<PAGE>
T O U C H S T O N E
------------------------------------------
THE TOUCHSTONE FAMILY OF FUNDS
LOGO
-------------------------------------------------------
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
( TOUCHSTONE MUNICIPAL BOND FUND C
- --------------------------------------------------------------------------------
ANNUAL REPORT
DECEMBER 31, 1996
<PAGE>
Dear Fellow Shareholder:
Over the past two years, many have asked about the meaningfulness of the
Touchstone name. In a literal sense, the word TOUCHSTONE originated from the
testing stone. In order for the medieval alchemist to test the purity of gold,
it was often rubbed against a fine-grained, dark stone such as jasper in order
to see what kind of mark it left behind. In a more colloquial sense, though, the
word TOUCHSTONE has evolved and is defined as a test or criterion by which other
things are judged. The name, Touchstone, in other words reflects our commitment
to being a benchmark by which other investment managers can be compared.
Which segues me to my appraisal of the investment markets in 1996.
Unquestionably 1996 in many ways paralleled 1995, with equities generating
impressive returns. Stocks were again THE place to be. The U.S. equity markets
maintained a rally that began in August and ran on through November as economic
signals pointed to a continuing moderate to slow growth scenario. Continued
strength on the corporate earnings front supported the elevated prices. The Dow
Jones Industrial Average, which closed at 5117 on December 31, 1995, closed at
the 6448 level on December 31, 1996. An annual return of 26% for the DJIA
illustrated the dominance of large capitalization companies which was also
discernible in the returns of the S&P500, Russell 1000 and Russell 3000. Low
interest rates, low inflation, and significant cash flows into equity mutual
funds added combustion to the bull market. The fixed income markets also ended
the year on a positive note as bonds struggled to recover lost performance
suffered earlier in the year. Even Alan Greenspan's remarks about "irrational
exuberance" did very little to dampen the overall market fervor. But how long
these retail-friendly markets will continue is unknown, particularly if economic
conditions would begin to slow and corporate profitability comes under a strain.
1996 was also the year that the financial press discovered the Touchstone
Family of Funds and Variable Annuities. We were recognized in publications such
as the WALL STREET JOURNAL, BARRON'S, INVESTOR'S BUSINESS DAILY, KIPLINGER'S
PERSONAL FINANCE, BUSINESS WEEK, LOS ANGELES TIMES and CHICAGO TRIBUNE. This
favorable publicity brought us much attention among investment professionals and
individual investors alike.
While it is difficult to make general comments about the performance of a
family of asset classes as diverse as Touchstone, I encourage you to review the
enclosed financial statements and performance summaries for each Fund in the
Family. Although portfolio managers throughout the industry labored to equal the
performance of steadily rising market indices, our managers generally excelled
in adhering to their investment styles and objectives while exploiting growth
opportunities. However, the opportunity to improve always exists, and we will
aggressively pursue improvements in select areas as we move forward in 1997.
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. 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>
TOUCHSTONE EMERGING GROWTH FUND C
Over the course of the annual period ending December 31, 1996, several
investment management strategies and techniques materially affected Touchstone
Emerging Growth Fund C's performance. Small capitalization stocks, as measured
by the Russell 2000, rose 16.5% while the total return (net of fees and
expenses) for the Touchstone Emerging Growth Fund C was 9.7%. As the value-style
manager of the Touchstone Emerging Growth Fund C, David L. Babson's core
strategy was to remain invested in leading companies where there is the
potential over the next three to five years to see improving profitability and
accelerating earnings growth. Babson remained committed to this long term
strategy even though market conditions may not have been ideal over the past
year. Ultimately, though, Babson believes the their value-style approach to
equity buying will perform well over a full market cycle. As the growth-style
manager of the Touchstone Emerging Growth Fund C, Westfield Capital Management
continued to find companies with good growth prospects selling at less than one
times their growth rate. Overweighted positions in energy, technology and
financial services contributed strongly to the overall portfolio return, while
several retail and health service names lingered. Near term, Westfield Capital
expects the "goldilocks economy" of moderating growth and low inflation will
continue. Longer term, a decided shift to stronger relative earnings growth in
the small sector will be apparent.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF A $10,000 INVESTMENT
<S> <C> <C> <C>
CDA/Wiesenberger
Touchstone Emerging Russell 2000 Small Company
Growth Fund C Index Growth Avg-MF
Sept. '94 10,000 10,000 10,000
Dec. '94 10,252 9,813 9,937
Mar. '95 10,627 10,265 10,489
June '95 11,287 11,227 11,406
Sept. '95 12,306 12,336 12,717
Dec. '95 12,421 12,603 12,959
Mar. '96 12,943 13,246 13,744
June '96 13,486 13,909 14,746
Sept. '96 13,108 13,956 15,034
Dec. '96 13,620 14,682 15,474
Aggregate Total Return
One Year Ended 12/31/96 9.7%
Inception to 12/31/96 36.2%
Past performance is not predictive of future
performance.
</TABLE>
TOUCHSTONE INTERNATIONAL EQUITY FUND C
Over the course of the annual period ending December 31, 1996, several
investment management strategies and techniques materially affected the
Touchstone International Equity Fund C's performance. International equity
stocks, as measured by the MSCI EAFE Index, rose 6.4% while the total return
(net of fees and expenses) for the Touchstone International Equity Fund C was
10.7%. As the international equity manager of the Touchstone International
Equity Fund C, BEA Associates attributes the Fund's performance to mix of
country, currency and stock selection. The effect of country selection was most
pronounced in Latin America, where they benefited from an overweight in Brazil
and Mexico, and Asia where they gained from an underweight in both the Japanese
equity market and the Yen. Stock selection played the biggest role in Europe,
especially in their holdings in Italy, France and Sweden. In Asia Ex-Japan,
gains from both stock selection and overweights in Hong Kong, Indonesia and
Malaysia were offset by positions in Thailand and South Korea, which were the
weakest performing regions in 1996.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF A $10,000 INVESTMENT
<S> <C> <C> <C>
CDA/Wiesenberger
Touchstone
International MSCI EAFE International
Fund C Index Equity Avg-MF
Sept. '94 10,000 10,000 10,000
Dec. '94 9,100 9,905 9,431
Mar. '95 8,730 10,097 9,137
June '95 9,090 10,178 9,662
Sept. '95 9,480 10,611 10,098
Dec. '95 9,520 11,049 10,184
Mar. '96 10,070 11,377 10,755
June '96 10,270 11,565 11,209
Sept. '96 10,170 11,559 11,142
Dec. '96 10,540 11,752 11,514
Aggregate Total Return
One Year Ended 12/31/96 10.7%
Inception to 12/31/96 5.4%
Past performance is not predictive of future
performance.
</TABLE>
1
<PAGE>
TOUCHSTONE GROWTH & INCOME FUND C
Over the course of the annual period ending December 31, 1996, several
investment management strategies and techniques materially affected the
Touchstone Growth & Income Fund C's performance. Growth & Income stocks, as
measured by the S&P 500 Index, rose 22.8% while the total return (net of fees
and expenses) for the Touchstone Growth & Income Fund C was 16.0%. As the growth
and income manager of the Touchstone Growth & Income Fund C, Ft. Washington
Investment Advisors continued to employ a strategy of staying fully invested in
a highly diversified portfolio. Their stock picking emphasis was on out-of-favor
stocks with stable to improving fundamentals. Throughout the annual period, the
fund consisted primarily of large capitalization stocks managed with a relative
value discipline. Their goal was to buy good quality companies when the market
put them on sale. In their daily research and selection process, they tried to
buy stocks that experienced significant price declines. This approach created a
difficult environment for value-based strategies to outperform the market. The
recovery of out-of-favor names in 1996 was incompatable with the robust market
environment which favored momentum-based strategies.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF A $10,000 INVESTMENT
<S> <C> <C> <C>
CDA/Wiesenberger
Touchstone Growth & S&P 500 Growth & Current
Income Fund A Index Income Avg-MF
Sept. '94 10,000 10,000 10,000
Dec. '94 10,010 9,997 9,851
Mar. '95 11,010 10,973 10,584
June '95 11,811 12,015 11,430
Sept. '95 12,800 12,962 12,234
Dec. '95 13,535 13,741 12,797
Mar. '96 14,504 14,480 13,422
June '96 14,914 15,124 13,862
Sept. '96 15,208 15,585 14,270
Dec. '96 15,707 16,880 15,292
Aggregate Total Return
One Year Ended 12/31/96 16.0%
Inception to 12/31/96 57.1%
Past performance is not predictive of future
performance.
</TABLE>
TOUCHSTONE BALANCED FUND C
Over the course of the annual period ending December 31, 1996, several
investment management strategies and techniques materially affected the
Touchstone Balanced Fund C's performance. Growth and value stocks, as measured
by the S&P 500 Index, rose 22.8% and government and corporate bonds, as measured
by the Lehman Brothers Government/Corporate Index rose 2.9% while the total
return (net of fees and expenses) for the Touchstone Balanced Fund C was 15.9%.
As the core equity manager of the Touchstone Balanced Fund C, Harbor Capital
Management recorded excellent performance on both the growth and value sides of
the portfolio. Heavy exposure to technology, financial services, energy, and
large-capitalization, multinational issues contributed to the strong
performance. With technology, their emphasis was on the dominant market leaders
(Microsoft, Intel and IBM). Financial equities were weighted toward banks
(Citicorp and Chase) and asset accumulation vehicles (SunAmerica, Allmerica and
Travelers) which were benefiting form the huge inflow into annuities and mutual
funds. With the rise in crude oil prices, energy related equities also did well.
The energy sector of the portfolio included integrated oils (Amoco), exploration
and production companies (Unocal and Triton), natural gas (Enron) and drillers
(Diamond Offshore and Schlumberger). Finally, the market rewarded the big,
multinational global leaders such as American International Group, Boeing, GE,
Monsanto, Medtronic, Pfizer, and Coca-Cola.
As the fixed income manager of the Touchstone Balanced Fund C, Morgan
Grenfell Capital Management has remained focused on issue selection, believing
this to be the best way to consistently add value in the fixed income markets
over time. The fund was well diversified among sectors, issues and maturities
and was comprised of high quality securities that offer superior total return
prospects over a variety of market scenarios. Their holdings were in well
structured mortgage-backed securities that have particularly benefited during
this annual period of rising interest rates. Morgan Grenfell continues to favor
taxable municipal bonds over generic corporate issues, believing that they offer
superior return prospects.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF A $10,000 INVESTMENT
<S> <C> <C> <C> <C>
Lehman Brothers CDA/Wiesenberger
Touchstone Balanced S&P 500 Goverment/Corporate Balanced
Fund C Index Index Avg-MF
Sept. '94 10,000 10,000 10,000 10,000
Dec. '94 10,020 9,997 10,037 9,909
Mar. '95 10,542 10,973 10,537 10,502
June '95 11,527 12,015 11,221 11,248
Sept. '95 12,206 12,962 11,435 11,849
Dec. '95 12,259 13,741 11,968 12,345
Mar. '96 12,660 14,480 11,688 12,653
June '96 12,780 15,124 11,743 12,946
Sept. '96 13,183 15,585 11,950 13,278
Dec. '96 14,202 16,880 12,315 13,964
Aggregate Total Return
One Year Ended 12/31/96 15.9%
Inception to 12/31/96 42.0%
Past performance is not predictive of future
performance.
</TABLE>
2
<PAGE>
TOUCHSTONE INCOME OPPORTUNITY FUND C
Over the course of the annual period ending December 31, 1996, several
investment management strategies and techniques materially affected the
Touchstone Income Opportunity Fund C's performance. Corporate high yield bonds,
as measured by the CDA/Wiesenberger Corporate High Yield Mutual Fund Average,
rose 13.1%; international bonds, as measured by the CDA/ Wiesenberger
International Bond Mutual Fund Average rose 11.2% while corporate bonds in
general, as measured by the Lehman Brothers Corporate Bond Index, 3.3%. Total
return (net of fees and expenses) for the Touchstone Income Opportunity Fund C
was 25.9%.
As the manager of the Touchstone Income Opportunity Fund C, Alliance Capital
Management continued to concentrate its portfolio strategy on investments in
emerging market sovereign and corporate debt. As the year progressed, however,
spreads between sovereign and corporate debt tightened to unrealistic levels,
and Alliance increased their holdings in sovereign debt. In another strategic
move, Alliance added corporate investments in selected Asian countries such as
India and Thailand. At year-end the major investments in the portfolio were in
Russia, which obtained a Ba2 in 1996, Brazil, Mexico and Thailand. Domestic high
yield represented 31% of the portfolio at year-end. Major investments included
Goss Graphic, Transtexas Gas and Unisys.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF A $10,000 INVESTMENT
<S> <C> <C> <C> <C>
Lehman Brothers CDA/Wiesenberger CDA/Wiesenberger
Touchstone Income Corporate International Bond Corporate
Opportunity Fund C Bond Index Avg-MF High Yield Avg-MF
Sept. '94 10,000 10,000 10,000 10,000
Dec. '94 9,261 10,043 9,843 9,875
Mar. '95 8,737 10,638 10,075 10,306
June '95 10,130 11,429 10,627 10,844
Sept. '95 10,764 11,699 10,847 11,171
Dec. '95 11,315 12,277 11,297 11,509
Mar. '96 11,909 11,960 11,316 11,779
June '96 12,588 12,014 11,595 12,007
Sept. '96 13,568 12,254 12,073 12,562
Dec. '96 14,244 12,681 12,556 13,017
Aggregate Total Return
One Year Ended 12/31/96 25.9%
Inception to 12/31/96 42.4%
Past performance is not predictive of future
performance.
</TABLE>
TOUCHSTONE BOND FUND C
Over the course of the annual period ending December 31, 1996, several
investment management strategies and techniques materially affected the
Touchstone Bond Fund C's performance. Corporate bonds, as measured by the Lehman
Brothers Aggregate Index, rose 3.6% while the return of the CDA/Wiesenberger
Corporate Bond Mutual Fund Average rose 4.0%. Total return (net of fees and
expenses) for the Touchstone Bond Fund C was 2.0%.
