------------------
11,435,562
------------------
Shares Value
---------------- ------------------
Telecommunications - 6.48%
46,000 Lucent Technologies, Inc. 2,737,000
54,000 MCI WorldCom, Inc.* 2,409,750
55,000 Qwest Communciations International Inc.* 2,507,010
50,000 SBS Communications Inc. 1,900,000
------------------
------------------
9,553,760
------------------
Total Common Stocks (Cost-$86,747,760) $ 146,519,822
------------------
------------------
Total Investments (Cost-$89,247,760) 101.13% $ 149,019,822
------------------
------------------
Other Liabilities in Excess of Other Assets (1.13%) (1,663,338)
------------------
------------------
Total Net Assets 100.00% $ 147,356,484
================= ==================
================= ==================
</TABLE>
* Non-income producing security.
See accompanying notes to financial statements.
February 29, 2000 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SMALL CAPITALIZATION PORTFOLIO
16
<TABLE>
<S> <C> <C> <C> <C>
Shares Value
-------------- --------------
-------------- --------------
COMMON STOCKS - 83.10%
Beverages - 3.32%
30,000 Canandaigua Brands, Inc.* $ 1,470,000
--------------
--------------
Building & Construction - 1.49%
140,000 American Homestar Corp* 297,500
25,000 Champion Enterprises, Inc.* 157,813
80,000 Oakwood Homes Corporation 205,000
--------------
--------------
660,313
--------------
--------------
Electronics - 22.92%
36,500 Harman International Industries, Inc 2,260,719
107,500 Silicon Valley Group, Inc.* 2,721,093
18,000 Teleflex Incorporated 508,500
44,000 Varian Semiconductor Equipment Associates, Inc.* 2,557,500
49,000 Vishay Intertechnology, Inc.* 2,107,000
--------------
--------------
10,154,812
--------------
--------------
Funeral Services - 3.99%
416,000 Stewart Enterprises, Inc. 1,768,000
--------------
--------------
Garden Products - 3.44%
46,000 Toro Company 1,523,750
--------------
--------------
Machinery - 4.26%
130,247 Albany International, Corp 1,888,582
--------------
--------------
Manufacturing - 4.69%
35,000 Harsco Corporation 868,438
30,000 Precision Castparts Corporation 774,375
20,000 Snap-on Incorporated 436,250
--------------
--------------
2,079,063
--------------
--------------
Medical Products - 6.04%
67,000 Varian Medical Systems, Inc.* 2,675,812
--------------
--------------
Music/Clubs - 3.43%
82,000 Steinway Musical Instruments, Inc.* 1,522,125
--------------
--------------
Oil/Gas - 16.15%
211,666 EEX Corporation* 515,936
15,000 Helmerich & Payne, Inc. 399,375
98,000 Marine Drilling Companies, Inc.* 2,235,625
125,000 Oceaneering International, Inc.* 2,375,000
110,000 Pride International, Inc.* 1,629,375
--------------
--------------
7,155,311
--------------
--------------
Publishing - 0.45%
5,000 Houghton Mifflin Company 199,063
--------------
--------------
Shares Value
-------------- --------------
Restaurants - 7.64%
61,500 CKE Restaurants, Inc. 392,063
75,000 Jack In The Box Inc.* 1,504,687
57,000 Outback Steakhouse, Inc. * 1,489,125
--------------
--------------
3,385,875
--------------
--------------
Retail - 2.68%
71,500 ShopKo Stores, Inc.* 1,188,687
--------------
--------------
Steel - 2.60%
279,700 Oregon Steel Mills, Inc. 1,153,762
--------------
--------------
Total Common Stocks (Cost-$39,536,091) 36,825,155
--------------
--------------
Principal
Amount
--------------
--------------
Repurchase Agreement - 10.89%
State Street Bank & Trust Company: at 3.50%, dated 2/29/00, to be
repurchased at $4,824,469 on 3/1/00, collateralized by $4,925,250
U.S. Treasury Note, 5.125% due 8/31/00
4,824,000 (Cost-$4,824,000) 4,824,000
--------------
--------------
Total Investments (Cost-$44,360,091) 93.99% $41,649,155
--------------
--------------
Other Assets in Excess of Other Liabilities 6.01% 2,664,179
--------------
--------------
Total Net Assets 100.00% $ 44,313,334
================== ==============
</TABLE>
* Non-income producing security.
See accompanying notes to financial statements.
February 29, 2000 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY PORTFOLIO
18
<TABLE>
<S> <C> <C> <C> <C>
Shares Value
-------------- ------------------
-------------- ------------------
COMMON STOCKS - 95.83%
FINLAND - 5.27%
Telecommunications
10,375 Nokia Oyj Sponsored ADR $ 2,057,492
------------------
------------------
FRANCE - 11.44%
Banking - 1.81%
17,000 Societe Generale Sponsored ADR 704,788
------------------
------------------
Insurance - 1.44%
8,900 AXA Sponsored ADR 560,700
------------------
------------------
Oil/Gas - 2.06%
11,970 Total Fina SA Sponsored ADR 803,486
------------------
------------------
Pharmaceuticals - 2.07%
15,600 Aventis S.A. Sponsored ADR 811,200
------------------
------------------
Telecommunications - 4.06%
10,850 Alcatel SA Sponsored ADR 512,663
6,500 France Telecom S.A. Sponsored ADR 1,069,250
------------------
------------------
1,581,913
------------------
------------------
GERMANY - 13.25%
Banking - 2.76%
12,800 Deutsche Bank AG Sponsored ADR 1,077,101
------------------
------------------
Computer Software - 2.34%
12,800 SAP AG Sponsored ADR 912,800
------------------
------------------
Diversified Manufacturing Operations - 2.66%
5,800 Siemens AG Unsponsored ADR 1,035,874
------------------
------------------
Machinery - 5.49%
6,500 Mannesmann AG Sponsored ADR 2,140,299
------------------
------------------
HONG KONG - 1.93%
Closed End Funds
56,500 WEBS-Hong Kong, WEBS-World Equity Benchmark Shares 752,156
------------------
------------------
JAPAN - 26.72%
Audio/Video Products - 2.89%
3,600 Sony Corporation Sponsored ADR 1,128,150
------------------
------------------
Banking - 1.95%
61,331 Bank of Tokyo-Mitsubishi, Ltd. ADR 758,971
------------------
------------------
Shares Value
-------------- ------------------
Computer Hardware - 2.10%
8,628 TDK Corporation Sponsored ADR 819,660
------------------
------------------
Cosmetics/Toiletries - 2.76%
4,059 Kao Corporation Unsponsored ADR 1,077,089
------------------
------------------
Finance - 1.91%
8,550 Orix Corporation Sponsored ADR 743,850
------------------
------------------
Indentification Sys/Dev - 2.07%
4,500 Secom, Co., LTD Unsponsored ADR 806,179
------------------
------------------
Manufacturing - 2.13%
3,720 Bridgestone Corporation Unsponsored ADR 831,359
------------------
------------------
Office Equipment - 3.86%
35,320 Canon, Inc. Sponsored ADR 1,501,100
------------------
------------------
Printing - 1.14%
9,031 Toppan Printing Co., Ltd. Unsponsored ADR 445,172
------------------
------------------
Retail - 2.65%
10,278 Seven-Eleven Japan Co., Ltd. Unsponsored ADR 1,034,803
------------------
------------------
Telecommunications - 3.26%
18,700 Nippon Telegraph & Telephone Corporation Sponsored ADR 1,271,600
------------------
------------------
NETHERLANDS - 6.95%
Banking - 2.06%
15,600 ING Groep N.V. Sponsored ADR 804,375
------------------
------------------
Electronics - 2.10%
4,282 Koninklijke (Royal) Philips Electronics N.V. NY Reg Share 820,003
------------------
------------------
Multimedia - 2.79%
15,750 VNU NV Sponsored ADR 1,086,504
------------------
------------------
SOUTH KOREA - 1.20%
Power/Utility - 0.58%
16,350 Korea Electric Power Corporation Sponsored ADR 224,813
------------------
------------------
Steel - 0.62%
9,625 Pohang Iron & Steel Company Ltd Sponsored ADR 241,828
------------------
------------------
SPAIN - 4.55%
Banking - 1.58%
58,800 Banco Santander Central Hispano Sponsored ADR 617,400
------------------
Shares Value
-------------- ------------------
Telecommunications - 2.97%
13,331 Telefonica S.A. Sponsored ADR 1,155,631
------------------
------------------
SWEDEN -5.17%
Telecommunications
21,000 Telefonaktiebolaget LM Ericsson Sponsored ADR 2,016,000
------------------
------------------
SWITZERLAND - 3.28%
Food Products - 1.81%
8,400 Nestle SA Sponsored ADR 708,170
------------------
------------------
Human Resources - 1.47%
5,800 Adecco SA Sponsored ADR 571,300
------------------
------------------
UNITED KINGDOM - 16.07%
Banking - 1.47%
5,800 Barclays PLC Sponsored ADR 571,300
------------------
------------------
Insurance - 1.70%
9,000 Prudential Corporation PLC Sponsored ADR 662,820
------------------
------------------
Multimedia - 2.39%
7,000 Reuters Group PLC Sponsored ADR 931,875
------------------
------------------
Oil/Gas - 2.11%
19,800 Shell Transport & Trading Company Sponsored ADR 822,938
------------------
------------------
Pharmaceuticals - 1.58%
12,600 Glaxo Wellcome PLC Sponsored ADR 614,250
------------------
------------------
Telecommunications - 6.84%
5,804 British Telecommunications PLC Sponsored ADR 1,034,562
55,600 Marconi Plc Unsponsored ADR 692,554
16,200 Vodafone Airtouch PLC Sponsored ADR 934,538
------------------
------------------
2,661,654
------------------
------------------
Total Investments (Cost-$26,661,689) 95.83% $ 37,366,603
------------------
------------------
Other Assets in Excess of Other Liabilities 4.17% 1,626,025
------------------
------------------
Total Net Assets 100.00% $ 38,992,628
============== ==================
============== ==================
</TABLE>
* Non-income producing security.
