SEMI-ANNUAL REPORT
FEBRUARY 28, 1997
[VISTA logo]
MUTUAL FUND VARIABLE ANNUITY TRUST
Vista Fund Distributors, Inc., distributor
This report must be preceded or accompanied by a current prospectus for
Vista Capital Advantage
<PAGE>
Table of Contents
1 Letter from the Chairman
Performance & Commentary
2 Growth and Income
3 Capital Growth
4 International Equity
5 Asset Allocation
6 U.S. Government Income
7 Money Market
Portfolio of Investments
8 Growth and Income
10 Capital Growth
12 International Equity
16 Asset Allocation
18 U.S. Government Income
18 Money Market
Mutual Fund Variable Annuity Trust
19 Statement of Assets & Liabilities
20 Statement of Operations
21 Statement of Changes in Net Assets
22 Selected Per Share Data and Ratios
23-26 Notes to Financial Statements
The financial information in this report has been taken from the books
and records of the portfolios without examination by independent
accountants, who express no opinion thereto.
- --------------------------------------------------------------------------------
INVESTMENTS IN VISTA CAPITAL ADVANTAGE ARE NOT DEPOSITS OF, OR GUARANTEED OR
ENDORSED BY, THE CHASE MANHATTAN BANK, AND ARE NOT INSURED BY THE FDIC, FEDERAL
RESERVE BOARD OR ANY OTHER GOVERNMENT AGENCY. INVESTMENTS IN VISTA CAPITAL
ADVANTAGE, INCLUDING THE UNDERLYING VARIABLE INVESTMENT OPTIONS, INVOLVE RISK,
INCLUDING POSSIBLE LOSS OF THE PRINCIPAL AMOUNT INVESTED.
- --------------------------------------------------------------------------------
<PAGE>
page 1
Letter from the Chairman
April 10, 1997
Dear Vista Capital Advantage Investor:
We are pleased to present this semi-annual report on the six portfolios
underlying the Vista Capital Advantage variable annuity for the six months ended
February 28, 1997. Depending on your asset allocation, one or more of these
portfolios underlie your Vista Capital Advantage variable annuity investment.
As a long-term savings vehicle offering the additional benefit of tax deferral,
Vista Capital Advantage provides a choice of investments from which you can
build a diversified portfolio that includes domestic stocks, bonds and money
market instruments as well as international equities. This report summarizes the
performance of each portfolio in light of major events in the financial markets,
giving you the opportunity to monitor and adjust your individual investment
choices. Here are some highlights:
Bull Market for U.S. Stocks Continues
As measured by the widely-followed S&P 500 Index, the U.S. stock market
continued to deliver excellent investment returns over the six-month reporting
period. The factors contributing to the market's strength included strong
corporate profits, relatively-benign inflation and large liquidity flows into
mutual funds. A broader look at the U.S. market, however, reveals that the
lion's share of the gains were concentrated in the largest stocks, with small
and mid cap companies not performing nearly as well.
Although the yield on the 30-year U.S. Treasury bond declined from 7.12% to
6.87% over the reporting period, U.S. bond markets were highly volatile as
market participants continued to focus on the strength of the economy. By
mid-February, signs of a stronger economy emerged and long-term rates began
trending upward in anticipation of a hike in the Federal Funds rate.
European Markets Perform Well, Japanese Stocks Fall
Overseas markets turned in mixed performance, with Europe leading the way on the
strength of corporate restructuring, low interest rates and brighter prospects
for monetary union. In Japan, equities once again disappointed as a lack of
sustained economic growth and concerns over the health of the financial sector
caused investors to look elsewhere. Performance in emerging markets was spotty,
although Latin American equities generally appreciated on confidence about the
continuing process of economic reform.
We thank you for your business and once again encourage you to consider the
benefits of a diversified portfolio. If you have any questions, please do not
hesitate to call your investment professional or 1-800-90-VISTA.
Sincerely,
/s/ Fergus Reid
Fergus Reid
Chairman
<PAGE>
page 2
Growth and Income Portfolio
The Growth and Income Portfolio seeks to provide long-term capital appreciation
and dividend income primarily through diversified holdings of common stocks.
Investors in the Growth and Income Portfolio participated in the strong
performance of U.S. equities during the reporting period. For the six months
ended February 28, 1997, the Portfolio had a total return of 16.49%.
Excellent Sector Positioning Lead to Strong Performance
Although the investment management team's main focus is on the selection of
individual stocks, investors benefited from particularly good sector positioning
during the reporting period. In the final months of 1996, the Portfolio had
overweight positions in technology and financial stocks, the market's strongest
sectors.
Anticipating accelerating economic growth, the investment team repositioned the
portfolio towards economically-sensitive sectors at the end of 1996. This was
done in conjunction with a reduction in financial stocks, whose valuations had
become less compelling after a significant run-up.
Overall, the portfolio's performance suffered from holdings of mid-cap stocks as
the market increasingly favored the largest companies. However, given the
management team's strong value orientation and belief that mid-cap stocks will
ultimately resume their historic growth patterns, the allocation to these
securities was maintained.
After two years of excellent stock market performance, the management team
believes that its stock selection, aided by a disciplined five-step stock
management system, will be vital to performance for the remainder of the year.
Life of Portfolio Performance
A $10,000 tax-deferred investment in the Growth and Income Portfolio at NAV (Net
Asset Value) would have grown to $15,543 from inception on 3/1/95 through
2/28/97.*
Investment Results
Average Annual Total Return as of 2/28/97*
One Year 21.74%
Since Inception (3/1/95) 24.64%
[graphic omitted]
[plot points to graph are as follows:
Growth & Income S&P 500
2/28/95 $10,000.00 10000
4/30/95 $10,410.00 10597.52
6/30/95 $11,000.00 11275.97
8/31/95 $11,480.00 11678.82
10/31/95 $11,480.00 12127.92
12/31/95 $12,150.00 12903.57
2/29/96 $12,767.97 13466.37
4/30/96 $13,228.84 13796.28
6/30/96 $13,344.05 14205.42
8/31/96 $13,344.05 13865.01
10/31/96 $14,161.03 15048.42
12/31/96 $14,768.53 15864.29
2/28/97 15,543.94 16987.2 ]
* Past performance is no guarantee of future results. Investment returns and
principal value will fluctuate so that an investor's shares, when redeemeed, may
be worth more or less than the original cost. Performance figures do not strong
value orientation and belief that mid-cap stocks will include any insurance
company charges associated with a variable annuity or reflect any withdrawal
charges. No expenses are deducted from the performance of the indexes.
Hypothetical $10,000 investment assumes an initial investment on 3/1/95 shows
changes in Net Asset Value and reinvestment of all distributions, but does not
include the effect of any insurance charges or the annual maintenance fee. The
illustration above would be reduced if these fees were reflected. There is no
direct correlation between a hypothetical investment and the anticipated
performance of the Portfolio. The investment adviser is currently waiving
certain fees. This voluntary waiver may be modified or terminated at any time,
which would reduce performance.
The Standard & Poor's 500 Index is an unmanaged broad-based index that
replicates the U.S. stock market. It includes 500 widely held common stocks and
assumes reinvestment of dividends.
Withdrawals prior to age 591/2 from the Vista Capital Advantage variable annuity
may be subject to a 10% IRS tax penalty, and are taxed as ordinary income.
<PAGE>
page 3
Capital Growth Portfolio
The Capital Growth Portfolio seeks to provide long-term capital growth primarily
through diversified holdings in common stocks.
Strong individual stock selection and sector positioning were evident as the
Capital Growth Portfolio provided investors with a total return of 12.65% for
the six months ended February 28, 1997.
Market Favored Largest Stocks
Throughout the reporting period, the market continued to favor the stocks of the
largest companies. Despite the fact that this Portfolio invests primarily in the
stocks of small- and mid-cap companies, the investment management team was able
to provide above-average returns using a disciplined stock management system.
In the last several months of 1996, the Portfolio had taken overweight positions
in financial and technology stocks, which proved beneficial as these two sectors
were the market's best performers. Anticipating a modestly-accelerating economic
environment moving into 1997, these overweight exposures were cut in favor of
cyclical areas such as capital goods.
Economy's Strength May Not Be Sustainable
As the reporting period ended, concerns about the strength of the U.S. economy
had begun to rattle the market. The management team believes that the economic
growth situation may turn out to be like that of 1996, with a strong first half
followed by a weaker second half. Given that such a scenario will be accompanied
by a high degree of volatility with potentially sharp declines, they will seek
to take advantage of opportunities to add high-quality companies at what they
believe to be bargain prices.
Although smaller company stocks have been out of favor, the management team
believes that many mid-cap companies are relatively inexpensive, offer a fair
amount of liquidity and may also benefit from an increase in merger activity.
Going forward, this appears to be an excellent environment for the Portfolio.
Life of Portfolio Performance
A $10,000 tax-deferred investment in the Capital Growth Portfolio at NAV (Net
Asset Value) would have grown to $16,041 from inception on 3/1/95 through
2/28/97.*
Investment Results
Average Annual Total Return as of 2/28/97*
One Year 22.66%
Since Inception (3/1/95) 26.61%
[graphic omitted]
[plot points to graph are as follows:
Capital Growth Russell 2000
2/28/95 $10,000.00 10000
4/30/95 $10,470.00 10398.4
6/30/95 $11,140.00 11125.89
8/31/95 $11,900.00 12010.18
10/31/95 $11,660.00 11677.94
12/31/95 $12,707.00 12489.64
2/29/96 $13,077.41 12865.09
4/30/96 $14,363.54 13828.87
6/30/96 $14,404.70 13783.64
8/31/96 $14,240.07 13310.16
10/31/96 $14,764.81 13617.2
12/31/96 $15,670.25 14549.9
2/28/97 16,040.87 14480.77 ]
* Past performance is no guarantee of future results. Investment returns and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than the original cost. Performance figures do not include
any insurance company charges associated with a variable annuity or reflect any
withdrawal charges. No expenses are deducted from the performance of the
indexes.
Hypothetical $10,000 investment assumes an initial investment on 3/1/95 shows
changes in Net Asset Value and reinvestment of all distributions, but does not
include the effect of any insurance charges or the annual maintenance fee. The
illustration above would be reduced if these fees were reflected. There is no
direct correlation between a hypothetical investment and the anticipated
performance of the Portfolio. The investment adviser is currently waiving
certain fees. This voluntary waiver may be modified or terminated at any time,
which would reduce performance.
The Russell 2000 Index is unmanaged and tracks the shares of 2000 small-
capitalization companies. Figures include the reinvestment of dividends.
Withdrawals prior to age 591/2 from the Vista Capital Advantage variable annuity
may be subject to a 10% IRS tax penalty, and are taxed as ordinary income.
<PAGE>
page 4
International Equity Portfolio
The International Equity Portfolio seeks to provide a total return on assets
from long-term growth of capital and from income principally through diversified
holdings of the stocks of established foreign companies outside the U.S.
With international stock markets turning in widely-divergent performance, the
International Equity Portfolio had a total return of 5.79% for the six months
ended February 28, 1997.
Europe Shined, Japan Faltered
European equity markets performed well during the reporting period, supported by
an economic backdrop of modest growth and low inflation. Additionally, the
expectation that monetary union would indeed occur helped drive interest rates
lower, especially in the traditionally high-yielding countries. The Portfolio
was overweight in Europe throughout the period, with a strong focus on companies
in the process of restructuring.
The Portfolio maintained an underweight position in Japan as the lack of
sustained economic growth and concerns about the banking system drove equities
there lower. However, the management team was able to find pockets of value in
the market, specifically by investing in large multinational companies whose
exports benefited from the weaker yen.
The Portfolio continued to pursue opportunities in the emerging markets of Asia
and Latin America. In Asia particularly, these holdings were highly selective
and limited to a few markets such as Hong Kong and Malaysia. An overweight
position in Latin America also proved beneficial as several markets there,
especially Brazil, turned in excellent results.
Although the strong dollar has had a negative impact on U.S. investors in
overseas markets, the management team continued to monitor currency risk as part
of its four-step management system. Moving forward, a keen focus on individual
markets and securities will drive decision making.
Life of Portfolio Performance
A $10,000 tax-deferred investment in the International Equity Portfolio at NAV
(Net Asset Value) would have grown to $11,799 from inception on 3/1/95 through
2/28/97.*
Investment Results
Average Annual Total Return as of 2/28/97*
One Year 5.99%
Since Inception (3/1/95) 8.61%
[graphic omitted]
[plot points to graph are as follows:
International Equity MSCI EAFE
2/28/95 $10,000.00 10000
4/30/95 $10,350.00 11028.99
6/30/95 $10,470.00 10712.1
8/31/95 $10,890.00 10950.5
10/31/95 $10,910.00 10869.9
12/31/95 $10,890.00 11628.29
2/29/96 $11,132.23 11721.19
4/30/96 $11,753.62 12324.11
6/30/96 $11,679.89 12171.34
8/31/96 $11,153.30 11847.6
10/31/96 $11,300.74 12043.86
12/31/96 $11,648.30 12367.95
2/28/97 11,798.52 12136.1 ]
* Past performance is no guarantee of future results. Investment returns and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than the original cost. Performance figures do not include
any insurance company charges associated with a variable annuity or reflect any
withdrawal charges. No expenses are deducted from the performance of the
indexes.
Hypothetical $10,000 investment assumes an initial investment on 3/1/95 shows
changes in Net Asset Value and reinvestment of all distributions, but does not
include the effect of any insurance charges or the annual maintenance fee. The
illustration above would be reduced if these fees were reflected. There is no
direct correlation between a hypothetical investment and the anticipated
performance of the Portfolio. The investment adviser is currently waiving
certain fees. This voluntary waiver may be modified or terminated at any time,
which would reduce performance.
International investing involves a greater degree of risk and increased
volatility. Changes in currency exchange rates and differences in accounting and
taxation policies outside the U.S. can raise or lower returns. Also, some
overseas markets may not be as politically and economically stable as the United
States and other nations.
The MSCI EAFE Index is unmanaged and is a replica (or model) of the performance
of the European, Australian and Far Eastern equity markets.
