<PAGE> 1
[TOUCHSTONE LOGO]
TOUCHSTONE
------------------------------------------------
The Touchstone Family of Funds
-------------------
Select Advisors Trust C
- Touchstone Emerging Growth Fund C
- Touchstone International Equity Fund C
- Touchstone Growth & Income Fund C
- Touchstone Balanced Fund C
- Touchstone Income Opportunity Fund C
- Touchstone Bond Fund C
- --------------------------------------------------------------------------------
SEMI-ANNUAL REPORT
JUNE 30, 1997
- --------------------------------------------------------------------------------
<PAGE> 2
Dear Fellow Shareholder:
The Dow Jones Industrial Average continued its upward ascent in the second
quarter, in a seemingly upstoppable climb to 8,000 and beyond. The DJIA closed
the period at 7,673, up a robust 16.6%. Year-to-date through June the DJIA had
risen 1,225 points, or 19%. But the trip to long-term investment profits is
rarely smooth sailing. The stock market's tumble earlier this spring was enough
to make even the heartiest investor a little sea-sick. After peaking in
mid-March, the Dow Jones Industrial Average dropped nearly 700 points in five
swift weeks, stopping just two-tenths of a percentage point shy of a 10%
decline, the magic number that Wall Street uses to define a full-fledged market
correction. Using this definition, smaller stocks did correct. The Nasdaq
Composite Index fell 12.6% from its 1997 peak before rebounding in April, and
many individual stocks were off by 20 to 30%.
While the market staged another significant rebound in July, many investors
were still wondering where stocks were headed. Markets, like individual stocks,
tend to get ahead of themselves, and that may have happened this spring. But
whatever the case, the Federal Reserve's decision to hike interest rates was the
right thing to do. This time it was preemptive and served to slow the economy
while keeping inflation on the tame side.
To truly get a fix on the events of the last six months, however, it may be
best to view them against the larger backdrop of the stock market's stellar
gains over the past two years. With total returns of 37.5% in 1995 and 23% in
1996, stocks put together one of the most powerful performances of the century.
The 30.1% average annual gain in the Standard & Poor's 500 Stock Index was the
fifth best two-year return since 1926. It was only the eighth time in the past
70 years that equities rose 20% or more two years in a row.
Many new investors who entered the market during the 90s may consider the
decade's 16%-plus average annual return normal. In reality, these gains are 50%
higher than the roughly 10.5% a year that stocks have averaged since 1926. They
are also about 25% greater than the post-World War II norm.
So the question remains: Are the stock market and the economy too hot? In
general, we all have good reason to believe they are not. We have enjoyed six
straight years of economic growth, the longest period on record without even a
single quarterly decline. Prices at wholesale and retail levels remain stable,
and inflationary pressures appear to be more than offset by gains in
productivity and falling prices in the fast growing technology sector. All of
this could mark a return to an environment where fundamentals and earnings
growth, rather than size and liquidity, drive a company's share price.
Please remember, though, that markets get ahead of themselves from time to
time, and that declines are normal events in the market's life. Stocks can make
progress in spite of these setbacks, but volatility is more the rule than the
exception.
In spite of this volatility, a number of the Touchstone Portfolios
performed well in the first half. Touchstone Income Opportunity and Touchstone
Balanced continued to post exceptional gains, against both their benchmark
indices and their respective fund groups. Touchstone Emerging Growth, Touchstone
International Equity and Touchstone Bond also performed well. You can review the
specific numbers in the enclosed financial statements.
And finally, please keep in mind that reasonable expectations are an
important part of successful long-term investing. We've had exceptional returns
from stocks over the last few years, and they may be difficult to match in the
years to come. However, it is important to note that even the long-term average
returns gained from stocks are not bad when compared with other investments.
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
<PAGE> 3
SELECT ADVISORS TRUST C
Statement of Assets and Liabilities
June 30, 1997 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TOUCHSTONE TOUCHSTONE TOUCHSTONE TOUCHSTONE
EMERGING INTERNATIONAL GROWTH & TOUCHSTONE INCOME TOUCHSTONE
GROWTH EQUITY INCOME BALANCED OPPORTUNITY BOND
FUND C FUND C FUND C FUND C FUND C FUND C
---------- ----------- ---------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Investment in corresponding Select
Advisors Portfolios, at value (Note 1) $2,170,711 $3,783,335 $1,668,213 $2,521,133 $3,341,187 $760,316
Deferred organization expenses 21,254 21,254 21,254 21,254 21,254 21,409
Receivable for fund shares sold 1,932 3,167 2,846 5,193 4,851 7,652
Reimbursement receivable from Sponsor 67,110 83,997 59,769 61,709 65,087 51,499
---------- ---------- ---------- ---------- ---------- --------
Total assets 2,261,007 3,891,753 1,752,082 2,609,289 3,432,359 840,876
---------- ---------- ---------- ---------- ---------- --------
LIABILITIES:
Distribution payable from income -- -- 177 1,053 3,517 16
Other accrued expenses 48,581 61,911 43,938 43,372 44,112 38,416
---------- ---------- ---------- ---------- ---------- --------
Total liabilities 48,581 61,911 44,115 44,425 47,629 38,432
---------- ---------- ---------- ---------- ---------- --------
NET ASSETS: $2,212,426 $3,829,842 $1,707,967 $2,564,864 $3,384,730 $802,444
========== ========== ========== ========== ========== ========
Shares outstanding 167,055 320,911 118,284 189,193 306,056 79,896
========== ========== ========== ========== ========== ========
Net asset value, offering and redemption
price per share $ 13.24 $ 11.93 $ 14.44 $ 13.56 $ 11.06 $ 10.04
========== ========== ========== ========== ========== ========
</TABLE>
Statement of Operations
For the six months ended June 30, 1997 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TOUCHSTONE TOUCHSTONE TOUCHSTONE TOUCHSTONE
EMERGING INTERNATIONAL GROWTH & TOUCHSTONE INCOME TOUCHSTONE
GROWTH EQUITY INCOME BALANCED OPPORTUNITY BOND
FUND C FUND C FUND C FUND C FUND C FUND C
---------- ----------- ---------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME ALLOCATED FROM
CORRESPONDING PORTFOLIO (NOTE 1):
Interest income $ 3,306 $ 4,304 $ 1,932 $ 28,795 $ 121,445 $ 24,440
Dividend income 8,944 38,055(a) 10,149 8,708 69,199 546
-------- --------- -------- --------- --------- --------
12,250 42,359 12,081 37,503 190,644 24,986
-------- --------- -------- --------- --------- --------
EXPENSES:
Allocated portfolio expenses 14,693 27,501 13,556 15,860 18,142 3,245
Fund accounting and administration fee 14,066 16,545 14,104 14,066 14,066 14,105
Blue sky 12,440 13,282 11,251 12,440 12,371 11,179
Transfer agent 16,276 15,555 16,185 15,217 15,935 14,580
Amortization of organization expenses
(Note 1) 4,663 4,663 4,663 4,663 4,663 4,663
Audit 1,231 1,882 1,097 1,262 1,962 500
Distribution (Note 2) 9,430 16,895 2,287 11,134 3,752 3,600
Sponsor fee (Note 2) 1,886 3,379 1,434 2,227 3,002 720
Printing 4,983 7,615 4,440 5,102 7,942 2,022
Trustee fees (Note 2) 194 297 174 199 310 80
Miscellaneous 860 1,110 869 768 1,373 353
-------- --------- -------- --------- --------- --------
Total expenses 80,722 108,724 70,060 82,938 83,518 55,047
Waiver of sponsor fees (Note 2) (1,886) (3,379) (1,434) (2,227) (3,002) (720)
Reimbursement from sponsor (Note 3) (57,618) (65,878) (53,929) (57,330) (51,251) (48,391)
-------- --------- -------- --------- --------- --------
Net expenses 21,218 39,467 14,697 23,381 29,265 5,936
-------- --------- -------- --------- --------- --------
NET INVESTMENT INCOME (LOSS) (8,968) 2,892 (2,616) 14,122 161,379 19,050
-------- --------- -------- --------- --------- --------
REALIZED AND UNREALIZED GAIN (LOSS) FROM
PORTFOLIO:
Net realized gain 154,742 144,784(b) 45,384 384,856(c) 114,978 1,957
Net change in unrealized appreciation
(depreciation) 92,048 294,016 54,957 (177,060) (38,764) (2,194)
-------- --------- -------- --------- --------- --------
Net realized and unrealized gain (loss)
from Portfolio 246,790 438,800 100,341 207,796 76,214 (237)
-------- --------- -------- --------- --------- --------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $237,822 $ 441,692 $ 97,725 $ 221,918 $ 237,593 $ 18,813
======== ========= ======== ========= ========= ========
</TABLE>
- ------------------------------
(a) Net of foreign tax withholding of $4,487.
(b) Includes foreign currency transactions loss of $11,442.
(c) Includes foreign currency transactions gain of $130.
The accompanying notes are an integral part of the financial statements.
1
<PAGE> 4
SELECT ADVISORS TRUST C
Statement of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TOUCHSTONE EMERGING TOUCHSTONE INTERNATIONAL
GROWTH FUND C EQUITY FUND C
------------------------- -------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE MONTHS ENDED FOR THE
JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED
1997 DECEMBER 31, 1997 DECEMBER 31,
(UNAUDITED) 1996 (UNAUDITED) 1996
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss) $ (8,968) $ (13,185) $ 2,892 $ (9,278)
Net realized gain (loss) from Portfolio 154,742 68,137 144,784(a) 66,056(b)
Net change in unrealized appreciation 92,048 84,757 294,016 227,324
---------- ---------- ---------- ----------
Net increase in net assets resulting from operations 237,822 139,709 441,692 284,102
---------- ---------- ---------- ----------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income -- -- -- --
Net realized capital gain -- (53,274) -- --
Distributions in excess of capital gains -- (49,794) -- --
---------- ---------- ---------- ----------
Total dividends and distributions -- (103,068) -- --
---------- ---------- ---------- ----------
SHARE TRANSACTIONS (NOTE 4):
Proceeds from shares sold 269,717 351,987 278,236 406,681
Reinvestment of dividends and distributions -- 102,769 -- --
Cost of shares redeemed (59,181) (6,119) (46,926) (16,241)
---------- ---------- ---------- ----------
Net increase from share transactions: 210,536 448,637 231,310 390,440
---------- ---------- ---------- ----------
Total increase in net assets 448,358 485,278 673,002 674,542
---------- ---------- ---------- ----------
NET ASSETS:
Beginning of period 1,764,068 1,278,790 3,156,840 2,482,298
---------- ---------- ---------- ----------
End of period $2,212,426 $1,764,068 $3,829,842 $3,156,840
========== ========== ========== ==========
NET ASSETS CONSIST OF:
Paid-in capital $1,780,168 $1,569,632 $3,178,825 $2,947,515
Undistributed net investment income (8,968) -- 1,470 (1,422)
Accumulated net realized gain (loss) from Portfolio 98,952 (55,790) (1,190) (145,974)
Net unrealized appreciation from Portfolio 342,274 250,226 650,737 356,721
---------- ---------- ---------- ----------
Net assets applicable to shares outstanding $2,212,426 $1,764,068 $3,829,842 $3,156,840
========== ========== ========== ==========
SHARES OUTSTANDING (NOTE 4):
Shares sold 22,336 29,496 25,682 40,286
Reinvestment of dividends and distributions -- 8,776 -- --
---------- ---------- ---------- ----------
22,336 38,272 25,682 40,286
Shares redeemed (5,029) (514) (4,294) (1,599)
---------- ---------- ---------- ----------
Net increase 17,307 37,758 21,388 38,687
Beginning of period 149,748 111,990 299,523 260,836
---------- ---------- ---------- ----------
End of period 167,055 149,748 320,911 299,523
========== ========== ========== ==========
</TABLE>
- ------------------------------
(a) Includes foreign currency transactions losses of $4,487.
