<PAGE> 1
TOUCHSTONE
ADVISOR
VARIABLE ANNUITY
* Emerging Growth
* International Equity
* Income Opportunity
* Value Plus
* Growth & Income
* Balanced
* Bond
* Standby Income
SEMIANNUAL REPORT
JUNE 30, 1998
<PAGE> 2
This booklet contains the Semi-Annual Reports which reflect the results of the
TOUCHSTONE ADVISOR VARIABLE ANNUITY, a flexible purchase payment deferred
variable annuity contract, issued by WESTERN-SOUTHERN LIFE ASSURANCE COMPANY
("Western-Southern"). Included in this booklet are the Annual reports for
Western-Southern's Separate Account II and the investment portfolios underlying
the Touchstone Advisor Variable Annuity. These Annual Reports are bound together
for your convenience.
<PAGE> 3
Dear Fellow Contract Owner:
As pleased overall as we are with our investment performance at Touchstone
during the past 6 months, we must be realistic. Over most of the century, for
example, the U.S. stock market has returned an average of 11% to 12% per year,
not per quarter. We encourage you to keep that in mind should the market regress
to its pattern of more moderate performance. But when will this happen?
The answer is, nobody really knows. And the only consensus seems to be that
there is no consensus. For example, are stock prices really too high? Or have
the old valuation rules outlived their usefulness? Is the Asian economic crisis
keeping global inflation in check and interest rates low? Or is it simply
waiting in the wings, ready to waylay corporate profitability?
Going forward, companies that can perform on their own merits will most
likely be the ones offering the best opportunities. Those are the kinds of
companies our portfolio managers are proud to find, one at a time, no matter how
the market's doing.
We're also proud to introduce a new addition to our family of Funds and
Variable Annuities: the Touchstone Value Plus Portfolios. These Portfolios,
managed by Fort Washington Investment Advisors, seek long-term capital growth by
investing primarily in large cap stocks that are considered fundamentally
undervalued. These are sound companies with unique competitive advantages and
proven management.
Our other outstanding portfolio managers also keep their ears to the
ground. They listen and watch for major forces that drive the markets, such as
corporate restructurings, the retirement plan revolution, the move to liquidity,
and the mainstreaming of technology -- forces that have made the U.S. the envy
of the global economy, and are now beginning to make their way overseas. Beyond
finding individual companies that may benefit from these forces, our job is to
look forward and see how Touchstone can best take advantage of these trends to
better serve you.
I'd like to take this opportunity to thank you for the success we've shared
together. We appreciate your continued confidence and investment in the
Touchstone Family of Funds and Variable Annuities.(1)
Sincerely,
/s/Edward G. Harness
- --------------------
Edward G. Harness
President and Chief Executive Officer
Touchstone Family of Funds
P.S. Please visit us on the World Wide Web at WWW.TOUCHSTONEFUNDS.COM
- ---------------
(1) Touchstone Variable Annuities are underwritten by Western-Southern Life
Assurance Company, Cincinnati, Ohio. Touchstone Family of Funds and Variable
Annuities are distributed by Touchstone Securities, Inc., member NASD and
SIPC. For a prospectus containing more information, including all fees and
expenses, call (800) 669-2796. Please read the prospectus carefully before
investing or sending money.
<PAGE> 4
[TOUCHSTONE LOGO] TOUCHSTONE
---------------------
Western-Southern Life
Assurance Company
----------------------
Separate Account 2
------------------
SEMIANNUAL REPORT
JUNE 30, 1998
------------------
<PAGE> 5
WESTERN-SOUTHERN LIFE ASSURANCE COMPANY SEPARATE ACCOUNT 2
Statement of Net Assets
June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
1998
----------
<S> <C>
ASSETS:
Investments at current market value:
Select Advisors Variable Insurance Trust
Emerging Growth Portfolio (17,338 shares, cost
$259,642) $ 282,256
International Equity Portfolio (11,747 shares, cost
$143,189) 174,332
Balanced Portfolio (12,546 shares, cost $177,556) 186,563
Income Opportunity Portfolio (96,043 shares, cost
$1,103,830) 1,023,813
Standby Income Portfolio (4,289 shares, cost $42,937) 42,895
Value Plus Portfolio (476 shares, cost $4,605) 4,687
Select Advisors Portfolios
Growth & Income Portfolio II (0.446860% beneficial
interest $256,894) 304,866
Bond Portfolio II (0.229646% beneficial interest
$62,137) 71,867
----------
Total assets 2,091,279
----------
LIABILITIES:
Accounts payable 201
----------
Total liabilities 201
----------
Total net assets $2,091,078
==========
NET ASSETS:
Variable annuity contracts $2,089,841
Retained in the variable account by Western-Southern Life
Assurance Company 1,237
----------
Total net assets $2,091,078
==========
</TABLE>
The accompanying notes are an integral part of the financial statements.
1
<PAGE> 6
WESTERN-SOUTHERN LIFE ASSURANCE COMPANY SEPARATE ACCOUNT 2
Statement of Operations and Changes in Net Assets
For the period from January 1, 1998 to June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EMERGING INTERNATIONAL INCOME STANDBY
GROWTH EQUITY BALANCED OPPORTUNITY INCOME
TOTAL SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT
---------- ----------- ------------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
INCOME:
Dividends and capital gains $ 49,488 $ -- $-- $ 1,934 $ 45,150 $ 2,404
Miscellaneous income (loss) (377) (262) (20) 52 64 (26)
EXPENSES:
Mortality and expense risk, and
administrative charge 8,370 1,096 652 711 4,132 359
---------- -------- -------- -------- ---------- ---------
Net investment income (loss) 40,741 (1,358) (672) 1,275 41,082 2,019
---------- -------- -------- -------- ---------- ---------
Net change in unrealized appreciation
(depreciation) on investments 31,280 5,923 28,890 4,097 (36,169) 1
Realized gain (loss) on investments 22,730 9,978 5,645 6,579 522 6
---------- -------- -------- -------- ---------- ---------
Net realized and unrealized gain (loss) on
investments 54,010 15,901 34,535 10,676 (35,647) 7
---------- -------- -------- -------- ---------- ---------
Net increase (decrease) in net assets
resulting from operations 94,751 14,543 33,863 11,951 5,435 2,026
---------- -------- -------- -------- ---------- ---------
Contract owners activity:
Payments received from contract owners 90,501 (838) (6,059) (4,752) (3,430) 96,374
Net transfers between subaccounts -- 20,804 6,138 20,294 10,826 (60,807)
Withdrawals and surrenders (177,474) (10,753) (8,806) (9,213) (15,222) (121,812)
Contract maintenance charge (384) (66) (58) (71) (70) (5)
---------- -------- -------- -------- ---------- ---------
Net increase (decrease) from contract
activity (87,357) 9,147 (8,785) 6,258 (7,896) (86,250)
---------- -------- -------- -------- ---------- ---------
Net increase (decrease) in net assets 7,394 23,690 25,078 18,209 (2,461) (84,224)
Net assets, at beginning of period 2,083,684 258,541 149,238 168,337 1,026,184 127,103
---------- -------- -------- -------- ---------- ---------
Net assets, at end of period $2,091,078 $282,231 $174,316 $186,546 $1,023,723 $ 42,879
========== ======== ======== ======== ========== =========
<CAPTION>
VALUE GROWTH &
PLUS INCOME BOND
SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT
----------- ----------- -----------
<S> <C> <C> <C>
INCOME:
Dividends and capital gains $-- $ -- $ --
Miscellaneous income (loss) 5 (200) 10
EXPENSES:
Mortality and expense risk, and
administrative charge 3 1,144 273
------ -------- --------
Net investment income (loss) 2 (1,344) (263)
------ -------- --------
Net change in unrealized appreciation
(depreciation) on investments 82 25,249 3,207
Realized gain (loss) on investments -- -- --
------ -------- --------
Net realized and unrealized gain (loss) on
investments 82 25,249 3,207
------ -------- --------
Net increase (decrease) in net assets
resulting from operations 84 23,905 2,944
------ -------- --------
Contract owners activity:
Payments received from contract owners 100 12,498 (3,392)
Net transfers between subaccounts 4,500 12,060 (13,815)
Withdrawals and surrenders -- (11,484) (184)
Contract maintenance charge -- (99) (15)
------ -------- --------
Net increase (decrease) from contract
activity 4,600 12,975 (17,406)
------ -------- --------
Net increase (decrease) in net assets 4,684 36,880 (14,462)
Net assets, at beginning of period -- 267,959 86,322
------ -------- --------
Net assets, at end of period $4,684 $304,839 $ 71,860
====== ======== ========
</TABLE>
Statement of Operations and Changes in Net Assets
For the year ended December 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EMERGING INTERNATIONAL INCOME STANDBY
GROWTH EQUITY BALANCED OPPORTUNITY INCOME
TOTAL SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT
---------- ----------- ------------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
INCOME:
Dividends and capital gains $ 98,985 $ 13,867 $ 7,984 $ 12,525 $ 48,689 $ 15,920
Miscellaneous income (loss) 2,046 424 242 151 491 (21)
EXPENSES:
Mortality and expense risk, and
administrative charge 8,013 946 799 789 1,297 2,346
---------- -------- -------- -------- ---------- -----------
Net investment income (loss) 93,018 13,345 7,427 11,887 47,883 13,553
---------- -------- -------- -------- ---------- -----------
Net change in unrealized appreciation
(depreciation) on investments (16,192) 15,477 (131) 1,715 (45,887) (43)
Realized gain (loss) on investments 15,346 7,624 4,509 2,405 1,824 (1,016)
---------- -------- -------- -------- ---------- -----------
Net realized and unrealized gain (loss) on
investments (846) 23,101 4,378 4,120 (44,063) (1,059)
---------- -------- -------- -------- ---------- -----------
Net increase (decrease) in net assets
resulting from operations 92,172 36,446 11,805 16,007 3,820 12,494
---------- -------- -------- -------- ---------- -----------
Contract owners activity:
Payments received from contract owners 1,524,644 33,978 41,159 51,326 59,528 1,247,173
Net transfers between subaccounts -- 144,764 47,420 48,835 909,558 (1,310,153)
Withdrawals and surrenders (68,116) (9,166) (7,648) (2,812) (3,655) (36,193)
Contract maintenance charge (665) (126) (111) (118) (102) (37)
---------- -------- -------- -------- ---------- -----------
Net increase (decrease) from contract
activity 1,455,863 169,450 80,820 97,231 965,329 (99,210)
---------- -------- -------- -------- ---------- -----------
Net increase (decrease) in net assets 1,548,035 205,896 92,625 113,238 969,149 (86,716)
Net assets, at beginning of period 535,649 52,645 56,613 55,099 57,035 213,819
---------- -------- -------- -------- ---------- -----------
Net assets, at end of period $2,083,684 $258,541 $149,238 $168,337 $1,026,184 $ 127,103
========== ======== ======== ======== ========== ===========
<CAPTION>
GROWTH &
INCOME BOND
SUB-ACCOUNT SUB-ACCOUNT
----------- -----------
<S> <C> <C> <C>
INCOME:
Dividends and capital gains $ -- $ --
Miscellaneous income (loss) 719 40
EXPENSES:
Mortality and expense risk, and
administrative charge 1,413 423
-------- --------
Net investment income (loss) (694) (383)
-------- --------
Net change in unrealized appreciation
(depreciation) on investments 8,426 4,251
Realized gain (loss) on investments -- --
-------- --------
Net realized and unrealized gain (loss) on
investments 8,426 4,251
-------- --------
Net increase (decrease) in net assets
resulting from operations 7,732 3,868
-------- --------
Contract owners activity:
Payments received from contract owners 58,171 33,309
Net transfers between subaccounts 143,810 15,766
Withdrawals and surrenders (8,642) --
Contract maintenance charge (140) (31)
-------- --------
Net increase (decrease) from contract
activity 193,199 49,044
-------- --------
Net increase (decrease) in net assets 200,931 52,912
Net assets, at beginning of period 67,028 33,410
-------- --------
Net assets, at end of period $267,959 $ 86,322
======== ========
</TABLE>
The accompanying notes are an integral part of the financial statements.
2
<PAGE> 7
WESTERN-SOUTHERN LIFE ASSURANCE COMPANY SEPARATE ACCOUNT 2
Notes to Financial Statements (unaudited)
- --------------------------------------------------------------------------------
1. ORGANIZATION
Western-Southern Life Assurance Company Separate Account 2 (the "Account")
is a unit investment trust registered under the Investment Company Act of 1940
(the "1940 Act"), established by the Western-Southern Life Assurance Company
(the "Company"), a life insurance company which is a wholly-owned subsidiary of
The Western and Southern Life Insurance Company. The Account is a funding
vehicle for individual variable annuity contracts, and commenced operations on
February 23, 1995.
The variable annuity contracts are designed for individual investors and
group plans that desire to accumulate capital on a tax-deferred basis for
retirement or other long-term objectives. The variable annuity contracts are
distributed across the United States through a network of broker-dealers and
wholesalers.
2. SIGNIFICANT ACCOUNTING POLICIES
The Account has eight investment sub-accounts each of which invests in the
corresponding portfolio (a "Portfolio") of Select Advisors Variable Insurance
Trust or of Select Advisors Portfolios, each of which is an open-ended
diversified management investment company. Each sub-account's value fluctuates
on a day to day basis depending on the investment performance of the Portfolio
in which each sub-account is invested. Sub-account transactions are recorded on
the trade date and income from dividends is recorded on the ex-dividend date.
Realized gains and losses on the sales of investments are computed on the basis
of specific identification.
Upon annuitization, the contract assets are transferred to the general
account of the Company. Accordingly, contract reserves are recorded by the
company. See the related prospectus for a more detailed understanding of the
annuity contracts.
3. CONTRACT CHARGES
Certain deduction for administrative and risk charges are deducted from the
contract value, in order to compensate the Company for administrative expenses
and for the assumption of mortality and expense risks. These charges are made
daily at an annual effective rate of .80% of the contract value.
The Company also deducts an annual contract maintenance charge of $35 from
the contract value on each contract anniversary and upon any full surrender.
4. USE OF ESTIMATES
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenues and expenses during the
reporting period. Actual results could differ from those estimates.
5. TAXES
The Account is not taxed separately because the operations of the Account
are part of the total operations of the company. The Company is taxed as a life
insurance company under the Internal Revenue Code. Under existing federal income
tax law, no taxes are payable on the investment income or on the capital gains
of the Account.
3
<PAGE> 8
WESTERN-SOUTHERN LIFE ASSURANCE COMPANY SEPARATE ACCOUNT 2
Notes to Financial Statements (continued)
- --------------------------------------------------------------------------------
6. PURCHASES AND SALES OF INVESTMENTS
The following table shows aggregate cost of shares and beneficial interests
of the Portfolios purchased and proceeds from shares and beneficial interests of
the Portfolios sold by the corresponding sub-accounts for the period January 1,
1998 to June 30, 1998.
<TABLE>
<CAPTION>
PURCHASES SALES
--------- --------
<S> <C> <C>
Select Advisors Variable Insurance Trust
Emerging Growth Portfolio $ 50,791 $ 42,987
International Equity Portfolio 19,860 29,306
Balanced Portfolio 47,185 39,642
Income Opportunity Portfolio 66,784 33,519
Standby Income Portfolio 182,048 266,243
Value Plus Portfolio 4,605 --
Select Advisors Portfolios
Growth & Income Portfolio II 62,409 50,751
Bond Portfolio II 8,887 26,549
</TABLE>
7. UNIT VALUES
The following table shows a summary of units outstanding for variable
annuity contracts for the period January 1, 1998 to June 30, 1998.