Withdrawals prior to age 591/2 from the Vista Capital Advantage variable annuity
may be subject to a 10% IRS tax penalty, and are taxed as ordinary income.
<PAGE>
page 5
Asset Allocation Portfolio
The Asset Allocation Portfolio seeks to provide maximum total return through a
combination of long-term capital growth and current income by investing in
common stocks, convertible securities and government and corporate fixed income
obligations.
For the six months ended February 28, 1997, the Asset Allocation Portfolio had a
total return of 10.74%.
A Shift Towards Bonds
The Portfolio's allocation on February 28 was 50% equities, 40% bonds and 10%
cash.
On the equity side, the Portfolio had overweight positions in technology and
financial stocks in the final months of 1996, which proved beneficial as these
were the market's strongest sectors. Anticipating accelerating economic growth,
the investment team repositioned the equity portion towards
economically-sensitive sectors at the end of 1996. This was done in conjunction
with a reduction in financial stocks, which offered less attractive valuations
after a significant run-up.
On the fixed income side, the investment team's strategy was one of gradually
reducing the Portfolio's risk profile. By the end of 1996, duration was neutral
and exposure to corporate- and mortgage-backed securities was also close to
neutral. In the first two months of 1997, the Portfolio focused on specific
securities and benefited from exposure to Yankee bonds and mortgages.
The bond portion of the Portfolio ended the reporting period in a
relatively-defensive duration position that was barbelled in bonds and cash.
Stock-picking will be the key going forward for equities, and in this the
management team is supported by a disciplined stock management system that
focuses on value and growth characteristics. Value will also be crucial in bond
selections, with emphasis on the most attractive sectors and points on the yield
curve.
Life of Portfolio Performance
A $10,000 tax-deferred investment in the Asset Allocation Portfolio at NAV (Net
Asset Value) would have grown to $13,557 from inception on 3/1/95 through
2/27/97.*
Investment Results
Average Annual Total Return as of 2/28/97*
One Year 13.59%
Since Inception (3/1/95) 16.41%
[graphic omitted]
[plot points to graph are as follows:
Asset Allocation 60% S&P 500
40% Lehman Gov't Bond
2/28/95 $10,000.00 $10,000.00
4/30/95 $10,270.00 $10,436.21
6/30/95 $10,730.00 $11,040.29
8/31/95 $11,040.00 $11,316.34
10/31/95 $11,120.00 $11,693.54
12/31/95 $11,595.00 $12,291.38
2/29/96 $11,935.38 $12,563.74
4/30/96 $12,133.03 $12,695.85
6/30/96 $12,231.85 $12,990.88
8/31/96 $12,242.83 $12,787.67
10/31/96 $12,835.75 13671.784
12/31/96 $13,220.06 14193.86
2/28/97 13,557.37 14879.216 ]
* Past performance is no guarantee of future results. Investment returns and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than the original cost. Performance figures do not include
any insurance company charges associated with a variable annuity or reflect any
withdrawal charges. No expenses are deducted from the performance of the
indexes.
Hypothetical $10,000 investment assumes an initial investment on 3/1/95 shows
changes in Net Asset Value and reinvestment of all distribution, but does not
include the effect of any insurance charges or the annual maintenance fee. The
illustration above would be reduced if these fees were reflected. There is no
direct correlation between a hypothetical investment and the anticipated
performance of the Portfolio. The investment adviser is currently waiving
certain fees. This voluntary waiver may be modified or terminated at any time,
which would reduce performance.
The Standard & Poor's 500 Index is an unmanaged broad-based index that
replicates the U.S. stock market. It includes 500 widely held common stocks and
assumes reinvestment of all dividends.
The unmanaged Lehman Government Bond Index includes the Treasury Bond Index and
the Agency Bond Index. Maturities range from 1 to 20 years.
Withdrawals prior to age 591/2 from the Vista Capital Advantage variable annuity
may be subject to a 10% IRS tax penalty, and are taxed as ordinary income.
<PAGE>
page 6
U.S. Government Income Portfolio
The U.S. Government Income Portfolio seeks to provide monthly dividends as well
as to preserve principal.
For the six months ended February 28, 1997, the U.S. Government Income Portfolio
had a total return of 4.20%. 2/28/97.*
Economic Growth Reports Drive Fixed Income Markets
Over the six-month period, the yield on the 30-year U.S. Treasury bond declined
from 7.12% to 6.87% as fixed income markets continued to be driven by concerns
about the strength of the economy. In the fall, markets rallied strongly on
reports of a slowing economy and the subsequent expectation that the Federal
Reserve Board would not raise short-term interest rates. However, by
mid-February, signs of a stronger economy emerged and long-term rates began
trending upward. As the six-month reporting period ended, most market
participants expected the Fed to raise the Federal Funds rate in a preemptive
strike against potential inflation.
The Portfolio was able to take advantage of the fall rally in U.S. Treasuries
thanks to a slightly-long duration relative to its benchmark. Anticipating
accelerating economic growth moving into 1997, the management team began to take
a more conservative stance and, by the end of the reporting period, the
Portfolio's duration was below its benchmark. The Portfolio ended the reporting
period in a relatively defensive duration position that was barbelled on bonds
and cash.
Moving forward, the management team expects continued volatility in the market
and further tightening action on interest rates by the Federal Reserve Board.
Life of Portfolio Performance
A $10,000 tax-deferred investment in the U.S. Government Income Portfolio at NAV
(Net Asset Value) would have grown to $11,431 from inception on 3/1/95 through
2/28/97.*
Investment Results
Average Annual Total Return as of 2/28/97*
One Year 3.65%
Since Inception (3/1/95) 6.90%
[graphic omitted]
[plot points to graph are as follows:
US Treasury Income Lehman Intmd US Govt
2/28/95 $10,000.00 10000
4/30/95 $10,170.00 10171.64
6/30/95 $10,620.00 10525.03
8/31/95 $10,690.00 10617.02
10/31/95 $10.950.00 10805.33
12/31/95 $11,235.00 11044.99
2/29/96 $11,027.80 11020.43
4/30/96 $10,855.13 10938.12
6/30/96 $10,970.24 11043.51
8/31/96 $10,970.24 11090.4
10/31/96 $11,350.11 11417.89
12/31/96 $11,430.69 11493.51
2/28/97 11,430.69 11556.48 ]
* Past performance is no guarantee of future results. Investment returns and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than the original cost. Performance figures do not include
any insurance company charges associated with a variable annuity or reflect any
withdrawal charges. No expenses are deducted from the performance of the
indexes.
Hypothetical $10,000 investment assumes an initial investment on 3/1/95 shows
changes in Net Asset Value, but does not include the effect of any insurance
charges or the annual maintenance fee. The illustration above would be reduced
if these fees were reflected. There is no direct correlation between a
hypothetical investment and the anticipated performance of the Portfolio. The
investment adviser is currently waiving certain fees. This voluntary waiver may
be modified or terminated at any time, which would reduce performance.
The unmanaged Lehman Intermediate Government Bond Index includes bonds with 1 to
10 year maturities.
Withdrawals prior to age 591/2 from the Vista Capital Advantage variable annuity
may be subject to a 10% IRS tax penalty, and are taxed as ordinary income.
<PAGE>
page 7
Money Market Portfolio
The Money Market Portfolio seeks to provide maximum current income consistent
with preservation of capital and maintenance of liquidity.
For the six months ended February 28, 1997, the Money Market Portfolio had a
total return of 2.41%.*
A Volatile Period
Over the six months, the yield on the one-year U.S. Treasury bill declined from
5.89% to 5.67%. However, this rather benign overview masks a highly-volatile
environment dominated by changing perceptions of the strength of U.S. economic
growth as well as the market's anticipation of Federal Reserve Board policy.
At the beginning of the period, reports of a slowing economy led many market
participants to believe that the Fed would not raise interest rates and, as a
result, the yield on the one-year T-bill fell to a low of 5.35% at the end of
November, 1997. The turning point in yields came in early December in response
to weaker demand and fears that the Fed might raise interest rates to quell
financial market speculation. For the next several months, the market was
inconsistent as investors reacted to each new report on the economy's strength
and attempted to determine the Fed's stance. By the time Fed Chairman Greenspan
testified before Congress in February, it was clear that he was set to raise the
Federal Funds rate to preempt any wage inflation.
A Conservative Approach
The Fed did indeed raise the Federal Funds rate by .25% after the reporting
period ended. Given the strong economy and Mr. Greenspan's history of combining
several small rate increases over a period of months, the management team's
forecast calls for at least one more Fed increase, which it believes will have
the desired effect of slowing economic growth later in 1997. Until the
uncertainty clears, the Portfolio will pursue a conservative course.
* Total return figures do not include the effect of any insurance or withdrawal
charges associated with a variable annuity. Past performance is not a guarantee
of future results.
<PAGE>
page 8
Growth & Income Portfolio
Portfolio of Investments February 28, 1997 Unaudited
<TABLE>
<CAPTION>
Shares Issuer Value
------ ------ -----
<S> <C> <C>
LONG-TERM INVESTMENTS--91.9%
COMMON STOCK--90.1%
1.0% AEROSPACE
1,600 ALLIED-SIGNAL, INC. .............................. $ 115,600
----------
1.0% AGRICULTURAL PRODUCTION/SERVICES
2,100 CASE CORP. ....................................... 108,938
----------
1.0% AIRLINES
800 AMR CORP.* ....................................... 62,900
1,600 CONTINENTAL AIRLINES, INC., CLASS B* ............ 45,800
----------
108,700
----------
0.5% AUTOMOTIVE
1,500 LEAR CORP.* .................................... 58,500
----------
5.8% BANKING
1,200 BANK OF BOSTON CORP. ........................... 90,450
800 CITICORP ....................................... 93,400
1,000 FIRST UNION CORP. .............................. 87,750
4,800 NATIONSBANK CORP. .............................. 287,400
600 ZIONS BANCORPORATION ........................... 74,700
----------
633,700
----------
0.7% BUSINESS SERVICES
2,000 CERIDIAN CORP.* ................................. 78,250
----------
2.7% CHEMICALS
3,600 CABOT CORP. .................................... 84,600
1,000 DOW CHEMICAL CO. ................................. 81,000
1,200 DUPONT (EI) DENEMOURS ........................... 128,700
----------
294,300
----------
4.3% COMPUTER SOFTWARE
4,300 CISCO SYSTEMS, INC.* ........................... 239,188
5,400 COMPUTER ASSOCIATES INTERNATIONAL ............... 234,900
----------
474,088
----------
5.3% COMPUTERS/COMPUTER HARDWARE
2,900 EMC CORP.* ....................................... 104,400
1,000 INTEL CORP. .................................... 141,875
1,700 INTERNATIONAL BUSINESS MACHINES CORP. ............ 244,375
3,100 SUN MICROSYSTEMS, INC.* ........................ 95,712
----------
586,362
----------
1.6% CONSTRUCTION MACHINERY
2,200 CATERPILLAR TRACTOR, INC. ........................ 172,425
----------
7.5% CONSUMER PRODUCTS
3,900 AVON PRODUCTS, INC. .............................. 227,175
2,700 BLACK & DECKER CORP. ........................... 85,388
6,900 FIRST BRANDS CORP. .............................. 171,637
1,800 PHILIP MORRIS COMPANIES, INC. .................. 243,225
1,200 RALSTON-RALSTON PURINA GROUP ..................... 98,550
----------
825,975
----------
0.4% DIVERSIFIED
1,000 HARNISCHFEGER INDUSTRIES, INC. .................. 43,875
----------
0.8% ELECTRONICS/ELECTRICAL EQUIPMENT
2,200 ATMEL CORP.* .................................... 82,225
----------
Shares Issuer Value
- -------- ------ ----------
2.0% ENTERTAINMENT/LEISURE
6,200 CARNIVAL CORP., CLASS A ........................ $ 218,550
----------
4.1% FINANCIAL SERVICES
3,100 COUNTRYWIDE CREDIT INDUSTRIES, INC. ............ 90,288
7,700 GREEN TREE FINANCIAL CORP. ..................... 288,750
1,300 THE PMI GROUP, INC. .............................. 71,175
----------
450,213
----------
1.7% FOOD/BEVERAGE PRODUCTS
1,800 CONAGRA, INC. .................................... 95,400
2,800 PEPSICO., INC. ................................. 92,050
----------
187,450
----------
4.3% HEALTH CARE/HEALTH CARE SERVICES
4,700 COLUMBIA/HCA HEALTHCARE CORP. .................. 197,400
3,100 HEALTHSOUTH CORP.* .............................. 124,775
3,000 STERIS CORP.* .................................... 75,750
2,200 UNIVERSAL HEALTH SERVICES, INC., CLASS B * ...... 75,075
----------
473,000
----------
3.1% INSURANCE
4,400 ALLSTATE CORP. ................................. 278,850
1,200 AMERICAN BANKERS INSURANCE GROUP, INC. ......... 66,150
----------
345,000
----------
4.3% MANUFACTURING
2,100 JOHNSON CONTROLS ................................. 176,925
1,300 KENNAMETAL INC. ................................. 53,300
1,600 PENTAIR, INC. .................................... 50,200
3,300 TYCO INTERNATIONAL LTD. ........................ 194,700
----------
475,125
----------
2.0% METALS/MINING
3,100 ALUMINUM CO. OF AMERICA (ALCOA) .................. 220,875
----------
1.0% OFFICE/BUSINESS EQUIPMENT
1,800 XEROX CORP. .................................... 112,500
----------
11.5% OIL & GAS
1,000 BRITISH PETROLEUM PLC, ADR (UNITED KINGDOM) ...... 132,375
4,500 COASTAL CORP., ................................. 204,750
2,000 HALLIBURTON COMPANY .............................. 129,250
1,700 MOBIL CORP. .................................... 208,675
1,700 MURPHY OIL CORP. ................................. 78,838
2,000 TEXACO, INC. .................................... 197,750
1,800 TIDEWATER, INC. ................................. 77,400
5,400 WILLIAMS COMPANIES, INC. ........................ 236,250
----------
1,265,288
----------
0.7% PAPER/FOREST PRODUCTS
1,200 WILLAMETTE INDUSTRIES, INC. ..................... 76,800
----------
4.9% PHARMACEUTICALS
1,000 BRISTOL-MYERS SQUIBB CO. ........................ 130,500
3,400 JOHNSON & JOHNSON .............................. 195,925
2,800 SMITHKLINE BEECHAM PLC, ADR (UNITED KINGDOM) 207,900
----------
534,325
----------
</TABLE>
See notes to financial statements.