February 29, 2000 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
INVESTMENT QUALITY BOND PORTFOLIO
21
<TABLE>
<S> <C> <C> <C> <C>
Principal
Amount Value
------------------ ----------------
------------------ ----------------
U.S. GOVERNMENT NOTES - 48.72%
U.S. Treasury Notes - 22.11%
$ 3,505,458 3.375% due 1/15/07 $ 3,311,571
5,000,000 5.625% due 5/15/08 4,689,050
----------------
----------------
8,000,621
----------------
----------------
Federal Home Loan Mortgage Corp - 9.95%
2,500,000 5.125% due 10/15/08 2,166,024
288,352 6.50% due 4/15/20 286,818
479,401 6.85% due 10/15/21 477,153
670,137 7.25% due 4/15/24 669,300
----------------
----------------
3,599,295
----------------
----------------
Federal National Mortgage Association - 16.60%
6,375,000 6.00% due 5/15/08 5,898,852
107,080 7.00% due 12/25/18 106,644
----------------
----------------
6,005,496
----------------
----------------
Government National Mortgage Association - 0.06%
20,910 8.50% due 4/1/18 20,916
----------------
----------------
Total Cost U.S. Government Notes (Cost-$18,086,612) 17,626,328
----------------
----------------
CORPORATE NOTES & BONDS - 49.88%
Automotive - 3.81%
1,500,000 TRW, Inc., 6.05% due 1/15/05 1,379,834
----------------
----------------
Banking - 1.66%
600,000 Nationsbank Corp., 5.375% due 4/15/00 599,388
----------------
----------------
Broadcasting - 3.80%
250,000 Cox Communications Inc., 6.375% due 6/15/00 249,500
1,055,000 EZ Communications CBS 9.75% due 12/01/05 1,126,213
----------------
----------------
1,375,713
----------------
----------------
Chemicals - 4.01%
1,500,000 ICI Wilmington, 6.95% due 9/15/04 1,452,585
----------------
----------------
Financial Services - 11.13%
1,000,000 Associates Corporate N. America, 6.625% due 06/15/05 960,110
350,000 Associates Corporate N. America, 6.25% due 09/15/00 349,080
750,000 BHP Finance USA, 7.875% due 12/01/02 751,658
Delta Funding Home Equity Loan Trust Series 1997-1 Class A2,
441,249 6.92% due 5/25/15 438,628
Principal
Amount Value
------------------ -----------------
Fleet Credit Card Master Trust, Ser. 1995-F, Class A1, 6.05%
510,000 due 8/1/03 507,607
250,000 Morgan Stanley MTN, 5.75% due 2/15/01 246,743
276,404 National Auto Finance Ser 1996-1 A 6.33% due 12/21/02 275,713
Prime Credit Card Master Trust 1996-1 Class A 6.70%
500,000 due 7/15/04 497,340
----------------
----------------
4,026,879
----------------
----------------
Healthcare Services - 3.27%
1,200,000 Tenet Healthcare Corp., 8.825% due 12/1/03 1,182,000
----------------
----------------
Insurance - 2.53%
825,000 Geico Corporation, 9.15% due 9/15/21 913,613
----------------
----------------
Machinery - 0.27%
100,000 Ingersoll-Rand Company 6.255% due 2/15/01 98,976
----------------
----------------
Manufacturing - 0.35%
125,000 ADT Operations 8.25% due 8/01/00 125,573
----------------
----------------
Metals/Mining - 3.05%
1,200,000 Cyprus Minerals, Inc., 6.625% due 10/15/05 1,104,960
----------------
----------------
Multimedia - 2.82%
1,000,000 Westinghouse Electric CBS, 8.375% due 6/15/02 1,018,550
----------------
----------------
Oil/Gas - 0.76%
275,000 Amoco Canada Petro Company LTD, 7.25% due 12/01/02 275,063
----------------
----------------
Pharmaceuticals -2.83%
1,000,000 American Home Products 7.9% due 2/15/05 1,022,290
----------------
----------------
Power/Utility - 2.34%
150,000 Public Service Electric & Gas, 7.875% due 11/01/01 151,260
700,000 Southern California Edison, 5.875% due 1/15/01 693,826
----------------
----------------
845,086
----------------
----------------
Telecommunications - 0.53%
190,000 GTE Corporation 9.375% due 12/1/00 193,350
----------------
----------------
Transportation - 3.37%
1,300,000 Union Pacific Corp., 6.12% due 2/1/04 1,220,986
----------------
----------------
Waste Disposal - 3.35%
500,000 WMX Technologies, 6.70% due 5/1/01 487,965
750,000 WMX Technologies, 7.125% due 6/15/01 725,888
----------------
----------------
1,213,853
----------------
----------------
Total Corporate Notes & Bonds (Cost-$18,644,304) $ 18,048,699
----------------
Total Investments (Cost-$36,730,916) 98.60% $35,675,027
----------------
----------------
Other Assets in Excess of Other Liabilities 1.40% 505,943
----------------
----------------
Total Net Assets 100.00% $ 36,180,970
=========== ================
=========== ================
</TABLE>
MTN - Medium Term Note
See accompanying notes to financial statements.