As the core fixed income manager of the Touchstone Bond Fund C, Ft.
Washington Investment Advisors continued to emphasize overweighting sectors
within the market that they felt would exceed market expectation for total
return. This disciplined strategy achieved average returns in 1996 due to
overall market volatility and the fully valued nature of all fixed income
sectors. Ft. Washington maintained a fully invested status the majority of the
year with market overweights in the corporate and asset-backed sectors. Their
yield biased strategy away from treasuries was incorporated to provide cushion
in any market downturn and to take advantage of the postive fundamentals in
these sectors.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF A $10,000 INVESTMENT
<S> <C> <C> <C>
Lehman Brothers CDA/Wiesenberger
Touchstone Bond Aggregate Corporate Bond
Fund C Index Avg-MF
Sept. '94 10,000 10,000 10,000
Dec. '94 10,019 10,038 9,988
Mar. '95 10,537 10,544 10,387
June '95 11,070 11,187 10,938
Sept. '95 11,217 11,406 11,137
Dec. '95 11,646 11,892 11,554
Mar. '96 11,373 11,681 11,404
June '96 11,402 11,748 11,469
Sept. '96 11,576 11,965 11,686
Dec. '96 11,881 12,324 12,017
Aggregate Total Return
One Year Ended 12/31/96 2.0%
Inception to 12/31/96 18.8%
Past performance is not predictive of future
performance.
</TABLE>
3
<PAGE>
TOUCHSTONE MUNICIPAL BOND FUND C
Over the course of the annual period ending December 31, 1996, several
investment management strategies and techniques materially affected the
Touchstone Municipal Bond Fund C's performance. Municipal bonds, as measured by
the CDA/Wiesenberger Municipal Bond Index, rose 3.3% while the return of the
Lehman Brothers Municipal 7-Year Index rose 4.4%. Total return (net of fees and
expenses) for the Touchstone Municipal Bond Fund C was 2.3%.
As the tax-free bond manager of the Touchstone Municipal Bond Fund C,
Neuberger & Berman continued to focus on high-quality issues with the primary
goal of adding value through duration management. Neuberger & Berman increased
the average maturity of the portfolio by almost 1.5 years. This was accomplished
by extending the average maturity from 6.60 years to 7.92 years without
effecting the average quality of the AA+ portfolio. The positive economic
fundamentals of the 1996 municipal bond market and a lack of negative
legislative proposals (such as general tax reform or Federal tax cut
initiatives) helped the tax exempt market remain stable throughout the year in
spite of a sharp increase in Treasury rates in the first six months.
Intermediate and longer term tax exempt yield ratios to Treasuries have declined
over the past few months. Neuberger & Berman, however, believes that municipals
still offer sufficient value as these ratios continue to narrow.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF A $10,000 INVESTMENT
<S> <C> <C> <C>
Lehman Brothers CDA/Wiesenberger
Touchstone Municipal Municipals Municipal
Bond Fund C 7-Year Index Bond Avg-MF
Sept. '94 10,000 10,000 10,000
Dec. '94 9,969 9,903 9,864
Mar. '95 10,242 10,423 10,454
June '95 10,427 10,719 10,660
Sept. '95 10,556 11,026 10,899
Dec. '95 10,776 11,304 11,311
Mar. '96 10,685 11,264 11,160
June '96 10,674 11,313 11,211
Sept. '96 10,815 11,515 11,433
Dec. '96 11,023 11,798 11,685
Aggregate Total Return
One Year Ended 12/31/96 2.3%
Inception to 12/31/96 10.2%
Past performance is not predictive of future
performance.
</TABLE>
4
<PAGE>
SELECT ADVISORS TRUST C
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TOUCHSTONE TOUCHSTONE TOUCHSTONE TOUCHSTONE TOUCHSTONE
EMERGING INTERNATIONAL GROWTH & TOUCHSTONE INCOME TOUCHSTONE MUNICIPAL
GROWTH EQUITY INCOME BALANCED OPPORTUNITY BOND BOND
FUND C FUND C FUND C FUND C FUND C FUND C FUND C
---------- ------------- ---------- ---------- ----------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
ASSETS:
Investment in corresponding Select
Advisors
Portfolios, at value (Note 1) $1,748,166 $3,139,430 1$,203,368 $1,957,819 $2,617,210 $623,844 $1,146,753
Deferred organization expenses 25,917 25,917 25,917 25,917 25,917 25,917 25,917
Receivable for fund shares sold 3,487 3,487 4,300 164 3,003 164 --
Reimbursement receivable from Sponsor 4,610 9,115 2,862 4,379 7,009 1,316 --
---------- ------------- ---------- ---------- ----------- ---------- ----------
Total assets 1,782,180 3,177,949 1,236,447 1,988,279 2,653,139 651,241 1,172,670
---------- ------------- ---------- ---------- ----------- ---------- ----------
LIABILITIES:
Payable to Sponsor (Note 1) -- -- -- -- -- -- 1,599
Other accrued expenses 18,112 21,109 16,605 17,783 19,946 15,881 16,362
---------- ------------- ---------- ---------- ----------- ---------- ----------
Total liabilities 18,112 21,109 16,605 17,783 19,946 15,881 17,961
---------- ------------- ---------- ---------- ----------- ---------- ----------
NET ASSETS: $1,764,068 $3,156,840 1$,219,842 $1,970,496 $2,633,193 $635,360 $1,154,709
---------- ------------- ---------- ---------- ----------- ---------- ----------
---------- ------------- ---------- ---------- ----------- ---------- ----------
Shares outstanding 149,748 299,523 89,787 158,946 244,820 63,171 114,895
---------- ------------- ---------- ---------- ----------- ---------- ----------
---------- ------------- ---------- ---------- ----------- ---------- ----------
Net asset value, offering and
redemption
price per share $ 11.78 $ 10.54 $ 13.59 $ 12.40 $ 10.76 $ 10.06 $ 10.05
---------- ------------- ---------- ---------- ----------- ---------- ----------
---------- ------------- ---------- ---------- ----------- ---------- ----------
</TABLE>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME ALLOCATED FROM
CORRESPONDING PORTFOLIO (NOTE 1):
Interest income $ 4,428 $ 8,910 $ 1,694 $ 43,664 $238,591 $ 37,131 $ 56,192
Dividend income 16,096 47,705 (a) 12,507 14,569 -- -- --
---------- ------------- ---------- ---------- ----------- ---------- ----------
TOTAL INVESTMENT INCOME 20,524 56,615 14,201 58,233 238,591 37,131 56,192
---------- ------------- ---------- ---------- ----------- ---------- ----------
EXPENSES:
Allocated portfolio expenses 24,057 46,965 8,383 24,659 24,992 4,550 14,464
Transfer agent 23,509 23,509 24,616 23,480 24,270 22,967 19,470
Registration 25,087 26,782 22,688 25,086 24,948 22,541 24,937
Amortization of organization
expenses (Note 1) 9,428 9,428 9,428 9,428 9,428 9,428 9,428
Audit 13,494 16,495 13,694 12,694 16,694 14,394 12,434
Distribution (Note 2) 14,754 27,806 7,493 16,100 18,778 5,285 11,361
Sponsor fee (Note 2) 2,996 5,625 1,544 3,283 3,826 1,072 2,289
Printing 10,849 13,024 9,859 10,904 10,891 9,215 7,339
Trustee fees (Note 2) 439 746 206 475 537 147 332
Miscellaneous 1,750 2,896 801 1,753 1,864 744 1,500
---------- ------------- ---------- ---------- ----------- ---------- ----------
Total expenses 126,363 173,276 98,712 127,862 136,228 90,343 103,554
Waiver of sponsor fees (Note 2) (2,996 ) (5,625) (1,544) (3,283 ) (3,826 ) (1,072) (2,289 )
Reimbursement from sponsor (Note
3) (89,658 ) (101,758) (81,334) (90,109 ) (95,079 ) (80,449) (80,665 )
---------- ------------- ---------- ---------- ----------- ---------- ----------
NET EXPENSES 33,709 65,893 15,834 34,470 37,323 8,822 20,600
---------- ------------- ---------- ---------- ----------- ---------- ----------
NET INVESTMENT INCOME (13,185 ) (9,278) (1,633) 23,763 201,268 28,309 35,592
---------- ------------- ---------- ---------- ----------- ---------- ----------
REALIZED AND UNREALIZED GAIN (LOSS)
FROM PORTFOLIO:
Net realized gain (loss) from
Portfolio 68,137 66,056(b) 82,827 70,831 171,388 (2,556) 4,602
Net change in unrealized
appreciation (depreciation) from
Portfolio 84,757 227,324 16,656 160,378 73,267 (6,458) (13,316 )
---------- ------------- ---------- ---------- ----------- ---------- ----------
NET REALIZED AND UNREALIZED GAIN
(LOSS)
FROM PORTFOLIO 152,894 293,380 99,483 231,209 244,655 (9,014) (8,714 )
---------- ------------- ---------- ---------- ----------- ---------- ----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ 139,709 $ 284,102 $ 97,850 $ 254,972 $ 445,923 $ 19,295 $ 26,878
---------- ------------- ---------- ---------- ----------- ---------- ----------
---------- ------------- ---------- ---------- ----------- ---------- ----------
</TABLE>
- ------------------------------
(a) Net of foreign tax withholding of $6,655.
(b) Includes foreign currency transaction losses of $7,022.
The accompanying notes are an integral part of the financial statements.
5
<PAGE>
SELECT ADVISORS TRUST C
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TOUCHSTONE TOUCHSTONE
EMERGING GROWTH INTERNATIONAL EQUITY
FUND C FUND C
FOR THE YEAR ENDED DECEMBER ---------------------- ----------------------
31, 1996 1995 1996 1995
- ------------------------------ ---------- ---------- ---------- ----------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income (loss)
from Portfolio $ (13,185) $ (9,326) $ (9,278) $ (14,529)
Net realized gain (loss)
from Portfolio 68,137 104,176 66,056(a) (212,994)(a)
Net change in unrealized
from appreciation 84,757 122,679 227,324 334,278
---------- ---------- ---------- ----------
Net increase in net assets
resulting from operations 139,709 217,529 284,102 106,755
---------- ---------- ---------- ----------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income -- (484) -- --
Net realized capital gain (53,274) (85,973) -- --
Distributions in excess of
net investment income -- (29) -- --
Distributions in excess of
capital (49,794) -- -- --
---------- ---------- ---------- ----------
Total dividends and
distributions (103,068) (86,486) -- --
---------- ---------- ---------- ----------
SHARE TRANSACTIONS (NOTE 4):
Proceeds from shares sold 351,987 45,992 406,681 109,696
Reinvestment of dividends
and distributions 102,769 86,482 -- --
Cost of shares redeemed (6,119) (6,987) (16,241) (8,356)
---------- ---------- ---------- ----------
Net increase from share
transactions: 448,637 125,487 390,440 101,340
---------- ---------- ---------- ----------
TOTAL INCREASE IN NET ASSETS 485,278 256,530 674,542 208,095
---------- ---------- ---------- ----------
NET ASSETS:
Beginning of period 1,278,790 1,022,260 2,482,298 2,274,203
---------- ---------- ---------- ----------
End of period $1,764,068 $1,278,790 $3,156,840 $2,482,298
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
NET ASSETS CONSIST OF:
Paid-in capital $1,569,632 $1,128,184 $2,947,515 $2,568,084
Undistributed (distribution
in excess of) net
investment income -- -- (1,422) --
Accumulated net realized
gain (loss) from Portfolio (55,790) (14,863) (145,974) (215,183)
Net unrealized appreciation
from Portfolio 250,226 165,469 356,721 129,397
---------- ---------- ---------- ----------
Net assets applicable to
shares outstanding $1,764,068 $1,278,790 $3,156,840 $2,482,298
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
SHARES OUTSTANDING (NOTE 4):
Shares sold 29,496 3,921 40,286 11,845
Reinvestment of dividends
and distributions 8,776 7,570 -- --
---------- ---------- ---------- ----------
38,272 11,491 40,286 11,845
Shares redeemed (514) (655) (1,599) (926)
---------- ---------- ---------- ----------
Net increase 37,758 10,836 38,687 10,919
Beginning of period 111,990 101,154 260,836 249,917
---------- ---------- ---------- ----------
End of period 149,748 111,990 299,523 260,836
---------- ---------- ---------- ----------
---------- ---------- ---------- ----------
</TABLE>
- ------------------------------
(a) Includes foreign currency transaction losses of $7,022 and $4,459 for the
years ended December 31, 1996 and 1995, respectively.
The accompanying notes are an integral part of the financial statements.