<PAGE>
page 9
Growth & Income Portfolio
Portfolio of Investments February 28, 1997 Unaudited
<TABLE>
<CAPTION>
Shares Issuer Value
------ ------ -----
<S> <C> <C>
2.0% PHOTOGRAPHIC EQUIPMENT
2,400 EASTMAN KODAK CO. .............................. $ 215,100
-----------
0.9% PRINTING & PUBLISHING
2,300 NEW YORK TIMES COMPANY, CLASS A, ............... 102,350
-----------
0.5% RESTAURANTS/FOOD SERVICES
2,600 WENDY'S INTERNATIONAL, INC. ..................... 53,950
-----------
5.0% RETAILING
2,700 FEDERATED DEPARTMENT STORES * .................. 93,825
6,700 GAP, INC. ....................................... 221,100
4,500 KROGER CO.* .................................... 238,500
-----------
553,425
-----------
1.5% SHIPPING/TRANSPORTATION
1,800 BURLINGTON NORTHERN SANTA FE, .................. 149,850
200 BURLINGTON NORTHERN, INC. ........................ 16,650
-----------
166,500
-----------
3.6% TELECOMMUNICATIONS
5,900 BELLSOUTH CORP. ................................. 276,562
2,700 SPRINT CORP. .................................... 122,850
-----------
399,412
-----------
0.4% TEXTILES
1,200 LIZ CLAIBORNE, INC. .............................. 48,600
-----------
4.0% UTILITIES
5,800 FPL GROUP INC. ................................. 263,900
2,400 SIERRA PACIFIC RESOURCES ........................ 70,200
2,700 TEXAS UTILITIES CO. .............................. 109,012
-----------
443,112
-----------
TOTAL COMMON STOCK
(COST $8,989,300) ................................. 9,924,513
-----------
CONVERTIBLE PREFERRED STOCK--1.8%
CONSUMER PRODUCTS
8,500 RJR NABISCO HOLDINGS CORP. $0.6012, SER. C ...... 60,562
INSURANCE
1,500 SUNAMERICA INC., $3.188, 10/31/99 ............... 63,188
OIL & GAS
1,800 ENRON CORP., 6.25% EXCHANGE NOTES, 12/13/98,
ACES, .......................................... 37,575
PAPER/FOREST PRODUCTS
800 INTERNATIONAL PAPER CAPITAL CORP., 5.25% # ...... 37,563
-----------
TOTAL CONVERTIBLE PREFERRED STOCK
(COST $192,138) ................................. 198,888
-----------
TOTAL LONG-TERM INVESTMENTS
(COST $9,181,438) ................................. 10,123,401
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Issuer Value
- ----------- ------ ------------
<S> <C> <C>
SHORT-TERM INVESTMENTS--8.0%
TIME DEPOSIT--8.0%
$ 880,000 NATIONS BANKCORP., 5.375%, 03/03/97
(COST $880,000) .................. $ 880,000
------------
99.9% TOTAL INVESTMENTS
(COST $10,061,438) ............... $11,003,401
============
</TABLE>
See notes to financial statements.
<PAGE>
page 10
Capital Growth Portfolio
Portfolio of Investments February 28, 1997 Unaudited
<TABLE>
<CAPTION>
Shares Issuer Value
------ ------ ------
<S> <C> <C>
COMMON STOCK--89.8%
1.6% AGRICULTURAL PRODUCTION/SERVICES
5,400 AGCO CORP. ....................................... $ 153,225
----------
2.1% AIRLINES
7,000 CONTINENTAL AIRLINES, INC., CLASS B* ............ 200,375
----------
2.1% AUTOMOTIVE
3,500 CIRCUIT CITY STORES, INC., CARMAX GROUP* ......... 70,438
3,500 LEAR CORP.* .................................... 136,500
206,938
----------
3.6% BANKING
800 ASPEN BANCSHARES, INC. ........................... 17,200
2,000 STANDARD FEDERAL BANCORP. ........................ 115,250
1,800 ZIONS BANCORPORATION ........................... 224,100
----------
356,550
----------
1.2% CHEMICALS
5,000 CABOT CORP. .................................... 117,500
2.3% COMPUTER SOFTWARE
4,600 REYNOLDS & REYNOLDS, INC., CLASS A ............... 128,800
2,500 WIND RIVER SYSTEMS* .............................. 93,750
----------
222,550
----------
2.9% COMPUTERS/COMPUTER HARDWARE
2,000 GATEWAY 2000 INC.* .............................. 117,500
4,000 STORAGE TECHNOLOGY CORP.* ........................ 167,000
----------
284,500
----------
4.2% CONSUMER PRODUCTS
2,400 DANAHER CORP. .................................... 103,800
6,000 FIRST BRANDS CORP. .............................. 149,250
6,000 FURNITURE BRANDS INTERNATIONAL, INC.* ............ 88,500
1,500 LANCASTER COLONY CORP. ........................... 68,625
----------
410,175
----------
2.5% DIVERSIFIED
2,500 AMERICAN STANDARD COMPANIES, INC.* ............... 112,500
3,000 HARNISCHFEGER INDUSTRIES, INC. .................. 131,625
----------
244,125
----------
11.0% ELECTRONICS / ELECTRICAL EQUIPMENT
5,600 ADAPTEC, INC. * ................................. 213,150
4,000 ATMEL CORP.* .................................... 149,500
5,000 ESTERLINE TECHNOLOGIES CORP.* .................. 126,250
5,000 MICRON ELECTRONICS, INC.* ........................ 96,875
3,500 UCAR INTERNATIONAL, INC.* ........................ 150,500
5,000 WATERS CORP.* .................................... 150,625
4,000 XILINX, INC.* .................................... 180,500
----------
1,067,400
----------
5.0% FINANCIAL SERVICES
6,000 COUNTRYWIDE CREDIT INDUSTRIES, INC. ............ 174,750
4,000 GREEN TREE FINANCIAL CORP. ..................... 150,000
3,000 THE PMI GROUP, INC. .............................. 164,250
----------
489,000
----------
Shares Issuer Value
- --------- ------ ----------
2.5% FOOD/BEVERAGE PRODUCTS
4,000 COCA-COLA ENTERPRISES, INC. ..................... $ 247,000
----------
8.7% HEALTH CARE / HEALTH CARE SERVICES
5,000 ASSISTED LIVING CONCEPTS* ........................ 93,750
2,500 HBO & CO. ....................................... 144,062
4,000 PHYCOR, INC.* .................................... 121,500
3,000 STERIS CORP.* .................................... 75,750
6,750 TENET HEALTHCARE CORP.* ........................ 183,094
6,700 UNIVERSAL HEALTH SERVICES, INC., CLASS B * ...... 228,637
----------
846,793
----------
1.4% HOME BUILDING CONSTRUCTION
10,000 PACIFIC GREYSTONE CORP.* ........................ 141,250
----------
1.8% HOTELS/OTHER LODGING
7,000 HILTON HOTELS CORP. .............................. 175,875
----------
4.6% INSURANCE
3,000 AMERICAN BANKERS INSURANCE GROUP, INC. ......... 165,375
1,900 RELIASTAR FINANCIAL CORP. ........................ 117,800
2,000 TRANSATLANTIC HOLDINGS, INC. ..................... 168,750
----------
451,925
----------
3.4% MANUFACTURING
3,500 KENNAMETAL INC. ................................. 143,500
6,000 PENTAIR, INC. .................................... 188,250
----------
331,750
----------
3.4% OIL & GAS
4,000 SMITH INTERNATIONAL * ........................... 162,500
4,000 TIDEWATER, INC. ................................. 172,000
----------
334,500
----------
1.2% PAPER/FOREST PRODUCTS
3,500 BOISE CASCADE CORP. .............................. 115,063
----------
2.3% PHARMACEUTICALS
8,000 PAREXEL INTERNATIONAL CORP.* ..................... 224,000
----------
1.5% PIPELINES
2,600 COLUMBIA GAS SYSTEM, INC. ........................ 152,750
----------
1.6% REAL ESTATE INVESTMENT TRUST
6,600 OASIS RESIDENTIAL, INC. ........................ 152,625
----------
1.1% RESTAURANTS/FOOD SERVICES
5,000 WENDY'S INTERNATIONAL, INC. ..................... 103,750
----------
4.1% RETAILING
3,000 DILLARD DEPARTMENT STORES, INC., CLASS A ......... 90,375
5,000 HOLLYWOOD ENTERTAINMENT CORP.* .................. 120,000
2,500 MSC INDUSTRIAL DIRECT CO., INC.* ............... 82,500
5,000 STAGE STORES, INC.* .............................. 106,250
----------
399,125
----------
2.0% STEEL
10,500 BIRMINGHAM STEEL CORP. ........................... 190,312
----------
2.9% TELECOMMUNICATIONS
2,500 CINCINNATI BELL, INC. ........................... 155,000
2,000 GEOTEL COMMUNICATIONS CORP.* ..................... 31,500
5,000 OCTEL COMMUNICATIONS CORP.* ..................... 91,250
----------
277,750
----------
</TABLE>
See notes to financial statements.
<PAGE>
page 11
Capital Growth Portfolio
Portfolio of Investments February 28, 1997 Unaudited
<TABLE>
<CAPTION>
Shares Issuer Value
- --------- ------ ----------
<S> <C> <C>
1.7% TEXTILES
4,000 LIZ CLAIBORNE, INC. .................... $ 162,000
----------
4.2% UTILITIES
5,000 SIERRA PACIFIC RESOURCES .............. 146,250
10,000 TNP ENTERPRISES, INC. ................. 261,250
----------
407,500
----------
2.9% WHOLESALING
12,500 INGRAM MICRO, INC., CLASS A* ........... 284,375
----------
TOTAL COMMON STOCK
(COST $7,060,745) ....................... 8,750,681
----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Issuer Value
- ------------ ------ -----------
<S> <C> <C>
SHORT-TERM INVESTMENTS--7.1%
TIME DEPOSIT--7.1%
$ 689,000 NATIONS BANKCORP., 5.375%, DUE 03/03/97
(COST $689,000) ........................ $ 689,000
-----------
96.9% TOTAL INVESTMENTS
(COST $7,749,745) ..................... $9,439,681
===========
</TABLE>
See notes to financial statements.
<PAGE>
page 12
International Equity Portfolio
Portfolio of Investments February 28, 1997 Unaudited
<TABLE>
<CAPTION>
Value
Shares Issuer (USD)
------ ------ ------
<S> <C> <C>
LONG-TERM INVESTMENTS--90.6%
COMMON STOCK--90.2%
ARGENTINA--0.4%
BANKING
575 BANCO FRANCES DEL RIO DE LA PLATA SA, ADS * ...... $16,459
--------
AUSTRALIA--1.2%
BANKING
700 COMMONWEALTH BANK OF AUSTRALIA .................. 6,971
1,100 NATIONAL AUSTRALIA BANK, LTD. ..................... 13,861
1,600 ST GEORGE BANK LTD. .............................. 9,571
ENTERTAINMENT/LEISURE
2,000 TABCORP HOLDINGS LTD. ........................... 9,182
MULTI-MEDIA
1,800 PUBLISHING & BROADCASTING LTD. .................. 9,019
OIL & GAS
9,000 ENERGY EQUITY CORP. LTD. * ........................ 9,579
--------
58,183
--------
AUSTRIA--2.1%
OIL & GAS
316 OMV AG .......................................... 37,259
STEEL
893 BOEHLER-UDDEHOLM AG .............................. 61,709
--------
98,968
--------
BRAZIL--2.0%
TELECOMMUNICATIONS
450 TELECOMUNICACOES BRASILEIRAS SA,--TELEBRAE
ADR ............................................. 43,650
UTILITIES
2,300 CENTRAIS ELECTRICAS BRASILEIRAS S/A-
ELECTROBRAS, ADR ................................. 51,486
--------
95,136
--------
CHILE--0.4%
FOOD/BEVERAGE PRODUCTS
900 COMPANIA CERVECERIAS UNIDAS SA, ADR ............... 17,389
--------
CHINA--0.2%
AUTOMOTIVE
13,000 QINGLING MOTORS COMPANY LTD.-H .................. 7,890
--------
FRANCE--9.2%
AUTOMOTIVE
295 EQUIPMENTS ET COMPOSANTS POUR L'INDUSTRIE
AUTOMOBILE ....................................... 50,750
BANKING
900 BANQUE NATIONALE DE PARIS ........................ 40,841
CHEMICALS
1,200 RHONE-POULENC RORER, INC. ........................ 42,131
COMPUTER SOFTWARE
525 CAP GEMINI SOGETI SA .............................. 31,446
115 GROUP AXIME * .................................... 14,737
FINANCIAL SERVICES
426 CETELEM GROUP * ................................. 52,797
Value
Shares Issuer (USD)
- --------- ------ --------
FRANCE (cont'd)
FOOD/BEVERAGE PRODUCTS
1,770 REMY COINTREAU .................................... $46,141
INSURANCE
875 AGF (ASSURANCES GENERALES DE FRANCE) ............ 30,797
MANUFACTURING
250 COMPAGNIE DE SAINT GOBAIN ........................ 36,865
TIRE & RUBBER
670 MICHELIN (CGDE), B SHARES ........................ 41,965
UTILITIES
349 COMPAGNIE GENERALE DES EAUX ..................... 48,584
--------
437,054
--------
GERMANY--6.4%
AUTOMOTIVE
700 DAIMLER-BENZ AG ................................. 50,854
CHEMICALS
1,330 BASF AG .......................................... 49,120
--------
CONSUMER PRODUCTS
598 ADIDAS AG ....................................... 57,299
1,796 PUMA AG .......................................... 62,868
INSURANCE
14 ALLIANZ AG HOLDING .............................. 27,286
UTILITIES
960 VEBA GROUP PLC .................................... 55,020
--------
302,447
--------
HONG KONG--6.4%
BANKING
2,000 DAO HENG BANK GROUP, LTD. ........................ 10,279
3,000 GUOCO GROUP LTD. ................................. 16,814
2,000 HANG SENG BANK LTD. .............................. 23,116
DIVERSIFIED
8,000 FIRST PACIFIC COMPANY LTD. ........................ 11,209
8,000 GUANGDONG INVESTMENTS, LTD. ..................... 7,800
3,000 HUTCHISON WHAMPOA ................................. 22,857
2,500 SWIRE PACIFIC, LTD., CLASS A ..................... 21,469
FINANCIAL SERVICES
1,800 HSBC HOLDINGS PLC ................................. 43,932
REAL ESTATE
8,000 AMOY PROPERTIES LTD. (HONG KONG) .................. 9,556
3,000 CHEUNG KONG (HOLDINGS) LTD. ..................... 28,668
2,000 CHINA RESOURCES ENTERPRISES LTD. .................. 4,494
12 HENDERSON CHINA HOLDINGS LTD. ..................... 26
3,000 HONG KONG LAND HOLDINGS LTD. ..................... 8,550
5,000 HYSAN DEVELOPMENT CO., LTD. ..................... 17,240
3,000 NEW WORLD DEVELOPMENT COMPANY, LTD.* ............ 18,596
14,000 SINO LAND CO. .................................... 16,181
2,000 SUN HUNG KAI PROPERTIES LTD. ..................... 23,116
5,000 WHEELOCK & CO., LTD. .............................. 13,430
SHIPPING/TRANSPORTATION
12,000 GUANGSHEN RAILWAY CO., LTD.-H ..................... 5,811
--------
303,144
--------
</TABLE>
See notes to financial statements.