(b) Includes foreign currency transactions losses of $7,200.
(c) Includes foreign currency transactions gain of $130.
The accompanying notes are an integral part of the financial statements.
2
<PAGE> 5
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TOUCHSTONE TOUCHSTONE TOUCHSTONE TOUCHSTONE
GROWTH & INCOME FUND C BALANCED FUND C OPPORTUNITY FUND C BOND FUND C
--------------------------- --------------------------- --------------------------- ---------------------------
FOR THE SIX FOR THE SIX FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE MONTHS ENDED FOR THE MONTHS ENDED FOR THE MONTHS ENDED FOR THE
JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED
1997 DECEMBER 31, 1997 DECEMBER 31, 1997 DECEMBER 31, 1997 DECEMBER 31,
(UNAUDITED) 1996 (UNAUDITED) 1996 (UNAUDITED) 1996 (UNAUDITED) 1996
----------- ----------- ----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
$ (2,616) $ (1,633) $ 14,122 $ 23,763 $ 161,379 $ 201,268 $ 19,050 $ 28,309
45,384 82,827 384,856(c) 70,831 114,978 171,388 1,957 (2,556)
54,957 16,656 (177,060) 160,378 (38,764) 73,267 (2,194) (6,458)
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
97,725 97,850 221,918 254,972 237,593 445,923 18,813 19,295
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
(1,180) (5,307) (16,634) (30,686) (156,805) (194,606) (18,943) (34,508)
-- (77,144) -- (69,459) -- (98,304) -- (1,037)
-- -- -- -- -- -- -- --
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
(1,180) (82,451) (16,634) (100,145) (156,805) (292,910) (18,943) (35,545)
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
457,024 847,270 442,716 367,673 683,641 1,175,852 270,302 389,896
1,003 64,195 15,409 94,325 134,619 258,039 18,899 30,805
(66,447) (34,812) (69,041) (25,903) (147,511) (156,973) (121,987) (109,359)
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
391,580 876,653 389,084 436,095 670,749 1,276,918 167,214 311,342
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
488,125 892,052 594,368 590,922 751,537 1,429,931 167,084 295,092
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
1,219,842 327,790 1,970,496 1,379,574 2,633,193 1,203,262 635,360 340,268
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
$1,707,967 $1,219,842 $2,564,864 $1,970,496 $3,384,730 $2,633,193 $ 802,444 $ 635,360
========== ========== ========== ========== ========== ========== ========== ==========
$1,553,148 $1,161,568 $2,066,807 $1,677,723 $3,158,709 $2,487,960 $ 799,295 $ 632,081
(3,612) 184 (2,345) 167 4,574 -- 1,137 1,030
52,908 7,524 392,342 7,486 138,864 23,886 (769) (2,726)
105,523 50,566 108,060 285,120 82,583 121,347 2,781 4,975
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
$1,707,967 $1,219,842 $2,564,864 $1,970,496 $3,384,730 $2,633,193 $ 802,444 $ 635,360
========== ========== ========== ========== ========== ========== ========== ==========
33,288 61,615 34,405 31,351 62,419 112,192 27,084 38,637
69 4,661 1,159 7,690 12,311 24,284 1,894 3,071
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
33,357 66,276 35,564 39,041 74,730 136,476 28,978 41,708
(4,860) (2,542) (5,317) (2,224) (13,494) (14,441) (12,253) (10,852)
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
28,497 63,734 30,247 36,817 61,236 122,035 16,725 30,856
89,787 26,053 158,946 122,129 244,820 122,785 63,171 32,315
---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------
118,284 89,787 189,193 158,946 306,056 244,820 79,896 63,171
========== ========== ========== ========== ========== ========== ========== ==========
</TABLE>
The accompanying notes are an integral part of the financial statements.
3
<PAGE> 6
- --------------------------------------------------------------------------------
SELECT ADVISORS TRUST C
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TOUCHSTONE EMERGING GROWTH
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE SIX MONTHS ENDED JUNE 30, FUND C
1997 (UNAUDITED), THE YEAR ENDED DECEMBER 31, 1996 AND 1995, AND THE PERIOD ----------------------------------
ENDED DECEMBER 31, 1994 1997 1996 1995 1994(a)
------ ------ ------ ------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.76 $11.42 $10.11 $10.00
------ ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.05) -- (0.02) 0.13
Net realized and unrealized gain on investments 2.53 1.10 2.16 0.12
------ ------ ------ ------
Total from investment operations 2.48 1.10 2.14 0.25
------ ------ ------ ------
LESS: DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income -- -- (0.01) (0.13)
Net capital gain -- (0.74) (0.82) (0.01)
------ ------ ------ ------
Total dividends and distributions -- (0.74) (0.83) (0.14)
------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD $13.24 $11.78 $11.42 $10.11
====== ====== ====== ======
TOTAL RETURN (d) 12.39% 9.67% 21.15% 2.52%
RATIOS AND SUPPLEMENTAL DATA:
Net assets at end of period (000's) $2,212 $1,764 $1,279 $1,022
Ratios to average net assets (b):
Expenses 2.25% 2.25% 2.25% 2.50%
Net investment income (loss) (0.95%) (0.88%) (0.81%) (1.10%)
</TABLE>
<TABLE>
<CAPTION>
TOUCHSTONE BALANCED
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE SIX MONTHS ENDED JUNE 30, FUND C
1997 (UNAUDITED), THE YEAR ENDED DECEMBER 31, 1996 AND 1995, AND THE PERIOD ----------------------------------
ENDED DECEMBER 31, 1994 1997 1996 1995 1994(a)
------ ------ ------ ------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $12.40 $11.30 $ 9.97 $10.00
------ ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.08 0.22 0.25 0.07
Net realized and unrealized gain (loss) on investments 1.17 1.56 1.98 (0.05)
------ ------ ------ ------
Total from investment operations 1.25 1.78 2.23 0.02
------ ------ ------ ------
LESS: DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (0.09) (0.22) (0.27) (0.05)
Net capital gain -- (0.46) (0.63) --
------ ------ ------ ------
Total dividends and distributions (0.09) (0.68) (0.90) (0.05)
------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD $13.56 $12.40 $11.30 $ 9.97
====== ====== ====== ======
TOTAL RETURN (d) 10.10% 15.85% 22.40% 0.20%
RATIOS AND SUPPLEMENTAL DATA:
Net assets at end of period (000's) $2,565 $1,970 $1,380 $ 999
Ratios to average net assets (b):
Expenses 2.10% 2.10% 2.10% 2.35%
Net investment income 1.27% 1.44% 1.63% 2.00%
</TABLE>
- ------------------------------
(a) The Fund commenced operations on October 3, 1994.
(b) Includes the Fund's proportionate share of the corresponding Portfolio's
expenses. If the waiver and reimbursement had not been in place for the
periods listed and after consideration of state expense limitations, the
ratios of expenses to average net assets would have been higher. Ratios are
annualized for periods less than one year.
(c) Per share amounts have been calculated using the average share method.
(d) Total return is calculated without using a sales charge, and is not
annualized.
The accompanying notes are an integral part of the financial statements.
4
<PAGE> 7
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------
-----------------------------------------------------------------------------------
TOUCHSTONE INTERNATIONAL EQUITY TOUCHSTONE GROWTH & INCOME
FUND C FUND C
--------------------------------------- ---------------------------------------
1997 1996 1995 1994(a) 1997 1996 1995(c) 1994(a)
------ ------ ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C>
$10.54 $ 9.52 $ 9.10 $10.00 $13.59 $12.58 $10.01 $10.00
------ ------ ------ ------ ------ ------ ------ ------
0.01 -- (0.05) -- (0.02) 0.10 (0.01) 0.82
1.38 1.02 0.47 (0.90) 0.88 1.92 3.51 (0.81)
------ ------ ------ ------ ------ ------ ------ ------
1.39 1.02 0.42 (0.90) 0.86 2.02 3.50 0.01
------ ------ ------ ------ ------ ------ ------ ------
-- -- -- -- (0.01) (0.10) (0.42) --
-- -- -- -- -- (0.91) (0.51) --
------ ------ ------ ------ ------ ------ ------ ------
-- -- -- -- (0.01) (1.01) (0.93) --
------ ------ ------ ------ ------ ------ ------ ------
$11.93 $10.54 $ 9.52 $ 9.10 $14.44 $13.59 $12.58 $10.01
====== ====== ====== ====== ====== ====== ====== ======
13.19% 10.71% 4.62% (9.00%) 6.34% 16.04% 35.22% 0.10%
$3,830 $3,157 $2,482 $2,274 $1,708 $1,220 $ 328 $ 21
2.34% 2.35% 2.35% 2.60% 2.05% 2.05% 2.05% 2.30%
0.17% (0.33%) (0.63%) (1.10%) (0.36%) (0.21%) (0.07%) (0.15%)
</TABLE>
<TABLE>
<CAPTION>
TOUCHSTONE INCOME OPPORTUNITY TOUCHSTONE BOND
FUND C FUND C
--------------------------------------- ---------------------------------------
1997 1996 1995 1994(a) 1997 1996 1995(c) 1994(a)
------ ------ ------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C>
$10.76 $ 9.80 $ 9.08 $10.00 $10.06 $10.53 $ 9.91 $10.00
------ ------ ------ ------ ------ ------ ------ ------
0.57 1.09 1.14 0.21 0.25 0.66 0.54 0.87
0.29 1.33 0.74 (0.94) (0.01) (0.47) 1.03 (0.85)
------ ------ ------ ------ ------ ------ ------ ------
0.86 2.42 1.88 (0.73) 0.24 0.19 1.57 0.02
------ ------ ------ ------ ------ ------ ------ ------
(0.56) (1.09) (1.16) (0.19) (0.26) (0.64) (0.90) (0.11)
-- (0.37) -- -- -- (0.02) (0.05) --
------ ------ ------ ------ ------ ------ ------ ------
(0.56) (1.46) (1.16) (0.19) (0.26) (0.66) (0.95) (0.11)
------ ------ ------ ------ ------ ------ ------ ------
$11.06 $10.76 $ 9.80 $ 9.08 $10.04 $10.06 $10.53 $ 9.91
====== ====== ====== ====== ====== ====== ====== ======
8.16% 25.88% 22.18% (7.39%) 2.38% 2.01% 16.29% 0.19%
$3,385 $2,633 $1,203 $ 926 $ 802 $ 635 $ 340 $ 22
1.95% 1.95% 1.95% 2.20% 1.65% 1.65% 1.65% 1.90%
10.75% 10.49% 11.70% 7.83% 5.29% 5.26% 5.43% 5.12%
</TABLE>
The accompanying notes are an integral part of the financial statements.
5
<PAGE> 8
SELECT ADVISORS TRUST C
Notes To Financial Statements (unaudited)
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Select Advisors Trust C (the "Trust") was organized as a Massachusetts
business trust on February 7, 1994 and is registered under the Investment
Company Act of 1940, as amended (the "Act"), as an open-end management
investment company.
The Trust consists of six funds (each a "Fund"): Touchstone Emerging Growth
Fund C (the "Emerging Growth Fund"), Touchstone International Equity Fund C (the
"International Equity Fund"), Touchstone Growth & Income Fund C (the "Growth &
Income Fund"), Touchstone Balanced Fund C (the "Balanced Fund"), Touchstone
Income Opportunity Fund C (the "Income Opportunity Fund") and Touchstone Bond
Fund C (the "Bond Fund").