6
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TOUCHSTONE
TOUCHSTONE TOUCHSTONE MUNICIPAL
GROWTH & INCOME TOUCHSTONE INCOME OPPORTUNITY TOUCHSTONE BOND
FUND C BALANCED FUND C FUND C BOND FUND C FUND C
FOR THE YEAR ENDED DECEMBER ----------------- -------------------- ---------------------- ----------------- ----------
31, 1996 1995 1996 1995 1996 1995 1996 1995 1996
- ------------------------------ -------- ------- ---------- -------- ---------- ---------- -------- ------- ----------
OPERATIONS:
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net investment income (loss)
from Portfolio $ (1,633) $ (121) $ 23,763 $ 19,018 $ 201,268 $ 119,490 $ 28,309 $ 9,244 $ 35,592
Net realized gain (loss)
from Portfolio 82,827 14,625 70,831 83,548 171,388 3,125 (2,556) 2,742 4,602
Net change in unrealized
from appreciation 16,656 33,698 160,378 122,824 73,267 88,462 (6,458) 11,486 (13,316)
-------- ------- ---------- -------- ---------- ---------- -------- ------- ----------
Net increase in net assets
resulting from operations 97,850 48,202 254,972 225,390 445,923 211,077 19,295 23,472 26,878
-------- ------- ---------- -------- ---------- ---------- -------- ------- ----------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income (5,307) (8,566) (30,686) (28,268) (194,606) (128,334) (34,508) (18,040) (40,552)
Net realized capital gain (77,144) (12,661) (69,459) (72,034) (98,304) -- (1,037) (1,597) (11)
Distributions in excess of
net investment income -- -- -- (8) -- (406) -- -- --
Distributions in excess of
capital -- -- -- -- -- -- -- --
-------- ------- ---------- -------- ---------- ---------- -------- ------- ----------
Total dividends and
distributions (82,451) (21,227) (100,145) (100,310) (292,910) (128,740) (35,545) (19,637) (40,563)
-------- ------- ---------- -------- ---------- ---------- -------- ------- ----------
SHARE TRANSACTIONS (NOTE 4):
Proceeds from shares sold 847,270 272,548 367,673 164,675 1,175,852 78,388 389,896 306,940 56,406
Reinvestment of dividends
and distributions 64,195 21,214 94,325 100,302 258,039 128,734 30,805 19,631 39,788
Cost of shares redeemed (34,812) (13,515) (25,903) (9,435) (156,973) (12,650) (109,359) (12,209) (61,394)
-------- ------- ---------- -------- ---------- ---------- -------- ------- ----------
Net increase from share
transactions: 876,653 280,247 436,095 255,542 1,276,918 194,472 311,342 314,362 34,800
-------- ------- ---------- -------- ---------- ---------- -------- ------- ----------
TOTAL INCREASE IN NET ASSETS 892,052 307,222 590,922 380,622 1,429,931 276,809 295,092 318,197 21,115
-------- ------- ---------- -------- ---------- ---------- -------- ------- ----------
NET ASSETS:
Beginning of period 327,790 20,568 1,379,574 998,952 1,203,262 926,453 340,268 22,071 1,133,594
-------- ------- ---------- -------- ---------- ---------- -------- ------- ----------
End of period $1,219,842 $327,790 $1,970,496 $1,379,574 $2,633,193 $1,203,262 $635,360 $340,268 $1,154,709
-------- ------- ---------- -------- ---------- ---------- -------- ------- ----------
-------- ------- ---------- -------- ---------- ---------- -------- ------- ----------
NET ASSETS CONSIST OF:
Paid-in capital $1,161,568 $291,949 $1,677,723 $1,248,718 $2,487,960 $1,204,380 $632,081 $327,774 $1,134,244
Undistributed (distribution
in excess of) net
investment income 184 90 167 -- -- -- 1,030 24 2,071
Accumulated net realized
gain (loss) from Portfolio 7,524 1,841 7,486 6,114 23,886 (49,198) (2,726) 1,037 2,461
Net unrealized appreciation
from Portfolio 50,566 33,910 285,120 124,742 121,347 48,080 4,975 11,433 15,933
-------- ------- ---------- -------- ---------- ---------- -------- ------- ----------
Net assets applicable to
shares outstanding $1,219,842 $327,790 $1,970,496 $1,379,574 $2,633,193 $1,203,262 $635,360 $340,268 $1,154,709
-------- ------- ---------- -------- ---------- ---------- -------- ------- ----------
-------- ------- ---------- -------- ---------- ---------- -------- ------- ----------
SHARES OUTSTANDING (NOTE 4):
Shares sold 61,615 23,514 31,351 13,903 112,192 8,235 38,637 29,389 5,714
Reinvestment of dividends
and distributions 4,661 1,686 7,690 8,868 24,284 13,853 3,071 1,865 3,975
-------- ------- ---------- -------- ---------- ---------- -------- ------- ----------
66,276 25,200 39,041 22,771 136,476 22,088 41,708 31,254 9,689
Shares redeemed (2,542) (1,202) (2,224) (848) (14,441) (1,353) (10,852) (1,166) (6,176)
-------- ------- ---------- -------- ---------- ---------- -------- ------- ----------
Net increase 63,734 23,998 36,817 21,923 122,035 20,735 30,856 30,088 3,513
Beginning of period 26,053 2,055 122,129 100,206 122,785 102,050 32,315 2,227 111,382
-------- ------- ---------- -------- ---------- ---------- -------- ------- ----------
End of period 89,787 26,053 158,946 122,129 244,820 122,785 63,171 32,315 114,895
-------- ------- ---------- -------- ---------- ---------- -------- ------- ----------
-------- ------- ---------- -------- ---------- ---------- -------- ------- ----------
<CAPTION>
FOR THE YEAR ENDED DECEMBER
31, 1995
- ------------------------------ --------
OPERATIONS:
<S> <C>
Net investment income (loss)
from Portfolio $ 41,720
Net realized gain (loss)
from Portfolio (2,102)
Net change in unrealized
from appreciation 41,510
--------
Net increase in net assets
resulting from operations 81,128
--------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income (50,774)
Net realized capital gain --
Distributions in excess of
net investment income (114)
Distributions in excess of
capital
--------
Total dividends and
distributions (50,888)
--------
SHARE TRANSACTIONS (NOTE 4):
Proceeds from shares sold 61,509
Reinvestment of dividends
and distributions 50,885
Cost of shares redeemed --
--------
Net increase from share
transactions: 112,394
--------
TOTAL INCREASE IN NET ASSETS 142,634
--------
NET ASSETS:
Beginning of period 990,960
--------
End of period $1,133,594
--------
--------
NET ASSETS CONSIST OF:
Paid-in capital $1,106,474
Undistributed (distribution
in excess of) net
investment income --
Accumulated net realized
gain (loss) from Portfolio (2,129)
Net unrealized appreciation
from Portfolio 29,249
--------
Net assets applicable to
shares outstanding $1,133,594
--------
--------
SHARES OUTSTANDING (NOTE 4):
Shares sold 6,054
Reinvestment of dividends
and distributions 5,029
--------
11,083
Shares redeemed --
--------
Net increase 11,083
Beginning of period 100,299
--------
End of period 111,382
--------
--------
</TABLE>
The accompanying notes are an integral part of the financial statements.
7
<PAGE>
SELECT ADVISORS TRUST C
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
TOUCHSTONE TOUCHSTONE
SELECTED DATA FOR A SHARE OUTSTANDING EMERGING GROWTH INTERNATIONAL EQUITY
THROUGHOUT THE YEARS ENDED DECEMBER 31, FUND C FUND C
1996 AND 1995, AND THE PERIOD ENDED --------------------------- ---------------------------
DECEMBER 31, 1994 1996 1995 1994(A) 1996 1995 1994(A)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, BEGINNING OF PERIOD $11.42 $10.11 $10.00 $ 9.52 $ 9.10 $10.00
------- ------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income -- (0.02) 0.13 -- (0.05) --
Net realized and unrealized gain (loss)
on investments 1.10 2.16 0.12 1.02 0.47 (0.90)
------- ------- ------- ------- ------- -------
Total from investment operations 1.10 2.14 0.25 1.02 0.42 (0.90)
------- ------- ------- ------- ------- -------
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 $11.78 $11.42 $10.11 $10.54 $ 9.52 $ 9.10
------- ------- ------- ------- ------- -------
TOTAL RETURN 9.67% 21.15% 2.52% 10.71% 4.62% (9.00%)
RATIOS AND SUPPLEMENTAL DATA:
Net assets at end of period (000's) $1,764 $1,279 $1,022 $3,157 $2,482 $2,274
Ratios to average net assets (b):
Expenses 2.25% 2.25% 2.50%(d) 2.35% 2.35% 2.60%(d)
Net investment income (loss) (0.88%) (0.81%) 5.29%(d) (0.33%) (0.63%) (1.10%)(d)
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
TOUCHSTONE TOUCHSTONE
INCOME OPPORTUNITY BOND
FUND C FUND C
--------------------------- ---------------------------
1994 1995 1994
1996 1995 (A) 1996 (C) (A)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, BEGINNING OF PERIOD $ 9.80 $ 9.08 $10.00 $10.53 $ 9.91 $10.00
------- ------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 1.09 1.14 0.21 0.66 0.54 0.87
Net realized and unrealized gain (loss)
on investments 1.33 0.74 (0.94) (0.47) 1.03 (0.85)
------- ------- ------- ------- ------- -------
Total from investment operations 2.42 1.88 (0.73) 0.19 1.57 0.02
------- ------- ------- ------- ------- -------
LESS: DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income (1.09) (1.16) (0.19) (0.64) (0.90) (0.11)
Net capital gain (0.37) -- -- (0.02) (0.05) --
------- ------- ------- ------- ------- -------
Total dividends and distributions (1.46) (1.16) (0.19) (0.66) (0.95) (0.11)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD $10.76 $ 9.80 $ 9.08 $10.06 $10.53 $ 9.91
------- ------- ------- ------- ------- -------
TOTAL RETURN 25.88% 22.18% (7.39%) 2.01% 16.29% 0.19%
RATIOS AND SUPPLEMENTAL DATA:
Net assets at end of period (000's) $2,633 $1,203 $ 926 $ 635 $ 340 $ 22
Ratios to average net assets (b):
Expenses 1.95% 1.95% 2.20%(d) 1.65% 1.65% 1.90%(d)
Net investment income (loss) 10.49% 11.70% 7.83%(d) 5.26% 5.43% 5.12%(d)
</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.
(c) Per share amounts have been calculated using the average share method.
(d) Ratios are annualized.
The accompanying notes are an integral part of the financial statements.
8
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
TOUCHSTONE TOUCHSTONE
GROWTH & INCOME BALANCED
FUND C FUND C
--------------------------- ---------------------------
1996 1995(C) 1994(A) 1996 1995 1994(A)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, BEGINNING OF PERIOD $12.58 $10.01 $10.00 $11.30 $ 9.97 $10.00
------- ------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.10 (0.01) 0.82 0.22 0.25 0.07
Net realized and unrealized gain (loss)
on investments 1.92 3.51 (0.81) 1.56 1.98 (0.05)
------- ------- ------- ------- ------- -------
Total from investment operations 2.02 3.50 0.01 1.78 2.23 0.02
------- ------- ------- ------- ------- -------
LESS: DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income (0.10) (0.42) -- (0.22) (0.27) (0.05)
Net capital gain (0.91) (0.51) -- (0.46) (0.63) --
------- ------- ------- ------- ------- -------
Total dividends and distributions (1.01) (0.93) -- (0.68) (0.90) (0.05)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD $13.59 $12.58 $10.01 $12.40 $11.30 $ 9.97
------- ------- ------- ------- ------- -------
TOTAL RETURN 16.04% 35.22% 0.10% 15.85% 22.40% 0.20%
RATIOS AND SUPPLEMENTAL DATA:
Net assets at end of period (000's) $1,220 $ 328 $ 21 $1,970 $1,380 $ 999
Ratios to average net assets (b):
Expenses 2.05% 2.05% 2.30%(d) 2.10% 2.10% 2.35%(d)
Net investment income (loss) (0.21%) (0.07%) (0.15%)(d) 1.44% 1.63% 2.00%(d)
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C>
TOUCHSTONE
MUNICIPAL BOND
FUND C
---------------------------
1994
1996 1995 (A)
------- ------- -------
NET ASSET VALUE, BEGINNING OF PERIOD $10.18 $ 9.88 $10.00
------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.38 0.47 0.11
Net realized and unrealized gain (loss)
on investments (0.15) 0.32 (0.14)
------- ------- -------
Total from investment operations 0.23 0.79 (0.03)
------- ------- -------
LESS: DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income (0.36) (0.49) (0.09)
Net capital gain -- -- --
------- ------- -------
Total dividends and distributions (0.36) (0.49) (0.09)
------- ------- -------
NET ASSET VALUE, END OF PERIOD $10.05 $10.18 $ 9.88
------- ------- -------
TOTAL RETURN 2.29% 8.14% (0.31%)
RATIOS AND SUPPLEMENTAL DATA:
Net assets at end of period (000's) $1,155 $1,134 $ 991
Ratios to average net assets (b):
Expenses 1.80% 1.80% 2.05%(d)
Net investment income (loss) 3.10% 3.99% 3.65%(d)
</TABLE>
The accompanying notes are an integral part of the financial statements.
9
<PAGE>
SELECT ADVISORS TRUST C
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
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 seven 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"), Touchstone
Bond Fund C (the "Bond Fund"), and Touchstone Municipal Bond Fund C (the
"Municipal 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, Bond
Portfolio, and Municipal 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 December
31, 1996.
<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.... 38.0% 47.8% 5.7% 48.6% 36.6% 4.6%
<CAPTION>
MUNICIPAL
BOND FUND C
---------------
<S> <C>
Percentage interest in
corresponding Portfolio.... 42.2%
</TABLE>
As of December 31, 1996, Touchstone Advisors, Inc., a subsidiary of
Western-Southern Life Assurance Company ("Western-Southern"), and
Western-Southern owned 76.7%, 83.3%, 14.8%, 71.6%, 53.7%, 21.8%, and 94.9% of
the Emerging Growth Fund, the International Equity Fund, the Growth & Income
Fund, the Balanced Fund, the Income Opportunity Fund, the Bond Fund and the
Municipal 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, the Bond Fund,
and the Municipal 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-deductible organization
costs, passive foreign investment companies, foreign currency transactions,
losses deferred due to wash sales, and excise tax regulations.
10
<PAGE>
SELECT ADVISORS TRUST C
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
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 year ended December 31, 1996, the Trust incurred $2,882 in
Trustee fees which were prorated to each Fund.
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
11
<PAGE>
SELECT ADVISORS TRUST C
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
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 year ended December 31, 1996.
<TABLE>
<CAPTION>
INCOME
EMERGING INTERNATIONAL GROWTH & BALANCED OPPORTUNITY BOND MUNICIPAL
GROWTH FUND C EQUITY FUND C INCOME FUND C FUND C FUND C FUND C BOND FUND C
-------------- ------------- -------------- --------- ----------- --------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
Voluntary Expense Limit 2.25% 2.35% 2.05% 2.10% 1.95% 1.65% 1.80%
Amount of Reimbursement $ 89,658 $ 101,758 $ 81,334 $ 90,109 $ 95,079 $ 80,449 $ 80,665
</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.