<PAGE>
page 13
International Equity Portfolio
Portfolio of Investments February 28, 1997 Unaudited
<TABLE>
<CAPTION>
Value
Shares Issuer (USD)
------ ------ -----
<S> <C> <C>
INDIA--0.1%
HOTELS/OTHER LODGING
280 INDIAN HOTELS CO. LTD., GDR# ............... $ 6,412
INDONESIA--0.7%
AUTOMOTIVE
1,500 PT ASTRA INTERNATIONAL (FOREIGN) ......... 5,130
CONSTRUCTION MATERIALS
1,000 PT SEMEN GRESIK, (FOREIGN) ............... 2,951
CONSUMER PRODUCTS
1,000 PT GUDANG GARAM ........................... 4,870
DIVERSIFIED
1,000 PT BAKRIE & BROTHERS (FOREIGN) ............ 458
8,500 PT BIMANTARA CITRA (FOREIGN) ............... 12,409
HEALTH CARE / HEALTH CARE SERVICES
3,000 PT DARYA VARIA LAB (FOREIGN) ............... 4,724
METALS/MINING
1,000 PT TAMBANG TIMAH (FOREIGN) ............... 1,721
REAL ESTATE
1,500 PT MULIALAND (FOREIGN) ..................... 1,721
--------
33,984
--------
IRELAND--1.4%
BANKING
2,838 BANK OF IRELAND ........................... 28,900
INSURANCE
6,900 IRISH LIFE PLC ........................... 34,963
--------
63,863
--------
ITALY--3.5%
BANKING
19,000 CREDITO ITALIANO ........................... 26,053
FINANCIAL SERVICES
5,400 ISTITUTO MOBILIARE ITALIANO SPA ............ 46,776
MACHINERY & ENGINEERING EQUIPMENT
7,000 DANIELI & CO. .............................. 50,979
TELECOMMUNICATIONS
17,000 TELECOM ITALIA MOBILE SPA .................. 44,398
--------
168,206
--------
JAPAN--17.4%
AUTOMOTIVE
2,000 HONDA MOTOR CO. LTD. ..................... 61,999
1,000 TOYOTA MOTOR CORP. ........................ 25,680
COMPUTERS/COMPUTER HARDWARE
3,000 FUJITSU LTD. .............................. 29,670
CONSUMER PRODUCTS
300 SONY CORP. ................................. 21,716
1,000 TDK CORP. ................................. 67,151
ELECTRONICS / ELECTRICAL EQUIPMENT
1,000 AIWA COMPANY LTD. ........................ 18,699
1,000 CANON, INC. .............................. 20,943
3,000 HITACHI LTD. .............................. 25,930
1,000 HITACHI MAXELL LTD. ........................ 20,112
300 KEYENCE CORP. .............................. 36,651
2,000 KOKUSAI ELECTRIC ........................... 31,082
1,000 MURATA MANUFACTURING CO., LTD. ............ 34,656
Value
Shares Issuer (USD)
- --------- ------ --------
JAPAN (cont'd)
3,000 NEC CORP. ................................. $34,905
500 SHINKO ELECTRIC INDUSTRIES ............... 17,203
400 SMC CORP. ................................. 27,293
4,000 TOSHIBA CORP. .............................. 22,605
4,000 YASKAWA ELECTRIC CORP.* .................. 13,763
FINANCIAL SERVICES
500 ACOM CO. LTD. .............................. 19,530
MACHINERY & ENGINEERING EQUIPMENT
3,000 KOMATSU LTD. .............................. 22,439
3,000 MITSUBISHI HEAVY INDUSTRIES LTD. ......... 21,666
MANUFACTURING
2,000 FUJI MACHINE MANUFACTURING CO. ............ 51,860
300 SHIMA SEIKI MANUFACTURING, LTD. ............ 12,840
METALS/MINING
1,000 SHOWA ALUMINUM CORP. ..................... 4,646
PHOTOGRAPHIC EQUIPMENT
1,000 FUJI PHOTO FILM ........................... 33,576
PRINTING & PUBLISHING
1,000 DAI NIPPON PRINTING CO. LTD. ............... 16,705
REAL ESTATE
2,000 DAIBIRU CORP. .............................. 18,949
3,000 HANKYU REALTY .............................. 22,340
STEEL
3,000 YAMATO KOGYO CO., LTD. ..................... 27,176
TELECOMMUNICATIONS/TELECOMMUNICATION
EQUIPMENT
1,000 MATSUSHITA COMMUNICATION INDUSTRIES ...... 26,345
30 NIPPON TELEGRAPH & TELEPHONE CORP. ......... 21,417
WAREHOUSING
4,000 SUMITOMO WAREHOUSE ........................ 20,445
--------
829,992
--------
MALAYSIA--2.6%
AGRICULTURAL PRODUCTION/SERVICES
4,000 KUMPULAN GUTHRIE BHD ..................... 6,959
2,000 MALAKOFF BHD .............................. 9,263
AUTOMOTIVE
2,000 PERUSAHAAN OTOMOBIL NASIONAL BHD. ......... 13,210
4,000 TRACTORS MALAYSIA HOLDINGS BHD. ............ 8,377
CONSTRUCTION
5,000 SUNWAY BUILDING TECHNOLOGY BHD ............ 19,029
CONSTRUCTION MATERIALS
4,000 KEDAH CEMENT HOLDINGS, BHD. ............... 7,765
7,000 SUNGEI WAY HOLDINGS BHD. .................. 20,298
ENGINEERING/CONSTRUCTION
2,500 EKRAN BHD. ................................. 8,961
3,000 PILECON ENGINEERING BHD. .................. 5,437
FINANCIAL SERVICES
2,000 DCB HOLDINGS BHD. ........................ 8,015
PACKAGING
2,000 MALAYSIAN PACIFIC INDUSTRIES BHD. ......... 8,296
SHIPPING/TRANSPORTATION
2,000 MALAYSIA INTERNATIONAL SHIPPING BHD. ...... 5,276
</TABLE>
See notes to financial statements.
<PAGE>
page 14
International Equity Portfolio
Portfolio of Investments February 28, 1997 Unaudited
<TABLE>
<CAPTION>
Value
Shares Issuer (USD)
------ ------ -----
<S> <C> <C>
MALAYSIA (cont'd)
TELECOMMUNICATIONS
2,000 TECHNOLOGY RESOURCES INDUSTRIES BHD.* ......... $ 4,672
--------
125,558
--------
MEXICO--1.9%
DIVERSIFIED
8,274 ALFA, SA DE C.V., CLASS A ..................... 47,101
FINANCIAL SERVICES
10,000 GRUPO FINANCIERO BANAMEX ACCIVAL, SA DE CV
(BANACCI), SER. B .............................. 23,652
HOME BUILDING/ CONSTRUCTION
1,000 CORPORACION GEO, SA DE C.V., SER. B, ADR* ...... 19,295
--------
90,048
--------
NETHERLANDS--3.4%
CHEMICALS
386 AKZO NOBEL .................................... 55,625
FOOD/BEVERAGE PRODUCTS
930 CSM NV, N.R. CERTIFICATE ........................ 53,363
PRINTING & PUBLISHING
2,652 VERENIGDE NEDERLANDSE UITGEVERSBEDRIJVAN
VERENIGD BEZIT (VNU) ........................... 54,915
--------
163,903
--------
PHILIPPINES--0.4%
CONSTRUCTION
6,000 DMCI HOLDINGS INC. .............................. 4,443
FOOD/BEVERAGE PRODUCTS
1,300 SAN MIGUEL CORP., CLASS B ..................... 4,838
REAL ESTATE
6,150 AYALA LAND, INC., CLASS B ..................... 7,357
5,900 EMPIRE EAST LAND HOLDINGS, INC. ............... 2,745
3,700 FILINVEST LAND INC. ........................... 1,237
--------
20,620
--------
PORTUGAL--2.3%
TELECOMMUNICATIONS
1,456 PORTUGAL TELECOM SA* ........................... 51,093
700 TELECEL-COMUNICACAOES PESSOAIS, SA ............ 57,959
--------
109,052
--------
SINGAPORE--0.8%
BANKING
1,000 DEVELOPMENT BANK OF SINGAPORE, LTD. (FOREIGN) 13,259
ELECTRONICS / ELECTRICAL EQUIPMENT
5,000 SUNRIGHT LTD. ................................. 5,752
FOOD/BEVERAGE PRODUCTS
1,000 FRASER & NEAVE LTD. ........................... 8,979
REAL ESTATE
2,000 SINGAPORE LAND LTD. ........................... 11,294
--------
39,284
--------
Value
Shares Issuer (USD)
- --------- ------ --------
SPAIN--0.7%
UTILITIES
537 EMPRESA NACIONAL DE ELECTRICIDAD, SA
(ENDESA) ....................................... $32,813
--------
SWEDEN--2.2%
BANKING
2,600 SPARBANKEN SVERIGE AB, SWEDBANK, A SHARES ...... 51,436
ENGINEERING SERVICES
250 ABB AB, A SHARES .............................. 28,237
STEEL
2,600 AVESTA-SHEFFIELD .............................. 26,413
--------
106,086
--------
SWITZERLAND--3.9%
BANKING
343 SCHWEIZERISCHE BANKVEREIN, REGISTERED
SHARES .......................................... 65,185
PHARMACEUTICALS
107 NOVARTIS AG (REGISTERED) ........................ 122,809
--------
187,994
--------
THAILAND--0.3%
ENERGY
2,000 COGENERATION PUBLIC CO., (FOREIGN)* ............ 6,990
METALS/MINING
100 BANPU PUBLIC CO., LTD. (FOREIGN) ............... 1,707
100 BANPU PUBLIC CO., LTD. (LOCAL) .................. 1,614
OIL & GAS
400 PTT EXPLORATION AND PRODUCTION PUBLIC CO.,
LTD. .................................... 5,468
--------
15,779
--------
UNITED KINGDOM--20.3%
AEROSPACE
2,412 BRITISH AEROSPACE PLC ........................... 49,202
AIRLINES
4,386 BRITISH AIRPORT AUTHORITY PLC .................. 37,660
BANKING
5,711 NATIONAL WESTMINSTER BANK ..................... 70,578
BROADCASTING
2,400 CARLTON COMMUNICATIONS PLC ..................... 20,559
BUSINESS SERVICES
2,500 DELPHI GROUP PLC .............................. 34,215
13,500 HAMBRO COUNTRYWIDE PLC ........................ 26,065
CONSTRUCTION
8,700 CARADON PLC .................................... 38,981
CONSTRUCTION MATERIALS
7,000 BLUE CIRCLE INDUSTRIES PLC ..................... 45,164
3,715 MEYER INTERNATIONAL PLC ........................ 24,423
DIVERSIFIED
9,940 COOKSON GROUP PLC .............................. 38,342
</TABLE>
See notes to financial statements.