<TABLE>
<CAPTION>
TRANSFERS
BEGINNING UNITS UNITS BETWEEN SUB- ENDING UNIT ENDING
UNITS PURCHASED REDEEMED ACCOUNTS UNITS VALUE VALUE
--------- --------- -------- ------------ ------- --------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
Emerging Growth Sub-account 15,058 (62) (592) 1,207 15,611 18.079380 $ 282,231
International Equity Sub-account 10,507 (443) (543) 450 9,971 17.481170 174,316
Balanced Sub-account 10,276 (315) (536) 1,216 10,641 17.531266 186,546
Income Opportunity Sub-account 58,064 (197) (846) 600 57,621 17.766556 1,023,723
Standby Income Sub-account 11,233 8,435 (10,632) (5,332) 3,704 11.576364 42,879
Value Plus Sub-account -- 10 -- 467 477 9.827097 4,684
Growth & Income Sub-account 15,766 595 (616) 647 16,392 18.596802 304,839
Bond Sub-account 7,005 (274) (16) (1,108) 5,607 12.815355 71,860
----------
$2,091,078
==========
</TABLE>
4
<PAGE> 9
WESTERN-SOUTHERN LIFE ASSURANCE COMPANY SEPARATE ACCOUNT 2
Supplementary Information-Selected Per Share Data and Ratios
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EMERGING INTERNATIONAL INCOME STANDBY VALUE
GROWTH EQUITY BALANCED OPPORTUNITY INCOME PLUS*
SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT
----------- ------------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
(SELECTED DATA FOR A SHARE OF
ACCUMULATION UNIT OUTSTANDING
THROUGHOUT EACH YEAR) FOR THE
PERIOD ENDED JUNE 30,
1998(UNAUDITED)
Per share data
Investment income $ -- $ -- $ 0.187313 $ 0.781170 $ 0.306856 $ --
Expenses 0.070637 0.063546 0.067977 0.071632 0.045238 0.012807
---------- ---------- ---------- ---------- ---------- ----------
Net investment income (loss) (0.070637) (0.063546) 0.119336 0.709538 0.261618 (0.012807)
Net realized and unrealized gain
(loss) on investments 0.980170 3.341303 1.029624 (0.616213) (0.000147) (0.160096)
---------- ---------- ---------- ---------- ---------- ----------
Net increase (decrease) in net
asset value 0.909533 3.277757 1.148960 0.093325 0.261471 (0.172903)
Beginning of period 17.169847 14.203413 16.382306 17.673231 11.314893 10.000000
---------- ---------- ---------- ---------- ---------- ----------
End of period $18.079380 $17.481170 $17.531266 $17.766556 $11.576364 $ 9.827097
========== ========== ========== ========== ========== ==========
Ratios
Ratio of operating expense to
average net assets (%) 0.41% 0.40% 0.40% 0.40% 0.42% 0.13%
Ratio of net investment income
(loss) to average net assets (%) -0.50% -0.42% 0.72% 4.01% 2.38% 0.09%
<CAPTION>
GROWTH &
INCOME BOND
SUB-ACCOUNT SUB-ACCOUNT
----------- -----------
<S> <C> <C>
(SELECTED DATA FOR A SHARE OF
ACCUMULATION UNIT OUTSTANDING
THROUGHOUT EACH YEAR) FOR THE
PERIOD ENDED JUNE 30,
1998(UNAUDITED)
Per share data
Investment income $ -- $ --
Expenses 0.072264 0.049173
---------- ----------
Net investment income (loss) (0.072264) (0.049173)
Net realized and unrealized gain
(loss) on investments 1.673238 0.542477
---------- ----------
Net increase (decrease) in net
asset value 1.600974 0.493304
Beginning of period 16.995828 12.322051
---------- ----------
End of period $18.596802 $12.815355
========== ==========
Ratios
Ratio of operating expense to
average net assets (%) 0.40% 0.35%
Ratio of net investment income
(loss) to average net assets (%) -0.47% -0.33%
</TABLE>
<TABLE>
<CAPTION>
EMERGING INTERNATIONAL INCOME STANDBY VALUE
GROWTH EQUITY BALANCED OPPORTUNITY INCOME PLUS*
SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT SUB-ACCOUNT
----------- ------------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
(SELECTED DATA FOR A SHARE OF
ACCUMULATION UNIT OUTSTANDING
THROUGHOUT EACH YEAR) FOR THE YEAR
ENDED DECEMBER 31, 1997
Per share data
Investment income $ 0.929048 $ 0.771640 $ 1.317477 $ 2.241559 $ 0.594041
Expenses 0.118607 0.107978 0.120752 0.136658 0.088130
---------- ---------- ---------- ---------- ----------
Net investment income (loss) 0.810441 0.663662 1.196725 2.104901 0.505911
Net realized and unrealized gain
(loss) on investments 3.411742 1.063784 1.263315 (0.318302) (0.010926)
---------- ---------- ---------- ---------- ----------
Net increase (decrease) in net
asset value 4.222183 1.727446 2.460040 1.786599 0.494985
Beginning of year 12.947664 12.475967 13.922266 15.886632 10.819908
---------- ---------- ---------- ---------- ----------
End of year $17.169847 $14.203413 $16.382306 $17.673231 $11.314893
========== ========== ========== ========== ==========
Ratios
Ratio of operating expense to
average net assets (%) 0.61% 0.78% 0.71% 0.24% 1.38%
Ratio of net investment income
(loss) to average net assets (%) 8.58% 7.22% 10.64% 8.84% 7.95%
<CAPTION>
GROWTH &
INCOME II BOND II
SUB-ACCOUNT SUB-ACCOUNT
----------- -----------
<S> <C> <C>
(SELECTED DATA FOR A SHARE OF
ACCUMULATION UNIT OUTSTANDING
THROUGHOUT EACH YEAR) FOR THE YEAR
ENDED DECEMBER 31, 1997
Per share data
Investment income $ -- $ --
Expenses 0.122934 0.094423
---------- ----------
Net investment income (loss) (0.122934) (0.094423)
Net realized and unrealized gain
(loss) on investments 2.827415 0.910882
---------- ----------
Net increase (decrease) in net
asset value 2.704481 0.816459
Beginning of year 14.291347 11.505592
---------- ----------
End of year $16.995828 $12.322051
========== ==========
Ratios
Ratio of operating expense to
average net assets (%) 0.84% 0.71%
Ratio of net investment income
(loss) to average net assets (%) -0.41% -0.64%
</TABLE>
- ---------------
* Calculation of the Value Plus Unit Values began May 1, 1998 when that
sub-account commenced operations
5
<PAGE> 10
TOUCHSTONE
ADVISOR
VARIABLE ANNUITY
------------------------
Select Advisors Variable
Insurance Trust
* Emerging Growth
* International Equity
* Income Opportunity
* Value Plus
* Balanced
* Standby Income
-----------------
SEMIANNUAL REPORT
JUNE 30, 1998
-----------------
<PAGE> 11
EMERGING GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ -----------
<C> <S> <C>
COMMON STOCKS--89.8%
AUTOMOTIVE--2.0%
8,700 Bandag, Class A................. $ 300,150
17,000 Exide........................... 285,813
-----------
585,963
-----------
BANKING--2.9%
5,000 Bank United, Class A............ 239,375
7,900 Dime Bancorp.................... 236,506
12,500 Golden State Bancorp............ 371,875
-----------
847,756
-----------
BEVERAGES, FOOD & TOBACCO--1.7%
18,500 DiMon........................... 208,125
15,000 Ralcorp Holdings................ 283,125
-----------
491,250
-----------
BUILDING MATERIALS--3.5%
13,700 Calmat.......................... 301,400
32,300 Dal-Tile International.......... 316,944
8,400 Martin Marietta Materials....... 378,000
-----------
996,344
-----------
CHEMICALS--1.6%
25,300 Calgon Carbon................... 251,419
7,400 Standard Products............... 208,125
-----------
459,544
-----------
COMMERCIAL SERVICES--10.0%
25,000 Acsys........................... 343,750
8,000 Administaff*.................... 369,000
10,000 Advance Paradigm................ 367,500
15,000 A.C. Nielson*................... 378,750
15,000 ITT Educational Services........ 483,750
12,000 Stewart Enterprises............. 319,500
14,200 Unova........................... 305,300
12,900 Wallace Computer Services....... 306,375
-----------
2,873,925
-----------
COMMUNICATIONS--1.0%
7,000 Geotel Communications*.......... 285,250
-----------
COMPUTER SOFTWARE &
PROCESSING--11.0%
5,000 Cambridge Technology
Partners*..................... 273,125
22,900 Carreker-Antinori............... 240,450
4,600 CBT Group, ADR.................. 246,100
15,000 Devry........................... 329,063
8,000 HNC Software*................... 326,500
5,000 Keane*.......................... 280,000
9,000 Policy Management System*....... 353,250
25,000 PSW Technologies*............... 143,750
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ -----------
<C> <S> <C>
COMPUTER SOFTWARE &
PROCESSING--CONTINUED
25,000 Remedy.......................... $ 425,000
7,500 Transaction Systems Architects,
Series A*..................... 288,750
8,000 Wind River Systems*............. 287,000
-----------
3,192,988
-----------
COMPUTERS & INFORMATION--6.7%
6,000 EMC Corporation................. 268,875
13,400 Gerber Scientific............... 304,850
29,800 Intergraph*..................... 255,163
15,000 Renaissance Worldwide........... 326,250
5,800 Saville Systems, ADR*........... 290,725
27,400 Scitex.......................... 357,913
2,500 Sterling Commerce............... 121,250
-----------
1,925,026
-----------
ELECTRONICS--5.8%
10,000 Advanced Lighting
Technologies.................. 232,500
25,000 Aeroflex........................ 259,375
21,500 Commscope....................... 348,025
21,600 Magnetek........................ 340,200
6,800 Maxwell Technologies............ 158,100
16,000 Sipex........................... 344,000
-----------
1,682,200
-----------
ENTERTAINMENT & LEISURE--2.3%
17,000 Cinar Films, Class B............ 331,500
7,000 SFX Entertainment, Class A...... 321,125
-----------
652,625
-----------
FINANCIAL SERVICES--2.1%
23,000 Life USA Holdings............... 297,563
12,000 T&W Financial................... 301,500
-----------
599,063
-----------
FOREST PRODUCTS & PAPER--0.8%
21,800 Unisource Worldwide............. 235,713
-----------
HEAVY INDUSTRY--0.7%
8,059 Flowserve....................... 198,453
-----------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES--1.5%
7,100 Herman Miller................... 172,619
4,600 LA-Z-Boy Chair.................. 259,900
-----------
432,519
-----------
INDUSTRIAL--4.2%
10,000 CN Bioscience*.................. 250,000
13,000 Comfort Systems*................ 303,875
11,000 Foster Wheeler.................. 235,813
9,000 General Cable................... 259,875
7,000 Wesley Jessen Visioncare*....... 161,875
-----------
1,211,438
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
1
<PAGE> 12
EMERGING GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ -----------
<C> <S> <C>
COMMON STOCKS--CONTINUED
INSURANCE--3.1%
14,000 ARM Financial Group, Class A.... $ 309,750
12,100 HCC Insurance Holdings.......... 266,200
5,850 HSB Group....................... 312,975
-----------
888,925
-----------
MEDIA--BROADCASTING &
PUBLISHING--7.1%
15,000 American Tower Systems, Class
A............................. 374,063
4,400 Central Newspapers, Class A..... 306,900
15,000 Gartner Group, Class A.......... 525,000
9,800 Gibson Greetings................ 245,000
19,600 Hollinger International......... 333,200
9,400 Lee Enterprises................. 287,875
-----------
2,072,038
-----------
MEDICAL--1.8%
6,000 Arthocare....................... 99,750
15,000 Atria Communities*.............. 258,750
13,700 Biosite Diagnostics............. 150,700
-----------
509,200
-----------
MEDICAL SUPPLIES--2.8%
8,200 EG&G............................ 246,000
13,500 Elsag Bailey*................... 324,844
10,000 OEC Medical Systems............. 225,000
-----------
795,844
-----------
METALS--0.7%
4,100 Harsco.......................... 187,831
-----------
OIL & GAS--1.9%
8,300 Equitable Resources............. 253,150
14,700 Nabors Industries*.............. 291,244
-----------
544,394
-----------
PHARMACEUTICALS--1.5%
13,900 Jean Coutu Group, Class A....... 215,039
16,000 King Pharmaceuticals............ 224,000
-----------
439,039
-----------
RESTAURANTS--1.1%
14,000 The Cheesecake Factory.......... 316,750
-----------
RETAILERS--3.4%
34,000 Charming Shoppes*............... 161,500
12,500 Coldwater Creek................. 343,750
9,000 Enesco Group.................... 276,750
6,300 Zale*........................... 200,419
-----------
982,419
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ -----------
<C> <S> <C>
TELEPHONE SYSTEMS--0.6%
15,000 Startec Global Communication.... $ 172,500
-----------
TEXTILES, CLOTHING & FABRICS--2.2%
12,045 Albany International............ 288,327
23,000 Stride Rite..................... 346,438
-----------
634,765
-----------
TRANSPORTATION--5.8%
25,200 Fritz Companies*................ 337,050
17,000 Halter Marine Group............. 256,063
8,400 JB Hunt Transportation
Services...................... 299,250
8,500 Knightsbridge Tankers........... 227,375
9,700 Newport News Shipbuilding....... 259,475
16,200 Yellow.......................... 300,713
-----------
1,679,926
-----------
TOTAL COMMON STOCKS (COST $23,233,335)... 25,893,688
-----------
WARRANTS--0.2%
BANKING--0.2%
12,500 Golden State Bancorp............ 66,406
-----------
TOTAL WARRANTS (COST $0)................. 66,406
-----------
TOTAL INVESTMENTS AT VALUE--90.0%
(COST $23,233,335) (a)................... 25,960,094
CASH AND OTHER ASSETS NET OF
LIABILITIES--10.0%..................... 2,876,939
-----------
NET ASSETS--100.0%....................... $28,837,033
===========
</TABLE>
- ------------------------------
NOTES TO THE SCHEDULE OF INVESTMENTS:
* Non-income producing security.
(a) The aggregate identified cost for federal income tax purposes
is $23,233,335, resulting in gross unrealized appreciation and
depreciation of $4,121,048 and $1,394,289, respectively, and
net unrealized appreciation of $2,726,759.
ADR - American Depositary Receipt
The accompanying notes are an integral part of the financial statements.
2
<PAGE> 13
INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------- -----------
<C> <S> <C>
COMMON STOCKS--88.4%
DENMARK--1.2%
3,868 Tele Danmark A/S, Class B...... $ 371,815
-----------
FINLAND--2.6%
8,046 Nokia OYJ, Series A............ 594,852
5,173 Pohjola Insurance, Class B..... 256,853
-----------
851,705
-----------
FRANCE--19.1%
958 Accor.......................... 268,300
4,469 Alcatel Alsthom................ 910,594
2,310 Assurances Generales de
France....................... 130,804
4,723 AXA............................ 531,596
3,463 Banque National De Paris....... 283,162
1,422 Bouygues....................... 258,438
3,366 Cap Gemini..................... 529,289
3,870 Casino Guichard-Perrachon...... 309,267
1,835 Groupe Danone.................. 506,322
5,263 Lafarge........................ 544,463
8,598 Lagardere Groupe............... 358,208
8,374 Renault........................ 476,673
4,336 Rhone Poulenc.................. 244,737
3,348 Suez Lyonnaise Des
Eaux-Dumex................... 551,396
1,990 Total S.A., Series B........... 258,899
-----------
6,162,148
-----------
GERMANY--12.7%
1,455 Adidas......................... 253,868
523 Allianz Holdings............... 174,527
12 Allianz........................ 3,971
11,380 BASF........................... 541,379
607 BMW............................ 614,577
2,823 Dresdner Bank.................. 152,700
10,240 Lufthansa...................... 258,201
8,957 Mannesmann..................... 921,788
8,718 RWE............................ 516,551
659 Volkswagen..................... 637,247
-----------
4,074,809
-----------
GREAT BRITAIN--20.7%
21,223 Amvescap....................... 207,338
96,874 Avis Europe.................... 438,961
54,032 BG............................. 313,327
17,491 Boots.......................... 290,055
32,970 British Aerospace.............. 252,725
10,174 British Petroleum.............. 148,837
42,179 Cable & Wireless
Communications............... 427,564
49,622 Compass Group.................. 571,794
16,960 Electrocomponents.............. 133,119
15,420 GKN............................ 196,612
27,235 Great Universal Stores......... 359,311
16,255 Lloyds TSB Group............... 228,432
51,578 National Grid Group............ 348,245
13,637 National Westminster Bank...... 243,907
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------- -----------
<C> <S> <C>
GREAT BRITAIN--CONTINUED
16,279 Orange......................... $ 173,718
33,719 Rentokil Initial............... 242,699
26,453 Shell Transport & Trading...... 187,088
24,281 SmithKline Beecham............. 295,482
27,278 Unilever....................... 290,636
49,454 Vodafone Group................. 628,083
50,305 WPP Group...................... 329,947
7,301 Zeneca Group................... 313,595
-----------
6,621,475
-----------
IRELAND--3%
19,750 Allied Irish Banks............. 286,925
18,056 Bank of Ireland................ 370,279
22,745 CRH............................ 322,296
-----------
979,500
-----------
ISRAEL--0.5%
3,470 ECI Telecommunications......... 131,426
1,050 Teva Pharmaceutical Industries,
ADR.......................... 36,947
-----------
168,373
-----------
ITALY--6.2%
101,785 Banca di Roma.................. 205,926
81,261 Credito Italiano............... 422,743
150,801 Montedison..................... 186,808
722,783 Seat........................... 485,939
43,680 Telecom Italia Mobile.......... 266,760
18,840 Telecom Italia................. 137,771
58,621 Telecom Italia, Non-Convertible
Savings Shares............... 285,488
-----------
1,991,435
-----------
JAPAN--4.7%
1,300 Acom........................... 61,992
5,000 Bank of Tokyo.................. 53,150
5,000 Bridgestone.................... 118,673
4,000 Canon.......................... 91,176
9,000 Fujitsu........................ 95,083
2,000 Fuji........................... 69,901
7,000 Minebea........................ 69,952
70 Morgan Stanley Dean Witter
(Sony Corp), CPS............. 118,081
66 Merrill Lynch (Honda Motor),
CPS.......................... 67,082
700 Nintendo....................... 65,697
24 Nippon Telegraph & Telephone... 99,859
810 Promise........................ 33,468
1,000 Rohm Company................... 103,115
1,000 Sankyo......................... 22,866
1,000 TDK............................ 74,171
4,000 Terumo......................... 63,678
4,400 Tokyo Electric Power........... 86,602
</TABLE>
The accompanying notes are an integral part of the financial statements.
