THE SARATOGA ADVANTAGE TRUST
ANNUAL REPORT
AS OF AUGUST 31, 2000
CLASS I SHARES
TABLE OF CONTENTS
Chairman's Page 1
Letter................................................................
Investment Page 3
Review................................................................
Schedules of Page 17
Investments...........................................................
Statements of Assets and Page 38
Liabilities...........................................................
Statements of Page 39
Operations............................................................
Statements of Changes in Net Assets................................... Page 40
Notes to Financial Page 42
Statements............................................................
Financial Page 47
Highlights............................................................
Independent Auditor's Page 51
Report................................................................
Tax Information....................................................... Page 52
This report is authorized for distribution only to shareholders and to
others who have received a copy of the prospectus.
TRUSTEES AND OFFICERS
Bruce E. Ventimiglia Trustee, Chairman, President & CEO
Patrick H. McCollough Trustee
Udo W. Koopmann Trustee
Floyd E. Seal Trustee
Stephen Ventimiglia Vice President
Scott C. Kane Vice President & Secretary
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 & Trust Company State Street Bank & Trust Company
P.O. Box 8514 P.O. Box 351
Boston, MA 02266 Boston, MA 02101
THE SARATOGA ADVANTAGE TRUST
Annual Report to Shareholders
October 23, 2000
Dear Shareholder:
We are pleased to provide you with this annual report on the investment
strategies and performance of the portfolios in the Saratoga Advantage Trust
(the 'Trust'). This report covers the twelve months from September 1, 1999
through August 31, 2000. In light of recent stock market volatility, it is
timely to revisit the importance of utilizing a sound asset allocation strategy
for your serious, 'core' assets.
Asset Allocation - The Investment 'Compass' That Provides Investors With An
Opportunity To Remove Investment Extremes
As I discussed in a prior Annual Report to Shareholders, asset allocation
is an investor's investment balance between stocks, bonds, money market funds
and other assets. A key goal of asset allocation is to establish a 'comfortable'
blend of investments that helps keep investors invested long-term to try to
achieve their investment goals, such as: college education funding or supporting
a dignified retirement. To help investors establish a comfortable blend of
investments, many asset allocation programs will assist them in evaluating their
risk tolerances, income needs and investment time horizons.
A well-designed asset allocation strategy often times results in investors
investing in a blend of asset classes (for example, a combination of stock, bond
and money market mutual funds). By investing in a blend of various asset classes
instead of investing at the extremes in only one asset class (such as only
investing in money market funds - a relatively conservative investment approach,
or only investing in stock funds - a relatively aggressive investment posture),
investors should expect to get blended rates of return and risk over the long
haul. On the other hand, investors investing at the extremes should expect to
get extreme rates of return and risk over the long run (that is, low rates of
return accompanied by low risk, or high rates of return along with high risk).
Using asset allocation as an investment 'compass' can help investors find a
comfortable blend of investments that matches their risk tolerances. A
well-established asset allocation strategy can help investors to stay
disciplined and patient through full market cycles (i.e., through both market
declines and advances). To achieve long-term investment goals, it is important
that investors establish the proper asset allocation strategies for themselves
so that they stay invested over the long haul - they don't quit on their
investment plans.
The Saratoga Advantage Trust has been designed to help investors
effectively implement their asset allocation strategies. As I also mentioned in
a prior Annual Report to Shareholders, to try to achieve good long-term
investment results, don't let short-term stock and bond market fluctuations
change your investment strategy. Your financial advisor can help you establish a
sensible asset allocation strategy to help you pursue your long-term investment
goals.
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 Trust's portfolios.
We remain 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
Total Aggregate Capitalization Morningstar S & P/Barra
Return for the Period Value Portfolio Large Value Value
Ended August 31, 2000 (Class I) Average1 Index2
----------------------------- ------------------- ------------ -----------
9/1/94 (inception) - 8/31/00* 15.3% 16.1% 18.8%
9/1/99 - 8/31/00 -0.5% 6.9% 9.3%
3/1/00 - 8/31/00 13.5% 14.3% 15.0%
*Annualized performance for periods greater than one year
The Saratoga Large Capitalization Value Portfolio invests in a diverse
group of high-quality, undervalued companies. The investment team uses
fundamentally driven, value-oriented analysis, which leads to the selection of
high-quality businesses that are selling for 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, potentially producing superior returns.
The Portfolio owned the common stocks of 49 companies as of August 31,
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 supermarket grocer retailer Kroger;
WorldCom, that provides a broad range of communications outsourcing and managed
network services; Wells Fargo, a diversified financial services company; and
Chase Manhattan Bank. Top contributors to the Portfolio performance for the six
months ended August 31, 2000 included Kroger, Pharmacia, Household International
and FleetBoston Financial.
1. The Morningstar Large Value Average, as of August 31, 2000, consisted of
669 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.
2. The S&P/Barra Value Index is constructed by dividing the stocks in the
S&P 500 Index according to price-to-book ratios. This unmanaged Index contains
stocks with lower price-to-book ratios and is market capitalization weighted.
The S&P/Barra Value Index does not include fees and expenses, and investors may
not invest directly in the Index. .
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
Total Aggregate Capitalization Morningstar S & P/Barra
Return for the Period Growth Portfolio Large Growth Growth
Ended August 31, 2000 (Class I) Average1 Index2
------------------------------ ----------------- ------------- ----------
9/1/94 (inception) - 8/31/00* 24.8% 25.5% 27.9%
9/1/99 - 8/31/00 31.5% 39.1% 22.1%
3/1/00 - 8/31/00 6.2% 5.6% 8.8%
*Annualized performance for periods greater than one year
While the long-term outlook for U.S. financial assets remains positive,
history tells us that it is hard for markets to fight-the-Fed. In the face of a
rising Fed Funds rate, the stock market has corrected from the levels reached in
mid-March. From those highs, the Dow Jones Industrial Average sold off
approximately 9%, the S&P 500 Index declined 10% and the NASDAQ Composite
collapsed nearly 40%.
In the early 1990's, when technology holdings were less than 15% of the
typical investor's portfolio, the volatility of the NASDAQ was little more than
a statistical curiosity. Today, with technology stocks representing one-third of
the S&P 500 Index and one-half of the Russell Growth Index, the rapidly changing
fortunes of the over-the-counter market place reach everyone. As predictable as
this spring retreat may seem, actually trading such an event can be treacherous.
Because we see such a strong fundamental case for technology stocks, we have
chosen not to trade these corrections. While technology stock investing has
always been challenging, the volatility of recent years has raised the stakes
for investors. Technology stocks have been awarded premium multiples due not
only to their extraordinary growth potential, but also to extraordinary
momentum.
During the past few months, investors saw the downside of momentum
investing. Harris Bretall believes that technology companies need to be judged
utilizing a combination of fundamental analysis, and an evaluation of catalysts
that can move the stocks near term.
We have written often about the three macro economic trends that have
fueled the strong market over the past five years - demographics, the technology
revolution and globalization. We believe they remain firmly in place.
1. The Morningstar Large Growth Average, as of August 31, 2000, consisted
of 698 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.
2. The S&P/Barra Growth Index is constructed by dividing the stocks in the
S&P 500 Index according to price-to-book ratios. This unmanaged Index contains
stocks with higher price-to-book ratios and is market capitalization weighted.
The S&P/Barra Growth Index does not include fees and expenses, and investors may
not invest directly in the Index.
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 Morningstar
Return for the Period Portfolio Small Value Russell 2000
Ended August 31, 2000 (Class I) Average1 Index2
----------------------------- ---------------- ------------- -------------
9/1/94 (inception) - 8/31/00* 12.3% 13.8% 14.7%
9/1/99 - 8/31/00 29.4% 16.8% 27.2%
3/1/00 - 8/31/00 14.0% 14.0% -6.4%
*Annualized performance for periods greater than one year
Results for the fiscal year ended August 31, 2000 continued to demonstrate
the strength of smaller stocks. As investor sentiment for smaller stocks
continues to build, we believe that this asset class could well be the most
profitable investment theme of the next few years.
During the past turbulent 24 months while many momentum style investors
chased companies with absurdly high projected top line growth and distant
earnings, your Portfolio has stayed with its fundamental, bottom-up approach to
smaller cap stocks.
Strong Portfolio performance is concrete evidence supporting our basic
investment policy of investing in smaller cap U.S. stocks managed in a
'double-play' style that seeks companies with strong future earnings, low
relative multiples, and catalysts for higher valuations. While that approach
appeared out of favor in late 1999, since the beginning of 2000 your Portfolio
has trended ahead of all major indices.
We believe that the outlook for your Portfolio of smaller stocks is
excellent. Your investment team enters its second decade together with renewed
enthusiasm for a consistent and common sense approach to smaller cap U.S.
stocks.
1. The Morningstar Small Value Average, as of August 31, 2000, consisted of
211 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.
2. The Russell 2000 Index is comprised of the 2,000 smallest U.S. domiciled
publicly traded common stocks which are included the Russell 3000 Index. The
common stocks included in the Russell 2000 Index represent approximately 10% of
the U.S. equity market as measured by market capitalization. The Russell 3000
Index is an unmanaged index of the 3,000 largest U.S. domiciled publicly traded
common stocks by market capitalization representing approximately 98% of the
U.S. publicly traded equity market. The Russell 2000 Index is an unmanaged index
whose performance reflects reinvested dividends. Investors may not invest in the
Index 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.
Total Aggregate International Morgan Stanley
Return for the Period Equity Portfolio EAFE Index
Ended August 31, 2000 (Class I) (U.S. Dollars)1
------------------------------ -------------------- -------------------
9/1/94 (inception) - 8/31/00* 8.8% 8.4%
9/1/99 - 8/31/00 20.7% 9.6%
3/1/00 - 8/31/00 -4.5% -3.6%
*Annualized performance for periods greater than one year
Global economies remain in good shape - growth is slowing to a more
sustainable level and inflation remains subdued by historic standards.
Productivity gains, increased global competition and continued investment in
technology have all served to offset any inflation pressure from tight labor
markets and rising raw material prices. However, the recent rise in the price of
oil cannot be ignored and is starting to raise concerns in financial markets.
Valuations across equity markets are generally fair, though towards the top
end of their historic range. Earnings momentum, although waning, still remains
strong. However, we could see margin pressure ahead, especially if we have a
cold winter and the price of oil remains at current levels or even higher. As
such, we take a more cautious view towards world stock markets at the current
time and see no reason to favor any one particular region over the rest. Medium
term we continue to like Europe where we expect to see ongoing restructuring.
As of August 31, 2000, the major weightings in the Portfolio were as
follows: 50.1% in Continental Europe, 19.0% in the United Kingdom, 24.0% in
Japan and 3.0% in Pacific Ex-Japan.
Recent portfolio additions include: WPP, a leading global advertising and
media company; and San Paolo, Italy's largest bank.
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.
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.
Lipper
Short- Lehman
Intermediate Intermediate
Total Aggregate Investment Quality Investment Government/
Return for the Period Bond Portfolio Grade Debt Corporate
Ended August 31, 2000 (Class I) Funds Index1 Bond Index2
----------------------------- -------------------- ------------- -----------
9/1/94 (inception) - 8/31/00* 5.3% 6.0% 6.6%
9/1/99 - 8/31/00 5.8% 5.9% 6.3%
3/1/00 - 8/31/00 4.4% 4.2% 4.8%
*Annualized performance for periods greater than one year
In the annual period ended August 31, 2000, the Portfolio distributed
dividends of $0.54 per share.
Investments in the Portfolio are normally divided approximately evenly
between U.S. Treasury, U.S. Government Agency and Corporate securities. Due to
the yield advantage available in Corporate and U.S. Government Agency
securities, there is greater emphasis on Corporate and U.S. Government Agency
bond holdings in the Portfolio at this time.
Fox Asset Management will continue to focus on those instruments that offer
improving credit quality and liquidity. Fox is maintaining a conservative
investment posture with an average maturity of 5.2 years, and an average
duration of 3.4 years in the Portfolio.
Other Portfolio statistics as of August 31, 2000 are as follows: Average
yield-to-maturity was 6.9%, average coupon was 6.7% and the average Moody's
Rating was Aa3 with 37 fixed income issue 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.
2. The Lehman Intermediate Government/Corporate Bond Index is composed of
the bonds in the Lehman Government/Corporate Bond Index that have maturities
between 1 and 9.99 years. The Lehman Government/Corporate Bond Index consists of
approximately 5,400 issues. The securities must be investment grade (BAA or
higher) with amounts outstanding in excess of $1 million and have at least one
year to maturity. The Lehman Index is an unmanaged index which does not include
fees and expenses. Investors may not invest directly in the Index.
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 Municipal Bond Lipper General Lehman
Return for the Period Portfolio Municipal Municipal
Ended August 31, 2000 (Class I) Debt Funds Index1 Bond Index2
------------------------------ --------------- ----------------- ------------
9/1/94 (inception) - 8/31/00* 4.8% 5.7% 6.5%
9/1/99 - 8/31/00 6.1% 5.4% 6.8%
3/1/00 - 8/31/00 7.4% 6.5% 6.8%
*Annualized performance for periods greater than one year
Municipal bonds have performed well, particularly in the past few months.
With the gyrations of the stock market during the year, investors began to look
towards the bond market for more safety. Municipals, so cheap relative to other
fixed income investments for most of the year, were an obvious place for these
investments. For much of the year demand outstripped supply as municipalities
curtailed their issuance in an effort to reduce outstanding debt. The municipal
yield curve has remained positively sloped with thirty-year municipals yielding
more than 1% more than two-year municipals - a very different picture than the
Treasury curve.
We maintained a portfolio of high quality municipals throughout the year in
our effort to provide a high level of tax-exempt income with minimal credit
risks. Currently, 66% of the Portfolio holds municipals with a rating of AAA,
while the Portfolio has an average rating of AA+. We continue to purchase and
hold a high percentage of insured municipal bonds, which we deem as inexpensive
relative to uninsured bonds. We continue to focus on the general obligation
sector of the market as state and local finances are in excellent shape due to
the surpluses generated from the strong economy. Finally, we continue to
concentrate on the 15 to 20 year part of the yield curve where we believe the
best value exists in the municipal marketplace.
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.
2. The Lehman Brothers Municipal Bond Index consists of approximately
25,000 municipal bonds which are selected to be representative of the long-term,
investment grade tax-exempt bond market. The bonds selected for the index have
the following characteristics: a minimum credit rating of at least Baa; an
original issue of at least $50 million; at least $3 million of the issue
outstanding; issued within the last five years; and a maturity of at least one
year. The Lehman Index is an unmanaged index which does not include fees and
expenses. Investors may not invest directly in the Index.
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.
U.S. Government Money 90 Day T-Bills
7-Day Market Portfolio Average Discount
Compound Yield (Class I) Yield
--------------------------- ------------------------ ------------------
8/31/00 5.6% 6.1%
Total Aggregate U.S. Government Money Lipper U.S. 90
Return for the Period Market Portfolio Treasury Money Day
Ended August 31, 2000 (Class I) Market Index1 T-Bills
----------------------------- ---------------------- -------------- ----------
9/1/94 (inception) - 8/31/00* 4.6% 4.9% 5.1%
9/1/99 - 8/31/00 5.0% 5.1% 5.4%
3/1/00 - 8/31/00 2.6% 2.7% 2.8%
*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
August 31, 2000. The average dollar-weighted portfolio maturity was 54 days,
compared with a maximum allowable maturity of 90 days.
On August 31, 2000, the Federal Funds rate was 6.50%. With the prospects of
an economic slowdown growing and a contained inflation environment, it appears
the work of the Federal Reserve may be complete. Yields peaked early in the
summer and current rates reflect a meaningful lowering of growth expectations.
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 predictive of future performance.
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August 31, 2000
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SCHEDULES OF INVESTMENTS
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LARGE CAPITALIZATION VALUE PORTFOLIO
17
Principal
Amount Value
---------------- -----------------
---------------- -----------------
SHORT-TERM GOVERNMENT NOTES - 3.76%
Federal Home Loan Bank - 3.76%
$ 3,016,000 6.51% due 9/01/00 $ 3,016,000
-----------------
-----------------
Total Short-Term Government Notes (Cost-$3,016,000) 3,016,000
-----------------
-----------------
Shares
----------------
----------------
COMMON STOCKS - 95.20%
Aerospace - 2.48%
37,100 Boeing Company 1,989,487
-----------------
-----------------
Airlines - 1.45%
35,500 AMR, Corporation* 1,164,844
-----------------
-----------------
Banking - 10.91%
53,000 Chase Manhattan Corporation 2,961,375
66,407 FleetBoston Financial Corporation 2,834,757
68,660 Wells Fargo Company 2,965,254
-----------------
-----------------
8,761,386
-----------------
-----------------
Chemicals - 2.82%
50,400 E.I. du Pont de Nemours and Company 2,261,700
-----------------
Computer Hardware - 1.03%
24,400 Compaq Computer Corporation 831,125
-----------------
-----------------
Computer Services - 0.78%
12,500 Electronic Data Systems Corporation 622,656
-----------------
Computer Software - 4.97%
63,100 Computer Associates International, Incorporated 2,003,425
100,000 Compuware Corporation* 1,056,250
13,300 Microsoft Corporation* 928,506
-----------------
3,988,181
-----------------
Cosmetics/Toiletries - 0.62%
12,700 Avon Products, Incorporated 497,681
-----------------
-----------------
Drugs/Medical Products - 3.40%
27,900 American Home Products Corporation 1,511,831
15,700 Bristol Myers Squibb Company 832,100
5,500 Merck & Co., Incorporated 384,313
-----------------
2,728,244
-----------------
Shares Value
---------------- -----------------
Electronics - 3.67%
20,500 Emerson Electric Company $ 1,356,844
18,500 Rockwell International Corporation 748,094
18,500 Solectron Corporation 838,281
-----------------
-----------------
2,943,219
-----------------
Financial Services - 13.46%
46,667 Citigroup, Incorporated 2,724,167
44,700 Countrywide Credit Industries, Incorporated 1,693,012
93,000 Federal Home Loan Mortgage Corporation 3,917,625
51,500 Household International, Incorporated 2,472,000
-----------------
-----------------
10,806,804
-----------------
Healthcare Services - 1.30%
33,600 Tenet Healthcare Corporation* 1,041,600
-----------------
-----------------
Insurance - 6.66%
30,900 AFLAC, Incorporated 1,668,600
13,400 American General Corporation 975,688
76,400 John Hancock Financial Services, Incorporated* 1,929,100
11,282 XL Capital Limited, Class A 777,753
-----------------
-----------------
5,351,141
-----------------
-----------------
Machinery/Engineering - 1.65%
36,100 Caterpillar, Incorporated 1,326,675
-----------------
-----------------
Manufacturing - 1.40%
20,000 Textron, Incorporated 1,121,250
-----------------
-----------------
Metals/Mining - 5.98%
66,000 Alcoa, Incorporated 2,194,500
28,000 Minnesota Mining & Manufacturing Company 2,604,000
-----------------
-----------------
4,798,500
-----------------
-----------------
Multimedia - 0.83%
15,000 News Corporation Limited, Sponsored ADR 663,750
-----------------
-----------------
Oil/Gas - 4.66%
19,000 Chevron Corporation 1,605,500
24,000 Texaco, Incorporated 1,236,000
27,100 Unocal Corporation 904,463
-----------------
-----------------
3,745,963
-----------------
-----------------
Publishing - 0.47%
10,500 Tribune Company 374,719
-----------------
Shares Value
---------------- -----------------
-----------------
Retail - 11.50%
67,700 CVS Corporation $ 2,513,362
13,000 Gap, Incorporated 291,688
160,200 Kroger Company* 3,634,537
93,500 McDonalds Corporation 2,793,312
-----------------
-----------------
9,232,899
-----------------
-----------------
Telecommunications - 9.46%
22,200 Motorola, Incorporated 800,588
14,800 Tellabs, Incorporated* 831,575
63,500 Verizon Communications 2,770,187
87,500 Worldcom, Incorporated* 3,193,750
-----------------
-----------------
7,596,100
-----------------
-----------------
Transportation - 4.60%
36,000 Burlington Northern Santa Fe Corporation 805,500
58,000 Canadian Pacific Limited 1,584,125
46,851 Sabre Group Holdings Corporation* 1,305,972
-----------------
-----------------
3,695,597
-----------------
-----------------
Waste Disposal - 1.10%
46,500 Waste Management, Incorporated 880,594
-----------------
-----------------
Total Common Stocks (Cost-$73,674,460) $ 76,424,115
-----------------
-----------------
Total Investments (Cost-$76,690,460) 98.92% $ 79,440,115
-----------------
-----------------
Other Assets in Excess of Liabilities 1.08% 865,139
-----------------
-----------------
Total Net Assets 100.00% $80,305,254
=================
=================
* Non-income producing security.
Summary of Abbreviations:
ADR - American Depositary Receipt
See accompanying notes to financial statements.
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* Non-income producing security.
See accompanying notes to financial statements.
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August 31, 2000
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SCHEDULES OF INVESTMENTS
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LARGE CAPITALIZATION GROWTH PORTFOLIO
Shares Value
---------------- ------------------
----------------
COMMON STOCKS - 97.90%
Banking - 1.84%
65,000 Wells Fargo Company $2,807,188
------------------
------------------
Beverages - 1.04%
30,000 Coca-Cola Company 1,578,750
------------------
------------------
Biomedical - 2.12%
17,000 Genentech, Incorporated* 3,238,500
------------------
------------------
Computer Hardware - 11.70%
60,000 Dell Computer Corporation* 2,617,500
66,000 EMC Corporation* 6,468,000
22,000 International Business Machine Corporation 2,904,000
46,000 Sun Microsystems, Incorporated* 5,839,125
------------------
------------------
17,828,625
------------------
------------------
Computer Software - 2.52%
55,000 Microsoft Corporation* 3,839,687
------------------
Communications Equipment - 1.71%
32,000 Nortel Networks Corporation 2,610,000
------------------
------------------
Distribution - 1.58%
70,000 Costco Wholesale Corporation* 2,410,625
------------------
------------------
Electronics - 15.35%
45,000 Applied Materials, Incorporated* 3,884,062
96,000 Intel Corporation 7,188,000
38,000 JDS Uniphase Corporation* 4,730,406
18,000 PMC-Sierra, Incorporated* 4,248,000
50,000 Texas Instruments, Incorporated 3,346,875
------------------
23,397,343
------------------
Financial Services - 13.31%
112,500 Charles Schwab Corporation 4,296,094
73,333 Citigroup, Incorporated 4,280,833
41,000 The Goldman Sachs Group, Incorporated 5,250,562
60,000 Morgan Stanley Dean Witter & Company 6,453,750
------------------
------------------
20,281,239
------------------
------------------
Insurance - 2.52%
43,125 American International Group, Incorporated 3,843,516
------------------
------------------
Internet - 6.19%
60,000 America Online, Incorporated* 3,517,500
80,000 Broadvision, Incorporated* 2,760,000
26,000 Yahoo!, Incorporated* 3,159,000
------------------
------------------
9,436,500
------------------
Shares Value
---------------- ------------------
Manufacturing - 5.40%
102,000 General Electric Company $5,986,125
40,000 Illinois Tool Works, Incorporated 2,242,500
------------------
------------------
8,228,625
------------------
------------------
Multimedia - 1.92%
75,000 The Walt Disney Company 2,920,312
------------------
------------------
Networking Products - 6.58%
95,000 Cisco Systems, Incorporated* 6,519,375
30,000 Network Appliance, Incorporated* 3,510,000
------------------
------------------
10,029,375
------------------
------------------
Oil Field Services - 4.57%
75,000 Halliburton Company 3,975,000
35,000 Schlumberger Limited 2,985,937
------------------
6,960,937
------------------
------------------
Pharmaceuticals - 5.30%
31,000 Johnson & Johnson 2,850,063
70,000 Pfizer, Incorporated 3,027,500
55,000 Schering-Plough Corporation 2,206,875
------------------
------------------
8,084,438
------------------
------------------
Retail - 8.12%
75,000 Gap, Incorporated 1,682,813
69,000 Home Depot, Incorporated 3,316,313
90,000 Target Corporation 2,092,500
56,000 Wal-Mart Stores, Incorporated 2,656,500
80,000 Walgreen Company 2,630,000
------------------
12,378,126
------------------
Semiconductor - 1.64%
10,000 Broadcom Corporation* 2,500,000
------------------
Telecommunications - 4.49%
46,000 Lucent Technologies, Incorporated 1,923,375
55,000 Qwest Communciations International* 2,839,375
50,000 SBS Communications, Incorporated 2,087,500
------------------
------------------
6,850,250
------------------
Total Investments (Cost-$84,693,723) 97.90% $ 149,224,036
------------------
------------------
Other Assets in Excess of Liabilities 2.10% 3,193,749
------------------
------------------
Total Net Assets 100.00% $ 152,417,785
==================
==================
* Non-income producing security.
See accompanying notes to financial statements.
