[LOGO OF CHASE VISTA]
ANNUAL REPORT
AUGUST 31, 1997
VISTA
CAPITAL ADVANTAGE
MANAGED BY CHASE MANHATTAN
MUTUAL FUND VARIABLE ANNUITY TRUST
Vista Fund Distributors,Inc., distributor
This report must be accompanied or preceded 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
23-27 Notes to Financial Statements
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
October 10, 1997
Dear Vista Capital Advantage Investor:
We are pleased to present this annual report on the six portfolios underlying
the Vista Capital Advantage variable annuity for the year ended August 31,
1997. This report summarizes the performance of each portfolio in light of
events in the financial markets, giving you the opportunity to monitor and
adjust your individual investment choices if necessary. Here are some
highlights:
Exceptional U.S. Economy Led to Strong Stock Market Gains
During the reporting year, the U.S. economy painted a near-perfect picture, one
characterized by substantial economic growth, excellent corporate performance,
strong job creation and the virtual absence of inflationary pressures. Against
this backdrop, the U.S. stock market continued to deliver above-average
returns, with the widely-followed unmanaged S&P 500 Index showing a total
return of 40.62% for the reporting year. Small- and mid-cap stocks, which had
lagged their large-cap counterparts since 1994, began to show signs of relative
strength over the summer of 1997.
The U.S. bond market also provided positive returns, although bond investors
remained highly sensitive to even the slightest hint of inflation in the face
of the growing economy and falling unemployment. While inflation did, in fact,
remain well under control, this heightened sensitivity created occasional
periods of volatility during a year in which the yield on the 30-year U.S.
Treasury bond fell from 7.12% to 6.61%.
Markets in Europe and Latin America Led Overseas Performance
Overseas, European stock markets generally turned in strong performance, aided
by ongoing corporate restructuring, the increasing likelihood of a successful
launch of the euro and, at the end of the reporting year, signs of sustainable
economic growth. Latin American markets were the stars among the developing
countries as the effects of ongoing economic and political reforms proved
attractive to global investors. Markets were less positive in Japan, where the
economy was actually contracting as the reporting year ended. Also problematic
was Southeast Asia, where currency problems in Thailand, the Philippines,
Indonesia and Malaysia ultimately sent stock markets throughout the region into
a tailspin.
Overall, it was another strong year for most U.S. market investors, including
those investors who've chosen to invest in Vista Capital Advantage variable
annuity. We thank you for your business and look forward to continuing to serve
your investment needs for many years to come. 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.
Performance
Investors in the Growth and Income Portfolio participated in
the strong performance of U.S. stocks during the reporting
period. For the year ended August 31, 1997, the Portfolio
had a total return of 35.53%.
Strategy
The portfolio management team utilized Vista's five-step
stock management system to select individual holdings for the Portfolio. In the
fall of 1996, the system led the management team to take overweight positions
in the financial services and technology sectors, which proved quite beneficial
to performance as these sectors led the market's advance. As signs of
accelerating economic growth became apparent late in 1996, the management team
took profits in the financial services sector and focused more heavily on
economically sensitive stocks.
After the U.S. market stumbled briefly in the early spring, signs of moderating
economic growth led to a strong recovery. During this period and for the
remainder of the reporting year, the portfolio management team maintained a
highly-diversified approach and continued to allocate a portion of assets to
mid-cap stocks. Although this mid-cap focus proved to be a drag on performance
for the year as a whole, it did prove beneficial in the latter part of the
reporting year. During this time, investors finally began turning their
attention to the more compelling valuations and improved earnings in small- and
mid-cap company stocks. As the year ended, the Portfolio was emphasizing energy
and technology companies and had trimmed holdings in economically sensitive
stocks.
Outlook
The portfolio management team expects the U.S. economy to remain strong
for the rest of 1997. The team believes that, after several years of strong
performance on the corporate earnings front, the market will focus more than
ever on whether or not companies can deliver visible earnings growth. Using
Vista's disciplined stock management system, the portfolio management team
expects to continue to focus on large- and mid-cap companies which it believes
have the characteristics to provide the required earnings growth.
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 $18,085 from inception on 3/1/95 through
8/31/97.*
Investment Results
Average Annual Total Return as of 8/31/97*
One year 35.53%
Since Inception (3/1/95) 26.66%
[MOUNTAIN CHART]
10000 10000
10270 10294
10410 10597
10730 11020
11000 11275
11460 11649
11480 11678
11710 12171
11480 12127
11960 12659
12150 12903
12558 13342
12767 13466
13019 13596
13375 14151
13344 14205
12893 13578
13344 13865
13941 14644
14161 15048
15051 16184
14768 15864
15603 16854
15543 16987
14899 16290
15579 17262
16569 18317
17214 19131
18609 20653
18084 19497
Source for Index returns: Lipper Analytical Services, Inc.
* 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 Standard & Poor's 500 Index is an unmanaged broad-based index that rep-
licates the U.S. stock market. It includes 500 widely held common stocks and
assumes reinvestment of dividends. An individual cannot invest in an index.
Withdrawals prior to age 59 1/2 from the Vista Capital Advantage variable
annuity may be subject to a 10% IRS tax penalty, and are taxed as ordinary
income.
The views expressed on this page are exclusively those of Chase Manhattan. The
financial information presented on this page has been taken from the books and
records of the portfolios without examination by independent accountants, who
express no opinion thereto.
<PAGE>
page 3
Capital Growth Portfolio
The Capital Growth Portfolio seeks to provide long-term capital
growth primarily through diversified holdings of common stocks.
Performance
For the year ended August 31, 1997, the Capital Growth Portfolio provided
investors with a total return of 27.27%.
Strategy
Using Vista's five-step stock management system, the portfolio management team
focused on individual selection of mid-cap stocks. For the majority of the
reporting year, mid-cap stocks underperformed as investors continued to focus on
the stocks of the largest companies. Beginning in April, however, investors
increasingly turned their attention to the more compelling valuations in
small- and mid-cap stocks and, as the reporting year ended, market performance
had broadened considerably.
On a sector level, the Portfolio took overweight positions in financial and
technology stocks in the last several months of 1996, which proved beneficial
as these two sectors were the market's best performers. Anticipating a modestly
accelerating economy moving into 1997, the management team cut these overweight
exposures in favor of stocks in sectors that perform better in a stronger
economy. After the market briefly stumbled early in the spring, the Portfolio
took a relatively-sector neutral position, but it did place a heavy emphasis on
insurers within the financial sector. As the reporting year ended, the
Portfolio had significant positions in retailing stocks.
Outlook
The portfolio management team expects the U.S. economy to remain strong for the
rest of 1997 and believes that the environment will continue to support mid-cap
stocks. Within the mid-cap universe of companies, the management team believes
that visible earnings growth will be the key to outperformance, and it expects
to continue to look for compelling companies with strong earnings growth
prospects.
Life of Portfolio Performance
A $10,000 tax-deferred investment in the Capital Growth Portfolio at NAV (Net
Asset Value) would have grown to $18,123 from inception on 3/1/95 through
8/31/97.*
Investment Results
Average Annual Total Return as of 8/31/97*
One year 27.27%
Since Inception (3/1/95) 26.77%
[MOUNTAIN CHART]
10000 10000
10350 10172
10470 10398
10870 10577
11140 11125
11830 11766
11900 12010
12090 12224
11660 11677
12220 12168
12707 12489
12871 12476
13077 12865
13674 13126
14363 13828
14785 14373
14404 13783
13571 12579
14240 13310
14960 13830
14764 13617
15526 14178
15670 14549
16284 14840
16040 14480
15276 13797
15403 13836
16492 15375
17141 16034
18321 16780
18123 17164
Source for Index Returns: Lipper Analytical Services, Inc.
* 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. An
individual cannot invest in an index.
Withdrawals prior to age 59 1/2 from the Vista Capital Advantage variable
annuity may be subject to a 10% IRS tax penalty, and are taxed as ordinary
income.
The views expressed on this page are exclusively those of Chase Manhattan. The
financial information presented on this page has been taken from the books and
records of the portfolios without examination by independent accountants, who
express no opinion thereto.
<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 United States.
Performance
For the year ended August 31, 1997, the International Equity
Portfolio provided investors with a total return of 8.27%.
Strategy
Throughout the reporting year, the Portfolio maintained an
overweight position in European companies. This strategy reflected the
management team's continuing belief that Europe is in the midst of a profound
period of corporate restructuring much like that of the United States several
years ago. In addition to restructuring companies, the Portfolio was overweight
for most of the year in interest-rate sensitive European companies which
benefited from the interest rate convergence among countries in the run-up to
the introduction of the euro. However, as the reporting period ended, signs of
economic growth led the management team to reduce these interest-rate sensitive
holdings in favor of growth-oriented companies.
The Portfolio remained underweight in Japan throughout the reporting year.
However, the Portfolio raised its allocation there in the second half by
focusing on large exporting multinationals, which benefited from a weakening
yen. In the emerging markets, the Portfolio continued to build positions in
Latin America as the results of economic and political reform drew the
attention of investors. In Southeast Asia, the management team responded to the
currency crisis by sharply cutting positions in most markets.
Outlook
The management team believes that an imminent European Monetary Union and
economic growth support its continued overweight position in Europe. In Japan,
the lack of economic growth calls for caution in the broad market, but the
management team does see opportunities within the exporting companies. While
most international markets have not kept pace with the U.S. stock market over
the past several years, it's important to remember that international
investments provide a level of risk reduction through diversification as well
as the potential for capital appreciation over the long-term.
Life of Portfolio Performance
A $10,000 tax-deferred investment in the International Equity Portfolio at NAV
(Net Asset Value) would have grown to $12,075 from inception on 3/1/95 through
8/31/97.*
Investment Results
Average Annual Total Return as of 8/31/97*
One year 8.27%
Since inception (3/1/95) 7.81%
[MOUNTAIN CHART]
10000 10000
10180 10626
10350 11028
10480 10900
10470 10712
11010 11381
10890 10950
11070 11167
10910 10869
10870 11175
10890 11628
11058 11678
11132 11721
11427 11973
11753 12324
11616 12100
11679 12171
11121 11818
11153 11847
11448 12165
11300 12043
11690 12526
11648 12367
11532 11937
11798 12136
11752 12183
11729 12250
12214 13050
12688 13773
13289 13999
12075 12956
Source for Index Returns: Lipper Analytical Services, Inc.