The Trust seeks to achieve the investment objectives of each Fund presented
in this report by investing all the investable assets of the Fund in a
corresponding Portfolio of Select Advisors Portfolios (the "Portfolio Trust"),
an open-end management investment company. Each Portfolio has the same
investment objectives as the corresponding Fund. These Portfolios are,
respectively, Emerging Growth Portfolio, International Equity Portfolio, Growth
& Income Portfolio, Balanced Portfolio, Income Opportunity Portfolio and Bond
Portfolio.
The value of each Fund's investment in the corresponding Portfolio reflects
the Funds proportionate interest in the net assets of the Portfolio at June 30,
1997.
<TABLE>
<CAPTION>
INCOME
EMERGING INTERNATIONAL GROWTH & BALANCED OPPORTUNITY BOND
GROWTH FUND C EQUITY FUND C INCOME FUND C FUND C FUND C FUND C
------------- ------------- ------------- -------- ----------- ------
<S> <C> <C> <C> <C> <C> <C>
Percentage interest in
corresponding
Portfolio 36.3% 47.4% 7.2% 49.3% 28.6% 5.0%
</TABLE>
As of June 30, 1997, Touchstone Advisors, Inc., a subsidiary of
Western-Southern Life Assurance Company ("Western-Southern"), and
Western-Southern owned 68.9%, 77.8%, 11.4%, 61.0%, 45.6% and 18.1% of the
Emerging Growth Fund, the International Equity Fund, the Growth & Income Fund,
the Balanced Fund, the Income Opportunity Fund and the Bond Fund, respectively.
The financial statements of each Portfolio, including the schedule of
investments, are included elsewhere in this report and should be read in
conjunction with the corresponding Fund's financial statements.
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
funds:
a) Investment Valuation. Valuation of investments by each Portfolio is
discussed in Note 1 of the Portfolio Trust's Notes to Financial Statements which
are included elsewhere in this report.
b) Investment Income. Each Fund records its share of the corresponding
Portfolio's net investment income and realized and unrealized gains and losses
and adjusts its investment in the corresponding Portfolio each day. All the net
investment income and realized and unrealized gains and losses of each Portfolio
are allocated among the corresponding fund and the other investors in the
Portfolio at the time of such determination.
c) Dividends and Distributions. Substantially all of the net investment
income of the Growth & Income Fund, the Income Opportunity Fund and the Bond
Fund, is declared as dividends and paid monthly. Substantially all of the net
investment income of the Balanced Fund is declared as dividends and paid
quarterly. Substantially all of the net investment income of the Emerging Growth
Fund and the International Equity Fund is declared as dividends and paid
annually. Distributions to shareholders of net realized capital gains, if any,
are declared and paid annually. Dividends and distributions are recorded on
ex-dividend date and are reinvested at net asset value.
Income and capital gain distributions are determined in accordance with
income tax regulations which may differ from generally accepted accounting
principles. These differences are primarily due to non-
6
<PAGE> 9
SELECT ADVISORS TRUST C
Notes To Financial Statements (unaudited)
- --------------------------------------------------------------------------------
deductible organization costs, passive foreign investment companies, foreign
currency transactions, losses deferred due to wash sales, and excise tax
regulations.
Permanent book and tax basis differences relating to shareholder
distributions will result in reclassifications to paid in capital. Undistributed
net investment income 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.
d) Organization Expense. Organization expenses were deferred and are
being amortized by each Fund 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 or any other then-current holder of the organizational
seed capital shares ("Initial Shares") of the Fund will be reduced by a portion
of any unamortized organization expenses of the Fund and the corresponding
Portfolio, determined by the proportion of the number of the Initial Shares of
the Fund redeemed to the number of the Initial Shares of the Fund then
outstanding after taking into account any prior redemptions of the Initial
Shares of the Fund. The amount of such reduction in excess of the unamortized
organization expenses of the Fund, if any, shall be contributed by the Fund to
the corresponding Portfolio.
e) Federal Taxes. Each Fund of the Trust is treated as a separate entity
for federal income tax purposes. Each Fund'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 of its
income, and net realized capital gains, if any, within the prescribed time
periods. Accordingly, no provision for federal income tax is necessary. The
International Equity Fund C has a capital loss carryforward expiring December
2003 of $119,808, and the Bond Fund C has a capital loss carryforward expiring
in December 2004 of $2,726.
Additionally, at December 31, 1996, the following funds have net capital
losses attributable to security transactions incurred after October 31, 1996,
which are treated as arising on the first day of the Fund's next taxable year.
<TABLE>
<S> <C>
Balanced Fund C $ 1,231
Emerging Growth Fund C 50,640
International Equity Fund C 25,400
</TABLE>
f) Expenses. Expenses incurred by the Trust with respect to any two or
more funds in the Trust are prorated to each Fund in the Trust, except where
allocations of direct expenses to each Fund can otherwise be made fairly.
Expenses directly attributable to a Fund are charged to that Fund.
2. TRANSACTIONS WITH AFFILIATES
a) Distribution and Service Plan. Under the Trust's Distribution and
Service Plan in accordance with Rule 12b-1 under the Act, the Trust retains
Touchstone Securities, Inc. ("Distributor"), a subsidiary of Western-Southern,
as a service agent of the Trust and as the principal underwriter of the shares
of each Fund. Each Fund will pay a distribution fee to the Distributor at an
annual rate of up to 0.75% of the Fund's average daily net assets. In addition
to the distribution fee, each fund will pay a service fee to the Distributor
equal on an annual basis up to 0.25% of that Fund's average daily net assets.
The Distributor may also use the distribution fees received from each Fund to
otherwise promote the sale of shares of the Funds to other than current
shareholders and for sales literature or other promotional activities.
b) Sponsor. The Trust, on the behalf of each Fund, has entered into a
Sponsor Agreement with Touchstone Advisors, Inc. (the "Sponsor"), an affiliate
of the Distributor. The Sponsor provides oversight of the various service
providers to the Trust, including the Trust's administrator, custodian and
transfer agent. The Sponsor receives a fee from each Fund equal on an annual
basis to 0.20% of the average daily net assets of that Fund. The Sponsor has
advised the Trust that it will waive all fees under the Sponsor Agreement
through April 30, 1998.
c) Trustees. Each Trustee who is not an "interested person" (as defined
in the Act) of the Trust receives in aggregate $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 Portfolios and
Select Advisors Variable Insurance Trust, which are all included in separate
reports. For the six months ended June 30, 1997, the Trust incurred $1,253 in
Trustee fees which were prorated to each Fund.
7
<PAGE> 10
SELECT ADVISORS TRUST C
Notes To Financial Statements (unaudited)
- --------------------------------------------------------------------------------
3. EXPENSE REIMBURSEMENTS
The Sponsor has agreed to reimburse each Fund so that, following such
reimbursement, the aggregate total operating expenses (excluding interest,
taxes, brokerage commissions and extraordinary expenses) of each Fund including
the Fund's proportionate share of expenses of the corresponding Portfolio are
not greater, on an annual basis, than the percentage of average daily net assets
of the Fund listed below for the six months ended June 30, 1997.
<TABLE>
<CAPTION>
EMERGING INTERNATIONAL GROWTH & INCOME
GROWTH EQUITY INCOME BALANCED OPPORTUNITY BOND
FUND C FUND C FUND C FUND C FUND C FUND C
-------- ------------- -------- -------- ----------- -------
<S> <C> <C> <C> <C> <C> <C>
Voluntary Expense Limit 2.25% 2.35% 2.05% 2.10% 1.95% 1.65%
Amount of
Reimbursement $59,504 $69,257 $55,363 $59,557 $54,252 $49,111
</TABLE>
4. SHARES OF BENEFICIAL INTEREST
The Declaration of Trust permits the Trust to issue an unlimited number of
full and fractional shares of beneficial interest on one or more series.
- --------------------------------------------------------------------------------
8
<PAGE> 11
EMERGING GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
<S> <C> <C>
COMMON STOCKS (93.4%)
AUTOMOTIVE (1.2%)
1,500 Bandag, Class A.............. $ 73,031
----------
BANKING (4.8%)
2,400 BA Merchant Services,
Class A*..................... 45,750
1,500 Bank United, Class A......... 57,000
3,300 Dime Bancorp................. 57,750
4,800 Glendale Federal Bank*....... 125,400
----------
285,900
----------
BEVERAGES, FOOD & TOBACCO (4.2%)
3,700 DiMon........................ 98,050
1 General Mills................ 59
4,200 Ralcorp Holdings*............ 61,950
1,500 Robert Mondavi, Class A*..... 70,875
900 Rykoff-Sexton................ 20,981
----------
251,915
----------
BUILDING MATERIALS (2.6%)
3,600 Calmat....................... 77,400
2,400 Martin Marietta Materials.... 77,700
----------
155,100
----------
CHEMICALS (1.9%)
4,400 Calgon Carbon................ 61,050
2,100 Standard Products............ 53,025
----------
114,075
----------
COMMERCIAL SERVICES (9.4%)
4,300 A. C. Nielson*............... 84,388
3,300 APAC Teleservices*........... 64,144
2,500 Administaff*................. 60,460
1,400 Advance Paradigm*............ 25,900
2,000 CGI Group*................... 50,306
3,400 Metromail*................... 84,150
1,300 National Service
Industries................... 63,294
1,400 Stewart Enterprises.......... 58,800
2,300 Wallace Computer Services.... 69,144
----------
560,586
----------
COMMUNICATIONS (2.7%)
2,400 Cincinnati Bell.............. 75,600
2,000 Geotel Communications
Group*....................... 26,750
2,400 Octel Communication*......... 56,250
----------
158,600
----------
COMPUTER SOFTWARE &
PROCESSING (11.4%)
2,200 Cambridge Technology
Partners*.................... 70,400
1,300 CBT Group*................... 82,063
2,300 Complete Business
Solutions*................... 56,925
2,000 Computer Learning Center*.... 84,000
2,200 HNC Software*................ 83,875
2,200 Information Management
Resources*................... 100,100
900 Keane*....................... 46,800
1,400 Policy Management System*.... 65,800
300 PSW Technologies*............ 3,525
2,200 Software Artistry*........... 34,925
1,600 Wind River Systems*.......... 61,200
----------
689,613
----------
COMPUTERS & INFORMATION
(7.9%)
1,300 Ascend Communications*....... 51,188
1,300 EMC*......................... 50,700
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
<S> <C> <C>
COMPUTERS &
INFORMATION--CONTINUED
3,900 Gerber Scientific............ $ 77,025
6,400 Intergraph*.................. 54,400
2,800 Larson Davis*................ 24,500
1,900 Saville Systems, ADR*........ 98,800
5,900 Scitex....................... 51,994
2,016 Sterling Commerce*........... 66,276
----------
474,883
----------
EDUCATION (1.1%)
1,700 Strayer Education............ 64,600
----------
ELECTRONICS (3.9%)
3,000 Elexsys International*....... 50,250
1,950 Microchip Technology*........ 58,013
1,900 Sipex Corporation*........... 68,875
1,500 Teradyne*.................... 58,875
----------
236,013
----------
ENTERTAINMENT & LEISURE
(1.1%)
2,000 Cinar Films, Class B*........ 65,000
----------
FINANCIAL SERVICES (1.9%)
2,000 Bay View Capital............. 52,500
2,325 First Security............... 63,502
----------
116,002
----------
HEALTH CARE PROVIDERS (1.3%)
8,000 Dianon Systems*.............. 77,000
----------
HEAVY MACHINERY (3.8%)
3,300 BW/IP........................ 67,031
1,000 Camco International.......... 54,750
2,700 Global Industrial
Technologies*................ 55,350
1,200 Helix Technology............. 48,600
----------
225,731