February 29, 2000 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
MUNICIPAL BOND PORTFOLIO
24
<TABLE>
<S> <C> <C> <C> <C>
Principal
Amount Value
--------------- ----------------
MUNICIPAL BONDS - 97.52%
ARIZONA - 4.21%
Water/Sewer
$ 500,000 Sedona Arizona Wastewater, 4.75% due 7/1/27 $ 407,755
----------------
----------------
CALIFORNIA - 8.57%
Education - 3.03%
California State Public Works Board Lease Revenue Various
50,000 California State University Projects, 6.00% due 9/1/15 53,022
California State Public Works Board Lease Revenue, 5.375%
250,000 due 10/1/17 240,233
----------------
----------------
293,254
----------------
----------------
Housing - 3.67%
California Housing Finance Agency Single Family Mortgage,
385,000 5.30% due 8/1/18 355,501
----------------
----------------
Turnpike/Toll - 1.88%
Foothill/Eastern Corridor Agency California Toll Road Revenue
200,000 Refunding 5.75% due 1/15/40 181,848
----------------
----------------
COLORADO - 1.56%
Health/Hospitals
150,000 Denver Colorado City & County Hospital, 6.00% due 10/1/15 151,548
----------------
----------------
FLORIDA - 0.37%
Education
35,000 Dade County Florida School Board Ser. A, 5.75% due 5/1/12 36,340
----------------
----------------
GEORGIA - 7.68%
Airport - 3.13%
305,000 Atlanta Georgia Airport Facilities Revenue, 6.25% due 1/01/21 303,213
----------------
----------------
Education - 2.34%
215,000 Jackson County Georgia School District, 6.00% due 7/1/14 227,266
----------------
----------------
General Obligation - 2.20%
200,000 Georgia State Ser. B, 6.250% due 4/1/07 213,528
----------------
----------------
HAWAII -4.43%
General Obligation
505,000 Hawaii State Ser CR, 4.75 due 4/01/18 428,937
----------------
----------------
ILLINOIS - 4.44%
Health/Hospitals
Illinois Health Facilities Authority Northwestern Medical Facility
500,000 Foundation, 5.00% due 11/15/18 430,085
----------------
----------------
Principal
Amount Value
--------------- ----------------
IOWA - 0.54%
Water/Sewer
50,000 West Des Moines Iowa Water Revenue, 6.80% due 12/1/13 52,611
----------------
----------------
KENTUCKY - 1.02%
Turnpike/Toll
Kentucky State Turnpike Authority Economic Development,
100,000 5.625% due 7/1/15 99,130
----------------
----------------
LOUISIANA - 1.58%
General Obligation
150,000 New Orleans Louisiana, 6.125% due 10/1/16 153,039
----------------
----------------
MARYLAND - 3.17%
Resource Recovery
Maryland State Energy Financing Adiministration Solid Waste
Disposal Revenue Wheelabrator Water Projects, 6.30%
300,000 due 12/01/10 307,257
----------------
----------------
MISSOURI - 0.42%
Housing
Missouri State Housing Development Commission GNMA Backed
40,000 Sec-C, 6.90% due 7/1/18 40,966
----------------
----------------
NEBRASKA - 0.41%
Power/Utility
40,000 Omaha Nebraska Public Power Distribution, 5.50% due 2/1/14 39,882
----------------
----------------
NEVADA - 1.54%
Housing
150,000 Nevada Housing Division - Single Family Ser. A, 6.15% due 4/1/17 149,676
----------------
----------------
NEW YORK - 10.74%
Education - 1.33%
New York State Dormitory Authority City University, 5.75%
125,000 due 7/1/09 129,091
----------------
----------------
General Obligation - 7.16%
200,000 New York New York Ser. A, 6.50% due 7/15/06 214,280
500,000 New York, NY Ser E, 5.25% due 2/1/12 479,450
----------------
----------------
693,730
----------------
----------------
Housing - 0.78%
75,000 New York State Mortgage Agency Ser. 54, 6.10% due 10/1/15 75,968
----------------
----------------
Pollution Control - 0.42%
New York State Environmental Facilities Corporation Pollution
40,000 Control, 5.875% due 6/15/14 40,488
----------------
----------------
Transportation - 1.05%
100,000 Metropolitan Transportation Authority New York, 5.50% due 7/1/08 101,731
----------------
Principal
Amount Value
--------------- ----------------
NORTH DAKOTA - 6.01%
Housing
250,000 North Dakota State Housing Finance Agency Ser. A, 5.25% due 7/1/18 223,418
390,000 North Dakota State Housing Finance Agency Ser. C, 5.50% due 7/1/18 359,502
----------------
----------------
582,920
----------------
----------------
OHIO - 5.13%
General Obligation - 4.54%
500,000 Akron Ohio, 5.00% due 12/1/18 440,530
----------------
----------------
Health/Hospitals - 0.58%
50,000 Lorain County Ohio Hospital Medical Center, 7.75% due 11/1/13 56,252
----------------
----------------
PENNSYLVANIA - 4.24%
General Obligation - 2.94%
300,000 Pennsylvania State Second Series, 5.00% due 11/15/12 285,333
----------------
----------------
Tax Allocation - 0.77%
Philadelphia Pennsylvania Municipal Authority Series A, 5.625%
75,000 due 11/15/14 74,511
----------------
----------------
Water/Sewer - 0.53%
Pittsburgh Pennsylvania Water & Sewer Authority Series B, 5.600%
50,000 due 9/1/15 51,332
----------------
----------------
PUERTO RICO - 0.68%
Power/Utility
65,000 Puerto Rico Electric Power Authority, 6.00% due 7/1/15 66,112
----------------
----------------
SOUTH CAROLINA - 6.84%
Health/Hospitals - 2.32%
Spartanburg County South Carolina Health Services Series B, 5.125%
250,000 due 4/15/17 224,545
----------------
----------------
Power/Utility - 4.52%
Piedmont Municipal Power Agency South Carolina Electric Revenue
500,000 Ser A, 5.00% due 1/1/18 438,195
----------------
----------------
TEXAS - 5.77%
Education - 2.20%
250,000 Houston Texas Independent School District Ser. A, 5.00% due 2/15/24 213,640
----------------
----------------
General Obligation - 1.01%
75,000 Houston Texas Ser. C, 5.25% due 4/1/14 71,618
25,000 San Antonio Texas Certificates of Obligation, 6.625% due 8/1/14 26,610
----------------
----------------
98,228
----------------
Housing - 2.03%
Texas State Veterans Housing Assistance Program Ser B, 5.75%
200,000 due 12/1/2013 196,994
----------------
Principal
Amount Value
--------------- ----------------
Power/Utility - 0.52%
50,000 Brazos River Authority Texas Revenue, 5.800% due 8/01/15 50,009
----------------
----------------
UTAH - 3.52%
General Obligation
400,000 Clearfield City Utah, 5.00% due 2/1/23 341,224
----------------
----------------
WASHINGTON - 3.02%
Education - 2.55%
Spokane Cnty Washington School District No. 356 Ser A, 5.45%
250,000 due 6/1/2013 247,098
----------------
----------------
Power/Utility - 0.47%
35,000 Seattle Washington Light & Power Series A, 5.75% due 8/1/11 35,568
Washington State Public Power Supply Nuclear Project No. 1
10,000 Series B, 7.25%7/1/12 10,302
----------------
----------------
45,870
----------------
----------------
WASHINGTON D.C. - 2.06%
Public Facilities
Washington DC Convention Center Authority Dedicated Tax
250,000 Revenue Senior Lien, 4.75% due 10/01/28 199,505
----------------
----------------
WISCONSIN - 9.31%
Education - 6.28%
Wisconsin State Health & Educational Facilities Authority Series A,
400,000 5.250% due 8/15/19 353,260
300,000 Wisconsin State Health & Educational Facilities, 5.25% due 8/15/27 255,540
----------------
----------------
608,800
----------------
----------------
Housing - 3.03%
Wisconsin Housing & Economic Development Home Ownership,
300,000 6.200% due 3/1/27 293,691
----------------
WYOMING- 0.26%
Housing
Wyoming Community Development Authority Housing, 6.65%
25,000 due 12/1/06 25,363
----------------
----------------
Total Investments (Cost-$10,094,719) 97.52% $ 9,452,993
----------------
----------------
Other Assets in Excess of Other Liabilities 2.48%
239,990
----------------
----------------
Total Net Assets 100.00% $ 9,692,983
============== ================
============== ================
</TABLE>
FRN - Floating Rate Note
See accompanying notes to financial statements.