* 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, is a replica (or model) of the performance of
the European, Australian and Far Eastern equity markets, and assumes the
reinvestment of dividends. An individual cannot invest in an index.
Withdrawals prior to age 59 1/2 from the Vista Capital Advantage variable
annuity may be subject to a 10% IRS tax penalty, and are taxed as ordinary
income.
The views expressed on this page are exclusively those of Chase Manhattan. The
financial information presented on this page has been taken from the books and
records of the portfolios without examination by independent accountants, who
express no opinion thereto.
<PAGE>
page 5
Asset Allocation Portfolio
The Asset Allocation Portfolio seeks to provide maximum 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.
Performance
For the year ended August 31, 1997, the Asset Allocation
Portfolio had a total return of 22.61%.
Strategy
At the end of the reporting year, 51.7% of the Portfolio's assets were invested
in common stocks. In the fall of 1996, the stock portion of the Portfolio was
overweight in technology and financial stocks, which proved beneficial as these
were the market's strongest sectors. At the end of 1996, the management team
reduced the financial sector exposure in favor of more economically sensitive
sectors. After the market's slide in early spring, stock exposure was well-
diversified, but the management team increased investments in insurers and
retailers over the summer.
On the bond side, the Portfolio's exposure to corporate bonds was increased
substantially in the second half of the year and positions in U.S. Treasury
securities were reduced as the management team sought to increase yield. Within
the mortgage sector, the falling interest rate environment prompted management
to focus on structured securities which offered some protection against
pre-payment. Although the management team did extend duration beyond neutral at
several points during the year, concerns about the strength of economic growth
led to a relatively neutral duration by year-end.
Outlook
Given strong consumer spending and the wealth effect created by the strong
stock market, the portfolio management team does not expect economic growth to
slow much for the remainder of 1997. The stock portion of the Portfolio expects
to continue to focus on companies with visible earnings growth. And, the bond
portion expects to continue to focus on adding value through sector and
security selection as opposed to making investments based on interest rate
direction.
Life of Portfolio Performance
A $10,000 tax-deferred investment in the Asset Allocation
Portfolio at NAV (Net Asset Value) would have grown to
$15,010 from inception on 3/1/95 through 8/31/97.*
Investment Results
Average Annual Total Return as of 8/31/97*
One year 22.61%
Since Inception (3/1/95) 17.59%
[MOUNTAIN CHART]
10000 10000
10160 10198
10270 10497
10570 10795
10730 10975
10980 11201
11040 11254
11200 11578
11120 11598
11440 11970
11595 12160
11880 12460
11935 12487
12045 12545
12133 12653
12198 12863
12231 12940
12001 12578
12242 12755
12677 13280
12835 13596
13362 14333
13220 14115
13596 14728
13557 14814
13194 14370
13596 15005
14102 15674
14465 16203
15321 17203
15010 16491
Source for Index Returns: Lipper Analytical Services, Inc.
* 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 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. An individual
cannot invest in an index.
Withdrawals prior to age 59 1/2 from the Vista Capital Advantage variable
annuity may be subject to a 10% IRS tax penalty, and are taxed as ordinary
income.
The views expressed on this page are exclusively those of Chase Manhattan. The
financial information presented on this page has been taken from the books and
records of the portfolios without examination by independent accountants, who
express no opinion thereto.
<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.
Performance
For the year ended August 31, 1997, the U.S. Government
Income Portfolio had a total return of 8.11%.
Strategy
Over the course of the year, the yield on the 30-year U.S. Treasury bond fell
from 7.12% to 6.61%. The Portfolio was able to take advantage of the fall 1996
rally in U.S. Treasuries thanks to a slightly long duration relative to its
benchmark. However, the management team took a more conservative stance moving
into 1997 and, by the end of February, had reduced the Portfolio's duration
below benchmark.
Although the Portfolio was slightly long of benchmark at certain points during
the second half of the reporting year, the portfolio management team kept a
close eye on reports of economic growth and, at times, reined in duration to
protect principal.
Outlook
Given strong consumer spending and the wealth effect
created by the strong stock market, the portfolio manage-
ment team does not expect economic growth to slow much
for the remainder of 1997. Given this view and the belief
that the Federal Reserve Board would act in the face of any
linkage to inflation, the portfolio management team expects
to maintain a neutral to slightly-conservative stance moving forward.
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 $11,859 from inception on 3/1/95 through
8/31/97.*
Investment Results
Average Annual Total Return as of 8/31/97*
One year 8.11%
Since Inception (3/1/95) 7.04%
Source for Index Returns: Lipper Analytical Services, Inc.
* 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 and
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 and assumes the reinvestment of dividends. An individual
cannot invest in an index.
Withdrawals prior to age 59 1/2 from the Vista Capital Advantage variable
annuity may be subject to a 10% IRS tax penalty, and are taxed as ordinary
income.
The views expressed on this page are exclusively those of Chase Manhattan. The
financial information presented on this page has been taken from the books and
records of the portfolios without examination by independent accountants, who
express no opinion thereto.
[MOUNTAIN CHART]
10000 10000
10050 10055
10170 10171
10550 10458
10620 10525
10570 10530
10690 10617
10800 10688
10950 10805
11100 10937
11235 11044
11292 11138
11027 11020
10924 10970
10855 10938
10820 10932
10970 11043
10993 11077
10970 11090
11131 11233
11350 11417
11522 11555
11430 11493
11455 11537
11430 11556
11304 11490
11468 11620
11556 11710
11683 11811
11998 12028
11859 11982
<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.
Performance
The Money Market Portfolio had a total return of 4.93% for the year ended
August 31, 1997.* At the end of the reporting period, the Portfolio's current
SEC seven-day yield was 4.83%.
Changing perceptions of the strength of U.S. economic growth were the primary
drivers of short-term interest rates during the reporting year as the yield on
the one-year Treasury bill declined from 5.90% to 5.56%.
Overall, the year can be characterized by substantial economic growth,
excellent corporate performance, strong job creation and the absence of
inflationary pressures. This combination of factors challenged the traditional
economic view that a growing economy and low unemployment inevitably lead to
inflation and higher interest rates.
Against this backdrop, bond investors were highly sensitive to each report on
the economy's performance. This created occasional periods of volatility as
they anticipated whether the Federal Reserve Board would make a preemptive
strike against inflation. Ultimately, the Fed acted only once, raising the
Federal Funds rate slightly in March and effectively driving the yield on the
one-year Treasury bill to its highest point of the year. Rates subsequently
fell, however, and continued on a generally downward trend as it became clear
that the Fed would not act again without clear and sustainable signs of
inflation.
In this environment, the portfolio management team worked to provide
competitive yields with the highest degree of safety and stability.
* Total return figures do not include the effect of any insurance or withdrawal
charges associated with a variable annuity. The investment advisor is currently
waiving certain fees. This voluntary waiver may be modified or terminated at
any time, which would reduce performance. Past performance is not a guarantee
of future results.
An investment in Vista Capital Advantage Money Market Portfolio is neither
insured nor guaranteed by the U.S. Government. Yields will fluctuate, and there
can be no assurance that the Fund will be able to maintain a stable net asset
value of $1.00 per share.
The views expressed on this page are exclusively those of Chase Manhattan. The
financial information presented on this page has been taken from the books and
records of the portfolios without examination by independent accountants, who
express no opinion thereto.