----------
HOME CONSTRUCTION,
FURNISHINGS & APPLIANCES
(2.3%)
2,200 Herman Miller................ 79,200
1,600 LA-Z-Boy Chair............... 57,600
----------
136,800
----------
INDUSTRIAL--DIVERSIFIED
(1.0%)
3,000 CN Bioscience*............... 57,000
----------
INSURANCE (2.7%)
900 HSB Group.................... 48,038
2,700 Western National............. 72,394
3,900 Willis Coroon Group.......... 43,631
----------
164,063
----------
MEDIA--BROADCASTING &
PUBLISHING (2.2%)
1,100 Central Newspapers,
Class A...................... 78,788
2,100 Lee Enterprises.............. 55,388
----------
134,176
----------
MEDICAL (3.4%)
3,300 Atria Communities*........... 50,738
2,600 EG&G......................... 58,500
3,300 Elsag Bailey*................ 60,638
2,000 Millennium
Pharmaceuticals*............. 32,250
----------
202,126
----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
10
<PAGE> 12
EMERGING GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
<S> <C> <C>
METALS (2.0%)
2,100 Encore Wire*................. $ 64,050
1,400 Harsco....................... 56,700
----------
120,750
----------
OIL & GAS (4.1%)
500 Cabot Oil & Gas, Class A..... 8,813
1,700 Equitable Resources.......... 48,238
3,000 Nabors Industries*........... 75,000
4,300 Natural Gas Clearinghouse.... 66,381
3,000 Quaker State................. 45,750
----------
244,182
----------
PHARMACEUTICALS (2.1%)
2,900 Depotech*.................... 39,513
7,000 Sequus Pharmaceuticals*...... 44,625
1,400 Sonus Pharmaceuticals*....... 39,375
----------
123,513
----------
REAL ESTATE (1.0%)
2,300 Arden Realty Group........... 59,800
----------
RETAILERS (6.7%)
9,700 Charming Shoppes*............ 50,621
2,500 CUC International*........... 64,531
3,400 Duty Free International...... 63,750
1,400 Fred Meyer*.................. 72,363
1,900 Stanhome..................... 62,463
1,400 Waban*....................... 45,063
2,000 Zale*........................ 39,625
----------
398,416
----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
<S> <C> <C>
TEXTILES, CLOTHING & FABRICS
(1.7%)
2,200 Albany International......... $ 49,500
3,900 Stride Rite.................. 50,213
----------
99,713
----------
TRANSPORTATION (5.0%)
2,000 Alexander & Baldwin.......... 52,250
5,300 Fritz Companies*............. 51,344
3,400 JB Hunt Transportation
Services..................... 50,575
2,500 Knightsbridge Tankers........ 63,125
4,300 Newport News Shipbuilding.... 83,581
----------
300,875
----------
TOTAL COMMON STOCKS
(COST $4,601,720)........................ 5,589,463
----------
TOTAL INVESTMENTS AT VALUE (93.4%) (COST
$4,601,720)(a)........................... 5,589,463
CASH AND OTHER ASSETS NET OF LIABILITIES
(6.6%)................................... 395,128
----------
NET ASSETS (100.0%)...................... $5,984,591
==========
</TABLE>
- ------------------------------
* Non-income producing security
(a) The aggregate identified cost for federal income tax purposes is $4,601,720,
the aggregate gross unrealized appreciation of $1,120,272 and gross
unrealized depreciation of $132,529, and net unrealized appreciation of
$987,743.
ADR - American Depositary Receipt
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
<S> <C> <C>
COMMON STOCKS (94.9%)
ARGENTINA (0.0%)
1 Compania Naviera Perez
Companc.................... $ 9
----------
AUSTRALIA (0.0%)
1 Broken Hill Proprietary...... 7
----------
BRAZIL (5.4%)
1,560 Cemig, ADR................... 78,540
3,330 Petroleo Brasileiro, ADR..... 91,249
1,470 Telecomunicacoes Brasileiras,
ADR........................ 223,073
1,120 Unibanco, GDR*............... 41,580
----------
434,442
----------
CANADA (1.9%)
1,886 Canadian Imperial Bank....... 47,452
1,500 Inco......................... 45,094
1,320 Royal Bank of Canada......... 59,828
----------
152,374
----------
CHILE (1.9%)
1,325 Chilectra, ADR............... 38,134
1,830 Chilgener, ADR............... 51,240
1,620 Compania De
Telecomunicaciones......... 53,460
300 Enersis, ADR................. 10,669
----------
153,503
----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
<S> <C> <C>
FINLAND (1.4%)
900 Nokia, ADR................... $ 66,375
270 Nokia, Class A............... 20,395
965 Pohjola Insurance, Class B... 28,637
----------
115,407
----------
FRANCE (6.8%)
387 Accor........................ 57,980
390 Alcatel Alsthom.............. 48,867
627 AXA.......................... 39,016
53 Carrefour Supermarche........ 38,511
183 Christian Dior............... 30,221
348 Cie Generale Des Eaux........ 44,613
254 Compagnie De Saint Goban..... 37,060
13,380 Compagnie Financierede
Suez....................... 32,916
250 Rhone Polenc, ADR............ 10,406
225 Rhone Polenc................. 9,194
500 SGS-Thompson
Microelectronics*.......... 40,000
358 Societe National
Elf-Aquitaine.............. 38,642
364 Technip...................... 42,264
327 Total, Series B.............. 33,069
2,160 Usinor Sacilor............... 38,981
----------
541,740
----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
11
<PAGE> 13
INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
<S> <C> <C>
COMMON STOCKS--CONTINUED
GERMANY (5.3%)
152 Adidas....................... $ 16,836
1,242 Commerzbank.................. 35,212
441 Daimler Benz................. 35,813
1,300 Degussa...................... 68,863
238 Kloeckner Werke*............. 16,527
56 Mannesmann................... 24,972
292 Schering..................... 31,229
666 Siemens, Ordinary............ 39,579
447 Veba......................... 25,140
173 Volkswagen................... 132,745
----------
426,916
----------
GREAT BRITAIN (11.4%)
17,400 Avis Europe*................. 39,569
13,330 BG........................... 49,079
3,139 Boots........................ 36,790
6,756 British Petroleum............ 84,022
6,296 British Telecommunications... 46,782
8,400 Compass Group................ 94,252
2,652 Imperial Chemical
Industries................. 36,914
5,630 Lloyds TSB Group............. 57,778
6,696 Lucasvarity.................. 23,204
1,794 National Westminster......... 24,135
5,685 Pearson...................... 65,872
5,270 Railtrack Group.............. 54,918
4,983 Standard Chartered Bank...... 76,043
1,878 Unilever..................... 53,861
420 United News & Media.......... 4,874
25,813 WPP Group.................... 106,006
80 Zeneca Group, ADR............ 7,930
1,500 Zeneca Group................. 49,630
----------
911,659
----------
HONG KONG (4.8%)
7,500 Cheung Kong Holdings......... 74,058
14,000 Citic Pacific................ 87,463
37,000 Henderson Investment......... 40,834
21,000 Hong Kong & China Gas........ 42,015
3,156 HSBC Holdings................ 94,917
4,500 Swire Pacific, Class A....... 40,514
----------
379,801
----------
ISRAEL (0.9%)
1,200 ECI Telecommunications....... 35,700
190 Geotek Communications*....... 1,033
500 Teva Pharmaceutical
Industries................. 32,375
----------
69,108
----------
ITALY (3.5%)
627 Gucci Group.................. 40,363
5,500 Istituto Mobiliare
Italiano................... 49,218
19,700 Stet, Savings................ 68,212
4,403 Stet......................... 25,645
23,000 Telecom Italia Mobile, SPA... 73,970
10,150 Telecom Italia Mobile........ 18,002
----------
275,410
----------
JAPAN (22.5%)
900 Acom......................... 43,398
1,100 Advantest.................... 84,560
1,000 Aoyama Trading............... 32,147
600 Bank of Tokyo-Mitsubishi..... 12,055
3,000 Bridgestone.................. 69,710
3,000 Canon........................ 81,765
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
<S> <C> <C>
JAPAN--CONTINUED
3,000 Daiichi Pharmaceutical....... $ 52,937
5,000 Fujitsu...................... 69,447
2,000 Fuji......................... 80,542
2,000 Honda Motor.................. 60,275
1,600 Konami Company............... 59,821
4,000 Matsushita Electric.......... 80,716
6,000 Minebea...................... 63,944
3,000 Mitsubishi Estate............ 43,503
3,000 Mitsubishi Trust............. 47,434
1,100 Namco........................ 42,472
5,000 NEC.......................... 69,884
700 Nintendo Corp................ 58,580
3,000 Nippon Comsys................ 44,551
150 Nippon Television Network.... 60,275
1,000 Ono Pharmaceutical........... 35,029
800 Promise Company.............. 45,844
1,000 Secom........................ 73,466
4,000 Sharp........................ 55,209
700 Sony......................... 61,088
4,000 Sumitomo Trust & Banking..... 42,979
3,000 Takuma....................... 40,882
1,000 TDK.......................... 73,466
2,000 Terumo....................... 38,262
9,000 Toshiba...................... 57,943
2,000 Toyota Motor................. 59,052
2,000 Yamanouchi Pharmaceutical.... 53,811
----------
1,795,047
----------
KOREA (1.4%)
4,940 Korea Fund*.................. 72,865
1,220 Pohang Iron & Steel.......... 39,040
----------
111,905
----------
MEXICO (4.5%)
18,000 Cemex, Class B............... 86,701
3,850 Corporacion Geo, Series B*... 22,127
15,015 Fomento Economico Mexicano... 89,318
14,000 Grupo Financiero Banamex,
Series B................... 36,270
17,600 Grupo Financiero Banamex,
Series L................... 41,170
22,000 Kimberly Clark Mexico,
Series A..................... 87,153
----------
362,739
----------
NETHERLANDS (5.5%)
595 Ahrend....................... 40,192
764 ASM Lithography Holding*..... 44,208
913 Ing Groep.................... 42,124
281 Oce-Van Der Grinten.......... 36,273
2,250 Philips Electronics.......... 161,280
734 Vendex International......... 40,227
3,270 Verenigde Nederlandse........ 72,352
----------
436,656
----------
PERU (1.1%)
3,300 Telefonica Del Peru.......... 86,419
----------
PHILIPPINES (0.1%)
7,125 Ayala, Class B............... 5,133
----------
PORTUGAL (0.9%)
1,400 Cimentos De Portugal......... 32,661
800 Portugal Telecom............. 32,304
200 Portugal Telecom, ADR........ 8,025
----------
72,990
----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
12
<PAGE> 14
INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
<S> <C> <C>
COMMON STOCKS--CONTINUED
SINGAPORE (2.0%)
3,960 Overseas Chinese Banking..... $ 40,993
2,400 Singapore Press Holdings..... 48,346
8,000 Straits Steamship Land....... 21,263
4,800 United Overseas Bank......... 49,353
----------
159,955
----------
SPAIN (3.0%)
2,450 Autopistas Concesionaria..... 33,260
2,829 Banco De Santander........... 87,179
115 Bankinter.................... 20,295
713 Sol Melia.................... 29,280
800 Telefonica De Espana......... 69,000
----------
239,014
----------
SWEDEN (3.6%)
590 ABB.......................... 8,283
745 Electrolux................... 53,786
1,190 Ericsson Telephone........... 46,856
78 Granges*..................... 1,034
1,985 Hennes & Mauritz Fria........ 69,857
1,400 Skandia Forsakrings.......... 51,624
2,100 SKF.......................... 54,341
----------
285,781
----------
SWITZERLAND (5.9%)
129 Adecco....................... 49,503
26 Asea Brown Boveri............ 39,375
36 Gebruder Sulzer.............. 30,837
11 Kuoni Reisen Holdings........ 37,689
5 Novartis-Bearer.............. 7,990
89 Novartis..................... 144,181
10 Roche Holding................ 90,489
30 Sairgroup*................... 33,633
25 Swiss Reinsurance............ 35,377
----------
469,074
----------
VENEZUELA (1.1%)
2,000 Cia Anonima Telef De
Venezuela, ADR............. 86,250
----------
TOTAL COMMON STOCKS
(COST $6,215,134)........................ 7,571,339
----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
<S> <C> <C>
PREFERRED STOCKS (1.4%)
GERMANY (1.4%)
35 Dyckerhoff................... $ 12,655
133 GEA.......................... 51,599
836 Henkel....................... 47,499
----------
111,753
----------
TOTAL PREFERRED STOCKS
(COST $103,496).............. 111,753
----------
<CAPTION>
PRINCIPAL
- ----------
<S> <C> <C>
CORPORATE BONDS (0.0%)
CAYMAN ISLANDS (0.0%)
50 HKR International............ 6
----------
TOTAL CORPORATE BONDS (COST $6).......... 6
----------
TOTAL INVESTMENTS AT VALUE (96.3%)
(COST $6,318,636)(a)..................... 7,683,098
CASH AND OTHER ASSETS NET OF LIABILITIES
(3.7%)................................... 297,098
----------
NET ASSETS (100.0%)...................... $7,980,196
==========
</TABLE>
- ------------------------------
* Non-income producing security.