February 29, 2000 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
U.S. GOVERNMENT MONEY MARKET PORTFOLIO
28
<TABLE>
<S> <C> <C> <C> <C>
Principal
Amount Value
--------------- ----------------
--------------- ----------------
U.S. GOVERNMENT NOTES - 100.02%
Federal Farm Credit Bank Discount Notes - 8.56%
$ 52,000 5.55% due 3/23/00 $ 51,824
184,000 5.80% due 3/27/00 183,229
268,000 5.63% due 3/30/00 266,785
137,000 5.70% due 3/31/00 136,349
73,000 5.62% due 4/4/00 72,613
259,000 5.68% due 4/4/00 257,612
2,830,000 5.75% due 4/20/00 2,807,399
87,000 5.77% due 8/10/00 84,741
----------------
----------------
Total Federal Farm Credit Bank (Cost-$3,860,551) $ 3,860,551
----------------
----------------
Federal Home Loan Bank Discount Notes - 15.87%
373,000 5.80% due 3/22/00 371,738
120,000 5.83% due 4/7/00 119,281
1,232,000 5.68% due 4/12/00 1,223,836
3,204,000 5.70% due 4/12/00 3,182,693
2,000,000 5.15% due 5/17/00 2,000,000
265,000 5.67% due 5/26/00 261,411
Total Federal Home Loan Bank Discount Notes
----------------
----------------
(Cost-$7,158,959) $ 7,158,959
----------------
----------------
Federal Home Loan Mortgage Discount Notes - 25.02%
4,101,000 5.66% due 3/8/00 4,096,486
768,000 5.65% due 3/14/00 766,433
50,000 5.60% due 4/4/00 49,736
3,495,000 5.75% due 4/11/00 3,472,113
2,507,000 5.69% due 4/20/00 2,487,187
142,000 5.72% due 4/20/00 140,872
175,000 5.75% due 7/6/00 171,450
105,000 5.67% due 8/11/00 102,281
Total Federal Home Loan Mortgage Discount Notes
----------------
----------------
(Cost-$11,286,558) $ 11,286,558
----------------
----------------
Federal National Mortgage Association - 50.57%
656,000 5.60% due 3/1/00 656,000
4,500,000 5.60% due 3/2/00 4,499,300
4,775,000 5.62% due 3/2/00 4,774,254
170,000 5.55% due 3/7/00 169,843
246,000 5.57% due 3/7/00 245,772
22,000 5.58% due 3/28/00 21,908
32,000 5.71% due 4/3/00 31,833
1,729,000 5.72% due 4/20/00 1,715,264
1,147,000 5.75% due 5/11/00 1,133,993
Principal
Amount Value
--------------- ----------------
1,394,000 5.77% due 5/25/00 1,375,008
518,000 5.82% due 5/25/00 510,882
50,000 5.88% due 6/8/00 49,192
2,875,000 5.78% due 7/13/00 2,813,145
2,745,000 5.79% due 7/20/00 2,682,750
2,171,000 5.80% due 7/20/00 2,121,682
10,000 5.88% due 8/3/00 9,747
----------------
Total Federal National Mortgage Association (Cost-$22,810,573) $ 22,810,573
----------------
----------------
Total Investments (Cost-$45,116,641) 100.02% $ 45,116,641
----------------
----------------
Other Liabilities in Excess of Other Assets (0.02%) (10,928)
----------------
----------------
Total Net Assets 100.00% $ 45,105,713
==================== ================
==================== ================
</TABLE>
See accompanying notes to financial statements.
February 29, 2000 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
30
------------- ------------- ------------- -------------- ------------- ------------ --------------
U.S.
Large Large Investment Government
CapitalizationCapitalization Small International Quality Municipal Money
Value Growth Capitalization Equity Bond Bond Market
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
------------- ------------- ------------- -------------- ------------- ------------ --------------
Assets
Investments, (including
repurchase
agreements of $0, $0,
$4,824,000, $0, $0
$0, $0 respectively), at value
(cost -
$78,298,055; $89,247,760;
$44,360,091;
$26,661,689; $36,730,916;
$10,094,719
and $45,116,641, respectively; $72,552,984 $149,019,822 $41,649,155 $37,366,603 $35,675,027 $9,452,993 $45,116,641
note 1f)
Cash - 920,834 277 1,906,832 - 146,889 78,079
Receivable for shares of
beneficial
interest sold 423,167 542,754 384,827 369,534 53,886 1,164 386,136
Receivable for investments sold 1,490,242 5,440,169 2,459,627 - 286,070 - -
Interest receivable 2,336 469 - 574,501 126,862
- 81,256
Dividends receivable 130,453 55,950 8,790 14,861 - - -
Foreign taxes receivable 25,544
- - - - - -
Prepaid expenses and other assets 21,671 22,133 12,593 11,829 13,666 16,338 15,772
------------- ------------- ------------- -------------- ------------- ------------ -----------
Total Assets 74,618,517 156,003,998 44,515,738 39,695,203 36,603,150 9,744,246 45,677,884
------------- ------------- ------------- -------------- ------------- ------------ -----------
Liabilities
Payable to manager 39,076 74,168 22,686 23,067 16,129 4,665 17,270
Administration fee payable 5,391 10,232 3,130 2,758 2,630 682 3,260
Payable for shares of beneficial
interest redeemed 324,358 628,799 80,515 655,754 177,829 2,103 488,757
Payable for investments purchased 1,916,433 7,900,151 - - - - -
Other payables and accrued 9,049 34,164 96,073 20,996 225,592 43,813 62,884
expenses
------------- ------------- ------------- -------------- ------------- ----------------------
Total Liabilities 2,294,307 8,647,514 202,404 702,575 422,180 51,263 572,171
------------- ------------- ------------- -------------- ------------- ----------------------
Net Assets
Shares of beneficial interest at 44,355 46,610 39,153 23,819 37,115 10,099 232,408
par value
Paid-in-surplus 78,330,075 78,629,881 41,925,591 27,000,442 37,831,925 10,423,545 44,879,442
Accumulated undistributed net
investment
income (loss) 129,459 (220,933) (113,426) (118,519) 961 2,046 (2,931)
Accumulated net realized gain
(loss) on
investments and foreign
currency (434,608) 9,128,864 5,172,952 1,381,972 (633,142) (100,981) (3,206)
transactions
Net unrealized appreciation
(depreciation)
on investments (5,745,071) 59,772,062 (2,710,936) 10,704,914 (1,055,889) (641,726) -
------------- ------------- ------------- -------------- ------------- ----------------------
Total Net Assets $72,324,210 $147,356,484 $44,313,334 $38,992,628 $36,180,970 $9,692,983 $45,105,713
============= ============= ============= ============== ============= ======================
Net Asset Value per Share
Class I
Net Assets $68,784,387 $140,766,290 $42,650,063 $37,843,343 $34,944,817 $9,608,467 $44,018,691
Shares of beneficial interest 4,216,723 4,449,654 3,767,126 2,310,842 3,584,644 1,001,145 44,026,707
outstanding
------------- ------------- ------------- -------------- ------------- ----------------------
Net asset value and offering
price per $16.31 $31.64 $11.32 $16.38 $9.75 $9.60 $1.00
Share
============= ============= ============= ============== ============= ======================
Net Asset Value per Share
Class B
Net Assets $430,149 $659,005 $157,056 $189,382 $84,456 $8,274 $92,745
Shares of beneficial interest 26,618 21,200 14,032 11,697 8,670 862 92,744
outstanding
------------- ------------- ------------- -------------- ------------- ---------------------
Net asset value and offering
price per $16.16 $31.08 $11.19 $16.19 $9.74 $9.60 $1.00
Share
============= ============= ============= ============== ============= =====================
Net Asset Value per Share
Class C
Net Assets $3,109,674 $5,931,189 $1,506,215 $959,903 $1,151,697 $76,242 $994,277
Shares of beneficial interest 192,143 190,057 134,144 59,253 118,055 7,943 994,293
outstanding
------------- ------------- ------------- -------------- -------------- ----------- --------
Net asset value and offering
price per $16.18 $31.21 $11.23 $16.20 $9.76 $9.60 $1.00
Share
============= ============= ============= ============== ============== =========== ========
See accompanying notes to financial statements.
</TABLE>
Six Months Ended February 29, 2000 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
31
-------------- -------------- --------------- -------------- --------------- -------------- ---------
U.S.