<PAGE>
page 8
Growth & Income Portfolio
Portfolio of Investments August 31, 1997
Shares Issuer Value
- --------- ----------------------------------------------- -----------
LONG-TERM INVESTMENTS--92.7%
COMMON STOCK--92.0%
AGRICULTURAL PRODUCTION/SERVICES--1.3%
2,900 CASE CORP. .................................... $ 194,481
-----------
AIRLINES--2.1%
2,500 AMR CORP.* ................................... 251,875
1,900 CONTINENTAL AIRLINES, INC., CLASS B* ........... 69,588
-----------
321,463
-----------
AUTOMOTIVE--0.5%
1,800 LEAR CORP.* ................................... 82,463
-----------
BANKING--7.6%
1,800 BANKAMERICA CORP. ............................. 118,463
2,500 CULLEN/FROST BANKERS, INC. .................... 111,250
8,800 FIRST UNION CORP. ............................. 422,950
1,900 NATIONSBANK CORP. ............................. 112,813
6,400 WASHINGTON MUTUAL SAVINGS BANK ................. 383,200
-----------
1,148,676
-----------
BUSINESS SERVICES--0.5%
2,000 CERIDIAN CORP.* ................................ 69,125
-----------
CHEMICALS--2.7%
2,200 CABOT CORP. ................................... 60,225
3,900 DOW CHEMICAL CO. ............................. 345,150
-----------
405,375
-----------
COMPUTER SOFTWARE--3.8%
2,200 CISCO SYSTEMS, INC. .......................... 165,825
6,100 COMPUTER ASSOCIATES INTERNATIONAL .............. 407,938
-----------
573,763
-----------
COMPUTERS/COMPUTER HARDWARE--6.8%
3,500 EMC CORP.* ................................... 179,594
4,000 INTERNATIONAL BUSINESS MACHINES CORP. ........ 403,500
9,100 SUN MICROSYSTEMS, INC.* ....................... 436,800
-----------
1,019,894
-----------
CONSTRUCTION MACHINERY--2.0%
5,100 CATERPILLAR TRACTOR, INC. .................... 296,119
-----------
CONSUMER PRODUCTS--4.2%
2,000 AVON PRODUCTS, INC. .......................... 128,125
8,200 PHILIP MORRIS COMPANIES, INC. ................. 357,725
1,600 RALSTON-RALSTON PURINA GROUP ................. 144,000
-----------
629,850
-----------
DIVERSIFIED--2.4%
2,300 HARNISCHFEGER INDUSTRIES, INC. ................. 92,288
3,400 TYCO INTERNATIONAL LTD. ....................... 266,688
-----------
358,976
-----------
ELECTRONICS / ELECTRICAL EQUIPMENT--2.8%
2,200 ATMEL CORP.* ................................... 77,825
1,900 INTEL CORP. ................................... 175,038
2,200 MOTOROLA, INC. ................................ 161,425
-----------
414,288
-----------
Shares Issuer Value
- --------- ----------------------------------------------- -----------
ENTERTAINMENT/LEISURE--3.2%
7,700 CARNIVAL CORP., CLASS A ....................... $ 337,356
2,700 TIME WARNER, INC. ............................. 139,050
-----------
476,406
-----------
FINANCIAL SERVICES--0.9%
2,700 MORGAN STANLEY, DEAN WITTER,
DISCOVER AND CO. ............................. 129,937
-----------
FOOD/BEVERAGE PRODUCTS--2.3%
9,600 PEPSICO., INC. ................................ 345,600
-----------
HEALTH CARE/HEALTH CARE SERVICES--4.8%
2,200 BECKMAN INSTRUMENTS, INC. .................... 103,538
7,700 COLUMBIA/HCA HEALTHCARE CORP. ................. 243,031
10,300 HEALTHSOUTH CORP.* ............................. 256,856
2,600 UNIVERSAL HEALTH SERVICES, INC., CLASS B* ..... 113,912
-----------
717,337
-----------
INSURANCE--4.9%
5,300 ALLSTATE CORP. ................................ 387,231
1,500 AMERICAN BANKERS INSURANCE GROUP, INC. ........ 99,000
3,300 EQUITABLE COMPANIES, INC. .................... 143,550
8,300 RELIANCE GROUP HOLDINGS, INC. ................. 101,675
-----------
731,456
-----------
MANUFACTURING--3.7%
4,000 JOHNSON CONTROLS ............................. 190,750
4,400 INGERSOLL-RAND CO. ............................. 264,550
2,900 PENTAIR, INC. ................................ 103,312
-----------
558,612
-----------
MEDIA/ADVERTISING--1.0%
2,200 OMNICOM GROUP, INC. .......................... 149,050
-----------
METALS/MINING--0.5%
900 ALUMINUM CO. OF AMERICA (ALCOA) .............. 74,025
-----------
OFFICE/BUSINESS EQUIPMENT--0.1%
100 XEROX CORP. ................................... 7,550
-----------
OIL & GAS--10.7%
3,800 BRITISH PETROLEUM PLC, ADR (UNITED KINGDOM) ... 321,575
5,500 COASTAL CORP. ................................ 317,625
7,000 HALLIBURTON COMPANY .......................... 334,250
1,700 MOBIL CORP. ................................... 123,675
2,200 MURPHY OIL CORP. ............................. 118,112
1,100 TEXACO, INC. ................................... 126,775
2,400 TIDEWATER, INC. ................................ 126,000
2,900 WILLIAMS COMPANIES, INC. ....................... 135,031
-----------
1,603,043
-----------
PAPER/FOREST PRODUCTS--1.5%
1,700 BOISE CASCADE CORP. .......................... 67,256
2,000 WILLAMETTE INDUSTRIES, INC. .................... 159,500
-----------
226,756
-----------
PHARMACEUTICALS--3.7%
2,000 BRISTOL-MYERS SQUIBB CO. ....................... 152,000
2,800 JOHNSON & JOHNSON ............................. 158,725
5,600 SMITHKLINE BEECHAM PLC, ADR (UNITED KINGDOM) 242,550
-----------
553,275
-----------
See notes to financial statements.
<PAGE>
page 9
Growth & Income Portfolio
Portfolio of Investments August 31, 1997
Shares Issuer Value
- --------- ----------------------------------------------- ------------
PRINTING & PUBLISHING--2.0%
6,500 NEW YORK TIMES COMPANY, CLASS A ............. $ 307,125
------------
REAL ESTATE INVESTMENT TRUST--0.6%
4,000 SECURITY CAPITAL PACIFIC TRUST ............. 87,250
------------
RETAILING--7.6%
1,800 BARNES & NOBLE, INC.* ...................... 83,587
10,600 COSTCO COMPANIES, INC. ...................... 382,262
2,800 CVS CORP. .................................. 157,850
3,500 FEDERATED DEPARTMENT STORES* ................ 147,000
12,300 KROGER CO.* ............................... 370,537
------------
1,141,236
------------
SHIPPING/TRANSPORTATION--0.6%
1,000 BURLINGTON NORTHERN SANTA FE ................ 91,688
------------
TELECOMMUNICATIONS--3.0%
7,100 BELLSOUTH CORP. ............................ 312,400
2,800 SPRINT CORP. ............................... 131,600
------------
444,000
------------
TEXTILES--0.5%
1,700 LIZ CLAIBORNE, INC. ......................... 75,756
------------
UTILITIES--3.7%
3,600 CAROLINA POWER & LIGHT CO. ................ 121,500
7,200 FPL GROUP INC. ............................ 334,800
3,000 SIERRA PACIFIC RESOURCES ................... 93,750
------------
550,050
------------
TOTAL COMMON STOCK
(COST $11,553,500) .......................... 13,784,625
------------
Shares Issuer Value
- --------- ----------------------------------------------- ------------
CONVERTIBLE PREFERRED STOCK--0.7%
FINANCIAL SERVICES--0.4%
1,500 SUNAMERICA INC., $3.188, 10/31/99 .......... $ 66,469
------------
PAPER/FOREST PRODUCTS--0.3%
800 INTERNATIONAL PAPER CAPITAL CORP., 5.25% # .. 44,916
------------
TOTAL CONVERTIBLE PREFERRED STOCK
(COST $96,250) ................................ 111,385
------------
RIGHTS--0.0%
REAL ESTATE INVESTMENT TRUST--0.0%
4,000 SECURITY CAPITAL PACIFIC TRUST, $21.81, EXPIRES
09/08/97 .................................... 0
------------
TOTAL LONG-TERM INVESTMENTS
(COST $11,649,750) .......................... 13,896,010
------------
Principal
Amount
- -------------
SHORT-TERM INVESTMENTS--6.9%
TIME DEPOSIT--6.9%
BANKING--6.9%
$1,042,000 SUMITOMO BANK, 5.531%, DUE 09/02/97
(COST $1,042,000) ............ $ 1,042,000
------------
TOTAL INVESTMENTS--99.6%
(COST $12,691,750) ............ $14,938,010
============
See notes to financial statements.
<PAGE>
page 10
Capital Growth Portfolio
Portfolio of Investments August 31, 1997
Shares Issuer Value
- --------- ------------------------------------------- -----------
LONG-TERM INVESTMENTS--87.7%
COMMON STOCK--87.7%
AGRICULTURAL PRODUCTION/SERVICES--1.4%
5,400 AGCO CORP. ................................... $ 175,500
-----------
AIRLINES--1.5%
5,000 CONTINENTAL AIRLINES, INC., CLASS B* ........... 183,125
-----------
AUTOMOTIVE--3.0%
3,500 CIRCUIT CITY STORES, INC., CARMAX GROUP* ..... 48,125
7,000 LEAR CORP.* ................................... 320,688
-----------
368,813
-----------
BANKING--1.4%
4,590 ZIONS BANCORPORATION .......................... 177,863
-----------
BUSINESS SERVICES--0.8%
3,000 CERIDIAN CORP.* ................................ 103,687
-----------
CHEMICALS--3.6%
10,000 CABOT CORP. ................................... 273,750
5,000 WATERS CORP.* ................................ 166,563
-----------
440,313
-----------
COMPUTER SOFTWARE--3.1%
5,500 ADOBE SYSTEMS, INC. .......................... 216,563
55 NETSCAPE COMMUNICATIONS CORP.* ................. 2,190
3,750 WIND RIVER SYSTEMS* .......................... 160,781
-----------
379,534
-----------
COMPUTERS/COMPUTER HARDWARE--4.2%
3,000 EMC CORP.* .................................... 153,938
4,000 GATEWAY 2000 INC.,* ........................... 156,500
4,000 STORAGE TECHNOLOGY CORP.* ..................... 203,750
-----------
514,188
-----------
CONSUMER PRODUCTS--1.7%
4,000 FIRST BRANDS CORP. .............................. 99,750
6,000 FURNITURE BRANDS INTERNATIONAL, INC.* ......... 105,750
-----------
205,500
-----------
DIVERSIFIED--2.9%
5,000 AMERICAN STANDARD COMPANIES, INC.* ............ 235,000
3,000 HARNISCHFEGER INDUSTRIES, INC. .................. 120,375
-----------
355,375
-----------
ELECTRONICS/ELECTRICAL EQUIPMENT--7.7%
7,000 ADAPTEC, INC.* ................................. 336,000
4,000 ATMEL CORP.* .................................... 141,500
5,000 BMC INDUSTRIES, INC. ........................... 155,625
5,000 MICRON ELECTRONICS, INC.* ..................... 81,562
5,000 XILINX, INC.* ................................. 237,500
-----------
952,187
-----------
FINANCIAL SERVICES--5.4%
4,000 COUNTRYWIDE CREDIT INDUSTRIES, INC. ............ 134,750
4,000 GREEN TREE FINANCIAL CORP. ..................... 175,750
3,000 LEHMAN BROTHERS HOLDING, INC. .................. 131,625
4,000 THE PMI GROUP, INC. ........................... 231,250
-----------
673,375
-----------
Shares Issuer Value
- --------- ------------------------------------------- -----------
FOOD/BEVERAGE PRODUCTS--1.3%
6,000 COCA-COLA ENTERPRISES, INC. ..................... $ 165,000
-----------
HEALTH CARE/HEALTH CARE SERVICES--7.0%
10,000 ASSISTED LIVING CONCEPTS* ..................... 158,750
2,500 HBO & CO. ....................................... 179,062
4,000 PHYCOR, INC.* ................................. 117,750
6,750 TENET HEALTHCARE CORP.* ........................ 183,938
5,100 UNIVERSAL HEALTH SERVICES, INC., CLASS B* ...... 223,444
-----------
862,944
-----------
HOME BUILDING CONSTRUCTION--0.7%
5,000 PACIFIC GREYSTONE CORP.* ........................ 86,875
-----------
INSURANCE--9.2%
5,000 AMERICAN BANKERS INSURANCE GROUP, INC. ......... 330,000
4,500 EQUITABLE OF IOWA COMPANIES ..................... 293,062
4,000 RELIASTAR FINANCIAL CORP. ..................... 299,000
3,000 TRANSATLANTIC HOLDINGS, INC. .................. 212,063
-----------
1,134,125
-----------
MANUFACTURING--3.8%
3,500 KENNAMETAL INC. ................................. 163,844
4,000 PENTAIR, INC. ................................. 142,500
3,500 UCAR INTERNATIONAL, INC.* ..................... 165,156
-----------
471,500
-----------
MEDIA/ADVERTISING--1.1%
2,000 OMNICOM GROUP, INC. ........................... 135,500
-----------
OIL & GAS--6.0%
5,000 MURPHY OIL CORP. .............................. 268,437
2,500 NUEVO ENERGY CO.* .............................. 127,031
6,500 TIDEWATER, INC. ................................. 341,250
-----------
736,718
-----------
PAPER/FOREST PRODUCTS--2.2%
7,000 BOISE CASCADE CORP. ........................... 276,937
-----------
PHARMACEUTICALS--1.7%
6,000 PAREXEL INTERNATIONAL CORP.* .................. 212,250
-----------
PIPELINES--1.9%
3,600 COLUMBIA GAS SYSTEM, INC. ..................... 237,600
-----------
REAL ESTATE INVESTMENT TRUST--1.2%
6,600 OASIS RESIDENTIAL, INC. ........................ 154,275
-----------
RETAILING--7.6%
10,000 CORPORATE EXPTRESS INC.* ........................ 170,625
2,000 CVS CORP. ....................................... 112,750
5,000 HOLLYWOOD ENTERTAINMENT CORP.* .................. 81,875
2,500 MSC INDUSTRIAL DIRECT CO., INC.* ............... 101,562
6,000 PROFFITT'S, INC.* .............................. 322,125
5,000 STAGE STORES, INC.* ........................... 154,688
-----------
943,625
-----------
TELECOMMUNICATIONS--3.2%
5,000 ASPECT TELECOMMUNICATIONS CORP.* ............... 110,000
5,000 CINCINNATI BELL, INC. ........................... 134,687
5,000 OCTEL COMMUNICATIONS CORP.* ..................... 151,875
-----------
396,562
-----------
See notes to financial statements.