- --------------------------------------------------------------------------------
FEDERAL TAX INFORMATION (UNAUDITED)
For corporate shareholders, a portion of the ordinary dividends paid during
the Fund's year ended December 31, 1996 qualified for the dividends received
deduction, as follows:
<TABLE>
<CAPTION>
EMERGING GROWTH & BALANCED
GROWTH FUND C INCOME FUND C FUND C
- ----------------- ----------------- -----------
<S> <C> <C>
100% 17% 22%
</TABLE>
Of the dividends paid by Municipal Bond Fund C from net investment income,
97% were exempt-interest dividends which are tax exempt for federal income tax
purposes.
The funds below paid distributions from long-term capital gains. Pursuant to
section 852 of the Internal Revenue Code, the fund designates the following
capital gain dividends as noted:
<TABLE>
<CAPTION>
EMERGING GROWTH & BALANCED INCOME BOND MUNICIPAL
GROWTH FUND C INCOME FUND C FUND C OPPORTUNITY C FUND C BOND FUND C
-------------- -------------- --------- ------------- --------- ------------
<S> <C> <C> <C> <C> <C> <C>
Long term capital gains
distributions per share $ 0.6579 $ 0.29 $ 0.310 $ 0.21 $ 0.013 $ 0.0001
Capital gain dividends $ 91,333 $ 24,585 $ 45,662 $ 48,785 $ 717 $ 11
</TABLE>
12
<PAGE>
SELECT ADVISORS TRUST C
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
To the Investors and Trustees of
Select Advisors Trust C:
We have audited the accompanying statements of assets and liabilities of
Select Advisors Trust C (the "Trust") (consisting of 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, and Touchstone Municipal Bond Fund C) as of December 31, 1996, the
related statements of operations for the year then ended, and the changes in net
assets for each of the two years in the period then ended and financial
highlights for each of the two years in the period then ended and for the period
October 3, 1994 (commencement of operations) to December 31, 1994. These
financial statements and financial highlights are the responsibility of the
Trust's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1996 by correspondence with the custodian. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
Select Advisors Trust C as of December 31, 1996, the results of its operations
for the year then ended, and the changes in its net assets for each of the two
years in the period then ended and the financial highlights for each of the two
years in the period then ended and for the period October 3, 1994 (commencement
of operations) to December 31, 1994, in conformity with generally accepted
accounting principles.
COOPERS & LYBRAND L.L.P.
Boston, Massachusetts
February 20, 1997
13
<PAGE>
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
89 South Street
Boston, Massachusetts 02111
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
- --------------------------------------------------------------------------------
T O U C H S T O N E
---------------------------------------------
FORM 7077-9612 THE MARK OF EXCELLENCE IN INVESTMENT MANAGEMENT-SM-
<PAGE>
T O U C H S T O N E
------------------------------------------
THE TOUCHSTONE FAMILY OF FUNDS
LOGO
-------------------------------------------------------
SELECT ADVISORS PORTFOLIOS
( EMERGING GROWTH PORTFOLIO
( INTERNATIONAL EQUITY PORTFOLIO
( GROWTH & INCOME PORTFOLIO
( BALANCED PORTFOLIO
( INCOME OPPORTUNITY PORTFOLIO
( BOND PORTFOLIO
( MUNICIPAL BOND PORTFOLIO
- --------------------------------------------------------------------------------
ANNUAL REPORT
DECEMBER 31, 1996
<PAGE>
EMERGING GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
-------- ----------
<C> <S> <C>
COMMON STOCKS (93.1%)
BANKING & FINANCE (5.9%)
2,300 Arden Realty Group Inc........................ $ 63,825
2,000 Bank United Corp. Class A..................... 53,500
2,400 Dime Bancorp, Inc.*........................... 35,400
1,850 First Security Corp........................... 62,438
2,400 Glendale Federal Bank,*....................... 55,800
----------
270,963
----------
BROADCAST & MEDIA (2.0%)
1,200 Central Newspapers, Class A................... 52,800
1,700 Lee Enterprises, Inc.......................... 39,525
----------
92,325
----------
CHEMICALS (0.8%)
1,700 Hanna (M.A.) Co............................... 37,188
----------
COMPUTER EQUIPMENT & DATA PROCESSING (18.2%)
1,000 3Com Corp.*................................... 73,375
1,000 CBT Group PLC*................................ 54,250
2,100 EG&G.......................................... 42,263
2,200 EMC Corp.*.................................... 72,875
1,600 Fiserv, Inc.*................................. 58,800
2,800 Gerber Scientific, Inc........................ 41,650
1,600 HNC Software, Inc.*........................... 50,200
1,200 IDX Systems Corp.*............................ 34,350
2,900 Information Management Resources Inc.*........ 61,263
3,000 Intergraph Corp.*............................. 30,750
2,200 National Semiconductor Corp.*................. 53,625
2,100 Network General Corporation*.................. 63,525
800 Parametric Technology Corp.*.................. 41,100
3,000 Scitex Corp................................... 28,500
1,515 Sterling Commerce Inc.*....................... 53,397
700 Sterling Software, Inc.*...................... 22,138
1,800 Wallace Computer Services, Inc................ 62,100
----------
844,161
----------
CONSUMER & OFFICE PRODUCTS (4.5%)
1,000 Alberto Culver Co., Class A................... 41,250
900 APAC Teleservices Inc.*....................... 34,538
3,500 Carson Inc.*.................................. 48,563
1,500 Stanhome, Inc................................. 39,750
1,700 Sunbeam Corp.................................. 43,775
----------
207,876
----------
ELECTRICAL EQUIPMENT (3.2%)
2,900 Elsag Bailey*................................. 54,375
900 Microchip Technology Inc.*.................... 45,788
1,300 National Service Industries................... 48,588
----------
148,751
----------
FOOD & BEVERAGES (2.9%)
1,500 Dean Foods Co................................. 48,375
2,300 Ralcorp Holdings Inc.*........................ 48,588
1,600 Wholefoods Market Inc.*....................... 36,000
----------
132,963
----------
HEALTHCARE (3.7%)
1,300 Centocor Inc.*................................ 46,475
2,900 Depotech Corp.*............................... 47,477
1,300 ESC Medical Systems Ltd.*..................... 33,150
HEALTHCARE--CONTINUED
1,200 HCIA, Inc.*................................... $ 41,400
----------
168,502
----------
HEAVY INDUSTRY (12.5%)
1,700 Albany International Corp..................... 39,313
1,000 Bandag, Inc. Class A.......................... 45,750
3,300 BW/IP, Inc.................................... 54,450
4,400 Calgon Carbon Corp............................ 53,900
2,700 Calmat, Inc................................... 50,625
2,700 Global Industrial Technologies*............... 59,738
700 Harsco Corp................................... 47,950
2,100 Martin Marietta Materials, Inc................ 48,825
1,800 Southdown, Inc................................ 56,025
1,300 Trinity Industries, Inc....................... 48,750
1,300 Tyco Lab...................................... 68,738
----------
574,064
----------
INSURANCE (3.6%)
1,000 Arthur J. Gallagher & Co...................... 31,000
900 Hartford Steam Boiler Insurance............... 41,738
2,700 Western National Corp......................... 51,975
3,400 Willis Coroon Group ADR....................... 39,100
----------
163,813
----------
MOTOR VEHICLES & EQUIPMENT (1.0%)
1,800 Standard Products Co.......................... 45,900
----------
OIL SERVICE (2.1%)
800 Halliburton, Co............................... 48,200
2,500 Nabors Industries, Inc.*...................... 48,125
----------
96,325
----------
PETROLEUM & NATURAL GAS (6.4%)
2,500 Cabot Oil & Gas Corp., Class A................ 42,813
1,300 Equitable Resources, Inc...................... 38,675
2,400 National-Oilwell Inc.*........................ 73,800
4,300 Natural Gas Clearinghouse..................... 99,975
2,700 Quaker State Corp............................. 38,138
----------
293,401
----------
RETAIL (9.7%)
7,000 Charming Shoppes, Inc.*....................... 35,438
2,900 DiMon, Inc.................................... 67,063
3,000 Fingerhut Companies, Inc...................... 36,750
1,400 Fred Meyer, Inc.*............................. 49,700
1,300 Herman Miller, Inc............................ 73,613
1,400 LA-Z-Boy Chair Co............................. 41,300
4,800 Stride Rite Corp.............................. 48,000
1,400 Waban, Inc.*.................................. 36,400
3,000 Zale Corp.*................................... 57,375
----------
445,639
----------
SERVICES (5.8%)
2,000 Cinar Films Inc., Class B*.................... 52,000
1,300 Healthcare Compare Corp.*..................... 55,088
2,100 Republic Industries, Inc.*.................... 65,494
900 Saville Systems Ireland-ADR*.................. 36,563
2,000 Service Corp. International................... 56,000
----------
265,145
----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
15
<PAGE>
EMERGING GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
-------- ----------
<C> <S> <C>
COMMON STOCKS--CONTINUED
TELECOMMUNICATIONS (6.7%)
1,000 Ascend Communications, Inc.*.................. $ 62,125
1,200 Cincinnati Bell, Inc.......................... 73,950
3,000 Geotel Communications Group*.................. 39,000
1,400 Nokia Corp., ADR.............................. 80,675
1,700 Octel Communication Corp.*.................... 29,750
500 Videoserver, Inc.*............................ 21,250
----------
306,750
----------
TRANSPORTATION (1.7%)
1,600 Alexander & Baldwin, Inc...................... 40,000
2,800 J.B. Hunt Transportation Services, Inc........ 39,200
----------
79,200
----------
REAL ESTATE INVESTMENT TRUSTS (2.4%)
2,000 Starwood Lodging Trust........................ $ 110,250
----------
TOTAL COMMON STOCKS (COST $3,564,016)................... 4,283,216
----------
TOTAL INVESTMENTS AT VALUE (93.1%)
(COST $3,564,016)(A).................................... $4,283,216
CASH AND OTHER ASSETS
NET OF LIABILITIES (6.9%)............................... 319,575
----------
NET ASSETS (100.0%)..................................... $4,602,791
----------
----------
</TABLE>
--------------------------
* Non-income producing security.
(a) The aggregate identified cost for federal income tax purposes is
$3,576,675, resulting in gross unrealized appreciation and
depreciation of $814,454 and $107,913, respectively, and net
unrealized appreciation of $706,541.
ADR: American Depositary Receipt.
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
----------- ----------
<C> <S> <C>
COMMON STOCKS (97.1%)
ARGENTINA (0.0%)
1 Compania Naviera Perez Companc S.A............ $ 7
----------
AUSTRALIA (2.1%)
5,108 Broken Hill Proprietary....................... 72,750
1,720 CRA Ltd....................................... 27,001
1,400 News Corp., Ltd. ADR.......................... 29,225
500 News Corp., Pref Shares ADR................... 8,813
----------
137,789
----------
BRAZIL (5.8%)
1,200 Cemig Cia Energy ADR.......................... 40,882
300 Centrais Electricas Brasileiras ADR........... 5,572
1,900 Companhia Siderugica Nacional ADR............. 53,941
2,050 Comphanhia Vale do Rio Doce S.A. ADR.......... 39,457
2,200 Refrigeracao Parana S.A. ADR*................. 24,877
2,000 Telecomunicacoes Brasileiras ADR.............. 153,000
6,500 Usinas Siderugicas de Minas Gerais ADR........ 66,307
----------
384,036
----------
CANADA (0.6%)
700 Magna International Inc., Class A............. 39,025
----------
DENMARK (0.4%)
460 Unidanmark A/S................................ 23,817
----------
FINLAND (1.3%)
1,430 Nokia Corp., ADR.............................. 82,404
----------
FRANCE (10.8%)
206 Accor......................................... 26,103
110 Air Liquide................................... 17,184
664 AXA........................................... 42,260
1,250 Banque National De Paris...................... 48,409
FRANCE--CONTINUED
1,240 Bertrand Faure................................ $ 48,332
224 Bic........................................... 33,611
148 Carrefour Super Marche........................ 96,364
260 Christian Dior S.A............................ 41,971
407 Companie Generale des Eaux.................... 50,473
487 Credit Local de France........................ 42,454
75 Legrand....................................... 12,787
523 Michelin, Class B............................. 28,253
300 Rhone Polenc.................................. 10,235
200 Sanofi S.A.................................... 19,904
500 SGS-Thompson Microelectronics*................ 35,000
860 Societe National Elf-Aquitaine................ 78,337
503 Technip S.A................................... 47,244
559 Valeo S.A..................................... 34,500
----------
713,421
----------
GERMANY (7.7%)
600 Adidas AG..................................... 51,869
1,000 Bayer AG...................................... 40,819
600 Commerzbank AG................................ 15,249
1,000 Daimler Benz AG............................... 68,898
130 Degussa AG.................................... 58,853
90 Gea Pref Shares............................... 28,343
1,660 Hoechst AG.................................... 78,441
80 Karstadt AG................................... 27,039
155 Mannesmann AG................................. 67,199
600 RWE AG........................................ 25,427
106 Volkswagen AG................................. 44,095
----------
506,232
----------
GREAT BRITAIN (12.8%)
5,796 British Petroleum Co. PLC..................... 69,554
400 British Sky Broadcasting PLC ADR.............. 21,000
</TABLE>
The accompanying notes are an integral part of the financial statements.