</TABLE>
<TABLE>
<S> <C> <C> <C> <C>
August 31, 2000
--------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
--------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL EQUITY PORTFOLIO
25
Shares Value
-------------- -------------------
-------------- -------------------
COMMON STOCKS - 97.14%
FINLAND - 4.70%
Telecommunications
39,600 Nokia Oyj, Sponsored ADR $ 1,779,525
-------------------
-------------------
FRANCE - 13.58%
Banking - 2.13%
68,000 Societe Generale, Sponsored ADR 806,466
-------------------
-------------------
Financial Services - 1.65%
8,900 AXA, Sponsored ADR 625,781
-------------------
-------------------
Oil/Gas - 2.36%
11,970 TOTAL Fina Elf, Sponsored ADR 891,765
-------------------
-------------------
Pharmaceuticals - 3.08%
15,600 Aventis, Sponsored ADR 1,166,100
-------------------
-------------------
Telecommunications - 4.36%
10,850 Alcatel Alsthom, Sponsored ADR 899,194
6,500 France Telecom, Sponsored ADR 749,531
-------------------
-------------------
1,648,725
-------------------
-------------------
GERMANY - 5.85%
Computer Software - 2.17%
12,800 SAP Aktiengesellschaft, Sponsored ADR 821,600
-------------------
-------------------
Diversified Manufacturing Operations - 2.47%
5,800 Siemens AG, Unsponsored ADR 935,891
-------------------
-------------------
Drugs/Medical Products - 1.21%
5,100 Roche Holdings Limited, Sponsored ADR 456,593
-------------------
-------------------
HONG KONG - 2.02%
Closed End Funds
56,500 Ishares MSCI Hong Kong 762,750
-------------------
-------------------
ITALY - 1.87%
Banking
19,800 San Paolo - IMI S.P.A., Sponsored ADR 707,850
-------------------
JAPAN - 24.19%
Audio/Video Products - 2.17%
7,200 Sony Corporation, Sponsored ADR 822,600
-------------------
-------------------
Banking - 1.99%
61,331 Bank of Tokyo-Mitsubishi Limited, Sponsored ADR 751,305
-------------------
-------------------
Shares Value
-------------- -------------------
JAPAN (continued) - 24.19%
Computer Hardware - 3.36%
8,628 TDK Corporation, Sponsored ADR $ 1,272,630
-------------------
-------------------
Cosmetics/Toiletries - 2.95%
4,059 Kao Corporation, Unsponsored ADR 1,115,273
-------------------
-------------------
Finance - 1.81%
10,260 Orix Corporation, Sponsored ADR 686,138
-------------------
-------------------
Identification Systems/Development - 1.73%
4,500 Secom Limited, Unsponsored ADR 655,780
-------------------
-------------------
Manufacturing - 1.27%
3,720 Bridgestone Corporation, Unsponsored ADR 481,412
-------------------
-------------------
Office Equipment - 3.03%
25,320 Canon, Incorporated, Sponsored ADR 1,415,730
-------------------
-------------------
Printing - 1.17%
9,031 Toppan Printing Limited, Unsponsored ADR 441,233
-------------------
-------------------
Retail - 1.74%
10,278 Seven-Eleven Japan Limited, Unsponsored ADR 660,228
-------------------
-------------------
Telecommunications - 2.97%
18,700 Nippon Telegraph & Telephone Corporation, Sponsored ADR 1,125,506
-------------------
-------------------
NETHERLANDS - 9.66%
Banking - 2.78%
15,600 ING Groep N.V., Sponsored ADR 1,052,025
-------------------
-------------------
Electronics - 2.16%
16,614 Koninklijke Philips Electronics N.V., Sponsored ADR 819,278
-------------------
-------------------
Multimedia - 2.22%
15,750 VNU N.V., Sponsored ADR 840,141
-------------------
-------------------
Transportation - 2.49%
40,100 TNT Post Groep N.V., Sponsored ADR 942,350
-------------------
-------------------
SPAIN - 5.43%
Banking - 3.41%
43,250 Banco Bilboa Vizcaya Argentaria, Sponsored ADR 646,047
58,800 Banco Santander Central Hispanos, Sponsored ADR 643,125
-------------------
1,289,172
-------------------
Telecommunications - 2.02%
13,331 Telefonica, Sponsored ADR 764,033
-------------------
Shares Value
-------------- -------------------
SWEDEN - 4.12%
Telecommunications
76,000 Telefonaktiebolaget LM Ericsson, Sponsored ADR $ 1,558,000
-------------------
-------------------
SWITZERLAND - 5.52%
Food Products - 4.04%
14,200 Nestle, Sponsored ADR 1,529,632
-------------------
-------------------
Human Services - 1.48%
5,800 Adecco, Sponsored ADR 558,975
-------------------
-------------------
TAIWAN - 0.99%
Semiconductor
10,752 Taiwan Semiconductor Limited, Sponsored ADR* 376,320
-------------------
-------------------
UNITED KINGDOM - 19.22%
Advertising - 1.72%
9,200 WPP Group PLC, Sponsored ADR 649,750
-------------------
Banking - 1.58%
5,800 Barclays PLC, Sponsored ADR 597,400
-------------------
-------------------
Insurance - 1.52%
21,950 Prudential Corporation PLC, Sponsored ADR 576,144
-------------------
-------------------
Multimedia - 1.21%
3,800 Reuters Group PLC, Sponsored ADR 456,238
-------------------
-------------------
Oil/Gas - 2.69%
19,800 Shell Transport & Trading Company, Sponsored ADR 1,018,462
-------------------
-------------------
Pharmaceuticals - 1.92%
12,600 Glaxo Wellcome PLC, Sponsored ADR 725,288
-------------------
-------------------
Telecommunications - 8.58%
5,804 British Telecommunications PLC, Sponsored ADR 741,461
44,950 Marconi PLC, Unsponsored ADR 796,595
41,720 Vodafone Airtouch PLC, Sponsored ADR 1,707,913
-------------------
-------------------
3,245,969
-------------------
Total Investments (Cost-$29,376,070) 97.14% $ 36,760,058
-------------------
-------------------
Other Assets in Excess of Liabilities 2.86% 1,081,234
-------------------
-------------------
Total Net Assets 100.00% $37,841,292
===================
===================
* Non-income producing securities.
Summary of Abbreviations:
ADR - American Depositary Receipt
See accompanying notes to financial statements.
</TABLE>
<TABLE>
<S> <C> <C> <C> <C>
August 31, 2000
--------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
--------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
INVESTMENT QUALITY BOND PORTFOLIO
27
Principal
Amount Value
------------------ ------------------
------------------ ------------------
U.S. GOVERNMENT NOTES - 43.22%
U.S. Treasury Notes - 13.34%
$ 1,087,310 3.375% due 1/15/07 $ 1,047,895
3,650,000 5.625% due 5/15/08 3,578,132
------------------
------------------
4,626,027
------------------
------------------
Federal Home Loan Mortgage Corporation - 9.42%
2,500,000 5.125% due 10/15/08 2,226,950
188,640 Series 1822, Class C, 6.50% due 4/15/20 187,636
314,156 Series 1980, Class C, 6.85% due 10/15/21 312,780
540,409 Series 1921, 7.25% due 4/15/24 539,393
------------------
------------------
3,266,759
------------------
------------------
Federal National Mortgage Association - 20.46%
6,000,000 6.00% due 5/15/08 5,684,040
1,400,000 7.00% due 7/15/05 1,413,118
------------------
------------------
7,097,158
------------------
------------------
Total U.S. Government Notes (Cost-$14,986,847) 14,989,944
------------------
------------------
CORPORATE NOTES & BONDS - 53.70%
Automotive - 4.04%
1,500,000 TRW, Incorporated, 6.05% due 1/15/05 1,399,680
------------------
------------------
Broadcasting - 3.19%
1,055,000 EZ Communications, 9.75% due 12/01/05 1,107,982
------------------
------------------
Chemicals - 4.17%
1,500,000 ICI Wilmington, 6.95% due 9/15/04 1,447,410
------------------
------------------
Financial Services - 15.94%
425,000 Advanta Credit Card Master Trust II, Series 95-F, Class A1,
6.05% due 8/01/03 424,201
1,000,000 Associates Corporate North America, 6.625% due 6/15/05 967,170
350,000 Associates Corporate North America, 6.25% due 9/15/00 349,892
750,000 BHP Finance USA, 7.875% due 12/01/02 756,562
409,059 Bellsouth Savings & Security ESOT, MTN, Series A,
9.125% due 7/01/03 421,948
246,055 Bellsouth Savings & Security ESOT, MTN, Series A,
9.125% due 7/01/03 258,822
1,007,134 Collateralized Mortgage Securities Corporation, Series 1992-3, Class E,
8.00% due 11/20/20 1,005,553
200,000 Copelco Capital Funding Corporation, Series 1999-B, Class A3,
6.61% due 12/18/02 199,400
Principal
Amount Value
------------------ ------------------
Financial Services (continued) - 15.94%
$ Delta Funding Home Equity Loan Trust, Series 1997-1, Class A2,
45,517 6.92% due 5/25/15 $45,294
250,000 Morgan Stanley, MTN, Series C, 5.75% due 2/15/01 248,373
158,956 National Auto Finance, Series 1996-1, Class A, 6.33% due 12/21/02 157,750
650,000 Prime Credit Card Master Trust, Series 1996-1, Class A, 6.70%
due 7/15/04 647,966
46,219 Residential Asset Securitization Trust, Series 1997-A10,
Class A1, 7.25% due 12/25/27 45,930
------------------
------------------
5,528,861
------------------
------------------
Healthcare Services - 3.46%
1,200,000 Tenet Healthcare Corporation, 8.625% due 12/01/03 1,200,000
------------------
------------------
Insurance - 2.49%
825,000 Geico Corporation, 9.15% due 9/15/21 863,098
------------------
------------------
Machinery - 0.29%
100,000 Ingersoll-Rand Company, 6.255% due 2/15/01 99,330
------------------
------------------
Metals/Mining - 3.29%
1,200,000 Cyprus Minerals, Incorporated, 6.625% due 10/15/05 1,140,660
------------------
------------------
Multimedia - 2.92%
1,000,000 Westinghouse Electric Corporation, 8.375% due 6/15/02 1,014,350
------------------
------------------
Oil/Gas - 0.80%
275,000 Amoco Canada Petro Company Limited, 7.25% due 12/01/02 277,142
------------------
------------------
Pharmaceuticals - 2.95%
1,000,000 American Home Products, 7.90% due 2/15/05 1,023,560
------------------
------------------
Power/Utility - 2.43%
150,000 Public Service Electric & Gas, 7.875% due 11/01/01 150,867
700,000 Southern California Edison, 5.875% due 1/15/01 696,213
------------------
------------------
847,080
------------------
------------------
Telecommunications - 0.55%
190,000 GTE Corporation, 9.375% due 12/01/00 190,977
------------------
------------------
Transportation - 3.61%
1,300,000 Union Pacific Corporation, 6.12% due 2/01/04 1,253,252
------------------
------------------
Waste Disposal - 3.56%
500,000 WMX Technologies, 6.70% due 5/01/01 493,350
750,000 WMX Technologies, 7.125% due 6/15/01 740,685
------------------
------------------
1,234,035
------------------
------------------
Total Corporate Notes & Bonds (Cost-$19,098,193) $ 18,627,417
------------------
Total Investments (Cost-$34,085,040) 96.92% $ 33,617,361
------------------
------------------
Other Assets in Excess of Liabilities 3.08% 1,067,234
------------------
------------------
Total Net Assets 100.00% $ 34,684,595
==================
==================
Summary of Abbreviations:
MTN - Medium Term Note
See accompanying notes to financial statements.
</TABLE>
<TABLE>
<S> <C> <C> <C> <C>
August 31, 2000
--------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
--------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
MUNICIPAL BOND PORTFOLIO
Principal
Amount Value
--------------- ----------------
SHORT TERM INVESTMENTS - 1.98%
TEXAS - 0.99%
Industrial
$100,000 Grapevine, Texas Industrial Development Corporation
Revenue, Series A, 4.35% due 1/24/12 $100,000
----------------
WYOMING - 0.99%
Pollution Control
100,000 Lincoln County, Wyoming Pollution Control Revenue,
Series B, 4.25% due 11/01/14 100,000
----------------
Total Short-Term Investments (Cost - $200,000) 200,000
----------------
MUNICIPAL BONDS - 96.76%
ARIZONA - 4.34%
Water/Sewer
500,000 Sedona Arizona Wastewater Municipal Property,
4.75% due 7/01/27
440,955
----------------
----------------
CALIFORNIA - 8.65%
Education - 3.05%
50,000 California State Public Works Board Lease Revenue, Various
California State University Projects, 6.00% due 9/01/15 54,185
250,000 California State Public Works Board Lease Revenue, 5.375%
due 10/01/17 255,493
----------------
----------------
309,678
----------------
----------------
Housing - 3.65%
375,000 California Housing Finance Agency Single Family Mortgage,
Series A, Class I, 5.30% due 8/01/18 370,541
----------------
----------------
Turnpike/Toll - 1.95%
200,000 Foothill/Eastern Corridor Agency California Toll Road Revenue
Refunding, 5.75% due 1/15/40 197,800
----------------
----------------
COLORADO - 1.55%
Health/Hospitals
150,000 Denver, Colorado City & County Hospital, 6.00% due 10/01/15 156,858
----------------
----------------
FLORIDA - 0.36%
Education
35,000 Dade County, Florida School Board, Series A, 5.75% due 5/01/12 36,892
----------------
----------------
GEORGIA - 7.51%
Airport - 3.08%
305,000 Atlanta, Georgia Airport Facilities Revenue, 6.25% due 1/01/21 312,933
----------------
----------------
Principal
Amount Value
--------------- ----------------
Education - 2.16%
$215,000 Jackson County, Georgia School District, 6.00% due 7/01/14 $230,557
----------------
----------------
General Obligation - 2.21%
200,000 Georgia State, Series B, 6.250% due 4/01/07 219,504
----------------
----------------
HAWAII - 4.51%
General Obligation
505,000 Hawaii State, Series CR, 4.75% due 4/01/18 457,873
----------------
----------------
ILLINOIS - 4.54%
Health/Hospitals
500,000 Illinois Health Facilities Authority Northwestern Medical Facility
Foundation, 5.00% due 11/15/18 460,625
----------------
IOWA - 0.52%
Water/Sewer
50,000 West Des Moines, Iowa Water Revenue, 6.80% due 12/01/13 52,592
----------------
----------------
KENTUCKY - 1.01%
Turnpike/Toll
100,000 Kentucky State Turnpike Authority Economic Development,
5.625% due 7/01/15 102,064
----------------
----------------
LOUISIANA - 1.54%
General Obligation
150,000 New Orleans, Louisiana, 6.125% due 10/01/16 156,435
----------------
----------------
MARYLAND - 3.11%
Resource Recovery
300,000 Maryland State Energy Financing Administration Solid Waste
Disposal Revenue, 6.30% due 12/01/10 315,510
----------------
----------------
MISSOURI - 0.36%
Housing
35,000 Missouri State Housing Development Commission GNMA Backed,
Series C, 6.90% due 7/01/18 36,166
----------------
----------------
NEBRASKA - 0.41%
Power/Utility
40,000 Omaha, Nebraska Public Power Distribution, 5.50% due 2/01/14 41,460
----------------
----------------
NEVADA - 1.52%
Housing
150,000 Nevada Housing Division, Single Family, Series A,
6.15% due 4/01/17 153,897
----------------
----------------
Principal
Amount Value
--------------- ----------------
NEW YORK - 9.64%
Education - 1.32%
$ 125,000 New York State Dormitory Authority City University, 5.75%
due 7/01/09 $133,924
----------------
----------------
General Obligation - 7.15%
200,000 New York, New York, Series A, 6.50% due 7/15/06 219,670
500,000 New York, New York, Series E, 5.25% due 2/01/12 506,275
----------------
----------------
725,945
----------------
----------------
Housing - 0.76%
75,000 New York State Mortgage Agency, Series 54, 6.10% due 10/01/15 77,577
----------------
----------------
Pollution Control - 0.41%
40,000 New York State Environmental Facilities Corporation Pollution
Control, 5.875% due 6/15/14 41,737
----------------
----------------
NORTH DAKOTA - 6.00%
Housing
250,000 North Dakota State Housing Finance Agency, Series A, 5.25% due 7/01/18 228,595
390,000 North Dakota State Housing Finance Agency, Series C, 5.50% due 7/01/18 380,028
----------------
----------------
608,623
----------------
----------------
OHIO - 5.20%
General Obligation - 4.64%
500,000 Akron, Ohio, 5.00% due 12/01/18 470,840
----------------
----------------
Health/Hospitals - 0.56%
50,000 Lorain County, Ohio Hospital Medical Center, 7.75% due 11/01/13 56,963
----------------
----------------
PENNSYLVANIA - 4.24%
General Obligation - 2.97%
300,000 Pennsylvania State, Second Series, 5.00% due 11/15/12 300,978
----------------
----------------
Tax Allocation - 0.75%
75,000 Philadelphia, Pennsylvania Municipal Authority, Series A, 5.625%
due 11/15/14 76,396
----------------
----------------
Water/Sewer - 0.52%
50,000 Pittsburgh, Pennsylvania Water & Sewer Authority, Series B, 5.60%
due 9/01/15 52,553
----------------
----------------
PUERTO RICO - 0.68%
Power/Utility
65,000 Puerto Rico Electric Power Authority, 6.00% due 7/01/15 68,873
----------------
Principal
Amount Value
--------------- ----------------
----------------
SOUTH CAROLINA - 6.94%
Health/Hospitals - 2.35%
$ 250,000 Spartanburg County, South Carolina Health Services, Series B, 5.125%
due 4/15/17 $238,545
----------------
----------------
Power/Utility - 4.52%
500,000 Piedmont Municipal Power Agency South Carolina Electric Revenue,
Series A, 5.00% due 1/01/18 465,905
----------------
----------------
TEXAS - 5.78%
Education - 2.27%
250,000 Houston,Texas Independent School District, Series A, 5.00% due 2/15/24 230,235
----------------
----------------
General Obligation - 1.00%
75,000 Houston,Texas, Series C, 5.25% due 4/01/14 74,924
25,000 San Antonio,Texas Certificates of Obligation, 6.625% due 8/01/14 26,933
----------------
----------------
101,857
----------------
Housing - 2.01%
200,000 Texas State Veterans Housing Assistance Program, Series B, 5.75%
due 12/01/13 204,150
----------------
Power/Utility - 0.50%
50,000 Brazos River Authority Texas Revenue, 5.800% due 8/01/15 50,451
----------------
----------------
UTAH - 3.62%
General Obligation
400,000 Clearfield County, Utah, 5.00% due 2/01/23 367,636
----------------
----------------
WASHINGTON - 2.88%
Education - 2.52%
250,000 Spokane County, Washington School District No. 356, Series A,
5.45% due 6/01/13 255,395
----------------
----------------
Power/Utility - 0.36%
35,000 Seattle, Washington Light & Power, Series A, 5.75% due 8/01/11 36,047
----------------
WASHINGTON D.C. - 2.11%
Public Facilities
250,000 Washington DC Convention Center Authority Dedicated Tax
Revenue Senior Lien, 4.75% due 10/01/28 214,125
----------------
----------------
WISCONSIN - 9.49%
Education - 6.49%
400,000 Wisconsin State Health & Educational Facilities Authority, Series A,
5.250% due 8/15/19 380,624
300,000 Wisconsin State Health & Educational Facilities, 5.25% due 8/15/27 278,172
----------------
----------------
658,796
----------------
----------------
Principal
Amount Value
--------------- ----------------
WISCONSIN (continued) - 9.49%
Housing - 3.00%
$300,000 Wisconsin Housing & Economic Development Home Ownership,
6.20% due 3/01/27 $304,149
----------------
WYOMING - 0.25%
Housing
25,000 Wyoming Community Development Authority Housing, 6.65%
due 12/01/06 25,586
----------------
----------------
Total Municipal Bonds (Cost-$9,963,854) $9,819,756
----------------
Total Investments (Cost-$10,163,854) 98.71% $10,019,756
----------------
----------------
Other Assets in Excess of Liabilities 1.29% 131,061
----------------
----------------
Total Net Assets 100.00% $10,150,817
================
================
See accompanying notes to financial statements.
</TABLE>
<TABLE>
<S> <C> <C> <C> <C>
August 31, 2000
--------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
--------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT MONEY MARKET PORTFOLIO
Principal
Amount Value
----------------- ----------------
----------------- ----------------
U.S. GOVERNMENT NOTES - 100.01%
Federal Farm Credit Bank Discount Notes - 7.50%
$ 1,675,000 6.52% due 9/05/00 $1,673,787
1,072,000 6.36% due 10/13/00 1,064,046
----------------
Total Federal Farm Credit Bank Discount Notes (Cost-$2,737,833)
2,737,833
----------------
----------------
Federal Home Loan Bank - 3.16%
1,183,000 6.40% due 1/10/01 1,155,449
----------------
Total Federal Home Loan Bank (Cost-$1,155,449)
1,155,449
----------------
Federal Home Loan Bank Discount Notes - 14.10%
128,000 6.10% due 9/15/00 127,696
462,000 6.43% due 10/04/00 459,277
2,500,000 6.39% due 11/15/00 2,466,719
870,000 6.44% due 11/20/00 857,549
1,274,000 6.40% due 2/07/01 1,237,988
Total Federal Home Loan Bank Discount Notes
----------------
(Cost-$5,149,229) 5,149,229
----------------
Federal Home Loan Mortgage Discount Notes - 36.92%
30,000 6.40% due 9/12/00 29,941
2,500,000 6.445% due 9/14/00 2,494,182
2,415,000 6.39% due 9/19/00 2,407,284
25,000 6.46% due 9/19/00 24,919
507,000 6.41% due 10/03/00 504,111
45,000 6.39% due 10/12/00 44,673
34,000 6.42% due 10/12/00 33,751
5,000,000 6.44% due 10/19/00 4,957,067
1,004,000 6.435% due 10/24/00 994,488
1,734,000 6.38% due 11/09/00 1,712,796
290,000 6.45% due 1/04/01 283,505
Total Federal Home Loan Mortgage Discount Notes
----------------
----------------
(Cost-$13,486,717) 13,486,717
----------------
----------------
Federal Home Loan Mortgage Medium-Term Notes - 2.74%
1,000,000 6.86% due 7/24/01 1,000,134
----------------
Total Federal Home Loan Mortgage Medium-Term Notes
(Cost-$1,000,134)
1,000,134
----------------
Federal National Mortgage Association Discount Notes - 32.88%
155,000 6.53% due 9/12/00 154,691
1,415,000 6.13% due 9/21/00 1,410,181
556,000 6.48% due 9/21/00 553,999
472,000 6.41% due 9/25/00 469,983
46,000 6.17% due 9/28/00 45,787
3,000,000 6.15% due 10/06/00 2,982,063
Principal
Amount Value
----------------- -----------------
$39,000 6.42% due 10/19/00 $38,666
523,000 6.43% due 11/02/00 517,208
97,000 6.38% due 11/09/00 95,814
80,000 6.38% due 11/22/00 78,838
2,638,000 6.49% due 12/14/00 2,588,540
2,443,000 6.44% due 1/04/01 2,388,372
700,000 6.47% due 1/04/01 684,274
-----------------
Total Federal National Mortgage Association Discount Notes
(Cost-$12,008,416) 12,008,416
-----------------
Federal National Mortgage Association Medium-Term Notes
- 2.72%
1,000,000 6.00% due 7/17/01 992,779
-----------------
Total Federal National Mortgage Association Medium-Term Notes
(Cost-$992,779)
992,779
-----------------
Total Investments (Cost-$36,530,557) 100.01% $ 36,530,557
-----------------
-----------------
Liabilities in Excess of Other Assets (0.01%) (5,046)
-----------------
-----------------
Total Net Assets 100.00% $ 36,525,511
=================
=================
See accompanying notes to financial statements.
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
30
August 31, 2000
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
------------------------------------------------------------------------------------------------------------------------------------
U.S.
Large Large Government
Capitalization Capitalization Small International Investment Municipal Money Market
Value Growth Capitalization Equity Quality Bond Bond
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
-------------- -------------- -------------- -------------- --------------- ----------------
Assets
Investments, (including repurchase
Agreements of $0, $0, $216,000,
$0, $0,
$0, $0, respectively; note 1f),
at value cost-
$76,690,460; $84,693,723;
$44,160,735;
$29,376,070; $34,085,040;
$10,163,854;
$36,530,557, respectively; note $79,440,115 $149,224,036 $50,390,699 $36,760,058 $33,617,361 $10,019,756 $36,530,557
1a)
Cash 1,861 1,125,928 103 1,459,242 555,180 27,749 647
Receivable for shares of beneficial
interest sold 135,732 153,826 86,352 93,461 58,114 - 114,282
Receivable for investments sold 1,056,548 1,975,670 - - - - -
Interest receivable - 21 544,585 126,396 14,384
- -
Dividends receivable 136,459 48,826 49,610 84,402 - - -
Foreign taxes receivable - - - 42,925 - - -
Prepaid expenses and other assets 103,099 110,783 14,199 25,055 16,009 23,259 21,246
-------------- ------------- ------------ ------------- ------------- ------------ ------------
Total Assets 80,873,814 152,639,069 50,540,984 38,465,143 34,791,249 10,197,160 36,681,116
-------------- ------------- ------------ ------------- ------------ ------------- ------------
Liabilities
Payable to manager 43,538 81,341 26,718 23,889 16,078 4,687 14,726
Administration fee payable 5,635 10,527 3,458 2,679 2,459 717 2,608
Payable for shares of beneficial
interest redeemed 76,453 129,416 33,953 597,283 43,352 2,779 96,850
Payable for investments purchased 442,934 - - - - - -
Other payables and accrued - - 72,988 - 44,765 38,160 41,421
expenses
------------ ------------ ------------ ------------- ------------- ------------ ------------
Total Liabilities 568,560 221,284 137,117 623,851 106,654 46,343 155,605
------------ ------------ ------------ ------------- ------------- ------------ ------------
Net Assets
Shares of beneficial interest at 43,423 45,406 39,083 24,195 35,053 10,061 146,595
par value
Paid-in-surplus 76,657,818 74,651,042 41,880,483 27,425,302 35,791,650 10,387,672 36,383,975
Accumulated undistributed net
investment
income (loss) 284,335 1,896 1,897 1,895 2,044 1,895
1,896
Accumulated net realized gain
(loss) on
investments and foreign
currency 570,024 13,189,127 2,252,440 3,005,911 (676,325) (104,862) (6,954)
transactions
Net unrealized appreciation
(depreciation)
on investments 2,749,654 64,530,314 6,229,964 7,383,988 (467,678) (144,098) -
----------- ------------- ------------ ------------- -------------- ----------- ------------
Total Net Assets $80,305,254 $152,417,785 $50,403,867 $37,841,292 $34,684,595 $10,150,817 $36,525,511
=========== ============= ============ ============= ============== =========== ============
Net Asset Value per Share
Class I
Net Assets $75,515,957 $142,599,440 $48,274,236 $35,886,989 $33,199,269 $10,020,920 $35,605,634
Shares of beneficial interest 4,080,115 4,243,228 3,740,950 2,292,485 3,355,131 993,229 35,612,473
outstanding
----------- ------------- ------------ ------------- -------------- ----------- ------------
Net asset value and offering
price per $18.51 $33.61 $12.90 $15.65 $9.90 $10.09 $1.00
Share =========== ============= ============= ============ ============== =========== ============
Net Asset Value per Share
Class B
Net Assets $1,280,094 $2,801,416 $436,283 $420,178 $124,746 $16,255 $114,801
Shares of beneficial interest 70,126 84,909 34,350 27,268 12,618 1,610 114,813
outstanding
------------ ------------- ------------- ------------- -------------- ---------- ------------
Net asset value and offering
price per $18.25 $32.99 $12.70 $15.41 $9.89 $10.10 $1.00
Share
============ ============= ============= ============= ============= =========== ============
Net Asset Value per Share
Class C
Net Assets $3,509,203 $7,016,929 $1,693,348 $1,534,125 $1,360,580 $113,642 $805,076
Shares of beneficial interest 192,082 212,329 133,010 99,641 137,417 11,264 805,178
outstanding
------------ ------------- ------------- ------------- ------------- ----------- ------------
Net asset value and offering
price per $18.27 $33.05 $12.73 $15.40 $9.90 $10.09 $1.00
Share
============ ============= ============= ============= ============= =========== ============
See accompanying notes to financial statements.
</TABLE>
Year Ended August 31, 2000
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
--------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
31
Year Ended August 31, 2000
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
------------------------------------------------------------------------------------------------------------------------------------
39
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 $1,095,382 (1) $685,039 (1) $314,471 $375,945 (1) - - -
Interest 254,542 70,786 77,426 2,489,577 574,391 2,618,245
-
-------------- --------------- --------------- -------------- ------------- -------- ----------
Total investment income 1,349,924 755,825 391,897 375,945 2,489,577 574,391 2,618,245
-------------- --------------- --------------- -------------- ------------- -------- ----------
Operating Expenses
Management fees (notes 2a, 518,744 914,413 289,146 273,245 208,358 56,188 212,646
2e)
Administration fees (note 51,240 80,520 25,620 18,300 29,280 9,150 36,600
2c)
Transfer and dividend
disbursing 91,500 128,100 54,900 49,410 69,540 18,300 73,200
agent fees
Custodian fees (note 2a) 52,717 72,372 103,011 62,485 59,838 60,561 55,003
Registration fees 30,671 24,024 24,346 20,858 21,557 18,439 27,219
Professional fees 32,691 34,521 29,031 23,541 24,639 18,051 27,201
Reports and notices to
shareholders 10,980 23,878 13,220 5,054 10,980 - 13,216
Trustees' fees 3,660 18,651 10,076 1,504 7,635 1,504 10,076
Distribution & service fees
(note 2d)
Class B 4,917 9,422 1,773 1,763 921 113 1,018
Class C 28,222 51,742 11,681 8,493 9,312 736 8,119
Miscellaneous 8,015 6,086 4,059 4,556 3,143 732 7,325
-------------- --------------- --------------- -------------- -------------- ------------ -----
Total operating expenses 833,357 1,363,729 566,863 469,209 445,203 83,774 471,623
Less: Management fees
waived
and/or expenses - (10,487) (11,138) - - (58,261) -
assumed
(note 2a)
Expense offset
arrangement (note (1,477) (55,902) (531) (58,825) (15,918) (2,001) (103)
2a)
-------------- --------------- --------------- -------------- -------------- --------- --------
Net operating expenses 831,880 1,297,340 555,194 410,384 429,285 123,512 471,520
-------------- --------------- --------------- -------------- -------------- --------- --------
Net investment income 518,044 (541,515) (163,297) (34,439) 2,060,292 450,879 2,146,725
(loss)
-------------- --------------- --------------- -------------- -------------- -------- ---------
Realized and Unrealized
Gain(Loss) on Investments-Net
Net realized gain (loss)
on 3,958,562 13,895,002 3,281,321 3,040,350 (651,960) (104,862) (4,591)
securities
Net change in unrealized
Appreciation
(depreciation) on (4,982,517) 24,523,425 8,442,326 3,434,380 614,883 200,242 -
investments
-------------- --------------- --------------- -------------- -------------- ---------- -------
Net realized gain (loss)
and change in unrealized
appreciation
(depreciation) on investments (1,023,955) 38,418,427 11,723,647 6,474,730 (37,077) 95,380 (4,591)
Net increase (decrease) in
net (505,911) $37,876,912 $11,560,350 $6,440,291 $2,023,215 $546,259 $2,142,134
assets resulting from
operations
============== =============== =============== ============== ============ ========== =========
(1) Net of foreign withholding taxes of $10,145, $90 and $62,763 for Large Capitalization Value, Large Capitalization Growth
and International Equity, respectively.