<PAGE>
page 11
Capital Growth Portfolio
Portfolio of Investments August 31, 1997
Shares Issuer Value
- --------- -------------------------- ------------
TEXTILES--1.4%
4,000 LIZ CLAIBORNE, INC. ............ $ 178,250
------------
UTILITIES--2.7%
5,000 SIERRA PACIFIC RESOURCES ...... 156,250
7,500 TNP ENTERPRISES, INC. ......... 175,781
------------
332,031
------------
TOTAL COMMON STOCK
(COST $8,377,365) ............... 10,853,652
------------
Principal
Amount Issuer Value
- ------------- ----------------------------------- ------------
SHORT-TERM INVESTMENTS--12.0%
TIME DEPOSIT--12.0%
$1,483,000 SUMITOMO BANK, 5.531%, DUE 09/02/97
(COST $1,483,000) ............. $ 1,483,000
------------
TOTAL INVESTMENTS--99.7%
(COST $9,860,365) ............... $12,336,652
============
See notes to financial statements.
<PAGE>
page 12
International Equity Portfolio
Portfolio of Investments August 31, 1997
Shares Issuer Value
- -------- -------------------------------------------------- ----------
LONG-TERM INVESTMENTS--93.5%
COMMON STOCK--93.3%
AUSTRALIA--0.6%
BANKING--0.1%
700 COMMONWEALTH BANK OF AUSTRALIA .................. $ 7,739
DIVERSIFIED--0.3%
12,000 FUTURIS CORP., LTD. ........................... 17,994
INSURANCE--0.0%
400 QBE INSURANCE GROUP, LTD. ..................... 2,171
OIL & GAS--0.2%
9,000 ENERGY EQUITY CORP. LTD.* ..................... 9,129
---------
37,033
---------
AUSTRIA--2.0%
OIL & GAS--0.7%
10 SCHOELLER-BLECKMANN OILFIELD EQUIPMENT AG* ...... 1,327
297 OMV AG .......................................... 39,146
STEEL--1.3%
893 BOEHLER--UDDEHOLM AG ........................... 69,890
---------
110,363
---------
BRAZIL--3.3%
TELECOMMUNICATIONS--2.8%
1,270 TELECOMUNICACOES BRASILEIRAS SA, ADR ............ 149,860
UTILITIES--0.5%
1,330 CENTRAIS ELECTRICAS BRASILEIRAS SA-
ELECTROBRAS, ADR ............................. 30,510
---------
180,370
---------
CHINA--0.2%
AUTOMOTIVE--0.2%
22,000 QINGLING MOTORS COMPANY LTD.-H .................. 12,420
---------
FINLAND--1.1%
ELECTRONICS / ELECTRICAL EQUIPMENT--1.1%
775 NOKIA AB, SER. A .............................. 59,869
---------
FRANCE--5.9%
APPLIANCES & HOUSEHOLD DURABLES--0.4%
900 MOULINEX* ....................................... 21,770
AUTOMOTIVE--0.8%
295 EQUIPMENT ET COMPOSANTS POUR L'INDUSTRIE
AUTOMOBILE ................................... 46,018
BANKING--0.8%
1,050 BANQUE NATIONALE DE PARIS ..................... 44,749
COMPUTER SOFTWARE--0.7%
650 CAP GEMINI SOGETI SA ........................... 39,574
FINANCIAL SERVICES--0.7%
350 CETELEM GROUP ................................. 35,304
OIL & GAS--1.0%
500 SOCIETE NATIONAL ELF-AQUITANE .................. 55,535
TELECOMMUNICATIONS--1.5%
670 ALCATEL ALSTHOM (CIE GENERAL EL) ............... 82,025
---------
324,975
---------
Shares Issuer Value
- -------- -------------------------------------------------- ----------
GERMANY--7.9%
AUTOMOTIVE--1.0%
75 VOLKSWAGEN AG ................................. $ 53,779
BANKING--2.1%
1,455 DRESDNER BANK AG .............................. 57,902
1,600 COMMERZBANK AG ................................. 55,460
CAPITAL GOODS--1.4%
171 MANNESMANN AG ................................. 79,156
CONSUMER PRODUCTS--0.6%
248 ADIDAS AG ....................................... 29,867
HEALTH CARE / HEALTH CARE SERVICES--0.9%
700 FRESENIUS MEDICAL CARE AG * ..................... 48,566
MACHINERY & ENGINEERING EQUIPMENT--1.4%
140 GEA AG, ORDINARY SHARES ........................ 48,837
75 GEA AG, PREFERENCE SHARES ..................... 25,474
RETAILING--0.5%
600 METRO AG ....................................... 27,410
---------
426,451
---------
HONG KONG--4.9%
AIRLINES--0.1%
3,000 CATHAY PACIFIC AIRWAYS ........................ 4,897
BANKING--0.4%
2,000 BANK OF EAST ASIA, LTD. ........................ 7,136
2,000 DAO HENG BANK GROUP, LTD. ..................... 8,517
600 HANG SENG BANK LTD. ........................... 7,239
DIVERSIFIED--1.1%
3,000 CITIC PACIFIC LTD. .............................. 15,988
10,000 GUANGDONG INVESTMENTS, LTD. ..................... 12,065
3,000 HUTCHISON WHAMPOA .............................. 24,969
1,000 JARDINE MATHESON HOLDINGS (USD) ............... 7,000
FINANCIAL SERVICES--0.8%
3,000 GUOCO GROUP LTD ................................. 11,652
1,000 HSBC HOLDINGS PLC .............................. 30,454
FOOD/BEVERAGE PRODUCTS--0.0%
2,000 GUANGDONG BREWERY HOLDINGS, LTD.* ............... 703
REAL ESTATE--2.5%
2,000 CHEUNG KONG (HOLDINGS) LTD. ..................... 21,163
14,000 CHINA RESOURCES BEIJING LAND .................. 9,033
2,000 CHINA RESOURCES ENTERPRISES LTD. ............... 8,388
12,800 HKR INTERNATIONAL, LTD. ........................ 16,352
3,000 HONG KONG LAND HOLDINGS LTD. .................. 8,670
5,000 HYSAN DEVELOPMENT CO., LTD. ..................... 14,517
4,000 NEW WORLD DEVELOPMENT COMPANY, LTD. ............ 24,931
1,000 SUN HUNG KAI PROPERTIES LTD. .................. 11,356
3,000 WHARF (HOLDINGS) LTD. ........................... 10,859
5,000 WHEELOCK & CO., LTD. ........................... 10,323
---------
266,212
---------
INDIA--0.0%
UTILITIES--0.0%
100 BSES LTD., GDR ................................. 1,710
---------
See notes to financial statements.