(a) The aggregate identified cost for federal income tax purposes is $6,318,636,
the aggregate gross unrealized appreciation of $1,406,945, and gross
unrealized depreciation of $42,483, and net unrealized appreciation of
$1,364,462.
ADR - American Depositary Receipt
- --------------------------------------------------------------------------------
GROWTH & INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- -----------
<S> <C> <C>
COMMON STOCKS (99.4%)
AEROSPACE & DEFENSE (2.0%)
6,800 McDonnell Douglas........... $ 465,800
-----------
AIRLINES (1.3%)
10,000 Atlantic Southeast Airlines
Holdings.................. 286,250
-----------
AUTOMOTIVE (1.8%)
10,000 Electronic Data Systems..... 410,000
-----------
BANKING (8.9%)
20,000 Bank of Rhode Island*....... 200,000
8,500 Beverly Bancorporation...... 163,625
10,000 First Commerce.............. 440,000
9,100 Nationsbank................. 586,950
25,000 North Folk Bancorp.......... 534,375
3,000 Summit Bancorp.............. 150,375
-----------
2,075,325
-----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- -----------
<S> <C> <C>
BEVERAGES, FOOD & TOBACCO
(9.5%)
13,100 Anheuser-Busch.............. $ 549,381
15,000 Nabisco Holdings, Class A... 598,125
12,000 Pepsico..................... 450,750
16,600 Sysco....................... 605,900
-----------
2,204,156
-----------
BUILDING MATERIALS (1.1%)
3,600 Home Depot.................. 248,175
-----------
CHEMICALS (3.4%)
15,000 Englehard................... 314,063
10,000 Hercules.................... 478,750
-----------
792,813
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
13
<PAGE> 15
GROWTH & INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- -----------
<S> <C> <C>
COMMON STOCKS--CONTINUED
COMMERCIAL SERVICES (1.1%)
7,000 CMS Energy.................. $ 246,750
-----------
COMMUNICATIONS (5.1%)
9,800 3Com*....................... 441,000
23,800 ITT Industries.............. 612,850
21,000 Katz Media Group*........... 137,813
-----------
1,191,663
-----------
COMPUTER SOFTWARE &
PROCESSING (4.9%)
10,000 Ceridian*................... 422,500
10,000 Computer Sciences*.......... 721,250
-----------
1,143,750
-----------
COMPUTERS & INFORMATION
(3.7%)
7,600 Cabletron Systems*.......... 215,175
2,000 Cisco Systems*.............. 134,250
14,000 Sun Microsystems*........... 521,062
-----------
870,487
-----------
COSMETICS & PERSONAL CARE
(2.4%)
4,000 Proctor & Gamble............ 565,000
-----------
DIVERSIFIED OPERATIONS
(2.0%)
19,000 Whitman..................... 456,000
-----------
ELECTRICAL EQUIPMENT (0.9%)
4,000 Thomas & Betts.............. 210,250
-----------
ELECTRONICS (3.7%)
10,800 AMP......................... 450,900
2,950 Intel....................... 418,347
-----------
869,247
-----------
FINANCIAL SERVICES (4.8%)
13,400 Federal National Mortgage
Association............... 584,575
5,000 First Chicago/NBD........... 302,500
15,300 HomeCorp*................... 221,850
-----------
1,108,925
-----------
FOREST PRODUCTS & PAPER
(3.4%)
6,400 Kimberly-Clark.............. 318,400
7,500 Mead........................ 466,875
-----------
785,275
-----------
HEALTH CARE PROVIDERS (0.9%)
5,200 Columbia/HCA Healthcare..... 204,425
-----------
HOME CONSTRUCTION,
FURNISHINGS & APPLIANCES
(5.1%)
10,700 General Electric............ 699,513
12,400 Newell...................... 491,350
-----------
1,190,863
-----------
INSURANCE (4.8%)
2,700 Aetna....................... 276,413
9,000 Chubb....................... 601,875
7,200 Equitable Companies......... 239,400
-----------
1,117,688
-----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- -----------
<S> <C> <C>
MEDIA--BROADCASTING &
PUBLISHING (0.8%)
6,000 Worldcom*................... $ 192,000
-----------
MEDICAL (1.0%)
4,500 United Healthcare........... 234,000
-----------
MEDICAL SUPPLIES (4.2%)
14,100 Johnson Controls............ 578,981
10,000 St. Jude Medical*........... 390,000
-----------
968,981
-----------
METALS (1.2%)
8,500 Trinity Industries.......... 269,875
-----------
OIL & GAS (7.9%)
12,000 Ashland..................... 556,500
8,400 Mobil....................... 586,950
4,000 Texaco...................... 435,000
6,000 Williams Companies.......... 262,500
-----------
1,840,950
-----------
PHARMACEUTICALS (8.7%)
6,000 Abott Laboratories.......... 400,500
7,000 Amgen*...................... 406,875
27,000 Medpartners*................ 583,875
6,200 Merck....................... 641,700
-----------
2,032,950
-----------
RETAILERS (1.1%)
7,600 Wal-Mart Stores............. 256,975
-----------
TELEPHONE SYSTEMS (2.8%)
22,050 American Paging*............ 33,075
9,800 SBC Communications.......... 606,375
-----------
639,450
-----------
TRANSPORTATION (0.9%)
6,300 Illinois Central............ 220,104
-----------
TOTAL COMMON STOCKS
(COST $19,871,580)...................... 23,098,127
-----------
PREFERRED STOCKS (0.9%)
COMPUTER SOFTWARE &
PROCESSING (0.9%)
2,500 Microsoft Corporation,
Class A..................... 217,500
-----------
TOTAL PREFERRED STOCKS
(COST $199,688)............. 217,500
-----------
TOTAL INVESTMENTS AT VALUE (100.3%)
(COST $20,071,268)(a)................... 23,315,627
LIABILITIES NET OF CASH AND OTHER ASSETS
(-0.3%)................................. (75,352)
-----------
NET ASSETS (100.0%)..................... $23,240,275
===========
</TABLE>
- ------------------------------
* Non-income producing security.
(a) The aggregate identified cost for federal income tax purposes is
$20,071,268, the aggregate gross unrealized appreciation of $3,614,591 and
gross unrealized depreciation of $370,232, and net unrealized appreciation
of $3,244,359.
The accompanying notes are an integral part of the financial statements.