3
<PAGE> 14
INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------- -----------
<C> <S> <C>
COMMON STOCKS--CONTINUED
JAPAN--CONTINUED
7,000 Toyota Motor................... $ 181,844
2,000 Yamanouchi Pharmaceutical...... 41,825
-----------
1,518,215
-----------
MEXICO--1.6%
513 Cemex, Class B................. 2,267
7,700 Cifra, ADR..................... 112,766
3,539 Fomento Economico Mexico,
ADR.......................... 111,479
25,885 Kimberly-Clark Mexico, Series
A............................ 89,452
4,300 Telefonos De Mexico, ADR....... 206,669
-----------
522,633
-----------
NETHERLANDS--5.0%
5,579 Ing Groep...................... 365,683
7,170 Koninklijke.................... 276,265
7,445 Nutreco Holding................ 260,849
5,099 OCE............................ 217,294
7,170 TNT Post Groep................. 183,471
8,796 Verenigde Nederlandse.......... 319,870
-----------
1,623,432
-----------
RUSSIA--0.0%
2,300 JSC Surgutneftegaz, ADR........ 9,322
-----------
SPAIN--2.5%
9,344 Bancaria De Espana............. 209,608
9,537 Banco Central
Hispanoamericano............. 299,761
6,463 Telefonica De Espana........... 298,811
-----------
808,180
-----------
SWEDEN--2.5%
36,785 Nordbanken Holding............. 269,935
13,015 Skandia Forsakrings............ 186,115
11,155 ForeningSparbanken............. 335,825
-----------
791,875
-----------
SWITZERLAND--6.1%
47 Kuoni Reisen Holdings.......... 233,897
220 Nestle......................... 471,958
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------- -----------
<C> <S> <C>
SWITZERLAND--CONTINUED
260 Novartis....................... $ 433,706
91 Swiss Reinsurance.............. 230,703
46 UBS (Schw. Bank
Gesellschaft)................ 82,782
1,364 Union Bank Of Switzerland...... 508,424
-----------
1,961,470
-----------
TOTAL COMMON STOCKS
(COST $23,282,976)....................... 28,456,387
-----------
PREFERRED STOCKS--4.9%
GERMANY--4.9%
5,895 Henkel......................... 583,777
111 Porsche........................ 320,222
971 Sap Vorzug..................... 659,903
-----------
1,563,902
-----------
TOTAL PREFERRED STOCKS
(COST $951,047).......................... 1,563,902
-----------
RIGHTS--0.1%
GERMANY--0.1%
44 BMW............................ 44,347
-----------
TOTAL RIGHTS (COST $0)................... 44,347
-----------
TOTAL INVESTMENTS AT VALUE--93.4%
(COST $24,234,023) (a)................... 30,064,636
CASH AND OTHER ASSETS
NET OF LIABILITIES--6.6%............... 2,137,399
-----------
NET ASSETS--100.0%....................... $32,202,035
===========
</TABLE>
- ------------------------------
NOTES TO THE SCHEDULE OF INVESTMENTS:
(a) The aggregate identified cost for federal income tax purposes
is $24,234,023, resulting in gross unrealized appreciation and
depreciation of $6,153,758 and $323,145, respectively, and net
unrealized appreciation of $5,830,613.
ADR - American Depositary Receipt
CPS - Currency Protected Security.
The accompanying notes are an integral part of the financial statements.
4
<PAGE> 15
BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- -----------
<C> <S> <C>
COMMON STOCKS--58.4%
ADVERTISING--2.4%
12,700 WPP Group................... $ 854,075
-----------
AEROSPACE & DEFENSE--4.3%
10,700 Boeing...................... 476,819
6,000 Lockheed Martin............. 635,250
9,000 Rockwell International...... 432,563
-----------
1,544,632
-----------
AIRLINES--1.9%
8,000 AMR*........................ 666,000
-----------
BANKING--1.1%
2,700 Citicorp.................... 402,975
-----------
BEVERAGES, FOOD & TOBACCO--1.1%
7,916 Diageo, ADR................. 381,452
-----------
CHEMICALS--1.9%
12,300 Monsanto.................... 687,263
-----------
COMMUNICATIONS--1.6%
20,700 General Instrument.......... 562,781
-----------
COMPUTERS & INFORMATION--0.8%
6,500 EMC......................... 291,281
-----------
ELECTRONICS--4.9%
18,900 Adaptec *................... 270,506
5,000 Avnet....................... 273,438
6,700 Motorola.................... 352,169
20,300 Solectron................... 853,869
-----------
1,749,982
-----------
ENTERTAINMENT &
LEISURE--2.4%
14,900 Polaroid.................... 529,881
4,000 Time Warner................. 341,750
-----------
871,631
-----------
FINANCIAL SERVICES--6.4%
17,000 Countrywide Credit.......... 862,750
8,400 Federal Home Loan Mortgage
Corporation............... 395,325
24,800 Green Tree Financial........ 1,061,750
-----------
2,319,825
-----------
HEALTH CARE PROVIDERS--1.2%
14,100 Tenet Healthcare*........... 440,625
-----------
HEAVY INDUSTRY--3.2%
6,500 Caterpillar................. 343,688
20,000 Lucasvarity, ADR............ 796,250
-----------
1,139,938
-----------
INDUSTRIAL--0.7%
3,900 Armstrong World
Industries................ 262,763
-----------
INSURANCE--1.0%
8,000 Renaissancere Holdings...... 370,500
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- -----------
<S> <C> <C>
LODGING--1.8%
55,700 Homestead Village
Property*................. $ 661,438
-----------
MEDIA--BROADCASTING & PUBLISHING--1.0%
9,300 Reed International, ADR..... 345,263
-----------
METALS--1.8%
28,200 Allegheny Teledyne.......... 645,075
-----------
OIL & GAS--1.6%
8,300 Anadarko Petroleum.......... 557,656
-----------
PHARMACEUTICALS--2.4%
18,300 Millipore................... 498,675
10,800 Teva Pharmaceutical
Industries, ADR........... 380,025
-----------
878,700
-----------
REAL ESTATE--4.5%
14,700 Oakwood Homes............... 441,000
22,800 Security Capital Group,
Class B................... 607,050
22,600 Security Capital Industrial
Trust REIT................ 565,000
-----------
1,613,050
-----------
TELEPHONE SYSTEMS--2.2%
11,400 Sprint...................... 803,700
-----------
TEXTILES, CLOTHING & FABRICS--2.5%
34,200 Shaw Industries............. 602,775
8,700 Unifi....................... 297,975
-----------
900,750
-----------
TRANSPORTATION--5.7%
24,100 Air Express International... 644,675
29,600 Sabre Group Holding*........ 1,124,800
6,500 Union Pacific............... 286,813
-----------
2,056,288
-----------
TOTAL COMMON STOCKS (COST $18,934,138)... 21,007,643
-----------
PRINCIPAL
AMOUNT
- ----------
<C> <S> <C>
CORPORATE BONDS--$9.6%
BANKING--1.7%
$ 100,000 Bankers Trust, 7.125%,
03/15/06.................. $ 104,656
250,000 BB&T, 7.25%, 06/15/07....... 265,878
250,000 Chase Manhattan, 7.25%,
06/01/07.................. 266,202
760 Nykredit, 6.00%, 10/01/26... 110
-----------
1,136,779
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
5
<PAGE> 16
BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ---------- -----------
<C> <S> <C>
CORPORATE BONDS--CONTINUED
BEVERAGES, FOOD &
TOBACCO--0.5%
$ 160,000 Coca-Cola Femsa, 8.95%,
11/01/06.................. $ 162,204
-----------
CHEMICALS--0.3%
100,000 Belo, 6.875%, 06/01/02...... 102,750
-----------
COMPUTER SOFTWARE & PROCESSING--1.1%
400,000 Computer Associates
International, 6.375%,
04/15/05.................. 401,760
-----------
ELECTRIC UTILITIES--0.6%
215,000 Financiera Energy, 9.375%,
06/15/06.................. 211,549
-----------
FINANCIAL SERVICES--1.0%
250,000 Bonos Del Tesoro, 8.75%,
05/09/02.................. 241,786
120,000 Paine Webber Group, 7.00%,
03/01/00.................. 121,489
-----------
363,275
-----------
METALS--0.8%
300,000 AK Steel, 9.125%,
12/15/06.................. 313,500
-----------
MULTIPLE UTILITIES--0.9%
300,000 New Brunswick, 7.125%,
10/01/02.................. 313,410
-----------
OIL & GAS--0.4%
150,000 Petroleos Mexicanos, 8.85%,
09/15/07.................. 145,500
-----------
RETAILERS--0.9%
300,000 Rite Aid, 7.125%
01/15/07.................. 315,809
-----------
TELEPHONE SYSTEMS--1.4%
500,000 AT&T Capital, 6.23%,
09/24/99.................. 499,933
-----------
TOTAL CORPORATE BONDS (COST
$3,440,757).............................. 3,466,536
-----------
MORTGAGE BACKED SECURITIES--2.1%
20,000 Access Financial, 7.10%,
05/15/21.................. 20,826
35,000 Federal National Mortgage
Association, 6.15%,
10/25/07.................. 35,013
500,000 Federal National Mortgage
Association, 6.247%,
06/25/16.................. 500,855
44,500 General Electric Capital
Mortgage Service, 6.50%,
03/25/24.................. 44,785
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ---------- -----------
<C> <S> <C>
MORTGAGE BACKED SECURITIES--CONTINUED
$ 40,000 General Electric Capital
Mortgage Service, 6.50%,
11/25/23.................. $ 39,158
40,000 Merrill Lynch Mortgage
Investment, 7.089%,
12/26/25.................. 41,946
17,888 Merrill Lynch Mortgage
Investment, 7.65%,
01/15/12.................. 18,030
50,000 Prudential Home Mortgage
Securities, 6.25%,
04/25/24.................. 46,911
-----------
TOTAL MORTGAGE BACKED SECURITIES (COST
$733,757)................................ 747,524
-----------
MUNICIPAL BONDS--0.8%
40,000 Baltimore Community
Development Financing,
8.20%, 08/15/07........... 44,331
15,000 Colorado Housing Finance
Authority, 8.00%,
08/01/02.................. 14,998
65,000 New York City, New York,
General Obligation, 0.00%,
11/15/14.................. 55,288
10,000 New York City, New York,
General Obligation, 9.75%,
08/15/12.................. 10,618
40,000 New York State Housing
Finance Agency Service,
7.50%, 09/15/03........... 41,684
50,000 Ohio Housing Financial
Agency, 7.90%, 10/01/14... 51,706
30,000 Oklahoma City Airport,
9.40%, 11/01/10........... 34,874
40,000 Oregon State General
Obligation, 6.90%,
01/01/00.................. 40,045
-----------
TOTAL MUNICIPAL BONDS (COST $273,913)....
293,544
-----------
U.S. TREASURY OBLIGATIONS--23.2%
1,175,000 U.S. Treasury Bonds, 7.25%,
08/15/22.................. 1,406,325
1,025,000 U.S. Treasury Bonds, 6.75%,
08/15/26.................. 1,173,625
1,355,000 U.S. Treasury Bonds, 6.25%,
04/30/01.................. 1,379,982
900,000 U.S. Treasury Notes, 7.00%,
07/15/06.................. 983,250
495,000 U.S. Treasury Notes, 5.75%,
10/31/00.................. 497,475
840,000 U.S. Treasury Notes, 7.25%,
08/15/04.................. 914,287
</TABLE>
The accompanying notes are an integral part of the financial statements.
6
<PAGE> 17
BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ---------- -----------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS--CONTINUED
$ 700,000 U.S. Treasury Notes, 5.75%,
08/15/03.................. $ 707,438
1,015,000 U.S. Treasury Notes, 6.125%,
08/31/98.................. 1,016,269
250,000 U.S. Treasury Notes, 5.625%,
05/15/01.................. 250,703
-----------
TOTAL U.S. TREASURY OBLIGATIONS (COST
$8,144,903).............................. 8,329,354
-----------
SOVEREIGN GOVERNMENT OBLIGATIONS--2.8%
BRAZIL--0.9%
435,079 Republic of Brazil, 8.00%,
04/15/14.................. 319,239
-----------
SOUTH AFRICA--1.3%
3,180,000 Republic Of South Africa,
13.00%, 08/31/10.......... 476,558
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ---------- -----------
<C> <S> <C>
UNITED KINGDOM--0.6%
$ 105,000 UK Treasury 8.00%,
12/07/15.................. $ 219,593
-----------
TOTAL SOVEREIGN GOVERNMENT OBLIGATIONS
(COST $1,173,331)........................ 1,015,390
-----------
TOTAL INVESTMENTS AT VALUE--96.9% (COST
$32,700,799)(a).......................... $34,859,991
CASH AND OTHER ASSETS NET OF
LIABILITIES--3.1%........................ 1,100,386
-----------
NET ASSETS--100.0%....................... $35,960,377
===========
</TABLE>
- ------------------------------
NOTES TO THE SCHEDULE OF INVESTMENTS:
* Non-income producing security.
(a) The aggregate identified cost for federal income tax purposes
is $32,700,799, resulting in gross unrealized appreciation
and depreciation of $3,569,843 and $1,410,651, respectively,
and net unrealized appreciation of $2,159,192.