<PAGE>
page 13
International Equity Portfolio
Portfolio of Investments August 31, 1997
Shares Issuer Value
- ---------- ------------------------------------------------ ------------
INDONESIA--0.0%
DIVERSIFIED--0.0%
2,000 PT BIMANTARA CITRA (Foreign) .................. $ 1,788
TELECOMMUNICATIONS--0.0%
1,500 PT TELEKOMUNIKASI INDONESIA (Foreign) ......... 1,353
-----------
3,141
-----------
IRELAND--1.7%
CONSTRUCTION MATERIALS--0.7%
3,500 CRH PLC ....................................... 37,570
FOOD/BEVERAGE PRODUCTS--0.5%
5,300 GREENCORE GROUP PLC ........................... 27,071
REAL ESTATE--0.5%
5,818 GREEN PROPERTY PLC ........................... 30,188
-----------
94,829
-----------
ITALY--4.5%
BANKING--0.8%
11,000 BANCO AMBROSIANO VENETO SPA, RNC ............ 24,010
4,000 BANCO AMBROSIANO VENETO SPA .................. 23,744
CONSUMER PRODUCTS--0.9%
5,000 CSP INTERNATIONAL INDUSTRIA CALZE SPA * ...... 48,815
INSURANCE--0.9%
2,200 ASSICURAZIONI GENERALI, SPA .................. 46,371
OIL & GAS--1.9%
19,057 ENTE NAZIONALE IDROCARBURI SPA (ENI) ......... 105,428
-----------
248,368
-----------
JAPAN--27.7%
AUTOMOTIVE--1.2%
3,000 KEIHIN CORP. ................................. 37,213
3,000 SANDEN ....................................... 20,467
1,000 YAMAHA MOTOR CO., LTD. ........................ 9,014
BANKING--1.5%
2,000 BANK OF TOKYO-MITSUBISHI ..................... 36,221
1,000 MITSUBISHI TRUST & BANKING CORP. ............ 13,976
3,000 SUMITOMO TRUST & BANKING ..................... 29,026
CHEMICALS--1.0%
2,000 SHIN-ETSU CHEMICAL CO., LTD. .................. 50,941
2,000 TOSOH CORP. * ................................. 5,078
COMPUTER SOFTWARE--0.4%
700 KONAMI CO., LTD. .............................. 21,650
COMPUTERS/COMPUTER HARDWARE--0.4%
2,000 FUJITSU LTD. ................................. 23,816
CONSUMER PRODUCTS--2.0%
3,000 CITIZEN WATCH CO. ........................... 23,047
2,000 KAO CORP. .................................... 29,440
2,000 NIPPON ELECTRIC GLASS CO., LTD. ............... 27,290
300 SONY CORP. .................................... 26,049
DIVERSIFIED--0.5%
3,000 MITSUI & CO. ................................. 24,412
ELECTRONICS/ELECTRICAL EQUIPMENT--7.8%
300 ADVANTEST CORP. .............................. 27,290
500 HIROSE ELECTRONICS CO., LTD. .................. 34,939
Shares Issuer Value
- ---------- ------------------------------------------------ ------------
JAPAN (cont'd)
1,000 HITACHI MAXELL LTD. ........................... $ 22,493
400 KEYENCE CORP. ................................. 58,218
1,200 MITSUI HIGH-TEC. .............................. 28,778
1,000 MURATA MUFACTURING CO., LTD. .................. 40,852
1,000 ROHM COMPANY ................................. 103,370
800 SHINKO ELECTRIC INDUSTRIES .................. 34,137
600 SMC CORP. .................................... 50,114
3,000 TOKIN CORP. ................................. 28,034
ENGINEERING SERVICES--0.3%
700 NEC SYSTEM INTEGRATION & CONS ............... 13,603
ENTERTAINMENT/LEISURE--1.1%
300 ORIENTAL LAND CO., LTD. ..................... 18,259
1,000 SHOCHIKU CO., LTD. ........................... 8,600
220 TOHO CO., LTD. .............................. 30,201
FINANCIAL SERVICES--1.5%
700 ACOM CO., LTD. .............................. 32,938
200 AEON CREDIT SERVICE CO., LTD. ............... 12,222
1,000 NIKKO SECURITIES CO. LTD. ..................... 4,705
600 PROMISE CO., LTD. ........................... 30,167
INSURANCE--0.4%
2,000 TOKIO MARINE & FIRE INSURANCE CO. ............ 22,824
MACHINERY & ENGINEERING EQUIPMENT--0.5%
5,000 TOKYO KIKAI SEISAKUSHO ........................ 28,489
MANUFACTURING--2.4%
2,000 FUJI MACHINE MANUFACTURING CO. ............... 68,638
2,000 KOMORI CORP. ................................. 41,844
400 SHIMA SEIKI MANUFACTURING, LTD. ............... 16,903
PHARMACEUTICALS--1.1%
2,000 SANKYO CO. LTD. .............................. 60,533
PHOTOGRAPHIC EQUIPMENT--0.7%
1,000 FUJI PHOTO FILM .............................. 38,371
PRINTING & PUBLISHING--0.4%
1,000 DAI NIPPON PRINTING CO. LTD. .................. 20,839
REAL ESTATE--1.3%
2,000 DAIBIRU CORP. ................................. 22,328
3,000 HANKYU REALTY ................................. 19,847
2,000 MITSUBISHI ESTATE CO., LTD. .................. 27,951
RETAILING--0.9%
800 CREDIT SAISON CO. LTD. ........................ 20,576
700 MATSUMOTOKIYOSHI .............................. 26,628
TELECOMMUNICATIONS--2.2%
2,000 NIPPON COMSYS CORP. ........................... 28,282
30 NIPPON TELEGRAPH & TELEPHONE CORP. ............ 28,034
2,000 MATSUSHITA COMMUNICATION INDUSTRIES ......... 64,999
WHOLESALING--0.1%
1,000 MARUBENI CORP. .............................. 3,614
-----------
1,497,260
-----------
MALAYSIA--0.8%
AGRICULTURAL PRODUCTION/SERVICES--0.2%
4,000 KUMPULAN GUTHRIE BHD. ........................ 4,214
3,000 MALAKOFF BHD. ................................. $ 6,977
See notes to financial statements.
<PAGE>
page 14
International Equity Portfolio
Portfolio of Investments August 31, 1997
Shares Issuer Value
- ---------- ----------------------------------------------------- ----------
BANKING--0.1%
1,000 MALAYAN BANKING BHD. .............................. $ 6,635
CONSTRUCTION--0.1%
5,000 SUNWAY BUILDING TECHNOLOGY BHD. .................. 6,293
CONSTRUCTION MATERIALS--0.2%
7,400 SUNGEI WAY HOLDINGS BHD. ........................... 8,707
DIVERSIFIED--0.1%
2,000 UNITED ENGINEERS LTD. .............................. 8,140
UTILITIES--0.1%
1,000 TENAGA NASIONAL BHD. .............................. 2,976
---------
43,942
---------
MEXICO--2.1%
DIVERSIFIED--1.2%
8,274 ALFA, S.A. DE C.V., CLASS A ........................ 63,368
FINANCIAL SERVICES--0.5%
10,000 GRUPO FINANCIERO BANAMEX ACCIVAL, SA DE CV
(BANACCI), SER B ................................ 26,793
CONSTRUCTION--0.4%
1,000 CORPORACION GEO, S.A. DE C.V., SER. B, ADR*# ...... 24,158
---------
114,319
---------
NETHERLANDS--5.6%
BUSINESS SERVICES--2.4%
1,250 KONINKLIJKE AHREND GROEP NV ........................ 40,868
4,083 BRUNEL INTERNATIONAL NV * ........................ 84,310
COMPUTER SOFTWARE--1.3%
1,160 BAAN COMPANY, N.V. * .............................. 69,748
PRINTING & PUBLISHING--0.9%
2,222 VERENIGDE NEDERLANDSE UITGEVERSBEDRIJVAN
VERENIGD BEZIT (VNU) ............................. 46,319
RETAILING--1.0%
1,080 VENDEX INTERNATIONAL NV ........................... 54,053
---------
295,298
---------
PHILIPPINES--0.1%
CONSTRUCTION--0.0%
6,000 DMCI HOLDINGS INC. ................................. 892
DIVERSIFIED--0.0%
16,000 METRO PACIFIC CORP. .............................. 2,144
TELECOMMUNICATIONS--0.1%
120 PHILIPPINE LONG DISTANCE TELEPHONE ............... 3,020
UTILITIES--0.0%
150 MANILA ELECTRIC CO., CLASS B ..................... 505
---------
6,561
---------
PORTUGAL--1.1%
TELECOMMUNICATIONS--1.1%
1,456 PORTUGAL TELECOM SA .............................. 54,058
44 TELECEL-COMUNICACAOES PESSOAIS, SA ............... 3,205
---------
57,263
---------
Shares Issuer Value
- ---------- ----------------------------------------------------- ----------
SINGAPORE--0.5%
REAL ESTATE--0.5%
2,000 SINGAPORE LAND LTD. .............................. $ 8,865
3,000 DBS LAND, LTD. .................................... 7,701
2,000 CITY DEVELOPMENTS, LTD. ........................... 12,636
---------
29,202
---------
SPAIN--1.2%
BANKING--1.2%
2,400 BANCO SANTANDER SA ................................. 66,671
---------
SWEDEN--0.5%
STEEL--0.5%
2,600 AVESTA-SHEFFIELD ................................. 24,576
---------
SWITZERLAND--5.1%
HEALTH CARE/HEALTH CARE SERVICES--0.9%
30 ARES-SERONO GROUP, CLASS B ........................ 46,751
PHARMACEUTICALS--4.2%
180 ROCHE HOLDING AG ................................. 151,738
50 ABB AG ............................................. 73,652
---------
272,141
---------
THAILAND--0.4%
BROADCASTING--0.1%
500 BEC WORLD PUBLIC CO., LTD. (Foreign) ............... 3,196
FINANCIAL SERVICES--0.1%
3,700 INDUSTRIAL FINANCE CORP. OF THAILAND (Foreign) . 2,930
METALS/MINING--0.0%
200 BANPU COAL LTD. (Foreign) ........................ 1,842
OIL & GAS--0.1%
300 PTT EXPLORATION AND PRODUCTION PUBLIC
CO., LTD. (Foreign) ............................. 3,202
TELECOMMUNICATIONS--0.1%
800 ADVANCED INFOR SERVICE PUBLIC CO., LTD.
(Foreign) ......................................... 3,777
---------
14,947
---------
UNITED KINGDOM--16.1%
AEROSPACE--1.0%
2,412 BRITISH AEROSPACE PLC .............................. 56,476
AIRLINES--0.6%
3,386 BRITISH AIRPORT AUTHORITY PLC ..................... 30,444
BROADCASTING--0.4%
2,400 CARLTON COMMUNICATIONS PLC ........................ 19,108
BUSINESS SERVICES--0.5%
2,500 DELPHI GROUP PLC ................................. 29,025
CONSTRUCTION--0.9%
3,800 BERKELEY GROUP PLC ................................. 46,213
DIVERSIFIED--0.8%
10,057 COOKSON GROUP PLC ................................. 41,258
FINANCIAL SERVICES--1.9%
8,000 JARVIS FUNDING PLC ................................. 32,300
9,600 LEGAL & GENERAL GROUP PLC ........................ 70,438
FOOD/BEVERAGE PRODUCTS--0.9%
3,745 ALLIED DOMECQ PLC ................................. 28,328
3,250 DEVRO PLC .......................................... 20,236
See notes to financial statements.