Large Large Investment Government
Capitalization Capitalization Small International Quality Municipal Money
Value Growth Capitalization Equity Bond Bond Market
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
------------- -------------- --------------- -------------- --------------- -------------- ----------
Investment Income
Dividends $517,769 (1) $365,207 $112,832 $78,016 (1) $0 $0 $ 0
Interest 155,802 38,517 29,230 1,300,396 299,870 1,346,040
-
------------- -------------- --------------- -------------- --------------- -------------- ----------
Total investment income 673,571 403,724 142,062 78,016 1,300,396 299,870 1,346,040
------------- -------------- --------------- -------------- --------------- -------------- ----------
Operating Expenses
Management fees (notes 2a,
2e) 267,115 438,455 130,452 133,423 112,777 29,176 120,271
Administration fees (note
2c) 25,480 40,040 12,740 9,100 14,560 4,550 18,200
Transfer and dividend
disbursing agent fees 45,500 63,700 27,300 24,570 34,580 9,100 36,400
Custodian fees (note 2a) 26,527 34,206 51,127 30,425 30,736 29,976 27,354
Registration fees 15,252 11,946 12,107 10,372 10,720 9,169 13,535
Auditing fees 7,156 7,156 7,156 7,156 7,156 7,156 7,156
Reports and notices to
shareholders 5,460 11,874 6,574 2,513 5,460 - 6,572
Legal fees 9,100 10,010 7,280 4,550 5,096 1,820 6,370
Trustees' fees 1,820 9,275 5,010 748 3,797 748 5,010
Distribution & service fees
(note 2d)
Class B 1,555 1,984 498 529 383 58 446
Class C 11,715 20,595 4,050 2,552 3,141 297 3,298
Miscellaneous 2,053 3,328 2,615 1,098 1,097 364 1,587
------------- -------------- --------------- -------------- --------------- -------------- ----------
Total operating expenses 418,733 652,569 266,909 227,036 229,503 92,414 246,199
Less: Management fees
waived and/or expenses
assumed (note 2a) (1,762) - - - - (27,515) -
Expense offset
arrangement (note 2a) (1,047) (26,016) (167) (28,605) (8,896) (856) (54)
------------- -------------- --------------- -------------- --------------- -------------- ----------
Net operating expenses 415,924 626,553 266,742 198,431 220,607 64,043 246,145
------------- -------------- --------------- -------------- --------------- -------------- ----------
Net investment income
(loss) 257,647 (222,829) (124,680) (120,415) 1,079,789 235,827 1,099,895
------------- -------------- --------------- -------------- --------------- -------------- ----------
Realized and Unrealized
Gain(Loss) on Investments-Net
Net realized gain (loss)
on securities 3,059,451 9,293,224 6,038,535 1,542,668 (588,000) (100,981) (843)
Net change in unrealized
Appreciation(depreciation)
on investments (13,477,242) 19,765,173 (498,574) 6,755,306 26,672 (297,386) -
-------------- -------------- --------------- -------------- --------------- -------------- -----------
Net realized gain (loss)
and change in unrealized
appreciation (depreciation)
on investments (10,417,791) 29,058,397 5,539,961 8,297,974 (561,328) (398,367) (843)
Net increase (decrease) in
net assets resulting from
operations ($10,160,144) $28,835,568 $5,415,281 $8,177,559 $518,461 ($162,540) $1,099,052
============== ============== =============== ============== =============== ============== ============
(1) Net of foreign withholding taxes of $4,037 and $11,029 for Large Capitalization Value and
International Equity, respectively.
See accompanying notes to financial statements.
</TABLE>
Six Months Ended February 29, 2000 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
32
-------------------------------- -------------------------------- ------------------------------
Large Capitalization Value Large Capitalization Growth Small Capitalization
Portfolio Portfolio Portfolio
-------------------------------- -------------------------------- ------------------------------
6 Mos. Ended Year Ended 6 Mos. Ended Year Ended 6 Mos. Ended Year Ended
February 29, 2000 August 31,1999 February 29, 2000 August 31,1999 February 29, 2000 August 31,1999
Operations
Net investment income (loss) $257,647 $551,397 ($222,829) ($382,898) ($124,680) ($196,421)
Net realized gain (loss) on
investments 3,059,451 3,911,254 9,293,224 7,636,240 6,038,535 538,422
Net change in unrealized appreciation
(depreciation) on investments (13,477,242) 4,723,895 19,765,173 30,990,758 (498,574) 8,450,520
--------------- --------------- --------------- ---------------- ---------------- ------------
Net increase (decrease) in net
assets resulting from operations (10,160,144) 9,186,546 28,835,568 38,244,100 5,415,281 8,792,521
--------------- --------------- --------------- ---------------- ---------------- ------------
Dividends and Distributions to
Shareholders
Net investment income
Class I (658,178) (238,346) - - - -
Class B (2,492) - - - - -
Class C (20,810) - - - - -
Net realized gain
Class I (7,097,607) (2,604,268) (7,263,382) (1,644,127) (477,007) (6,885,615)
Class B (26,868) - (21,967) - (1,052) -
Class C (224,407) - (232,902) - (10,630) -
Total dividends and distributions
to shareholders (8,030,362) (2,842,614) (7,518,251) (1,644,127) (488,689) (6,885,615)
--------------- --------------- --------------- ---------------- ---------------- --------------
Share Transactions of
Beneficial Interest
Net proceeds from shares sold
Class I 17,932,902 43,516,472 22,465,625 50,917,991 5,780,661 15,232,180
Class B 355,470 180,079 405,545 206,626 70,605 76,827
Class C 2,496,740 1,173,280 3,935,459 2,225,861 1,124,970 246,405
Reinvestment of dividends and
distributions
Class I 7,680,655 2,808,762 7,192,439 1,626,717 474,529 6,833,808
Class B 27,162 - 20,096 - 1,005 -
Class C 238,806 - 225,959 - 10,629 -
Cost of shares redeemed
Class I (17,834,333) (16,842,950) (25,185,919) (40,089,419) (6,586,306) (8,991,933)
Class B (32,783) - (19,011) (11) (1,749) -
Class C (143,465) (26,750) (999,162) (26,409) (19,816) (6,695)
Net increase in net assets from
share transactions of beneficial
interest 10,721,154 30,808,893 8,041,031 14,861,356 854,528 13,390,592
--------------- --------------- --------------- ---------------- ---------------- ------------
Total increase (decrease) in
net assets (7,469,352) 37,152,825 29,358,348 51,461,329 5,781,120 15,297,498
Net Assets
Beginning of period 79,793,562 42,640,737 117,998,136 66,536,807 38,532,214 23,234,716
--------------- --------------- --------------- ---------------- ---------------- -------------
End of period (including
undistributed
(overdistributed) net investment
income
of $129,459, $553,292; ($220,933),
$1,896; ($113,426), $11,254;
($118,519),
$182,952; $961; $1,896; $2,046,
$2,047; ($2,931), and $1,895,
respectively) $72,324,210 $79,793,562 $147,356,484 $117,998,136 $44,313,334 $38,532,214
=============== =============== =============== ================ ================ ===============
See accompanying notes to financial statements.