16
<PAGE>
INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
----------- ----------
<C> <S> <C>
COMMON STOCKS--CONTINUED
GREAT BRITAIN--CONTINUED
200 Cable & Wireless PLC ADR...................... $ 4,925
6,400 Cable & Wireless PLC.......................... 53,229
3,142 Dixons Group PLC.............................. 29,227
3,700 EMI Group PLC................................. 87,788
2,600 General Cable PLC ADR*........................ 42,900
7,000 General Cable PLC*............................ 23,384
3,500 Land Securities PLC........................... 44,789
900 Reuters Holdings PLC ADR...................... 68,850
16,600 Rolls Royce PLC............................... 73,226
4,900 Scottish & Newcastle PLC...................... 57,626
4,204 Standard Chartered Bank PLC................... 51,926
1,878 Unilever PLC.................................. 45,572
2,631 United News & Media PLC....................... 31,415
21,000 WPP Group PLC................................. 91,017
80 Zeneca Group PLC ADR.......................... 6,720
1,500 Zeneca Group PLC.............................. 42,335
----------
845,483
----------
HONG KONG (5.2%)
5,000 Cheung Kong Holdings, Ltd..................... 44,444
9,000 Citic Pacific, Ltd............................ 52,246
37,000 Henderson Investment, Ltd..................... 44,250
3,106 HSBC Holdings PLC............................. 66,461
6,000 New World Development Co...................... 40,533
4,000 Sun Hung Kai Properties, Ltd.................. 49,001
4,500 Swire Pacific Ltd., Class A................... 42,908
----------
339,843
----------
INDIA (1.2%)
8,000 Morgan Stanley India Investment Fund, Inc.*... 76,000
----------
INDONESIA (1.5%)
10,000 PT Astra International........................ 27,519
300 PT Telecomunikasi ADR......................... 10,350
33,500 PT Telecomunikasi............................. 57,795
----------
95,664
----------
ISRAEL (1.0%)
1,200 ECI Telecommunications Ltd.................... 25,500
2,300 Geotek Communications, Inc.*.................. 16,388
500 Teva Pharmaceutical Inds. Ltd. ADR............ 25,125
----------
67,013
----------
ITALY (3.2%)
8,000 Banca Fideuram SPA............................ 17,583
3,500 Edison SPA.................................... 22,078
5,500 Istituto Mobiliare Italiano................... 46,946
6,100 Stet RISP..................................... 20,610
10,000 Stet.......................................... 45,468
23,000 Telecom Italia Mobile SPA..................... 58,334
----------
211,019
----------
JAPAN (8.8%)
1,000 Aoyama Trading Co............................. 26,423
600 Bank of Tokyo, Ltd............................ 11,139
2,000 Chugai Pharmaceutical Co., Ltd................ 16,752
1,000 Chugoku Bank, Ltd............................. 14,679
3,000 Daiichi Pharmaceutical, Ltd................... 48,182
2,000 Daiwa House Industry Co., Ltd................. 25,732
2,000 Daiwa Securities Company, Ltd................. 17,788
JAPAN--CONTINUED
1,000 Fuji Photo Film Company, Ltd.................. $ 32,985
2,000 Higo Bank..................................... 13,349
2,000 Hitachi, Ltd.................................. 18,651
1,000 House Foods Industry.......................... 16,147
1,000 Kyushu Electric Power......................... 19,428
2,000 Mitsubishi Electric Industrial Co., Ltd....... 11,916
2,000 Mitsubishi Steel Manufacturing Co.*........... 8,652
3,000 Mitsui Petrochemical Industries............... 15,543
1,000 Nichicon Corp................................. 11,571
2,000 Nippon Meat Packers........................... 25,904
4,000 Nippon Paper Industries Co.*.................. 18,651
4,000 Nisshin Steel Co., Ltd........................ 10,742
2,000 Seino Transportation Co., Ltd................. 22,105
2,000 Sekisui Chemical Co........................... 20,206
2,000 Sekisui House, Ltd............................ 20,378
2,000 Shionogi & Co., Ltd........................... 14,282
2,030 Tohoku Electric Power Company................. 40,316
2,000 Toppan Printing Co............................ 25,041
2,000 Toshiba Corp.................................. 12,572
1,000 Yakult Honsha................................. 10,362
1,000 Yamaguchi Bank................................ 14,679
3,000 Yamaichi Securities........................... 13,341
1,000 Yamanouchi Pharmaceutical Co., Ltd............ 20,551
----------
578,067
----------
KOREA (1.1%)
4,900 Korea Fund, Inc............................... 73,500
----------
MALAYSIA (4.1%)
12,000 Diversified Resources Berhad.................. 44,427
32,000 Magnum Corp. Berhad........................... 62,087
4,000 Malayan Banking Berhad........................ 44,348
14,000 Malaysian Resources Corp...................... 55,157
7,000 Resorts World Berhad.......................... 31,875
6,000 YTL Corp. Berhad.............................. 32,310
----------
270,204
----------
MEXICO (3.2%)
15,000 Cemex S.A. Class B............................ 58,498
14,000 Grupo Financiero Banamex, Series B*........... 29,522
17,600 Grupo Financiero Banamex, Series L*........... 33,447
6,500 Grupo Modelo S.A., Series C................... 37,405
1,000 Kimberly Clark Mexico, Series A............... 19,423
5,000 Sanluis Corp. S.A............................. 30,996
----------
209,291
----------
NETHERLANDS (3.9%)
300 Akzo Dutch ................................... 41,008
900 Ing Groep N.V................................. 32,424
200 Nutricia Verenigde Bedrijven.................. 30,408
1,700 Philips Electronics NV........................ 68,926
3,900 Verenigde Nederlandse......................... 81,546
----------
254,312
----------
PERU (0.9%)
3,300 Telefonica Del Peru ADR....................... 62,288
----------
PHILIPPINES (0.9%)
28,500 Ayala Corp., Class B.......................... 30,884
</TABLE>
The accompanying notes are an integral part of the financial statements.
17
<PAGE>
INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
----------- ----------
<C> <S> <C>
COMMON STOCKS--CONTINUED
PHILIPPINES--CONTINUED
500 Philippine Long Distance Telephone ADR........ $ 25,500
----------
56,384
----------
PORTUGAL (1.4%)
1,000 Banco Totta & Acores - Reg B*................. 18,858
1,400 Cimentos De Portugal S.A...................... 30,140
660 Portugal Telecom S.A. ADR..................... 18,645
800 Portugal Telecom S.A.......................... 22,806
----------
90,449
----------
SINGAPORE (2.5%)
3,300 Overseas Chinese Banking Corp., Ltd........... 41,035
2,400 Singapore Press Holdings, Ltd................. 47,338
8,000 Straits Steamship Land........................ 25,613
4,800 United Overseas Bank, Ltd..................... 53,512
----------
167,498
----------
SOUTH AFRICA (1.0%)
5,769 Amalgamated Banks of South Africa............. 29,594
20 Anglo American Industrial Corp Rights*........ 105
913 Anglo American Industrial Corp................ 33,078
----------
62,777
----------
SPAIN (5.1%)
223 Acerinox S.A.................................. 32,224
193 Banco Popular................................. 37,909
300 Bankinter S.A................................. 46,516
400 Empresa Nac De Electricidad................... 28,469
1,110 Repsol S.A. ADR............................... 42,319
1,060 Sol Melia S.A.*............................... 37,966
700 Telefonica De Espana S.A. ADR................. 48,475
5,800 Union Electrica Fenosa S.A.................... 62,322
----------
336,200
----------
SWEDEN (4.9%)
1,500 Astra AB Fria................................. 74,160
1,485 Autoliv AB.................................... 65,140
900 Electrolux AB................................. 52,286
2,290 Ericsson Telephone Co., ADR, Class B.......... 69,129
SWEDEN--CONTINUED
447 Hennes & Mauritz Fria......................... $ 61,905
----------
322,620
----------
SWITZERLAND (5.1%)
40 Asea Brown Boveri AG.......................... 49,757
70 Holderbank Financial, Class B................. 49,996
112 Novartis AG*.................................. 128,024
6 Roche Holding AG.............................. 46,687
25 Swiss Reinsurance Co.......................... 26,690
500 Tag Heuer International S.A. ADR*............. 8,063
28 Union Bank of Switzerland, Class B............ 24,538
----------
333,755
----------
UNITED STATES (0.6%)
1,583 International Cabletel, Inc.*................. 39,971
----------
TOTAL COMMON STOCKS (COST $5,634,972)....................... 6,379,069
----------
</TABLE>
<TABLE>
<CAPTION>
6
PRINCIPAL -----------
$--------
BOND (0.0%)
CAYMAN ISLANDS (0.0%)
50 HKR International Ltd., 6.00%, 06/26/00......
TOTAL BOND (COST $5)................................... 6
TOTAL INVESTMENTS AT VALUE (97.1%) -----------
(COST $5,634,977)(A)...................................
CASH AND OTHER ASSETS NET OF 6,379,075
LIABILITIES (2.9%)................................... 192,372
NET ASSETS (100.0%).................................... $-----------
6,571,447
-----------
-----------
--------------------------
* Non-income producing security.
(a) The aggregate identified cost for federal income tax purposes is
$5,639,368, resulting in gross unrealized appreciation and
depreciation of $1,001,175 and $261,468, respectively, and net
unrealized appreciation of $739,707.
ADR: American Depositary Receipt
RISP: Risparmio (Italian "Savings Shares")
- --------------------------------------------------------------------------------
GROWTH & INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1996
VALUE
SHARES (NOTE 1)
-------- ----------
<C> <S> <C>
COMMON STOCKS (98.7%)
AIRLINES (1.1%)
15,000 America West Airlines Class B*............... $ 238,125
-----------
BANKING & FINANCE (17.2%)
20,000 Bank of Rhode Island*........................ 200,000
5,000 Beneficial Corp.............................. 316,875
10,000 Beverly Bancorporation....................... 180,625
8,100 Federal National Mortgage Association........ 301,725
5,000 First Chicago NBD Corp....................... 268,750
6,500 First Commerce Corp.......................... 252,688
BANKING & FINANCE--CONTINUED
7,500 First Hawaiian Inc........................... $ 262,500
7,500 Glendale Federal Bank*....................... 174,375
2,500 Great Western Financial...................... 72,500
10,200 HomeCorp, Inc.*.............................. 195,075
9,000 Imperial Bancorp*............................ 216,000
15,000 Mercury Financial Co......................... 183,750
10,000 North Folk Bancorp........................... 356,250
3,000 Summit Bancorp............................... 131,250
3,200 UnionBanCal Corp............................. 169,600
</TABLE>
The accompanying notes are an integral part of the financial statements.
18
<PAGE>
GROWTH & INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
-------- ----------
<C> <S> <C>
COMMON STOCKS--CONTINUED
BANKING & FINANCE--CONTINUED
5,650 Webster City Federal Savings................. $ 77,688
11,000 WFS Financial, Inc........................... 218,625
-----------
3,578,276
-----------
CHEMICALS (2.6%)
6,000 Englehard Corp............................... 114,750
6,000 Hercules, Inc................................ 259,500
5,000 TIG Holdings Inc............................. 169,375
-----------
543,625
-----------
COMPUTER EQUIPMENT & DATA PROCESSING (11.0%)
7,500 AMP Inc...................................... 287,813
8,832 Automatic Data Processing, Inc............... 378,672
3,000 Computer Sciences Corp.*..................... 246,375
5,000 Durion, Inc.................................. 135,625
7,000 Electronic Data Systems Corp................. 302,750
2,800 First Data Corp.............................. 102,200
2,500 Microsoft Corporation Preferred A*........... 200,313
10,000 National Semiconductor Corp.*................ 243,750
4,000 Thomas & Betts Corp.......................... 177,500
20,000 Ultradata Corp.*............................. 82,500
6,000 VLSI Technology, Inc.*....................... 143,250
-----------
2,300,748
-----------
CONSUMER & OFFICE PRODUCTS (7.9%)
1,000 Acnielson Corp.*............................. 15,125
7,500 Bausch & Lomb, Inc........................... 262,500
2,000 Ceridian Corp.*.............................. 81,000
4,800 General Electric............................. 474,600
4,700 Johnson Controls............................. 389,513
4,000 Proctor & Gamble Co.......................... 430,000
-----------
1,652,738
-----------
FOOD & BEVERAGES (6.5%)
5,600 Anheuser Busch............................... 224,000
1,500 CPC International, Inc....................... 116,250
5,000 H. J. Heinz Co............................... 178,750
5,000 McDonald's Corp.............................. 226,250
6,100 Nabisco Holding Corp., Class A............... 237,138
8,750 Pepsico, Inc................................. 255,938
4,000 Sysco Corp................................... 130,500
-----------
1,368,826
-----------
HEALTHCARE (6.9%)
3,000 Cognizant Corp.*............................. 99,000
8,900 Columbia/HCA Healthcare Corp................. 362,675
9,000 Coventry Corporation*........................ 83,390
20,000 Metra Biosystems, Inc.*...................... 95,000
13,000 Physician Corp. of America*.................. 130,000
10,000 Physician Health Services, Inc.*............. 147,500
10,000 St. Jude Medical, Inc.*...................... 426,250
10,000 United American Healthcare Corp.*............ 58,750
5,000 Wellcare Management Group, Inc.*............. 39,375
-----------
1,441,940
-----------
HEAVY INDUSTRY (4.1%)
10,000 Goulds Pumps, Inc............................ 229,375
1,060 Newport News Shipbuilding*................... 15,900
5,300 Tenneco Inc.*................................ 239,163
HEAVY INDUSTRY--CONTINUED
8,500 Trinity Industries, Inc...................... $ 318,750
15,000 Weirton Steel*............................... 52,500
-----------
855,688
-----------
INSURANCE (7.7%)
4,400 Aetna Inc.................................... 352,000
2,550 American International Group, Inc............ 276,038
9,000 Chubb Corp................................... 483,750
10,000 Healthsource Inc.*........................... 131,250
2,500 St. Paul Companies........................... 146,563
8,750 United Companies Financial Corp.............. 232,963
-----------
1,622,564
-----------
LEISURE & ENTERTAINMENT (1.9%)
4,500 Readers Digest Association, Inc.............. 181,125
6,500 Viacom, Inc. Class B*........................ 226,688
-----------
407,813
-----------
OIL SERVICE (7.4%)
7,000 Apache Corp.................................. 247,625
5,000 Ashland Inc.................................. 219,375
493 El Paso Natural Gas Co....................... 24,891
5,000 Kerr - McGee Corp............................ 360,000
2,500 Mobil Corp................................... 305,625
10,000 Union Texas Petroleum Holdings............... 223,750
7,300 USX-Marathon Group........................... 174,288
-----------
1,555,554
-----------
PHARMACEUTICALS (9.5%)
6,000 Abott Laboratories........................... 304,500
7,000 Amgen, Inc.*................................. 380,625
15,000 Genzyme Corp.*............................... 326,250
4,000 Merck & Co., Inc............................. 317,000
8,000 Pharmacia & Upjohn, Inc...................... 317,000
5,000 SmithKline Beecham PLC ADR................... 340,000
-----------
1,985,375
-----------
SERVICES (3.5%)
3,000 Dun & Bradstreet Corp........................ 71,250
25,000 Hollinger International Inc.................. 287,500
15,000 Katz Media Group*............................ 168,750
6,500 Manpower, Inc................................ 211,250
-----------
738,750
-----------
TELECOMMUNICATIONS (9.9%)
10,000 360 Communications Co.*...................... 231,250
30,000 American Paging, Inc.*....................... 140,625
10,000 Atlantic Tele-Network*....................... 152,500
3,800 Cincinnati Bell, Inc......................... 234,175
9,421 Comcast Corp................................. 167,812
5,000 Emmis Broadcasting Corp., Class A*........... 163,750
972 Lucent Technologies.......................... 44,955
3,000 SBC Communications, Inc...................... 155,250
2,000 TCI Satellite Entertainment, Class A*........ 19,750
20,000 Tele-Communications, Inc., Class A*.......... 261,250
6,000 Telephone & Data System, Inc................. 217,500
10,000 Western Wireless Corp., Class A*............. 138,750
6,000 Worldcom, Inc.*.............................. 156,375
-----------
2,083,942
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
19
<PAGE>
GROWTH & INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
-------- ----------
<C> <S> <C>
COMMON STOCKS--CONTINUED
TRANSPORTATION (0.8%)
5,000 Illinois Central Corp........................ $ 160,000
-----------
UTILITIES (0.7%)
7,500 Southwest Gas Co............................. 144,375
-----------
TOTAL COMMON STOCKS (COST $18,151,832)................. 20,678,339
-----------
PRINCIPAL
--------
CONVERTIBLE BONDS (1.3%)
$325,000 Softkey 5.50%, due 11/01/2000................ 268,125
-----------
TOTAL CONVERTIBLE BONDS (COST $299,682)................ 268,125
-----------
TOTAL INVESTMENTS AT VALUE (100.0%)
(COST $18,451,514)(A).................................. $20,946,464
-----------
CASH AND OTHER ASSETS
NET OF LIABILITIES (0.0%).............................. 9,697
-----------
NET ASSETS (100.0%).................................... $20,956,161
-----------
-----------
</TABLE>
--------------------------
* Non-income producing security.