<PAGE>
page 15
International Equity Portfolio
Portfolio of Investments August 31, 1997
Shares Issuer Value
- ----------- ---------------------------------------------------- -----------
UNITED KINGDOM (cont'd)
HOTELS/OTHER LODGING--0.5%
11,859 JARVIS HOTELS PLC ................................. $ 29,806
INSURANCE--2.0%
2,500 GENERAL ACCIDENT PLC .............................. 36,768
8,400 ROYAL & SUN ALLIANCE GROUP PLC .................. 68,103
OIL & GAS--1.6%
5,865 BRITISH-BORNEO PETRO SYNDICATE PLC ............... 44,697
6,435 SHELL TRANSPORT & TRADING PLC ..................... 43,511
REAL ESTATE--1.0%
4,100 MEPC PLC .......................................... 31,147
17,904 TBI PLC .......................................... 26,128
RETAILING--2.3%
4,052 BOOTS COMPANY, PLC .............................. 52,464
2,424 GREAT UNIVERSAL STORES PLC ........................ 24,644
7,800 SAFEWAY PLC ....................................... 47,429
SHIPPING/TRANSPORTATION--1.0%
4,500 RAILTRACK GROUP PLC .............................. 56,367
TELECOMMUNICATIONS--0.7%
7,200 VODAFONE GROUP PLC .............................. 36,542
-----------
871,432
-----------
TOTAL COMMON STOCK
(COST $5,031,992) .................................. 5,059,353
-----------
PREFERRED STOCK--0.1%
AUSTRALIA--0.1%
ENTERTAINMENT/LEISURE
3,000 SYDNEY HARBOR CASINO, LTD. * ..................... 4,080
-----------
MALAYSIA
CONSTRUCTION--0.0%
4,000 SUNWAY BUILDING TECHNOLOGY, BHD., LOAN STOCK........ 1,094
-----------
TOTAL PREFERRED STOCK
(COST $5,945) ..................................... 5,174
-----------
WARRANTS--0.1%
HONG KONG--0.0%
FINANCIAL SERVICES--0.0%
1,600 GUANGDONG INVESTMENT, $8.00, EXPIRE 07/30/99 ...... 929
-----------
MALAYSIA--0.1%
CONSTRUCTION--0.0%
1,600 SUNWAY BUILDING TECHNOLOGY, BHD., EXPIRE
07/30/01 ......................................... 1,149
DIVERSIFIED--0.1%
11,750 INDUSTRIAL OXYGEN INC., BHD, EXPIRE 4/30/00 ...... 3,737
-----------
4,886
-----------
TOTAL WARRANTS
(COST $1,065) .................................... 5,815
-----------
TOTAL LONG-TERM INVESTMENTS
(COST $5,039,002) ................................. 5,070,342
-----------
Principal
Amount (USD) Issuer Value
- -------------- ------------------------------------------------ -----------
SHORT-TERM INVESTMENTS--2.9%
UNITED STATES--2.9%
TIME DEPOSIT--2.7%
$ 145,000 SUMITOMO BANK, LTD., 5.53%, 09/02/97 ......... $ 145,000
-----------
U.S. GOVERNMENT OBLIGATIONS--0.2%
10,000 U.S. TREASURY BILL, 4.84%, DUE 09/18/97 ...... 9,973
-----------
TOTAL SHORT-TERM INVESTMENTS
(COST $154,973) .............................. 154,973
-----------
TOTAL INVESTMENTS--96.4%
(COST $5,193,975) .............................. $5,225,315
===========
See notes to financial statements.
<PAGE>
page 16
Asset Allocation Portfolio
Portfolio of Investments August 31, 1997
Shares Issuer Value
- --------- ---------------------------------------------------- ----------
LONG-TERM INVESTMENTS--95.9%
COMMON STOCK--51.7%
AGRICULTURAL PRODUCTION/SERVICES--0.7%
700 CASE CORP. ....................................... $ 46,944
---------
AIRLINES--1.2%
600 AMR CORP. * ....................................... 60,450
400 CONTINENTAL AIRLINES, INC., CLASS B* ............ 14,650
---------
75,100
---------
AUTOMOTIVE--0.3%
400 LEAR CORP.* ....................................... 18,325
---------
BANKING--4.2%
400 BANKAMERICA CORP. ................................. 26,325
600 CULLEN/FROST BANKERS, INC. ........................ 26,700
2,000 FIRST UNION CORP. ................................. 96,125
400 NATIONSBANK CORP. ................................. 23,750
1,500 WASHINGTON MUTUAL SAVINGS BANK .................. 89,813
---------
262,713
---------
BUSINESS SERVICES--0.3%
500 CERIDIAN CORP. * ................................. 17,281
---------
CHEMICALS--1.5%
500 CABOT CORP. ....................................... 13,687
900 DOW CHEMICAL CO. ................................. 79,650
---------
93,337
---------
COMPUTER SOFTWARE--2.2%
500 CISCO SYSTEMS, INC. .............................. 37,687
1,500 COMPUTER ASSOCIATES INTERNATIONAL ............... 100,313
---------
138,000
---------
COMPUTERS/COMPUTER HARDWARE--3.9%
800 EMC CORP.* ....................................... 41,050
1,000 INTERNATIONAL BUSINESS MACHINES CORP. ............ 100,875
2,200 SUN MICROSYSTEMS, INC.* ........................... 105,600
---------
247,525
---------
CONSTRUCTION MACHINERY--1.1%
1,200 CATERPILLAR TRACTOR, INC. ........................ 69,675
---------
CONSUMER PRODUCTS--2.5%
500 AVON PRODUCTS, INC. .............................. 32,031
2,000 PHILIP MORRIS COMPANIES, INC. ..................... 87,250
400 RALSTON-RALSTON PURINA GROUP ..................... 36,000
---------
155,281
---------
DIVERSIFIED--1.3%
500 HARNISCHFEGER INDUSTRIES, INC. .................. 20,063
800 TYCO INTERNATIONAL LTD. ........................... 62,750
---------
82,813
---------
ELECTRONICS/ELECTRICAL EQUIPMENT--1.6%
500 ATMEL CORP.* .................................... 17,688
500 INTEL CORP. ....................................... 46,063
500 MOTOROLA, INC. .................................... 36,688
---------
100,439
---------
Shares Issuer Value
- --------- ---------------------------------------------------- ----------
ENTERTAINMENT/LEISURE--1.8%
1,900 CARNIVAL CRUISE LINES, CLASS A .................. $ 83,244
600 TIME WARNER, INC. ................................. 30,900
---------
114,144
---------
FINANCIAL SERVICES--0.5%
600 MORGAN STANLEY, DEAN WITTER, DISCOVER AND CO. . 28,875
---------
FOOD/BEVERAGE PRODUCTS--1.3%
2,300 PEPSICO., INC. .................................... 82,800
---------
HEALTH CARE/HEALTH CARE SERVICES--2.6%
500 BECKMAN INSTRUMENTS, INC. ........................ 23,531
1,800 COLUMBIA/HCA HEALTHCARE CORP. ..................... 56,813
2,400 HEALTHSOUTH CORP.* .............................. 59,850
600 UNIVERSAL HEALTH SERVICES, INC., CLASS B * ...... 26,287
---------
166,481
---------
INSURANCE--2.7%
1,200 ALLSTATE CORP. .................................... 87,675
400 AMERICAN BANKERS INSURANCE GROUP, INC. ............ 26,400
700 EQUITABLE COMPANIES, INC. ........................ 30,450
1,900 RELIANCE GROUP HOLDINGS, INC. ..................... 23,275
---------
167,800
---------
MANUFACTURING--2.2%
1,100 INGERSOLL-RAND CO. .............................. 66,137
1,000 JOHNSON CONTROLS ................................. 47,688
700 PENTAIR, INC. .................................... 24,938
---------
138,763
---------
MEDIA/ADVERTISING--0.5%
500 OMNICOM GROUP, INC. .............................. 33,875
---------
METALS/MINING--0.3%
200 ALUMINUM CO. OF AMERICA (ALCOA) .................. 16,450
---------
OIL & GAS--6.0%
900 BRITISH PETROLEUM PLC, ADR (UNITED KINGDOM) ...... 76,162
1,200 COASTAL CORP. .................................... 69,300
1,700 HALLIBURTON COMPANY .............................. 81,175
400 MOBIL CORP. ....................................... 29,100
500 MURPHY OIL CORP. ................................. 26,844
300 TEXACO, INC. .................................... 34,575
500 TIDEWATER, INC. ................................. 26,250
700 WILLIAMS COMPANIES, INC. ........................ 32,594
---------
376,000
---------
PAPER/FOREST PRODUCTS--0.9%
400 BOISE CASCADE CORP. .............................. 15,825
500 WILLAMETTE INDUSTRIES, INC. ..................... 39,875
---------
55,700
---------
PHARMACEUTICALS--2.1%
500 BRISTOL-MYERS SQUIBB CO. ........................ 38,000
600 JOHNSON & JOHNSON ................................. 34,012
1,400 SMITHKLINE BEECHAM PLC, ADR (UNITED KINGDOM) 60,638
---------
132,650
---------
See notes to financial statements.