ADR - American Depositary Receipt
REIT - Real Estate Investment Trust
- --------------------------------------------------------------------------------
INCOME OPPORTUNITY PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ---------- -----------
<C> <S> <C>
CORPORATE BONDS--44.8%
BEVERAGES, FOOD &
TOBACCO--1.1%
$ 400,000 Richmont Marketing Special,
10.125%, 12/15/07......... $ 406,000
-----------
CHEMICALS--2.2%
300,000 Climachem, 10.75%,
12/01/07.................. 311,250
500,000 Trans-Resources, 10.75%,
03/15/08.................. 515,000
-----------
826,250
-----------
COMMERCIAL SERVICES--1.2%
450,000 Marsulex, 9.625%,
07/01/08.................. 456,750
-----------
COMMUNICATIONS--2.2%
400,000 Orion Network, 11.25%,
01/15/07.................. 450,000
350,000 Winstar Communications,
10.00%, 03/15/08.......... 347,375
-----------
797,375
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ---------- -----------
<C> <S> <C>
ENTERTAINMENT &
LEISURE--1.1%
$ 400,000 Regal Cinemas, 9.50%,
06/01/08.................. $ 402,500
-----------
ENVIRONMENTAL--0.7%
300,000 ATC Group Services, 12.00%,
01/15/08.................. 276,000
-----------
FINANCIAL SERVICES--1.7%
700,000 Salomon Brothers, 0.00%,
09/18/98.................. 644,000
-----------
FOOD RETAILERS--1.4%
500,000 Pantry, 10.25%,
10/15/07.................. 510,000
-----------
FOREST PRODUCTS &
PAPER--1.2%
800,000 SF Holdings Group (zero
coupon until 03/15/03,
12.75% thereafter),#0.00%,
03/15/08.................. 428,000
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
7
<PAGE> 18
INCOME OPPORTUNITY PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ---------- -----------
<C> <S> <C>
CORPORATE BONDS--CONTINUED
HOME CONSTRUCTION,
FURNISHINGS &
APPLIANCES--1.4%
$ 500,000 Imperial Home Decor Group,
11.00%, 03/15/08.......... $ 517,500
-----------
INDUSTRIAL--7.2%
450,000 Aqua Chem, 11.25%,
07/01/08.................. 457,875
500,000 Derby Cycle, 10.00%,
05/15/08.................. 497,500
880,000 Pen-Tab Industries, 10.875%,
02/01/07.................. 871,200
450,000 Samsonite, 10.75%,
06/15/08.................. 446,625
400,000 Walbro, 10.125%, 12/15/07... 394,000
-----------
2,667,200
-----------
MEDIA--BROADCASTING &
PUBLISHING--4.3%
450,000 Cumulus Media, 10.375%,
07/01/08.................. 456,750
500,000 Perry-Judd, 10.625%,
12/15/07.................. 525,000
600,000 Source Media, 12.00%,
11/01/04.................. 612,000
-----------
1,593,750
-----------
METALS--3.9%
500,000 Doe Run Resources, 11.25%,
03/15/05.................. 505,000
500,000 Elgin National Industries,
11.00%, 11/01/07.......... 530,000
400,000 Schuff Steel, 10.50%,
06/01/08.................. 396,000
-----------
1,431,000
-----------
OIL & GAS--0.8%
300,000 Panaco, 10.625%, 10/01/04... 301,500
-----------
REAL ESTATE--1.3%
500,000 BF Saul, 9.75%, 04/01/08.... 493,750
-----------
RESTAURANTS--1.2%
500,000 Planet Hollywood, 12.00%,
04/01/05.................. 452,500
-----------
RETAIL--3.8%
500,000 Big 5, 10.875%, 11/15/07.... 517,500
450,000 HMV Media Group, 10.25%,
05/15/08.................. 456,750
450,000 US Office Products, 9.75%,
06/15/08.................. 450,000
-----------
1,424,250
-----------
RETAILERS--0.8%
300,000 Frank's Nursery & Crafts,
10.25%, 03/01/08.......... 303,000
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ---------- -----------
<C> <S> <C>
TELEPHONE SYSTEMS--4.7%
$ 500,000 Amer Mobile/AMSC, 12.25%,
04/01/08.................. $ 470,000
450,000 Dobson Wireline, 12.25%,
06/15/08.................. 436,500
300,000 Iridium Capital, 14.00%,
07/15/05.................. 333,750
500,000 Long Distance International,
12.25%, 04/15/08.......... 495,000
-----------
1,735,250
-----------
TRANSPORTATION--2.6%
450,000 American Commercial Lines,
10.25%, 06/30/08.......... 455,625
500,000 Stena Line, 10.625%,
06/01/08.................. 506,250
-----------
961,875
-----------
TOTAL CORPORATE BONDS (COST
$16,550,755)............................. 16,628,450
-----------
CONVERTIBLE CORPORATE BONDS--1.1%
METALS--1.1%
$ 500,000 Nippon Denro Ispat, 3.00%,
04/01/01.................. 250,625
1,000,000 NTS Steel Group Public,
4.00%, 12/16/08++......... 140,000
-----------
390,625
-----------
TOTAL CONVERTIBLE CORPORATE BONDS (COST
$721,847)................................ 390,625
-----------
EUROBONDS--5.4%
ARGENTINA--1.8%
700,000 Telefonica De Argentina,
9.125%, 05/07/08.......... 659,750
-----------
CHINA--1.7%
700,000 Cathay International,
13.00%, 04/15/08.......... 616,000
-----------
ECUADOR--1.9%
750,000 Conecel Holdings, 14.00%,
10/01/00.................. 720,000
-----------
TOTAL EUROBONDS (COST $2,171,951)........ 1,995,750
-----------
SOVEREIGN GOVERNMENT OBLIGATIONS--16.0%
ARGENTINA--3.0%
1,200,000 Republic Of Argentina,
9.75%, 09/19/27........... 1,111,799
-----------
BULGARIA--2.1%
1,000,000 Government of Bulgaria,
6.563%, 07/28/24.......... 763,750
-----------
JAMAICA--1.9%
700,000 Government of Jamaica,
10.875%, 06/10/05......... 700,000
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
8
<PAGE> 19
INCOME OPPORTUNITY PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ---------- -----------
<C> <S> <C>
SOVEREIGN GOVERNMENT
OBLIGATIONS--CONTINUED
PERU--1.5%
$1,000,000 Government of Peru, FLIRB,
3.25%, 03/07/17........... $ 560,000
-----------
RUSSIA--3.3%
44,735 Russian Ian, 6.625%,
12/15/15.................. 24,772
2,550,000 Russia-Principal Loan,
6.719%, 12/15/20.......... 1,204,875
-----------
1,229,647
-----------
TURKEY--1.3%
500,000 Republic of Turkey, 10.00%,
09/19/07.................. 482,500
-----------
VENEZUELA--2.9%
1,285,710 Republic Of Venezuela FLIRB,
6.625%, 03/31/07.......... 1,060,711
-----------
TOTAL SOVEREIGN GOVERNMENT OBLIGATIONS
(COST $6,421,951)........................ 5,908,407
-----------
BRADY BONDS--21.5%
ARGENTINA--3.3%
1,377,525 Republic of Argentina, FRB,
6.625%, 03/31/05.......... 1,217,731
-----------
BRAZIL--4.1%
2,088,378 Republic of Brazil, 8.00%,
04/15/14.................. 1,537,568
-----------
BULGARIA--2.0%
1,050,000 Government of Bulgaria, IAB,
6.563%, 07/28/11.......... 748,781
-----------
ECUADOR--3.3%
2,225,340 Ecuador-Bearer-PDI, 3.25%,
02/27/15.................. 1,240,627
-----------
MEXICO--3.1%
1,400,000 Mexico Par Ser B Cum, 6.25%,
12/31/19.................. 1,159,375
-----------
NIGERIA--1.5%
750,000 Central Bank of Nigeria,
6.25%, 11/15/20........... 538,125
-----------
PANAMA--1.5%
750,000 Panama-Int Reduction Bond,
3.75%, 07/17/14........... 556,875
-----------
PERU--1.2%
700,000 Government of Peru, PDI
Bond, 4.00%, 03/07/17..... 427,000
-----------
VENEZUELA--1.5%
678,572 Republic of Venezuela, DCB,
6.625%, 12/18/07.......... 554,732
-----------
TOTAL BRADY BONDS (COST $8,413,615)...... 7,980,814
-----------
YANKEE BONDS--7.3%
BRAZIL--1.5%
600,000 Paging Network Do Brasil,
13.50%, 06/06/05.......... 513,750
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ---------- -----------
<C> <S> <C>
DOMINICAN REPUBLIC--1.3%
$ 500,000 Tricom, 11.375%, 09/01/04... $ 484,375
-----------
ECUADOR--1.0%
400,000 Conecel, 14.00%, 05/01/02... 384,000
-----------
HONG KONG--1.6%
850,000 GS Superhighway Holdings,
10.25%, 08/15/07.......... 604,563
-----------
INDONESIA--0.3%
500,000 FSW International, 12.50%,
11/01/06++................ 110,000
-----------
KOREA--1.6%
700,000 Korea Electric Power, 7.00%,
02/01/27.................. 592,336
-----------
TOTAL YANKEE BONDS (COST $3,389,710)..... 2,689,024
-----------
WARRANTS--0.0%
COMMUNICATIONS--0.0%
400 Loral Space &
Communications............ 6,000
-----------
TELEPHONE SYSTEMS--0.0%
300 Primus Telecommunications... 6,000
-----------
TOTAL WARRANTS (COST $0)................. 12,000
-----------
TOTAL INVESTMENTS AT VALUE--96.1% (COST
$37,669,829)(a).......................... 35,605,070
CASH AND OTHER ASSETS NET OF
LIABILITIES--3.9%........................ 1,459,343
-----------
NET ASSETS--100.0%....................... $37,064,413
===========
</TABLE>
- ------------------------------
NOTES TO THE SCHEDULE OF INVESTMENTS:
# Zero or step coupon.
++ Security currently in default of interest payment. The Portfolio is not
accruing stated interest.
(a) The aggregate identified cost for federal income tax purposes is
$37,669,829, resulting in gross unrealized appreciation and depreciation
of $401,025 and $2,465,784, respectively, and net unrealized
depreciation of $2,064,759.
DCB - Debt Conversion Bond
FLIRB - Front-Load Interest Reduction Bonds
FRB - Floating Rate Bond
IAB - Interest Arrears Bond
PDI - Past Due Interest
The accompanying notes are an integral part of the financial statements.
9
<PAGE> 20
STANDBY INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ---------- -----------
<C> <S> <C>
ASSET BACKED SECURITIES--4.6%
$1,000,000 Chase Manhattan Owner,
6.00%, 12/15/04........... $ 999,063
-----------
TOTAL ASSET BACKED SECURITIES (COST
$1,000,000).............................. 999,063
-----------
COMMERCIAL PAPER--80.2%
990,000 Autoliv, 5.66%, 07/10/98.... 977,392
1,000,000 Case Credit, 5.69%,
08/05/98.................. 985,775
910,000 Cincinnati Bell, 5.75%,
07/06/98.................. 906,366
1,000,000 Cinergy, 5.70%, 07/07/98.... 995,725
955,000 Comdisco, 5.71%, 08/10/98... 944,872
450,000 Commonwealth Edison, 5.75%,
07/09/98.................. 446,909
240,000 Commonwealth Edison, 5.74%,
07/09/98.................. 238,661
560,000 Conagra, 5.65%, 07/15/98.... 556,133
1,000,000 CVS, 5.73%, 07/06/98........ 994,748
990,000 Echlin, 5.77%, 07/13/98..... 979,369
270,000 Lockheed Martin, 5.79%,
09/11/98.................. 266,830
740,000 Mid Atlantic Fuel, 5.70%,
07/08/98.................. 733,673
665,000 Minnesota Power And Light,
5.83%, 07/14/98........... 662,738
1,000,000 Norfolk Southern, 5.70%,
07/21/98.................. 991,133
1,000,000 Occidental Petroleum, 5.70%,
07/24/98.................. 991,925
390,000 Ryder System, 5.70%,
07/21/98.................. 387,592
610,000 Ryder System, 5.75%,
07/21/98.................. 606,785
1,000,000 Safeway Stores, 5.69%,
07/08/98.................. 989,884
1,000,000 Testron Financial, 5.70%,
08/10/98.................. 990,658
1,000,000 Texas Utilities, 5.72%,
07/10/98.................. 994,439
1,005,000 UOP, 5.85%, 07/22/98........ 1,000,648
825,000 Williams Holdings, 5.71%,
07/08/98.................. 818,850
-----------
TOTAL COMMERCIAL PAPER (COST
$17,461,048)............................. 17,461,105
-----------
CORPORATE BONDS--9.5%
BANKING--3.2%
700,000 Credit Lyonnais, VR, 6.75%,
09/21/98.................. 698,250
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ---------- -----------
<C> <S> <C>
COMPUTER SOFTWARE &
PROCESSING--3.2%
$ 700,000 Comdisco, 6.47%, 09/30/98... $ 701,558
-----------
TELEPHONE SYSTEMS--3.1%
665,000 AT&T Capital, 5.87%,
08/28/98.................. 665,410
-----------
TOTAL CORPORATE BONDS (COST
$2,064,296).............................. 2,065,218
-----------
MORTGAGE BACKED SECURITIES--3.2%
700,000 CS First Boston, 6.32%,
02/25/18.................. 698,257
-----------
TOTAL MORTGAGE BACKED SECURITIES (COST
$698,469)................................ 698,257
-----------
U.S. GOVERNMENT & AGENCY
OBLIGATIONS--1.8%
100,000 Federal Home Loan Mortgage
Corporation, 5.50%,
07/02/98.................. 99,801
285,000 Federal Home Loan Mortgage
Corporation, 5.44%,
07/02/98.................. 284,311
-----------
TOTAL U.S. GOVERNMENT & AGENCY
OBLIGATIONS (COST $384,112).............. 384,112
-----------
TOTAL INVESTMENTS AT VALUE--99.3% (COST
$21,607,925) (a)......................... 21,607,755
CASH AND OTHER ASSETS
NET OF LIABILITIES--0.7%............... 153,954
-----------
NET ASSETS--100.0%....................... $21,761,709
===========
</TABLE>
- ------------------------------
NOTES TO THE SCHEDULE OF INVESTMENTS:
(a) The aggregate identified cost for federal income tax purposes
is $21,607,925, resulting in gross unrealized appreciation and
depreciation of $1,003 and $1,173, respectively, and net
unrealized depreciation of $170.
VR - Variable Rate Security. Interest rate shown reflects current
rate on instrument with variable rate.
The accompanying notes are an integral part of the financial statements.
10
<PAGE> 21
VALUE PLUS PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ -----------
<C> <S> <C>
COMMON STOCKS--92.2%
AEROSPACE & DEFENSE--1.5%
600 Boeing.......................... $ 26,738
-----------
AUTOMOTIVE--2.1%
475 ITT Industries.................. 17,753
300 Magna International, Class A.... 20,588
-----------
38,341
-----------
BANKING--8.0%
725 First American.................. 34,891
300 First Chicago................... 26,588
550 Key............................. 19,594
1,037 North Folk Bancorp.............. 25,342
775 SLM Holding..................... 37,975
-----------
144,390
-----------
BEVERAGES, FOOD & TOBACCO--9.4%
575 General Mills................... 39,316
550 McCormick & Company............. 19,645
450 McDonald's...................... 31,050
675 Pepsico......................... 27,802
125 Ralston-Ralston Purina Group.... 14,602
1,350 Sysco........................... 34,594
-----------
167,009
-----------
CHEMICALS--0.9%
225 Du Pont (E.I.) De Nemours....... 16,791
-----------
COMMUNICATIONS--0.8%
600 Scientific-Atlanta.............. 15,225
-----------
COMPUTER SOFTWARE &
PROCESSING--4.7%
600 Ceridian........................ 35,250
575 Computer Associates
International................. 31,948
525 First Data Corporation.......... 17,489
-----------
84,687
-----------
COMPUTERS & INFORMATION--3.9%
800 Compaq Computer................. 22,700
950 Sun Microsystems*............... 41,266
500 Western Digital................. 5,906
-----------
69,872
-----------
ELECTRIC UTILITIES--1.0%
425 CMS Energy...................... 18,700
-----------
ELECTRONICS--3.5%
500 Intel........................... 37,063
400 Thomas & Betts.................. 19,700
200 Xilinx *........................ 6,800
-----------
63,563
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ -----------
<C> <S> <C>
ENTERTAINMENT & LEISURE--2.8%
900 Mattel.......................... $ 38,081
125 The Walt Disney Company......... 13,133
-----------
51,214
-----------
FINANCIAL SERVICES--2.7%
800 Federal National Mortgage
Association................... 48,600
-----------
FOREST PRODUCTS & PAPER--3.7%
550 Kimberly-Clark.................. 25,231
675 Mead............................ 21,431
500 Tenneco......................... 19,031
-----------
65,693
-----------
HEALTH CARE PROVIDERS--3.2%
775 Health Care & Retirement........ 30,564
1,000 Healthsouth..................... 26,688
-----------
57,252
-----------
HEAVY INDUSTRY--1.1%
300 Applied Materials............... 8,850
250 Ingersoll-Rand.................. 11,016
-----------
19,866
-----------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES--5.2%
325 General Electric................ 29,575
275 Johnson Controls................ 15,727
975 Newell.......................... 48,563
-----------
93,865
-----------
INSURANCE--7.7%
300 Aetna........................... 22,838
575 Equitable Companies............. 43,089
350 Ohio Casualty................... 15,488
725 Reliastar Financial............. 34,800
375 Travelers Group................. 22,734
-----------
138,949
-----------
MEDICAL SUPPLIES--1.9%
450 Becton Dickinson & Company...... 34,931
-----------
OIL & GAS--8.5%
525 Mobil........................... 40,228
600 Noble Drilling.................. 14,438
300 Schlumberger.................... 20,494
550 Texaco.......................... 32,828
1,275 Williams Companies.............. 43,031
-----------
151,019
-----------
PHARMACEUTICALS--7.2%
675 Abott Laboratories.............. 27,591
550 Amgen........................... 35,956
275 Merck........................... 36,781
825 Sigma Aldrich................... 28,978
-----------
129,306
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
11
<PAGE> 22
VALUE PLUS PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ -----------
<C> <S> <C>
COMMON STOCKS--CONTINUED
RETAILERS--4.9%
600 Consolidated Stores *........... $ 21,750
425 Federated Department Stores..... 22,870
725 Wal-Mart Stores................. 44,044
-----------
88,664
-----------
TELEPHONE SYSTEMS--5.0%
600 Alltel.......................... 27,900
650 Bell Atlantic................... 29,656
825 SBC Communications.............. 33,000
-----------
90,556
-----------
TRANSPORTATION--2.5%
325 Trinity Industries.............. 13,488
300 US Freightways.................. 9,853
950 Wisconsin Central Transport *... 20,781
-----------
44,122
-----------
TOTAL COMMON STOCKS
(COST $1,654,336)........................ 1,659,353
-----------
TOTAL INVESTMENTS AT VALUE--92.2%
(COST $1,654,336) (a).................... 1,659,353
CASH AND OTHER ASSETS
NET OF LIABILITIES--7.8%............... 140,228
-----------
NET ASSETS--100.0%....................... $ 1,799,581
===========
</TABLE>
- ------------------------------
NOTES TO THE SCHEDULE OF INVESTMENTS:
* Non-income producing security.
(a) The aggregate identified cost for federal income tax purposes
is $1,654,336, resulting in gross unrealized appreciation and
depreciation of $47,700 and $42,683, respectively, and net
unrealized appreciation of $5,017.
The accompanying notes are an integral part of the financial statements.