(a) The aggregate identified cost for federal income tax purposes is
$18,466,988, resulting in gross unrealized appreciation and
depreciation of $3,762,449 and $1,282,973, respectively, and net
unrealized appreciation of $2,479,476.
ADR: American Depositary Receipt.
- --------------------------------------------------------------------------------
BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
-------- ----------
<C> <S> <C>
COMMON STOCKS (61.3%)
AIRCRAFT/DEFENSE MANUFACTURING (3.4%)
500 Boeing Co..................................... $ 53,188
500 General Dynamics.............................. 35,250
2,000 Gulfstream Aerospace Corp.*................... 48,500
----------
136,938
----------
AIRLINES (1.2%)
1,700 Continental Airlines, Class B*................ 48,025
----------
BANKING & FINANCE (6.8%)
800 Chase Manhattan Corp.......................... 71,400
800 Citicorp...................................... 82,400
1,900 Federal National Mortgage Association......... 70,775
500 Nationsbank Corporation....................... 48,875
----------
273,450
----------
CHEMICALS (1.5%)
1,600 Monsanto Co................................... 62,200
----------
COMPUTER EQUIPMENT & DATA PROCESSING (9.9%)
700 Computer Sciences Corp.*...................... 57,488
1,100 Electronic Data Systems Corp.................. 47,575
500 IBM Corporation............................... 75,500
600 Intel Corp.................................... 78,563
800 Microsoft Corp.*.............................. 66,100
1,600 Storage Technology Corp.*..................... 76,200
----------
401,426
----------
CONSUMER PRODUCTS (5.1%)
600 Illinois Tool Works, Inc...................... 47,925
1,200 Johnson & Johnson............................. 59,700
700 Magna International Inc., Class A............. 39,025
2,100 Mattel, Inc................................... 58,275
----------
204,925
----------
CONSUMER & OFFICE PRODUCTS (2.0%)
800 General Electric.............................. $ 79,100
----------
FOOD & BEVERAGES (0.7%)
500 Coca-Cola Company............................. 26,313
----------
HEALTHCARE (0.8%)
500 Medtronic, Inc................................ 34,000
----------
HEAVY INDUSTRY (1.2%)
700 Harsco Corp................................... 47,950
----------
INDUSTRIAL ENGINEERING (1.6%)
1,550 Thermo Electron Corp.......................... 63,938
----------
INSURANCE (5.9%)
2,000 Allmerica Financial Corp...................... 67,000
400 American International Group, Inc............. 43,300
1,200 SunAmerica, Inc............................... 53,250
1,600 Travelers Group, Inc.......................... 72,600
----------
236,150
----------
LEISURE & ENTERTAINMENT (1.0%)
600 Walt Disney Co................................ 41,775
----------
PAPER & FOREST PRODUCTS (3.3%)
1,100 Alco Standard Corp............................ 56,788
800 Kimberly-Clark Corp........................... 76,200
----------
132,988
----------
PETROLEUM & NATURAL GAS (7.7%)
700 Amoco Corp.................................... 56,350
1,100 Diamond Offshore Driling, Inc.*............... 62,700
1,200 Enron Corp.................................... 51,750
500 Schlumberger Ltd.............................. 49,932
1,500 Triton Energy, Inc.*.......................... 72,750
500 Unocal Corp................................... 20,313
----------
313,795
----------
PHARMACEUTICALS (2.7%)
400 Bristol-Myers Squibb Co....................... 43,500
</TABLE>
The accompanying notes are an integral part of the financial statements.
20
<PAGE>
BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
-------- ----------
<C> <S> <C>
COMMON STOCKS--CONTINUED
PHARMACEUTICALS--CONTINUED
800 Pfizer, Inc................................... $ 66,300
----------
109,800
----------
REAL ESTATE INVESTMENT TRUSTS (2.7%)
1,200 Beacon Properties Corp........................ 43,950
800 Equity Residential Properties................. 33,000
700 Patriot American Hospitality.................. 30,188
----------
107,138
----------
RETAIL (1.4%)
1,100 Home Depot.................................... 55,138
----------
TELECOMMUNICATIONS (2.4%)
1,100 GTE Corporation............................... 50,050
600 Telecomunicacoes Brasileiras ADR.............. 45,900
----------
95,950
----------
TOTAL COMMON STOCKS (COST $1,889,110)................... 2,470,999
----------
PRINCIPAL
--------
CORPORATE BONDS (6.0%)
$ 44,500 G.E. Capital Management Service, 6.50%,
03/25/24.................................... 41,831
40,000 G.E. Capital Management Service, 6.50%,
11/25/23.................................... 34,860
37,082 Merrill Lynch Mortgage Inv. Inc., 7.65%,
01/15/12.................................... 37,827
12,962 Merrill Lynch Mortgage Inv. Inc., 9.70%,
07/15/10.................................... 13,307
40,000 Merrill Lynch Mortgage Inv. Inc., 7.089%,
12/26/25.................................... 40,219
50,000 Prudential Home Mortgage Securities, 6.25%,
04/25/24.................................... 42,874
30,000 Security Pacific Trust, 7.375%, 10/15/06...... 30,188
----------
TOTAL CORPORATE BONDS (COST $238,445)................... 241,106
----------
MUNICIPAL BONDS (7.3%)
40,000 Baltimore Community Development Financing,
8.20%, 08/15/07............................. 42,700
10,384 Denver Colorado City & County Single Family,
7.25%, 12/01/10............................. 10,578
20,000 Michigan State Job Development Authority MFM,
7.10%, 05/01/98............................. 20,225
15,000 New York City Taxable, 9.75%, 08/15/12........ 16,613
$ 40,000 New York State HFA Service, 7.50%, 09/15/03... $ 40,200
40,000 New York State Job Development Authority,
Series A, 7.625%, 03/01/97.................. 40,071
50,000 Ohio Housing Financial Agency, 7.90%,
10/01/14.................................... 51,063
30,000 Oklahoma City Airport Taxable, 9.40%,
11/01/10.................................... 31,650
40,000 Oregon State General Obligation, 6.90%,
01/01/00.................................... 40,100
----------
TOTAL MUNICIPAL BONDS (COST $287,758) 293,200
----------
U.S. GOVERNMENT & AGENCY OBLIGATIONS (19.9%)
20,000 Federal Home Loan Mortgage Corporation, 6.00%,
03/15/08.................................... 19,603
40,000 Federal National Mortgage Association, 5.00%,
10/25/03.................................... 39,703
45,000 Federal National Mortgage Association, 6.15%,
10/25/07.................................... 44,503
40,000 U.S. Treasury Bonds, 8.125%, 08/15/19......... 46,251
430,000 U.S. Treasury Notes, 5.75%,
08/15/03.................................... 417,048
230,000 U.S. Treasury Notes, 6.875%, 08/31/99......... 234,802
----------
TOTAL U.S. GOVERNMENT & AGENCY OBLIGATIONS (COST
$794,046)............................................... 801,910
----------
TOTAL INVESTMENTS AT VALUE (94.5%)
(COST $3,209,359)(A).................................... 3,807,215
CASH AND OTHER ASSETS
NET OF LIABILITIES (5.5%)............................... 222,577
----------
NET ASSETS (100.0%)..................................... $4,029,792
----------
----------
</TABLE>
--------------------------
* Non-income producing security.
(a) The aggregate identified cost for federal income tax purposes is
$3,210,270, resulting in gross unrealized appreciation and
depreciation of $602,128 and $5,183, respectively, and net
unrealized appreciation of $596,945.
ADR: American Depositary Receipt
HFA: Housing Finance Authority
- --------------------------------------------------------------------------------
INCOME OPPORTUNITY PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
PRINCIPAL (NOTE 1)
-------- ----------
<C> <S> <C>
CORPORATE BONDS (30.1%)
BANKING & FINANCE (6.5%)
$450,000 Goss Graphic Systems Inc., 12.00%, 10/15/06... $ 463,500
----------
BROADCAST & MEDIA (1.0%)
$150,000 Cai Wireless Systems, 12.25%, 09/15/02........ $ 72,375
----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
21
<PAGE>
INCOME OPPORTUNITY PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
PRINCIPAL (NOTE 1)
-------- ----------
<C> <S> <C>
CORPORATE BONDS--CONTINUED
CHEMICALS (3.0%)
$200,000 Kaiser Aluminum & Chemicals, 10.875%,
10/15/06.................................... $ 212,000
----------
COMMUNICATIONS (1.4%)
100,000 Phonetel Technologies, 12.00%, 12/15/06....... 103,500
----------
FOOD & BEVERAGES (1.3%)
100,000 Specialty Foods, 11.125%, 10/01/02............ 95,000
----------
HEAVY CONSTRUCTION (9.4%)
250,000 Ivaco Inc., 11.50%, 09/15/05.................. 248,125
150,000 Unison Healthcare Corp., 12.25%, 11/01/06..... 153,750
250,000 Unisys Corp., 12.00%, 04/15/03................ 267,500
----------
669,375
----------
PETROLEUM & NATURAL GAS (3.8%)
250,000 Trans Texas Gas, 11.50%, 06/15/02............. 270,312
----------
SERVICES (3.7%)
250,000 Alliance Gaming, 12.875%, 06/30/03............ 265,000
----------
TOTAL CORPORATE BONDS (COST $2,143,971)................. 2,151,062
----------
EUROBONDS (14.9%)
BRAZIL (1.6%)
100,000 RBS Participacoes S.A, 14.00%, 12/15/03....... 112,000
----------
INDIA (3.7%)
500,000 Nippon Denro Ispat Ltd., 3.00%, 04/01/01...... 262,500
----------
MEXICO (2.5%)
300,000 Grupo Mex Desarollo, 8.25%, 02/17/01.......... 179,625
----------
THAILAND (7.1%)
1,750,000 NTS Steel Group Public, 4.00%, 12/16/08....... 507,500
----------
TOTAL EUROBONDS (COST $1,066,676)....................... 1,061,625
----------
SOVEREIGN GOVERNMENT
BONDS & NOTES (20.1%)
ARGENTINA (3.8%)
254,000 Argentina Bocon Pre 4, 14.75%, 09/01/02(c).... 272,923
----------
BRAZIL (3.1%)
302,877 Republic of Brazil, 8.00%,
04/15/14(c)................................. 223,372
----------
RUSSIA (13.2%)
1,000,000 Russian Fed GKO-Linked Notes, 0.00%,
05/23/97+................................... 942,665
----------
TOTAL SOVEREIGN GOVERNMENT (COST $1,313,472)............