<PAGE>
page 17
Asset Allocation Portfolio
Portfolio of Investments August 31, 1997
Shares Issuer Value
- ----------- --------------------------------------------------- -----------
PRINTING & PUBLISHING--1.1%
1,500 NEW YORK TIMES COMPANY, CLASS A, ............... $ 70,875
-----------
REAL ESTATE INVESTMENT TRUST--0.3%
900 SECURITY CAPITAL PACIFIC TRUST .................. 19,631
-----------
RETAILING--4.4%
400 BARNES & NOBLE, INC. * ........................... 18,575
2,500 COSTCO COMPANIES, INC. ........................... 90,156
700 CVS CORP. ....................................... 39,462
900 FEDERATED DEPARTMENT STORES * .................. 37,800
2,900 KROGER CO.* .................................... 87,363
-----------
273,356
-----------
SHIPPING/TRANSPORTATION--0.3%
200 BURLINGTON NORTHERN SANTA FE ..................... 18,338
-----------
TELECOMMUNICATIONS--1.6%
1,600 BELLSOUTH CORP. ................................. 70,400
700 SPRINT CORP. .................................... 32,900
-----------
103,300
-----------
TEXTILES--0.3%
400 LIZ CLAIBORNE, INC. .............................. 17,825
-----------
UTILITIES--2.0%
700 CAROLINA POWER & LIGHT CO. ..................... 23,625
1,700 FPL GROUP INC. ................................. 79,050
700 SIERRA PACIFIC RESOURCES ........................ 21,875
-----------
124,550
-----------
TOTAL COMMON STOCK
(COST $2,697,613) ................................. 3,248,846
-----------
CONVERTIBLE PREFERRED STOCK--0.8%
FINANCIAL SERVICES--0.4%
500 SUNAMERICA INC., $3.188, 10/31/99 ............... 22,156
-----------
PAPER/FOREST PRODUCTS--0.4%
400 INTERNATIONAL PAPER CAPITAL CORP., 5.25% # ...... 22,458
-----------
TOTAL CONVERTIBLE PREFERRED STOCK
(COST $38,750) .................................... 44,614
-----------
RIGHTS--0.0%
REAL ESTATE INVESTMENT TRUST--0.0%
900 SECURITY CAPITAL PACIFIC TRUST, $21.82, EXPIRE
09/08/97, ..................................... 0
-----------
Principal
Amount (USD)
- -------------
CORPORATE NOTES & BONDS--17.0%
AEROSPACE--1.6%
$ 100,000 LOCKHEED MARTIN CORP., 7.45%, 6/15/04 ............... 103,442
-----------
BANKING--1.6%
100,000 BANCO LATINOAMERICAN, 7.20%, 5/28/02 (PANAMA) ...... 100,750
-----------
BROADCASTING--1.8%
100,000 TIME WARNER, INC. 9.15%,2/01/23 ..................... 113,295
-----------
CONSTRUCTION/TRANSPORTATION--1.7%
100,000 ZHUHAI HIGHWAY CO., LTD., 9.125%, 7/1/06 YANKEE,
SER. A, # (CHINA) ................................ 105,137
-----------
Principal
Amount (USD) Issuer Value
- -------------- ------------------------------------------------------ ----------
FINANCIAL SERVICES--5.3%
$ 100,000 CORP ANDINA DE FOMENTO, 7.375%, 7/21/00
(VENEZUELA) ..................................... $ 102,012
100,000 GENERAL ELECTRIC CAPITAL CORP., MTN, 9.18%,
12/30/08 ........................................ 120,058
100,000 TERMOEMCALI FUNDING CORP., 10.125%, 12/15/14 # ..... 108,750
----------
330,820
----------
PIPELINE/OIL--3.3%
100,000 OLEODUCTO CENTRA, SA, SER. B, 9.35%, 9/1/05 #
(COLOMBIA) ........................................ 106,180
100,000 PETROZUATA FINANCE, INC., 8.22%, 04/01/17 #
(VENEZUELA) ..................................... 104,447
----------
210,627
----------
UTILITIES--1.7%
100,000 RAS LAFFAN LIQUEFIED NATURAL GAS, 8.294%,
3/15/14 # (QATAR) ............................... 107,250
----------
TOTAL CORPORATE NOTES & BONDS
(COST $1,063,616) .................................... 1,071,321
----------
MORTGAGE BACKED SECURITIES--1.6%
100,000 FEDERAL HOME LOAN MORTGAGE CORP., SER. 1865,
CLASS G, 8.0%, 08/15/24
(COST $103,262) ................................. 103,084
----------
ASSET BACKED SECURITIES--1.6%
98,403 MID-STATE TRUST , SER. 6, CLASS A4, 7.79%, 07/01/35
(COST $98,495) ..................................... 99,879
----------
U.S. TREASURY OBLIGATIONS--10.1%
U.S. TREASURY NOTES,
345,000 7.88%, 11/15/04 .................................... 374,918
100,000 8.75%, 08/15/00 .................................... 107,062
125,000 U.S. TREASURY BOND, 8.50%, 02/15/20, .............. 150,899
----------
(COST $624,423) .................................... 632,879
----------
U.S. GOVERNMENT AGENCY OBLIGATIONS--13.1%
250,000 FEDERAL HOME LOAN BANK, 7.54%, 02/13/98 ........... 251,992
75,000 FEDERAL HOME LOAN MORTGAGE CORP., 8.00%,
04/09/07 ........................................ 75,340
FEDERAL NATIONAL MORTGAGE ASSOCIATION,
342,617 10.00%, 04/15/27, 30 YEAR, TBA ..................... 379,969
100,360 10.5%, 06/01/27, 30 YEAR, TBA ..................... 113,312
----------
(COST $813,294) .................................... 820,613
----------
TOTAL LONG-TERM INVESTMENTS
(COST $5,439,453) .................................... 6,021,236
----------
SHORT-TERM INVESTMENTS--3.3%
TIME DEPOSIT--3.3%
BANKING--3.3%
210,000 SUMITOMO BANK, 5.531%, 9/2/97
(COST $210,000) .................................. 210,000
----------
TOTAL INVESTMENTS--99.2%
(COST $5,649,453) ................................... $6,231,236
==========
See notes to financial statements.
<PAGE>
page 18
U.S. Government Income Portfolio
Portfolio of Investments August 31, 1997
Money Market Portfolio
Portfolio of Investments August 31, 1997
Principal
Amount Issuer Value
- ------------ ------------------------------------------------------- -----------
LONG-TERM INVESTMENTS--89.2%
U.S. TREASURY OBLIGATIONS--38.5%
U.S. TREASURY BONDS AND NOTES,
$ 500,000 6.13%, 09/30/00 .................................... $ 500,155
400,000 6.75%, 08/15/26 .................................... 404,188
400,000 8.50%, 02/15/20 .................................... 482,876
60,000 10.75%, 08/15/05 .................................... 76,059
-----------
(COST $1,472,541) .................................... 1,463,278
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS--27.7%
200,000 FEDERAL FARM MEDIUM TERM NOTE, 7.51%, 2/13/98 . 201,594
200,000 FEDERAL HOME LOAN BANK, 7.54%, 2/13/98 ............... 201,594
450,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION,
6.24%, 7/29/02 ....................................... 447,116
200,000 STUDENT LOAN MORTGAGE ASSOCIATION,
7.00%, 3/3/98 ....................................... 201,188
-----------
(COST $1,055,592) .................................... 1,051,492
-----------
COLLATERALIZED MORTGAGE OBLIGATION--23.0%
904,838 GOVERNMENT NATIONAL MORTGAGE ASSOCIATION,
POOL #3547, 6.50%, 3/15/24
(COST $828,755) ....................................... 875,711
-----------
TOTAL LONG-TERM INVESTMENTS
(COST $3,356,888) .................................... 3,390,481
-----------
SHORT-TERM INVESTMENTS--10.0%
REPURCHASE AGREEMENT--10.0%
382,000 HONG KONG-SHANGHAI BANKING CORP., 5.35%, DUE
9/2/97; (DATED 8/29/97, PROCEEDS $382,170.
SECURED BY U.S. TREASURY BOND; $309,000 AT
10.75% DUE 8/15/05; MARKET VALUE $390,500)
(COST $382,000) ....................................... 382,000
-----------
TOTAL INVESTMENTS--99.2%
(COST $3,738,888) .................................... $3,772,481
===========
Principal
Amount Issuer Value
- ------------ ------------------------------------------------------- -----------
U.S. TREASURY OBLIGATIONS--34.4%
U.S. TREASURY BILLS,
$ 652,000 4.960%, 09/25/97 .................................... $ 649,934
1,010,000 5.030%, 09/25/97 .................................... 1,006,754
12,000 5.310%, 09/18/97 .................................... 11,972
-----------
(COST $1,688,660) .................................... 1,668,660
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS--28.0%
250,000 FEDERAL FARM CREDIT BANK, 5.430%, 09/23/97 ......... 249,208
250,000 FEDERAL HOME LOAN BANK, DN 5.415%, 10/22/97 ......... 248,120
85,000 FEDERAL HOME LOAN MORTGAGE CORP., FRN,
5.390%, 09/30/97 .................................... 84,644
695,000 FEDERAL HOME LOAN MORTGAGE CORP., DN
5.420%, 09/11/97 .................................... 694,058
85,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION, DN
5.400%, 09/25/97 .................................... 84,707
-----------
(COST $1,360,737) .................................... 1,360,737
-----------
COMMERCIAL PAPER--37.7%
180,000 BARCLAYS US FUNDING CORP., 5.480%, 09/15/97 ......... 179,644
200,000 CHINA MERCHANTS HOLDINGS CO. LTD., SER. A,
(CAYMAN), 5.550%, 11/03/97 ........................... 198,088
155,000 COMMONWEALTH BANK OF AUSTRALIA, 5.550%,
01/09/98 ............................................. 151,917
160,000 DUPONT (EI) NEMOUR, 5.450%, 10/03/97 ............... 159,249
150,000 FORD MOTOR CREDIT CORP., 5.00%, 09/11/97 ............ 149,794
176,000 IBM CREDIT CORP., 5.520%, 09/18/97 .................. 175,568
150,000 INTERNATIONAL NEDERLANDEN US HOLDINGS,
5.500%, 11/12/97 .................................... 148,373
120,000 MADISON FUNDING CORP., 5.550%, 09/08/97 ............ 119,889
175,000 NATIONAL RURAL UTILITIES COOPERATIVE FINANCE
CORP., 5.500%, 11/06/97 .............................. 173,262
175,000 NEW CENTER ASSET TRUST, 5.500%, 10/08/97 ............ 174,038
90,000 PEPSICO INC., 5.470%, 09/17/97 ..................... 89,795
115,000 PROVINCE OF BRITISH COLUMBIA, 5.520%, 03/16/98 ...... 111,561
-----------
(COST $1,831,178) .................................... 1,831,178
-----------
TOTAL INVESTMENTS--100.1%
(COST $4,860,575)** ................................. $4,860,575
===========
INDEX
* = Non-Income producing securities.