<PAGE>
page 15
International Equity Portfolio
Portfolio of Investments February 28, 1997 Unaudited
<TABLE>
<CAPTION>
Value
Shares Issuer (USD)
------ ------ ------
<S> <C> <C>
UNITED KINGDOM (cont'd)
ENGINEERING SERVICES
17,200 APV PLC ............................................. $ 20,317
18,192 SENIOR ENGINEERING GROUP PLC ........................ 35,272
FOOD/BEVERAGE PRODUCTS
5,745 ALLIED DOMECQ PLC ................................. 40,905
HOTELS/OTHER LODGING
4,195 GREENALLS GROUP PLC ................................. 38,139
11,859 JARVIS HOTELS PLC* ................................. 34,200
INDUSTRIAL COMPONENTS
2,480 MCKECHNIE GROUP PLC ................................. 23,032
INSURANCE
3,013 PRUDENTIAL CORP. PLC .............................. 28,031
MACHINERY & ENGINEERING EQUIPMENT
4,865 POWERSCREEN INTERNATIONAL PLC ..................... 49,303
OIL & GAS
1,600 BRITISH-BORNEO PETRO SYNDICATE PLC .................. 32,065
2,145 SHELL TRANSPORT & TRADING PLC ..................... 36,434
REAL ESTATE
4,187 MEPC PLC .......................................... 31,517
17,904 TBI PLC ............................................. 24,358
RESTAURANTS/FOOD SERVICES
2,347 COMPASS GROUP PLC ................................. 28,106
RETAILING
4,052 BOOTS COMPANY, PLC ................................. 44,695
3,724 GREAT UNIVERSAL STORES PLC ........................ 39,621
SECURITY SERVICES
3,429 CHUBB SECURITY PLC ................................. 23,716
UTILITIES
6,790 NATIONAL POWER PLC ................................. 54,651
-----------
969,551
-----------
TOTAL COMMON STOCK
(COST $3,973,465) .................................... 4,299,815
-----------
STOCK RIGHTS--0.1%
MALAYSIA
CONSTRUCTION MATERIALS
400 SUNGEI WAY HOLDINGS BHD RIGHTS, EXPIRES
6/29/99 ............................................. 435
-----------
SWITZERLAND
CHEMICALS
82 CIBA SPECIALTY CHEMICALS AG, RIGHTS, EXPIRES
3/11/97 ............................................. 5,195
-----------
TOTAL STOCK RIGHTS
(COST $725) .......................................... 5,630
-----------
Value
Shares Issuer (USD)
------ ------ ------
WARRANTS--0.3%
MALAYSIA
CONSTRUCTION
4,000 SUNWAY BUILDING TECHNOLOGY, BHD., 3.0% RULE,
REDEEMABLE, UNSECURED .............................. $ 1,305
1,600 SUNWAY BUILDING TECHNOLOGY, BHD., EXPIRES
7/1/01 ............................................. 2,888
DIVERSIFIED
11,750 INDUSTRIAL OXYGEN INC., BHD., EXPIRES 4/30/00 ...... 8,755
-----------
TOTAL WARRANTS
(COST $2,349) ....................................... 12,948
-----------
TOTAL LONG-TERM INVESTMENTS
(COST $3,976,539) .................................... 4,318,393
-----------
SHORT-TERM INVESTMENTS--20.6%
COMMERCIAL PAPER--19.3%
UNITED STATES
$922,000 HOUSEHOLD FINANCE CORP., ........................... 922,000
-----------
MONEY MARKET DEPOSIT ACCOUNT--0.2%
UNITED STATES
BANKING
8,006 CHASE MANHATTAN BANK** .............................. 8,006
-----------
U.S. TREASURY OBLIGATION--1.1%
55,000 U.S. TREASURY BILL, 5/29/97, ............ 54,313
-----------
TOTAL SHORT-TERM INVESTMENTS
(COST $984,319) .................................... 984,319
-----------
TOTAL INVESTMENTS--111.2%
(COST $4,960,858) .................................... $5,302,712
===========
</TABLE>
** Affiliatied issuer.
PURCHASED INDEX FUTURES OUTSTANDING
<TABLE>
<CAPTION>
Nominal Unrealized
Expiration Number of Value at Appreciation
Description Date Contracts 2/28/97 (Depreciation)
- ---------------- ------------- ------------ ----------- ----------------
<S> <C> <C> <C> <C>
TSE TOPIX Mar 97 1 $166,739 $ 50,187
DOW Taiwan IDX Mar 97 1 46,250 (125)
--------- --------
$212,989 $ 50,062
========= ========
</TABLE>
See notes to financial statements.
<PAGE>
page 16
Asset Allocation Portfolio
Portfolio of Investments February 28, 1997 Unaudited
<TABLE>
<CAPTION>
Shares Issuer Value
------ ------ -----
<S> <C> <C>
LONG-TERM INVESTMENTS--91.5%
COMMON STOCK--47.3%
0.6% AEROSPACE
400 ALLIED-SIGNAL, INC. .............................. $ 28,900
---------
0.5% AGRICULTURAL PRODUCTION/SERVICES
500 CASE CORP. ....................................... 25,938
---------
0.5% AIRLINES
200 AMR CORP. * .................................... 15,725
400 CONTINENTAL AIRLINES, INC., CLASS B* ............ 11,450
---------
27,175
---------
0.2% AUTOMOTIVE
300 LEAR CORP.* .................................... 11,700
---------
2.9% BANKING
300 BANK OF BOSTON CORP. ........................... 22,612
200 CITICORP ....................................... 23,350
200 FIRST UNION CORP. .............................. 17,550
1,200 NATIONSBANK CORP. .............................. 71,850
100 ZIONS BANCORPORATION ........................... 12,450
---------
147,812
---------
0.4% BUSINESS SERVICES
500 CERIDIAN CORP.* ................................. 19,563
---------
1.3% CHEMICALS
800 CABOT CORP. .................................... 18,800
200 DOW CHEMICAL CO. ................................. 16,200
300 DUPONT (EI) DENEMOURS ........................... 32,175
---------
67,175
---------
2.4% COMPUTER SOFTWARE
1,100 CISCO SYSTEMS, INC.* ........................... 61,187
1,400 COMPUTER ASSOCIATES INTERNATIONAL ............... 60,900
---------
122,087
---------
2.7% COMPUTERS/COMPUTER HARDWARE
700 EMC CORP.* ....................................... 25,200
200 INTEL CORP. .................................... 28,375
400 INTERNATIONAL BUSINESS MACHINES CORP. ............ 57,500
800 SUN MICROSYSTEMS, INC.* ........................ 24,700
---------
135,775
---------
0.8% CONSTRUCTION MACHINERY
500 CATERPILLAR TRACTOR, INC. ........................ 39,188
---------
4.0% CONSUMER PRODUCTS
800 AVON PRODUCTS, INC. .............................. 46,600
700 BLACK & DECKER CORP. ........................... 22,137
1,700 FIRST BRANDS CORP. .............................. 42,288
500 PHILIP MORRIS COMPANIES, INC. .................. 67,562
300 RALSTON-RALSTON PURINA GROUP ..................... 24,638
---------
203,225
---------
0.2% DIVERSIFIED
200 HARNISCHFEGER INDUSTRIES, INC. .................. 8,775
---------
0.4% ELECTRONICS / ELECTRICAL EQUIPMENT
600 ATMEL CORP.* .................................... 22,425
---------
Shares Issuer Value
- --------- ---------------------------------------------------- ----------
1.1% ENTERTAINMENT/LEISURE
1,600 CARNIVAL CRUISE LINES, CLASS A .................. $ 56,400
---------
2.2% FINANCIAL SERVICES
800 COUNTRYWIDE CREDIT INDUSTRIES, INC. ............ 23,300
1,900 GREEN TREE FINANCIAL CORP. ..................... 71,250
300 THE PMI GROUP, INC. .............................. 16,425
---------
110,975
---------
1.0% FOOD/BEVERAGE PRODUCTS
500 CONAGRA, INC. .................................... 26,500
700 PEPSICO., INC. ................................. 23,012
---------
49,512
---------
2.4% HEALTH CARE / HEALTH CARE SERVICES
1,200 COLUMBIA/HCA HEALTHCARE CORP. .................. 50,400
800 HEALTHSOUTH CORP.* .............................. 32,200
800 STERIS CORP.* .................................... 20,200
500 UNIVERSAL HEALTH SERVICES, INC., CLASS B * ...... 17,063
---------
119,863
---------
1.7% INSURANCE
1,100 ALLSTATE CORP. ................................. 69,713
300 AMERICAN BANKERS INSURANCE GROUP, INC. ......... 16,537
---------
86,250
---------
2.3% MANUFACTURING
500 JOHNSON CONTROLS ................................. 42,125
300 KENNAMETAL INC. ................................. 12,300
400 PENTAIR, INC. .................................... 12,550
800 TYCO INTERNATIONAL LTD. ........................ 47,200
---------
114,175
---------
1.1% METALS/MINING
800 ALUMINUM CO. OF AMERICA (ALCOA) .................. 57,000
---------
0.5% OFFICE / BUSINESS EQUIPMENT
400 XEROX CORP. .................................... 25,000
---------
5.8% OIL & GAS
200 BRITISH PETROLEUM PLC, ADR (UNITED KINGDOM) ...... 26,475
1,100 COASTAL CORP. .................................... 50,050
500 HALLIBURTON COMPANY .............................. 32,313
400 MOBIL CORP. .................................... 49,100
400 MURPHY OIL CORP. ................................. 18,550
400 TEXACO, INC. .................................... 39,550
400 TIDEWATER, INC. ................................. 17,200
1,200 WILLIAMS COMPANIES, INC. ........................ 52,500
---------
285,738
---------
0.4% PAPER/FOREST PRODUCTS
300 WILLAMETTE INDUSTRIES, INC. ..................... 19,200
---------
2.6% PHARMACEUTICALS
200 BRISTOL-MYERS SQUIBB CO. ........................ 26,100
900 JOHNSON & JOHNSON .............................. 51,862
700 SMITHKLINE BEECHAM PLC, ADR (UNITED KINGDOM) 51,975
---------
129,937
---------
</TABLE>
See notes to financial statements.
<PAGE>
page 17
Asset Allocation Portfolio
Portfolio of Investments February 28, 1997 Unaudited
<TABLE>
<CAPTION>
Shares Issuer Value
- --------- ------ ----------
<S> <C> <C>
1.1% PHOTOGRAPHIC EQUIPMENT
600 EASTMAN KODAK CO. .............................. $ 53,775
----------
0.4% PRINTING & PUBLISHING
500 NEW YORK TIMES COMPANY, CLASS A .................. 22,250
----------
0.2% RESTAURANTS/FOOD SERVICES
600 WENDY'S INTERNATIONAL, INC. ..................... 12,450
----------
2.7% RETAILING
600 FEDERATED DEPARTMENT STORES * .................. 20,850
1,700 GAP, INC. ....................................... 56,100
1,100 KROGER CO.* .................................... 58,300
----------
135,250
----------
0.7% SHIPPING/TRANSPORTATION
400 BURLINGTON NORTHERN, INC. ........................ 33,300
----------
1.9% TELECOMMUNICATIONS
1,400 BELLSOUTH CORP. ................................. 65,625
700 SPRINT CORP. .................................... 31,850
----------
97,475
----------
0.2% TEXTILES
300 LIZ CLAIBORNE, INC. .............................. 12,150
----------
2.1% UTILITIES
1,400 FPL GROUP INC. ................................. 63,700
500 SIERRA PACIFIC RESOURCES ........................ 14,625
600 TEXAS UTILITIES CO. .............................. 24,225
----------
102,550
----------
TOTAL COMMON STOCK
(COST $2,121,748) ................................. 2,382,988
----------
CONVERTIBLE PREFERRED STOCK--1.5%
CONSUMER PRODUCTS
2,400 RJR NABISCO HOLDINGS CORP. $0.6012, SER. C ...... 17,100
FINANCIAL SERVICES
500 SUNAMERICA INC., $3.188, 10/31/99 SER. ............ 21,062
OIL & GAS
800 ENRON CORP., 6.25% EXCHANGE NOTES, 12/13/98,
ACES ............................................. 16,700
PAPER/FOREST PRODUCTS
400 INTERNATIONAL PAPER CAPITAL CORP., 5.25% # ...... 18,782
----------
TOTAL CONVERTIBLE PREFERRED STOCK
(COST $72,170) .................................... 73,644
----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
(USD) Issuer (USD)
- ----------- ------ -----------
<S> <C> <C>
CORPORATE NOTES AND BONDS--6.4%
AEROSPACE
$100,000 LOCKHEED MARTIN CORP., 7.45%, DUE 6/15/04 ...... $ 102,631
FINANCIAL SERVICES
100,000 CORP ANDINA DE FOMENTO, 7.375%, DUE 7/21/00
(VENEZUELA) .................................... 101,509
100,000 GENERAL ELECTRIC CAPITAL CORP., MTN, 9.180%,
DUE 12/30/08 .................................... 118,734
-----------
TOTAL CORPORATE NOTES AND BONDS
(COST $322,469) ................................. 322,874
-----------
COLLATERALIZED MORTGAGE OBLIGATION--2.0%
100,000 FEDERAL HOME LOAN MORTGAGE CORP., SER. 1865,
CLASS G, 8.000%, DUE 8/15/24
(COST $103,280) ................................. 101,185
-----------
U.S. GOVERNMENT OBLIGATIONS--29.3%
U.S. TREASURY NOTES,
100,000 8.750%, DUE 08/15/00 ........................... 107,469
550,000 7.875%, DUE 11/15/04 ........................... 593,400
200,000 8.250%, DUE 07/15/98 ........................... 206,062
400,000 8.000%, DUE 05/15/01 ........................... 423,812
125,000 8.500%, DUE 02/15/20 ........................... 147,051
-----------
(COST $1,490,960) .............................. 1,477,794
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS--5.0%
250,000 FEDERAL HOME LOAN BANK, 7.54%, DUE 2/13/98
(COST $251,151) ................................. 253,790
-----------
TOTAL LONG-TERM INVESTMENTS
(COST $4,361,778) .............................. 4,612,275
-----------
SHORT-TERM INVESTMENTS--7.8%
TIME DEPOSIT--7.8%
395,000 NATIONS BANKCORP., 5.375%, DUE 3/03/97
(COST $395,000) ................................. 395,000
-----------
TOTAL INVESTMENTS--99.3%
(COST $4,756,778) .............................. $5,007,275
===========
</TABLE>
See notes to financial statements.