See accompanying notes to financial statements.
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
Year Ended August 31, 2000
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
------------------------------------------------------------------------------------------------------------------------------------
------------------------------- ------------------------------ ---------------------------
Large Capitalization Value Large Capitalization Growth Small Capitalization
Portfolio Portfolio Portfolio
------------------------------- ------------------------------ ---------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, 2000 August 31,1999 August 31, 2000 August 31,1999 August 31, 2000 August 31,1999
Operations
Net investment income (loss) $518,044 $551,397 ($541,515) ($382,898) ($163,297) ($196,421)
Net realized gain (loss) on 3,958,562 3,911,254 13,895,002 7,636,240 3,281,321 538,422
investments
Net change in unrealized appreciation
(depreciation) on investments (4,982,517) 4,723,895 24,523,425 30,990,758 8,442,326 8,450,520
--------------- -------------- ---------------- ------------- ------------- --------------
Net increase (decrease) in net
assets
resulting from operations (505,911) 9,186,546 37,876,912 38,244,100 11,560,350 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 27,751,163 43,516,472 49,262,429 50,917,991 10,645,993 15,232,180
Class B 1,144,739 180,079 2,491,683 206,626 330,613 76,827
Class C 3,704,069 1,173,280 6,128,643 2,225,861 1,681,162 246,405
Reinvestment of dividends and
distributions
Class I 7,680,907 2,808,762 7,192,591 1,626,717 474,540 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 (30,085,894) (16,842,950) (58,690,995) (40,089,419) (11,731,700) (8,991,933)
Class B (45,282) - (125,520) (11) (15,240) -
Class C (1,367,705) (26,750) (2,443,898) (26,409) (597,010) (6,695)
Net increase in net assets from
share
transactions of beneficial 9,047,965 30,808,893 4,060,988 14,861,356 799,992 13,390,592
interest
------------- ----------- -------------- ------------- ----------------- --------------
Total increase (decrease) in 511,692 37,152,825 34,419,649 51,461,329 11,871,653 15,297,498
net assets
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 $284,335, $240,241; $1,896,
$1,896; $1,897, $1,896; $1,896,
$117,534; $1,895, $1,896; $2,044,
$1,896; $1,895, and $1,895,
respectively) $80,305,254 $79,793,562 $152,417,785 $117,998,136 $50,403,867 $38,532,214
=========== ============== ============== ============= =========== ============
See accompanying notes to financial statements.
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Year Ended August 31, 2000
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------- -------------------------------- ------------------------------ -----------------------------
International Equity Portfolio Investment Quality Bond Municipal Bond U.S. Government Money Market
Portfolio Portfolio Portfolio
--------------------------------- -------------------------------- ------------------------------ -----------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, 2000 August 31,1999 August 31, 2000 August 31,1999 August 31, August 31,1999 August 31, August 31,1999
2000 2000
----------------- --------------- ---------------- --------------- --------------- ---------------- ------------- -------------
----------------- --------------- ---------------- --------------- --------------- ---------------- ------------- -------------
($34,439) $238,631 $2,060,292 $1,952,674 $450,879 $430,743 $2,146,725 $1,821,251
3,040,350 703,979 (651,960) 94,374 (104,862) 78,058 (4,591) (138)
3,434,380 3,788,888 614,883 (1,593,458) 200,242 (807,644)
- -
----------------- --------------- ---------------- --------------- --------------- ---------------- ----------- ---------------
----------------- --------------- ---------------- --------------- --------------- ---------------- ----------- ---------------
6,440,291 4,731,498 2,023,215 453,590 546,259 (298,843) 2,142,134 1,821,113
----------------- --------------- ---------------- --------------- --------------- ---------------- ----------- ---------------
----------------- --------------- ---------------- --------------- --------------- ---------------- ----------- ---------------
(178,106) (173,213) (2,012,045) (1,950,367) (448,029) (430,382) (2,109,276) (1,819,600)
(520) - (4,312) (159) (382) (24) (4,138) (142)
(2,430) - (43,936) (2,186) (2,471) (186) (33,311) (1,510)
(426,623) - - (225,023) (62,225) (43,266) - -
(1,245) - - - (48) - - -
(5,821) - - - (365) - - -
(614,745) (173,213) (2,060,293) (2,177,735) (513,520) (473,858) (2,146,725) (1,821,252)
----------------- --------------- ---------------- --------------- --------------- ---------------- ----------- ---------------
----------------- --------------- ---------------- --------------- --------------- ---------------- ----------- ---------------
14,990,360 13,305,963 11,618,769 23,031,923 1,689,751 5,637,079 61,134,769 50,062,160
346,653 65,536 70,053 64,322 26,343 8,604 115,647 70,317
1,378,461 365,497 1,379,097 293,323 73,956 46,798 2,236,416 350,624
600,053 171,246 1,946,877 2,128,885 502,497 468,341 2,059,138 1,777,737
1,763 - 4,164 177 399 29 3,944 153
8,249 - 40,569 2,239 2,841 182 36,026 1,522
(14,230,516) (8,226,685) (21,390,237) (18,093,662) (3,757,336) (3,571,865) (75,942,131) (41,973,797)
(5,745) - (14,110) (49) (18,707) - (75,248) -
(263,327) (16,947) (351,854) (8,367) (3,805) (8,296) (1,762,722) (56,687)
2,825,951 5,664,610 (6,696,672) 7,418,791 (1,484,061) 2,580,872 (12,194,161) 10,232,029
----------------- --------------- ---------------- --------------- --------------- ---------------- ----------- ---------------
----------------- --------------- ---------------- --------------- --------------- ---------------- ----------- ---------------
8,651,497 10,222,895 (6,733,750) 5,694,646 (1,451,322) 1,808,171 (12,198,752) 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
----------------- --------------- ---------------- --------------- --------------- ---------------- ----------- ---------------
----------------- --------------- ---------------- --------------- --------------- ---------------- ----------- ---------------
$37,841,292 $29,189,795 $34,684,595 $41,418,345 $10,150,817 $11,602,139 $36,525,511 $48,724,263
================= =============== ================ =============== =============== ================ =========== ===============
================= =============== ================ =============== =============== ================ =========== ===============
</TABLE>
Year Ended August 31, 2000
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
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. Funds
Distributor, Inc. (the "Administrator") provides the Trust with administrative
services. Funds Distributor, Inc. (the "Distributor") serves as the Trust's
distributor. 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,
theTrust 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 accounting
principles generally accepted in the United States 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 year ended August 31, 2000, the Manager voluntarily waived $10,487;
$11,138 and $58,261 for Large Capitalization Growth, Small Capitalization 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. The administration fee for the year ended August 31, 2000 was
$337,000 (exclusive of out of pocket administration fees) for the Trust.
(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 certain 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 year ended August 31,
2000, reimbursement payments were made by the following Portfolios to the
Manager under the terms of the Expense Agreement: $5,648, $1,276, $4,904, $936
and $9,358 for the Large Capitalization Value, Large Capitalization Growth,
International Equity, Investment Quality Bond and Money Market Portfolios
respectively.
3. PURCHASES AND SALES OF SECURITIES
For the year ended August 31, 2000 purchases and sales of investment
securities, other than short-term securities were as follows:
Purchases Sales
----------------------------
Large Capitalization Value $76,560,587 $67,246,878
Large Capitalization Growth 45,598,087 50,294,174
Small Capitalization 25,854,103 25,081,047
International Equity 18,198,803 15,640,501
Investment Quality Bond 18,299,745 24,226,070
Municipal Bond 1,187,030 1,779,054
4. UNREALIZED APPRECIATION (DEPRECIATION) FOR FEDERAL INCOME TAX PURPOSES
At August 31, 2000, the composition of unrealized appreciation
(depreciation) of investment securities were as follows:
Appreciation (Depreciation) Net
-----------------------------------------
Large Capitalization Value $7,518,044 ($4,768,390) $2,749,654
Large Capitalization Growth 67,895,581 (3,365,267) 64,530,314
Small Capitalization 14,047,812 (7,817,848) 6,229,964
International Equity 8,868,964 (1,484,976) 7,383,988
Investment Quality Bond 176,941 (644,619) (467,678)
Municipal Bond 155,431 (299,529) (144,098)
For U.S. federal income tax, the cost of securities owned at August 31,
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:
Year Ended Year Ended
August 31, 2000 August 31,
1999
---------------- ---------------
Large Capitalization Value
Issued 1,485,531 2,133,762
Redeemed (1,635,250) (815,931)
Reinvested from 417,431 144,855
Dividends
---------------- ---------------
Net Increase in 267,712 1,462,686
Shares
---------------- ---------------
Large Capitalization Growth
Issued 1,603,517 2,054,585
Redeemed (1,884,166) (1,573,032)
Reinvested from 239,432 71,851
Dividends
---------------- ---------------
Net Increase (41,217) 553,404
(Decrease) in Shares ---------------- ---------------
Small Capitalization
Issued 956,978 1,541,540
Redeemed (1,050,321) (919,820)
Reinvested from 51,025 795,518
---------------- ---------------
Net Increase (42,318) 1,417,238
(Decrease) in Shares ---------------- ---------------
International Equity
Issued 984,558 1,115,375
Redeemed (911,588) (686,830)
Reinvested from 38,445 14,969
Dividends
---------------- ---------------
Net Increase in 111,415 443,514
Shares
---------------- ---------------
Investment Quality Bond
Issued 1,182,384 2,250,732
Redeemed (2,181,650) (1,776,225)
Reinvested from 198,420 209,194
Dividends
---------------- ---------------
Net Increase (800,846) 683,701
(Decrease) in Shares
---------------- ---------------
Municipal Bond
Issued 174,483 534,305
Redeemed (388,444) (336,987)
Reinvested from 51,614 44,442
Dividends
---------------- ---------------
Net Increase (162,347) 241,760
(Decrease) in Shares
---------------- ---------------
U.S. Government Money Market
Issued 61,134,768 50,062,160
Redeemed (75,942,131) (41,973,797)
Reinvested from 2,059,138 1,777,737
Dividends
---------------- ---------------
Net Increase (12,748,225) 9,866,100
(Decrease) in Shares
---------------- ---------------
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:
Class B Class C
Year Ended Period from Year Ended Period from
1/4/99* 1/4/99*
August 31, 2000 to 8/31/99 August 31, 2000 to 8/31/99
----------------------------------- ------------------------------
Large Capitalization Value
Issued 62,862 8,367 198,592 56,675
Redeemed ( 2,590) - (75,030) (1,212)
Reinvested
Dividends 1,488 - 13,057 -
-------- ------- --------- --------
Net Increase 61,760 8,367 136,619 55,463
in Shares -------- ------- --------- --------
Large Capitalization Growth
Issued 80,730 7,611 205,339 83,457
Redeemed ( 4,109) - (83,088) ( 980)
Reinvested
Dividends 677 - 7,600 -
-------- ------- --------- --------
Net Increase 77,298 7,611 129,851 82,477
in Shares -------- ------- --------- --------
Small Capitalization
Issued 28,225 7,276 155,407 24,889
Redeemed ( 1,260) - (47,707) ( 729)
Reinvested
Dividends 109 - 1,150 -
-------- ------- --------- --------
Net Increase 27,074 7,276 108,850 24,160
in Shares -------- ------- --------- --------
International Equity
Issued 22,417 5,159 89,771 30,308
Redeemed (421) - (19,572) (1,399)
Reinvested
Dividends 114 - 533 -
-------- ------- --------- --------
Net Increase 22,110 5,159 70,732 28,909
in Shares -------- ------- --------- --------
Investment Quality Bond
Issued 7,153 6,465 140,415 29,380
Redeemed (1,438) (5) (35,898) (843)
Reinvested
Dividends 425 18 4,138 225
-------- ------- --------- --------
Net Increase 6,140 6,478 108,655 28,762
in Shares -------- ------- --------- --------
Municipal Bond
Issued 2,656 837 7,561 4,598
Redeemed (1,927) - (390) (815)
Reinvested
Dividends 41 3 292 18
-------- ------- --------- --------
Net Increase 770 840 7,463 3,801
in Shares -------- ------- --------- --------
U.S. Government Money Market
Issued 115,647 70,317 2,236,416 350,624
Redeemed (75,249) - (1,762,723) (56,688)
Dividends 3,944 153 36,026 1,522
-------- ------- --------- --------
Net Increase 44,342 70,470 509,719 295,458
in Shares -------- ------- --------- --------
* Commencement of offering
6. CAPITAL LOSS CARRYFORWARDS
At August 31, 2000, 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:
Name of Portfolio Total 2005 2006 2007 2008
U.S. Government Money Market Portfolio $2,533 $32 $187 2,090 $224
Municipal Bond Portfolio 61,929 0 0 0 61,929
Investment Quality Bond Portfolio 57,972 0 0 0 57,972
In accordance with U.S. Treasury regulations, the following Portfolios have
incurred and will elect to defer realized capital losses arising after October
31, 1999 ("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, 2000).
Capital
Losses
------------------
Large Capitalization Value Portfolio $ -
Large Capitalization Growth Portfolio -
Small Capitalization Portfolio 1,881,629
International Equity Portfolio -
Investment Quality Bond Portfolio 549,129
Municipal Bond Portfolio 42,933
U.S. Government Money Market Portfolio 4,421
--------------------------------------------------------------------------------
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)
Year Ended
August 31, 2000 $20.59 $0.12 ($0.23) ($0.11) ($0.17) ($1.80)$18.51 (0.49%) $75,516 1.02%(1) 0.68%(1) 90%
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%
(1) During the fiscal year ended August 31, 2000 Saratoga did not waive any
of its management fees. 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 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 0.68% respectively, for the year ended August 31, 2000,1.12% 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 and 2.19% and 0.04% respectively, for the year ended August
31,1996.
Large Capitalization Growth Portfolio (Class I)
Year Ended
August 31, 2000 $26.98 ($0.11) $8.40 $8.29 -- ($1.66) $33.61 31.45% $142,600 0.89%(1) (0.35%)(1) 33%
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%
(1) During the fiscal year ended August 31, 2000 Saratoga did not waive any
of its management fees. 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 0.94%
and (0.31%) respectively, for the year ended August 31, 2000,1.02% 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 and 1.67% and (0.60%), respectively, for the
year ended August 31, 1996.
Small Capitalization Portfolio (Class I)
Year Ended
August 31, 2000$10.10 ($0.04) $2.96 $2.92 -- ($0.12) $12.90 29.41% $48,275 1.25%(1) (0.37%)(1) 59%
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%
(1) During the fiscal years ended August 31, 2000, 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 1.24%
and (0.34%) respectively, for the year ended august 31, 2000,1.31% 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 and 1.84% and (1.42%), respectively, for the year ended
August 31,1996.
International Equity Portfolio (Class I)
Year Ended
August 31, 2000$13.18 ($0.01) $2.74 $2.73 ($0.08) ($0.18)$15.65 20.72% $35,887 1.28%(1) (0.08%)(1) 45%
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%
(1) During the fiscal year ended August 31, 2000 Saratoga did not waive any
of its management fees. 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 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 1.45%
and 0.08% respectively, for the year ended August 31, 2000, 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 and 3.91% and (2.33%) respectively, for the year ended
August 31,1996.
Investment Quality Bond Portfolio (Class I)
Year Ended
Augusy 31, 2000 $9.88 0.54 $0.02 $0.56 ($0.54) -- $9.90 5.83% $33,199 1.11%(1) 5.47%(1) 52%
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%
(1) During the fiscal year ended August 31, 2000 Saratoga did not waive any
of its management fees. 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 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 1.16%
and 5.51% respectively, for the year ended August 31, 2000, 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 and 2.12% and 3.90%, respectively, for the year ended
August 31,1996.
Municipal Bond Portfolio (Class I)
Year Ended
August 31, 2000$10.00 $0.43 $0.15 $0.58 ($0.43) ($0.06) $10.09 6.08% $10,021 1.20%(1) 4.43%(1) 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%
(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 1.62% and
4.01% respectively, for the year ended August 31, 2000, 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 and 5.32% and (0.12%), respectively, for the year ended
August 31,1996.
U.S. Government Money Market Portfolio (Class I)
Year Ended
August 31, 2000$1.000 $0.048 -- $0.048 ($0.048) -- $1.000 4.96% $35,605 1.04%(1) 4.82(1) 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
</TABLE>
(1) During the fiscal year ended August 31, 2000 Saratoga did not waive any
of its management fees. 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 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,1.04%
and 4.82% respectively, for the year ended August 31, 2000,1.02% 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 and 1.79% and 3.64% Respectively, for the year ended August
31,1996.
--------------------------------------------------------------------------------
(1) Amount rounds to less than $0.01.
* 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
ANNUAL REPORT
AS OF AUGUST 31, 2000
CLASS B SHARES
TABLE OF CONTENTS
Chairman's Page 1
Letter................................................................
Investment Page 3
Review................................................................
Schedules of Page 11
Investments...........................................................
Statements of Assets and Page 32
Liabilities...........................................................
Statements of Page 33
Operations............................................................
Statements of Changes in Net Assets................................... Page 34
Notes to Financial Page 36
Statements............................................................
Financial Page 41
Highlights............................................................
Independent Auditor's Page 44
Report................................................................
Tax Information....................................................... Page 45
This report is authorized for distribution only to shareholders and to
others who have received a copy of the prospectus.
TRUSTEES AND OFFICERS
Bruce E. Ventimiglia Trustee, Chairman, President & CEO
Patrick H. McCollough Trustee
Udo W. Koopmann Trustee
Floyd E. Seal Trustee
Stephen Ventimiglia Vice President
Scott C. Kane Vice President & Secretary
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 & Trust Company State Street Bank & Trust Company
P.O. Box 8514 P.O. Box 351
Boston, MA 02266 Boston, MA 02101
THE SARATOGA ADVANTAGE TRUST
Annual Report to Shareholders
October 23, 2000
Dear Shareholder:
We are pleased to provide you with this annual report on the investment
strategies and performance of the portfolios in the Saratoga Advantage Trust
(the 'Trust'). This report covers the twelve months from September 1, 1999
through August 31, 2000. In light of recent stock market volatility, it is
timely to revisit the importance of utilizing a sound asset allocation strategy
for your serious, 'core' assets.
Asset Allocation - The Investment 'Compass' That Provides Investors With An
Opportunity To Remove Investment Extremes
As I discussed in a prior Annual Report to Shareholders, asset allocation
is an investor's investment balance between stocks, bonds, money market funds
and other assets. A key goal of asset allocation is to establish a 'comfortable'
blend of investments that helps keep investors invested long-term to try to
achieve their investment goals, such as: college education funding or supporting
a dignified retirement. To help investors establish a comfortable blend of
investments, many asset allocation programs will assist them in evaluating their
risk tolerances, income needs and investment time horizons.
A well-designed asset allocation strategy often times results in investors
investing in a blend of asset classes (for example, a combination of stock, bond
and money market mutual funds). By investing in a blend of various asset classes
instead of investing at the extremes in only one asset class (such as only
investing in money market funds - a relatively conservative investment approach,
or only investing in stock funds - a relatively aggressive investment posture),
investors should expect to get blended rates of return and risk over the long
haul. On the other hand, investors investing at the extremes should expect to
get extreme rates of return and risk over the long run (that is, low rates of
return accompanied by low risk, or high rates of return along with high risk).
Using asset allocation as an investment 'compass' can help investors find a
comfortable blend of investments that matches their risk tolerances. A
well-established asset allocation strategy can help investors to stay
disciplined and patient through full market cycles (i.e., through both market
declines and advances). To achieve long-term investment goals, it is important
that investors establish the proper asset allocation strategies for themselves
so that they stay invested over the long haul - they don't quit on their
investment plans.
The Saratoga Advantage Trust has been designed to help investors
effectively implement their asset allocation strategies. As I also mentioned in
a prior Annual Report to Shareholders, to try to achieve good long-term
investment results, don't let short-term stock and bond market fluctuations
change your investment strategy. Your financial advisor can help you establish a
sensible asset allocation strategy to help you pursue your long-term investment
goals.
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 Trust's portfolios.
We remain 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
Total Aggregate Capitalization Morningstar S & P/Barra
Return for the Period Value Portfolio Large Value Value
Ended August 31, 2000 (Class B) Average1 Index2
----------------------------- ------------------- ------------ -----------
1/4/99 (inception) - 8/31/00* 0.1% 6.6% 9.8%
9/1/99 - 8/31/00 -1.3% 6.9% 9.3%
3/1/00 - 8/31/00 13.0% 14.3% 15.0%
*Annualized performance for periods greater than one year
The Saratoga Large Capitalization Value Portfolio invests in a diverse
group of high-quality, undervalued companies. The investment team uses
fundamentally driven, value-oriented analysis, which leads to the selection of
high-quality businesses that are selling for 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, potentially producing superior returns.
The Portfolio owned the common stocks of 49 companies as of August 31,
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 supermarket grocer retailer Kroger;
WorldCom, that provides a broad range of communications outsourcing and managed
network services; Wells Fargo, a diversified financial services company; and
Chase Manhattan Bank. Top contributors to the Portfolio performance for the six
months ended August 31, 2000 included Kroger, Pharmacia, Household International
and FleetBoston Financial.
1. The Morningstar Large Value Average, as of August 31, 2000, consisted of
669 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.
2. The S&P/Barra Value Index is constructed by dividing the stocks in the
S&P 500 Index according to price-to-book ratios. This unmanaged Index contains
stocks with lower price-to-book ratios and is market capitalization weighted.
The S&P/Barra Value Index does not include fees and expenses, and investors may
not invest directly in the Index. .
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
Total Aggregate Capitalization Morningstar S & P/Barra
Return for the Period Growth Portfolio Large Growth Growth
Ended August 31, 2000 (Class B) Average1 Index2
------------------------------ ----------------- ------------- ----------
1/4/99 (inception) - 8/31/00* 23.0% 28.9% 18.3%
9/1/99 - 8/31/00 30.2% 39.1% 22.1%
3/1/00 - 8/31/00 5.7% 5.6% 8.8%
*Annualized performance for periods greater than one year
While the long-term outlook for U.S. financial assets remains positive,
history tells us that it is hard for markets to fight-the-Fed. In the face of a
rising Fed Funds rate, the stock market has corrected from the levels reached in
mid-March. From those highs, the Dow Jones Industrial Average sold off
approximately 9%, the S&P 500 Index declined 10% and the NASDAQ Composite
collapsed nearly 40%.
In the early 1990's, when technology holdings were less than 15% of the
typical investor's portfolio, the volatility of the NASDAQ was little more than
a statistical curiosity. Today, with technology stocks representing one-third of
the S&P 500 Index and one-half of the Russell Growth Index, the rapidly changing
fortunes of the over-the-counter market place reach everyone. As predictable as
this spring retreat may seem, actually trading such an event can be treacherous.
Because we see such a strong fundamental case for technology stocks, we have
chosen not to trade these corrections. While technology stock investing has
always been challenging, the volatility of recent years has raised the stakes
for investors. Technology stocks have been awarded premium multiples due not
only to their extraordinary growth potential, but also to extraordinary
momentum.
During the past few months, investors saw the downside of momentum
investing. Harris Bretall believes that technology companies need to be judged
utilizing a combination of fundamental analysis, and an evaluation of catalysts
that can move the stocks near term.
We have written often about the three macro economic trends that have
fueled the strong market over the past five years - demographics, the technology
revolution and globalization. We believe they remain firmly in place.
1. The Morningstar Large Growth Average, as of August 31, 2000, consisted
of 698 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.
2. The S&P/Barra Growth Index is constructed by dividing the stocks in the
S&P 500 Index according to price-to-book ratios. This unmanaged Index contains
stocks with higher price-to-book ratios and is market capitalization weighted.
The S&P/Barra Growth Index does not include fees and expenses, and investors may
not invest directly in the Index.
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 Morningstar
Return for the Period Portfolio Small Value Russell 2000
Ended August 31, 2000 (Class B) Average1 Index2
----------------------------- ---------------- ------------- -------------
1/4/99 (inception) - 8/31/00* 21.5% 10.5% 16.7%
9/1/99 - 8/31/00 28.2% 16.8% 27.2%
3/1/00 - 8/31/00 13.5% 14.0% -6.4%
*Annualized performance for periods greater than one year
Results for the fiscal year ended August 31, 2000 continued to demonstrate
the strength of smaller stocks. As investor sentiment for smaller stocks
continues to build, we believe that this asset class could well be the most
profitable investment theme of the next few years.
During the past turbulent 24 months while many momentum style investors
chased companies with absurdly high projected top line growth and distant
earnings, your Portfolio has stayed with its fundamental, bottom-up approach to
smaller cap stocks.
Strong Portfolio performance is concrete evidence supporting our basic
investment policy of investing in smaller cap U.S. stocks managed in a
'double-play' style that seeks companies with strong future earnings, low
relative multiples, and catalysts for higher valuations. While that approach
appeared out of favor in late 1999, since the beginning of 2000 your Portfolio
has trended ahead of all major indices.
We believe that the outlook for your Portfolio of smaller stocks is
excellent. Your investment team enters its second decade together with renewed
enthusiasm for a consistent and common sense approach to smaller cap U.S.
stocks.
1. The Morningstar Small Value Average, as of August 31, 2000, consisted of
211 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.
2. The Russell 2000 Index is comprised of the 2,000 smallest U.S. domiciled
publicly traded common stocks which are included the Russell 3000 Index. The
common stocks included in the Russell 2000 Index represent approximately 10% of
the U.S. equity market as measured by market capitalization. The Russell 3000
Index is an unmanaged index of the 3,000 largest U.S. domiciled publicly traded
common stocks by market capitalization representing approximately 98% of the
U.S. publicly traded equity market. The Russell 2000 Index is an unmanaged index
whose performance reflects reinvested dividends. Investors may not invest in the
Index 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.
Total Aggregate International Morgan Stanley
Return for the Period Equity Portfolio EAFE Index
Ended August 31, 2000 (Class B) (U.S. Dollars)1
------------------------------ -------------------- -------------------
1/4/99 (inception) - 8/31/00* 15.8% 9.9%
9/1/99 - 8/31/00 19.7% 9.6%
3/1/00 - 8/31/00 -4.8% -3.6%
*Annualized performance for periods greater than one year
Global economies remain in good shape - growth is slowing to a more
sustainable level and inflation remains subdued by historic standards.