1,438,960
----------
YANKEE BONDS (14.4%)
BRAZIL (5.1%)
$350,000 Tevecap S.A., 12.625%, 11/26/04............... $ 357,875
----------
MEXICO (5.6%)
400,000 Grupo Televisa S.A. (Zero Coupon until
05/15/01, 13.25% thereafter), 05/15/08(b)... 266,500
150,000 Tolmex S.A., 8.375%, 11/01/03................. 136,875
----------
403,375
----------
NETHERLANDS (3.7%)
250,000 APP International Finance, 11.75%, 10/01/05... 267,188
----------
TOTAL YANKEE BONDS (COST $1,002,335).................... 1,028,438
----------
BRADY BONDS (14.3%)
BULGARIA (2.6%)
200,000 Government of Bulgaria, 6.688%, 07/28/11...... 101,500
150,000 Government of Bulgaria, 6.688%, 07/28/24...... 84,750
----------
186,250
----------
ECUADOR (1.8%)
188,000 Republic of Ecuador, 6.50%, 02/28/25.......... 129,250
----------
NIGERIA (2.4%)
250,000 Central Bank of Nigeria, 6.25%, 11/15/20...... 170,625
----------
PANAMA (4.4%)
405,103 Panama - PDI 6.75%, 07/17/16 (c).............. 316,486
----------
VENEZUELA (3.1%)
250,000 Republic of Venezuela, 6.50%, 12/18/07........ 220,313
----------
TOTAL BRADY BONDS (COST $895,562)....................... 1,022,924
----------
TOTAL INVESTMENTS AT VALUE (93.8%)
(COST $6,422,016)(A).................................... 6,703,009
CASH AND OTHER ASSETS
NET OF LIABILITIES (6.2%)............................... 446,355
----------
NET ASSETS (100.0%)..................................... $7,149,364
----------
----------
</TABLE>
--------------------------
+ Restricted security (Note 5)
(a) The aggregate identified cost for federal income tax purposes is
$6,422,016, resulting in gross unrealized appreciation and
depreciation of $396,635 and $115,642, respectively, and net
unrealized appreciation of $280,993.
(b) Zero or step coupon bond.
(c) A percentage of income is received in additional shares of the
issuer.
The accompanying notes are an integral part of the financial statements.
22
<PAGE>
BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
PRINCIPAL (NOTE 1)
-------- ----------
<C> <S> <C>
ASSET BACKED SECURITIES (17.1%)
$500,000 Advanta Mortgage Loan, 6.03%, 08/25/11........ $ 492,598
344,585 Chase Manhattan Grantor Trust, 5.20%,
04/15/02.................................... 341,949
500,000 Chemical Credit Card Master Trust, 5.98%,
09/15/08.................................... 474,490
500,000 Ford Credit Auto Loan Master Trust, 6.50%,
08/15/02.................................... 502,185
500,000 Navistar Financial, 6.35%, 11/15/02........... 503,185
----------
TOTAL ASSET BACKED SECURITIES (COST $2,297,950).........
2,314,407
----------
CORPORATE BONDS (43.3%)
AIRLINES (1.4%)
75,000 Delta Airlines, Inc., 10.375%, 02/01/11....... 92,625
75,000 United Airlines, Inc., 10.25%, 07/15/21....... 91,677
----------
184,302
----------
BANKING & FINANCE (20.3%)
400,000 Associates Corp. of North America, 7.875%,
09/30/01.................................... 419,537
500,000 Bank of New York, 8.50%, 12/15/04............. 547,024
350,000 First Union Corporation, 6.55%, 10/15/35...... 339,753
500,000 Ford Motor Credit Co, 6.25%, 11/08/00......... 495,284
500,000 Key Bank N.A., 7.125%, 08/15/06............... 501,213
350,000 Mellon Bank N.A., 6.50%, 08/01/05............. 338,353
99,592 Mercantile Safe Deposit, 12.125%, 01/02/01+... 109,859
----------
2,751,023
----------
BROADCAST & MEDIA (2.1%)
250,000 News America Holdings, Inc., 10.125%,
10/15/12.................................... 287,764
----------
COMMERCIAL SERVICES (7.6%)
500,000 Harris Corporation, 6.65%,
08/01/06.................................... 502,306
500,000 Kroger Company, 8.15%, 07/15/06............... 519,217
----------
1,021,523
----------
COMPUTER EQUIPMENT & DATA PROCESSING (1.8%)
250,000 IBM Corporation, 7.00%, 10/30/25.............. 239,688
----------
FOOD & BEVERAGES (4.5%)
600,000 Conagra Incorporated, 7.125%, 10/01/26........ 611,495
----------
INSURANCE (3.7%)
500,000 Travelers/Aetna P&C, 6.75%, 04/15/01.......... 502,214
----------
UTILITIES (1.9%)
250,000 Mississippi Power & Light, 8.80%, 04/01/05.... 255,432
----------
TOTAL CORPORATE BONDS (COST $5,723,689)................. 5,853,441
----------
MORTGAGE BACKED SECURITIES (18.1%)
$194,678 Federal Home Loan Mortgage Association, 6.00%,
05/01/09.................................... $ 188,407
647,660 Federal Home Loan Mortgage Association, 6.00%,
08/01/10.................................... 625,159
55,968 Federal Home Loan Mortgage Association, 6.00%,
10/01/10.................................... 54,024
65,021 Government National Mortgage Association,
10.25%, 07/15/12............................ 65,021
456,799 Government National Mortgage Association,
6.50%, 01/15/24............................. 438,184
617,089 Government National Mortgage Association,
7.00%, 06/15/09............................. 621,519
430,452 Government National Mortgage Association,
9.00%, 08/15/19............................. 459,154
----------
TOTAL MORTGAGE BACKED SECURITIES (COST $2,421,437)......
2,451,468
----------
U.S. TREASURY OBLIGATIONS (8.5%)
400,000 U.S. Treasury Notes, 5.75%, 08/15/03.......... 388,000
250,000 U.S. Treasury Notes, 6.125%, 03/31/98......... 250,547
500,000 U.S. Treasury Notes, 6.75%, 05/31/99.......... 508,438
----------
TOTAL U.S. TREASURY OBLIGATIONS (COST $1,136,708).......
1,146,985
----------
YANKEE BONDS (4.4%)
600,000 Province of Quebec, 7.50%, 07/15/23........... 598,949
----------
TOTAL YANKEE BONDS (COST $585,507)...................... 598,949
----------
AGENCY FOR INTERNATIONAL DEVELOPMENT BONDS (6.5%)+
150,000 Central America Intl Dev Bonds, Series F,
10.00%, 12/01/11............................ 172,996
150,000 Central America Intl Dev Bonds, Series G,
10.00%, 12/01/11............................ 172,996
150,000 Central America Intl Dev Bonds, Series H,
10.00%, 12/01/11............................ 172,996
100,000 Republic of Honduras Intl Dev Bonds Series D,
13.00%, 06/01/11............................ 142,243
82,927 Republic of Honduras Intl Dev Bonds, Series B,
13.00%, 06/01/01............................ 91,788
100,000 Republic of Honduras Intl Dev Bonds, Series C,
13.00%, 06/01/06............................ 130,391
----------
TOTAL AGENCY FOR INTERNATIONAL DEVELOPMENT BONDS (COST
$732,927)............................................... 883,410
----------
TOTAL INVESTMENTS AT VALUE (97.9%)
(COST $12,898,218)(A)................................... 13,248,660
CASH AND OTHER ASSETS
NET OF LIABILITIES (2.1%)............................... 279,130
----------
NET ASSETS (100.0%)..................................... $13,527,790
----------
----------
</TABLE>
--------------------------
+ Restricted and Board valued security (Note 5).
(a) The aggregate identified cost for federal income tax
purposes is $12,898,218, resulting in gross
unrealized appreciation and depreciation of $388,740
and $38,298, respectively, and net unrealized
appreciation of $350,442.
The accompanying notes are an integral part of the financial statements.
23
<PAGE>
MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1996
<TABLE>
<CAPTION>
VALUE
PRINCIPAL (NOTE 1)
-------- ---------
<C> <S> <C>
MUNICIPAL BONDS (95.6%)
CONNECTICUT (7.5%)
$100,000 Connecticut State Special Tax MBIA, 5.40%,
09/01/09.................................... $ 101,193
100,000 Connecticut State Special Tax, 5.375%,
09/01/08.................................... 102,920
----------
204,113
----------
FLORIDA (14.6%)
125,000 Dade County Water & Sewer System, 6.25%,
10/01/07.................................... 138,740
100,000 Florida State Board of Education, 5.00%,
06/01/02.................................... 102,482
100,000 Florida State Environmental Preservation
AMBAC, 5.50%, 07/01/07...................... 104,205
50,000 Fort Lauderdale Water & Sewer, 5.10%,
09/01/02.................................... 51,450
----------
396,877
----------
HAWAII (2.9%)
75,000 Hawaii State, 6.00%, 02/01/02................. 79,770
----------
INDIANA (3.9%)
100,000 Indiana Municipal Power Agency, 5.875%,
01/01/10.................................... 105,546
----------
MASSACHUSETTS (3.0%)
75,000 Massachusetts State, 6.25%, 07/01/04.......... 81,980
----------
MINNESOTA (10.8%)
100,000 Faribault Minnesota Ind Sch 656, 7.75%,
06/01/01.................................... 112,796
100,000 Minneapolis Series B, 4.80%, 03/01/04......... 101,142
75,000 Ramsey County, 5.50%, 02/01/02................ 78,500
----------
292,438
----------
NEW JERSEY (3.9%)
100,000 New Jersey State, 5.50%, 02/15/04............. 105,470
----------
NEW MEXICO (4.9%)
125,000 Albuquerque Water & Sewer, 6.00%, 07/01/15.... 131,795
----------
NEW YORK (3.8%)
100,000 Municipal Assistance Corp. AMBAC, 5.25%,
07/01/02.................................... 103,471
----------
OREGON (3.0%)
75,000 Oregon State Series LX, 6.50%, 11/01/00....... 81,044
----------
PENNSYLVANIA (11.7%)
$125,000 Erie Cnty Pa Prison Auth, 6.625%, 11/01/14.... $ 136,783
100,000 Haverford Township School District, 5.25%,
03/15/06.................................... 102,486
75,000 Pennsylvania State MBIA, 5.20%, 06/15/04...... 77,239
----------
316,508
----------
TEXAS (6.9%)
100,000 Texas A & M University Revenue, 5.95%,
05/15/05.................................... 107,703
75,000 University of Texas Permanent University Fund,
5.90%, 07/01/02............................. 80,254
----------
187,957
----------
WASHINGTON (11.7%)
100,000 King City Washington School District No. 400,
6.00%, 12/01/07............................. 108,769
100,000 Lynnwood Washington, 5.75%, 10/01/08.......... 105,502
100,000 Washington State Motor Vechicle Fuel, 5.375%,
09/01/06.................................... 103,850
----------
318,121
----------
WISCONSIN (7.0%)
75,000 Wisconsin State Clean Water Revenue, 6.25%,
06/01/03.................................... 81,814
100,000 Wisconsin State, 6.25%, 05/01/12.............. 109,436
----------
191,250
----------
TOTAL MUNICIPAL BONDS (COST $2,560,819)................. 2,596,340
----------
TOTAL INVESTMENTS AT VALUE (95.6%)
(COST $2,560,819)(A).................................... 2,596,340
CASH AND OTHER ASSETS
NET OF LIABILITIES (4.4%)............................... 119,179
----------
NET ASSETS (100.0%)..................................... $2,715,519
----------
----------
</TABLE>
--------------------------
(a) The aggregate identified cost for federal income tax purposes is
$2,560,819, resulting in gross unrealized appreciation and
depreciation of $38,470 and $2,949, respectively, and net
unrealized appreciation of $35,521.
The accompanying notes are an integral part of the financial statements.
24
<PAGE>
SELECT ADVISORS PORTFOLIOS
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EMERGING INTERNATIONAL GROWTH & INCOME MUNICIPAL
GROWTH EQUITY INCOME BALANCED OPPORTUNITY BOND BOND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------- ---------- ----------- ---------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments, at value (Note 1)* $4,283,216 $6,379,075 $20,946,464 $3,807,215 $6,703,009 $13,248,660 $2,596,340
Cash 198,304 386,524 92,120 188,421 291,592 163,839 76,704
Receivables for:
Securities sold 133,157 730 59,748 10,305 -- -- --
Dividends 6,257 3,312 38,691 2,755 -- -- --
Foreign tax reclaim 29 9,388 -- 19 -- -- --
Interest 909 1,340 4,014 25,596 126,668 195,615 40,438
Receivable from Sponsor (Note 4) -- -- -- -- 31,628 -- 4,171
Deferred organization expenses 19,434 19,434 19,434 19,434 19,434 19,434 19,434
---------- ---------- ----------- ---------- ---------- ----------- ----------
Total assets 4,641,306 6,799,803 21,160,471 4,053,745 7,172,331 13,627,548 2,737,087
---------- ---------- ----------- ---------- ---------- ----------- ----------
LIABILITIES:
Payable for investments purchased -- 192,991 -- -- -- -- --
Payable to Administrator 9,754 12,754 9,754 9,754 9,754 9,754 9,754
Payable to Sponsor (Note 2) 15,805 7,445 176,817 3,983 -- 73,924 --
Other accrued expenses 12,956 15,166 17,739 10,216 13,213 16,080 11,814
---------- ---------- ----------- ---------- ---------- ----------- ----------
Total liabilities 38,515 228,356 204,310 23,953 22,967 99,758 21,568
---------- ---------- ----------- ---------- ---------- ----------- ----------
NET ASSETS:
Applicable to investors' beneficial
interests $4,602,791 $6,571,447 $20,956,161 $4,029,792 $7,149,364 $13,527,790 $2,715,519
---------- ---------- ----------- ---------- ---------- ----------- ----------
---------- ---------- ----------- ---------- ---------- ----------- ----------
*Cost of investments $3,564,016 $5,634,977 $18,451,514 $3,209,359 $6,422,016 $12,898,218 $2,560,819
---------- ---------- ----------- ---------- ---------- ----------- ----------
---------- ---------- ----------- ---------- ---------- ----------- ----------
</TABLE>
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME (NOTE 1):
Interest $ 13,635 $ 18,594 $ 41,504 $ 92,135 $ 555,026 $ 907,768 $ 130,427
Dividends 48,297 99,613 (a) 304,380 30,731 -- -- --
---------- ---------- ----------- ---------- ---------- ----------- ----------
TOTAL INVESTMENT INCOME 61,932 118,207 345,884 122,866 555,026 907,768 130,427
---------- ---------- ----------- ---------- ---------- ----------- ----------
EXPENSES:
Administration and fund accounting
fees 61,789 64,008 61,966 64,985 61,674 61,716 62,356
Investment advisory fees (Note 2) 35,755 55,448 138,167 24,065 28,495 70,808 14,474
Auditing fees 13,793 14,824 14,831 10,723 14,823 13,329 12,323
Amortization of organization
expenses (Note 1) 7,071 7,071 7,071 7,071 7,071 7,071 7,071
Trustee fees (Note 2) 1,346 1,676 5,316 987 1,248 3,716 761
Custody fees 8,180 34,704 5,672 6,203 4,628 3,134 1,614
Miscellaneous 4,009 4,919 14,182 2,619 2,612 11,247 2,284
---------- ---------- ----------- ---------- ---------- ----------- ----------
Total expenses 131,943 182,650 247,205 116,653 120,551 171,021 100,883
Reimbursement from Advisor (59,720) (84,640 ) (62,911) (64,645) (62,865 ) (60,817) (67,320)
---------- ---------- ----------- ---------- ---------- ----------- ----------
NET EXPENSES 72,223 98,010 184,294 52,008 57,686 110,204 33,563
---------- ---------- ----------- ---------- ---------- ----------- ----------
NET INVESTMENT INCOME (LOSS) (10,291) 20,197 161,590 70,858 497,340 797,564 96,864
---------- ---------- ----------- ---------- ---------- ----------- ----------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on
investments 281,561 134,444 (b) 3,329,104 145,710 384,732 (14,517) 10,276
Net change in unrealized appreciation
(depreciation) 222,880 476,242 (599,755) 341,232 175,750 (399,872) (29,964)
---------- ---------- ----------- ---------- ---------- ----------- ----------
NET REALIZED AND UNREALIZED GAIN (LOSS): 504,441 610,686 2,729,349 486,942 560,482 (414,389) (19,688)
---------- ---------- ----------- ---------- ---------- ----------- ----------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ 494,150 $ 630,883 $ 2,890,939 $ 557,800 $1,057,822 $ 383,175 $ 77,176
---------- ---------- ----------- ---------- ---------- ----------- ----------
---------- ---------- ----------- ---------- ---------- ----------- ----------
</TABLE>
- ------------------------------
(a) Net of foreign tax witholding of $13,896.