<PAGE>
page 18
U.S. Government Income Portfolio
Portfolio of Investments February 28, 1997
Unaudited
<TABLE>
<CAPTION>
Principal
Amount Issuer Value
- ----------- ------ -----------
<S> <C> <C>
LONG-TERM INVESTMENTS--81.2%
U.S. GOVERNMENT OBLIGATIONS--36.7%
$300,000 U.S. TREASURY NOTE, 09/30/00, 6.125% ............ $ 298,173
60,000 U.S. TREASURY BOND, 08/15/05, 10.750% ............ 75,985
400,000 U.S. TREASURY BOND, 02/15/20, 8.500% ............ 470,564
400,000 U.S. TREASURY BOND, 08/15/26, 6.750% ............ 393,064
-----------
1,237,786
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS--18.0%
200,000 FEDERAL FARM CREDIT BANK, 02/13/98, 7.510% ...... 202,968
200,000 FEDERAL HOME LOAN BANK, 02/13/98, 7.540% ......... 203,032
200,000 STUDENT LOAN MARKETING ASSOCIATION, 03/03/98,
7.000% .......................................... 202,156
-----------
608,156
-----------
COLLATERALIZED MORTGAGE OBLIGATION--26.5%
932,069 GOVERNMENT NATIONAL MORTGAGE ASSOCIATION,
POOL #3547, 03/15/24, 6.500% ..................... 894,451
-----------
TOTAL LONG-TERM INVESTMENTS
(COST $2,731,844) ................................. 2,740,393
-----------
SHORT-TERM INVESTMENTS--18.3%
U.S. GOVERNMENT OBLIGATIONS--18.3%
630,000 U.S. TREASURY BILL, 07/24/97, 5.115%
(COST $617,020) ................................. 617,020
-----------
TOTAL INVESTMENTS--99.5%
(COST $3,348,864) ................................. $3,357,413
===========
</TABLE>
Money Market Portfolio
Portfolio of Investments February 28, 1997
Unaudited
<TABLE>
<CAPTION>
Principal
Amount Issuer Value
- ----------- ------ -----------
<S> <C> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS--93.0%
$ 500,000 FEDERAL FARM CREDIT BANK, DISCOUNT NOTE, DUE
03/04/97, 5.240% .............................. $ 499,782
500,000 FEDERAL HOME LOAN BANK, DISCOUNT NOTE, DUE
04/10/97, 5.140% .............................. 497,144
1,500,000 FEDERAL HOME LOAN MORTGAGE CORP., DISCOUNT
NOTE, DUE 03/05/97, 5.150% ..................... 1,499,141
470,000 STUDENT LOAN MORTGAGE ASSOCIATION, DUE
03/03/97, 5.220% .............................. 469,864
-----------
2,965,931
-----------
COMMERCIAL PAPER--7.1%
120,000 CIESCO L.P., DUE 03/11/97, 5.300% ............ 119,823
105,000 CORPORATE ASSET FUNDING CO., INC., DUE 03/12/97,
5.280% ....................................... 104,831
-----------
224,654
-----------
TOTAL INVESTMENTS--100.1%
(COST $3,190,585)** ........................... $3,190,585
===========
</TABLE>
** = The cost of securities is substantially the same
for federal income tax pruposes,
# = Security may only be sold to qualified institutional buyer.
* = Non-income producing securities.
ACES = Automatic Common Exchange Securities.
ADR = American Depository Receipt.
GDR = Global Depository Receipt.
MTN = Medium Term Note.
See notes to financial statements.
<PAGE>
page 19
Statement of Assets and Liabilities
February 28, 1997 (Unaudited)
<TABLE>
<CAPTION>
Growth and Capital
Income Growth
Portfolio Portfolio
-------------- -------------
<S> <C> <C>
ASSETS:
Investment securities, at value (Note 1) $11,003,401 $9,439,681
Cash -- 592
Foreign Currency (Cost $71,389) -- --
Other assets 549 510
Receivables:
Open forward foreign currency contracts -- --
Investment securities sold -- 342,974
Dividends and Interest 22,640 5,717
Expense reimbursement from Distributor -- --
Fund shares sold 3,257 2,757
Other receivable -- 166
------------ -----------
TOTAL ASSETS 11,029,847 9,792,397
------------ -----------
LIABILITIES:
Payable for investment securities purchased -- 30,000
Payable for open forward foreign currency contracts -- --
Payable for Fund shares redeemed 583 493
Variation Margin Payable -- --
Payable to custodian 289 --
Accrued liabilities: (Note 2)
Custody fees 4,721 7,352
Other 9,209 15,188
------------ -----------
TOTAL LIABILITIES 14,802 53,033
------------ -----------
NET ASSETS:
Paid in capital 9,341,275 7,860,191
Accumulated undistributed net investment income 29,182 11,051
Accumulated net realized gain (loss) on investment
transactions 702,625 178,186
Net unrealized appreciation/depreciation of investments 941,963 1,689,936
------------ -----------
NET ASSETS APPLICABLE TO INVESTORS'
BENEFICIAL INTERESTS $11,015,045 $9,739,364
============ ===========
Shares of beneficial interest outstanding
($.001 par value; unlimited number of shares 845,567 703,329
authorized)
Net asset value, redemption price per share and
maximum offering price per share $ 13.03 $ 13.85
Cost of investments $10,061,438 $7,749,745
------------ -----------
</TABLE>
[restubbed table]
<TABLE>
<CAPTION>
International Asset U.S. Government Money
Equity Allocation Income Market
Portfolio Portfolio Portfolio Portfolio
---------------- ------------- ------------------ ------------
<S> <C> <C> <C> <C>
ASSETS:
Investment securities, at value (Note 1) $ 5,302,712 $5,007,275 $ 3,357,413 $3,190,585
Cash -- 1,031 -- 188
Foreign Currency (Cost $71,389) 77,556 -- -- --
Other assets 262 276 188 188
Receivables:
Open forward foreign currency contracts 26,404 -- -- --
Investment securities sold 85,398 -- -- --
Dividends and Interest 14,669 39,571 23,784 --
Expense reimbursement from Distributor 60,543 7,777 -- 5,467
Fund shares sold -- 929 2,438 --
Other receivable -- -- 2,418 42
----------- ----------- ----------- -----------
TOTAL ASSETS 5,567,544 5,056,859 3,386,241 3,196,470
----------- ----------- ----------- -----------
LIABILITIES:
Payable for investment securities purchased 109,955 -- -- --
Payable for open forward foreign currency contracts 1,490 -- -- --
Payable for Fund shares redeemed -- 69 378 6,126
Variation Margin Payable 1,379 -- -- --
Payable to custodian 640,357 -- 2,874 --
Accrued liabilities: (Note 2)
Custody fees 4,623 3,961 308 1,314
Other 42,975 11,687 9,025 334
----------- ----------- ----------- -----------
TOTAL LIABILITIES 800,779 15,717 12,585 7,774
----------- ----------- ----------- -----------
NET ASSETS:
Paid in capital 4,581,167 4,622,434 3,337,199 3,188,696
Accumulated undistributed net investment income (24,380) 22,045 30,354 6
Accumulated net realized gain (loss) on investment
transactions (161,309) 146,166 (2,446) (6)
Net unrealized appreciation/depreciation of investments 371,287 250,497 8,549 --
----------- ----------- ----------- -----------
NET ASSETS APPLICABLE TO INVESTORS'
BENEFICIAL INTERESTS $ 4,766,765 $5,041,142 $ 3,373,656 $3,188,696
=========== =========== =========== ===========
Shares of beneficial interest outstanding
($.001 par value; unlimited number of shares 467,156 482,627 372,189 3,188,681
authorized)
Net asset value, redemption price per share and
maximum offering price per share $ 10.21 $ 10.45 $ 9.06 $ 1.00
Cost of investments $ 4,960,858 $4,756,778 $ 3,348,864 $3,190,585
----------- ----------- ----------- -----------
</TABLE>
[end of restubbed table]
See notes to financial statements.
<PAGE>
page 20
Statement of Operations
For the six months ended February 28, 1997 (Unaudited)
<TABLE>
<CAPTION>
Growth and Capital International
Income Growth Equity
Portfolio Portfolio Portfolio
------------- ------------ ----------------
<S> <C> <C> <C>
INVESTMENT INCOME (NOTE 1C):
Interest $ 24,672 $ 30,996 $ 6,877
Dividends 83,740 37,213 24,017
Foreign taxes withheld (373) -- (3,815)
---------- ----------- ----------
TOTAL INVESTMENT INCOME 108,039 68,209 27,079
---------- ----------- ----------
EXPENSES:
Investment advisory fees (Note 2) 29,323 26,781 17,297
Administration fees (Note 2) 9,775 8,927 4,324
Accounting fees -- -- 31,087
Custodian fees 22,854 20,373 3,624
Professional fees 15,747 15,144 15,000
Trustees fees and expenses 244 224 118
Miscellaneous expenses 5,248 4,428 1,200
---------- ----------- ----------
TOTAL EXPENSES 83,191 75,877 72,650
---------- ----------- ----------
Less fees waived by the Advisor,
Administrator & Sub-Administrator (Note 2E) 39,098 35,708 21,621
Less amounts borne by VFD (Note 2) -- -- 26,686
---------- ----------- ----------
NET EXPENSES 44,093 40,169 24,343
---------- ----------- ----------
NET INVESTMENT INCOME 63,946 28,040 2,736
---------- ----------- ----------
REALIZED AND UNREALIZED GAIN (LOSS) ON:
Investment transactions 810,321 215,448 (135,775)
Foreign currency transactions -- -- (4,007)
CHANGE IN NET UNREALIZED
APPRECIATION/DEPRECIATION ON:
Investments 57,912 788,901 339,086
Foreign currency contracts and foreign currency translation -- -- 36,901
---------- ----------- ----------
Net realized and unrealized gain (loss) 1,382,233 1,004,349 236,205
---------- ----------- ----------
Net increase in net assets from operations $ 1,446,179 $1,032,389 $ 238,941
========== =========== ==========
</TABLE>
[restubbed table]
<TABLE>
<CAPTION>
Asset U.S. Government Money
Allocation Income Market
Portfolio Portfolio Portfolio
------------- ------------------ -----------
<S> <C> <C> <C>
INVESTMENT INCOME (NOTE 1C):
Interest $ 69,085 $ 105,200 $85,835
Dividends 21,454 -- --
Foreign taxes withheld (87) -- --
-------- --------- --------
TOTAL INVESTMENT INCOME 90,452 105,200 85,835
-------- --------- --------
EXPENSES:
Investment advisory fees (Note 2) 12,492 7,932 4,024
Administration fees (Note 2) 4,543 3,173 3,218
Accounting fees -- -- --
Custodian fees 11,822 3,391 1,237
Professional fees 16,623 11,194 5,808
Trustees fees and expenses 114 80 81
Miscellaneous expenses 1,208 503 3,205
-------- --------- --------
TOTAL EXPENSES 46,802 26,273 17,573
-------- --------- --------
Less fees waived by the Advisor,
Administrator & Sub-Administrator (Note 2E) 17,035 11,105 7,242
Less amounts borne by VFD (Note 2) 10,462 2,478 1,477
-------- --------- --------
NET EXPENSES 19,305 12,690 8,854
-------- --------- --------
NET INVESTMENT INCOME 71,147 92,510 76,981
-------- --------- --------
REALIZED AND UNREALIZED GAIN (LOSS) ON:
Investment transactions 240,426 (820) --
Foreign currency transactions -- -- --
CHANGE IN NET UNREALIZED
APPRECIATION/DEPRECIATION ON:
Investments 135,380 37,181 --
Foreign currency contracts and foreign currency translation -- -- --
-------- --------- --------
Net realized and unrealized gain (loss) 375,806 36,361 --
-------- --------- --------
Net increase in net assets from operations $ 446,953 $ 128,871 $76,981
======== ========= ========
</TABLE>
[end of restubbed table]
See notes to financial statements.
<PAGE>
page 21
Statement of Changes in Net Assets
(Unaudited)
<TABLE>
<CAPTION>
Growth and Income Capital Growth International Equity
Portfolio Portfolio Portfolio
--------------------------- -------------------------- -----------------------------
<S> <C> <C> <C> <C> <C> <C>
09/01/96 Year 09/01/96 Year 09/01/96 Year
through Ended through Ended through Ended
02/28/97 08/31/96 02/28/97 08/31/96 02/28/97 08/31/96
---------- ---------- ---------- ---------- ---------- -----------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income $ 63,946 $ 101,413 $ 28,040 $ 60,589 $ 2,736 $ 31,819
Net realized gain (loss) on investment
and foreign currency transactions 810,321 951,933 215,448 857,222 (139,782) 375,948
Change in net unrealized appreciation/
depreciation on investments and foreign
currency translations 571,912 (252,165) 788,901 60,856 375,987 (378,878)
------------ ---------- ---------- ----------- ----------- ------------
INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 1,446,179 801,181 1,032,389 978,667 238,941 28,889
------------ ---------- ---------- ----------- ----------- ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (100,604) (95,201) (57,567) (49,138) (53,064) (57,394)
Net realized gain on
investment transactions (1,052,987) (79,334) (921,074) (74,399) (346,955) (68,873)
------------ ---------- ---------- ----------- ----------- ------------
(1,153,591) (174,535) (978,641) (123,537) (400,019) (126,267)
------------ ---------- ---------- ----------- ----------- ------------
NET INCREASE (DECREASE) FROM
CAPITAL SHARE TRANSACTIONS 2,641,116 1,208,079 1,775,661 726,248 1,027,076 (1,483,401)
------------ ---------- ---------- ----------- ----------- ------------
NET INCREASE (DECREASE)
IN NET ASSETS 2,933,704 1,834,725 1,829,409 1,581,378 865,998 (1,580,779)
NET ASSETS:
Beginning of period 8,081,341 6,246,616 7,909,955 6,328,577 3,900,767 5,481,546
------------ ---------- ---------- ----------- ----------- ------------
End of period $11,015,045 $ 8,081,341 $ 9,739,364 $7,909,955 $4,766,765 $ 3,900,767
============ ========== ========== =========== =========== ============
</TABLE>
<PAGE>
[restubbed table]
<TABLE>
<CAPTION>
Asset Allocation U.S. Government Income Money Market
Portfolio Portfolio Portfolio
-------------------------- -------------------------- ---------------------------
<S> <C> <C> <C> <C> <C> <C>
09/01/96 Year 09/01/96 Year 09/01/96 Year
through Ended through Ended through Ended
02/28/97 08/31/96 02/28/97 08/31/96 02/28/97 08/31/96
---------- ---------- ---------- ---------- ---------- ----------
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income $ 71,147 $ 129,234 $ 92,510 $ 220,478 $ 76,981 $ 181,767
Net realized gain (loss) on investment
and foreign currency transactions 240,426 524,469 (820) 117,161 -- (6)
Change in net unrealized appreciation/
depreciation on investments and foreign
currency translations 135,380 (219,331) 37,181 (143,239) -- --
----------- ------------ ----------- ------------ ----------- ------------
INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 446,953 434,372 128,871 194,400 76,981 181,761
----------- ------------ ----------- ------------ ----------- ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (118,325) (162,866) (175,708) (269,425) (76,981) (181,761)
Net realized gain on
investment transactions (611,347) (88,726) (107,377) (81,018) -- (134)
----------- ------------ ----------- ------------ ----------- ------------
(729,672) (251,592) (283,085) (350,443) (76,981) (181,895)
----------- ------------ ----------- ------------ ----------- ------------
NET INCREASE (DECREASE) FROM
CAPITAL SHARE TRANSACTIONS 1,290,644 (1,695,297) 533,857 (2,239,862) 238,366 (2,471,888)
----------- ------------ ----------- ------------ ----------- ------------
NET INCREASE (DECREASE)
IN NET ASSETS 1,007,925 (1,512,517) 379,643 (2,395,905) 238,366 (2,472,022)
NET ASSETS:
Beginning of period 4,033,217 5,545,734 2,994,013 5,389,918 2,950,330 5,422,352
----------- ------------ ----------- ------------ ----------- ------------
End of period $5,041,142 $ 4,033,217 $3,373,656 $ 2,994,013 $3,188,696 $ 2,950,330
=========== ============ =========== ============ =========== ============
</TABLE>
[end of restubbed table]
See notes to financial statements.