Productivity gains, increased global competition and continued investment in
technology have all served to offset any inflation pressure from tight labor
markets and rising raw material prices. However, the recent rise in the price of
oil cannot be ignored and is starting to raise concerns in financial markets.
Valuations across equity markets are generally fair, though towards the top
end of their historic range. Earnings momentum, although waning, still remains
strong. However, we could see margin pressure ahead, especially if we have a
cold winter and the price of oil remains at current levels or even higher. As
such, we take a more cautious view towards world stock markets at the current
time and see no reason to favor any one particular region over the rest. Medium
term we continue to like Europe where we expect to see ongoing restructuring.
As of August 31, 2000, the major weightings in the Portfolio were as
follows: 50.1% in Continental Europe, 19.0% in the United Kingdom, 24.0% in
Japan and 3.0% in Pacific Ex-Japan.
Recent portfolio additions include: WPP, a leading global advertising and
media company; and San Paolo, Italy's largest bank.
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.
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.
Lipper
Short- Lehman
Intermediate Intermediate
Total Aggregate Investment Quality Investment Government/
Return for the Period Bond Portfolio Grade Debt Corporate
Ended August 31, 2000 (Class B) Funds Index1 Bond Index2
----------------------------- -------------------- ------------- -----------
1/4/99 (inception) - 8/31/00* 2.1% 7.4% 3.1%
9/1/99 - 8/31/00 4.9% 5.9% 6.3%
3/1/00 - 8/31/00 4.0% 4.2% 4.8%
*Annualized performance for periods greater than one year
In the annual period ended August 31, 2000, the Portfolio distributed
dividends of $0.54 per share.
Investments in the Portfolio are normally divided approximately evenly
between U.S. Treasury, U.S. Government Agency and Corporate securities. Due to
the yield advantage available in Corporate and U.S. Government Agency
securities, there is greater emphasis on Corporate and U.S. Government Agency
bond holdings in the Portfolio at this time.
Fox Asset Management will continue to focus on those instruments that offer
improving credit quality and liquidity. Fox is maintaining a conservative
investment posture with an average maturity of 5.2 years, and an average
duration of 3.4 years in the Portfolio.
Other Portfolio statistics as of August 31, 2000 are as follows: Average
yield-to-maturity was 6.9%, average coupon was 6.7% and the average Moody's
Rating was Aa3 with 37 fixed income issue 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.
2. The Lehman Intermediate Government/Corporate Bond Index is composed of
the bonds in the Lehman Government/Corporate Bond Index that have maturities
between 1 and 9.99 years. The Lehman Government/Corporate Bond Index consists of
approximately 5,400 issues. The securities must be investment grade (BAA or
higher) with amounts outstanding in excess of $1 million and have at least one
year to maturity. The Lehman Index is an unmanaged index which does not include
fees and expenses. Investors may not invest directly in the Index.
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 Municipal Bond Lipper General Lehman
Return for the Period Portfolio Municipal Municipal
Ended August 31, 2000 (Class B) Debt Funds Index1 Bond Index2
------------------------------ --------------- ----------------- ------------
1/4/99 (inception) - 8/31/00* 0.6% 2.8% 6.5%
9/1/99 - 8/31/00 5.1% 5.4% 6.8%
3/1/00 - 8/31/00 7.0% 6.5% 6.8%
*Annualized performance for periods greater than one year
Municipal bonds have performed well, particularly in the past few months.
With the gyrations of the stock market during the year, investors began to look
towards the bond market for more safety. Municipals, so cheap relative to other
fixed income investments for most of the year, were an obvious place for these
investments. For much of the year demand outstripped supply as municipalities
curtailed their issuance in an effort to reduce outstanding debt. The municipal
yield curve has remained positively sloped with thirty-year municipals yielding
more than 1% more than two-year municipals - a very different picture than the
Treasury curve.
We maintained a portfolio of high quality municipals throughout the year in
our effort to provide a high level of tax-exempt income with minimal credit
risks. Currently, 66% of the Portfolio holds municipals with a rating of AAA,
while the Portfolio has an average rating of AA+. We continue to purchase and
hold a high percentage of insured municipal bonds, which we deem as inexpensive
relative to uninsured bonds. We continue to focus on the general obligation
sector of the market as state and local finances are in excellent shape due to
the surpluses generated from the strong economy. Finally, we continue to
concentrate on the 15 to 20 year part of the yield curve where we believe the
best value exists in the municipal marketplace.
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.
2. The Lehman Brothers Municipal Bond Index consists of approximately
25,000 municipal bonds which are selected to be representative of the long-term,
investment grade tax-exempt bond market. The bonds selected for the index have
the following characteristics: a minimum credit rating of at least Baa; an
original issue of at least $50 million; at least $3 million of the issue
outstanding; issued within the last five years; and a maturity of at least one
year. The Lehman Index is an unmanaged index which does not include fees and
expenses. Investors may not invest directly in the Index.
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.
U.S. Government Money 90 Day T-Bills
7-Day Market Portfolio Average Discount
Compound Yield (Class B) Yield
--------------------------- ------------------------ ------------------
8/31/00 5.6% 6.1%
Total Aggregate U.S. Government Money Lipper U.S. 90
Return for the Period Market Portfolio Treasury Money Day
Ended August 31, 2000 (Class B) Market Index1 T-Bills
----------------------------- ---------------------- -------------- ----------
1/4/99 (inception) - 8/31/00* 3.7% 8.0% 4.7%
9/1/99 - 8/31/00 4.1% 5.1% 5.4%
3/1/00 - 8/31/00 2.2% 2.7% 2.8%
*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
August 31, 2000. The average dollar-weighted portfolio maturity was 54 days,
compared with a maximum allowable maturity of 90 days.
On August 31, 2000, the Federal Funds rate was 6.50%. With the prospects of
an economic slowdown growing and a contained inflation environment, it appears
the work of the Federal Reserve may be complete. Yields peaked early in the
summer and current rates reflect a meaningful lowering of growth expectations.
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 predictive of future performance.
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August 31, 2000
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
LARGE CAPITALIZATION VALUE PORTFOLIO
<TABLE>
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SCHEDULES OF INVESTMENTS
--------------------------------------------------------------------------------------------------------------------------
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LARGE CAPITALIZATION VALUE PORTFOLIO
17
Principal
Amount Value
---------------- -----------------
---------------- -----------------
SHORT-TERM GOVERNMENT NOTES - 3.76%
Federal Home Loan Bank - 3.76%
$ 3,016,000 6.51% due 9/01/00 $ 3,016,000
-----------------
-----------------
Total Short-Term Government Notes (Cost-$3,016,000) 3,016,000
-----------------
-----------------
Shares
----------------
----------------
COMMON STOCKS - 95.20%
Aerospace - 2.48%
37,100 Boeing Company 1,989,487
-----------------
-----------------
Airlines - 1.45%
35,500 AMR, Corporation* 1,164,844
-----------------
-----------------
Banking - 10.91%
53,000 Chase Manhattan Corporation 2,961,375
66,407 FleetBoston Financial Corporation 2,834,757
68,660 Wells Fargo Company 2,965,254
-----------------
-----------------
8,761,386
-----------------
-----------------
Chemicals - 2.82%
50,400 E.I. du Pont de Nemours and Company 2,261,700
-----------------
Computer Hardware - 1.03%
24,400 Compaq Computer Corporation 831,125
-----------------
-----------------
Computer Services - 0.78%
12,500 Electronic Data Systems Corporation 622,656
-----------------
Computer Software - 4.97%
63,100 Computer Associates International, Incorporated 2,003,425
100,000 Compuware Corporation* 1,056,250
13,300 Microsoft Corporation* 928,506
-----------------
3,988,181
-----------------
Cosmetics/Toiletries - 0.62%
12,700 Avon Products, Incorporated 497,681
-----------------
-----------------
Drugs/Medical Products - 3.40%
27,900 American Home Products Corporation 1,511,831
15,700 Bristol Myers Squibb Company 832,100
5,500 Merck & Co., Incorporated 384,313
-----------------
2,728,244
-----------------
Shares Value
---------------- -----------------
Electronics - 3.67%
20,500 Emerson Electric Company $ 1,356,844
18,500 Rockwell International Corporation 748,094
18,500 Solectron Corporation 838,281
-----------------
-----------------
2,943,219
-----------------
Financial Services - 13.46%
46,667 Citigroup, Incorporated 2,724,167
44,700 Countrywide Credit Industries, Incorporated 1,693,012
93,000 Federal Home Loan Mortgage Corporation 3,917,625
51,500 Household International, Incorporated 2,472,000
-----------------
-----------------
10,806,804
-----------------
Healthcare Services - 1.30%
33,600 Tenet Healthcare Corporation* 1,041,600
-----------------
-----------------
Insurance - 6.66%
30,900 AFLAC, Incorporated 1,668,600
13,400 American General Corporation 975,688
76,400 John Hancock Financial Services, Incorporated* 1,929,100
11,282 XL Capital Limited, Class A 777,753
-----------------
-----------------
5,351,141
-----------------
-----------------
Machinery/Engineering - 1.65%
36,100 Caterpillar, Incorporated 1,326,675
-----------------
-----------------
Manufacturing - 1.40%
20,000 Textron, Incorporated 1,121,250
-----------------
-----------------
Metals/Mining - 5.98%
66,000 Alcoa, Incorporated 2,194,500
28,000 Minnesota Mining & Manufacturing Company 2,604,000
-----------------
-----------------
4,798,500
-----------------
-----------------
Multimedia - 0.83%
15,000 News Corporation Limited, Sponsored ADR 663,750
-----------------
-----------------
Oil/Gas - 4.66%
19,000 Chevron Corporation 1,605,500
24,000 Texaco, Incorporated 1,236,000
27,100 Unocal Corporation 904,463
-----------------
-----------------
3,745,963
-----------------
-----------------
Publishing - 0.47%
10,500 Tribune Company 374,719
-----------------
Shares Value
---------------- -----------------
-----------------
Retail - 11.50%
67,700 CVS Corporation $ 2,513,362
13,000 Gap, Incorporated 291,688
160,200 Kroger Company* 3,634,537
93,500 McDonalds Corporation 2,793,312
-----------------
-----------------
9,232,899
-----------------
-----------------
Telecommunications - 9.46%
22,200 Motorola, Incorporated 800,588
14,800 Tellabs, Incorporated* 831,575
63,500 Verizon Communications 2,770,187
87,500 Worldcom, Incorporated* 3,193,750
-----------------
-----------------
7,596,100
-----------------
-----------------
Transportation - 4.60%
36,000 Burlington Northern Santa Fe Corporation 805,500
58,000 Canadian Pacific Limited 1,584,125
46,851 Sabre Group Holdings Corporation* 1,305,972
-----------------
-----------------
3,695,597
-----------------
-----------------
Waste Disposal - 1.10%
46,500 Waste Management, Incorporated 880,594
-----------------
-----------------
Total Common Stocks (Cost-$73,674,460) $ 76,424,115
-----------------
-----------------
Total Investments (Cost-$76,690,460) 98.92% $ 79,440,115
-----------------
-----------------
Other Assets in Excess of Liabilities 1.08% 865,139
-----------------
-----------------
Total Net Assets 100.00% $80,305,254
=================
=================
* Non-income producing security.
Summary of Abbreviations:
ADR - American Depositary Receipt
See accompanying notes to financial statements.
</TABLE>
* Non-income producing security.
See accompanying notes to financial statements.
<TABLE>
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August 31, 2000
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SCHEDULES OF INVESTMENTS
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LARGE CAPITALIZATION GROWTH PORTFOLIO
Shares Value
---------------- ------------------
----------------
COMMON STOCKS - 97.90%
Banking - 1.84%
65,000 Wells Fargo Company $2,807,188
------------------
------------------
Beverages - 1.04%
30,000 Coca-Cola Company 1,578,750
------------------
------------------
Biomedical - 2.12%
17,000 Genentech, Incorporated* 3,238,500
------------------
------------------
Computer Hardware - 11.70%
60,000 Dell Computer Corporation* 2,617,500
66,000 EMC Corporation* 6,468,000
22,000 International Business Machine Corporation 2,904,000
46,000 Sun Microsystems, Incorporated* 5,839,125
------------------
------------------
17,828,625
------------------
------------------
Computer Software - 2.52%
55,000 Microsoft Corporation* 3,839,687
------------------
Communications Equipment - 1.71%
32,000 Nortel Networks Corporation 2,610,000
------------------
------------------
Distribution - 1.58%
70,000 Costco Wholesale Corporation* 2,410,625
------------------
------------------
Electronics - 15.35%
45,000 Applied Materials, Incorporated* 3,884,062
96,000 Intel Corporation 7,188,000
38,000 JDS Uniphase Corporation* 4,730,406
18,000 PMC-Sierra, Incorporated* 4,248,000
50,000 Texas Instruments, Incorporated 3,346,875
------------------
23,397,343
------------------
Financial Services - 13.31%
112,500 Charles Schwab Corporation 4,296,094
73,333 Citigroup, Incorporated 4,280,833
41,000 The Goldman Sachs Group, Incorporated 5,250,562
60,000 Morgan Stanley Dean Witter & Company 6,453,750
------------------
------------------
20,281,239
------------------
------------------
Insurance - 2.52%
43,125 American International Group, Incorporated 3,843,516
------------------
------------------
Internet - 6.19%
60,000 America Online, Incorporated* 3,517,500
80,000 Broadvision, Incorporated* 2,760,000
26,000 Yahoo!, Incorporated* 3,159,000
------------------
------------------
9,436,500
------------------
Shares Value
---------------- ------------------
Manufacturing - 5.40%
102,000 General Electric Company $5,986,125
40,000 Illinois Tool Works, Incorporated 2,242,500
------------------
------------------
8,228,625
------------------
------------------
Multimedia - 1.92%
75,000 The Walt Disney Company 2,920,312
------------------
------------------
Networking Products - 6.58%
95,000 Cisco Systems, Incorporated* 6,519,375
30,000 Network Appliance, Incorporated* 3,510,000
------------------
------------------
10,029,375
------------------
------------------
Oil Field Services - 4.57%
75,000 Halliburton Company 3,975,000
35,000 Schlumberger Limited 2,985,937
------------------
6,960,937
------------------
------------------
Pharmaceuticals - 5.30%
31,000 Johnson & Johnson 2,850,063
70,000 Pfizer, Incorporated 3,027,500
55,000 Schering-Plough Corporation 2,206,875
------------------
------------------
8,084,438
------------------
------------------
Retail - 8.12%
75,000 Gap, Incorporated 1,682,813
69,000 Home Depot, Incorporated 3,316,313
90,000 Target Corporation 2,092,500
56,000 Wal-Mart Stores, Incorporated 2,656,500
80,000 Walgreen Company 2,630,000
------------------
12,378,126
------------------
Semiconductor - 1.64%
10,000 Broadcom Corporation* 2,500,000
------------------
Telecommunications - 4.49%
46,000 Lucent Technologies, Incorporated 1,923,375
55,000 Qwest Communciations International* 2,839,375
50,000 SBS Communications, Incorporated 2,087,500
------------------
------------------
6,850,250
------------------
Total Investments (Cost-$84,693,723) 97.90% $ 149,224,036
------------------
------------------
Other Assets in Excess of Liabilities 2.10% 3,193,749
------------------
------------------
Total Net Assets 100.00% $ 152,417,785
==================
==================
* Non-income producing security.
See accompanying notes to financial statements.
</TABLE>
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SCHEDULES OF INVESTMENTS
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INTERNATIONAL EQUITY PORTFOLIO
25
Shares Value
-------------- -------------------
-------------- -------------------
COMMON STOCKS - 97.14%
FINLAND - 4.70%
Telecommunications
39,600 Nokia Oyj, Sponsored ADR $ 1,779,525
-------------------
-------------------
FRANCE - 13.58%
Banking - 2.13%
68,000 Societe Generale, Sponsored ADR 806,466
-------------------
-------------------
Financial Services - 1.65%
8,900 AXA, Sponsored ADR 625,781
-------------------
-------------------
Oil/Gas - 2.36%
11,970 TOTAL Fina Elf, Sponsored ADR 891,765
-------------------
-------------------
Pharmaceuticals - 3.08%
15,600 Aventis, Sponsored ADR 1,166,100
-------------------
-------------------
Telecommunications - 4.36%
10,850 Alcatel Alsthom, Sponsored ADR 899,194
6,500 France Telecom, Sponsored ADR 749,531
-------------------
-------------------
1,648,725
-------------------
-------------------
GERMANY - 5.85%
Computer Software - 2.17%
12,800 SAP Aktiengesellschaft, Sponsored ADR 821,600
-------------------
-------------------
Diversified Manufacturing Operations - 2.47%
5,800 Siemens AG, Unsponsored ADR 935,891
-------------------
-------------------
Drugs/Medical Products - 1.21%
5,100 Roche Holdings Limited, Sponsored ADR 456,593
-------------------
-------------------
HONG KONG - 2.02%
Closed End Funds
56,500 Ishares MSCI Hong Kong 762,750
-------------------
-------------------
ITALY - 1.87%
Banking
19,800 San Paolo - IMI S.P.A., Sponsored ADR 707,850
-------------------
JAPAN - 24.19%
Audio/Video Products - 2.17%
7,200 Sony Corporation, Sponsored ADR 822,600
-------------------
-------------------
Banking - 1.99%
61,331 Bank of Tokyo-Mitsubishi Limited, Sponsored ADR 751,305
-------------------
-------------------
Shares Value
-------------- -------------------
JAPAN (continued) - 24.19%
Computer Hardware - 3.36%
8,628 TDK Corporation, Sponsored ADR $ 1,272,630
-------------------
-------------------
Cosmetics/Toiletries - 2.95%
4,059 Kao Corporation, Unsponsored ADR 1,115,273
-------------------
-------------------
Finance - 1.81%
10,260 Orix Corporation, Sponsored ADR 686,138
-------------------
-------------------
Identification Systems/Development - 1.73%
4,500 Secom Limited, Unsponsored ADR 655,780
-------------------
-------------------
Manufacturing - 1.27%
3,720 Bridgestone Corporation, Unsponsored ADR 481,412
-------------------
-------------------
Office Equipment - 3.03%
25,320 Canon, Incorporated, Sponsored ADR 1,415,730
-------------------
-------------------
Printing - 1.17%
9,031 Toppan Printing Limited, Unsponsored ADR 441,233
-------------------
-------------------
Retail - 1.74%
10,278 Seven-Eleven Japan Limited, Unsponsored ADR 660,228
-------------------
-------------------
Telecommunications - 2.97%
18,700 Nippon Telegraph & Telephone Corporation, Sponsored ADR 1,125,506
-------------------
-------------------
NETHERLANDS - 9.66%
Banking - 2.78%
15,600 ING Groep N.V., Sponsored ADR 1,052,025
-------------------
-------------------
Electronics - 2.16%
16,614 Koninklijke Philips Electronics N.V., Sponsored ADR 819,278
-------------------
-------------------
Multimedia - 2.22%
15,750 VNU N.V., Sponsored ADR 840,141
-------------------
-------------------
Transportation - 2.49%
40,100 TNT Post Groep N.V., Sponsored ADR 942,350
-------------------
-------------------
SPAIN - 5.43%
Banking - 3.41%
43,250 Banco Bilboa Vizcaya Argentaria, Sponsored ADR 646,047
58,800 Banco Santander Central Hispanos, Sponsored ADR 643,125
-------------------
1,289,172
-------------------
Telecommunications - 2.02%
13,331 Telefonica, Sponsored ADR 764,033
-------------------
Shares Value
-------------- -------------------
SWEDEN - 4.12%
Telecommunications
76,000 Telefonaktiebolaget LM Ericsson, Sponsored ADR $ 1,558,000
-------------------
-------------------
SWITZERLAND - 5.52%
Food Products - 4.04%
14,200 Nestle, Sponsored ADR 1,529,632
-------------------
-------------------
Human Services - 1.48%
5,800 Adecco, Sponsored ADR 558,975
-------------------
-------------------
TAIWAN - 0.99%
Semiconductor
10,752 Taiwan Semiconductor Limited, Sponsored ADR* 376,320
-------------------
-------------------
UNITED KINGDOM - 19.22%
Advertising - 1.72%
9,200 WPP Group PLC, Sponsored ADR 649,750
-------------------
Banking - 1.58%
5,800 Barclays PLC, Sponsored ADR 597,400
-------------------
-------------------
Insurance - 1.52%
21,950 Prudential Corporation PLC, Sponsored ADR 576,144
-------------------
-------------------
Multimedia - 1.21%
3,800 Reuters Group PLC, Sponsored ADR 456,238
-------------------
-------------------
Oil/Gas - 2.69%
19,800 Shell Transport & Trading Company, Sponsored ADR 1,018,462
-------------------
-------------------
Pharmaceuticals - 1.92%
12,600 Glaxo Wellcome PLC, Sponsored ADR 725,288
-------------------
-------------------
Telecommunications - 8.58%
5,804 British Telecommunications PLC, Sponsored ADR 741,461
44,950 Marconi PLC, Unsponsored ADR 796,595
41,720 Vodafone Airtouch PLC, Sponsored ADR 1,707,913
-------------------
-------------------
3,245,969
-------------------
Total Investments (Cost-$29,376,070) 97.14% $ 36,760,058
-------------------
-------------------
Other Assets in Excess of Liabilities 2.86% 1,081,234
-------------------
-------------------
Total Net Assets 100.00% $37,841,292
===================
===================
* Non-income producing securities.
Summary of Abbreviations:
ADR - American Depositary Receipt
See accompanying notes to financial statements.
</TABLE>
<TABLE>
<S> <C> <C> <C> <C>
August 31, 2000
--------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
--------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
INVESTMENT QUALITY BOND PORTFOLIO
27
Principal
Amount Value
------------------ ------------------
------------------ ------------------
U.S. GOVERNMENT NOTES - 43.22%
U.S. Treasury Notes - 13.34%
$ 1,087,310 3.375% due 1/15/07 $ 1,047,895
3,650,000 5.625% due 5/15/08 3,578,132
------------------
------------------
4,626,027
------------------
------------------
Federal Home Loan Mortgage Corporation - 9.42%
2,500,000 5.125% due 10/15/08 2,226,950
188,640 Series 1822, Class C, 6.50% due 4/15/20 187,636
314,156 Series 1980, Class C, 6.85% due 10/15/21 312,780
540,409 Series 1921, 7.25% due 4/15/24 539,393
------------------
------------------
3,266,759
------------------
------------------
Federal National Mortgage Association - 20.46%
6,000,000 6.00% due 5/15/08 5,684,040
1,400,000 7.00% due 7/15/05 1,413,118
------------------
------------------
7,097,158
------------------
------------------
Total U.S. Government Notes (Cost-$14,986,847) 14,989,944
------------------
------------------
CORPORATE NOTES & BONDS - 53.70%
Automotive - 4.04%
1,500,000 TRW, Incorporated, 6.05% due 1/15/05 1,399,680
------------------
------------------
Broadcasting - 3.19%
1,055,000 EZ Communications, 9.75% due 12/01/05 1,107,982
------------------
------------------
Chemicals - 4.17%
1,500,000 ICI Wilmington, 6.95% due 9/15/04 1,447,410
------------------
------------------
Financial Services - 15.94%
425,000 Advanta Credit Card Master Trust II, Series 95-F, Class A1,
6.05% due 8/01/03 424,201
1,000,000 Associates Corporate North America, 6.625% due 6/15/05 967,170
350,000 Associates Corporate North America, 6.25% due 9/15/00 349,892
750,000 BHP Finance USA, 7.875% due 12/01/02 756,562
409,059 Bellsouth Savings & Security ESOT, MTN, Series A,
9.125% due 7/01/03 421,948
246,055 Bellsouth Savings & Security ESOT, MTN, Series A,
9.125% due 7/01/03 258,822
1,007,134 Collateralized Mortgage Securities Corporation, Series 1992-3, Class E,
8.00% due 11/20/20 1,005,553
200,000 Copelco Capital Funding Corporation, Series 1999-B, Class A3,
6.61% due 12/18/02 199,400
Principal
Amount Value
------------------ ------------------
Financial Services (continued) - 15.94%
$ Delta Funding Home Equity Loan Trust, Series 1997-1, Class A2,
45,517 6.92% due 5/25/15 $45,294
250,000 Morgan Stanley, MTN, Series C, 5.75% due 2/15/01 248,373
158,956 National Auto Finance, Series 1996-1, Class A, 6.33% due 12/21/02 157,750
650,000 Prime Credit Card Master Trust, Series 1996-1, Class A, 6.70%
due 7/15/04 647,966
46,219 Residential Asset Securitization Trust, Series 1997-A10,
Class A1, 7.25% due 12/25/27 45,930
------------------
------------------
5,528,861
------------------
------------------
Healthcare Services - 3.46%
1,200,000 Tenet Healthcare Corporation, 8.625% due 12/01/03 1,200,000
------------------
------------------
Insurance - 2.49%
825,000 Geico Corporation, 9.15% due 9/15/21 863,098
------------------
------------------
Machinery - 0.29%
100,000 Ingersoll-Rand Company, 6.255% due 2/15/01 99,330
------------------
------------------
Metals/Mining - 3.29%
1,200,000 Cyprus Minerals, Incorporated, 6.625% due 10/15/05 1,140,660
------------------
------------------
Multimedia - 2.92%
1,000,000 Westinghouse Electric Corporation, 8.375% due 6/15/02 1,014,350
------------------
------------------
Oil/Gas - 0.80%
275,000 Amoco Canada Petro Company Limited, 7.25% due 12/01/02 277,142
------------------
------------------
Pharmaceuticals - 2.95%
1,000,000 American Home Products, 7.90% due 2/15/05 1,023,560
------------------
------------------
Power/Utility - 2.43%
150,000 Public Service Electric & Gas, 7.875% due 11/01/01 150,867
700,000 Southern California Edison, 5.875% due 1/15/01 696,213
------------------
------------------
847,080
------------------
------------------
Telecommunications - 0.55%
190,000 GTE Corporation, 9.375% due 12/01/00 190,977
------------------
------------------
Transportation - 3.61%
1,300,000 Union Pacific Corporation, 6.12% due 2/01/04 1,253,252
------------------
------------------
Waste Disposal - 3.56%
500,000 WMX Technologies, 6.70% due 5/01/01 493,350
750,000 WMX Technologies, 7.125% due 6/15/01 740,685
------------------
------------------
1,234,035
------------------
------------------
Total Corporate Notes & Bonds (Cost-$19,098,193) $ 18,627,417
------------------
Total Investments (Cost-$34,085,040) 96.92% $ 33,617,361
------------------
------------------
Other Assets in Excess of Liabilities 3.08% 1,067,234
------------------
------------------
Total Net Assets 100.00% $ 34,684,595
==================
==================
Summary of Abbreviations:
MTN - Medium Term Note
See accompanying notes to financial statements.