(b) Includes foreign currency transaction losses of $14,643.
The accompanying notes are an integral part of the financial statements.
25
<PAGE>
SELECT ADVISORS PORTFOLIOS
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EMERGING GROWTH INTERNATIONAL EQUITY
PORTFOLIO PORTFOLIO
FOR THE YEARS ENDED DECEMBER ------------------------ ------------------------
31, 1996 1995 1996 1995
------------------------------ ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss) $ (10,291) $ (3,877) $ 20,197 $ 4,340
Net realized gain (loss) on
investments 281,561 275,958 134,444 (425,634)
Net change in unrealized
appreciation (depreciation)
on investments 222,880 410,318 476,242 676,327
----------- ----------- ----------- -----------
Net increase in net assets
resulting from operations 494,150 682,399 630,883 255,033
----------- ----------- ----------- -----------
TRANSACTIONS IN INVESTORS'
BENEFICIAL INTEREST:
Contributions 1,861,907 1,290,860 1,107,986 472,341
Withdrawals (1,631,580) (144,796) (275,007) (157,392)
----------- ----------- ----------- -----------
Net increase from investors'
transactions: 230,327 1,146,064 832,979 314,949
----------- ----------- ----------- -----------
TOTAL INCREASE IN NET ASSETS 724,477 1,828,463 1,463,862 569,982
NET ASSETS:
Beginning of year 3,878,314 2,049,851 5,107,585 4,537,603
----------- ----------- ----------- -----------
End of year $ 4,602,791 $ 3,878,314 $ 6,571,447 $ 5,107,585
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
</TABLE>
RATIOS AND SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EMERGING GROWTH INTERNATIONAL EQUITY
PORTFOLIO PORTFOLIO
FOR THE YEARS ENDED DECEMBER ------------------------ ------------------------
31, 1996 1995 1994(A) 1996 1995 1994(A)
------------------------------ -------- ------ ------ -------- ------ ------
<S> <C> <C> <C> <C> <C> <C>
Ratios to average net assets:
Expenses 1.61% 1.59% 2.56%(b) 1.67% 1.65% 3.20%(b)
Net investment income (loss) (0.23%) (0.12%) 5.51%(b) 0.35% 0.09% (1.68%)(b)
Ratios of expenses to average
net assets without
reimbursement 2.94% 3.59% 7.35%(b) 3.12% 3.87% 4.62%(b)
Portfolio turnover 117% 109% 150% 86% 90% 7%
Average commission rate (c) $0.0553 -- -- $0.0259 -- --
</TABLE>
- ------------------------------
(a) The Portfolios commenced operations on October 3, 1994.
(b) Ratios are annualized.
(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.
The accompanying notes are an integral part of the financial statements.
26
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH & INCOME INCOME OPPORTUNITY
PORTFOLIO BALANCED PORTFOLIO PORTFOLIO
-------------------------- ------------------------ ------------------------
1996 1995 1996 1995 1996 1995
------------ ------------ ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
$ 161,590 $ 113,940 $ 70,858 $ 53,853 $ 497,340 $ 259,088
3,329,104 1,974,179 145,710 169,621 384,732 8,065
(599,755) 1,798,625 341,232 252,839 175,750 185,892
------------ ------------ ----------- ----------- ----------- -----------
2,890,939 3,886,744 557,800 476,313 1,057,822 453,045
------------ ------------ ----------- ----------- ----------- -----------
2,962,725 1,782,414 998,640 537,632 4,501,206 416,695
(473,261) (203,751) (411,455) (125,201) (991,120) (132,490)
------------ ------------ ----------- ----------- ----------- -----------
2,489,464 1,578,663 587,185 412,431 3,510,086 284,205
------------ ------------ ----------- ----------- ----------- -----------
5,380,403 5,465,407 1,144,985 888,744 4,567,908 737,250
15,575,758 10,110,351 2,884,807 1,996,063 2,581,456 1,844,206
------------ ------------ ----------- ----------- ----------- -----------
$ 20,956,161 $ 15,575,758 $ 4,029,792 $ 2,884,807 $ 7,149,364 $ 2,581,456
------------ ------------ ----------- ----------- ----------- -----------
------------ ------------ ----------- ----------- ----------- -----------
<CAPTION>
GROWTH MUNICIPAL BOND
PORT BOND PORTFOLIO PORTFOLIO
------------ -------------------------- ------------------------
1996 1996 1995 1996 1995
------------ ------------ ------------ ----------- -----------
<S> <C> <C> <C> <C>
$ 161,590 $ 797,564 $ 754,683 $ 96,864 $ 105,093
3,329,104 (14,517) 254,000 10,276 (4,076)
(599,755 (399,872) 768,522 (29,964) 90,026
------------ ------------ ------------ ----------- -----------
2,890,939 383,175 1,777,205 77,176 191,043
------------ ------------ ------------ ----------- -----------
2,962,725 867,436 872,705 359,059 393,280
(473,261 (349,615) (104,885) (209,553) (111,371)
------------ ------------ ------------ ----------- -----------
2,489,464 517,821 767,820 149,506 281,909
------------ ------------ ------------ ----------- -----------
5,380,403 900,996 2,545,025 226,682 472,952
15,575,758 12,626,794 10,081,769 2,488,837 2,015,885
------------ ------------ ------------ ----------- -----------
$ 20,956,161 $ 13,527,790 $ 12,626,794 $ 2,715,519 $ 2,488,837
------------ ------------ ------------ ----------- -----------
------------ ------------ ------------ ----------- -----------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH & INCOME INCOME OPPORTUNITY
PORTFOLIO BALANCED PORTFOLIO PORTFOLIO BOND PORTFOLIO MUNICIPAL BOND PORTFOLIO
------------------------ ------------------------ ------------------------ ------------------------ ------------------------
1996 1995 1994(A) 1996 1995 1994(A) 1996 1995 1994(A) 1996 1995 1994(A) 1996 1995 1994(A)
-------- ------ ------ -------- ------ ------ -------- ------ ------ -------- ------ ------ -------- ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1.00% 1.23% 1.20%(b) 1.51% 1.51% 1.33%(b) 1.31% 1.42% 2.20%(b) 0.85% 1.02% 1.21%(b) 1.27% 1.24% 1.30%(b)
0.87% 0.91% 1.11%(b) 2.06% 2.29% 3.13%(b) 11.31% 12.53% 8.09%(b) 6.18% 6.66% 6.32%(b) 3.67% 4.66% 4.42%(b)
1.34% 1.53% 1.95%(b) 3.38% 4.39% 6.48%(b) 2.74% 4.77% 7.48%(b) 1.32% 1.40% 1.76%(b) 3.82% 4.26% 6.54%(b)
92% 102% 10% 88% 121% 7% 222% 120% 144% 64% 78% 11% 29% 54% 4%
$0.0571 -- -- $0.0683 -- -- -- -- -- -- -- -- -- -- --
</TABLE>
The accompanying notes are an integral part of the financial statements.
27
<PAGE>
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. There are nine subtrusts, of the Portfolio Trust
(each a "Portfolio"), each having distinct investment objectives and policies.
The Portfolios are Emerging Growth Portfolio, International Equity Portfolio,
Growth & Income Portfolio, Balanced Portfolio, Income Opportunity Portfolio,
Bond Portfolio, Municipal Bond Portfolio, Bond Portfolio II and Growth & Income
II. Bond Portfolio II and Growth & Income II are included in a separate annual
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 consistantly 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.
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
28
<PAGE>
SELECT ADVISORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
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 year ended December 31,
1996, 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.
<TABLE>
<CAPTION>
EMERGING INTERNATIONAL GROWTH & INCOME MUNICIPAL
GROWTH EQUITY INCOME BALANCED OPPORTUNITY BOND BOND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Rate 0.80% 0.95% 0.75% 0.70% 0.65% 0.55% 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 in aggregate $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 the year ended December 31, 1996
the Portfolio Trust incurred $15,050 in Trustee fees which was prorated to each
Portfolio.
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
the year ended December 31, 1996 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS FROM
PURCHASES SALES
---------------- ------------------
<S> <C> <C>
Emerging Growth Portfolio $ 5,033,232 $ 4,927,616
International Equity Portfolio 5,723,630 4,758,299
Growth & Income Portfolio 19,563,724 16,727,429
Balanced Portfolio 2,275,019 2,099,609
Income Opportunity Portfolio 12,797,127 9,205,200
Bond Portfolio 9,096,051 5,893,506
Municipal Bond Portfolio 1,008,536 739,568
</TABLE>
29
<PAGE>
SELECT ADVISORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
The following Portfolios had transactions in U.S. government and U.S.
government agency obligations:
<TABLE>
<CAPTION>
COST OF PROCEEDS FROM
PURCHASES SALES
---------------- ------------------
<S> <C> <C>
Balanced Portfolio $ 1,245,193 $ 795,077
Income Opportunity Portfolio 121,595 115,845
Bond Portfolio 3,911,516 1,991,516
</TABLE>
4. EXPENSE REIMBURSEMENTS
For the year ended December 31, 1996 the Advisor has voluntarily agreed to
reimburse each Portfolio the following amounts:
<TABLE>
<CAPTION>
AMOUNT OF
REIMBURSEMENT
--------------
<S> <C>
Emerging Growth Portfolio $ 59,720
International Equity Portfolio 84,640
Growth & Income Portfolio 62,911
Balanced Portfolio 64,645
Income Opportunity Portfolio 62,865
Bond Portfolio 60,817
Municipal Bond Portfolio 67,320
</TABLE>
Included in the reimbursement receivable from the Sponsor for the Income
Opportunity Portfolio is an amount of $37,404 related to an overaccrual of
interest income for the year ended December 31, 1996. The Sponsor has agreed to
reimburse the Portfolio for this amount. This amount did not have a material
impact on the total return for the year ended December 31, 1996.
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
December 31, 1996, Bond Portfolio held restricted securities valued at $993,269,
representing 7.3% 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 $ 112,518
Central America, Series F 8/1/86 150,000
Central America, Series G 8/1/86 150,000
Central America, Series H 8/1/86 150,000
Republic of Honduras, Series B 5/1/88 100,000
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.
As of December 31, 1996, Income Opportunity Portfolio held the following
restricted security:
<TABLE>
<CAPTION>
ACQUISITION MARKET % OF
DATE COST VALUE NET ASSETS
--------------- ---------- ---------- -------------
<S> <C> <C> <C> <C>
Russian Fed GKO-linked Notes 10/15/96 $ 922,323 $ 942,665 13.2%
</TABLE>
30
<PAGE>
SELECT ADVISORS PORTFOLIOS
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
To the Investors and Trustees of
Select Advisors Portfolios:
We have audited the accompanying statement of assets and liabilities of
Select Advisors Portfolios (the "Portfolios") (consisting of Emerging Growth
Portfolio, International Equity Portfolio, Growth and Income Portfolio, Balanced
Portfolio, Income Opportunity Portfolio, Bond Portfolio and Municipal Bond
Portfolio), including the schedules of portfolio investments, as of December 31,
1996, the related statements of operations for the year then ended, and the
changes in net assets for each of the two years in the period then ended and
supplemental data for each of the two years in the period then ended and for the
period October 3, 1994 (commencement of operations) to December 31, 1994. These
financial statements and supplemental data are the responsibility of the
Portfolios' management. Our responsibility is to express an opinion on these
financial statements and supplemental data based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and supplemental
data are free of material misstatement. An audit includes examining, on a test
basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1996, by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statements
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and supplemental data referred to
above present fairly, in all material respects, the financial position of Select
Advisors Portfolios as of December 31, 1996, and the results of its operations
for the year then ended and the changes in its net assets for each of the two
years in the period then ended and the supplemental data for each of the two
years in the period then ended and for the period October 3, 1994 (commencement
of operations) to December 31, 1994, in conformity with generally accepted
accounting principles.
COOPERS & LYBRAND L.L.P.
Boston, Massachusetts
February 20, 1997
31