</TABLE>
Six Months Ended February 29, 2000
(Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- --------------------------------- -------------------------------- ------------------------------- -----------------------------
International Equity Portfolio Investment Quality Bond Municipal Bond U.S. Government Money Market
Portfolio Portfolio Portfolio
- --------------------------------- --------------------------------- ------------------------------ -----------------------------
6 Mos. Ended Year Ended 6 Mos. Ended Year Ended 6 Mos. Ended Year Ended 6 Mos. Ended Year Ended
Feb. 29, 2000 August 31,1999 Feb. 29, 2000 August 31,1999 Feb. 29, 2000 August 31,1999 Feb. 29, 2000 August 31,1999
- ----------------- --------------- ---------------- --------------- --------------- --------------- --------------- -------------
- ----------------- --------------- ---------------- --------------- --------------- --------------- --------------- -------------
($120,415) $238,631 $1,079,789 $1,952,674 $235,827 $430,743 $1,099,895 $1,821,251
1,542,668 703,979 (588,000) 94,374 (100,981) 78,058 (843) (138)
6,755,306 3,788,888 26,672 (1,593,458) (297,386) (807,644)
- -
- ----------------- --------------- ---------------- --------------- --------------- ---------------- --------------- -------------
- ----------------- --------------- ---------------- --------------- --------------- ---------------- --------------- -------------
8,177,559 4,731,498 518,461 453,590 (162,540) (298,843) 1,099,052 1,821,113
- ----------------- --------------- ---------------- --------------- --------------- ---------------- --------------- -------------
- ----------------- --------------- ---------------- --------------- --------------- ---------------- --------------- -------------
(178,106) (173,213) (1,064,744) (1,950,367) (234,581) (430,382) (1,090,494) (1,819,600)
(520) - (1,717) (159) (201) (24) (1,646) (142)
(2,430) - (14,263) (2,186) (1,046) (186) (12,581) (1,510)
(587,319) - (20,777) (225,023) (62,225) (43,266) - -
(1,245) - - - (48) - - -
(5,821) - - - (365) - - -
(775,441) (173,213) (1,101,501) (2,177,735) (298,466) (473,858) (1,104,721) (1,821,252)
- ----------------- --------------- ---------------- --------------- --------------- ---------------- --------------- -------------
- ----------------- --------------- ---------------- --------------- --------------- ---------------- --------------- -------------
8,797,665 13,305,963 8,135,188 23,031,923 1,119,110 5,637,079 25,322,528 50,062,160
103,207 65,536 20,166 64,322 19,143 8,604 39,152 70,317
705,512 365,497 983,491 293,323 39,116 46,798 1,469,210 350,624
600,042 171,246 1,028,449 2,128,885 291,591 468,341 1,069,987 1,777,737
1,763 - 1,713 177 217 29 1,558 153
8,249 - 14,251 2,239 1,409 182 12,322 1,522
(7,583,794) (8,226,685) (14,716,571) (18,093,662) (2,899,669) (3,571,865) (30,726,505) (41,973,797)
(3,842) - (300) (49) (18,687) - (18,435) -
(228,087) (16,947) (120,722) (8,367) (380) (8,296) (782,698) (56,687)
2,400,715 5,664,610 (4,654,335) 7,418,791 (1,448,150) 2,580,872 (3,612,881) 10,232,029
- ----------------- --------------- ---------------- --------------- --------------- ---------------- --------------- -------------
- ----------------- --------------- ---------------- --------------- --------------- ---------------- --------------- -------------
9,802,833 10,222,895 (5,237,375) 5,694,646 (1,909,156) 1,808,171 (3,618,550) 10,231,890
29,189,795 18,966,900 41,418,345 35,723,699 11,602,139 9,793,968 48,724,263 38,492,373
- ----------------- --------------- ---------------- --------------- --------------- ---------------- --------------- -------------
- ----------------- --------------- ---------------- --------------- --------------- ---------------- --------------- -------------
$38,992,628 $29,189,795 $36,180,970 $41,418,345 $9,692,983 $11,602,139 $45,105,713 $48,724,263
================= =============== ================ =============== =============== ================ =============== =============
================= =============== ================ =============== =============== ================ =============== =============
</TABLE>
Six Months Ended February 29, 2000 (Unaudited)
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
34
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Saratoga Advantage Trust (the "Trust") was organized on April 8, 1994 as a
Delaware Business Trust and is registered under the Investment Company Act of
1940, as amended, as a diversified, open-end management investment company. The
Trust commenced investment operations on September 2, 1994. The Trust consists
of seven portfolios: the U.S. Government Money Market Portfolio; the Investment
Quality Bond Portfolio; the Municipal Bond Portfolio; the Large Capitalization
Value Portfolio; the Large Capitalization Growth Portfolio; the Small
Capitalization Portfolio and the International Equity Portfolio. Saratoga
Capital Management (the "Manager") serves as the Trusts' manager. Each of the
Portfolios are provided with discretionary advisory services of an Adviser
identified, retained, supervised and compensated by the Manager. The following
serve as Advisers (the "Advisers") to their respective portfolio(s): OpCap
Advisors (formerly Quest for Value Advisors): Municipal Bond and Large
Capitalization Value; Fox Asset Management Inc.: Investment Quality Bond; Harris
Bretall Sullivan and Smith, Inc.: Large Capitalization Growth; Thorsell, Parker
Partners, Inc.: Small Capitalization; Sterling Capital Management Co.: U.S.
Government Money Market and Friend Ivory & Sime plc: International Equity.
Unified Fund Services, Inc. (the "Administrator") served as the Trust's
administrator until January 31, 2000. Funds Distributor, Inc. served as the
Trust's administrator effective February 1, 2000 pursuant to the Administration
Agreement dated September 21, 1999. Unified Fund Services, Inc. (the
"Distributor") served as the Trust's Distributor until September 20, 1999. Funds
Distributor, Inc. served as the Trust's Distributor effective September 21, 1999
pursuant to the Distribution Agreement dated September 21, 1999. On August 19,
1994, U.S. Government Money Market issued 100,000 shares to the Manager for
$100,000 to provide initial capital for the Trust.
Currently, each portfolio offers Class I, Class B and Class C shares. Each
class represents interest in the same assets of the applicable portfolio, and
the classes are identical except for differences in their sales charge
structures, ongoing service and distribution charges and certain transfer agency
expenses. In addition, Class B shares and all corresponding reinvested dividend
shares automatically convert to Class I shares approximately eight years after
issuance. All classes of shares have equal voting privileges except that each
class has exclusive voting rights with respect to its service and/or
distribution plan.
The following is a summary of significant accounting policies consistently
followed by each Portfolio:
(a) Valuation of Investments
Investment securities listed on a national securities exchange and
securities traded in the over-the-counter National Market System are valued at
the last reported sale price on the valuation date; if there are no such
reported sales, the securities are valued at the last quoted bid price. Other
securities traded over-the-counter and not part of the National Market System
are valued at the last quoted bid price. Investment debt securities (other than
short term obligations) are valued each day by an independent pricing service
approved by the Board of Trustees using methods which include current market
quotations from a major market maker in the securities and trader-reviewed
"matrix" prices. Short-term debt securities having a remaining maturity of sixty
days or less are valued at amortized cost or amortized value, which approximates
market value. Any securities or other assets for which market quotations are not
readily available are valued at their fair value as determined in good faith
under procedures established by the Board of Trustees. The ability of issuers of
debt securities held by the portfolios to meet their obligations may be affected
by economic or political developments in a specific state, industry or region.
U.S. Government Money Market values all of its securities on the basis of
amortized cost which approximates market value. Investments in countries in
which International Equity may invest may involve certain considerations and
risks not typically associated with domestic investments as a result of, among
others, the possibility of future political and economic developments and the
level of governmental supervision and regulation of foreign securities markets.
(b) Federal Income Tax
It is each Portfolio's policy to comply with the requirements of the
Internal Revenue Code applicable to regulated investment companies and to
distribute substantially all of its taxable and tax-exempt income to
shareholders; accordingly, no Federal income tax provision is required.
(c) Security Transactions and Other Income
Security transactions are recorded on the trade date. In determining the
gain or loss from the sale of securities, the cost of securities sold is
determined on the basis of identified cost. Dividend income is recorded on the
ex-dividend date and interest income is recorded on accrual basis. Discounts or
premiums on debt securities purchased are accreted or amortized to interest
income over the lives of the respective securities.
(d) Dividends and Distributions
The following table summarizes each Portfolio's dividend and capital gain
declaration policy:
Income
Dividends Capital Gains
----------------------------
Large Capitalization Value annually annually
Large Capitalization Growth annually annually
Small Capitalization annually annually
International Equity annually annually
Investment Quality Bond daily * annually
Municipal Bond daily * annually
U.S. Government Money Market daily * annually
* paid monthly
Each Portfolio records dividends and distributions to its shareholders on
the ex-dividend date. The amount of dividends and distributions from net
investment income and net realized gains are determined in accordance with
federal income tax regulations, which may differ from generally accepted
accounting principles. These "book-tax" differences are either permanent or
temporary in nature. To the extent these differences are permanent in nature,
such amounts are reclassified within the net asset accounts based on their
federal tax-basis treatment; temporary differences do not require
reclassification. 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.
(e) Allocation of Expenses
Expenses specifically identifiable to a particular Portfolio are borne by
that Portfolio. Other expenses are allocated to each Portfolio based on its net
assets in relation to the total net assets of all the applicable Portfolios or
another reasonable basis.
(f) Repurchase Agreements
The Trust, through its custodian, receives delivery of the underlying
securities, the market value of which at the time of purchase is required to be
in an amount at least equal to 101% of the resale price. The Manager is
responsible for determining that the amount of these underlying securities is
maintained at a level such that their market value is at all times equal to 101%
of the resale price. In the event of default of the obligation to repurchase,
the Trust has the right to liquidate the collateral and apply the proceeds in
satisfaction of the obligation.
(g) Other
The preparation of the financial statements in accordance with generally
accepted accounting principles requires management to make estimates and
assumptions that effect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
2. MANAGEMENT FEE, ADMINISTRATION FEE AND OTHER TRANSACTIONS WITH AFFILIATES
(a) The management fees are payable monthly by the Portfolio to the Manager
and are computed daily at the following annual rates of each Portfolio's average
daily net assets: .65% for Large Capitalization Value, Large Capitalization
Growth and Small Capitalization; .75% for International Equity; .55% for
Investment Quality Bond and Municipal Bond and .475% for U.S. Government Money
Market.