</TABLE>
<TABLE>
<S> <C> <C> <C> <C>
August 31, 2000
--------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
--------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
MUNICIPAL BOND PORTFOLIO
Principal
Amount Value
--------------- ----------------
SHORT TERM INVESTMENTS - 1.98%
TEXAS - 0.99%
Industrial
$100,000 Grapevine, Texas Industrial Development Corporation
Revenue, Series A, 4.35% due 1/24/12 $100,000
----------------
WYOMING - 0.99%
Pollution Control
100,000 Lincoln County, Wyoming Pollution Control Revenue,
Series B, 4.25% due 11/01/14 100,000
----------------
Total Short-Term Investments (Cost - $200,000) 200,000
----------------
MUNICIPAL BONDS - 96.76%
ARIZONA - 4.34%
Water/Sewer
500,000 Sedona Arizona Wastewater Municipal Property,
4.75% due 7/01/27
440,955
----------------
----------------
CALIFORNIA - 8.65%
Education - 3.05%
50,000 California State Public Works Board Lease Revenue, Various
California State University Projects, 6.00% due 9/01/15 54,185
250,000 California State Public Works Board Lease Revenue, 5.375%
due 10/01/17 255,493
----------------
----------------
309,678
----------------
----------------
Housing - 3.65%
375,000 California Housing Finance Agency Single Family Mortgage,
Series A, Class I, 5.30% due 8/01/18 370,541
----------------
----------------
Turnpike/Toll - 1.95%
200,000 Foothill/Eastern Corridor Agency California Toll Road Revenue
Refunding, 5.75% due 1/15/40 197,800
----------------
----------------
COLORADO - 1.55%
Health/Hospitals
150,000 Denver, Colorado City & County Hospital, 6.00% due 10/01/15 156,858
----------------
----------------
FLORIDA - 0.36%
Education
35,000 Dade County, Florida School Board, Series A, 5.75% due 5/01/12 36,892
----------------
----------------
GEORGIA - 7.51%
Airport - 3.08%
305,000 Atlanta, Georgia Airport Facilities Revenue, 6.25% due 1/01/21 312,933
----------------
----------------
Principal
Amount Value
--------------- ----------------
Education - 2.16%
$215,000 Jackson County, Georgia School District, 6.00% due 7/01/14 $230,557
----------------
----------------
General Obligation - 2.21%
200,000 Georgia State, Series B, 6.250% due 4/01/07 219,504
----------------
----------------
HAWAII - 4.51%
General Obligation
505,000 Hawaii State, Series CR, 4.75% due 4/01/18 457,873
----------------
----------------
ILLINOIS - 4.54%
Health/Hospitals
500,000 Illinois Health Facilities Authority Northwestern Medical Facility
Foundation, 5.00% due 11/15/18 460,625
----------------
IOWA - 0.52%
Water/Sewer
50,000 West Des Moines, Iowa Water Revenue, 6.80% due 12/01/13 52,592
----------------
----------------
KENTUCKY - 1.01%
Turnpike/Toll
100,000 Kentucky State Turnpike Authority Economic Development,
5.625% due 7/01/15 102,064
----------------
----------------
LOUISIANA - 1.54%
General Obligation
150,000 New Orleans, Louisiana, 6.125% due 10/01/16 156,435
----------------
----------------
MARYLAND - 3.11%
Resource Recovery
300,000 Maryland State Energy Financing Administration Solid Waste
Disposal Revenue, 6.30% due 12/01/10 315,510
----------------
----------------
MISSOURI - 0.36%
Housing
35,000 Missouri State Housing Development Commission GNMA Backed,
Series C, 6.90% due 7/01/18 36,166
----------------
----------------
NEBRASKA - 0.41%
Power/Utility
40,000 Omaha, Nebraska Public Power Distribution, 5.50% due 2/01/14 41,460
----------------
----------------
NEVADA - 1.52%
Housing
150,000 Nevada Housing Division, Single Family, Series A,
6.15% due 4/01/17 153,897
----------------
----------------
Principal
Amount Value
--------------- ----------------
NEW YORK - 9.64%
Education - 1.32%
$ 125,000 New York State Dormitory Authority City University, 5.75%
due 7/01/09 $133,924
----------------
----------------
General Obligation - 7.15%
200,000 New York, New York, Series A, 6.50% due 7/15/06 219,670
500,000 New York, New York, Series E, 5.25% due 2/01/12 506,275
----------------
----------------
725,945
----------------
----------------
Housing - 0.76%
75,000 New York State Mortgage Agency, Series 54, 6.10% due 10/01/15 77,577
----------------
----------------
Pollution Control - 0.41%
40,000 New York State Environmental Facilities Corporation Pollution
Control, 5.875% due 6/15/14 41,737
----------------
----------------
NORTH DAKOTA - 6.00%
Housing
250,000 North Dakota State Housing Finance Agency, Series A, 5.25% due 7/01/18 228,595
390,000 North Dakota State Housing Finance Agency, Series C, 5.50% due 7/01/18 380,028
----------------
----------------
608,623
----------------
----------------
OHIO - 5.20%
General Obligation - 4.64%
500,000 Akron, Ohio, 5.00% due 12/01/18 470,840
----------------
----------------
Health/Hospitals - 0.56%
50,000 Lorain County, Ohio Hospital Medical Center, 7.75% due 11/01/13 56,963
----------------
----------------
PENNSYLVANIA - 4.24%
General Obligation - 2.97%
300,000 Pennsylvania State, Second Series, 5.00% due 11/15/12 300,978
----------------
----------------
Tax Allocation - 0.75%
75,000 Philadelphia, Pennsylvania Municipal Authority, Series A, 5.625%
due 11/15/14 76,396
----------------
----------------
Water/Sewer - 0.52%
50,000 Pittsburgh, Pennsylvania Water & Sewer Authority, Series B, 5.60%
due 9/01/15 52,553
----------------
----------------
PUERTO RICO - 0.68%
Power/Utility
65,000 Puerto Rico Electric Power Authority, 6.00% due 7/01/15 68,873
----------------
Principal
Amount Value
--------------- ----------------
----------------
SOUTH CAROLINA - 6.94%
Health/Hospitals - 2.35%
$ 250,000 Spartanburg County, South Carolina Health Services, Series B, 5.125%
due 4/15/17 $238,545
----------------
----------------
Power/Utility - 4.52%
500,000 Piedmont Municipal Power Agency South Carolina Electric Revenue,
Series A, 5.00% due 1/01/18 465,905
----------------
----------------
TEXAS - 5.78%
Education - 2.27%
250,000 Houston,Texas Independent School District, Series A, 5.00% due 2/15/24 230,235
----------------
----------------
General Obligation - 1.00%
75,000 Houston,Texas, Series C, 5.25% due 4/01/14 74,924
25,000 San Antonio,Texas Certificates of Obligation, 6.625% due 8/01/14 26,933
----------------
----------------
101,857
----------------
Housing - 2.01%
200,000 Texas State Veterans Housing Assistance Program, Series B, 5.75%
due 12/01/13 204,150
----------------
Power/Utility - 0.50%
50,000 Brazos River Authority Texas Revenue, 5.800% due 8/01/15 50,451
----------------
----------------
UTAH - 3.62%
General Obligation
400,000 Clearfield County, Utah, 5.00% due 2/01/23 367,636
----------------
----------------
WASHINGTON - 2.88%
Education - 2.52%
250,000 Spokane County, Washington School District No. 356, Series A,
5.45% due 6/01/13 255,395
----------------
----------------
Power/Utility - 0.36%
35,000 Seattle, Washington Light & Power, Series A, 5.75% due 8/01/11 36,047
----------------
WASHINGTON D.C. - 2.11%
Public Facilities
250,000 Washington DC Convention Center Authority Dedicated Tax
Revenue Senior Lien, 4.75% due 10/01/28 214,125
----------------
----------------
WISCONSIN - 9.49%
Education - 6.49%
400,000 Wisconsin State Health & Educational Facilities Authority, Series A,
5.250% due 8/15/19 380,624
300,000 Wisconsin State Health & Educational Facilities, 5.25% due 8/15/27 278,172
----------------
----------------
658,796
----------------
----------------
Principal
Amount Value
--------------- ----------------
WISCONSIN (continued) - 9.49%
Housing - 3.00%
$300,000 Wisconsin Housing & Economic Development Home Ownership,
6.20% due 3/01/27 $304,149
----------------
WYOMING - 0.25%
Housing
25,000 Wyoming Community Development Authority Housing, 6.65%
due 12/01/06 25,586
----------------
----------------
Total Municipal Bonds (Cost-$9,963,854) $9,819,756
----------------
Total Investments (Cost-$10,163,854) 98.71% $10,019,756
----------------
----------------
Other Assets in Excess of Liabilities 1.29% 131,061
----------------
----------------
Total Net Assets 100.00% $10,150,817
================
================
See accompanying notes to financial statements.
</TABLE>
<TABLE>
<S> <C> <C> <C> <C>
August 31, 2000
--------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
--------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT MONEY MARKET PORTFOLIO
Principal
Amount Value
----------------- ----------------
----------------- ----------------
U.S. GOVERNMENT NOTES - 100.01%
Federal Farm Credit Bank Discount Notes - 7.50%
$ 1,675,000 6.52% due 9/05/00 $1,673,787
1,072,000 6.36% due 10/13/00 1,064,046
----------------
Total Federal Farm Credit Bank Discount Notes (Cost-$2,737,833)
2,737,833
----------------
----------------
Federal Home Loan Bank - 3.16%
1,183,000 6.40% due 1/10/01 1,155,449
----------------
Total Federal Home Loan Bank (Cost-$1,155,449)
1,155,449
----------------
Federal Home Loan Bank Discount Notes - 14.10%
128,000 6.10% due 9/15/00 127,696
462,000 6.43% due 10/04/00 459,277
2,500,000 6.39% due 11/15/00 2,466,719
870,000 6.44% due 11/20/00 857,549
1,274,000 6.40% due 2/07/01 1,237,988
Total Federal Home Loan Bank Discount Notes
----------------
(Cost-$5,149,229) 5,149,229
----------------
Federal Home Loan Mortgage Discount Notes - 36.92%
30,000 6.40% due 9/12/00 29,941
2,500,000 6.445% due 9/14/00 2,494,182
2,415,000 6.39% due 9/19/00 2,407,284
25,000 6.46% due 9/19/00 24,919
507,000 6.41% due 10/03/00 504,111
45,000 6.39% due 10/12/00 44,673
34,000 6.42% due 10/12/00 33,751
5,000,000 6.44% due 10/19/00 4,957,067
1,004,000 6.435% due 10/24/00 994,488
1,734,000 6.38% due 11/09/00 1,712,796
290,000 6.45% due 1/04/01 283,505
Total Federal Home Loan Mortgage Discount Notes
----------------
----------------
(Cost-$13,486,717) 13,486,717
----------------
----------------
Federal Home Loan Mortgage Medium-Term Notes - 2.74%
1,000,000 6.86% due 7/24/01 1,000,134
----------------
Total Federal Home Loan Mortgage Medium-Term Notes
(Cost-$1,000,134)
1,000,134
----------------
Federal National Mortgage Association Discount Notes - 32.88%
155,000 6.53% due 9/12/00 154,691
1,415,000 6.13% due 9/21/00 1,410,181
556,000 6.48% due 9/21/00 553,999
472,000 6.41% due 9/25/00 469,983
46,000 6.17% due 9/28/00 45,787
3,000,000 6.15% due 10/06/00 2,982,063
Principal
Amount Value
----------------- -----------------
$39,000 6.42% due 10/19/00 $38,666
523,000 6.43% due 11/02/00 517,208
97,000 6.38% due 11/09/00 95,814
80,000 6.38% due 11/22/00 78,838
2,638,000 6.49% due 12/14/00 2,588,540
2,443,000 6.44% due 1/04/01 2,388,372
700,000 6.47% due 1/04/01 684,274
-----------------
Total Federal National Mortgage Association Discount Notes
(Cost-$12,008,416) 12,008,416
-----------------
Federal National Mortgage Association Medium-Term Notes
- 2.72%
1,000,000 6.00% due 7/17/01 992,779
-----------------
Total Federal National Mortgage Association Medium-Term Notes
(Cost-$992,779)
992,779
-----------------
Total Investments (Cost-$36,530,557) 100.01% $ 36,530,557
-----------------
-----------------
Liabilities in Excess of Other Assets (0.01%) (5,046)
-----------------
-----------------
Total Net Assets 100.00% $ 36,525,511
=================
=================
See accompanying notes to financial statements.
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
30
August 31, 2000
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
------------------------------------------------------------------------------------------------------------------------------------
U.S.
Large Large Government
Capitalization Capitalization Small International Investment Municipal Money Market
Value Growth Capitalization Equity Quality Bond Bond
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
-------------- -------------- -------------- -------------- --------------- ----------------
Assets
Investments, (including repurchase
Agreements of $0, $0, $216,000,
$0, $0,
$0, $0, respectively; note 1f),
at value cost-
$76,690,460; $84,693,723;
$44,160,735;
$29,376,070; $34,085,040;
$10,163,854;
$36,530,557, respectively; note $79,440,115 $149,224,036 $50,390,699 $36,760,058 $33,617,361 $10,019,756 $36,530,557
1a)
Cash 1,861 1,125,928 103 1,459,242 555,180 27,749 647
Receivable for shares of beneficial
interest sold 135,732 153,826 86,352 93,461 58,114 - 114,282
Receivable for investments sold 1,056,548 1,975,670 - - - - -
Interest receivable - 21 544,585 126,396 14,384
- -
Dividends receivable 136,459 48,826 49,610 84,402 - - -
Foreign taxes receivable - - - 42,925 - - -
Prepaid expenses and other assets 103,099 110,783 14,199 25,055 16,009 23,259 21,246
-------------- ------------- ------------ ------------- ------------- ------------ ------------
Total Assets 80,873,814 152,639,069 50,540,984 38,465,143 34,791,249 10,197,160 36,681,116
-------------- ------------- ------------ ------------- ------------ ------------- ------------
Liabilities
Payable to manager 43,538 81,341 26,718 23,889 16,078 4,687 14,726
Administration fee payable 5,635 10,527 3,458 2,679 2,459 717 2,608
Payable for shares of beneficial
interest redeemed 76,453 129,416 33,953 597,283 43,352 2,779 96,850
Payable for investments purchased 442,934 - - - - - -
Other payables and accrued - - 72,988 - 44,765 38,160 41,421
expenses
------------ ------------ ------------ ------------- ------------- ------------ ------------
Total Liabilities 568,560 221,284 137,117 623,851 106,654 46,343 155,605
------------ ------------ ------------ ------------- ------------- ------------ ------------
Net Assets
Shares of beneficial interest at 43,423 45,406 39,083 24,195 35,053 10,061 146,595
par value
Paid-in-surplus 76,657,818 74,651,042 41,880,483 27,425,302 35,791,650 10,387,672 36,383,975
Accumulated undistributed net
investment
income (loss) 284,335 1,896 1,897 1,895 2,044 1,895
1,896
Accumulated net realized gain
(loss) on
investments and foreign
currency 570,024 13,189,127 2,252,440 3,005,911 (676,325) (104,862) (6,954)
transactions
Net unrealized appreciation
(depreciation)
on investments 2,749,654 64,530,314 6,229,964 7,383,988 (467,678) (144,098) -
----------- ------------- ------------ ------------- -------------- ----------- ------------
Total Net Assets $80,305,254 $152,417,785 $50,403,867 $37,841,292 $34,684,595 $10,150,817 $36,525,511
=========== ============= ============ ============= ============== =========== ============
Net Asset Value per Share
Class I
Net Assets $75,515,957 $142,599,440 $48,274,236 $35,886,989 $33,199,269 $10,020,920 $35,605,634
Shares of beneficial interest 4,080,115 4,243,228 3,740,950 2,292,485 3,355,131 993,229 35,612,473
outstanding
----------- ------------- ------------ ------------- -------------- ----------- ------------
Net asset value and offering
price per $18.51 $33.61 $12.90 $15.65 $9.90 $10.09 $1.00
Share =========== ============= ============= ============ ============== =========== ============
Net Asset Value per Share
Class B
Net Assets $1,280,094 $2,801,416 $436,283 $420,178 $124,746 $16,255 $114,801
Shares of beneficial interest 70,126 84,909 34,350 27,268 12,618 1,610 114,813
outstanding
------------ ------------- ------------- ------------- -------------- ---------- ------------
Net asset value and offering
price per $18.25 $32.99 $12.70 $15.41 $9.89 $10.10 $1.00
Share
============ ============= ============= ============= ============= =========== ============
Net Asset Value per Share
Class C
Net Assets $3,509,203 $7,016,929 $1,693,348 $1,534,125 $1,360,580 $113,642 $805,076
Shares of beneficial interest 192,082 212,329 133,010 99,641 137,417 11,264 805,178
outstanding
------------ ------------- ------------- ------------- ------------- ----------- ------------
Net asset value and offering
price per $18.27 $33.05 $12.73 $15.40 $9.90 $10.09 $1.00
Share
============ ============= ============= ============= ============= =========== ============
See accompanying notes to financial statements.
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
31
Year Ended August 31, 2000
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
------------------------------------------------------------------------------------------------------------------------------------
39
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 $1,095,382 (1) $685,039 (1) $314,471 $375,945 (1) - - -
Interest 254,542 70,786 77,426 2,489,577 574,391 2,618,245
-
-------------- --------------- --------------- -------------- ------------- -------- ----------
Total investment income 1,349,924 755,825 391,897 375,945 2,489,577 574,391 2,618,245
-------------- --------------- --------------- -------------- ------------- -------- ----------
Operating Expenses
Management fees (notes 2a, 518,744 914,413 289,146 273,245 208,358 56,188 212,646
2e)
Administration fees (note 51,240 80,520 25,620 18,300 29,280 9,150 36,600
2c)
Transfer and dividend
disbursing 91,500 128,100 54,900 49,410 69,540 18,300 73,200
agent fees
Custodian fees (note 2a) 52,717 72,372 103,011 62,485 59,838 60,561 55,003
Registration fees 30,671 24,024 24,346 20,858 21,557 18,439 27,219
Professional fees 32,691 34,521 29,031 23,541 24,639 18,051 27,201
Reports and notices to
shareholders 10,980 23,878 13,220 5,054 10,980 - 13,216
Trustees' fees 3,660 18,651 10,076 1,504 7,635 1,504 10,076
Distribution & service fees
(note 2d)
Class B 4,917 9,422 1,773 1,763 921 113 1,018
Class C 28,222 51,742 11,681 8,493 9,312 736 8,119
Miscellaneous 8,015 6,086 4,059 4,556 3,143 732 7,325
-------------- --------------- --------------- -------------- -------------- ------------ -----
Total operating expenses 833,357 1,363,729 566,863 469,209 445,203 83,774 471,623
Less: Management fees
waived
and/or expenses - (10,487) (11,138) - - (58,261) -
assumed
(note 2a)
Expense offset
arrangement (note (1,477) (55,902) (531) (58,825) (15,918) (2,001) (103)
2a)
-------------- --------------- --------------- -------------- -------------- --------- --------
Net operating expenses 831,880 1,297,340 555,194 410,384 429,285 123,512 471,520
-------------- --------------- --------------- -------------- -------------- --------- --------
Net investment income 518,044 (541,515) (163,297) (34,439) 2,060,292 450,879 2,146,725
(loss)
-------------- --------------- --------------- -------------- -------------- -------- ---------
Realized and Unrealized
Gain(Loss) on Investments-Net
Net realized gain (loss)
on 3,958,562 13,895,002 3,281,321 3,040,350 (651,960) (104,862) (4,591)
securities
Net change in unrealized
Appreciation
(depreciation) on (4,982,517) 24,523,425 8,442,326 3,434,380 614,883 200,242 -
investments
-------------- --------------- --------------- -------------- -------------- ---------- -------
Net realized gain (loss)
and change in unrealized
appreciation
(depreciation) on investments (1,023,955) 38,418,427 11,723,647 6,474,730 (37,077) 95,380 (4,591)
Net increase (decrease) in
net (505,911) $37,876,912 $11,560,350 $6,440,291 $2,023,215 $546,259 $2,142,134
assets resulting from
operations
============== =============== =============== ============== ============ ========== =========
(1) Net of foreign withholding taxes of $10,145, $90 and $62,763 for Large Capitalization Value, Large Capitalization Growth
and International Equity, respectively.
See accompanying notes to financial statements.
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
Year Ended August 31, 2000
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
------------------------------------------------------------------------------------------------------------------------------------
------------------------------- ------------------------------ ---------------------------
Large Capitalization Value Large Capitalization Growth Small Capitalization
Portfolio Portfolio Portfolio
------------------------------- ------------------------------ ---------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, 2000 August 31,1999 August 31, 2000 August 31,1999 August 31, 2000 August 31,1999
Operations
Net investment income (loss) $518,044 $551,397 ($541,515) ($382,898) ($163,297) ($196,421)
Net realized gain (loss) on 3,958,562 3,911,254 13,895,002 7,636,240 3,281,321 538,422
investments
Net change in unrealized appreciation
(depreciation) on investments (4,982,517) 4,723,895 24,523,425 30,990,758 8,442,326 8,450,520
--------------- -------------- ---------------- ------------- ------------- --------------
Net increase (decrease) in net
assets
resulting from operations (505,911) 9,186,546 37,876,912 38,244,100 11,560,350 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 27,751,163 43,516,472 49,262,429 50,917,991 10,645,993 15,232,180
Class B 1,144,739 180,079 2,491,683 206,626 330,613 76,827
Class C 3,704,069 1,173,280 6,128,643 2,225,861 1,681,162 246,405
Reinvestment of dividends and
distributions
Class I 7,680,907 2,808,762 7,192,591 1,626,717 474,540 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 (30,085,894) (16,842,950) (58,690,995) (40,089,419) (11,731,700) (8,991,933)
Class B (45,282) - (125,520) (11) (15,240) -
Class C (1,367,705) (26,750) (2,443,898) (26,409) (597,010) (6,695)
Net increase in net assets from
share
transactions of beneficial 9,047,965 30,808,893 4,060,988 14,861,356 799,992 13,390,592
interest
------------- ----------- -------------- ------------- ----------------- --------------
Total increase (decrease) in 511,692 37,152,825 34,419,649 51,461,329 11,871,653 15,297,498
net assets
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 $284,335, $240,241; $1,896,
$1,896; $1,897, $1,896; $1,896,
$117,534; $1,895, $1,896; $2,044,
$1,896; $1,895, and $1,895,
respectively) $80,305,254 $79,793,562 $152,417,785 $117,998,136 $50,403,867 $38,532,214
=========== ============== ============== ============= =========== ============
See accompanying notes to financial statements.
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Year Ended August 31, 2000
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------- -------------------------------- ------------------------------ -----------------------------
International Equity Portfolio Investment Quality Bond Municipal Bond U.S. Government Money Market
Portfolio Portfolio Portfolio
--------------------------------- -------------------------------- ------------------------------ -----------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, 2000 August 31,1999 August 31, 2000 August 31,1999 August 31, August 31,1999 August 31, August 31,1999
2000 2000
----------------- --------------- ---------------- --------------- --------------- ---------------- ------------- -------------
----------------- --------------- ---------------- --------------- --------------- ---------------- ------------- -------------
($34,439) $238,631 $2,060,292 $1,952,674 $450,879 $430,743 $2,146,725 $1,821,251
3,040,350 703,979 (651,960) 94,374 (104,862) 78,058 (4,591) (138)
3,434,380 3,788,888 614,883 (1,593,458) 200,242 (807,644)
- -
----------------- --------------- ---------------- --------------- --------------- ---------------- ----------- ---------------
----------------- --------------- ---------------- --------------- --------------- ---------------- ----------- ---------------
6,440,291 4,731,498 2,023,215 453,590 546,259 (298,843) 2,142,134 1,821,113
----------------- --------------- ---------------- --------------- --------------- ---------------- ----------- ---------------
----------------- --------------- ---------------- --------------- --------------- ---------------- ----------- ---------------
(178,106) (173,213) (2,012,045) (1,950,367) (448,029) (430,382) (2,109,276) (1,819,600)
(520) - (4,312) (159) (382) (24) (4,138) (142)
(2,430) - (43,936) (2,186) (2,471) (186) (33,311) (1,510)
(426,623) - - (225,023) (62,225) (43,266) - -
(1,245) - - - (48) - - -
(5,821) - - - (365) - - -
(614,745) (173,213) (2,060,293) (2,177,735) (513,520) (473,858) (2,146,725) (1,821,252)
----------------- --------------- ---------------- --------------- --------------- ---------------- ----------- ---------------
----------------- --------------- ---------------- --------------- --------------- ---------------- ----------- ---------------
14,990,360 13,305,963 11,618,769 23,031,923 1,689,751 5,637,079 61,134,769 50,062,160
346,653 65,536 70,053 64,322 26,343 8,604 115,647 70,317
1,378,461 365,497 1,379,097 293,323 73,956 46,798 2,236,416 350,624
600,053 171,246 1,946,877 2,128,885 502,497 468,341 2,059,138 1,777,737
1,763 - 4,164 177 399 29 3,944 153
8,249 - 40,569 2,239 2,841 182 36,026 1,522
(14,230,516) (8,226,685) (21,390,237) (18,093,662) (3,757,336) (3,571,865) (75,942,131) (41,973,797)
(5,745) - (14,110) (49) (18,707) - (75,248) -
(263,327) (16,947) (351,854) (8,367) (3,805) (8,296) (1,762,722) (56,687)
2,825,951 5,664,610 (6,696,672) 7,418,791 (1,484,061) 2,580,872 (12,194,161) 10,232,029
----------------- --------------- ---------------- --------------- --------------- ---------------- ----------- ---------------
----------------- --------------- ---------------- --------------- --------------- ---------------- ----------- ---------------
8,651,497 10,222,895 (6,733,750) 5,694,646 (1,451,322) 1,808,171 (12,198,752) 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
----------------- --------------- ---------------- --------------- --------------- ---------------- ----------- ---------------
----------------- --------------- ---------------- --------------- --------------- ---------------- ----------- ---------------
$37,841,292 $29,189,795 $34,684,595 $41,418,345 $10,150,817 $11,602,139 $36,525,511 $48,724,263
================= =============== ================ =============== =============== ================ =========== ===============
================= =============== ================ =============== =============== ================ =========== ===============
</TABLE>
Year Ended August 31, 2000
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
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. Funds
Distributor, Inc. (the "Administrator") provides the Trust with administrative
services. Funds Distributor, Inc. (the "Distributor") serves as the Trust's
distributor. 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,
theTrust 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 accounting
principles generally accepted in the United States 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 year ended August 31, 2000, the Manager voluntarily waived $10,487;
$11,138 and $58,261 for Large Capitalization Growth, Small Capitalization 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. The administration fee for the year ended August 31, 2000 was
$337,000 (exclusive of out of pocket administration fees) for the Trust.
(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 certain 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 year ended August 31,
2000, reimbursement payments were made by the following Portfolios to the
Manager under the terms of the Expense Agreement: $5,648, $1,276, $4,904, $936
and $9,358 for the Large Capitalization Value, Large Capitalization Growth,
International Equity, Investment Quality Bond and Money Market Portfolios
respectively.