14
<PAGE> 16
BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------- -----------
<S> <C> <C>
COMMON STOCKS (59.5%)
AEROSPACE & DEFENSE (3.7%)
1,800 Boeing......................... $ 95,513
900 Lockheed Martin................ 93,202
-----------
188,715
-----------
AIRLINES (2.2%)
1,200 AMR*........................... 111,000
-----------
BANKING (3.5%)
800 Citicorp....................... 96,450
300 Wells Fargo.................... 80,850
-----------
177,300
-----------
BEVERAGES, FOOD & TOBACCO
(3.3%)
1,500 Grand Metropolitan, ADR........ 58,781
1,100 McDonald's..................... 53,144
1,700 Sysco.......................... 62,050
-----------
173,975
-----------
CHEMICALS (3.2%)
1,900 Monsanto....................... 81,819
1,800 SGL Carbon, ADR................ 83,700
-----------
165,519
-----------
COMMERCIAL SERVICES (1.7%)
2,400 R.R. Donnelley & Sons.......... 87,900
-----------
COMMUNICATIONS (1.6%)
3,500 Cox Communications, Class A*... 84,000
-----------
COMPUTERS & INFORMATION (1.5%)
1,900 EMC*........................... 74,100
-----------
ELECTRICAL EQUIPMENT (2.7%)
3,000 Ucar International*............ 137,250
-----------
ELECTRONICS (2.8%)
1,600 Adaptec*....................... 55,600
3,500 General Instrument*............ 87,500
-----------
143,100
-----------
ENTERTAINMENT & LEISURE (1.8%)
1,700 Polaroid....................... 94,350
-----------
FINANCIAL SERVICES (11.2%)
4,100 Countrywide Credit............. 127,869
1,300 Federal National Mortgage
Association.................... 56,713
3,300 Homestead Village Property*.... 58,575
1,600 Renaissancere Holdings......... 61,000
4,300 Sabre Group Holding*........... 116,638
4,400 Security Capital Industrial
Trust.......................... 94,600
2,600 Security Capital Pacific
Trust.......................... 59,475
-----------
574,870
-----------
HEALTH CARE PROVIDERS (2.0%)
3,300 Tenet Healthcare*.............. 97,556
-----------
HEAVY MACHINERY (3.8%)
500 Caterpillar.................... 53,688
4,000 Lucasvarity, ADR............... 138,500
-----------
192,188
-----------
INDUSTRIAL--DIVERSIFIED (1.3%)
900 Armstrong World Industries..... 66,038
-----------
INSURANCE (1.2%)
400 American International Group... 59,750
-----------
LODGING (1.1%)
3,100 Harrah's Entertainment*........ $ 55,800
-----------
OIL & GAS (3.3%)
1,400 Anadarko Petroleum............. 84,000
1,800 Triton Energy*................. 82,463
-----------
166,463
-----------
REAL ESTATE (1.8%)
3,800 Oakwood Homes.................. 91,200
-----------
TELEPHONE SYSTEMS (2.6%)
2,500 Sprint......................... 131,563
-----------
TEXTILES, CLOTHING & FABRICS
(1.4%)
1,900 Unifi.......................... 71,013
-----------
TRANSPORTATION (1.8%)
3,300 Canadian Pacific............... 93,844
-----------
TOTAL COMMON STOCKS
(COST $2,805,009)....................... 3,037,494
-----------
<CAPTION>
PRINCIPAL
- -------
<S> <C> <C>
CORPORATE BONDS (14.6%)
100,000 AK Steel, 9.12% 12/15/06....... 102,750
100,000 BB&T, 7.25% 06/15/07........... 100,246
100,000 Bonos Del Tesoro, 8.75%
05/09/02....................... 100,003
100,000 Chase Manhattan, 7.25%
06/01/07....................... 100,605
95,000 Financiera Energy, 9.38%
06/15/06....................... 100,715
44,500 G.E. Capital Management
Service, 6.50% 03/25/24........ 42,332
40,000 G.E. Capital Management
Service, 6.50% 11/25/23........ 35,371
360,000 Nykredit, 6.00% 10/01/26....... 50,197
69,000 Paine Webber Group, 7.00%
03/01/00....................... 69,475
50,000 Prudential Home Mortgage
Securities, 6.25% 04/25/24..... 42,906
-----------
TOTAL CORPORATE BONDS
(COST $738,935)......................... 744,600
-----------
MORTGAGE BACKED SECURITIES
(3.3%)
20,000 Federal Home Loan Mortgage
Corporation, 6.00% 03/15/08.... 19,429
27,803 Federal National Mortgage
Association, 5.00% 10/25/03.... 27,644
45,000 Federal National Mortgage
Association, 6.15% 10/25/07.... 44,220
40,000 Merrill Lynch Mortgage
Investment, 7.09% 12/26/25..... 40,009
7,923 Merrill Lynch Mortgage
Investment, 9.70% 07/15/10..... 8,119
30,594 Merrill Lynch Mortgage
Investment, 7.65% 01/15/12..... 31,026
-----------
TOTAL MORTGAGE BACKED SECURITIES
(COST $171,558)......................... 170,447
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
15
<PAGE> 17
BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
PRINCIPAL (NOTE 1)
- --------- ----------
<S> <C> <C>
MUNICIPAL BONDS (4.9%)
40,000 Baltimore Community Development
Financing , 8.20% 08/15/07..... $ 42,150
9,269 Denver Colorado City & County
Single Family, 7.25% 12/01/10.. 9,362
20,000 Michigan State Job Development
Authority, 7.10% 05/01/98...... 20,118
15,000 New York City, 9.75% 08/15/12.. 16,313
40,000 New York State HFA Service,
7.50% 09/15/03................. 40,000
50,000 Ohio Housing Financial Agency,
7.90% 10/01/14................. 50,750
30,000 Oklahoma City Airport, 9.40%
11/01/10....................... 32,025
40,000 Oregon State General
Obligation, 6.90% 01/01/00..... 40,000
----------
TOTAL MUNICIPAL BONDS
(COST $246,238)......................... 250,718
----------
SOVEREIGN DEBT (3.6%)
AUSTRALIA (1.4%)
78,000 Australian Government, 10.00%
10/15/07....................... 71,422
----------
<CAPTION> VALUE
PRINCIPAL (NOTE 1)
- --------- ----------
<S> <C> <C>
MEXICO (1.1%)
50,000 Mexico Global Bond, 11.50%
05/15/26....................... $ 57,125
----------
SOUTH AFRICA (1.1%)
294,000 Republic of South Africa,
12.00% 02/28/05................ 57,776
----------
TOTAL SOVEREIGN DEBT
(COST $184,015)......................... 186,323
----------
U.S. GOVERNMENT & AGENCY
OBLIGATIONS (12.3%)
40,000 U.S. Treasury Bond 6.75%
08/15/26....................... 39,568
320,000 U.S. Treasury Note 7.25%
08/15/04....................... 333,270
160,000 U.S. Treasury Note 5.75%
10/31/00....................... 157,424
100,000 U.S. Treasury Note 6.25%
04/30/01....................... 99,750
----------
TOTAL U.S. GOVERNMENT & AGENCY
OBLIGATIONS (COST $629,281)............. 630,012
----------
TOTAL INVESTMENTS AT VALUE (98.2%)
(COST $4,775,036)(a).................... 5,019,594
CASH AND OTHER ASSETS
NET OF LIABILITIES (1.8%)............... 90,727
----------
NET ASSETS (100.0%)..................... $5,110,321
==========
</TABLE>
- ------------------------------
* Non-income producing security.
(a) The aggregate identified cost for federal income tax purposes is $4,775,036,
the aggregate gross unrealized appreciation of $272,207, gross unrealized
depreciation of $27,649, and net unrealized appreciation of $244,558.
ADR - American Depositary Receipt
HFA - Housing Finance Authority
- --------------------------------------------------------------------------------
INCOME OPPORTUNITY PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
PRINCIPAL (NOTE 1)
- ---------- -----------
<S> <C> <C>
CORPORATE BONDS (70.0%)
BANKING (6.1%)
$1,000,000 Bangkok Land, 3.13%,
03/31/01.................. $ 198,725
500,000 DGS International Finance,
10.00%, 06/01/07.......... 515,000
----------
713,725
----------
BEVERAGES, FOOD & TOBACCO
(2.5%)
300,000 Specialty Foods, 11.13%,
10/01/02.................. 297,000
----------
CHEMICALS (1.7%)
200,000 Harris Chemical, 10.75%,
10/15/03.................. 204,000
----------
COMPUTERS & INFORMATION
(2.3%)
250,000 Unisys, 12.00%, 04/15/03.... 270,625
----------
<CAPTION>
VALUE
PRINCIPAL (NOTE 1)
- ---------- ----------
<S> <C> <C>
ENTERTAINMENT & LEISURE
(9.0%)
$ 350,000 Conecel, 14.00%, 05/01/02... $ 371,875
250,000 Pen-Tab Industries, 10.87%,
02/01/07.................. 254,375
400,000 TV Filme, 12.88%,
12/15/04.................. 419,500
----------
1,045,750
----------
FINANCIAL SERVICES (8.8%)
1,000,000 PTC International Finance
(Zero Coupon until
7/1/2002, 10.75%
thereafter)(b), 0.00%,
07/01/07.................. 607,500
400,000 Vicap, 11.38%, 05/15/07..... 419,000
----------
1,026,500
----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
16
<PAGE> 18
INCOME OPPORTUNITY PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
PRINCIPAL (NOTE 1)
- ---------- -----------
<S> <C> <C>
CORPORATE BONDS--CONTINUED
HEAVY MACHINERY (9.4%)
$ 250,000 Anchor Glass, 11.25%,
04/01/05.................. $ 268,125
250,000 Central Tractor, 10.62%,
04/01/07.................. 258,750
250,000 EV International, 11.00%,
03/15/07.................. 265,000
300,000 Precise Technology, 11.13%,
06/15/07.................. 299,250
-----------
1,091,125
-----------
INDUSTRIAL--DIVERSIFIED
(16.6%)
500,000 FSW International, 12.50%,
11/01/06.................. 516,250
300,000 ICO, 10.37%, 06/01/07....... 308,250
250,000 Neenah, 11.13%, 05/01/07.... 265,000
500,000 Nippon Denro Ispat, 3.00%,
04/01/01.................. 265,000
1,250,000 NTS Steel Group Public,
4.00%, 12/16/08........... 256,250
300,000 Therma-Wave, 10.62%,
05/15/04.................. 318,000
-----------
1,928,750
-----------
MEDIA--BROADCASTING &
PUBLISHING (2.2%)
250,000 ITC Deltacom, 11.00%,
06/01/07.................. 254,063
-----------
TELEPHONE SYSTEMS (5.4%)
250,000 Brooks Fiber Properties,
10.00%, 06/01/07.......... 252,500
350,000 Tevecap, 12.63%, 11/26/04... 377,125
-----------
629,625
-----------
TRANSPORTATION (6.0%)
300,000 Talton Holdings, 11.00%,
06/30/07.................. 301,500
250,000 TFM (Zero Coupon until
6/15/2002, 11.75%
thereafter)(b), 0.00%,
06/15/09.................. 144,374
250,000 TFM, 10.25%, 06/15/07....... 254,375
-----------
700,249
-----------
TOTAL CORPORATE BONDS
(COST $8,254,156)....................... 8,161,412
-----------
<CAPTION>
VALUE
PRINCIPAL (NOTE 1)
- --------- -----------
<S> <C> <C>
SOVEREIGN DEBT $(19.0%)
ARGENTINA (4.0%)
485,000 Argentina, 6.75%,
03/31/05.................. $ 455,599
-----------
BRAZIL (3.6%)
439,000 Republic of Brazil, 10.13%,
05/15/27.................. 422,538
-----------
BULGARIA (3.7%)
$ 400,000 Government of Bulgaria,
6.56%, 07/28/24........... 293,500
200,000 Government of Bulgaria,
6.56%, 07/28/11........... 143,750
-----------
437,250
-----------
ECUADOR (1.1%)
188,000 Republic of Ecuador, 6.44%,
02/28/25.................. 133,950
-----------
PERU (3.3%)
600,000 Peru, 4.00%, 03/07/17....... 390,000
-----------
VENEZUELA (3.3%)
200,000 Republic of Venezuela,
6.75%, 03/31/20........... 157,500
250,000 Republic of Venezuela,
6.75%, 12/18/07........... 231,563
-----------
389,063
-----------
TOTAL SOVEREIGN DEBT
(COST $1,991,631)....................... 2,228,400
-----------
YANKEE BONDS (5.1%)
MEXICO (5.0%)
850,000 Grupo Televisa (Zero Coupon
until 5/15/2001, 13.25%
thereafter)(b), 0.00%,
05/15/08.................. 591,813
-----------
TOTAL YANKEE BONDS (COST $570,238)...... 591,813
-----------
TOTAL INVESTMENTS AT VALUE (94.1%)
(COST $10,816,025)(a)................... $10,981,625
CASH AND OTHER ASSETS NET OF
LIABILITIES (5.9%)...................... 683,997
-----------
NET ASSETS (100.0%)..................... $11,665,622
===========
</TABLE>
- ------------------------------
(a) The aggregate identified cost for federal income tax purposes is
$10,816,025, the aggregate gross unrealized appreciation of $503,617 and
gross unrealized depreciation of $338,017, and net unrealized appreciation
of $165,600.
(b) Step coupon bond.
The accompanying notes are an integral part of the financial statements.