For the six months ended February 29, 2000, the Manager voluntarily
waived $1,762 and $27,515 for Large Capitalization Value and Municipal Bond,
respectively.
The Portfolios also benefit from an expense offset arrangement with their
custodian bank where uninvested cash balances earn credits that reduce monthly
fees.
(b) The Manager, not the Portfolios, pays a portion of its management fees
to the Advisers at the following annual rates of each Portfolios' average daily
net assets: .30% for Large Capitalization Value, Large Capitalization Growth and
Small Capitalization; .40% for International Equity; .20% for Investment Quality
Bond and Municipal Bond and .125% for U.S. Government Money Market.
(c) The administration fee is accrued daily and payable monthly to the
Administrator.
(d) The Portfolios have adopted a Plan of Distribution (the "Plan")
pursuant to Rule 12b-1 under the 1940 Act with respect to the distribution of
Class B and Class C shares of the Portfolios. The Plan provides that each
Portfolio will pay the Distributor or other entities a fee, which is accrued
daily and paid monthly, at the annual rate of 1.0% of the average net assets of
Class B and Class C shares. Up to 0..25% of average daily net assets may be paid
directly to the Manager for support services. A portion of the fee payable
pursuant to the Plan, equal to 0.25% of the average daily net assets, is
currently characterized as a service fee. A service fee is a payment made for
personal service and/or the maintenance of shareholder accounts.
(e) The Trust and the Manager have entered into an Excess Expense
Agreement (the "Expense Agreement") effective January 1, 1999. In connection
with the Expense Agreement the Manager is currently waiving its management fees
and/or assuming certain other operating expenses of the Portfolios in order to
maintain the expense ratios of each class of the Portfolios at or below
predetermined levels (each an "Expense Cap"). Under the terms of the Expense
Agreement, expenses borne by the Manager are subject to reimbursement by the
Portfolios up to five years from the date the fee or expense was incurred, but
no reimbursement will be made by a Portfolio if it would result in the Portfolio
exceeding its Expense Cap. The Expense Agreement can be terminated by either
party, without penalty, upon 60 days prior notice. For the six months ended
February 29, 2000, reimbursement payments were made by the following Portfolios
to the Manager under the terms of the Expense Agreement: $5,648, $1,276, $9,358,
$4,607, $936 and $9,358 for the Large Capitalization Value, Large Capitalization
Growth, Small Capitalization, International Equity, Investment Quality Bond and
Money Market Portfolios respectively.
3. PURCHASES AND SALES OF SECURITIES
For the six months ended February 29, 2000 purchases and sales of
investment securities, other than short-term securities were as follows:
Purchases Sales
----------------------------
Large Capitalization Value $50,881,478 $41,006,805
Large Capitalization Growth 34,419,657 32,459,929
Small Capitalization 10,141,613 16,534,415
International Equity 12,377,396 11,039,804
Investment Quality Bond 14,310,638 16,120,354
Municipal Bond 1,187,030 1,652,503
4. UNREALIZED APPRECIATION (DEPRECIATION) FOR FEDERAL INCOME TAX PURPOSES
At February 29, 2000, the composition of unrealized appreciation
(depreciation) of investment securities were as follows:
Appreciation (Depreciation) Net
-----------------------------------------
Large Capitalization Value $4,819,308 ($10,564,379) ($5,745,071)
Large Capitalization Growth 62,086,328 (2,314,266) 59,772,062
Small Capitalization 8,798,584 (11,509,520) (2,710,936)
International Equity 11,441,940 (737,026) 10,704,914
Investment Quality Bond 38,601 (1,094,490) (1,055,889)
Municipal Bond 42,505 (684,231) (641,726)
For U.S. federal income tax, the cost of securities owned at February 29, 2000
was substantially the same as the cost of securities for financial statement
purposes.
5. AUTHORIZED SHARES OF BENEFICIAL INTEREST AND PAR VALUE PER SHARE
Each Portfolio has unlimited Class I shares of beneficial interest
authorized with $.001 par value per share. Transactions in capital stock for the
I Class were as follows for the periods indicated:
(Unaudited)
6 Months Ended Year Ended
February 29, 2000 August 31, 1999
---------------- ---------------
Large Capitalization Value
Issued 936,845 2,133,762
Redeemed (949,942) (815,931)
Reinvested from
Dividends 417,417 144,855
---------------- ---------------
Net Increase in
Shares 404,320 1,462,686
---------------- ---------------
Large Capitalization Growth
Issued 764,778 2,054,585
Redeemed (8638,997) (1,573,032)
Reinvested from
Dividends 239,427 71,851
---------------- ---------------
Net Increase in
Shares 165,208 553,404
---------------- ---------------
Small Capitalization
Issued 564,517 1,541,540
Redeemed (631,683) (919,820)
Reinvested from
Dividends 51,024 795,518
---------------- ---------------
Net Increase
(Decrease) in Shares (16,142) 1,417,238
---------------- ---------------
International Equity
Issued 583,647 1,115,375
Redeemed (492,320) (686,830)
Reinvested from
Dividends 38,444 14,969
---------------- ---------------
Net Increase in
Shares 129,771 443,514
---------------- ---------------
Investment Quality Bond
Issued 825,239 2,250,732
Redeemed (1,501,331) (1,776,225)
Reinvested from
Dividends 104,760 209,194
---------------- ---------------
Net Increase
(Decrease) in Shares (571,332) 683,701
---------------- ---------------
Municipal Bond
Issued 116,179 534,305
Redeemed (300,754) (336,987)
Reinvested from
Dividends 30,144 44,442
---------------- ---------------
Net Increase
(Decrease) in Shares (154,431) 241,760
---------------- ---------------
U.S. Government Money Market
Issued 25,322,527 50,062,160
Redeemed (30,726,505) (41,973,797)
Reinvested from
Dividends 1,069,987 1,777,737
---------------- ---------------
Net Increase
(Decrease) in Shares (4,333,991) 9,866,100
---------------- ---------------
Each Portfolio has unlimited Class B and Class C shares of beneficial interest
authorized with $.001 par value per share. Transactions in capital stock for the
Class B and Class C shares were as follows for the period indicated:
<TABLE>
<S> <C> <C> <C> <C> <C>
Class B Class C
(Unaudited) Period from (Unaudited) Period from
6 Months 1/4/99* 6 Months 1/4/99*
Ended 2/29/00 to 8/31/99 Ended 2/29/00 to 8/31/99
----------------------------------- -----------------------------------
Large Capitalization Value
Issued 18,643 8,367 131,690 56,675
Redeemed (1,880) - (8,067) (1,212)
Reinvested from
Dividends 1,488 - 13,057 -
----------------- ------------------ -----------------------------------
Net Increase in
Shares 18,251 8,367 136,680 55,463
----------------------------------- -----------------------------------
Large Capitalization Growth
Issued 13,645 7,611 136,292 83,457
Redeemed (733) - (36,312) (980)
Reinvested from
Dividends 677 - 7,600 -
----------------------------------- -----------------------------------
Net Increase in
Shares 13,589 7,611 107,580 82,477
----------------------------------- -----------------------------------
Small Capitalization
Issued 6,838 7,276 110,766 24,889
Redeemed (191) - (1,932) (729)
Reinvested from
Dividends 109 - 1,150 -
----------------- ------------------ ----------------------------------
Net Increase in
Shares 6,756 7,276 109,984 24,160
----------------------------------- -----------------------------------
International Equity
Issued 6,724 5,159 47,172 30,308
Redeemed (300) - (17,361) (1,399)
Reinvested from
Dividends 114 - 533 -
----------------- ------------------ ---------------------------------
Net Increase in
Shares 6,538 5,159 30,344 28,909
----------------------------------- ----------------------------------
Investment Quality Bond
Issued 2,048 6,465 100,150 29,380
Redeemed (31) (5) (12,312) (843)
Reinvested from
Dividends 175 18 1,455 225
----------------------------------- ---------------------------------
Net Increase in
Shares 2,192 6,478 89,293 28,762
----------------------------------- ---------------------------------
Municipal Bond
Issued 1,927 837 4,036 4,598
Redeemed (1,927) - (40) (815)
Reinvested from
Dividends 22 3 146 18
----------------- ------------------ -----------------------------
Net Increase in
Shares 22 840 4,142 3,801
----------------------------------- ------------------------------
U.S. Government Money Market
Issued 39,151 70,317 1,469,197 350,624
Redeemed (18,435) - (782,698) (56,688)
Reinvested from
Dividends 1,558 153 12,322 1,522
----------------- ------------------ ---------------------------
Net Increase in
Shares 22,274 70,470 698,821 295,458
----------------------------------- -----------------------------------
* Commencement of offering
</TABLE>
6. CAPITAL LOSS CARRYFORWARDS
At August 31, 1999, the following portfolios had, for Federal income tax
purposes, unused capital loss carryforwards available to offset future capital
gains through the following fiscal years ended August 31:
<TABLE>
<S> <C> <C> <C> <C> <C>
Name of Portfolio Total 2005 2006 2007
----------------- ----- ---- ---- ----
U.S. Government Money Market Portfolio $2,309 $32 $187 $2,090
</TABLE>
In accordance with U.S. Treasury regulations, the following Portfolios have
incurred and will elect to defer realized capital losses arising after October
31, 1998 ("Post-October losses"). Such losses are treated for tax purposes as
arising on the first business day of the Portfolio's next taxable year
(September 1, 1999).