3. PURCHASES AND SALES OF SECURITIES
For the year ended August 31, 2000 purchases and sales of investment
securities, other than short-term securities were as follows:
Purchases Sales
----------------------------
Large Capitalization Value $76,560,587 $67,246,878
Large Capitalization Growth 45,598,087 50,294,174
Small Capitalization 25,854,103 25,081,047
International Equity 18,198,803 15,640,501
Investment Quality Bond 18,299,745 24,226,070
Municipal Bond 1,187,030 1,779,054
4. UNREALIZED APPRECIATION (DEPRECIATION) FOR FEDERAL INCOME TAX PURPOSES
At August 31, 2000, the composition of unrealized appreciation
(depreciation) of investment securities were as follows:
Appreciation (Depreciation) Net
-----------------------------------------
Large Capitalization Value $7,518,044 ($4,768,390) $2,749,654
Large Capitalization Growth 67,895,581 (3,365,267) 64,530,314
Small Capitalization 14,047,812 (7,817,848) 6,229,964
International Equity 8,868,964 (1,484,976) 7,383,988
Investment Quality Bond 176,941 (644,619) (467,678)
Municipal Bond 155,431 (299,529) (144,098)
For U.S. federal income tax, the cost of securities owned at August 31,
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:
Year Ended Year Ended
August 31, 2000 August 31,
1999
---------------- ---------------
Large Capitalization Value
Issued 1,485,531 2,133,762
Redeemed (1,635,250) (815,931)
Reinvested from 417,431 144,855
Dividends
---------------- ---------------
Net Increase in 267,712 1,462,686
Shares
---------------- ---------------
Large Capitalization Growth
Issued 1,603,517 2,054,585
Redeemed (1,884,166) (1,573,032)
Reinvested from 239,432 71,851
Dividends
---------------- ---------------
Net Increase (41,217) 553,404
(Decrease) in Shares ---------------- ---------------
Small Capitalization
Issued 956,978 1,541,540
Redeemed (1,050,321) (919,820)
Reinvested from 51,025 795,518
---------------- ---------------
Net Increase (42,318) 1,417,238
(Decrease) in Shares ---------------- ---------------
International Equity
Issued 984,558 1,115,375
Redeemed (911,588) (686,830)
Reinvested from 38,445 14,969
Dividends
---------------- ---------------
Net Increase in 111,415 443,514
Shares
---------------- ---------------
Investment Quality Bond
Issued 1,182,384 2,250,732
Redeemed (2,181,650) (1,776,225)
Reinvested from 198,420 209,194
Dividends
---------------- ---------------
Net Increase (800,846) 683,701
(Decrease) in Shares
---------------- ---------------
Municipal Bond
Issued 174,483 534,305
Redeemed (388,444) (336,987)
Reinvested from 51,614 44,442
Dividends
---------------- ---------------
Net Increase (162,347) 241,760
(Decrease) in Shares
---------------- ---------------
U.S. Government Money Market
Issued 61,134,768 50,062,160
Redeemed (75,942,131) (41,973,797)
Reinvested from 2,059,138 1,777,737
Dividends
---------------- ---------------
Net Increase (12,748,225) 9,866,100
(Decrease) in Shares
---------------- ---------------
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:
Class B Class C
Year Ended Period from Year Ended Period from
1/4/99* 1/4/99*
August 31, 2000 to 8/31/99 August 31, 2000 to 8/31/99
----------------------------------- ------------------------------
Large Capitalization Value
Issued 62,862 8,367 198,592 56,675
Redeemed ( 2,590) - (75,030) (1,212)
Reinvested
Dividends 1,488 - 13,057 -
-------- ------- --------- --------
Net Increase 61,760 8,367 136,619 55,463
in Shares -------- ------- --------- --------
Large Capitalization Growth
Issued 80,730 7,611 205,339 83,457
Redeemed ( 4,109) - (83,088) ( 980)
Reinvested
Dividends 677 - 7,600 -
-------- ------- --------- --------
Net Increase 77,298 7,611 129,851 82,477
in Shares -------- ------- --------- --------
Small Capitalization
Issued 28,225 7,276 155,407 24,889
Redeemed ( 1,260) - (47,707) ( 729)
Reinvested
Dividends 109 - 1,150 -
-------- ------- --------- --------
Net Increase 27,074 7,276 108,850 24,160
in Shares -------- ------- --------- --------
International Equity
Issued 22,417 5,159 89,771 30,308
Redeemed (421) - (19,572) (1,399)
Reinvested
Dividends 114 - 533 -
-------- ------- --------- --------
Net Increase 22,110 5,159 70,732 28,909
in Shares -------- ------- --------- --------
Investment Quality Bond
Issued 7,153 6,465 140,415 29,380
Redeemed (1,438) (5) (35,898) (843)
Reinvested
Dividends 425 18 4,138 225
-------- ------- --------- --------
Net Increase 6,140 6,478 108,655 28,762
in Shares -------- ------- --------- --------
Municipal Bond
Issued 2,656 837 7,561 4,598
Redeemed (1,927) - (390) (815)
Reinvested
Dividends 41 3 292 18
-------- ------- --------- --------
Net Increase 770 840 7,463 3,801
in Shares -------- ------- --------- --------
U.S. Government Money Market
Issued 115,647 70,317 2,236,416 350,624
Redeemed (75,249) - (1,762,723) (56,688)
Dividends 3,944 153 36,026 1,522
-------- ------- --------- --------
Net Increase 44,342 70,470 509,719 295,458
in Shares -------- ------- --------- --------
* Commencement of offering
6. CAPITAL LOSS CARRYFORWARDS
At August 31, 2000, 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:
Name of Portfolio Total 2005 2006 2007 2008
U.S. Government Money Market Portfolio $2,533 $32 $187 2,090 $224
Municipal Bond Portfolio 61,929 0 0 0 61,929
Investment Quality Bond Portfolio 57,972 0 0 0 57,972
In accordance with U.S. Treasury regulations, the following Portfolios have
incurred and will elect to defer realized capital losses arising after October
31, 1999 ("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, 2000).
Capital
Losses
------------------
Large Capitalization Value Portfolio $ -
Large Capitalization Growth Portfolio -
Small Capitalization Portfolio 1,881,629
International Equity Portfolio -
Investment Quality Bond Portfolio 549,129
Municipal Bond Portfolio 42,933
U.S. Government Money Market Portfolio 4,421
--------------------------------------------------------------------------------
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)
Year Ended
August 31, 2000 $20.50 $0.13 ($0.41) ($0.28) ($0.17) ($1.80) $18.25 (1.33%) $1,280 1.78% (0.03%) 90%
January 4, 1999 (1)
to August 31, 1999 20.21 (0.02) 0.31 0.29 -- -- 20.50 1.43% 172 1.72%(1,3)(0.53%)(1,3) 67%
(1) During the fiscal period 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 1.78% and (0.03%) respectively, for the year ended
August 31, 2000, 2.21% and 1.02% respectively for the year ended August 31,
1999.
Large Capitalization Growth Portfolio (Class B)
Year Ended
Augusy 31, 2000$26.75 ($0.13) $8.03 $7.90 -- ($1.66) $32.99 30.22% $2,801 1.67%(1) (1.16%)(1) 24%
January 4, 1999 (1)
to August 31, 1999 24.74 (0.04) 2.05 2.01 -- -- 26.75 8.12% 204 1.19%(1,3)(0.73%)(1,3) 39%
(1) During the fiscal periods ended August 31, 2000 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 1.72% and (1.11%)
respectively, for the year ended August 31, 2000, 3.31% and (2.86%) for the year
ended August 31, 1999.
Small Capitalization Portfolio (Class B)
Year Ended
August 31, 2000$10.04 ($0.06) $2.84 $2.78 -- ($0.12) $12.70 28.17% $436 2.04%(1)(1.11%)(1) 27%
January 4, 1999 (1)
To August 31, 1999 9.33 (0.02) 0.73 0.71 -- -- 10.04 7.61% 73 1.42%(1,3)(1.02%)(1,3) 32%
(1) During the fiscal periods ended August 31, 2000 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 0.02% and 0.01% respectively,
for the year ended August 31, 2000, 1.43% and (1.02%) for the year ended August
31, 1999.
International Equity Portfolio (Class B)
Year ended
August 31, 2000$13.09 $- $2.58 $2.58 ($0.08) ($0.18) $15.41 19.71% $420 2.02% (0.67%) 45%
January 4, 1999 (1)
to August 31, 1999 12.29 (0.02) 0.82 0.80 -- -- 13.09 6.51% 68 2.16%(1,3) (0.77%)(1,3) 46%
(1) During the fiscal period 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 2.18% and (0.51%) respectively, for the year ended
August 31, 2000, 2.84% and (1.45%) for the year ended August 31, 1999.
Investment Quality Bond Portfolio (Class B)
Year Ended
August 31, 2000$9.88 $0.46 $0.01 $0.47 ($0.46) -- $9.89 4.88% $125 1.92% 4.68% 53%
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%(1,3)2.23%(1,3) 62%
(1) During the fiscal period 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 1.96% and 4.72% respectively, for the year ended
August 31, 2000, 1.13% and 2.29% for the year ended August 31, 1999.
Municipal Bond Portfolio (Class B)
Year Ended
August 31, 2000 $10.00 $0.34 $0.16 $0.50 ($0.34) ($0.06) $10.10 5.14% $16 2.19%(1) 3.38%(1) 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%(1,3) 1.76%(1,3) 23%
(1) During the fiscal periods ended August 31, 2000 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 0.43% and (0.41%)
respectively,for the year ended August 31, 2000, 1.44% and 1.96% for the year
ended August31, 1999.
U.S. Government Money Market Portfolio (Class B)
Year Ended
August 31, 2000 $1.000 $0.040 -- $0.040 ($0.040) -- $1.000 4.10% $115 1.87% 4.06% 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%(1,3) 1.82%(1,3) n/a
</TABLE>
(1) During the fiscal period 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 1.87% and 4.06% respectively, for the year ended
August 31, 2000, 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
ANNUAL REPORT
AS OF AUGUST 31, 2000
CLASS C SHARES
TABLE OF CONTENTS
Chairman's Page 1
Letter................................................................
Investment Page 3
Review................................................................
Schedules of Page 11
Investments...........................................................
Statements of Assets and Page 32
Liabilities...........................................................
Statements of Page 33
Operations............................................................
Statements of Changes in Net Assets................................... Page 34
Notes to Financial Page 36
Statements............................................................
Financial Page 41
Highlights............................................................
Independent Auditor's Page 44
Report................................................................
Tax Information....................................................... Page 45
This report is authorized for distribution only to shareholders and to
others who have received a copy of the prospectus.
TRUSTEES AND OFFICERS
Bruce E. Ventimiglia Trustee, Chairman, President & CEO
Patrick H. McCollough Trustee
Udo W. Koopmann Trustee
Floyd E. Seal Trustee
Stephen Ventimiglia Vice President
Scott C. Kane Vice President & Secretary
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 & Trust Company State Street Bank & Trust Company
P.O. Box 8514 P.O. Box 351
Boston, MA 02266 Boston, MA 02101
THE SARATOGA ADVANTAGE TRUST
Annual Report to Shareholders
October 23, 2000
Dear Shareholder:
We are pleased to provide you with this annual report on the investment
strategies and performance of the portfolios in the Saratoga Advantage Trust
(the 'Trust'). This report covers the twelve months from September 1, 1999
through August 31, 2000. In light of recent stock market volatility, it is
timely to revisit the importance of utilizing a sound asset allocation strategy
for your serious, 'core' assets.
Asset Allocation - The Investment 'Compass' That Provides Investors With An
Opportunity To Remove Investment Extremes
As I discussed in a prior Annual Report to Shareholders, asset allocation
is an investor's investment balance between stocks, bonds, money market funds
and other assets. A key goal of asset allocation is to establish a 'comfortable'
blend of investments that helps keep investors invested long-term to try to
achieve their investment goals, such as: college education funding or supporting
a dignified retirement. To help investors establish a comfortable blend of
investments, many asset allocation programs will assist them in evaluating their
risk tolerances, income needs and investment time horizons.
A well-designed asset allocation strategy often times results in investors
investing in a blend of asset classes (for example, a combination of stock, bond
and money market mutual funds). By investing in a blend of various asset classes
instead of investing at the extremes in only one asset class (such as only
investing in money market funds - a relatively conservative investment approach,
or only investing in stock funds - a relatively aggressive investment posture),
investors should expect to get blended rates of return and risk over the long
haul. On the other hand, investors investing at the extremes should expect to
get extreme rates of return and risk over the long run (that is, low rates of
return accompanied by low risk, or high rates of return along with high risk).
Using asset allocation as an investment 'compass' can help investors find a
comfortable blend of investments that matches their risk tolerances. A
well-established asset allocation strategy can help investors to stay
disciplined and patient through full market cycles (i.e., through both market
declines and advances). To achieve long-term investment goals, it is important
that investors establish the proper asset allocation strategies for themselves
so that they stay invested over the long haul - they don't quit on their
investment plans.
The Saratoga Advantage Trust has been designed to help investors
effectively implement their asset allocation strategies. As I also mentioned in
a prior Annual Report to Shareholders, to try to achieve good long-term
investment results, don't let short-term stock and bond market fluctuations
change your investment strategy. Your financial advisor can help you establish a
sensible asset allocation strategy to help you pursue your long-term investment
goals.
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 Trust's portfolios.
We remain 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
Total Aggregate Capitalization Morningstar S & P/Barra
Return for the Period Value Portfolio Large Value Value
Ended August 31, 2000 (Class C) Average1 Index2
----------------------------- ------------------- ------------ -----------
1/4/99 (inception) - 8/31/00* 0.1% 6.6% 9.8%
9/1/99 - 8/31/00 -1.3% 6.9% 9.3%
3/1/00 - 8/31/00 13.0% 14.3% 15.0%
*Annualized performance for periods greater than one year
The Saratoga Large Capitalization Value Portfolio invests in a diverse
group of high-quality, undervalued companies. The investment team uses
fundamentally driven, value-oriented analysis, which leads to the selection of
high-quality businesses that are selling for 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, potentially producing superior returns.
The Portfolio owned the common stocks of 49 companies as of August 31,
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 supermarket grocer retailer Kroger;
WorldCom, that provides a broad range of communications outsourcing and managed
network services; Wells Fargo, a diversified financial services company; and
Chase Manhattan Bank. Top contributors to the Portfolio performance for the six
months ended August 31, 2000 included Kroger, Pharmacia, Household International
and FleetBoston Financial.
1. The Morningstar Large Value Average, as of August 31, 2000, consisted of
669 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.
2. The S&P/Barra Value Index is constructed by dividing the stocks in the
S&P 500 Index according to price-to-book ratios. This unmanaged Index contains
stocks with lower price-to-book ratios and is market capitalization weighted.
The S&P/Barra Value Index does not include fees and expenses, and investors may
not invest directly in the Index. .
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
Total Aggregate Capitalization Morningstar S & P/Barra
Return for the Period Growth Portfolio Large Growth Growth
Ended August 31, 2000 (Class C) Average1 Index2
------------------------------ ----------------- ------------- ----------
1/4/99 (inception) - 8/31/00* 23.0% 28.9% 18.3%
9/1/99 - 8/31/00 30.2% 39.1% 22.1%
3/1/00 - 8/31/00 5.7% 5.6% 8.8%
*Annualized performance for periods greater than one year
While the long-term outlook for U.S. financial assets remains positive,
history tells us that it is hard for markets to fight-the-Fed. In the face of a
rising Fed Funds rate, the stock market has corrected from the levels reached in
mid-March. From those highs, the Dow Jones Industrial Average sold off
approximately 9%, the S&P 500 Index declined 10% and the NASDAQ Composite
collapsed nearly 40%.
In the early 1990's, when technology holdings were less than 15% of the
typical investor's portfolio, the volatility of the NASDAQ was little more than
a statistical curiosity. Today, with technology stocks representing one-third of
the S&P 500 Index and one-half of the Russell Growth Index, the rapidly changing
fortunes of the over-the-counter market place reach everyone. As predictable as
this spring retreat may seem, actually trading such an event can be treacherous.
Because we see such a strong fundamental case for technology stocks, we have
chosen not to trade these corrections. While technology stock investing has
always been challenging, the volatility of recent years has raised the stakes
for investors. Technology stocks have been awarded premium multiples due not
only to their extraordinary growth potential, but also to extraordinary
momentum.
During the past few months, investors saw the downside of momentum
investing. Harris Bretall believes that technology companies need to be judged
utilizing a combination of fundamental analysis, and an evaluation of catalysts
that can move the stocks near term.
We have written often about the three macro economic trends that have
fueled the strong market over the past five years - demographics, the technology
revolution and globalization. We believe they remain firmly in place.
1. The Morningstar Large Growth Average, as of August 31, 2000, consisted
of 698 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.
2. The S&P/Barra Growth Index is constructed by dividing the stocks in the
S&P 500 Index according to price-to-book ratios. This unmanaged Index contains
stocks with higher price-to-book ratios and is market capitalization weighted.
The S&P/Barra Growth Index does not include fees and expenses, and investors may
not invest directly in the Index.
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 Morningstar
Return for the Period Portfolio Small Value Russell 2000
Ended August 31, 2000 (Class C) Average1 Index2
----------------------------- ---------------- ------------- -------------
1/4/99 (inception) - 8/31/00* 21.5% 10.5% 16.7%
9/1/99 - 8/31/00 28.2% 16.8% 27.2%
3/1/00 - 8/31/00 13.5% 14.0% -6.4%
*Annualized performance for periods greater than one year
Results for the fiscal year ended August 31, 2000 continued to demonstrate
the strength of smaller stocks. As investor sentiment for smaller stocks
continues to build, we believe that this asset class could well be the most
profitable investment theme of the next few years.
During the past turbulent 24 months while many momentum style investors
chased companies with absurdly high projected top line growth and distant
earnings, your Portfolio has stayed with its fundamental, bottom-up approach to
smaller cap stocks.
Strong Portfolio performance is concrete evidence supporting our basic
investment policy of investing in smaller cap U.S. stocks managed in a
'double-play' style that seeks companies with strong future earnings, low
relative multiples, and catalysts for higher valuations. While that approach
appeared out of favor in late 1999, since the beginning of 2000 your Portfolio
has trended ahead of all major indices.
We believe that the outlook for your Portfolio of smaller stocks is
excellent. Your investment team enters its second decade together with renewed
enthusiasm for a consistent and common sense approach to smaller cap U.S.
stocks.
1. The Morningstar Small Value Average, as of August 31, 2000, consisted of
211 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.
2. The Russell 2000 Index is comprised of the 2,000 smallest U.S. domiciled
publicly traded common stocks which are included the Russell 3000 Index. The
common stocks included in the Russell 2000 Index represent approximately 10% of
the U.S. equity market as measured by market capitalization. The Russell 3000
Index is an unmanaged index of the 3,000 largest U.S. domiciled publicly traded
common stocks by market capitalization representing approximately 98% of the
U.S. publicly traded equity market. The Russell 2000 Index is an unmanaged index
whose performance reflects reinvested dividends. Investors may not invest in the
Index 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.
Total Aggregate International Morgan Stanley
Return for the Period Equity Portfolio EAFE Index
Ended August 31, 2000 (Class C) (U.S. Dollars)1
------------------------------ -------------------- -------------------
1/4/99 (inception) - 8/31/00* 15.8% 9.9%
9/1/99 - 8/31/00 19.7% 9.6%
3/1/00 - 8/31/00 -4.8% -3.6%
*Annualized performance for periods greater than one year
Global economies remain in good shape - growth is slowing to a more
sustainable level and inflation remains subdued by historic standards.
Productivity gains, increased global competition and continued investment in
technology have all served to offset any inflation pressure from tight labor
markets and rising raw material prices. However, the recent rise in the price of
oil cannot be ignored and is starting to raise concerns in financial markets.
Valuations across equity markets are generally fair, though towards the top
end of their historic range. Earnings momentum, although waning, still remains
strong. However, we could see margin pressure ahead, especially if we have a
cold winter and the price of oil remains at current levels or even higher. As
such, we take a more cautious view towards world stock markets at the current
time and see no reason to favor any one particular region over the rest. Medium
term we continue to like Europe where we expect to see ongoing restructuring.
As of August 31, 2000, the major weightings in the Portfolio were as
follows: 50.1% in Continental Europe, 19.0% in the United Kingdom, 24.0% in
Japan and 3.0% in Pacific Ex-Japan.
Recent portfolio additions include: WPP, a leading global advertising and
media company; and San Paolo, Italy's largest bank.
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.
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.
Lipper
Short- Lehman
Intermediate Intermediate
Total Aggregate Investment Quality Investment Government/
Return for the Period Bond Portfolio Grade Debt Corporate
Ended August 31, 2000 (Class C) Funds Index1 Bond Index2
----------------------------- -------------------- ------------- -----------
1/4/99 (inception) - 8/31/00* 2.1% 7.4% 3.1%
9/1/99 - 8/31/00 4.9% 5.9% 6.3%
3/1/00 - 8/31/00 4.0% 4.2% 4.8%
*Annualized performance for periods greater than one year
In the annual period ended August 31, 2000, the Portfolio distributed
dividends of $0.54 per share.
Investments in the Portfolio are normally divided approximately evenly
between U.S. Treasury, U.S. Government Agency and Corporate securities. Due to
the yield advantage available in Corporate and U.S. Government Agency
securities, there is greater emphasis on Corporate and U.S. Government Agency
bond holdings in the Portfolio at this time.
Fox Asset Management will continue to focus on those instruments that offer
improving credit quality and liquidity. Fox is maintaining a conservative
investment posture with an average maturity of 5.2 years, and an average
duration of 3.4 years in the Portfolio.
Other Portfolio statistics as of August 31, 2000 are as follows: Average
yield-to-maturity was 6.9%, average coupon was 6.7% and the average Moody's
Rating was Aa3 with 37 fixed income issue 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.
2. The Lehman Intermediate Government/Corporate Bond Index is composed of
the bonds in the Lehman Government/Corporate Bond Index that have maturities
between 1 and 9.99 years. The Lehman Government/Corporate Bond Index consists of
approximately 5,400 issues. The securities must be investment grade (BAA or
higher) with amounts outstanding in excess of $1 million and have at least one
year to maturity. The Lehman Index is an unmanaged index which does not include
fees and expenses. Investors may not invest directly in the Index.
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 Municipal Bond Lipper General Lehman
Return for the Period Portfolio Municipal Municipal
Ended August 31, 2000 (Class C) Debt Funds Index1 Bond Index2
------------------------------ --------------- ----------------- ------------
1/4/99 (inception) - 8/31/00* 0.6% 2.8% 6.5%
9/1/99 - 8/31/00 5.1% 5.4% 6.8%
3/1/00 - 8/31/00 7.0% 6.5% 6.8%
*Annualized performance for periods greater than one year
Municipal bonds have performed well, particularly in the past few months.
With the gyrations of the stock market during the year, investors began to look
towards the bond market for more safety. Municipals, so cheap relative to other
fixed income investments for most of the year, were an obvious place for these
investments. For much of the year demand outstripped supply as municipalities
curtailed their issuance in an effort to reduce outstanding debt. The municipal
yield curve has remained positively sloped with thirty-year municipals yielding
more than 1% more than two-year municipals - a very different picture than the
Treasury curve.
We maintained a portfolio of high quality municipals throughout the year in
our effort to provide a high level of tax-exempt income with minimal credit
risks. Currently, 66% of the Portfolio holds municipals with a rating of AAA,
while the Portfolio has an average rating of AA+. We continue to purchase and
hold a high percentage of insured municipal bonds, which we deem as inexpensive
relative to uninsured bonds. We continue to focus on the general obligation
sector of the market as state and local finances are in excellent shape due to
the surpluses generated from the strong economy. Finally, we continue to
concentrate on the 15 to 20 year part of the yield curve where we believe the
best value exists in the municipal marketplace.
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.
2. The Lehman Brothers Municipal Bond Index consists of approximately
25,000 municipal bonds which are selected to be representative of the long-term,
investment grade tax-exempt bond market. The bonds selected for the index have
the following characteristics: a minimum credit rating of at least Baa; an
original issue of at least $50 million; at least $3 million of the issue
outstanding; issued within the last five years; and a maturity of at least one
year. The Lehman Index is an unmanaged index which does not include fees and
expenses. Investors may not invest directly in the Index.
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.
U.S. Government Money 90 Day T-Bills
7-Day Market Portfolio Average Discount
Compound Yield (Class C) Yield
--------------------------- ------------------------ ------------------
8/31/00 5.6% 6.1%
Total Aggregate U.S. Government Money Lipper U.S. 90
Return for the Period Market Portfolio Treasury Money Day
Ended August 31, 2000 (Class C) Market Index1 T-Bills
----------------------------- ---------------------- -------------- ----------
1/4/99 (inception) - 8/31/00* 3.7% 8.0% 4.7%
9/1/99 - 8/31/00 4.1% 5.1% 5.4%
3/1/00 - 8/31/00 2.2% 2.7% 2.8%
*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
August 31, 2000. The average dollar-weighted portfolio maturity was 54 days,
compared with a maximum allowable maturity of 90 days.
On August 31, 2000, the Federal Funds rate was 6.50%. With the prospects of
an economic slowdown growing and a contained inflation environment, it appears
the work of the Federal Reserve may be complete. Yields peaked early in the
summer and current rates reflect a meaningful lowering of growth expectations.
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 predictive of future performance.
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August 31, 2000
--------------------------------------------------------------------------------
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SCHEDULES OF INVESTMENTS
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
LARGE CAPITALIZATION VALUE PORTFOLIO
<TABLE>
<S> <C> <C> <C> <C>
August 31, 2000
--------------------------------------------------------------------------------------------------------------------------
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SCHEDULES OF INVESTMENTS
--------------------------------------------------------------------------------------------------------------------------
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LARGE CAPITALIZATION VALUE PORTFOLIO
17
Principal
Amount Value
---------------- -----------------
---------------- -----------------
SHORT-TERM GOVERNMENT NOTES - 3.76%
Federal Home Loan Bank - 3.76%
$ 3,016,000 6.51% due 9/01/00 $ 3,016,000
-----------------
-----------------
Total Short-Term Government Notes (Cost-$3,016,000) 3,016,000
-----------------
-----------------
Shares
----------------
----------------
COMMON STOCKS - 95.20%
Aerospace - 2.48%
37,100 Boeing Company 1,989,487
-----------------
-----------------
Airlines - 1.45%
35,500 AMR, Corporation* 1,164,844
-----------------
-----------------
Banking - 10.91%
53,000 Chase Manhattan Corporation 2,961,375
66,407 FleetBoston Financial Corporation 2,834,757
68,660 Wells Fargo Company 2,965,254
-----------------
-----------------
8,761,386
-----------------
-----------------
Chemicals - 2.82%
50,400 E.I. du Pont de Nemours and Company 2,261,700
-----------------
Computer Hardware - 1.03%
24,400 Compaq Computer Corporation 831,125
-----------------
-----------------
Computer Services - 0.78%
12,500 Electronic Data Systems Corporation 622,656
-----------------
Computer Software - 4.97%
63,100 Computer Associates International, Incorporated 2,003,425
100,000 Compuware Corporation* 1,056,250
13,300 Microsoft Corporation* 928,506
-----------------
3,988,181
-----------------
Cosmetics/Toiletries - 0.62%
12,700 Avon Products, Incorporated 497,681
-----------------
-----------------
Drugs/Medical Products - 3.40%
27,900 American Home Products Corporation 1,511,831
15,700 Bristol Myers Squibb Company 832,100
5,500 Merck & Co., Incorporated 384,313
-----------------
2,728,244
-----------------
Shares Value
---------------- -----------------
Electronics - 3.67%
20,500 Emerson Electric Company $ 1,356,844
18,500 Rockwell International Corporation 748,094
18,500 Solectron Corporation 838,281
-----------------
-----------------
2,943,219
-----------------
Financial Services - 13.46%
46,667 Citigroup, Incorporated 2,724,167
44,700 Countrywide Credit Industries, Incorporated 1,693,012
93,000 Federal Home Loan Mortgage Corporation 3,917,625
51,500 Household International, Incorporated 2,472,000
-----------------
-----------------
10,806,804
-----------------
Healthcare Services - 1.30%
33,600 Tenet Healthcare Corporation* 1,041,600
-----------------
-----------------
Insurance - 6.66%
30,900 AFLAC, Incorporated 1,668,600
13,400 American General Corporation 975,688
76,400 John Hancock Financial Services, Incorporated* 1,929,100
11,282 XL Capital Limited, Class A 777,753
-----------------
-----------------
5,351,141
-----------------
-----------------
Machinery/Engineering - 1.65%
36,100 Caterpillar, Incorporated 1,326,675
-----------------
-----------------
Manufacturing - 1.40%
20,000 Textron, Incorporated 1,121,250
-----------------
-----------------
Metals/Mining - 5.98%
66,000 Alcoa, Incorporated 2,194,500
28,000 Minnesota Mining & Manufacturing Company 2,604,000
-----------------
-----------------
4,798,500
-----------------
-----------------
Multimedia - 0.83%
15,000 News Corporation Limited, Sponsored ADR 663,750
-----------------
-----------------
Oil/Gas - 4.66%
19,000 Chevron Corporation 1,605,500
24,000 Texaco, Incorporated 1,236,000
27,100 Unocal Corporation 904,463
-----------------
-----------------
3,745,963
-----------------
-----------------
Publishing - 0.47%
10,500 Tribune Company 374,719
-----------------
Shares Value
---------------- -----------------
-----------------
Retail - 11.50%
67,700 CVS Corporation $ 2,513,362
13,000 Gap, Incorporated 291,688
160,200 Kroger Company* 3,634,537
93,500 McDonalds Corporation 2,793,312
-----------------
-----------------
9,232,899
-----------------
-----------------
Telecommunications - 9.46%
22,200 Motorola, Incorporated 800,588
14,800 Tellabs, Incorporated* 831,575
63,500 Verizon Communications 2,770,187
87,500 Worldcom, Incorporated* 3,193,750
-----------------
-----------------
7,596,100
-----------------
-----------------
Transportation - 4.60%
36,000 Burlington Northern Santa Fe Corporation 805,500
58,000 Canadian Pacific Limited 1,584,125
46,851 Sabre Group Holdings Corporation* 1,305,972
-----------------
-----------------
3,695,597
-----------------
-----------------
Waste Disposal - 1.10%
46,500 Waste Management, Incorporated 880,594
-----------------
-----------------
Total Common Stocks (Cost-$73,674,460) $ 76,424,115
-----------------
-----------------
Total Investments (Cost-$76,690,460) 98.92% $ 79,440,115
-----------------
-----------------
Other Assets in Excess of Liabilities 1.08% 865,139
-----------------
-----------------
Total Net Assets 100.00% $80,305,254
=================
=================
* Non-income producing security.