12
<PAGE> 23
SELECT ADVISORS VARIABLE INSURANCE TRUST
Statement of Assets and Liabilities
June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EMERGING INTERNATIONAL INCOME STANDBY VALUE
GROWTH EQUITY BALANCED OPPORTUNITY INCOME PLUS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO(b)
----------- ------------- ----------- ----------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments, at value (Note 1) (a) $25,960,094 $30,064,636 $34,859,991 $35,605,070 $21,607,755 $1,659,353
Cash 4,183,302 3,795,577 908,178 1,146,772 2,162 116,375
Receivables for:
Investments sold 427,317 354,738 -- 189,297 -- --
Fund shares sold 42,238 56,059 79,724 94,307 47,815 22,207
Dividends and interest 31,950 119,910 296,410 909,502 129,347 1,848
Open forward currency contracts -- 1,392 70,754 -- -- --
Deferred organization expenses (Note
1) 5,437 5,437 5,437 5,437 5,477 --
Reimbursement receivable from Sponsor
(Note 3) -- 69,145 -- -- 93,604 5,936
----------- ----------- ----------- ----------- ----------- ----------
Total assets 30,650,338 34,466,894 36,220,494 37,950,385 21,886,160 1,805,719
----------- ----------- ----------- ----------- ----------- ----------
LIABILITIES:
Payable for investments purchased 1,720,211 2,222,359 -- 450,000 -- 7,081
Distribution payable -- -- 192,991 346,660 94,107
Payable to Sponsor (Note 3) 63,620 -- 39,190 65,610 -- --
Other accrued expenses 29,474 42,500 27,936 23,702 30,344 (943)
----------- ----------- ----------- ----------- ----------- ----------
Total liabilities 1,813,305 2,264,859 260,117 885,972 124,451 6,138
----------- ----------- ----------- ----------- ----------- ----------
NET ASSETS: $28,837,033 $32,202,035 $35,960,377 $37,064,413 $21,761,709 $1,799,581
=========== =========== =========== =========== =========== ==========
Shares outstanding 1,771,259 2,170,628 2,417,751 3,475,446 2,175,732 182,947
=========== =========== =========== =========== =========== ==========
Net asset value $ 16.28 $ 14.84 $ 14.87 $ 10.66 $ 10.00 $ 9.84
=========== =========== =========== =========== =========== ==========
$23,233,335 $24,234,023 $32,700,799 $37,669,829 $21,607,925 $1,654,336
=========== =========== =========== =========== =========== ==========
</TABLE>
Statement of Operations
For the six months ended June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME (NOTE 1)
Interest $ 72,146 $ 51,194 $ 415,609 $1,771,552 $ 568,623 $ 1,533
Dividends 87,229 285,499(c) 119,632 -- -- 1,814
----------- ----------- ----------- ----------- ----------- ----------
Total investment income 159,375 336,693 535,241 1,771,552 568,623 3,347
----------- ----------- ----------- ----------- ----------- ----------
EXPENSES:
Investment advisory fees (Note 2) 95,275 120,604 116,119 104,768 24,088 1,158
Administration, fund accounting,
and custody fees 51,666 100,100 50,828 44,198 47,136 1,661
Sponsor fee (Note 2) 23,817 25,390 29,028 32,235 19,270 309
Auditing fees 7,935 8,867 5,519 8,768 5,173 3,237
Printing 5,951 9,917 7,935 9,916 9,917 1,494
Legal fees 1,984 1,984 1,984 1,984 2,480 996
Amortization of organization
expenses (Note 1) 1,937 1,937 1,937 1,937 1,949 --
Trustee fees (Note 2) 1,262 950 956 1,502 1,285 124
Miscellaneous Fees (1,415) 1,084 636 580 984 199
----------- ----------- ----------- ----------- ----------- ----------
Total expenses 188,412 270,833 214,942 205,888 112,282 9,178
Waiver of Sponsor fee (Note 2) (23,817) (25,390) (29,028) (32,235) (19,270) (309)
Reimbursement from Sponsor (Note
3) (27,638) (86,753) (55,280) (36,650) (44,836) (7,094)
----------- ----------- ----------- ----------- ----------- ----------
Net expenses 136,957 158,690 130,634 137,003 48,176 1,775
----------- ----------- ----------- ----------- ----------- ----------
NET INVESTMENT INCOME 22,418 178,003 404,607 1,634,549 520,447 1,572
----------- ----------- ----------- ----------- ----------- ----------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments 1,263,075 609,198 477,948 258,024 (3,214) (1,149)
Foreign currency -- (31,316) 12,049 -- -- --
----------- ----------- ----------- ----------- ----------- ----------
1,263,075 577,882 489,997 258,024 (3,214) (1,149)
----------- ----------- ----------- ----------- ----------- ----------
Net change in unrealized
appreciation (depreciation) on:
Investments (92,915) 4,418,453 967,219 (1,835,019) 33 5,017
Foreign currency -- (390) 55,889 -- -- --
----------- ----------- ----------- ----------- ----------- ----------
(92,915) 4,418,063 1,023,108 (1,835,019) 33 5,017
----------- ----------- ----------- ----------- ----------- ----------
NET REALIZED AND UNREALIZED GAIN
(LOSS): 1,170,160 4,995,945 1,513,105 (1,576,995) (3,181) 3,868
----------- ----------- ----------- ----------- ----------- ----------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ 1,192,578 $ 5,173,948 $ 1,917,712 $ 57,554 $ 517,266 $ 5,440
=========== =========== =========== =========== =========== ==========
</TABLE>
- ------------------------------
(a) Cost of investments
(b) Portfolio commenced operations on May 1, 1998
(c) Net of foreign tax withholding of $42,731.
The accompanying notes are an integral part of the financial statements.
13
<PAGE> 24
SELECT ADVISORS VARIABLE INSURANCE TRUST
Statement of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EMERGING GROWTH INTERNATIONAL EQUITY
PORTFOLIO PORTFOLIO
--------------------------- ---------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE MONTHS ENDED FOR THE
JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED
1998 DECEMBER 31, 1998 DECEMBER 31,
(UNAUDITED) 1997 (UNAUDITED) 1997
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income $ 22,418 $ 33,227 $ 178,003 $ 101,104
Net realized gain (loss) 1,263,075 1,327,486 577,882 1,133,852
Net change in unrealized appreciation
(depreciation) (92,915) 2,197,739 4,418,063 577,604
----------- ----------- ----------- -----------
Net increase in net assets resulting from
operations 1,192,578 3,558,452 5,173,948 1,812,560
----------- ----------- ----------- -----------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income -- (30,394) -- (70,264)
Realized capital gains -- (1,012,609) -- (995,634)
Distribution in excess of capital gains
Distribution in excess of net realized investment
income -- -- -- --
----------- ----------- ----------- -----------
Total dividends and distributions -- (1,043,003) -- (1,065,898)
----------- ----------- ----------- -----------
SHARE TRANSACTIONS:
Proceeds from shares sold 9,393,235 12,538,066 7,808,159 10,372,680
Reinvestment of dividends and distributions -- 1,043,003 -- 1,065,898
Cost of shares redeemed (1,165,730) (2,450,901) (482,803) (1,240,789)
----------- ----------- ----------- -----------
Net increase from share transactions 8,227,505 11,130,168 7,325,356 10,197,789
----------- ----------- ----------- -----------
Total changes in net assets 9,420,083 13,645,617 12,499,304 10,944,451
----------- ----------- ----------- -----------
NET ASSETS
Beginning of period 19,416,950 5,771,333 19,702,731 8,758,280
----------- ----------- ----------- -----------
End of period $28,837,033 $19,416,950 $32,202,035 $19,702,731
=========== =========== =========== ===========
NET ASSETS CONSIST OF:
Paid-in capital $24,613,269 $16,385,765 $25,610,460 $18,285,104
Undistributed net investment income 25,636 3,217 208,480 (56,246)
Accumulated net realized gain (loss) on investments 1,471,370 208,293 549,242 58,471
Net unrealized appreciation (depreciation) of
investments 2,726,758 2,819,675 5,833,853 1,415,402
----------- ----------- ----------- -----------
Net assets applicable to shares outstanding $28,837,033 $19,416,950 $32,202,035 $19,702,731
=========== =========== =========== ===========
SHARES OUTSTANDING (NOTE 1):
Shares sold 583,159 892,720 565,036 858,524
Reinvestment of dividends -- 69,673 -- 89,196
----------- ----------- ----------- -----------
583,159 962,393 565,036 947,720
Shares redeemed (72,859) (174,447) (35,381) (98,268)
----------- ----------- ----------- -----------
Net increase 510,300 787,946 529,655 849,452
Beginning of period 1,260,959 473,013 1,640,973 791,521
----------- ----------- ----------- -----------
End of period 1,771,259 1,260,959 2,170,628 1,640,973
=========== =========== =========== ===========
</TABLE>
- ------------------------------
(a) The Portfolio commenced operations May 1, 1998.
The accompanying notes are an integral part of the financial statements.
14
<PAGE> 25
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BALANCED INCOME OPPORTUNITY STANDBY INCOME VALUE PLUS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------- ---------------------------- ---------------------------- ---------------
FOR THE SIX FOR THE SIX FOR THE SIX FOR THE
MONTHS ENDED FOR THE MONTHS ENDED FOR THE MONTHS ENDED FOR THE PERIOD ENDED(a)
JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED JUNE 30,
1998 DECEMBER 31, 1998 DECEMBER 31, 1998 DECEMBER 31, 1998
(UNAUDITED) 1997 (UNAUDITED) 1997 (UNAUDITED) 1997 (UNAUDITED)
------------ ------------ ------------ ------------ ------------ ------------ ---------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 404,607 $ 349,650 $ 1,634,549 $ 1,832,004 $ 520,447 $ 745,080 $ 1,572
489,997 1,435,996 258,024 191,074 (3,214) (8,448) (1,149)
1,023,108 475,638 (1,835,019) (528,803) 33 (382) 5,017
----------- ----------- ----------- ----------- ----------- ----------- ----------
1,917,712 2,261,284 57,554 1,494,275 517,266 736,250 5,440
----------- ----------- ----------- ----------- ----------- ----------- ----------
(352,041) (350,429) (1,449,017) (1,814,515) (520,447) (745,079) --
-- (1,314,627) -- (227,491) -- -- --
(496,586)
-- (5,844) -- -- -- -- --
----------- ----------- ----------- ----------- ----------- ----------- ----------
(352,041) (1,670,900) (1,449,017) (2,538,592) (520,447) (745,079) --
----------- ----------- ----------- ----------- ----------- ----------- ----------
12,642,900 13,559,392 11,495,118 19,127,540 9,868,843 19,020,895 1,794,432
159,050 1,670,900 1,102,357 2,538,593 506,922 743,655 --
(694,311) (228,301) (1,021,010) (2,010,537) (6,173,076) (11,298,653) (291)
----------- ----------- ----------- ----------- ----------- ----------- ----------
12,107,639 15,001,991 11,576,465 19,655,596 4,202,689 8,465,897 1,794,141
----------- ----------- ----------- ----------- ----------- ----------- ----------
13,673,310 15,592,375 10,185,002 18,611,279 4,199,508 8,457,068 1,799,581
----------- ----------- ----------- ----------- ----------- ----------- ----------
22,287,067 6,694,692 26,879,411 8,268,132 17,562,201 9,105,133 --
----------- ----------- ----------- ----------- ----------- ----------- ----------
$35,960,377 $22,287,067 $37,064,413 $26,879,411 $21,761,709 $17,562,201 $1,799,581
=========== =========== =========== =========== =========== =========== ==========
$33,029,648 $20,922,008 $39,182,450 $27,592,868 $21,774,652 $17,571,962 $1,794,141
47,096 14,838 212,031 543 -- 1,366 1,572
658,322 148,018 (265,073) (484,024) (12,773) (10,925) (1,149)
2,225,311 1,202,203 (2,064,995) (229,976) (169) (202) 5,017
----------- ----------- ----------- ----------- ----------- ----------- ----------
$35,960,377 $22,287,067 $37,064,413 $26,879,411 $21,761,710 $17,562,201 $1,799,581
=========== =========== =========== =========== =========== =========== ==========
862,220 967,476 1,030,466 1,651,438 986,200 1,900,755 182,977
10,696 120,806 98,966 224,056 50,684 74,322 --
----------- ----------- ----------- ----------- ----------- ----------- ----------
872,916 1,088,282 1,129,432 1,875,494 1,036,884 1,975,077 182,977
(48,064) (16,607) (93,059) (174,262) (616,877) (1,129,387) (30)
----------- ----------- ----------- ----------- ----------- ----------- ----------
824,852 1,071,675 1,036,373 1,701,232 420,007 845,690 182,947
1,592,899 521,224 2,439,073 737,841 1,755,724 910,034 --
----------- ----------- ----------- ----------- ----------- ----------- ----------
2,417,751 1,592,899 3,475,446 2,439,073 2,175,731 1,755,724 182,947
=========== =========== =========== =========== =========== =========== ==========
</TABLE>
The accompanying notes are an integral part of the financial statements.
15
<PAGE> 26
- --------------------------------------------------------------------------------
SELECT ADVISORS VARIABLE INSURANCE TRUST
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TOUCHSTONE EMERGING GROWTH PORTFOLIO
-------------------------------------------------------------------------------
FOR THE SIX
MONTHS ENDED FOR THE FOR THE FOR THE FOR THE
JUNE 30, YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED(a)
1998 DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1997 1996 1995 1994
------------ ------------ ------------ ------------ ---------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 15.40 $ 12.20 $11.27 $10.10 $10.00
------- ------- ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.01 0.03 0.04 0.11 0.04
Net realized and unrealized gain on
investments 0.87 4.06 1.22 1.87 0.06
------- ------- ------ ------ ------
Total from investment operations 0.88 4.09 1.26 1.98 0.10
------- ------- ------ ------ ------
LESS: DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income -- (0.03) (0.04) (0.15) --
Realized capital gains -- (0.86) (0.29) (0.66) --
------- ------- ------ ------ ------
TOTAL DIVIDENDS AND DISTRIBUTIONS -- (0.89) (0.33) (0.81) --
------- ------- ------ ------ ------
NET ASSET VALUE, END OF PERIOD $ 16.28 $ 15.40 $12.20 $11.27 $10.10
======= ======= ====== ====== ======
TOTAL RETURN (c) 5.71% 33.67% 11.16% 19.57% 1.00%
RATIOS AND SUPPLEMENTAL DATA (d):
Net assets at end of period (000's) $28,837 $19,417 $5,771 $2,615 $2,020
Ratios to average net assets:
Expenses 1.15% 1.15% 1.15% 1.15% 1.15%
Net investment income 0.19% 0.27% 0.50% 1.09% 3.67%
Expenses, without waiver and reimbursement 1.58% 2.19% 3.22% 3.73% 11.08%
Portfolio Turnover 32% 88% 89% 101% 0%
</TABLE>
<TABLE>
<CAPTION>
TOUCHSTONE BALANCED PORTFOLIO
-------------------------------------------------------------------------------
FOR THE SIX
MONTHS ENDED FOR THE FOR THE FOR THE FOR THE
JUNE 30, YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED(a)
1998 DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1997 1996 1995 1994
------------ ------------ ------------ ------------ ---------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 13.99 $ 12.84 $11.48 $10.17 $10.00
------- ------- ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.17 0.31 0.30 0.32 0.05
Net realized and unrealized gain (loss) on
investments 0.87 2.05 1.60 2.15 0.12
------- ------- ------ ------ ------
Total from investment operations 1.04 2.36 1.90 2.47 0.17
------- ------- ------ ------ ------
LESS: DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income (0.16) (0.32) (0.30) (0.37) --
Realized capital gains 0.00 (0.89) (0.24) (0.79) --
------- ------- ------ ------ ------
TOTAL DIVIDENDS AND DISTRIBUTIONS (0.16) (1.21) (0.54) (1.16) --
------- ------- ------ ------ ------
NET ASSET VALUE, END OF PERIOD $ 14.87 $ 13.99 $12.84 $11.48 $10.17
======= ======= ====== ====== ======
TOTAL RETURN (c) 7.44% 18.61% 16.78% 24.56% 1.70%
RATIOS AND SUPPLEMENTAL DATA (d):
Net assets at end of period (000's) $35,960 $22,287 $6,695 $2,895 $2,034
Ratios to average net assets:
Expenses 0.90% 0.85% 0.90% 0.90% 0.90%
Net investment income 2.79% 10.14% 2.76% 2.87% 4.26%
Expenses, without waiver and reimbursement 1.48% 1.28% 2.72% 3.46% 8.97%
Portfolio Turnover 16% 86% 75% 124% 3%
</TABLE>
- ------------------------------
(a) The Portfolio commenced operations on November 21, 1994.
(b) The Portfolio commenced operations on May 1, 1998.
(c) Total return is calculated without the effects of a sales charge. Total
returns would have been lower had certain expenses not been reimbursed or
waived during the period shown.
(d) Ratios are annualized. Portfolio turnover is not annualized.
The accompanying notes are an integral part of the financial statements.