17
<PAGE> 19
BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
PRINCIPAL (NOTE 1)
- ---------- -----------
<S> <C> <C>
ASSET BACKED SECURITIES (12.4%)
$ 500,000 Advanta Mortgage Loan Trust,
6.03%, 08/25/11........... $ 492,422
265,384 Chase Manhattan Grantor
Trust, 5.20%, 02/15/02.... 263,407
750,000 Chemical Credit Card Master
Trust, 5.98%, 09/15/08.... 710,100
422,665 Navistar Financial, 6.35%,
11/15/02.................. 424,673
-----------
TOTAL ASSET BACKED SECURITIES
(COST $1,877,821)....................... 1,890,602
-----------
CORPORATE BONDS (39.2%)
AIRLINES (1.2%)
75,000 Delta Airlines, 10.37%,
02/01/11.................. 92,234
75,000 United Airlines, 10.25%,
07/15/21.................. 92,930
-----------
185,164
-----------
AUTOMOTIVE (3.2%)
500,000 Ford Motor, 6.25%, 11/08/00... 493,235
-----------
BANKING (4.1%)
500,000 Bank of New York, 8.50%,
12/15/04.................. 540,559
92,190 Mercantile Safe Deposit+,
12.12%, 01/02/01.......... 99,412
-----------
639,971
-----------
BEVERAGES, FOOD & TOBACCO
(3.3%)
500,000 Rykoff Sexton, 8.87%,
11/01/03.................. 495,000
-----------
COMMERCIAL SERVICES (5.0%)
500,000 MCN Financing, 6.30%,
06/01/98.................. 500,000
250,000 Mississippi Power & Light,
8.80%, 04/01/05........... 253,752
-----------
753,752
-----------
COMMUNICATIONS (3.3%)
500,000 Harris Corporation, 6.65%,
08/01/06.................. 500,140
-----------
COMPUTERS & INFORMATION
(1.6%)
250,000 IBM, 7.00%, 10/30/25........ 236,500
-----------
FINANCIAL SERVICES (9.1%)
400,000 Associates Corp. of North
America, 7.88%,
09/30/01.................. 416,427
650,000 Chase Capital, 7.67%,
12/01/26.................. 627,206
350,000 First Union, 6.55%, 10/15/35... 338,262
-----------
1,381,895
-----------
FOREST PRODUCTS & PAPER
(1.8%)
250,000 Georgia Pacific, 9.50%,
05/15/22.................. 272,514
-----------
INSURANCE (1.6%)
250,000 Travelers Capital, 7.75%,
12/01/36.................. 241,642
-----------
<CAPTION>
VALUE
PRINCIPAL (NOTE 1)
- ---------- -----------
<S> <C> <C>
MEDIA--BROADCASTING &
PUBLISHING (5.0%)
$ 250,000 News America Holdings,
10.13%, 10/15/12.......... $ 281,422
500,000 Viacom, 7.75%, 06/01/05..... 501,833
-----------
783,255
-----------
TOTAL CORPORATE BONDS (COST
$5,888,893)............................. 5,983,068
-----------
MORTGAGE BACKED SECURITIES (15.3%)
52,615 Federal Home Loan Mortgage
Association, 6.00%,
10/01/10.................. 50,817
181,927 Federal Home Loan Mortgage
Association, 6.00%,
05/01/09.................. 176,327
620,731 Federal Home Loan Mortgage
Association, 6.00%,
08/01/10.................. 599,514
64,168 Government National Mortgage
Association, 10.25%,
07/15/12.................. 64,168
419,729 Government National Mortgage
Association, 6.50%,
01/15/24.................. 404,077
427,346 Government National Mortgage
Association, 9.00%,
08/15/19.................. 457,623
575,673 Government National Mortgage
Association, 7.00%,
06/15/09.................. 577,981
-----------
TOTAL MORTGAGE BACKED SECURITIES (COST
$2,299,610)............................. 2,330,507
-----------
AGENCY FOR INTERNATIONAL DEVELOPMENT BONDS+ (5.0%)
145,000 Central America
International Development,
10.00%, 12/01/11.......... 164,938
145,000 Central America
International Development,
10.00%, 12/01/11.......... 164,938
145,000 Central America
International Development,
10.00%, 12/01/11.......... 164,938
100,000 Republic of Honduras
International Development,
Series C, 13.00%, 06/01/06 127,878
100,000 Republic of Honduras
International Development,
Series D, 13.00%, 06/01/11 139,833
-----------
TOTAL AGENCY FOR INTERNATIONAL
DEVELOPMENT BONDS (COST $635,000)....... 762,525
-----------
U.S. GOVERNMENT & AGENCY OBLIGATIONS
(16.9%)
400,000 U.S. Treasury Note, 5.75%,
08/15/03.................. 386,250
200,000 U.S. Treasury Note, 5.87%,
02/15/04.................. 193,750
</TABLE>
The accompanying notes are an integral part of the financial statements.
18
<PAGE> 20
BOND PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
PRINCIPAL (NOTE 1)
- ---------- -----------
<S> <C> <C>
1,000,000 U.S. Treasury Note, 6.50%,
10/15/06.................. $ 995,625
1,000,000 U.S. Treasury Note, 5.87%,
11/15/99.................. 993,437
-----------
TOTAL U.S. GOVERNMENT & AGENCY
OBLIGATIONS (COST $2,567,067)........... 2,569,062
-----------
YANKEE BONDS (3.9%)
600,000 Province of Quebec, 7.50%,
07/15/23.................. 590,207
-----------
TOTAL YANKEE BONDS (COST $585,745)...... 590,207
-----------
<CAPTION>
VALUE
SHARES (NOTE 2)
- ---------- -----------
<S> <C> <C>
PREFERRED STOCKS (3.5%)
OIL & GAS (3.5%)
20,000 Transcanada Pipelines....... $ 530,000
-----------
TOTAL PREFERRED STOCKS (COST $512,500).. 530,000
-----------
TOTAL INVESTMENTS AT VALUE (96.2%)
(COST $14,366,636)(a)................... 14,655,971
CASH AND OTHER ASSETS NET OF LIABILITIES
(3.8%).................................. 571,331
-----------
NET ASSETS (100.0%)..................... $15,227,302
===========
</TABLE>
- ------------------------------
(a) The aggregate identified cost for federal income tax purposes is
$14,366,636, the aggregate gross unrealized appreciation of $341,516 and
gross unrealized depreciation of $52,181, net unrealized appreciation of
$289,335.
+ Restricted Security.
The accompanying notes are an integral part of the financial statements.
19
<PAGE> 21
SELECT ADVISORS PORTFOLIOS
Statement of Assets and Liabilities
June 30, 1997 (unaudited)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
EMERGING INTERNATIONAL GROWTH & INCOME
GROWTH EQUITY INCOME BALANCED OPPORTUNITY BOND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- ----------- ---------- --------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments, at value (Note 1)(a) $5,589,463 $ 7,683,098 $23,315,627 $5,019,594 $10,981,625 $14,655,971
Cash 428,269 264,643 136,194 44,936 1,087,131 462,836
Receivables for:
Securities sold -- 193,954 -- 12,970 -- --
Dividends 4,420 14,724 30,283 4,014 -- 10,936
Foreign tax reclaims -- 9,368 120 -- -- --
Gain forward contracts -- -- -- 1,528 -- --
Interest 1,909 2,971 2,678 30,636 145,933 166,114
Receivable from Sponsor -- 25,772 -- 6,130 24,091 --
Deferred organization expenses 15,937 15,937 15,937 15,937 15,937 15,937
Other assets 18,442 59,553 24,488 17,390 7,417 22,496
---------- ----------- ----------- ---------- ----------- -----------
Total assets 6,058,440 8,270,020 23,525,326 5,153,135 12,262,134 15,334,290
---------- ----------- ----------- ---------- ----------- -----------
LIABILITIES:
Payable for investments purchased 49,646 234,154 -- 30,422 592,410 --
Payable to Advisor (Note 2) 11,091 -- 253,495 -- -- 88,328
Loss forward contracts -- 414
Other accrued expenses 13,112 55,256 31,556 12,392 14,102 18,660
---------- ----------- ----------- ---------- ----------- -----------
Total liabilities 73,849 289,824 285,051 42,814 606,512 106,988
---------- ----------- ----------- ---------- ----------- -----------
NET ASSETS:
Applicable to investors' beneficial
interests $5,984,591 $ 7,980,196 $23,240,275 $5,110,321 $11,655,622 $15,227,302
========== =========== =========== ========== =========== ===========
(a) Cost of investments $4,601,720 $ 6,318,636 $20,071,268 $4,775,036 $10,816,025 $14,366,636
========== =========== =========== ========== =========== ===========
</TABLE>
Statement of Operations
For the six months ended June 30, 1997 (unaudited)
<TABLE>
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME (NOTE 1)
Interest $ 8,871 $ 9,040 $ 29,321 $ 58,455 $ 565,242 $ 511,578
Dividends 23,952 80,000(a) 154,782 17,690 -- --
---------- ----------- ----------- ---------- ----------- -----------
Total investment income 32,823 89,040 184,103 76,145 565,242 511,578
---------- ----------- ----------- ---------- ----------- -----------
EXPENSES:
Administration and fund accounting
fees 26,035 33,720 26,035 26,035 26,035 26,035
Investment advisory fees (Note 2) 19,934 33,421 81,424 16,454 25,707 39,920
Auditing fees 4,053 4,020 12,306 2,892 6,462 7,459
Amortization of organization expenses
(Note 1) 3,497 3,497 3,497 3,497 3,497 3,497
Trustee fees (Note 2) 822 815 2,496 586 1,310 1,513
Custody fees 7,443 43,695 11,130 7,691 5,586 6,934
Miscellaneous 2,241 2,224 6,791 1,624 3,527 4,153
---------- ----------- ----------- ---------- ----------- -----------
Total expenses 64,025 121,392 143,679 58,779 72,124 89,511
Reimbursement from Advisor (24,649) (63,637) (4,746) (26,567) (18,170) (25,517)
---------- ----------- ----------- ---------- ----------- -----------
NET EXPENSES 39,376 57,755 138,933 32,212 53,954 63,994
---------- ----------- ----------- ---------- ----------- -----------
NET INVESTMENT INCOME (LOSS) (6,553) 31,285 45,170 43,933 511,288 447,584
---------- ----------- ----------- ---------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on investments 415,316 304,283(b) 721,241 775,770 (c) 345,344 42,357
Net change in unrealized appreciation 268,544 620,526 749,409 (352,173) (115,730) (61,107)
---------- ----------- ----------- ---------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN: 683,860 924,809 1,470,650 423,597 229,614 (18,750)
---------- ----------- ----------- ---------- ----------- -----------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ 677,307 $ 956,094 $ 1,515,820 $ 467,530 $ 740,902 $ 428,834
========== =========== =========== ========== =========== ===========
</TABLE>
- ------------------------------
(a) Net of foreign tax withholding of $9,433.
(b) Includes foreign currency transactions loss of $24,107.
(c) Includes foreign currency transactions gains of $263.
The accompanying notes are an integral part of the financial statements.
20
<PAGE> 22
[This Page Intentionally Left Blank]
21
<PAGE> 23
SELECT ADVISORS PORTFOLIOS
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
1997 DECEMBER 31, 1997 DECEMBER 31,
(UNAUDITED) 1996 (UNAUDITED) 1996
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss) (6,553) (10,291) 31,285 20,197
Net realized gain (loss) on investments 415,316 281,561 304,283(a) 134,444(b)
Net change in unrealized appreciation (depreciation)
on investments 268,544 222,880 620,526 476,242
---------- ---------- ---------- ----------
Net increase in net assets resulting from operations 677,307 494,150 956,094 630,883
---------- ---------- ---------- ----------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTEREST:
Contributions 900,057 1,861,907 638,443 1,107,986
Withdrawals (195,564) (1,631,580) (185,788) (275,007)
---------- ---------- ---------- ----------
Net increase from investors' transactions: 704,493 230,327 452,655 832,979
---------- ---------- ---------- ----------
TOTAL INCREASE IN NET ASSETS 1,381,800 724,477 1,408,749 1,463,862
NET ASSETS:
Beginning of period 4,602,791 3,878,314 6,571,447 5,107,585
---------- ---------- ---------- ----------
End of period $5,984,591 $4,602,791 $7,980,196 $6,571,447
========== ========== ========== ==========
</TABLE>
- ------------------------------
(a) Includes foreign currency transactions loss of $24,107.
(b) Includes foreign currency transactions losses of $14,643.
(c) Includes foreign currency transactions gains of $263.