Summary of Abbreviations:
ADR - American Depositary Receipt
See accompanying notes to financial statements.
</TABLE>
* Non-income producing security.
See accompanying notes to financial statements.
<TABLE>
<S> <C> <C> <C> <C>
August 31, 2000
--------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
--------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
LARGE CAPITALIZATION GROWTH PORTFOLIO
Shares Value
---------------- ------------------
----------------
COMMON STOCKS - 97.90%
Banking - 1.84%
65,000 Wells Fargo Company $2,807,188
------------------
------------------
Beverages - 1.04%
30,000 Coca-Cola Company 1,578,750
------------------
------------------
Biomedical - 2.12%
17,000 Genentech, Incorporated* 3,238,500
------------------
------------------
Computer Hardware - 11.70%
60,000 Dell Computer Corporation* 2,617,500
66,000 EMC Corporation* 6,468,000
22,000 International Business Machine Corporation 2,904,000
46,000 Sun Microsystems, Incorporated* 5,839,125
------------------
------------------
17,828,625
------------------
------------------
Computer Software - 2.52%
55,000 Microsoft Corporation* 3,839,687
------------------
Communications Equipment - 1.71%
32,000 Nortel Networks Corporation 2,610,000
------------------
------------------
Distribution - 1.58%
70,000 Costco Wholesale Corporation* 2,410,625
------------------
------------------
Electronics - 15.35%
45,000 Applied Materials, Incorporated* 3,884,062
96,000 Intel Corporation 7,188,000
38,000 JDS Uniphase Corporation* 4,730,406
18,000 PMC-Sierra, Incorporated* 4,248,000
50,000 Texas Instruments, Incorporated 3,346,875
------------------
23,397,343
------------------
Financial Services - 13.31%
112,500 Charles Schwab Corporation 4,296,094
73,333 Citigroup, Incorporated 4,280,833
41,000 The Goldman Sachs Group, Incorporated 5,250,562
60,000 Morgan Stanley Dean Witter & Company 6,453,750
------------------
------------------
20,281,239
------------------
------------------
Insurance - 2.52%
43,125 American International Group, Incorporated 3,843,516
------------------
------------------
Internet - 6.19%
60,000 America Online, Incorporated* 3,517,500
80,000 Broadvision, Incorporated* 2,760,000
26,000 Yahoo!, Incorporated* 3,159,000
------------------
------------------
9,436,500
------------------
Shares Value
---------------- ------------------
Manufacturing - 5.40%
102,000 General Electric Company $5,986,125
40,000 Illinois Tool Works, Incorporated 2,242,500
------------------
------------------
8,228,625
------------------
------------------
Multimedia - 1.92%
75,000 The Walt Disney Company 2,920,312
------------------
------------------
Networking Products - 6.58%
95,000 Cisco Systems, Incorporated* 6,519,375
30,000 Network Appliance, Incorporated* 3,510,000
------------------
------------------
10,029,375
------------------
------------------
Oil Field Services - 4.57%
75,000 Halliburton Company 3,975,000
35,000 Schlumberger Limited 2,985,937
------------------
6,960,937
------------------
------------------
Pharmaceuticals - 5.30%
31,000 Johnson & Johnson 2,850,063
70,000 Pfizer, Incorporated 3,027,500
55,000 Schering-Plough Corporation 2,206,875
------------------
------------------
8,084,438
------------------
------------------
Retail - 8.12%
75,000 Gap, Incorporated 1,682,813
69,000 Home Depot, Incorporated 3,316,313
90,000 Target Corporation 2,092,500
56,000 Wal-Mart Stores, Incorporated 2,656,500
80,000 Walgreen Company 2,630,000
------------------
12,378,126
------------------
Semiconductor - 1.64%
10,000 Broadcom Corporation* 2,500,000
------------------
Telecommunications - 4.49%
46,000 Lucent Technologies, Incorporated 1,923,375
55,000 Qwest Communciations International* 2,839,375
50,000 SBS Communications, Incorporated 2,087,500
------------------
------------------
6,850,250
------------------
Total Investments (Cost-$84,693,723) 97.90% $ 149,224,036
------------------
------------------
Other Assets in Excess of Liabilities 2.10% 3,193,749
------------------
------------------
Total Net Assets 100.00% $ 152,417,785
==================
==================
* Non-income producing security.
See accompanying notes to financial statements.
</TABLE>
<TABLE>
<S> <C> <C> <C> <C>
August 31, 2000
--------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
--------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL EQUITY PORTFOLIO
25
Shares Value
-------------- -------------------
-------------- -------------------
COMMON STOCKS - 97.14%
FINLAND - 4.70%
Telecommunications
39,600 Nokia Oyj, Sponsored ADR $ 1,779,525
-------------------
-------------------
FRANCE - 13.58%
Banking - 2.13%
68,000 Societe Generale, Sponsored ADR 806,466
-------------------
-------------------
Financial Services - 1.65%
8,900 AXA, Sponsored ADR 625,781
-------------------
-------------------
Oil/Gas - 2.36%
11,970 TOTAL Fina Elf, Sponsored ADR 891,765
-------------------
-------------------
Pharmaceuticals - 3.08%
15,600 Aventis, Sponsored ADR 1,166,100
-------------------
-------------------
Telecommunications - 4.36%
10,850 Alcatel Alsthom, Sponsored ADR 899,194
6,500 France Telecom, Sponsored ADR 749,531
-------------------
-------------------
1,648,725
-------------------
-------------------
GERMANY - 5.85%
Computer Software - 2.17%
12,800 SAP Aktiengesellschaft, Sponsored ADR 821,600
-------------------
-------------------
Diversified Manufacturing Operations - 2.47%
5,800 Siemens AG, Unsponsored ADR 935,891
-------------------
-------------------
Drugs/Medical Products - 1.21%
5,100 Roche Holdings Limited, Sponsored ADR 456,593
-------------------
-------------------
HONG KONG - 2.02%
Closed End Funds
56,500 Ishares MSCI Hong Kong 762,750
-------------------
-------------------
ITALY - 1.87%
Banking
19,800 San Paolo - IMI S.P.A., Sponsored ADR 707,850
-------------------
JAPAN - 24.19%
Audio/Video Products - 2.17%
7,200 Sony Corporation, Sponsored ADR 822,600
-------------------
-------------------
Banking - 1.99%
61,331 Bank of Tokyo-Mitsubishi Limited, Sponsored ADR 751,305
-------------------
-------------------
Shares Value
-------------- -------------------
JAPAN (continued) - 24.19%
Computer Hardware - 3.36%
8,628 TDK Corporation, Sponsored ADR $ 1,272,630
-------------------
-------------------
Cosmetics/Toiletries - 2.95%
4,059 Kao Corporation, Unsponsored ADR 1,115,273
-------------------
-------------------
Finance - 1.81%
10,260 Orix Corporation, Sponsored ADR 686,138
-------------------
-------------------
Identification Systems/Development - 1.73%
4,500 Secom Limited, Unsponsored ADR 655,780
-------------------
-------------------
Manufacturing - 1.27%
3,720 Bridgestone Corporation, Unsponsored ADR 481,412
-------------------
-------------------
Office Equipment - 3.03%
25,320 Canon, Incorporated, Sponsored ADR 1,415,730
-------------------
-------------------
Printing - 1.17%
9,031 Toppan Printing Limited, Unsponsored ADR 441,233
-------------------
-------------------
Retail - 1.74%
10,278 Seven-Eleven Japan Limited, Unsponsored ADR 660,228
-------------------
-------------------
Telecommunications - 2.97%
18,700 Nippon Telegraph & Telephone Corporation, Sponsored ADR 1,125,506
-------------------
-------------------
NETHERLANDS - 9.66%
Banking - 2.78%
15,600 ING Groep N.V., Sponsored ADR 1,052,025
-------------------
-------------------
Electronics - 2.16%
16,614 Koninklijke Philips Electronics N.V., Sponsored ADR 819,278
-------------------
-------------------
Multimedia - 2.22%
15,750 VNU N.V., Sponsored ADR 840,141
-------------------
-------------------
Transportation - 2.49%
40,100 TNT Post Groep N.V., Sponsored ADR 942,350
-------------------
-------------------
SPAIN - 5.43%
Banking - 3.41%
43,250 Banco Bilboa Vizcaya Argentaria, Sponsored ADR 646,047
58,800 Banco Santander Central Hispanos, Sponsored ADR 643,125
-------------------
1,289,172
-------------------
Telecommunications - 2.02%
13,331 Telefonica, Sponsored ADR 764,033
-------------------
Shares Value
-------------- -------------------
SWEDEN - 4.12%
Telecommunications
76,000 Telefonaktiebolaget LM Ericsson, Sponsored ADR $ 1,558,000
-------------------
-------------------
SWITZERLAND - 5.52%
Food Products - 4.04%
14,200 Nestle, Sponsored ADR 1,529,632
-------------------
-------------------
Human Services - 1.48%
5,800 Adecco, Sponsored ADR 558,975
-------------------
-------------------
TAIWAN - 0.99%
Semiconductor
10,752 Taiwan Semiconductor Limited, Sponsored ADR* 376,320
-------------------
-------------------
UNITED KINGDOM - 19.22%
Advertising - 1.72%
9,200 WPP Group PLC, Sponsored ADR 649,750
-------------------
Banking - 1.58%
5,800 Barclays PLC, Sponsored ADR 597,400
-------------------
-------------------
Insurance - 1.52%
21,950 Prudential Corporation PLC, Sponsored ADR 576,144
-------------------
-------------------
Multimedia - 1.21%
3,800 Reuters Group PLC, Sponsored ADR 456,238
-------------------
-------------------
Oil/Gas - 2.69%
19,800 Shell Transport & Trading Company, Sponsored ADR 1,018,462
-------------------
-------------------
Pharmaceuticals - 1.92%
12,600 Glaxo Wellcome PLC, Sponsored ADR 725,288
-------------------
-------------------
Telecommunications - 8.58%
5,804 British Telecommunications PLC, Sponsored ADR 741,461
44,950 Marconi PLC, Unsponsored ADR 796,595
41,720 Vodafone Airtouch PLC, Sponsored ADR 1,707,913
-------------------
-------------------
3,245,969
-------------------
Total Investments (Cost-$29,376,070) 97.14% $ 36,760,058
-------------------
-------------------
Other Assets in Excess of Liabilities 2.86% 1,081,234
-------------------
-------------------
Total Net Assets 100.00% $37,841,292
===================
===================
* Non-income producing securities.
Summary of Abbreviations:
ADR - American Depositary Receipt
See accompanying notes to financial statements.
</TABLE>
<TABLE>
<S> <C> <C> <C> <C>
August 31, 2000
--------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
--------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
INVESTMENT QUALITY BOND PORTFOLIO
27
Principal
Amount Value
------------------ ------------------
------------------ ------------------
U.S. GOVERNMENT NOTES - 43.22%
U.S. Treasury Notes - 13.34%
$ 1,087,310 3.375% due 1/15/07 $ 1,047,895
3,650,000 5.625% due 5/15/08 3,578,132
------------------
------------------
4,626,027
------------------
------------------
Federal Home Loan Mortgage Corporation - 9.42%
2,500,000 5.125% due 10/15/08 2,226,950
188,640 Series 1822, Class C, 6.50% due 4/15/20 187,636
314,156 Series 1980, Class C, 6.85% due 10/15/21 312,780
540,409 Series 1921, 7.25% due 4/15/24 539,393
------------------
------------------
3,266,759
------------------
------------------
Federal National Mortgage Association - 20.46%
6,000,000 6.00% due 5/15/08 5,684,040
1,400,000 7.00% due 7/15/05 1,413,118
------------------
------------------
7,097,158
------------------
------------------
Total U.S. Government Notes (Cost-$14,986,847) 14,989,944
------------------
------------------
CORPORATE NOTES & BONDS - 53.70%
Automotive - 4.04%
1,500,000 TRW, Incorporated, 6.05% due 1/15/05 1,399,680
------------------
------------------
Broadcasting - 3.19%
1,055,000 EZ Communications, 9.75% due 12/01/05 1,107,982
------------------
------------------
Chemicals - 4.17%
1,500,000 ICI Wilmington, 6.95% due 9/15/04 1,447,410
------------------
------------------
Financial Services - 15.94%
425,000 Advanta Credit Card Master Trust II, Series 95-F, Class A1,
6.05% due 8/01/03 424,201
1,000,000 Associates Corporate North America, 6.625% due 6/15/05 967,170
350,000 Associates Corporate North America, 6.25% due 9/15/00 349,892
750,000 BHP Finance USA, 7.875% due 12/01/02 756,562
409,059 Bellsouth Savings & Security ESOT, MTN, Series A,
9.125% due 7/01/03 421,948
246,055 Bellsouth Savings & Security ESOT, MTN, Series A,
9.125% due 7/01/03 258,822
1,007,134 Collateralized Mortgage Securities Corporation, Series 1992-3, Class E,
8.00% due 11/20/20 1,005,553
200,000 Copelco Capital Funding Corporation, Series 1999-B, Class A3,
6.61% due 12/18/02 199,400
Principal
Amount Value
------------------ ------------------
Financial Services (continued) - 15.94%
$ Delta Funding Home Equity Loan Trust, Series 1997-1, Class A2,
45,517 6.92% due 5/25/15 $45,294
250,000 Morgan Stanley, MTN, Series C, 5.75% due 2/15/01 248,373
158,956 National Auto Finance, Series 1996-1, Class A, 6.33% due 12/21/02 157,750
650,000 Prime Credit Card Master Trust, Series 1996-1, Class A, 6.70%
due 7/15/04 647,966
46,219 Residential Asset Securitization Trust, Series 1997-A10,
Class A1, 7.25% due 12/25/27 45,930
------------------
------------------
5,528,861
------------------
------------------
Healthcare Services - 3.46%
1,200,000 Tenet Healthcare Corporation, 8.625% due 12/01/03 1,200,000
------------------
------------------
Insurance - 2.49%
825,000 Geico Corporation, 9.15% due 9/15/21 863,098
------------------
------------------
Machinery - 0.29%
100,000 Ingersoll-Rand Company, 6.255% due 2/15/01 99,330
------------------
------------------
Metals/Mining - 3.29%
1,200,000 Cyprus Minerals, Incorporated, 6.625% due 10/15/05 1,140,660
------------------
------------------
Multimedia - 2.92%
1,000,000 Westinghouse Electric Corporation, 8.375% due 6/15/02 1,014,350
------------------
------------------
Oil/Gas - 0.80%
275,000 Amoco Canada Petro Company Limited, 7.25% due 12/01/02 277,142
------------------
------------------
Pharmaceuticals - 2.95%
1,000,000 American Home Products, 7.90% due 2/15/05 1,023,560
------------------
------------------
Power/Utility - 2.43%
150,000 Public Service Electric & Gas, 7.875% due 11/01/01 150,867
700,000 Southern California Edison, 5.875% due 1/15/01 696,213
------------------
------------------
847,080
------------------
------------------
Telecommunications - 0.55%
190,000 GTE Corporation, 9.375% due 12/01/00 190,977
------------------
------------------
Transportation - 3.61%
1,300,000 Union Pacific Corporation, 6.12% due 2/01/04 1,253,252
------------------
------------------
Waste Disposal - 3.56%
500,000 WMX Technologies, 6.70% due 5/01/01 493,350
750,000 WMX Technologies, 7.125% due 6/15/01 740,685
------------------
------------------
1,234,035
------------------
------------------
Total Corporate Notes & Bonds (Cost-$19,098,193) $ 18,627,417
------------------
Total Investments (Cost-$34,085,040) 96.92% $ 33,617,361
------------------
------------------
Other Assets in Excess of Liabilities 3.08% 1,067,234
------------------
------------------
Total Net Assets 100.00% $ 34,684,595
==================
==================
Summary of Abbreviations:
MTN - Medium Term Note
See accompanying notes to financial statements.
</TABLE>
<TABLE>
<S> <C> <C> <C> <C>
August 31, 2000
--------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
--------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
MUNICIPAL BOND PORTFOLIO
Principal
Amount Value
--------------- ----------------
SHORT TERM INVESTMENTS - 1.98%
TEXAS - 0.99%
Industrial
$100,000 Grapevine, Texas Industrial Development Corporation
Revenue, Series A, 4.35% due 1/24/12 $100,000
----------------
WYOMING - 0.99%
Pollution Control
100,000 Lincoln County, Wyoming Pollution Control Revenue,
Series B, 4.25% due 11/01/14 100,000
----------------
Total Short-Term Investments (Cost - $200,000) 200,000
----------------
MUNICIPAL BONDS - 96.76%
ARIZONA - 4.34%
Water/Sewer
500,000 Sedona Arizona Wastewater Municipal Property,
4.75% due 7/01/27
440,955
----------------
----------------
CALIFORNIA - 8.65%
Education - 3.05%
50,000 California State Public Works Board Lease Revenue, Various
California State University Projects, 6.00% due 9/01/15 54,185
250,000 California State Public Works Board Lease Revenue, 5.375%
due 10/01/17 255,493
----------------
----------------
309,678
----------------
----------------
Housing - 3.65%
375,000 California Housing Finance Agency Single Family Mortgage,
Series A, Class I, 5.30% due 8/01/18 370,541
----------------
----------------
Turnpike/Toll - 1.95%
200,000 Foothill/Eastern Corridor Agency California Toll Road Revenue
Refunding, 5.75% due 1/15/40 197,800
----------------
----------------
COLORADO - 1.55%
Health/Hospitals
150,000 Denver, Colorado City & County Hospital, 6.00% due 10/01/15 156,858
----------------
----------------
FLORIDA - 0.36%
Education
35,000 Dade County, Florida School Board, Series A, 5.75% due 5/01/12 36,892
----------------
----------------
GEORGIA - 7.51%
Airport - 3.08%
305,000 Atlanta, Georgia Airport Facilities Revenue, 6.25% due 1/01/21 312,933
----------------
----------------
Principal
Amount Value
--------------- ----------------
Education - 2.16%
$215,000 Jackson County, Georgia School District, 6.00% due 7/01/14 $230,557
----------------
----------------
General Obligation - 2.21%
200,000 Georgia State, Series B, 6.250% due 4/01/07 219,504
----------------
----------------
HAWAII - 4.51%
General Obligation
505,000 Hawaii State, Series CR, 4.75% due 4/01/18 457,873
----------------
----------------
ILLINOIS - 4.54%
Health/Hospitals
500,000 Illinois Health Facilities Authority Northwestern Medical Facility
Foundation, 5.00% due 11/15/18 460,625
----------------
IOWA - 0.52%
Water/Sewer
50,000 West Des Moines, Iowa Water Revenue, 6.80% due 12/01/13 52,592
----------------
----------------
KENTUCKY - 1.01%
Turnpike/Toll
100,000 Kentucky State Turnpike Authority Economic Development,
5.625% due 7/01/15 102,064
----------------
----------------
LOUISIANA - 1.54%
General Obligation
150,000 New Orleans, Louisiana, 6.125% due 10/01/16 156,435
----------------
----------------
MARYLAND - 3.11%
Resource Recovery
300,000 Maryland State Energy Financing Administration Solid Waste
Disposal Revenue, 6.30% due 12/01/10 315,510
----------------
----------------
MISSOURI - 0.36%
Housing
35,000 Missouri State Housing Development Commission GNMA Backed,
Series C, 6.90% due 7/01/18 36,166
----------------
----------------
NEBRASKA - 0.41%
Power/Utility
40,000 Omaha, Nebraska Public Power Distribution, 5.50% due 2/01/14 41,460
----------------
----------------
NEVADA - 1.52%
Housing
150,000 Nevada Housing Division, Single Family, Series A,
6.15% due 4/01/17 153,897
----------------
----------------
Principal
Amount Value
--------------- ----------------
NEW YORK - 9.64%
Education - 1.32%
$ 125,000 New York State Dormitory Authority City University, 5.75%
due 7/01/09 $133,924
----------------
----------------
General Obligation - 7.15%
200,000 New York, New York, Series A, 6.50% due 7/15/06 219,670
500,000 New York, New York, Series E, 5.25% due 2/01/12 506,275
----------------
----------------
725,945
----------------
----------------
Housing - 0.76%
75,000 New York State Mortgage Agency, Series 54, 6.10% due 10/01/15 77,577
----------------
----------------
Pollution Control - 0.41%
40,000 New York State Environmental Facilities Corporation Pollution
Control, 5.875% due 6/15/14 41,737
----------------
----------------
NORTH DAKOTA - 6.00%
Housing
250,000 North Dakota State Housing Finance Agency, Series A, 5.25% due 7/01/18 228,595
390,000 North Dakota State Housing Finance Agency, Series C, 5.50% due 7/01/18 380,028
----------------
----------------
608,623
----------------
----------------
OHIO - 5.20%
General Obligation - 4.64%
500,000 Akron, Ohio, 5.00% due 12/01/18 470,840
----------------
----------------
Health/Hospitals - 0.56%
50,000 Lorain County, Ohio Hospital Medical Center, 7.75% due 11/01/13 56,963
----------------
----------------
PENNSYLVANIA - 4.24%
General Obligation - 2.97%
300,000 Pennsylvania State, Second Series, 5.00% due 11/15/12 300,978
----------------
----------------
Tax Allocation - 0.75%
75,000 Philadelphia, Pennsylvania Municipal Authority, Series A, 5.625%
due 11/15/14 76,396
----------------
----------------
Water/Sewer - 0.52%
50,000 Pittsburgh, Pennsylvania Water & Sewer Authority, Series B, 5.60%
due 9/01/15 52,553
----------------
----------------
PUERTO RICO - 0.68%
Power/Utility
65,000 Puerto Rico Electric Power Authority, 6.00% due 7/01/15 68,873
----------------
Principal
Amount Value
--------------- ----------------
----------------
SOUTH CAROLINA - 6.94%
Health/Hospitals - 2.35%
$ 250,000 Spartanburg County, South Carolina Health Services, Series B, 5.125%
due 4/15/17 $238,545
----------------
----------------
Power/Utility - 4.52%
500,000 Piedmont Municipal Power Agency South Carolina Electric Revenue,
Series A, 5.00% due 1/01/18 465,905
----------------
----------------
TEXAS - 5.78%
Education - 2.27%
250,000 Houston,Texas Independent School District, Series A, 5.00% due 2/15/24 230,235
----------------
----------------
General Obligation - 1.00%
75,000 Houston,Texas, Series C, 5.25% due 4/01/14 74,924
25,000 San Antonio,Texas Certificates of Obligation, 6.625% due 8/01/14 26,933
----------------
----------------
101,857
----------------
Housing - 2.01%
200,000 Texas State Veterans Housing Assistance Program, Series B, 5.75%
due 12/01/13 204,150
----------------
Power/Utility - 0.50%
50,000 Brazos River Authority Texas Revenue, 5.800% due 8/01/15 50,451
----------------
----------------
UTAH - 3.62%
General Obligation
400,000 Clearfield County, Utah, 5.00% due 2/01/23 367,636
----------------
----------------
WASHINGTON - 2.88%
Education - 2.52%
250,000 Spokane County, Washington School District No. 356, Series A,
5.45% due 6/01/13 255,395
----------------
----------------
Power/Utility - 0.36%
35,000 Seattle, Washington Light & Power, Series A, 5.75% due 8/01/11 36,047
----------------
WASHINGTON D.C. - 2.11%
Public Facilities
250,000 Washington DC Convention Center Authority Dedicated Tax
Revenue Senior Lien, 4.75% due 10/01/28 214,125
----------------
----------------
WISCONSIN - 9.49%
Education - 6.49%
400,000 Wisconsin State Health & Educational Facilities Authority, Series A,
5.250% due 8/15/19 380,624
300,000 Wisconsin State Health & Educational Facilities, 5.25% due 8/15/27 278,172
----------------
----------------
658,796
----------------
----------------
Principal
Amount Value
--------------- ----------------
WISCONSIN (continued) - 9.49%
Housing - 3.00%
$300,000 Wisconsin Housing & Economic Development Home Ownership,
6.20% due 3/01/27 $304,149
----------------
WYOMING - 0.25%
Housing
25,000 Wyoming Community Development Authority Housing, 6.65%
due 12/01/06 25,586
----------------
----------------
Total Municipal Bonds (Cost-$9,963,854) $9,819,756
----------------
Total Investments (Cost-$10,163,854) 98.71% $10,019,756
----------------
----------------
Other Assets in Excess of Liabilities 1.29% 131,061
----------------
----------------
Total Net Assets 100.00% $10,150,817
================
================
See accompanying notes to financial statements.