16
<PAGE> 27
<TABLE>
<CAPTION>
TOUCHSTONE INTERNATIONAL EQUITY PORTFOLIO
---------------------------------------------------------------------------
FOR THE SIX
MONTHS ENDED FOR THE FOR THE FOR THE FOR THE
JUNE 30, YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED(a)
1998 DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1997 1996 1995 1994
------------ ------------ ------------ ------------ ---------------
<S> <C> <C> <C> <C> <C>
$ 12.01 $ 11.07 $ 10.00 $ 9.51 $10.00
-------- ------- ------- ------- ------
0.13 0.07 0.06 0.04 --
2.70 1.56 1.08 0.48 (0.49)
-------- ------- ------- ------- ------
2.83 1.63 1.14 0.52 (0.49)
-------- ------- ------- ------- ------
0.00 (0.05) (0.07) (0.03) --
0.00 (0.64) -- -- --
-------- ------- ------- ------- ------
0.00 (0.69) (0.07) (0.03) --
-------- ------- ------- ------- ------
$ 14.84 $ 12.01 $ 11.07 $ 10.00 $ 9.51
======== ======= ======= ======= ======
23.56% 14.76% 11.47% 15.45% (4.90)%
$ 32,202 $19,703 $ 8,758 $ 5,215 $4,757
1.25% 1.25% 1.25% 1.25% 1.25%
1.40% 0.71% 0.86% 0.46% 1.23%
2.13% 3.19% 3.03% 3.69% 5.58%
53% 149% 90% 86% 0%
<CAPTION>
TOUCHSTONE INCOME OPPORTUNITY PORTFOLIO
---------------------------------------------------------------------------
FOR THE SIX
MONTHS ENDED FOR THE FOR THE FOR THE FOR THE
JUNE 30, YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED(a)
1998 DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1997 1996 1995 1994
------------ ------------ ------------ ------------ ---------------
<S> <C> <C> <C> <C> <C>
$ 11.02 $ 11.21 $10.09 $ 9.42 $10.00
------- ------- ------ ------ ------
0.54 1.20 1.17 1.22 0.12
(0.42) 0.11 1.45 0.79 (0.70)
------- ------- ------ ------ ------
0.12 1.31 2.62 2.01 (0.58)
------- ------- ------ ------ ------
(0.48) (1.19) (1.17) (1.34) --
0.00 (0.31) (0.33) -- --
------- ------- ------ ------ ------
(0.48) (1.50) (1.50) (1.34) 0.00
------- ------- ------ ------ ------
$ 10.66 $ 11.02 $11.21 $10.09 $ 9.42
======= ======= ====== ====== ======
0.82% 12.03% 27.37% 23.35% (5.80)%
$37,064 $26,879 $8,268 $2,602 $1,883
0.85% 0.85% 0.85% 0.85% 0.85%
10.14% 10.93% 11.85% 12.81% 11.24%
1.28% 1.72% 2.85% 3.54% 11.56%
104% 189% 213% 104% 45%
</TABLE>
<TABLE>
<CAPTION>
TOUCHSTONE STANDBY INCOME PORTFOLIO TOUCHSTONE VALUE PLUS PORTFOLIO
--------------------------------------------------------------------------- -------------------------------
FOR THE SIX FOR THE
MONTHS ENDED FOR THE FOR THE FOR THE FOR THE PERIOD ENDED(b)
JUNE 30, YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED(a) JUNE 30,
1998 DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 1998
(UNAUDITED) 1997 1996 1995 1994 (UNAUDITED)
------------ ------------ ------------ ------------ --------------- -------------------------------
<S> <C> <C> <C> <C> <C> <C>
$ 10.00 $ 10.01 $10.02 $10.03 $10.00 $10.00
-------- ------- ------ ------ ------ ------
0.27 0.54 0.52 0.56 0.05 0.01
0.00 (0.01) 0.00 (0.01) 0.03 (0.17)
-------- ------- ------ ------ ------ ------
0.27 0.53 0.52 0.55 0.08 (0.16)
-------- ------- ------ ------ ------ ------
(0.27) (0.54) (0.52) (0.56) (0.05) --
-- -- -- -- -- --
-------- ------- ------ ------ ------ ------
(0.27) (0.54) (0.52) (0.56) (0.05) --
-------- ------- ------ ------ ------ ------
$ 10.00 $ 10.00 $10.02 $10.02 $10.03 $ 9.84
======== ======= ====== ====== ====== ======
2.71% 5.41% 5.18% 5.90% 0.30% (1.60)%
$ 21,762 $17,562 $9,105 $5,790 $5,013 $1,800
0.50% 0.50% 0.50% 0.50% 0.50% 1.15%
5.40% 5.42% 5.15% 5.59% 4.90% 1.02%
1.17% 1.48% 1.54% 1.73% 3.67% 5.95%
245% 251% 143% 159% 56% 3%
</TABLE>
The accompanying notes are an integral part of the financial statements.
17
<PAGE> 28
SELECT ADVISORS VARIABLE INSURANCE TRUST
Notes to Financial Statements (unaudited)
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Select Advisors Variable Insurance Trust (the "Trust") is registered under
the Investment Company Act of 1940, as amended, as an open-end management
investment company, and was organized as a Massachusetts business trust on
February 7, 1994. The Trust consists of six Portfolios: Emerging Growth
Portfolio, International Equity Portfolio, Balanced Portfolio, Income
Opportunity Portfolio, Standby Income Portfolio and Value Plus Portfolio
("Portfolios").
The Declaration of Trust permits the Trust to issue an unlimited number of
shares of beneficial interest. The Trust offers shares of beneficial interest of
each portfolio to separate accounts of Western-Southern Life Assurance Company
("Western-Southern") as a funding vehicle for certain variable annuity contracts
issued by Western-Southern through the separate accounts.
As of June 30, 1998, Touchstone Advisors, Inc., a subsidiary of
Western-Southern, and Western-Southern owned 100% of the outstanding shares of
the Trust.
The accounting policies are in conformity with generally accepted
accounting principles ("GAAP") for investment companies. The preparation of
financial statements in conformity with GAAP requires management to make
estimates and assumptions that affect the related amounts and disclosures in the
financial statements. Actual results could differ from these estimates.
The following is a summary of the significant accounting policies of the
Portfolios:
a) Investment Valuation. Securities for which market quotations are
readily available are valued at the last sale price on a national securities
exchange, or, in the absence of recorded sales, at the readily available closing
bid price on such exchanges, or at the quoted bid price in the over-the-counter
market. Securities quoted in foreign currencies are translated into U.S. Dollars
at the current exchange rate. Debt securities are valued by a pricing service
which determines valuations based upon market transactions for normal,
institutional-size trading units of similar securities. Securities or other
assets for which market quotations are not readily available are valued at fair
value in good faith in accordance with procedures established by the Trustees
using prices based upon yields or prices of securities of comparable quality,
coupon, maturity and type; indications as to values from dealers and general
market conditions. All debt securities with a remaining maturity of less than 60
days are valued at amortized cost, which approximates market.
b) Risks Associated with Foreign Investments. Some of the Portfolios may
invest in the securities of foreign issuers. Investing in securities issued by
companies whose principal business activities are outside the United States may
involve significant risks not present in domestic investments. For example,
there is generally less publicly available information about foreign companies,
particularly those not subject to the disclosure and reporting requirements of
the U.S. securities laws. Foreign issuers are generally not bound by uniform
accounting, auditing, and financial reporting requirements and standards of
practice comparable to those applicable to domestic issuers. Investments in
foreign securities also involve the risk of possible adverse changes in
investment or exchange control regulations, expropriation or confiscatory
taxation, limitation on the removal of funds or other assets of the Portfolio,
political or financial instability or diplomatic and other developments which
could affect such investments. Foreign stock markets, while growing in volume
and sophistication, are generally not as developed as those in the United
States, and securities of some foreign issuers (particularly those located in
developing countries) may be less liquid and more volatile than securities of
comparable U.S. companies. In general, there is less overall governmental
supervision and regulation of foreign securities markets, broker-dealers, and
issuers than in the United States.
c) Foreign Currency Translation. The accounting records of the Portfolios
are maintained in U.S. dollars. The market value of investment securities, other
assets and liabilities and forward currency contracts denominated in foreign
currencies are translated into U.S. dollars at the prevailing exchange rates at
the end
18
<PAGE> 29
SELECT ADVISORS VARIABLE INSURANCE TRUST
Notes to Financial Statements (continued)
- --------------------------------------------------------------------------------
of the period. Purchases and sales of securities, income receipts, and expense
payments are translated at the exchange rate prevailing on the respective dates
of such transactions. Reported net realized gains and losses on foreign currency
transactions represent net gains and losses from sales and maturities of forward
currency contracts, disposition of foreign currencies, currency gains and losses
realized between the trade and settlement dates on securities transactions and
the difference between the amount of net investment income accrued and the U.S.
dollar amount actually received. The effects of changes in foreign currency
exchange rates on investments in securities are not segregated in the statements
of operations from the effects of changes in market prices of these securities,
but are included with the net realized and unrealized gain or loss on
investments.
d) Investment Income. Dividend income is recorded on the ex-dividend date
for such dividend except that certain dividends from foreign securities where
the ex-dividend date has passed are recorded upon notification of the
ex-dividend date. Interest income, which includes the amortization of premium
and accretion of discount, if any, is recorded on an accrual basis. Dividend and
interest income is recorded net of foreign taxes where recovery of such taxes is
not assured.
e) Dividends and Distributions. Distributions to shareholders for the
Emerging Growth Portfolio, International Equity Portfolio, Balanced Portfolio,
Income Opportunity Portfolio, and Value Plus Portfolio are recorded by the
Portfolio on the ex-dividend date. It is the policy of the Standby Income
Portfolio to record income dividends daily and distribute them monthly.
Distributions to shareholders of net realized capital gains, if any, are
declared and paid annually.
Income and capital gain distributions are determined in accordance with
income tax regulations which may differ from GAAP. Permanent book and tax basis
differences relating to shareholder distributions will result in
reclassifications to paid in capital. These differences which may result in
distribution reclassifications are primarily due to differing treatments for
foreign currency transactions, passive foreign investment companies (PFIC), and
losses deferred due to wash sales, paydown gains and losses on certain
securities and excise tax regulations. Undistributed net investment income and
accumulated net realized gains and losses may include temporary book and tax
basis differences which will reverse in a subsequent period. Any taxable income
or gain remaining at fiscal year end is distributed in the following year.
f) Federal Taxes. Each Portfolio of the Trust is treated as a separate
entity for federal income tax purposes. Each Portfolio's policy is to comply
with the provisions of the Internal Revenue Code of 1986, as amended, applicable
to regulated investment companies and to distribute substantially all its
income, including net realized capital gains, if any, within the prescribed time
periods. Accordingly, no provision for a federal income tax is necessary. The
Standby Income Portfolio has the following capital loss carryforwards that
expire as noted below:
<TABLE>
<S> <C> <C>
December 31, 2003 $1,112
December 31, 2005 $3,712
</TABLE>
Additionally, at December 31, 1997, the following Portfolios have net
capital losses attributable to security transactions incurred after October 31,
1997, which are treated as arising on the first day of the Portfolio's next
taxable year.
<TABLE>
<S> <C> <C>
International Equity Portfolio $ 22,354
Balanced Portfolio $ 37,583
Income Opportunity Portfolio $490,314
Standby Income Portfolio $ 6,101
</TABLE>
g) Forward Currency Contracts. Each Portfolio may enter into forward
foreign currency contracts to protect securities and related receivables and
payables against fluctuations in foreign currency rates. A
19
<PAGE> 30
SELECT ADVISORS VARIABLE INSURANCE TRUST
Notes to Financial Statements (continued)
- --------------------------------------------------------------------------------
forward foreign currency contract is an agreement to buy or sell currencies of
different countries on a specified future date at a specified rate.
Risks associated with such contracts include the movement in the value of
the foreign currency relative to the U.S. dollar and the ability of the
counterparty to perform. The market value of the contract will fluctuate with
changes in currency exchange rates. Contracts are valued daily based on
procedures established by and under the general supervision of the Trustees of
the Trust and the change in the market value is recorded by the Portfolios as
unrealized appreciation or depreciation of forward foreign currency contracts.
As of June 30, 1998, the following Funds had the following open forward currency
contracts:
<TABLE>
<CAPTION>
CONTRACTS TO IN EXCHANGE UNREALIZED
FUND NAME MATURITY DELIVER/RECEIVE FOR VALUE GAIN/LOSS
--------- ------------- --------------- --------------- -------- ----------
<S> <C> <C> <C> <C> <C>
INTERNATIONAL EQUITY
PORTFOLIO
Purchases 7/31/98 $ 452,735 FRF 2,739,735 $454,374 $ 1,639
7/6/98 67,096 GBP 40,264 67,218 122
Sales 7/2/98 GBP 4,859 $ 8,068 8,114 (46)
7/6/98 GBP 100,356 167,234 167,539 (305)
7/1/98 SEK 152,930 19,167 19,184 (18)
-------
$ 1,392
=======
BALANCED PORTFOLIO
Sales 9/22/98 GBP 117,800 $ 197,551 $195,792 $ 1,759
9/9/98 SAR 3,295,000 624,644 555,649 68,995
-------
$70,754
=======
</TABLE>
FRF = French Franc, GBP = Great British Pound, SAR = South African Rand,
SEK = Swedish Krona.
h) Organization Expense. Organization expenses were deferred and are
being amortized by each Portfolio on a straight-line basis over a five-year
period from commencement of operations. The amount paid by the Trust on any
redemption by Touchstone Advisors, Inc. or, any other then-current holder of the
organizational seed capital shares ("Initial Shares") of the Portfolio, will be
reduced by a portion of any unamortized organization expenses of the Portfolio
determined by the proportion of the number of the Initial Shares of the
Portfolio redeemed to the number of the Initial Shares of the Portfolio
outstanding after taking into account any prior redemptions of the Initial
Shares of the Portfolio.
i) Repurchase Agreements. Each Portfolio may invest in repurchase
agreements, which are agreements pursuant to which securities are acquired by
the Portfolio from a third party with the commitment that they will be
repurchased by the seller at a fixed price on an agreed upon date. Each
Portfolio may enter into repurchase agreements with banks or lenders meeting the
creditworthiness standards established by the Trust Board of Trustees. The
Portfolio, through its custodian, receives as collateral, delivery of the
underlying securities, whose market value is required to be at least 102% of the
resale price at the time of purchase. The resale price reflects the purchase
price plus an agreed upon rate of interest. In the event of counterparty default
the Portfolio has the right to use the collateral to offset losses incurred.
j) Securities Transactions. Securities transactions are recorded on a
trade date basis. For financial and tax reporting purposes, realized gains and
losses are determined on the basis of specific lot identification.
2. TRANSACTIONS WITH AFFILIATES
a) Sponsor. Touchstone Advisors, Inc. ("Sponsor"), a subsidiary of
Western-Southern, as sponsor to the Trust, pursuant to a Sponsor Agreement,
provides oversight of the various service providers to the Trust, including the
Trust's administrator, custodian and transfer agent. The Sponsor reserves the
right to receive a sponsor fee from each Portfolio on an annual basis up to
0.20% of average daily net assets of that
20
<PAGE> 31
SELECT ADVISORS VARIABLE INSURANCE TRUST
Notes to Financial Statements (continued)
- --------------------------------------------------------------------------------
Portfolio. The Sponsor Agreement may be terminated by the Sponsor or by the
Trust on not less than 30 days prior written notice. The Sponsor has advised the
Trust that it will waive all fees under the Sponsor Agreement through December
31, 1998.
b) Investment Advisor. The Trust also has an investment advisory
agreement with the Sponsor. Under the terms of the investment advisory
agreement, each Portfolio pays a fee that is computed daily and paid monthly.
For the period ended June 30, 1998, each Portfolio incurred investment advisory
fees equal on an annual basis to the following percentages of the average daily
net assets of the Portfolio.
<TABLE>
<CAPTION>
EMERGING INTERNATIONAL INCOME STANDBY VALUE
GROWTH EQUITY BALANCED OPPORTUNITY INCOME PLUS
-------- ------------- -------- ----------- ------- -----
<S> <C> <C> <C> <C> <C> <C>
Rate 0.80% 0.95% 0.80% 0.65% 0.25% .75%
</TABLE>
Fort Washington Investment Advisors, Inc., an affiliate of the Sponsor, is
the sub-advisor for the Standby Income Portfolio and the Value Plus Portfolio.
c) Trustees. Each Trustee who is not an "interested person," (as defined
in the Act), of the Trust, receives an aggregate of $5,000 annually, plus $1,000
per meeting attended, as well as reimbursement for reasonable out-of-pocket
expenses, from the Trust and from Select Advisors Trust A, Select Advisors Trust
C, and Select Advisors Portfolios, which are included in separate reports. For
the six months ended June 30, 1998, the Trust incurred $6,079 in Trustee fees.
3. EXPENSE REIMBURSEMENTS
The Sponsor has agreed to waive fees and reimburse each Portfolio so that,
following such waiver of fees and reimbursement, the aggregate total operating
expenses (excluding interest, taxes, brokerage commissions and extraordinary
expenses) of each Portfolio are not greater, on an annualized basis, than the
percentage of average daily net assets of the Portfolio listed below.
<TABLE>
<CAPTION>
EMERGING INTERNATIONAL INCOME STANDBY VALUE
GROWTH EQUITY BALANCED OPPORTUNITY INCOME PLUS
-------- ------------- -------- ----------- ------- ------
<S> <C> <C> <C> <C> <C> <C>
Voluntary expense limit 1.15% 1.25% 0.90% 0.85% 0.50% 1.15%
Amount of Reimbursement $27,638 $86,753 $55,280 $36,650 $44,836 $7,094
</TABLE>
The Sponsor has advised the Trust that it will continue to waive fees and
reimburse each Portfolio as described above through December 31, 1998.