<PAGE>
page 22
Selected Data and Ratios For a Share of Beneficial Interest
Outstanding Throughout Each Period Indicated (Unaudited)
<TABLE>
<CAPTION>
Capital Growth
Growth and Income
Portfolio Portfolio
-------------------------------------- ---------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
09/01/96 Year 03/1/95* 09/01/96 Year 03/1/95*
through Ended through through Ended through
02/28/97 08/31/96 08/31/95 02/28/97 08/31/96 08/31/95
---------- ---------- ---------- ------------ ------------ ----------
PER SHARE OPERATING PERFORMANCE
Net Asset Value, Beginning of Period $ 12.74 $ 11.48 $ 10.00 $ 13.84 $ 11.90 $ 10.00
--------- --------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.081 0.294 0.110 0.045 0.158 0.055
Net Gains or Losses on Investments
(both realized and unrealized) 1.929 1.516 1.370 1.665 2.139 1.845
--------- --------- ---------- ---------- ---------- ----------
TOTAL FROM INVESTMENT OPERATIONS 2.010 1.810 1.480 1.710 2.297 1.900
--------- --------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS:
Dividends from net investment income 0.150 0.300 -- 0.100 0.142 --
Distributions from capital gains 1.570 0.250 -- 1.600 0.215 --
--------- --------- ---------- ---------- ---------- ----------
TOTAL DISTRIBUTIONS 1.720 0.550 -- 1.700 0.357 --
--------- --------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $ 13.03 $ 12.74 $ 11.48 $ 13.85 $ 13.84 $ 11.90
========= ========= ========== ========== ========== ==========
TOTAL RETURN 16.49% 16.24% 14.80% 12.65% 19.66% 19.00%
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (000 omitted) $ 11,015 $ 8,081 $ 6,247 $ 9,739 $ 7,910 $ 6,329
Ratios to Average Net Assets:#
Ratio of expenses 0.90% 0.90% 0.90% 0.90% 0.90% 0.90%
Ratio of net investment income 1.30% 1.71% 2.14% 0.63% 0.97% 1.04%
Ratio of expenses without waivers and
assumption of expenses 1.70% 1.98% 1.80% 1.70% 1.97% 1.80%
Ratio of net investment income without
waivers and assumption of expenses 0.50% 0.63% 1.24% (0.17)% (0.09)% 0.14%
Portfolio Turnover Rate 50% 129% 32% 27% 107% 28%
Average commission rate paid** $ 0.0613 $ .0599 -- $ 0.0596 $ .0604 --
</TABLE>
[restubbed table]
<TABLE>
<CAPTION>
International Equity
Portfolio
-----------------------------------------------
<S> <C> <C> <C>
09/01/96 Year 03/01/95*
through Ended through
02/28/97 08/31/96 08/31/95
------------ ------------ -----------
PER SHARE OPERATING PERFORMANCE
Net Asset Value, Beginning of Period $ 10.59 $ 10.89 $ 10.00
---------- ---------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.078 0.216 0.101
Net Gains or Losses on Investments
(both realized and unrealized) 0.520 0.034 0.789
---------- ---------- -----------
TOTAL FROM INVESTMENT OPERATIONS 0.598 0.250 0.890
---------- ---------- -----------
LESS DISTRIBUTIONS:
Dividends from net investment income 0.130 0.250 --
Distributions from capital gains 0.850 0.300 --
---------- ---------- -----------
TOTAL DISTRIBUTIONS 0.980 0.550 --
---------- ---------- -----------
NET ASSET VALUE, END OF PERIOD $ 10.21 $ 10.59 $ 10.89
========== ========== ===========
TOTAL RETURN 5.79% 2.42% 8.90%
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (000 omitted) $ 4,767 $ 3,901 $ 5,482
Ratios to Average Net Assets:#
Ratio of expenses 1.10% 1.10% 1.09%
Ratio of net investment income 0.12% 0.82% 1.92%
Ratio of expenses without waivers and
assumption of expenses 4.38% 4.22% 2.90%
Ratio of net investment income without
waivers and assumption of expenses (3.16)% (2.30)% 0.11%
Portfolio Turnover Rate 73% 200% 75%
Average commission rate paid** $ 0.0241 $ .0631 --
</TABLE>
[end of restubbed table]
<TABLE>
<CAPTION>
Asset Allocation U.S. Government Income
Portfolio Portfolio
-------------------------------------- --------------------------------------
<S> <C> <C> <C> <C> <C> <C>
09/01/96 Year 03/01/96* 09/01/96 Year 03/01/95*
through Ended through through Ended through
02/28/97 08/31/96 08/31/96 02/28/97 08/31/96 08/31/95
---------- ---------- ---------- --------- ---------- ----------
PER SHARE OPERATING PERFORMANCE
Net Asset Value, Beginning of Period $ 11.15 $ 11.04 $ 10.00 $ 9.53 $ 10.69 $ 10.00
--------- --------- ----------- ---------- --------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.154 0.657 0.205 0.260 1.173 0.322
Net Gains or Losses on Investments
(both realized and unrealized) 0.996 0.488 0.835 0.140 (0.858) 0.368
--------- --------- ----------- ---------- --------- -----------
TOTAL FROM INVESTMENT OPERATIONS 1.150 1.145 1.040 0.400 0.315 0.690
--------- --------- ----------- ---------- --------- -----------
LESS DISTRIBUTIONS:
Dividends from net investment income 0.300 0.670 -- 0.540 1.134 --
Distributions from capital gains 1.550 0.365 -- 0.330 0.341 --
--------- --------- ----------- ---------- --------- -----------
TOTAL DISTRIBUTIONS 1.850 1.035 -- 0.870 1.475 --
--------- --------- ----------- ---------- --------- -----------
NET ASSET VALUE, END OF PERIOD $ 10.45 $ 11.15 $ 11.04 $ 9.06 $ 9.53 $ 10.69
========= ========= =========== ========== ========= ===========
TOTAL RETURN 10.74% 10.90% 10.40% 4.20% 2.62% 6.90%
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (000 omitted) $ 5,041 $ 4,033 $ 5,546 $ 3,374 $ 2,994 $ 5,390
Ratios to Average Net Assets:#
Ratio of expenses 0.85% 0.85% 0.85% 0.80% 0.80% 0.80%
Ratio of net investment income 3.12% 3.18% 3.86% 5.82% 6.06% 6.19%
Ratio of expenses without waivers and
assumption of expenses 1.60% 2.33% 1.65% 1.50% 1.79% 1.62%
Ratio of net investment income without
waivers and assumption of expenses 2.37% 1.71% 3.06% 5.12% 5.08% 5.37%
Portfolio Turnover Rate 82% 155% 45% 31% 83% 46%
Average commission rate paid** $ 0.0601 $ .0598 -- -- -- --
</TABLE>
[restubbed table]
<TABLE>
<CAPTION>
Money Market
Portfolio
------------------------------------
<S> <C> <C> <C>
09/01/96 Year 03/01/95*
through Ended through
02/28/97 08/31/96 08/31/95
--------- --------- ---------
PER SHARE OPERATING PERFORMANCE
Net Asset Value, Beginning of Period $1.00 $1.00 $1.00
---------- ---------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.024 0.050 0.028
Net Gains or Losses on Investments
(both realized and unrealized) -- -- --
---------- ---------- -----------
TOTAL FROM INVESTMENT OPERATIONS 0.024 0.050 0.028
---------- ---------- -----------
LESS DISTRIBUTIONS:
Dividends from net investment income 0.024 0.050 0.028
Distributions from capital gains -- -- --
---------- ---------- -----------
TOTAL DISTRIBUTIONS 0.024 0.050 0.028
---------- ---------- -----------
NET ASSET VALUE, END OF PERIOD $1.00 $1.00 $1.00
========== ========== ===========
TOTAL RETURN 2.41% 5.15% 2.79%
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (000 omitted) $ 3,189 $ 2,950 $ 5,422
Ratios to Average Net Assets:#
Ratio of expenses 0.55% 0.55% 0.55%
Ratio of net investment income 4.78% 5.10% 5.46%
Ratio of expenses without waivers and
assumption of expenses 1.00% 1.74% 1.21%
Ratio of net investment income without
waivers and assumption of expenses 4.33% 3.90% 4.80%
Portfolio Turnover Rate -- -- --
Average commission rate paid** -- -- --
</TABLE>
[end of restubbed table]
* Commencement of operations.
# Short periods have been annualized.
** Price per share required for periods commencing after 9/1/95.
See notes to financial statements.
<PAGE>
page 23
Notes to Financial Statements
(Unaudited)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES--Mutual Fund Variable
Annuity Trust (the "Trust") was organized on April 14, 1994 as a
Massachusetts business trust, and is registered under the Investment Company
Act of 1940, as amended, as an open-end management investment company. The
Trust was established to provide a funding medium for variable annuity
contracts issued by life insurance companies. Shares of the Trust are issued
only to insurance company separate accounts in connection with the variable
annuity contracts. The Trust issues six separate series of shares (the
"Portfolio(s)") each of which represents a separately managed portfolio of
securities with its own investment objectives. The Portfolios are the Growth
and Income Portfolio ("GIP"), Capital Growth Portfolio ("CGP"), International
Equity Portfolio ("IEP"), Asset Allocation Portfolio ("AAP"), U.S. Government
Income Portfolio ("USGIP"), and Money Market Portfolio ("MMP").
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts and disclosures in the financial statements.
Actual results could differ from those estimates.
THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE
PORTFOLIOS:
A. Valuation of Investments--Equity securities and options are valued at the
last sale price on the exchange on which they are primarily traded,
including the NASDAQ National Market. Securities for which sale prices are
not available and other over-the-counter securities are valued at the last
quoted bid price. Bonds and other fixed income securities (other than
short-term obligations), including listed issues, are valued on the basis
of valuations furnished by a pricing service. In making such valuations,
the pricing service utilizes both dealer- supplied valuations and
electronic data processing techniques that take into account appropriate
factors such as institutional-sized trading in similar groups of
securities, yield, quality, coupon rate, maturity, type of issue, trading
characteristics and other market data, without exclusive reliance upon
quoted prices. Short-term obligations are valued at amortized cost if
acquired with fewer than 61 days to maturity, or at value, based on quoted
exchange or over-the-counter prices, until the 61st day prior to maturity
and thereafter by amortizing the value on the 61st day to par at maturity.
Portfolio securities for which there are no such quotations or valuations
are valued at fair value as determined in good faith by or at the
direction of the Trustees.
B. Security Transactions and Investment Income-- Investment transactions are
accounted for on the trade date (the date the order to buy or sell is
executed). Securities gains and losses are calculated on the identified
cost basis. Interest income is accrued as earned. Dividend income is
recorded on the ex-dividend date.
C. Repurchase agreements--It is the portfolios' policy that all repurchase
agreements are fully collateralized by U.S. Treasury and Government agency
securities. All collateral is held by the Trust's custodian bank,
sub-custodian or a bank with which the custodian bank has entered into a
sub-custodian agreement or is segregated in the Federal Reserve Book Entry
System. In connection with transactions in repurchase agreements, if the
seller defaults and the value of the collateral declines, or if the seller
enters into an insolvency proceeding, realization of the collateral by the
Trust may be delayed or limited.
D. Futures Contracts--When a portfolio enters into a futures contract, it
makes an initial margin deposit in a segregated account, either in cash or
liquid securities. Thereafter, the futures contract is marked to market
and the portfolio makes (or receives) additional cash payments daily to
the broker. Changes in the value of the contract are recorded as
unrealized appreciation/depreciation until the contract is closed or
settled.
The Portfolios may enter into futures contracts only on exchanges or
boards of trade. The exchange or board of trade acts as the counterparty
to each futures transaction, therefore, the Portfolio's credit risk is
limited to failure of the exchange or board of trade.
The IEP invested a portion of its liquid assets in long stock index
futures contracts to more fully participate in the market. Use of futures
contracts subject the Portfolio to risk of loss up to the amount of the
value of the contract. As of February 28, 1997, the IEP had outstanding
futures contracts as described on the Portfolio of Investments.
E. Foreign Currency Translations--The books and records of the Portfolios are
maintained in U.S. dollars. Foreign currency amounts are translated into
U.S. dollars at the official exchange rates, or at the
<PAGE>
page 24
Notes to Financial Statements
(Unaudited)
mean of the current bid and asked prices of such currencies against the
U.S. dollar last quoted by a major bank on the following basis:
(1) Market value of investment securities, other assets and liabilities:
at the closing rate of exchange at the balance sheet date.
(2) Purchases and sales of investment securities and income and expenses:
at the rates of exchange prevailing on the respective dates of such
transactions.