Capital
Losses
------------------
Large Capitalization Value Portfolio $
-
Large Capitalization Growth Portfolio
-
Small Capitalization Portfolio
-
International Equity Portfolio
-
Investment Quality Bond Portfolio 24,365
Municipal Bond Portfolio
-
U.S. Government Money Market Portfolio 54
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (For a share outstanding throughout each period)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
INCOME FROM DIVIDENDS AND
INVESTMENT OPERATIONS DISTRIBUTIONS RATIOS
--------------------------------------------------------------------- -----------------------------
Ratio
Distributions Ratio of Net
Net to of Net Investment
Realized Dividends Shareholders Operating Income
Net Asset And to from Net Net Net Expenses (Loss)
Value, Unrealized Total Shareholders Realized Asset Assets to to
Beginning Net Investment Gain(Loss) from Net Gains Value, End of Average Average Portfolio
of Income on Investment Investment on End of Total Period Net Net Turnover
Period (Loss) Investments Operations Income Investments Period Return* (000's)Assets(2) Assets(2) Rate
Large Capitalization Value Portfolio (Class C)
September 1, 1999 to
February 29, 2000
(Unaudited) $20.52 $0.02 ($2.39) ($2.37) ($0.17) ($1.80) $16.18 (12.67%) $3,11 1.79% (0.09%) 54%
January 4, 1999 (1)
to August 31, 1999 20.21 0.04 0.27 0.31 -- -- 20.52 1.53% 1,138 0.61% 0.56% 67%
(1) During the fiscal year ended August 31,1999, Saratoga Capital
Management waived a portion of its management fees. During all other time
periods presented above, Saratoga Capital Management waived all of its fees and
assumed a portion of the operating expenses. Additionally, for the periods
presented above, 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 of net investment income (loss) to average daily
net assets would have been 1.41% and 1.36 % respectively, for the year ended
August 31, 1999.
Large Capitalization Growth Portfolio (Class C)
September 1, 1999 to
February 29, 2000
(Unaudited) $26.78 ($0.01) $6.10 $6.09 -- ($1.66) $31.21 23.24% $5,931 1.86% (1.28%) 24%
January 4, 1999 (1)
to August 31, 1999 24.74 (0.10) 2.14 2.04 -- -- 26.78 8.25% 2,209 1.22% (0.82%) 39%
(1) During the fiscal year ended August 31,1999, Saratoga Capital
Management waived a portion of its management fees. During all other time
periods presented above, Saratoga Capital Management waived all of its fees and
assumed a portion of the operating expenses. Additionally, for the periods
presented above, 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 of net investment income (loss) to average daily
net assets would have been 1.34% and 0.94 % respectively, for the year ended
August 31, 1999.
Small Capitalization Portfolio (Class C)
September 1, 1999 to
February 29, 2000
(Unaudited) $10.06 ($0.02) $1.31 $1.29 -- ($0.12) $11.23 13.11% $1,506 1.62% (0.92%) 27%
January 4, 1999 (1)
to August 31, 1999 9.33 (0.02) 0.75 0.73 -- -- 10.06 13.72% 243 1.46% (1.09%) 32%
(1) During the fiscal year ended August 31,1999, Saratoga Capital
Management waived a portion of its management fees. During all other time
periods presented above, Saratoga Capital Management waived all of its fees and
assumed a portion of the operating expenses. Additionally, for the periods
presented above, 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 of net investment income (loss) to average daily
net assets would have been 1.56% and (1.19 %) respectively, for the year ended
August 31, 1999.
International Equity Portfolio (Class C)
September 1, 1999 to
February 29, 2000
Unaudited) $13.10 ($0.05) $3.41 $3.36 ($0.08) ($0.18) $16.20 25.75% $960 2.09% (1.72%) 32%
January 4, 1999 (1)
to August 31, 1999 12.29 0.02 0.79 $ 0.81 -- -- 13.10 6.59% 380 1.15% 0.20% 46%
(1) During the fiscal year ended August 31,1999, Saratoga Capital
Management waived a portion of its management fees. During all other time
periods presented above, Saratoga Capital Management waived all of its fees and
assumed a portion of the operating expenses. Additionally, for the periods
presented above, 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 of net investment income (loss) to average daily
net assets would have been 1.29% and 0.34 % respectively, for the year ended
August 31, 1999.
Investment Quality Bond Portfolio (Class C)
September 1, 1999 to
February 29, 2000
(Unaudited) $9.89 $0.22 ($0.13) $0.09 ($0.22) -- $9.76 0.93% $1,152 1.88% 4.49% 38%
January 4, 1999 (1)
to August 31, 1999 10.29 0.28 (0.40) (0.12) (0.28) -- 9.89 (1.21%) 284 1.26% 2.69% 62%
(1) During the fiscal year ended August 31,1999, Saratoga Capital
Management waived a portion of its management fees. During all other time
periods presented above, Saratoga Capital Management waived all of its fees and
assumed a portion of the operating expenses. Additionally, for the periods
presented above, 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 of net investment income (loss) to average daily
net assets would have been 1.30% and 2.73 % respectively, for the year ended
August 31, 1999.
Municipal Bond Portfolio (Class C)
September 1, 1999 to
February 29, 2000
(Unaudited) $10.00 $0.16 ($0.33) ($0.17) ($0.17) ($0.06) $9.60 (1.75%) $76 2.21% 3.52% 12%
January 4, 1999 (1)
to August 31, 1999 10.66 0.25 (0.68) (0.43) (0.23) -- 10.00 (4.12%) 38 0.68% 2.64% 23%
(1) During the fiscal year ended August 31,1999, Saratoga Capital
Management waived a portion of its management fees. During all other time
periods presented above, Saratoga Capital Management waived all of its fees and
assumed a portion of the operating expenses. Additionally, for the periods
presented above, 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 of net investment income (loss) to average daily
net assets would have been 1.82% and 3.78 % respectively, for the year ended
August 31, 1999.
U.S. Government Money Market Portfolio (Class C)
September 1, 1999 to
February 29, 2000
(Unaudited) $1.000 $0.018 -- $0.018 $0.018 -- $1.000 1.86% $994 1.82% 3.80% n/a
January 4, 1999 (1)
to August 31, 1999 1.000 0.022 -- 0.022 (0.022) -- 1.000 1.99% 295 1.22% 2.03% n/a
</TABLE>
(1) During the fiscal year ended August 31,1999, Saratoga Capital
Management waived a portion of its management fees. During all other time
periods presented above, Saratoga Capital Management waived all of its fees and
assumed a portion of the operating expenses. Additionally, for the periods
presented above, 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 of net investment income (loss) to average daily
net assets would have been 1.26% and 2.07 % respectively, for the year ended
August 31, 1999.
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(1) Commencement of offering.
(2) Annualized
* Assumes reinvestment of all dividends and distributions. Aggregate
(not annualized) total return is shown for any period shorter than one year.
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