4. PURCHASES AND SALES OF INVESTMENT SECURITIES
Investment transactions (excluding purchases and sales of U.S. government
obligations, U.S. government agency obligations and short-term investments) for
the period ended June 30, 1998 were as follows:
<TABLE>
<CAPTION>
EMERGING INTERNATIONAL INCOME STANDBY VALUE
GROWTH EQUITY BALANCED OPPORTUNITY INCOME PLUS
----------- ------------- ----------- ----------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Cost of purchases $14,508,860 $19,116,611 $12,777,366 $42,960,044 $1,000,000 $1,695,719
Proceeds from sales 6,888,592 12,690,639 4,368,597 31,904,689 2,122,365 40,234
</TABLE>
Purchase and sales of U.S. government obligations for the period ended June
30, 1998 were as follows:
<TABLE>
<CAPTION>
BALANCED STANDBY INCOME
---------- --------------
<S> <C> <C>
Cost of purchases $3,756,086 $7,259,712
Proceeds from sales 0 5,551,244
</TABLE>
21
<PAGE> 32
[This Page Intentionally Left Blank]
<PAGE> 33
TOUCHSTONE
VARIABLE ANNUITY
TOUCHSTONE
SELECT
VARIABLE ANNUITY
SELECT ADVISORS PORTFOLIOS
* Growth & Income Portfolio II
* Bond Portfolio II
SEMIANNUAL REPORT
JUNE 30, 1998
<PAGE> 34
[This Page Intentionally Left Blank]
<PAGE> 35
GROWTH & INCOME PORTFOLIO II
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ -----------
<C> <S> <C>
COMMON STOCKS--95.3%
AEROSPACE & DEFENSE--2.5%
8,300 Lockheed Martin................. $ 878,763
16,700 Rockwell International.......... 802,644
-----------
1,681,407
-----------
AUTOMOTIVE--7.8%
25,300 Dana............................ 1,353,550
36,400 Ford Motor...................... 2,147,600
13,800 Goodyear Tire & Rubber.......... 889,238
16,566 Meritor Automotive.............. 397,584
10,200 Paccar.......................... 532,950
-----------
5,320,922
-----------
BANKING--12.7%
82 Associates First Capital........ 6,304
13,424 Banc One........................ 749,249
4,900 Bankers Trust................... 568,706
24,000 Chase Manhattan................. 1,811,991
13,200 Firstar......................... 501,600
11,600 Fleet Financial Group........... 968,600
6,600 J P Morgan...................... 773,025
18,700 Key............................. 666,188
12,900 Nationsbank..................... 986,850
22,500 North Folk Bancorp.............. 549,844
6,640 Old Kent Financial.............. 238,832
20,600 US Bancorp...................... 885,800
-----------
8,706,989
-----------
BEVERAGES, FOOD & TOBACCO--5.0%
28,000 Heinz (H. J.)................... 1,571,500
21,500 Philip Morris................... 846,563
12,400 Unilever, ADR................... 978,825
-----------
3,396,888
-----------
CHEMICALS--7.1%
5,300 Akzo, ADR....................... 587,638
9,000 Betzdearborn.................... 379,688
6,800 Dow Chemical.................... 657,475
8,200 Eastman Chemical................ 510,450
15,300 Imperial Chemical Industries,
ADR........................... 986,850
27,600 Lyondell Petro Chemical......... 840,075
10,400 Olin............................ 433,550
16,100 Witco........................... 470,925
-----------
4,866,651
-----------
COMMERCIAL SERVICES--5.8%
20,500 Browning-Ferris Industries...... 712,375
24,300 Cinergy......................... 850,500
16,900 Duke Energy..................... 1,001,325
27,300 Pacificorp...................... 617,663
21,500 Unicom.......................... 753,844
-----------
3,935,707
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ -----------
<C> <S> <C>
COSMETICS & PERSONAL CARE--1.3%
11,700 Avon Products................... $ 906,750
-----------
ELECTRIC UTILITIES--2.3%
8,900 CMS Energy...................... 391,600
30,100 Southern........................ 833,394
10,500 Wisconsin Energy................ 318,938
-----------
1,543,932
-----------
ELECTRONICS--0.7%
9,500 Thomas & Betts.................. 467,875
-----------
FINANCIAL SERVICES--3.4%
4,100 Federal National Mortgage
Association................... 249,075
28,346 First Union..................... 1,651,155
17,500 Nationwide Health Properties.... 417,813
-----------
2,318,043
-----------
FOREST PRODUCTS & PAPER--5.4%
9,300 Boise Cascade................... 304,575
9,500 Georgia-Pacific (Timber
Group)........................ 219,094
13,700 Georgia-Pacific................. 807,444
20,000 Mead............................ 635,000
10,300 Temple-Inland................... 554,913
11,700 Westvaco........................ 330,525
17,700 Weyerhauser..................... 817,519
-----------
3,669,070
-----------
HEAVY INDUSTRY--0.4%
5,500 Caterpillar..................... 290,813
-----------
HOUSEHOLD PRODUCTS--1.4%
28,200 Corning......................... 979,950
-----------
INSURANCE--4.6%
10,900 Exel............................ 848,156
12,200 Lincoln National................ 1,114,775
6,100 Mid Ocean....................... 478,850
14,800 Safeco.......................... 672,475
-----------
3,114,256
-----------
METALS--2.2%
28,100 Allegheny Teledyne.............. 642,788
19,800 Freeport McMoran Copper & Gold.. 282,150
19,900 Oregon Steel Mills.............. 370,638
3,500 Phelps Dodge.................... 200,156
-----------
1,495,732
-----------
OFFICE EQUIPMENT--2.5%
16,700 Xerox........................... 1,697,138
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
1
<PAGE> 36
GROWTH & INCOME PORTFOLIO II
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ -----------
<C> <S> <C>
COMMON STOCKS--CONTINUED
OIL & GAS--8.9%
8,200 Atlantic Richfield.............. $ 640,625
11,200 British Petroleum, ADR.......... 988,400
15,700 Elf Aquitaine, ADR.............. 1,114,700
18,700 Texaco.......................... 1,116,156
11,800 Total S.A., ADR................. 771,425
27,100 Williams Companies.............. 914,625
18,100 YPF Sociedad Anonima, ADR....... 544,131
-----------
6,090,062
-----------
PHARMACEUTICALS--5.5%
25,000 American Home Products.......... 1,293,750
10,500 Bristol-Myers Squibb............ 1,206,844
11,900 Smithkline Beecham, ADR......... 719,950
12,600 Zeneca Group, ADR............... 552,825
-----------
3,773,369
-----------
REAL ESTATE--0.4%
10,000 Arden Realty Group.............. 258,750
-----------
RETAILERS--4.1%
14,200 J.C. Penney..................... 1,026,838
6,100 May Department Stores........... 399,550
10,600 Rite Aid........................ 398,163
15,700 Sears Roebuck................... 958,681
-----------
2,783,232
-----------
TELEPHONE SYSTEMS--9.1%
17,400 Alltel.......................... 809,100
31,200 Bell Atlantic................... 1,423,500
14,400 Bellsouth....................... 966,600
25,300 Frontier........................ 796,950
19,600 GTE............................. 1,090,250
15,600 Sprint.......................... 1,099,800
-----------
6,186,200
-----------
TRANSPORTATION--2.2%
11,300 CSX............................. 514,150
20,800 General Dynamics................ 967,200
-----------
1,481,350
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ -----------
<C> <S> <C>
TOTAL COMMON STOCKS (COST $59,743,585)... $64,965,086
-----------
INVESTMENT TRUSTS--0.1%
900 S&P 500 Depository Receipt...... 101,981
-----------
TOTAL INVESTMENT TRUSTS (COST
$101,615)................................ 101,981
-----------
REAL ESTATE INVESTMENT TRUSTS--2.6%
FINANCIAL SERVICES--1.7%
5,600 Equity Residential Properties
Trust......................... 265,650
8,300 Meditrust....................... 231,881
24,000 Security Capital Industrial
Trust......................... 600,000
-----------
1,097,531
-----------
REAL ESTATE--0.9%
6,800 Boston Properties............... 234,600
14,300 Equity Office Properties........ 405,763
-----------
640,363
-----------
TOTAL REAL ESTATE INVESTMENT TRUSTS (COST
$1,802,663).............................. 1,737,894
-----------
TOTAL INVESTMENTS AT VALUE--98.0%
(COST $61,647,863)(a).................... 66,804,961
CASH AND OTHER ASSETS
NET OF LIABILITIES--2.0%............... 1,346,173
-----------
NET ASSETS--100.0% $68,151,134
===========
</TABLE>
- ------------------------------
NOTES TO THE SCHEDULE OF INVESTMENTS:
(a) The aggregate identified cost for federal income tax purposes
is $61,647,863, resulting in gross unrealized appreciation and
depreciation of $7,736,983 and $2,579,885, respectively, and
net unrealized appreciation of $5,157,098.
ADR - American Depositary Receipt
The accompanying notes are an integral part of the financial statements.
2
<PAGE> 37
BOND PORTFOLIO II
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ---------- -----------
<C> <S> <C>
ASSET BACKED--4.5%
$ 900,000 Chemical Credit Card Master
Trust, 5.98%, 9/15/08..... $ 906,336
247,218 Navistar Financial, 6.35%,
11/15/02.................. 248,281
250,000 World Omni Auto Lease,
6.18%, 11/25/03........... 250,425
-----------
1,405,042
-----------
TOTAL ASSET BACKED SECURITIES (COST
$1,336,226).............................. 1,405,042
-----------
CORPORATE BONDS--32.7%
AUTOMOTIVE--0.7%
200,000 Ford Motor, 6.75%,
05/15/05.................. 206,525
-----------
BANKING--3.8%
500,000 Bank of New York, 8.50%,
12/15/04.................. 561,800
500,000 Credit Suisse, 7.90%,
05/01/07.................. 534,592
78,063 Mercantile Safe Deposit+,
12.125%, 01/02/01......... 80,644
-----------
1,177,036
-----------
COMMERCIAL SERVICES--3.3%
1,000,000 PSE&G Capital, 6.74%,
10/23/01.................. 1,013,300
-----------
COMMUNICATIONS--1.6%
500,000 Harris Corporation, 6.65%,
08/01/06.................. 513,742
-----------
ELECTRIC UTILITIES--8.0%
500,000 AES, 8.50%, 11/01/07........ 505,000
1,000,000 Consumers Energy, 6.50%,
06/15/18.................. 993,130
1,000,000 Niagra Mohawk Power, 7.125%,
07/01/01.................. 998,750
-----------
2,496,880
-----------
FINANCIAL SERVICES--4.6%
350,000 First Union, 6.55%,
10/15/35.................. 362,005
1,000,000 Safeco Capital, 8.072%,
07/15/37.................. 1,069,251
-----------
1,431,256
-----------
FOREST PRODUCTS &
PAPER--2.0%
250,000 Georgia Pacific, 9.50%,
05/15/22.................. 283,472
350,000 Sweetheart Cup, 9.625%,
09/01/00.................. 346,500
-----------
629,972
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ---------- -----------
<C> <S> <C>
HEALTH CARE PROVIDERS--2.6%
$ 850,000 Columbia/HCA Health, 6.73%,
07/15/45.................. $ 810,302
-----------
MEDIA--BROADCASTING &
PUBLISHING--0.9%
250,000 News America Holdings,
10.125%, 10/15/12......... 293,564
-----------
TELEPHONE SYSTEMS--3.5%
1,000,000 Worldcom, 8.875%, 01/15/06.. 1,082,500
-----------
TRANSPORTATION--1.7%
500,000 CSX, 7.45%, 05/01/07........ 536,637
-----------
TOTAL CORPORATE BONDS (COST
$9,991,547).............................. 10,191,714
-----------
CONVERTIBLE CORPORATE BONDS--2.0%
HEALTH CARE PROVIDERS--2.0%
750,000 Tenet Healthcare, 6.00%,
12/01/05.................. 639,375
-----------
TOTAL CONVERTIBLE CORPORATE BONDS (COST
$641,570)................................ 639,375
-----------
MORTGAGE BACKED SECURITIES--26.5%
137,925 Chase Manhattan Grantor
Trust, 5.20%, 02/15/02.... 137,328
379,582 Federal Government Loan
Mortgage Corporation,
7.00%, 12/01/25........... 385,370
388,256 Federal Government Loan
Mortgage Corporation,
7.00%, 10/01/25........... 394,176
2,000,000 Federal Home Loan Bank,
5.625%, 03/19/01.......... 1,998,096
2,000,000 Federal National Mortgage
Association, 5.75%,
02/15/08.................. 1,997,276
1,250,000 Federal National Mortgage
Association, 5.75%,
04/15/03.................. 1,253,349
8,633 Government National Mortgage
Association, 7.50%,
07/15/23.................. 8,867
577,390 Government National Mortgage
Association, 7.50%,
12/15/25.................. 593,089
</TABLE>
The accompanying notes are an integral part of the financial statements.
3
<PAGE> 38
BOND PORTFOLIO II
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ---------- -----------
<C> <S> <C>
MORTGAGE BACKED SECURITIES--CONTINUED
$ 464,072 Government National Mortgage
Association, 7.00%,
02/15/09.................. $ 475,377
986,633 Government National Mortgage
Association, 7.50%,
12/15/27.................. 1,013,458
-----------
8,256,386
-----------
TOTAL MORTGAGE BACKED SECURITIES (COST
$8,154,830).............................. 8,256,386
-----------
U.S. TREASURY OBLIGATIONS--14.0%
$1,000,000 U.S. Treasury Bonds, 6.375%,
08/15/27.................. 1,098,437
750,000 U.S. Treasury Bonds, 6.50%,
05/31/02.................. 774,844
425,000 U.S. Treasury Notes, 6.125%,
12/31/01.................. 432,570
1,000,000 U.S. Treasury Notes, 5.375%,
01/31/00.................. 997,500
1,000,000 U.S. Treasury Notes, 6.125%,
11/15/27.................. 1,071,562
-----------
4,374,913
-----------
TOTAL U.S. TREASURY OBLIGATIONS (COST
$4,281,784) 4,374,913
-----------
YANKEE BONDS--2.1%
CANADA--2.1%
600,000 Province of Quebec, 7.50%,
07/15/23.................. 667,038
-----------
TOTAL YANKEE BONDS (COST $586,248)....... 667,038
-----------
AGENCY FOR INTERNATIONAL DEVELOPMENT
BONDS--2.4%+
CENTRAL AMERICA--1.5%
135,000 Central America
International Development,
Series F, 10.00%,
12/01/11.................. 158,525
135,000 Central America
International Development,
Series G, 10.00%,
12/01/11.................. 158,525
135,000 Central America
International Development,
Series H, 10.00%,
12/01/11.................. 158,525
-----------
475,575
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ---------- -----------
<C> <S> <C>
HONDURAS--0.9%
$ 100,000 Republic of Honduras
International Development,
Series D, 13.00%,
06/01/11.................. $ 146,576
100,000 Republic of Honduras
International Development,
Series C, 13.00%,
06/01/06.................. 129,395
-----------
275,971
-----------
TOTAL AGENCY FOR INTERNATIONAL
DEVELOPMENT BONDS (COST $605,000) 751,546
-----------
PREFERRED STOCKS--5.6%
COMMERCIAL SERVICES--2.6%
$ 16,800 Columbus Southern Power..... 428,400
15,400 Virginia Power Capital...... 394,625
-----------
823,025
-----------
INDUSTRIAL--0.5%
6,000 Appalachian Power........... 153,750
-----------
OIL & GAS--2.5%
29,900 Transcanada Pipelines....... 781,138
-----------
TOTAL PREFERRED STOCKS (COST
$1,748,786).............................. $1,757,913
-----------
TOTAL INVESTMENTS AT VALUE--89.8% (COST
$27,345,991) (a)......................... 28,043,927
CASH AND OTHER ASSETS NET OF
LIABILITIES--10.2%....................... 3,184,397
-----------
NET ASSETS--100.0%....................... $31,228,324
===========
</TABLE>
- ------------------------------
NOTES TO THE SCHEDULE OF INVESTMENTS:
+ Restricted and Board valued security (Note 5).
(a) The aggregate identified cost for federal income tax purposes is
$27,345,991, resulting in gross unrealized appreciation and depreciation of
$719,323 and $21,387, respectively, and net unrealized appreciation of
$697,936.
The accompanying notes are an integral part of the financial statements.