</TABLE>
<TABLE>
<S> <C> <C> <C> <C>
August 31, 2000
--------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
SCHEDULES OF INVESTMENTS
--------------------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT MONEY MARKET PORTFOLIO
Principal
Amount Value
----------------- ----------------
----------------- ----------------
U.S. GOVERNMENT NOTES - 100.01%
Federal Farm Credit Bank Discount Notes - 7.50%
$ 1,675,000 6.52% due 9/05/00 $1,673,787
1,072,000 6.36% due 10/13/00 1,064,046
----------------
Total Federal Farm Credit Bank Discount Notes (Cost-$2,737,833)
2,737,833
----------------
----------------
Federal Home Loan Bank - 3.16%
1,183,000 6.40% due 1/10/01 1,155,449
----------------
Total Federal Home Loan Bank (Cost-$1,155,449)
1,155,449
----------------
Federal Home Loan Bank Discount Notes - 14.10%
128,000 6.10% due 9/15/00 127,696
462,000 6.43% due 10/04/00 459,277
2,500,000 6.39% due 11/15/00 2,466,719
870,000 6.44% due 11/20/00 857,549
1,274,000 6.40% due 2/07/01 1,237,988
Total Federal Home Loan Bank Discount Notes
----------------
(Cost-$5,149,229) 5,149,229
----------------
Federal Home Loan Mortgage Discount Notes - 36.92%
30,000 6.40% due 9/12/00 29,941
2,500,000 6.445% due 9/14/00 2,494,182
2,415,000 6.39% due 9/19/00 2,407,284
25,000 6.46% due 9/19/00 24,919
507,000 6.41% due 10/03/00 504,111
45,000 6.39% due 10/12/00 44,673
34,000 6.42% due 10/12/00 33,751
5,000,000 6.44% due 10/19/00 4,957,067
1,004,000 6.435% due 10/24/00 994,488
1,734,000 6.38% due 11/09/00 1,712,796
290,000 6.45% due 1/04/01 283,505
Total Federal Home Loan Mortgage Discount Notes
----------------
----------------
(Cost-$13,486,717) 13,486,717
----------------
----------------
Federal Home Loan Mortgage Medium-Term Notes - 2.74%
1,000,000 6.86% due 7/24/01 1,000,134
----------------
Total Federal Home Loan Mortgage Medium-Term Notes
(Cost-$1,000,134)
1,000,134
----------------
Federal National Mortgage Association Discount Notes - 32.88%
155,000 6.53% due 9/12/00 154,691
1,415,000 6.13% due 9/21/00 1,410,181
556,000 6.48% due 9/21/00 553,999
472,000 6.41% due 9/25/00 469,983
46,000 6.17% due 9/28/00 45,787
3,000,000 6.15% due 10/06/00 2,982,063
Principal
Amount Value
----------------- -----------------
$39,000 6.42% due 10/19/00 $38,666
523,000 6.43% due 11/02/00 517,208
97,000 6.38% due 11/09/00 95,814
80,000 6.38% due 11/22/00 78,838
2,638,000 6.49% due 12/14/00 2,588,540
2,443,000 6.44% due 1/04/01 2,388,372
700,000 6.47% due 1/04/01 684,274
-----------------
Total Federal National Mortgage Association Discount Notes
(Cost-$12,008,416) 12,008,416
-----------------
Federal National Mortgage Association Medium-Term Notes
- 2.72%
1,000,000 6.00% due 7/17/01 992,779
-----------------
Total Federal National Mortgage Association Medium-Term Notes
(Cost-$992,779)
992,779
-----------------
Total Investments (Cost-$36,530,557) 100.01% $ 36,530,557
-----------------
-----------------
Liabilities in Excess of Other Assets (0.01%) (5,046)
-----------------
-----------------
Total Net Assets 100.00% $ 36,525,511
=================
=================
See accompanying notes to financial statements.
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
30
August 31, 2000
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
------------------------------------------------------------------------------------------------------------------------------------
U.S.
Large Large Government
Capitalization Capitalization Small International Investment Municipal Money Market
Value Growth Capitalization Equity Quality Bond Bond
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
-------------- -------------- -------------- -------------- --------------- ----------------
Assets
Investments, (including repurchase
Agreements of $0, $0, $216,000,
$0, $0,
$0, $0, respectively; note 1f),
at value cost-
$76,690,460; $84,693,723;
$44,160,735;
$29,376,070; $34,085,040;
$10,163,854;
$36,530,557, respectively; note $79,440,115 $149,224,036 $50,390,699 $36,760,058 $33,617,361 $10,019,756 $36,530,557
1a)
Cash 1,861 1,125,928 103 1,459,242 555,180 27,749 647
Receivable for shares of beneficial
interest sold 135,732 153,826 86,352 93,461 58,114 - 114,282
Receivable for investments sold 1,056,548 1,975,670 - - - - -
Interest receivable - 21 544,585 126,396 14,384
- -
Dividends receivable 136,459 48,826 49,610 84,402 - - -
Foreign taxes receivable - - - 42,925 - - -
Prepaid expenses and other assets 103,099 110,783 14,199 25,055 16,009 23,259 21,246
-------------- ------------- ------------ ------------- ------------- ------------ ------------
Total Assets 80,873,814 152,639,069 50,540,984 38,465,143 34,791,249 10,197,160 36,681,116
-------------- ------------- ------------ ------------- ------------ ------------- ------------
Liabilities
Payable to manager 43,538 81,341 26,718 23,889 16,078 4,687 14,726
Administration fee payable 5,635 10,527 3,458 2,679 2,459 717 2,608
Payable for shares of beneficial
interest redeemed 76,453 129,416 33,953 597,283 43,352 2,779 96,850
Payable for investments purchased 442,934 - - - - - -
Other payables and accrued - - 72,988 - 44,765 38,160 41,421
expenses
------------ ------------ ------------ ------------- ------------- ------------ ------------
Total Liabilities 568,560 221,284 137,117 623,851 106,654 46,343 155,605
------------ ------------ ------------ ------------- ------------- ------------ ------------
Net Assets
Shares of beneficial interest at 43,423 45,406 39,083 24,195 35,053 10,061 146,595
par value
Paid-in-surplus 76,657,818 74,651,042 41,880,483 27,425,302 35,791,650 10,387,672 36,383,975
Accumulated undistributed net
investment
income (loss) 284,335 1,896 1,897 1,895 2,044 1,895
1,896
Accumulated net realized gain
(loss) on
investments and foreign
currency 570,024 13,189,127 2,252,440 3,005,911 (676,325) (104,862) (6,954)
transactions
Net unrealized appreciation
(depreciation)
on investments 2,749,654 64,530,314 6,229,964 7,383,988 (467,678) (144,098) -
----------- ------------- ------------ ------------- -------------- ----------- ------------
Total Net Assets $80,305,254 $152,417,785 $50,403,867 $37,841,292 $34,684,595 $10,150,817 $36,525,511
=========== ============= ============ ============= ============== =========== ============
Net Asset Value per Share
Class I
Net Assets $75,515,957 $142,599,440 $48,274,236 $35,886,989 $33,199,269 $10,020,920 $35,605,634
Shares of beneficial interest 4,080,115 4,243,228 3,740,950 2,292,485 3,355,131 993,229 35,612,473
outstanding
----------- ------------- ------------ ------------- -------------- ----------- ------------
Net asset value and offering
price per $18.51 $33.61 $12.90 $15.65 $9.90 $10.09 $1.00
Share =========== ============= ============= ============ ============== =========== ============
Net Asset Value per Share
Class B
Net Assets $1,280,094 $2,801,416 $436,283 $420,178 $124,746 $16,255 $114,801
Shares of beneficial interest 70,126 84,909 34,350 27,268 12,618 1,610 114,813
outstanding
------------ ------------- ------------- ------------- -------------- ---------- ------------
Net asset value and offering
price per $18.25 $32.99 $12.70 $15.41 $9.89 $10.10 $1.00
Share
============ ============= ============= ============= ============= =========== ============
Net Asset Value per Share
Class C
Net Assets $3,509,203 $7,016,929 $1,693,348 $1,534,125 $1,360,580 $113,642 $805,076
Shares of beneficial interest 192,082 212,329 133,010 99,641 137,417 11,264 805,178
outstanding
------------ ------------- ------------- ------------- ------------- ----------- ------------
Net asset value and offering
price per $18.27 $33.05 $12.73 $15.40 $9.90 $10.09 $1.00
Share
============ ============= ============= ============= ============= =========== ============
See accompanying notes to financial statements.
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
31
Year Ended August 31, 2000
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
------------------------------------------------------------------------------------------------------------------------------------
39
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 $1,095,382 (1) $685,039 (1) $314,471 $375,945 (1) - - -
Interest 254,542 70,786 77,426 2,489,577 574,391 2,618,245
-
-------------- --------------- --------------- -------------- ------------- -------- ----------
Total investment income 1,349,924 755,825 391,897 375,945 2,489,577 574,391 2,618,245
-------------- --------------- --------------- -------------- ------------- -------- ----------
Operating Expenses
Management fees (notes 2a, 518,744 914,413 289,146 273,245 208,358 56,188 212,646
2e)
Administration fees (note 51,240 80,520 25,620 18,300 29,280 9,150 36,600
2c)
Transfer and dividend
disbursing 91,500 128,100 54,900 49,410 69,540 18,300 73,200
agent fees
Custodian fees (note 2a) 52,717 72,372 103,011 62,485 59,838 60,561 55,003
Registration fees 30,671 24,024 24,346 20,858 21,557 18,439 27,219
Professional fees 32,691 34,521 29,031 23,541 24,639 18,051 27,201
Reports and notices to
shareholders 10,980 23,878 13,220 5,054 10,980 - 13,216
Trustees' fees 3,660 18,651 10,076 1,504 7,635 1,504 10,076
Distribution & service fees
(note 2d)
Class B 4,917 9,422 1,773 1,763 921 113 1,018
Class C 28,222 51,742 11,681 8,493 9,312 736 8,119
Miscellaneous 8,015 6,086 4,059 4,556 3,143 732 7,325
-------------- --------------- --------------- -------------- -------------- ------------ -----
Total operating expenses 833,357 1,363,729 566,863 469,209 445,203 83,774 471,623
Less: Management fees
waived
and/or expenses - (10,487) (11,138) - - (58,261) -
assumed
(note 2a)
Expense offset
arrangement (note (1,477) (55,902) (531) (58,825) (15,918) (2,001) (103)
2a)
-------------- --------------- --------------- -------------- -------------- --------- --------
Net operating expenses 831,880 1,297,340 555,194 410,384 429,285 123,512 471,520
-------------- --------------- --------------- -------------- -------------- --------- --------
Net investment income 518,044 (541,515) (163,297) (34,439) 2,060,292 450,879 2,146,725
(loss)
-------------- --------------- --------------- -------------- -------------- -------- ---------
Realized and Unrealized
Gain(Loss) on Investments-Net
Net realized gain (loss)
on 3,958,562 13,895,002 3,281,321 3,040,350 (651,960) (104,862) (4,591)
securities
Net change in unrealized
Appreciation
(depreciation) on (4,982,517) 24,523,425 8,442,326 3,434,380 614,883 200,242 -
investments
-------------- --------------- --------------- -------------- -------------- ---------- -------
Net realized gain (loss)
and change in unrealized
appreciation
(depreciation) on investments (1,023,955) 38,418,427 11,723,647 6,474,730 (37,077) 95,380 (4,591)
Net increase (decrease) in
net (505,911) $37,876,912 $11,560,350 $6,440,291 $2,023,215 $546,259 $2,142,134
assets resulting from
operations
============== =============== =============== ============== ============ ========== =========
(1) Net of foreign withholding taxes of $10,145, $90 and $62,763 for Large Capitalization Value, Large Capitalization Growth
and International Equity, respectively.
See accompanying notes to financial statements.
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
Year Ended August 31, 2000
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
------------------------------------------------------------------------------------------------------------------------------------
------------------------------- ------------------------------ ---------------------------
Large Capitalization Value Large Capitalization Growth Small Capitalization
Portfolio Portfolio Portfolio
------------------------------- ------------------------------ ---------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, 2000 August 31,1999 August 31, 2000 August 31,1999 August 31, 2000 August 31,1999
Operations
Net investment income (loss) $518,044 $551,397 ($541,515) ($382,898) ($163,297) ($196,421)
Net realized gain (loss) on 3,958,562 3,911,254 13,895,002 7,636,240 3,281,321 538,422
investments
Net change in unrealized appreciation
(depreciation) on investments (4,982,517) 4,723,895 24,523,425 30,990,758 8,442,326 8,450,520
--------------- -------------- ---------------- ------------- ------------- --------------
Net increase (decrease) in net
assets
resulting from operations (505,911) 9,186,546 37,876,912 38,244,100 11,560,350 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 27,751,163 43,516,472 49,262,429 50,917,991 10,645,993 15,232,180
Class B 1,144,739 180,079 2,491,683 206,626 330,613 76,827
Class C 3,704,069 1,173,280 6,128,643 2,225,861 1,681,162 246,405
Reinvestment of dividends and
distributions
Class I 7,680,907 2,808,762 7,192,591 1,626,717 474,540 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 (30,085,894) (16,842,950) (58,690,995) (40,089,419) (11,731,700) (8,991,933)
Class B (45,282) - (125,520) (11) (15,240) -
Class C (1,367,705) (26,750) (2,443,898) (26,409) (597,010) (6,695)
Net increase in net assets from
share
transactions of beneficial 9,047,965 30,808,893 4,060,988 14,861,356 799,992 13,390,592
interest
------------- ----------- -------------- ------------- ----------------- --------------
Total increase (decrease) in 511,692 37,152,825 34,419,649 51,461,329 11,871,653 15,297,498
net assets
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 $284,335, $240,241; $1,896,
$1,896; $1,897, $1,896; $1,896,
$117,534; $1,895, $1,896; $2,044,
$1,896; $1,895, and $1,895,
respectively) $80,305,254 $79,793,562 $152,417,785 $117,998,136 $50,403,867 $38,532,214
=========== ============== ============== ============= =========== ============
See accompanying notes to financial statements.
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Year Ended August 31, 2000
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
------------------------------------------------------------------------------------------------------------------------------------
--------------------------------- -------------------------------- ------------------------------ -----------------------------
International Equity Portfolio Investment Quality Bond Municipal Bond U.S. Government Money Market
Portfolio Portfolio Portfolio
--------------------------------- -------------------------------- ------------------------------ -----------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, 2000 August 31,1999 August 31, 2000 August 31,1999 August 31, August 31,1999 August 31, August 31,1999
2000 2000
----------------- --------------- ---------------- --------------- --------------- ---------------- ------------- -------------
----------------- --------------- ---------------- --------------- --------------- ---------------- ------------- -------------
($34,439) $238,631 $2,060,292 $1,952,674 $450,879 $430,743 $2,146,725 $1,821,251
3,040,350 703,979 (651,960) 94,374 (104,862) 78,058 (4,591) (138)
3,434,380 3,788,888 614,883 (1,593,458) 200,242 (807,644)
- -
----------------- --------------- ---------------- --------------- --------------- ---------------- ----------- ---------------
----------------- --------------- ---------------- --------------- --------------- ---------------- ----------- ---------------
6,440,291 4,731,498 2,023,215 453,590 546,259 (298,843) 2,142,134 1,821,113
----------------- --------------- ---------------- --------------- --------------- ---------------- ----------- ---------------
----------------- --------------- ---------------- --------------- --------------- ---------------- ----------- ---------------
(178,106) (173,213) (2,012,045) (1,950,367) (448,029) (430,382) (2,109,276) (1,819,600)
(520) - (4,312) (159) (382) (24) (4,138) (142)
(2,430) - (43,936) (2,186) (2,471) (186) (33,311) (1,510)
(426,623) - - (225,023) (62,225) (43,266) - -
(1,245) - - - (48) - - -
(5,821) - - - (365) - - -
(614,745) (173,213) (2,060,293) (2,177,735) (513,520) (473,858) (2,146,725) (1,821,252)
----------------- --------------- ---------------- --------------- --------------- ---------------- ----------- ---------------
----------------- --------------- ---------------- --------------- --------------- ---------------- ----------- ---------------
14,990,360 13,305,963 11,618,769 23,031,923 1,689,751 5,637,079 61,134,769 50,062,160
346,653 65,536 70,053 64,322 26,343 8,604 115,647 70,317
1,378,461 365,497 1,379,097 293,323 73,956 46,798 2,236,416 350,624
600,053 171,246 1,946,877 2,128,885 502,497 468,341 2,059,138 1,777,737
1,763 - 4,164 177 399 29 3,944 153
8,249 - 40,569 2,239 2,841 182 36,026 1,522
(14,230,516) (8,226,685) (21,390,237) (18,093,662) (3,757,336) (3,571,865) (75,942,131) (41,973,797)
(5,745) - (14,110) (49) (18,707) - (75,248) -
(263,327) (16,947) (351,854) (8,367) (3,805) (8,296) (1,762,722) (56,687)
2,825,951 5,664,610 (6,696,672) 7,418,791 (1,484,061) 2,580,872 (12,194,161) 10,232,029
----------------- --------------- ---------------- --------------- --------------- ---------------- ----------- ---------------
----------------- --------------- ---------------- --------------- --------------- ---------------- ----------- ---------------
8,651,497 10,222,895 (6,733,750) 5,694,646 (1,451,322) 1,808,171 (12,198,752) 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
----------------- --------------- ---------------- --------------- --------------- ---------------- ----------- ---------------
----------------- --------------- ---------------- --------------- --------------- ---------------- ----------- ---------------
$37,841,292 $29,189,795 $34,684,595 $41,418,345 $10,150,817 $11,602,139 $36,525,511 $48,724,263
================= =============== ================ =============== =============== ================ =========== ===============
================= =============== ================ =============== =============== ================ =========== ===============
</TABLE>
Year Ended August 31, 2000
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
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. Funds
Distributor, Inc. (the "Administrator") provides the Trust with administrative
services. Funds Distributor, Inc. (the "Distributor") serves as the Trust's
distributor. 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,
theTrust 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 accounting
principles generally accepted in the United States 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 year ended August 31, 2000, the Manager voluntarily waived $10,487;
$11,138 and $58,261 for Large Capitalization Growth, Small Capitalization 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. The administration fee for the year ended August 31, 2000 was
$337,000 (exclusive of out of pocket administration fees) for the Trust.
(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 certain 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 year ended August 31,
2000, reimbursement payments were made by the following Portfolios to the
Manager under the terms of the Expense Agreement: $5,648, $1,276, $4,904, $936
and $9,358 for the Large Capitalization Value, Large Capitalization Growth,
International Equity, Investment Quality Bond and Money Market Portfolios
respectively.
3. PURCHASES AND SALES OF SECURITIES
For the year ended August 31, 2000 purchases and sales of investment
securities, other than short-term securities were as follows:
Purchases Sales
----------------------------
Large Capitalization Value $76,560,587 $67,246,878
Large Capitalization Growth 45,598,087 50,294,174
Small Capitalization 25,854,103 25,081,047
International Equity 18,198,803 15,640,501
Investment Quality Bond 18,299,745 24,226,070
Municipal Bond 1,187,030 1,779,054
4. UNREALIZED APPRECIATION (DEPRECIATION) FOR FEDERAL INCOME TAX PURPOSES
At August 31, 2000, the composition of unrealized appreciation
(depreciation) of investment securities were as follows:
Appreciation (Depreciation) Net
-----------------------------------------
Large Capitalization Value $7,518,044 ($4,768,390) $2,749,654
Large Capitalization Growth 67,895,581 (3,365,267) 64,530,314
Small Capitalization 14,047,812 (7,817,848) 6,229,964
International Equity 8,868,964 (1,484,976) 7,383,988
Investment Quality Bond 176,941 (644,619) (467,678)
Municipal Bond 155,431 (299,529) (144,098)
For U.S. federal income tax, the cost of securities owned at August 31,
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:
Year Ended Year Ended
August 31, 2000 August 31,
1999
---------------- ---------------
Large Capitalization Value
Issued 1,485,531 2,133,762
Redeemed (1,635,250) (815,931)
Reinvested from 417,431 144,855
Dividends
---------------- ---------------
Net Increase in 267,712 1,462,686
Shares
---------------- ---------------
Large Capitalization Growth
Issued 1,603,517 2,054,585
Redeemed (1,884,166) (1,573,032)
Reinvested from 239,432 71,851
Dividends
---------------- ---------------
Net Increase (41,217) 553,404
(Decrease) in Shares ---------------- ---------------
Small Capitalization
Issued 956,978 1,541,540
Redeemed (1,050,321) (919,820)
Reinvested from 51,025 795,518
---------------- ---------------
Net Increase (42,318) 1,417,238
(Decrease) in Shares ---------------- ---------------
International Equity
Issued 984,558 1,115,375
Redeemed (911,588) (686,830)
Reinvested from 38,445 14,969
Dividends
---------------- ---------------
Net Increase in 111,415 443,514
Shares
---------------- ---------------
Investment Quality Bond
Issued 1,182,384 2,250,732
Redeemed (2,181,650) (1,776,225)
Reinvested from 198,420 209,194
Dividends
---------------- ---------------
Net Increase (800,846) 683,701
(Decrease) in Shares
---------------- ---------------
Municipal Bond
Issued 174,483 534,305
Redeemed (388,444) (336,987)
Reinvested from 51,614 44,442
Dividends
---------------- ---------------
Net Increase (162,347) 241,760
(Decrease) in Shares
---------------- ---------------
U.S. Government Money Market
Issued 61,134,768 50,062,160
Redeemed (75,942,131) (41,973,797)
Reinvested from 2,059,138 1,777,737
Dividends
---------------- ---------------
Net Increase (12,748,225) 9,866,100
(Decrease) in Shares
---------------- ---------------
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:
Class B Class C
Year Ended Period from Year Ended Period from
1/4/99* 1/4/99*
August 31, 2000 to 8/31/99 August 31, 2000 to 8/31/99
----------------------------------- ------------------------------
Large Capitalization Value
Issued 62,862 8,367 198,592 56,675
Redeemed ( 2,590) - (75,030) (1,212)
Reinvested
Dividends 1,488 - 13,057 -
-------- ------- --------- --------
Net Increase 61,760 8,367 136,619 55,463
in Shares -------- ------- --------- --------
Large Capitalization Growth
Issued 80,730 7,611 205,339 83,457
Redeemed ( 4,109) - (83,088) ( 980)
Reinvested
Dividends 677 - 7,600 -
-------- ------- --------- --------
Net Increase 77,298 7,611 129,851 82,477
in Shares -------- ------- --------- --------
Small Capitalization
Issued 28,225 7,276 155,407 24,889
Redeemed ( 1,260) - (47,707) ( 729)
Reinvested
Dividends 109 - 1,150 -
-------- ------- --------- --------
Net Increase 27,074 7,276 108,850 24,160
in Shares -------- ------- --------- --------
International Equity
Issued 22,417 5,159 89,771 30,308
Redeemed (421) - (19,572) (1,399)
Reinvested
Dividends 114 - 533 -
-------- ------- --------- --------
Net Increase 22,110 5,159 70,732 28,909
in Shares -------- ------- --------- --------
Investment Quality Bond
Issued 7,153 6,465 140,415 29,380
Redeemed (1,438) (5) (35,898) (843)
Reinvested
Dividends 425 18 4,138 225
-------- ------- --------- --------
Net Increase 6,140 6,478 108,655 28,762
in Shares -------- ------- --------- --------
Municipal Bond
Issued 2,656 837 7,561 4,598
Redeemed (1,927) - (390) (815)
Reinvested
Dividends 41 3 292 18
-------- ------- --------- --------
Net Increase 770 840 7,463 3,801
in Shares -------- ------- --------- --------
U.S. Government Money Market
Issued 115,647 70,317 2,236,416 350,624
Redeemed (75,249) - (1,762,723) (56,688)
Dividends 3,944 153 36,026 1,522
-------- ------- --------- --------
Net Increase 44,342 70,470 509,719 295,458
in Shares -------- ------- --------- --------
* Commencement of offering
6. CAPITAL LOSS CARRYFORWARDS
At August 31, 2000, 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:
Name of Portfolio Total 2005 2006 2007 2008
U.S. Government Money Market Portfolio $2,533 $32 $187 2,090 $224
Municipal Bond Portfolio 61,929 0 0 0 61,929
Investment Quality Bond Portfolio 57,972 0 0 0 57,972
In accordance with U.S. Treasury regulations, the following Portfolios have
incurred and will elect to defer realized capital losses arising after October
31, 1999 ("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, 2000).
Capital
Losses
------------------
Large Capitalization Value Portfolio $ -
Large Capitalization Growth Portfolio -
Small Capitalization Portfolio 1,881,629
International Equity Portfolio -
Investment Quality Bond Portfolio 549,129
Municipal Bond Portfolio 42,933
U.S. Government Money Market Portfolio 4,421
--------------------------------------------------------------------------------
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)
Year Ended
August 31, 2000 $20.52 $0.05 ($0.33) ($0.28) ($0.17) ($1.80) $18.27 (1.39%) $3,509 1.85% (0.13%) 90%
January 4, 1999 (1)
to August 31, 1999 20.21 0.04 0.27 0.31 -- -- 20.52 1.53% 1,138 0.61%(1,3)(0.56%)(1,3) 67%
(1) During the fiscal period 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 1.85% and (0.13%) respectively, for the year ended
August 31, 2000, 1.41% and 1.36% respectively for the year ended August 31,
1999.
Large Capitalization Growth Portfolio (Class C)
Year Ended
August 31, 2000$26.78 ($0.26) $8.19 $7.93 -- ($1.66) $33.05 30.30% $7,017 1.59%(1) (1.06%)(1) 33%
January 4, 1999 (1)
to August 31, 1999 24.74 (0.10) 2.14 2.04 -- -- 26.78 8.25% 2,209 1.22%(1,3)(0.82%)(1,3) 39%
(1) During the fiscal periods ended August 31, 2000 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 1.63% and (1.02%)
respectively, for the year ended August 31, 2000, 1.34% and 0.94% for the year
ended August 31, 1999.
Small Capitalization Portfolio (Class C)
Year Ended
August 31, 2000$10.06 ($0.07) $2.86 $2.79 -- ($0.12) $12.73 28.22% $1,693 1.72%(1)(0.79%)(1) 59%
January 4, 1999 (1)
To August 31, 1999 9.33 (0.02) 0.75 0.73 -- -- 10.06 7.82% 243 1.46%(1,3)(1.09%)(1,3) 32%
(1) During the fiscal periods ended August 31, 2000 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 1.73% and (0.78%)
respectively, for the year ended August 31, 2000, 1.56% and (1.19%) for the year
ended August 31, 1999.
International Equity Portfolio (Class C)
Year ended
August 31, 2000$13.10 $- $2.56 $2.56 ($0.08) ($0.18) $15.40 19.54% $1,534 1.82% (0.45%) 45%
January 4, 1999 (1)
to August 31, 1999 12.29 0.02 0.79 0.81 -- -- 13.10 6.59% 380 1.15%(1,3) 0.20%(1,3) 46%
(1) During the fiscal period 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 1.98% and (0.29%) respectively, for the year ended
August 31, 2000, 1.29% and 0.34% for the year ended August 31, 1999.
Investment Quality Bond Portfolio (Class C)
Year Ended
August 31, 2000$9.89 $0.46 $0.01 $0.47 ($0.46) -- $9.90 4.88% $1,361 1.92% 4.69% 53%
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%(1,3)2.69%(1,3) 62%
(1) During the fiscal period 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 1.97% and 4.74% respectively, for the year ended
August 31, 2000, 1.30% and 2.73% for the year ended August 31, 1999.
Municipal Bond Portfolio (Class C)
Year Ended
August 31, 2000 $10.00 $0.35 $0.13 $0.48 ($0.33) ($0.06) $10.09 4.97% $114 2.20%(1) 3.40%(1) 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%(1,3) 2.64%(1,3) 23%
(1) During the fiscal periods ended August 31, 2000 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 2.67% and 2.93%
respectively,for the year ended August 31, 2000, 1.82% and 3.78% for the year
ended August31, 1999.
U.S. Government Money Market Portfolio (Class C)
Year Ended
August 31, 2000 $1.000 $0.040 -- $0.040 ($0.040) -- $1.000 4.10% $805 1.87% 4.11% 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%(1,3) 2.03%(1,3) n/a
</TABLE>
(1) During the fiscal period 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 1.87% and 4.11% respectively, for the year ended
August 31, 2000, 1.26% and 2.07% 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.