Reported realized foreign exchange gains or losses arise from disposition
of foreign currency, currency gains or losses realized between the trade
and settlement dates on securities transactions, and the difference
between the amounts of dividends, interest, and foreign withholding taxes
recorded on the portfolios' books on the transaction date and the U.S.
dollar equivalent of the amounts actually received or paid. Unrealized
foreign exchange gains and losses arise from changes (due to the changes
in the exchange rate) in the value of foreign currency and other assets
and liabilities denominated in foreign currencies which are held at period
end.
F. Forward Foreign Currency Exchange Contracts--A forward foreign currency
contract is an obligation to purchase or sell a specific currency for an
agreed price at a future date. Each day the forward contract is open,
changes in the value of the contract are recognized as unrealized gains or
losses by "marking to market." When the forward contract is closed, or the
delivery of the currency is made or taken, the portfolio records a
realized gain or loss equal to the difference between the proceeds from
(or cost of) the closing transaction and the portfolio's basis in the
contract. The portfolios are subject to off balance sheet risk to the
extent of the value of the contract for purchases of currency and in an
unlimited amount for sales of currency.
G. Federal Income Tax Status--It is the Trust's policy to comply individually
for each portfolio with the requirements of the Internal Revenue Code
applicable to regulated investment companies and to distribute all of its
taxable income to its shareholders. Accordingly, no federal income tax
provision is required.
H. Dividends and Distributions to Shareholders--The portfolios record
dividends and distributions to its shareholders on the record date. The
amount of dividends and distributions from net investment income and net
realized capital gains are determined in accordance with federal income
tax regulations which may differ from generally accepted accounting
principles. These differences are either considered temporary or permanent
in nature. To the extent these differences are permanent in nature, such
amounts are reclassified within the capital accounts based on their
federal tax-basis treatment. Dividends and distributions which exceed net
investment income and net realized capital gains for financial reporting
purposes but not for tax purposes are reported as dividends in excess of
net investment income or distributions in excess of net realized capital
gains. To the extent they exceed net investment income and net realized
capital gains for tax purposes, they are reported as distributions of
paid-in-capital.
I. Expenses--Direct expenses of a portfolio are charged to the respective
Portfolio and general Trust expenses are allocated on the basis of
relative net assets or on another reasonable basis.
2. FEES AND OTHER TRANSACTIONS WITH AFFILIATES
A. Investment Advisory Fees--The Chase Manhattan Bank ("Chase"), a direct
wholly-owned subsidiary of the Chase Manhattan Corporation, is the
Portfolios' investment advisor (the "Advisor") and custodian (the
"Custodian"). The Advisor manages the assets of the Portfolios pursuant to
an Advisory Agreement and, for such services, is paid an annual fee
computed daily and paid monthly based on an annual rate equal to 0.80% of
the International Equity Portfolio's, 0.60% of the Capital Growth and
Growth and Income Portfolios', 0.55% of the Asset Allocation Portfolio's,
0.50% of the U.S. Government Income Portfolio's and 0.25% of the Money
Market Portfolio's average daily net assets. The Advisor voluntarily
waived all its fees.
Chase Asset Management, Inc. ("CAM"), a registered investment adviser, is
the sub-investment adviser to each Portfolio pursuant to a Sub- Investment
Advisory Agreement between CAM and Chase. CAM is a wholly owned subsidiary
of Chase and is entitled to receive a fee, payable by Chase from its
advisory fee, at an annual rate equal to 0.30% of the Growth and Income
and Capital Growth Portfolio's, 0.25% of the Asset Allocation and U.S.
Government Income Portfolio's and 0.10% of the Money Market Portfolio's
average daily net assets.
<PAGE>
page 25
Notes to Financial Statements
(Unaudited)
Chase Asset Management (London) Limited (CAM London), a registered
investment adviser, is the sub-investment adviser to the International
Equity Portfolio pursuant to a Sub-Investment Advisory Agreement between
CAM London and Chase. CAM London is a wholly owned subsidiary of Chase and
is entitled to receive a fee, payable by Chase from its advisory fee, at
an annual rate equal to 0.40% of the average daily net assets of the
International Equity Portfolio.
B. Administration Fee--Pursuant to an Administration Agreement, Chase (the
"Administrator") provides certain administration services to the
Portfolios. For these services, the Administrator receives from each
Portfolio a fee computed at an annual rate equal to 0.05% of the
respective Portfolio's average daily net assets. The Administrator
voluntarily waived all of its fees.
C. Sub-Administration Fees--Pursuant to a Sub- administration Agreement,
Vista Fund Distributors, Inc. ("VFD" or the "Sub-administrator"), an
indirect wholly-owned subsidiary of BISYS Group Inc., provides certain
sub-administration services to the Portfolios, including providing
officers, clerical staff and office space for an annual fee of 0.15% of
the average daily net assets of each Portfolio. The Sub- administrator
voluntarily waived all of its fees.
D. Waivers of Fees--For the six month period February 28, 1997, the
Administrator and Advisor voluntarily waived fees and the
Sub-administrator assumed expenses for the portfolios as follows:
<TABLE>
<CAPTION>
U.S.
Growth and Capital International Asset Government Money
Income Growth Equity Allocation Income Market
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
------------- ------------ ---------------- ------------- ------------- -----------
<S> <C> <C> <C> <C> <C> <C>
Administration/
Sub-administrator $ 9,775 $ 8,927 $ 4,324 $ 4,543 $ 3,173 $3,218
Advisory 29,323 26,781 17,297 12,492 7,932 4,024
-------- -------- -------- -------- -------- -------
TOTAL WAIVERS $39,098 $35,708 $21,621 $17,035 $11,105 $7,242
======== ======== ======== ======== ======== =======
The Sub-Administrator
voluntarily assumed
certain expenses of
the Portfolios: $ -- $ -- $26,686 $10,462 $ 2,478 $1,477
-------- -------- -------- -------- -------- -------
</TABLE>
E. Other--Chase provides portfolio custody and fund accounting services for
all of the Portfolios, with the exception of the IEP for which it provides
only the custody services. Compensation for such services from Chase are
presented in the Statement of Operations as Custodian fees.
The Trust has adopted an unfunded noncontributory defined benefit pension
plan covering all independent trustees of the Trust who will have served
as an independent trustee for at least five years at the time of
retirement. Benefits under this plan are based on compensation and years
of service. Pension expenses for the six month period ended February 28,
1997, included in Trustees Fees and Expenses in the Statement of
Operations, and accrued pension liability included in other accrued
liabilities in the Statement of Assets and Liabilities were as follows:
<TABLE>
<CAPTION>
Accrued
Pension Pension
Portfolio: Expenses Liability
----------- -----------
<S> <C> <C>
Growth and Income Portfolio $111 $660
Capital Growth Portfolio 109 619
International Equity Portfolio 57 319
Asset Allocation Portfolio 58 334
U.S. Government Income Portfolio 43 231
Money Market Portfolio 42 230
</TABLE>
3. INVESTMENT TRANSACTIONS--For the six month period ended February 28, 1997,
purchases and sales of investments (excluding short-term investments) were as
follows:
<TABLE>
<CAPTION>
U.S.
Growth Capital Intl. Asset Government
& Income Growth Equity Allocation Income
Portfolio Portfolio Portfolio Portfolio Portfolio
------------- ------------- ------------- ------------- ------------
<S> <C> <C> <C> <C> <C>
Purchases (excluding
U.S. Government) $6,067,035 $3,980,589 $3,382,604 $1,447,433 --
Sales (excluding
U.S. Government) 4,504,252 2,089,370 2,897,056 1,217,272 --
Purchases of
U.S. Government -- -- -- 2,571,322 $1,163,280
Sales of
U.S. Government -- -- -- 1,816,107 759,796
</TABLE>
4. FEDERAL INCOME TAX MATTERS--For Federal income tax purposes, the cost and
unrealized appreciation/(depreciation) in value of the investment securities
at February 28, 1997 are as follows:
<PAGE>
<TABLE>
<CAPTION>
U.S.
Growth Capital Intl. Asset Government
& Income Growth Equity Allocation Income
Portfolio Portfolio Portfolio Portfolio Portfolio
-------------- -------------- ------------- ------------- ------------
<S> <C> <C> <C> <C> <C>
Aggregate Cost $ 10,061,438 $ 7,749,745 $ 4,960,858 $ 4,756,778 $ 3,348,864
------------ ----------- ----------- ----------- ----------
Gross Unrealized
Appreciation 1,164,399 1,853,694 449,907 320,009 41,296
Gross Unrealized
Depreciation (222,436) (163,758) (108,052) (69,512) (32,747)
------------ ----------- ----------- ----------- -----------
NET UNREALIZED
APPRECIATION
(DEPRECIATION) $ 941,963 $ 1,689,936 $ 341,855 $ 250,497 $ 8,549
============ =========== =========== =========== ===========
</TABLE>
<PAGE>
page 26
Notes to Financial Statements
(Unaudited)
5. TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST--Transactions in shares of
beneficial interest for the periods presented were as follows:
<TABLE>
<CAPTION>
Growth and Income Portfolio
09/01/96-02/28/97 Year ended August 31,
1996
--------------------------- ----------------------------
Amount Shares Amount Shares
------------ ----------- ------------ ------------
<S> <C> <C> <C> <C>
Shares sold $ 3,253,968 243,205 $ 4,085,514 328,234
Shares issued in reinvestment
of distributions 1,153,591 93,214 174,534 15,050
Shares redeemed (1,766,443) (124,990) (3,051,969) (253,425)
------------ ----------- ------------ ------------
Net increase (decrease) in
Trust shares outstanding $ 2,641,116 211,429 $ 1,208,079 89,859
============ =========== ============ ============
Capital Growth Portfolio
09/01/96-02/28/97 Year ended August 31,
1996
------------------------- ----------------------------
Amount Shares Amount Shares
------------ ----------- ------------- ------------
Shares sold $ 2,276,568 158,920 $ 3,666,046 276,967
Shares issued in reinvestment
of distributions 978,641 72,339 123,537 10,004
Shares redeemed (1,479,548) (99,515) (3,063,335) (247,141)
------------ ----------- ------------ ------------
Net increase (decrease) in
Trust shares outstanding $ 1,775,661 131,744 $ 726,248 39,830
============ =========== ============ ============
International Equity Portfolio
09/01/96-02/28/97 Year ended August 31,
1996
--------------------------- ----------------------------
Amount Shares Amount Shares
------------ ----------- ------------ ------------
Shares sold $ 696,695 65,605 $ 1,419,166 130,714
Shares issued in reinvestment
of distributions 400,018 39,666 126,267 12,206
Shares redeemed (69,637) (6,645) (3,028,833) (278,033)
------------ ----------- ------------ ------------
Net increase (decrease) in
Trust shares outstanding $ 1,027,076 98,626 ($ 1,483,400) (135,113)
============ =========== ============= ============
Asset Allocation Portfolio
09/01/96-02/28/97 Year ended August 31,
1996
--------------------------- ----------------------------
Amount Shares Amount Shares
------------ ----------- ------------ ------------
Shares sold $ 603,246 53,267 $ 1,061,288 96,621
Shares issued in reinvestment
of distributions 729,672 71,619 251,592 23,832
Shares redeemed (42,274) (3,852) (3,008,177) (261,398)
------------ ---------- ------------- ------------
Net increase (decrease) in
Trust shares outstanding $ 1,290,644 121,034 ($ 1,695,297) (140,945)
============ ========== ============= ============
U.S. Government Income Portfolio
09/01/96-02/28/97 Year ended August 31,
1996
--------------------------- ----------------------------
Amount Shares Amount Shares
------------ ----------- ------------ ------------
Shares sold $ 295,924 31,570 $ 439,144 45,896
Shares issued in reinvestment
of distributions 283,085 31,241 350,442 35,888
Shares redeemed (45,152) (4,818) (3,029,448) (271,621)
------------ ---------- ------------ ------------
Net increase (decrease) in
Trust shares outstanding $ 533,857 57,993 ($ 2,239,862) (189,837)
============ ========== ============ ============
Money Market Portfolio
09/01/96-02/28/97 Year ended August 31,
1996
--------------------------- ----------------------------
Amount Shares Amount Shares
------------ ----------- ------------ ------------
Shares sold $ 929,092 929,089 $ 1,170,389 1,170,381
Shares issued in reinvestment
of distributions 76,981 76,981 181,836 181,836
Shares redeemed (767,707) (767,707) (3,824,113) (3,824,110)
------------ ----------- ------------ ------------
Net increase (decrease) in
Trust shares outstanding $ 238,366 238,363 ($ 2,471,888) (2,471,893)
============ =========== ============== ============
</TABLE>
6. OPEN FORWARD FOREIGN CURRENCY CONTRACTS The following forward foreign
currency contracts were held by the International Equity Portfolio at
February 28, 1997:
<TABLE>
<CAPTION>
Net
Delivery Market Unrealized
Value (Local Settlement Value Gain (Loss)
Currency) Cost(USD) Date (USD) (USD)
--------------- ------------ ------------- ----------- -------------
<S> <C> <C> <C> <C> <C>
Purchases
- ----------
DEM 350,000 $209,143 04/10/97 $208,181 ($ 962)
DEM 160,000 96,032 06/03/97 95,505 (528)
JPY 15,000,000 123,630 04/10/97 125,406 1,776
--------- --------- --------
$428,805 $429,092
--------- ---------
Sales
- ----------
DEM 350,000 225,153 04/10/97 208,181 16,972
GBP 90,000 146,772 05/29/97 146,396 376
ITL 161,444,800 96,032 06/03/97 95,086 946
JPY 15,000,000 131,683 04/10/97 125,349 6,334
--------- --------- --------
$599,640 $575,012
========= =========
</TABLE>
7. CONCENTRATION OF SHAREHOLDERS
At February 28, 1997, all shares outstanding for each Portfolio are owned
either directly or indirectly by a single insurance company.
<PAGE>
[This Page Intentionally Left Blank]
<PAGE>
(copyright) The Chase Manhattan Bank, 1997 Vista Investment Services
A-7036-CRT F-7036(CMB)
VCA-3 497