4
<PAGE> 39
SELECT ADVISORS PORTFOLIOS
Statement of Assets and Liabilities
June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH &
INCOME BOND
PORTFOLIO II PORTFOLIO II
------------ ------------
<S> <C> <C>
ASSETS:
Investments, at value (Note 1) (a) $66,804,961 $28,043,927
Cash 1,402,543 2,832,443
Receivables for:
Securities sold 24,581 1,060
Dividends 148,493 32,175
Interest 5,154 391,952
Receivable from Sponsor (Note 3) -- 21,195
Deferred organization expenses (Note 1) 10,774 10,774
----------- -----------
Total assets 68,396,506 31,333,526
----------- -----------
LIABILITIES:
Payable for securities purchased 6,312 66,211
Payable to Sponsor (Note 3) 187,495 --
Other accrued expenses 51,565 38,991
----------- -----------
Total liabilities 245,372 105,202
----------- -----------
NET ASSETS:
Applicable to investors' beneficial interests $68,151,134 $31,228,324
=========== ===========
(a) Cost of investments $61,647,863 $27,345,991
=========== ===========
</TABLE>
Statement of Operations
For the six months ended June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH &
INCOME BOND
PORTFOLIO II PORTFOLIO II
------------ ------------
<S> <C> <C>
INVESTMENT INCOME (NOTE 1):
Interest $ 30,277 $ 868,679
Dividends 764,100 57,794
----------- ------------
Total investment income 794,377 926,473
----------- ------------
EXPENSES:
Investment advisory fees (Note 2) 230,315 74,470
Custody, Administration and fund accounting fees 60,619 53,781
Sponsor fee (Note 2) 57,577 27,080
Printing 24,795 14,876
Auditing fees 7,537 7,537
Legal fees 3,968 2,479
Amortization of organization expenses (Note 1) 4,038 4,038
Trustee fees (Note 2) 2,512 1,209
Miscellaneous fees 3,968 2,728
----------- ------------
Total expenses 395,329 188,198
Waiver of Sponsor fee (Note 2) (57,577) (27,080)
Reimbursement from Advisor (Note 3) (93,042) (59,568)
----------- ------------
Net expenses 244,710 101,550
----------- ------------
NET INVESTMENT INCOME 549,667 824,923
----------- ------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on investments 1,855,869 237,121
Net change in unrealized appreciation (depreciation) 2,316,671 117,520
----------- ------------
NET REALIZED AND UNREALIZED GAIN (LOSS): 4,172,540 354,641
----------- ------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 4,722,207 $ 1,179,564
=========== ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
5
<PAGE> 40
SELECT ADVISORS PORTFOLIOS
Statement of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH & INCOME BOND
PORTFOLIO II PORTFOLIO II
---------------------------- ----------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE MONTHS ENDED FOR THE
JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED
1998 DECEMBER 31, 1998 DECEMBER 31,
(UNAUDITED) 1997 (UNAUDITED) 1997
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 549,667 $ 413,468 $ 824,923 $ 810,228
Net realized gain on investments 1,855,869 5,279,721 237,121 52,355
Net change in unrealized appreciation
(depreciation) on investments 2,316,671 455,947 117,520 (481,003)
----------- ----------- ----------- -----------
Net increase in net assets resulting from
operations 4,722,207 6,149,136 1,179,564 381,580
----------- ----------- ----------- -----------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTEREST:
Contributions 18,809,370 21,726,669 6,900,040 2,347,375
Withdrawals (1,943,425) (3,283,783) (1,535,654) (54,047)
----------- ----------- ----------- -----------
Net increase (decrease) from investors'
transactions 16,865,945 18,442,886 5,364,386 2,293,328
----------- ----------- ----------- -----------
TOTAL CHANGES IN NET ASSETS 21,588,152 24,592,022 6,543,950 2,674,908
NET ASSETS
Beginning of period 46,562,982 21,970,960 24,684,374 12,304,490
----------- ----------- ----------- -----------
End of period $68,151,134 $46,562,982 $31,228,324 $24,684,374
=========== =========== =========== ===========
</TABLE>
Supplementary Data
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH & INCOME BOND
PORTFOLIO II PORTFOLIO II
--------------------------------------------------------------------------- ---------------------------
FOR THE FOR THE SIX
MONTHS ENDED FOR THE FOR THE FOR THE FOR THE MONTHS ENDED FOR THE
JUNE 30, YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED(a) JUNE 30, YEAR ENDED
1998 DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 1998 DECEMBER 31,
(UNAUDITED) 1997 1996 1995 1994 (UNAUDITED) 1997
------------ ------------ ------------ ------------ --------------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET
ASSETS (b):
Expenses 0.85% 0.85% 0.85% 0.85% 0.85% 0.75% 0.75%
Net investment
income 1.91% 1.28% 1.07% 1.27% 2.06% 6.09% 6.28%
Expenses, without
waiver and
reimbursement 1.37% 1.64% 1.74% 1.77% 2.94% 1.39% 1.69%
Portfolio turnover 28% 153% 82% 96% 0% 91% 79%
<CAPTION>
BOND
PORTFOLIO II
---------------------------------------------
FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED PERIOD ENDED(a)
DECEMBER 31, DECEMBER 31, DECEMBER 31,
1996 1995 1994
------------ ------------ ---------------
<S> <C> <C> <C>
RATIOS TO AVERAGE NET
ASSETS (b):
Expenses 0.75% 0.75% 0.75%
Net investment
income 6.18% 6.91% 6.76%
Expenses, without
waiver and
reimbursement 1.76% 1.58% 2.67%
Portfolio turnover 79% 80% 0%
</TABLE>
- ------------------------------
(a) The Portfolio commenced operations on November 21, 1994.
(b) Ratios are annualized. Portfolio turnover is not annualized.
The accompanying notes are an integral part of the financial statements.
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SELECT ADVISORS PORTFOLIOS
Notes to Financial Statements (unaudited)
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Select Advisors Portfolios (the "Portfolio Trust") is registered under the
Investment Company Act of 1940, as amended, as an open-end management investment
company and was organized as a New York master trust fund on February 7, 1994.
There are nine subtrusts of the Portfolio Trust (each a "Portfolio"), each
having distinct investment objectives and policies. The Portfolios are Emerging
Growth Portfolio, International Equity Portfolio, Growth & Income Portfolio,
Balanced Portfolio, Income Opportunity Portfolio, Bond Portfolio, Value Plus
Portfolio, Growth & Income Portfolio II, and Bond Portfolio II. Only Growth &
Income Portfolio II and Bond Portfolio II are included in this report. The other
portfolios are included in a separate report.
As of June 30, 1998, Touchstone Advisors, Inc., a subsidiary of
Western-Southern Life Assurance Company ("Western-Southern"), and
Western-Southern owned 100% of the interest in the Growth & Income Portfolio II
and Bond Portfolio II.
The accounting policies are in conformity with generally accepted
accounting principles ("GAAP") for investment companies. The preparation of
financial statements in conformity with GAAP requires management to make
estimates and assumptions that affect the related amounts and disclosures in the
financial statements. Actual results could differ from these estimates.
The following is a summary of the significant accounting policies of the
Portfolios:
a) Investment Valuation. Securities for which market quotations are
readily available are valued at the last sale price on a national securities
exchange, or, in the absence of recorded sales, at the readily available closing
bid price on such exchanges, or at the quoted bid price in the over-the-counter
market. Securities quoted in foreign currencies are translated into U.S. Dollars
at the current exchange rate. Debt securities are valued by a pricing service
which determines valuations based upon market transactions for normal,
institutional-size trading units of similar securities. Securities or other
assets for which market quotations are not readily available are valued at fair
value in good faith in accordance with procedures established by the Trustees of
the Portfolio Trust using prices based upon yields or prices of securities of
comparable quality, coupon, maturity and type, indications as to values from
dealers and general market conditions. All debt securities with a remaining
maturity of less than 60 days are valued at amortized cost, which approximates
market.
b) Risks Associated with Foreign Investments. Some of the Portfolios may
invest in securities of foreign issuers. Investing in securities issued by
companies whose principal business activities are outside the United States may
involve significant risks not present in domestic investments. For example,
there is generally less publicly available information about foreign companies,
particularly those not subject to the disclosure and reporting requirements of
the U.S. securities laws. Foreign issuers are generally not bound by uniform
accounting, auditing, and financial reporting requirements and standards of
practice comparable to those applicable to domestic issuers. Investments in
foreign securities also involve the risk of possible adverse changes in
investment or exchange control regulations, expropriation or confiscatory
taxation, limitation on the removal of funds or other assets of the Portfolio,
political or financial instability or diplomatic and other developments which
could affect such investments. Foreign stock markets, while growing in volume
and sophistication, are generally not as developed as those in the United
States, and securities of some foreign issuers (particularly those located in
developing countries) may be less liquid and more volatile than securities of
comparable U.S. companies. In general, there is less overall governmental
supervision and regulation of foreign securities markets, broker-dealers, and
issuers than in the United States.
c) Foreign Currency Translation. The accounting records of the Portfolios
are maintained in U.S. dollars. The market value of investment securities, other
assets and liabilities and forward contracts denominated in foreign currencies
are translated into U.S. dollars at the prevailing exchange rates at the end of
the period. Purchases and sales of securities, income receipts, and expense
payments are translated at the
7
<PAGE> 42
SELECT ADVISORS PORTFOLIOS
Notes to Financial Statements (continued)
- --------------------------------------------------------------------------------
exchange rate prevailing on the respective dates of such transactions. Reported
net realized gains and losses on foreign currency transactions represent net
gains and losses from sales and maturities of forward currency contracts,
disposition of foreign currencies, currency gains and losses realized between
the trade and settlement dates on securities transactions and the difference
between the amount of net investment income accrued and the U.S. dollar amount
actually received.
The effects of changes in foreign currency exchange rates on investments in
securities are not segregated in the statements of operations from the effects
of changes in market prices of these securities, but are included with the net
realized and unrealized gain or loss on investments.
d) Investment Income. Dividend income is recorded on the ex-dividend date
except that certain dividends from foreign securities where the ex-dividend date
has passed are recorded as soon as the Portfolio Trust is informed of the
ex-dividend date. Interest income, which includes the amortization of premium
and accretion of discount, if any, is recorded on an accrual basis. Dividend and
interest income is recorded net of foreign taxes where recovery of such taxes is
not assured.
e) Federal Taxes. Each Portfolio is treated as a partnership for federal
income tax purposes. As such, each investor in each Portfolio is subject to
taxation on its share of that Portfolio's ordinary income and capital gains.
Accordingly, no provision has been made for federal income taxes. It is intended
that each Portfolio's assets will be managed in such a way that an investor in
the Portfolio will be able to satisfy the requirements of Subchapter M of the
Internal Revenue Code of 1986, as amended.
f) Forward Currency Contracts. Each Portfolio may enter into forward
foreign currency contracts to protect securities and related receivables and
payables against fluctuations in foreign currency rates. A forward contract is
an agreement to buy or sell currencies of different countries on a specified
future date at a specified rate.
Risks associated with such contracts include the movement in the value of
the foreign currency relative to the U.S. dollar and the ability of the
counterparty to perform. The market value of the contract will fluctuate with
changes in currency exchange rates. Contracts are valued daily based on
procedures established by and under the general supervision of the Trustees of
the Portfolio Trust and the change in the market value is recorded by the
Portfolio as unrealized appreciation or depreciation of forward foreign currency
contracts.
g) Repurchase Agreements. Each Portfolio may invest in repurchase
agreements, which are agreements pursuant to which securities are acquired by
the Portfolio from a third party with the commitment that they will be
repurchased by the seller at a fixed price on an agreed upon date. Each
Portfolio may enter into repurchase agreements with banks or lenders meeting the
creditworthiness standards established by the Portfolio Trust Board of Trustees.
The Portfolio, through its custodian, receives as collateral, delivery of the
underlying securities, whose market value is required to be at least 102% of the
resale price at the time of purchase. The resale price reflects the purchase
price plus an agreed upon rate of interest. In the event of counterparty default
the Portfolio has the right to use the collateral to offset losses incurred.
h) Organization Expense. Organization expenses were deferred and are
being amortized by each Portfolio on a straight-line basis over a five-year
period from commencement of operations. The amount paid by the Trust on any
withdrawal by Touchstone Advisors, Inc. or any other then-current holder of the
organizational seed capital investment ("Initial Interests") in the Portfolio
will be reduced by a portion of any unamortized organization expenses of the
Portfolio, determined by the proportion of the amount of the Interests in the
Portfolio withdrawn to the amount of the Interests in the Portfolio then
outstanding after taking into account any prior withdrawals of the Initial
Interests in the Portfolio.
i) Securities Transactions. Securities transactions are recorded on a
trade date basis. For financial and tax reporting purposes, realized gains and
losses are determined on the basis of specific lot identification.
8
<PAGE> 43
SELECT ADVISORS PORTFOLIOS
Notes to Financial Statements (continued)
- --------------------------------------------------------------------------------
2. TRANSACTIONS WITH AFFILIATES
a) Sponsor. Touchstone Advisors, Inc. ("Sponsor"), as sponsor to the
Trust, pursuant to a Sponsor Agreement provides oversight of the various service
providers to the Trust, including the Trust's Administrator, Custodian and
Transfer Agent. The Sponsor receives a sponsor fee from each portfolio equal on
an annual basis to 0.20% of average daily net assets of that Portfolio. The
Sponsor Agreement may be terminated by the Sponsor or by the Trust on not less
than 30 days prior written notice. The Sponsor has advised the Trust that it
will waive all fees under the Sponsor Agreement through December 31, 1998.
(b) Investment Advisor. The Portfolio Trust also has an investment
advisory agreement with Touchstone Advisors, Inc. Under the terms of the
investment advisory agreement, each Portfolio pays a fee that is computed daily
and paid monthly. Investment advisory fees for Growth & Income Portfolio II and
Bond Portfolio II is equal on an annual basis to .80% and .55%, respectively, of
average daily net assets.
Fort Washington Investment Advisors, Inc., an affiliate of the Advisor, is
the sub-advisor for the Bond Portfolio II.
(c) Trustees. Each Trustee who is not an "interested person," (as defined
in the Act), of the Portfolio Trust, receives an aggregate of $5,000 annually,
plus $1,000 per meeting attended, as well as reimbursement for reasonable
out-of-pocket expenses from the Portfolio and from Select Advisors Trust A,
Select Advisors Trust C and Select Advisors Variable Insurance Trust. For the
period ended June 30, 1998, the Growth & Income Portfolio II incurred $2,512 in
Trustee Fees and the Bond Portfolio II incurred $1,209 in Trustee Fees.
3. EXPENSE REIMBURSEMENT
The Sponsor has agreed to reimburse each Portfolio so that, following such
reimbursement the aggregate total operating expenses (excluding interest, taxes,
brokerage commission and extraordinary expenses) are not greater, on an
annualized basis, than 0.85% and 0.75% of average daily net assets of Growth &
Income Portfolio II and Bond Portfolio II, respectively. The sponsor has advised
the Trust that it will continue to waive fees and reimburse each Portfolio as
described above through December 31, 1998. For the period ended June 30, 1998,
the sponsor reimbursed $93,042 and $59,568 to the Growth & Income Portfolio II
and Bond Portfolio II, respectively.
4. PURCHASES AND SALES OF INVESTMENT SECURITIES
For the period ended June 30, 1998, the cost of investment securities
purchased was $33,690,587 and $15,424,519, and the proceeds from sales of
investment securities sold were $16,076,070 and $12,916,896, for Growth & Income
Portfolio II and Bond Portfolio II, respectively, excluding U.S. government
obligations and US government agency obligations and short-term investments.
Purchases and sales of U.S. government obligations were $12,904,129 and
$10,125,934, respectively, for Bond Portfolio II.
9
<PAGE> 44
SELECT ADVISORS PORTFOLIOS
Notes to Financial Statements (continued)
- --------------------------------------------------------------------------------
5. RESTRICTED SECURITIES
Restricted securities may be difficult to dispose of and involve time
consuming negotiation and expense. Prompt sale of these securities may involve
the seller taking a discount to the security's stated market value. As of June
30, 1998, Bond Portfolio II held restricted securities valued at $832,191 by the
Trustees, representing 2.66% of net assets. Acquisition date and cost of each
are as follows:
<TABLE>
<CAPTION>
ACQUISITION DATE COST
---------------- --------
<S> <C> <C>
Mercantile Safe Deposit.......................... 3/28/85 $ 77,992
Central America, Series F........................ 8/1/86 135,000
Central America, Series G........................ 8/1/86 135,000
Central America, Series H........................ 8/1/86 135,000
Republic of Honduras, Series C................... 5/1/88 100,000
Republic of Honduras, Series D................... 5/1/88 100,000
</TABLE>
Bond Portfolio II received these securities from The Western and Southern
Life Insurance Company Separate Account A on November 21, 1994, in exchange for
a proportionate interest in the Portfolio.
10
<PAGE> 45
Distributor
Touchstone Securities, Inc.
311 Pike Street
Cincinnati, Ohio 45202
(800) 669-2796 (press 3)
Investment Advisor & Sponsor
Touchstone Advisors, Inc.
311 Pike Street
Cincinnati, Ohio 45202
Variable Annuity Service Center
Touchstone Variable Annuity Service Center
P.O. Box 2850
Cincinnati, Ohio 45201-2850
(800) 669-2796 (press 2)
Custodian
Investors Bank & Trust Company
200 Clarendon Street
Boston, Massachusetts 02116-9130
Independent Accountants
Price Waterhouse Coopers, L.L.P.
One International Place
Boston, Massachusetts 02110
Legal Counsel
Frost & Jacobs
2500 PNC Center
201 East Fifth Street
Cincinnati, Ohio 45202
TOUCHSTONE
The Mark of Excellence in Investment Management(SM)
Form 7141-9806