Ratios and Supplementary Data
<TABLE>
- --------------------------------------------------------------------------------------------------------------------------
<CAPTION>
FOR THE SIX MONTHS ENDED JUNE 30, EMERGING GROWTH INTERNATIONAL EQUITY
1997 (UNAUDITED), THE YEARS, ENDED PORTFOLIO PORTFOLIO
DECEMBER 31, 1996 AND 1995, AND FOR ---------------------------------------- ---------------------------------------
THE PERIOD ENDED DECEMBER 31, 1994 1997 1996 1995 1994(a) 1997 1996 1995 1994(a)
------ ------ ----- ------- ------ ------ ---- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Ratios to average net assets(b):
Expenses 1.58% 1.61% 1.59% 2.56% 1.64% 1.67% 1.65% 3.20%
Net investment income (loss) (0.26%) (0.23%) (0.12%) 5.51% 0.89% 0.35% 0.09% (1.68%)
Ratios of expenses to average net
assets without waiver and
reimbursement 2.57% 2.94% 3.59% 7.35% 3.45% 3.12% 3.87% 4.62%
Portfolio turnover 54% 117% 109% 150% 76% 86% 90% 7%
Average commission rate(c) $0.0574 $0.0553 -- -- $0.0440 $0.0259 -- --
- ------------------------------
(a) The Portfolios commenced operations on October 3, 1994.
(b) Ratios are annualized for periods less than one year.
(c) For fiscal years beginning on or after September 1, 1995, a fund is required to disclose its average commission rate per share
for security trades on which commissions are charged. This amount may vary between periods and funds depending on the volume
and character of trades executed in various markets where trading practices and commission rate structures may differ.
</TABLE>
The accompanying notes are an integral part of the financial statements.
22
<PAGE> 24
<TABLE>
- ----------------------------------------------------------------------------------------------------------------------
<CAPTION>
GROWTH & INCOME BALANCED INCOME OPPORTUNITY BOND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------- ---------------------------- ---------------------------- ------------
FOR THE SIX FOR THE SIX FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE MONTHS ENDED FOR THE MONTHS ENDED FOR THE MONTHS ENDED
JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED JUNE 30,
1997 DECEMBER 31, 1997 DECEMBER 31, 1997 DECEMBER 31, 1997
(UNAUDITED) 1996 (UNAUDITED) 1996 (UNAUDITED) 1996 (UNAUDITED)
----------- ----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
45,170 161,590 43,933 70,858 511,288 497,340 447,584
721,241 3,329,104 775,770(c) 145,710 345,344 384,732 42,357
749,409 (599,755) (352,173) 341,232 (115,730) 175,750 (61,107)
----------- ----------- ---------- ---------- ----------- ---------- -----------
1,515,820 2,890,939 467,530 557,800 740,902 1,057,822 428,834
----------- ----------- ---------- ---------- ----------- ---------- -----------
2,016,416 2,962,725 819,514 998,640 6,210,913 4,501,206 1,742,802
(1,248,121) (473,261) (206,515) (411,455) (2,435,566) (991,120) (472,124)
----------- ----------- ---------- ---------- ----------- ---------- -----------
768,294 2,489,464 612,999 587,185 3,775,357 3,510,086 1,270,678
----------- ----------- ---------- ---------- ----------- ---------- -----------
2,284,114 5,380,403 1,080,529 1,144,985 4,516,259 4,567,908 1,699,512
20,956,161 15,575,758 4,029,792 2,884,807 7,149,364 2,581,456 13,527,790
----------- ----------- ---------- ---------- ----------- ---------- -----------
$23,240,275 $20,956,161 $5,110,321 $4,029,792 $11,665,623 $7,149,364 $15,227,302
=========== =========== ========== ========== =========== ========== ===========
<CAPTION>
BOND
PORTFOLIO
---------
FOR THE
YEAR ENDED
DECEMBER 31,
1996
-----------
<S> <C>
797,564
(14,517)
(399,872)
-----------
383,175
-----------
867,436
(349,615)
-----------
517,821
-----------
900,996
12,626,794
-----------
$13,527,790
===========
</TABLE>
<TABLE>
- --------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
GROWTH & INCOME BALANCED INCOME OPPORTUNITY
PORTFOLIO PORTFOLIO PORTFOLIO
--------------------------------------- --------------------------------------- ------------------------------------
1997 1996 1995 1994(a) 1997 1996 1995 1994(a) 1997 1996 1995 1994(a)
----- ---- ---- ------- ----- ---- ---- ------- ---- ---- ---- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1.28% 1.00% 1.23% 1.20% 1.44% 1.51% 1.51% 1.33% 1.22% 1.31% 1.42% 2.20%
0.42% 0.87% 0.91% 1.11% 1.97% 2.06% 2.29% 3.13% 11.58% 11.31% 12.53% 8.09%
1.32% 1.34% 1.53% 1.95% 2.69% 3.38% 4.39% 6.48% 1.63% 2.74% 4.77% 7.48%
72% 92% 102% 10% 100% 88% 121% 7% 97% 222% 120% 144%
$0.0560 $0.0571 -- -- $0.0592 $0.0683 -- -- -- -- -- --
<CAPTION>
BOND
PORTFOLIO
----------------------------------
1997 1996 1995 1994(a)
---- ---- ---- -------
<S> <C> <C> <C>
0.90% 0.85% 1.02% 1.21%
6.26% 6.18% 6.66% 6.32%
1.25% 1.32% 1.40% 1.76%
51% 64% 78% 11%
-- -- -- --
</TABLE>
The accompanying notes are an integral part of the financial statements.
23
<PAGE> 25
SELECT ADVISORS PORTFOLIOS
Notes to Financial Statements
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES:
Select Advisors Portfolios (the "Portfolio Trust") was organized as a New
York master trust fund on February 7, 1994 and is registered under the
Investment Company Act of 1940, as amended (the "Act"), as an open-end
management investment company. The Portfolio Trust consists of eight subtrusts
(each a "Portfolio"), each having distinct investment objectives and policies:
Emerging Growth Portfolio, International Equity Portfolio, Growth & Income
Portfolio, Balanced Portfolio, Income Opportunity Portfolio, Bond Portfolio,
Bond Portfolio II and Growth & Income II. Bond Portfolio II and Growth & Income
II are included in a separate report.
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 under consistently applied procedures in accordance with
procedures established by the Trustees of the Portfolio Trust. Such procedures
include the use of independent pricing services, which use 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
portfolio securities with a remaining maturity of less than 60 days are valued
at amortized cost, which approximates market.
b) 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 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 Statement of Operations from the effects of
changes in market prices of these securities, but are included with net realized
and unrealized gain or loss on investments.
c) 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.
d) 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.
Therefore, 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.
e) 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.
24
<PAGE> 26
SELECT ADVISORS PORTFOLIOS
Notes to Financial Statements
- --------------------------------------------------------------------------------
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.
f) 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.
g) 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. Any amount received by the Portfolio
from a corresponding Fund as a result of a redemption by Touchstone Advisors,
Inc. of any of its organizational seed capital shares of the Fund will be
applied so as to reduce the amount of unamortized organization expenses. The
amount paid by the Portfolio Trust on any withdrawal by the Select Advisors
Trust A or Select Advisors Trust C of all or a part of its organizational seed
capital investment ("Initial Interest") 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 Initial Interest withdrawn to the aggregate
amount of the Initial Interests in the Portfolio then-outstanding after taking
into account any prior withdrawals of any portion of the Initial Interests in
the Portfolio.
h) Other. 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) Investment Advisor. The Portfolio Trust has an investment advisory
agreement with Touchstone Advisors, Inc. (the "Advisor") a subsidiary of
Western-Southern Life Assurance Company ("Western-Southern"). Under the terms of
the investment advisory agreement, each Portfolio pays an investment advisory
fee that is computed daily and paid monthly. For the six months ended June 30,
1997, each Portfolio incurred the following investment advisory fees equal on an
annual basis to the following percentages of the average daily net assets of the
Portfolio. The Balanced Portfolio's advisory fee changed on May 1, 1997 from
0.70% to 0.80%.
<TABLE>
<CAPTION>
EMERGING INTERNATIONAL GROWTH & INCOME
GROWTH EQUITY INCOME BALANCED OPPORTUNITY BOND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- ------------- --------- --------- ----------- ---------
<S> <C> <C> <C> <C> <C> <C>
Rate 0.80% 0.95% 0.75% 0.74% 0.65% 0.55%
</TABLE>
Fort Washington Investment Advisors, Inc., an affiliate of the Advisor, is
the sub-advisor for the Growth & Income Portfolio and Bond Portfolio.
b) 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 Trust and from Select Advisors
Trust A, Select Advisors Trust C, and Select Advisors Variable Insurance
Trust, which are included in separate annual reports. For June 30, 1997 the
Portfolio Trust incurred $7,542 in Trustee fees which was prorated to each
Portfolio.
25
<PAGE> 27
SELECT ADVISORS PORTFOLIOS
Notes to Financial Statements
- --------------------------------------------------------------------------------
3. PURCHASES AND SALES OF INVESTMENT SECURITIES
Investment transactions (excluding purchases and sales of U.S. government
and U.S. government agency obligations and excluding short-term investments) for
June 30, 1997 were as follows:
<TABLE>
<CAPTION>
COST OF PURCHASES PROCEEDS FROM SALES
----------------- -------------------
<S> <C> <C>
Emerging Growth Portfolio $ 3,147,399 $ 2,525,012
International Equity Portfolio 5,478,645 5,104,096
Growth & Income Portfolio 16,116,613 15,399,831
Balanced Portfolio 4,200,178 4,196,966
Income Opportunity Portfolio 13,548,346 8,701,063
Bond Portfolio 5,195,121 4,889,263
</TABLE>
The following Portfolios had transactions in U.S. government and U.S.
government agency obligations:
<TABLE>
<CAPTION>
COST OF PURCHASES PROCEEDS FROM SALES
----------------- -------------------
<S> <C> <C>
Balanced Portfolio $ 950,820 $ 999,601
Bond Portfolio 3,171,086 1,754,512
</TABLE>
4. EXPENSE REIMBURSEMENTS
For June 30, 1997 the Advisor has voluntarily agreed to reimburse each
Portfolio the following amounts:
<TABLE>
<CAPTION>
AMOUNT OF
REIMBURSEMENT
-------------
<S> <C>
Emerging Growth Portfolio $24,649
International Equity Portfolio 63,637
Growth & Income Portfolio 4,746
Balanced Portfolio 27,986
Income Opportunity Portfolio 18,170
Bond Portfolio 25,517
</TABLE>
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, 1997, Bond Portfolio held restricted securities valued at $861,937,
representing 5.7% 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 $ 92,141
Central America, Series F 8/1/86 145,000
Central America, Series G 8/1/86 145,000
Central America, Series H 8/1/86 145,000
Republic of Honduras, Series C 5/1/88 100,000
Republic of Honduras, Series D 5/1/88 100,000
</TABLE>
Bond Portfolio received these securities from Western-Southern on
October 4, 1994 in exchange for a proportionate interest in the Portfolio.
26
<PAGE> 28
DISTRIBUTOR
Touchstone Securities, Inc.
311 Pike Street
Cincinnati, Ohio 45202
(800) 669-2796
INVESTMENT ADVISOR OF EACH PORTFOLIO
Touchstone Advisors, Inc.
311 Pike Street
Cincinnati, Ohio 45202
ADMINISTRATOR AND CUSTODIAN
Investors Bank & Trust Company
P.O. Box 9130
Boston, Massachusetts 02117
TRANSFER AGENT
State Street Bank and Trust Company
P.O. Box 8518
Boston, Massachusetts 02266-8518
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One International Place
Boston, Massachusetts 02110
LEGAL COUNSEL
Frost & Jacobs
2500 PNC Center
201 East 5th Street
Cincinnati, Ohio 45202
- --------------------------------------------------------------------------------
TOUCHSTONE
---------------------------------------------------
THE MARK OF EXCELLENCE IN INVESTMENT MANAGEMENT(TM)
FORM 7076-9706
- --------------------------------------------------------------------------------