# = Security may only be sold to institutional buyers.
** = The cost of securities is substantially the same for
federal income tax purposes.
ADR = American Depository Receipt
DN = Discount Note
FRN = Floating Rate Note:
The maturity date shown is the next interest reset date;
the rate shown is the rate in effect at August 31, 1997.
MTN = Medium Term Note
TBA = To be announced
See notes to financial statements.
<PAGE>
page 19
Statement of Assets and Liabilities
August 31, 1997
<TABLE>
<CAPTION>
Growth and Capital International
Income Growth Equity
Portfolio Portfolio Portfolio
------------- ------------- ---------------
<S> <C> <C> <C>
ASSETS:
Investment securities, at value (Note 1) $14,938,010 $12,336,652 $5,225,315
Cash 311 970 44,680
Foreign Currency (Cost $15,874) -- -- 16,061
Other assets 291 380 112
Receivables:
Open forward foreign currency contracts -- -- 13,899
Investment securities sold -- -- 111,731
Dividends and Interest 29,159 8,746 59,210
Expense reimbursement from Sub-administrator -- -- --
Portfolio shares sold 51,839 47,625 26,553
------------ ------------ -----------
TOTAL ASSETS 15,019,610 12,394,373 5,497,561
------------ ------------ -----------
LIABILITIES:
Payable for investment securities purchased -- -- 14,280
Payable for Portfolio shares redeemed 2,490 1,209 462
Payable for open forward foreign currency contracts -- -- 24,323
Accrued liabilities: (Note 2)
Custody fees 4,813 6,350 2,809
Other 10,640 13,518 35,145
------------ ------------ -----------
TOTAL LIABILITIES 17,943 21,077 77,019
------------ ------------ -----------
NET ASSETS:
Paid in capital 11,270,064 9,193,326 5,125,717
Accumulated undistributed net investment income 104,854 50,206 107,829
Accumulated net realized gain (loss) on investment transactions 1,380,489 653,477 167,994
Net unrealized appreciation/depreciation of investments and assets and
liabilities denominated in foreign currencies 2,246,260 2,476,287 19,002
------------ ------------ -----------
NET ASSETS APPLICABLE TO INVESTORS'
BENEFICIAL INTERESTS $15,001,667 $12,373,296 $5,420,542
============ ============ ===========
Shares of beneficial interest outstanding
($.001 par value; unlimited number of shares authorized) 989,448 797,035 518,659
Net asset value, redemption price per share and
maximum offering price per share $ 15.16 $ 15.52 $ 10.45
Cost of investments $12,691,750 $ 9,860,365 $5,193,975
------------ ------------ -----------
Asset U.S. Government Money
Allocation Income Market
Portfolio Portfolio Portfolio
------------ ----------------- --------------
ASSETS:
Investment securities, at value (Note 1) $6,231,236 $3,772,481 $4,860,575
Cash 856 554 746
Foreign Currency (Cost $15,874) -- -- --
Other assets 120 72 86
Receivables:
Open forward foreign currency contracts -- -- --
Investment securities sold -- -- --
Dividends and Interest 47,603 32,684 --
Expense reimbursement from Sub-administrator 4,496 -- 5,781
Portfolio shares sold 24,985 11,661 --
----------- ---------- ----------
TOTAL ASSETS 6,309,296 3,817,452 4,867,188
----------- ---------- ----------
LIABILITIES:
Payable for investment securities purchased -- -- --
Payable for Portfolio shares redeemed 1,367 120 283
Payable for open forward foreign currency contracts -- -- --
Accrued liabilities: (Note 2)
Custody fees 5,875 1,965 1,813
Other 19,911 13,976 10,777
----------- ---------- ----------
TOTAL LIABILITIES 27,153 16,061 12,873
----------- ---------- ----------
NET ASSETS:
Paid in capital 5,275,865 3,631,688 4,854,326
Accumulated undistributed net investment income 119,146 137,110 6
Accumulated net realized gain (loss) on investment transactions 305,348 (1,000) (17)
Net unrealized appreciation/depreciation of investments and assets and
liabilities denominated in foreign currencies 581,784 33,593 --
----------- ---------- ----------
NET ASSETS APPLICABLE TO INVESTORS'
BENEFICIAL INTERESTS $6,282,143 $3,801,391 $4,854,315
=========== ========== ==========
Shares of beneficial interest outstanding
($.001 par value; unlimited number of shares authorized) 543,165 404,454 4,854,312
Net asset value, redemption price per share and
maximum offering price per share $ 11.57 $ 9.40 $ 1.00
Cost of investments $5,649,453 $3,738,888 $4,860,575
----------- ---------- ----------
</TABLE>
See notes to financial statements.
<PAGE>
page 20
Statement of Operations
For the year ended August 31, 1997
<TABLE>
<CAPTION>
Growth and Capital
Income Growth
Portfolio Portfolio
------------ ------------
<S> <C> <C>
INVESTMENT INCOME (NOTE 1C):
Interest $ 53,239 $ 75,334
Dividends 188,775 78,143
Foreign taxes withheld (1,044) --
---------- -----------
TOTAL INVESTMENT INCOME 240,970 153,477
---------- -----------
EXPENSES:
Investment advisory fees (Note 2) 69,369 59,790
Administration fees (Note 2) 23,123 19,930
Accounting fees -- --
Custodian fees 35,962 30,156
Professional fees 41,638 37,431
Trustees fees and expenses 578 500
Miscellaneous expenses 25,942 21,595
---------- -----------
TOTAL EXPENSES 196,612 169,402
---------- -----------
Less fees waived by the Advisor,
Administrator & Sub-Administrator (Note 2E) 92,492 79,720
Less amounts borne by VFD (Note 2) -- --
---------- -----------
NET EXPENSES 104,120 89,682
---------- -----------
NET INVESTMENT INCOME 136,850 63,795
---------- -----------
REALIZED GAIN (LOSS) ON:
Investment transactions 1,488,185 790,892
Foreign currency transactions -- --
CHANGE IN NET UNREALIZED
APPRECIATION/DEPRECIATION ON:
Investments 1,876,210 1,575,253
Foreign currency contracts and foreign currency tranlation -- --
---------- -----------
Net realized and unrealized gain (loss) 3,364,395 2,366,145
---------- -----------
Net increase in net assets from operations $3,501,245 $2,429,940
========== ===========
<CAPTION>
International Asset U.S. Government Money
Equity Allocation Income Market
Portfolio Portfolio Portfolio Portfolio
--------------- ------------ ----------------- ----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME (NOTE 1C):
Interest $ 18,374 $ 166,500 $228,140 $179,588
Dividends 150,961 45,679 -- --
Foreign taxes withheld (21,130) (284) -- --
---------- ---------- -------- --------
TOTAL INVESTMENT INCOME 148,205 211,895 228,140 179,588
---------- ---------- -------- --------
EXPENSES:
Investment advisory fees (Note 2) 38,328 28,254 17,031 8,359
Administration fees (Note 2) 9,583 10,275 6,812 6,665
Accounting fees 65,712 -- -- --
Custodian fees 10,358 32,518 11,507 4,835
Professional fees 15,311 28,343 22,777 18,136
Trustees fees and expenses 243 257 171 167
Miscellaneous expenses 4,820 4,727 2,920 10,634
---------- ---------- -------- --------
TOTAL EXPENSES 144,355 104,374 61,218 48,796
---------- ---------- -------- --------
Less fees waived by the Advisor,
Administrator & Sub-Administrator (Note 2E) 47,911 38,528 23,843 15,024
Less amounts borne by VFD (Note 2) 42,889 22,199 10,126 15,408
---------- ---------- -------- --------
NET EXPENSES 53,555 43,647 27,249 18,364
---------- ---------- -------- --------
NET INVESTMENT INCOME 94,650 168,248 200,891 161,224
---------- ---------- -------- --------
REALIZED GAIN (LOSS) ON:
Investment transactions 215,754 399,608 (1,000) (11)
Foreign currency transactions 14,061 -- -- --
CHANGE IN NET UNREALIZED
APPRECIATION/DEPRECIATION ON:
Investments 29,943 466,666 62,226 --
Foreign currency contracts and foreign currency tranlation (6,241) -- -- --
---------- ---------- -------- --------
Net realized and unrealized gain (loss) 253,517 866,274 61,226 (11)
---------- ---------- -------- --------
Net increase in net assets from operations $ 348,167 $1,034,522 $262,117 $161,213
========== ========== ======== ========
</TABLE>
See notes to financial statements.
<PAGE>
page 21
Statement of Changes in Net Assets
For the periods indicated
<TABLE>
<CAPTION>
Growth and Income Capital Growth
Portfolio Portfolio
----------------------------- ----------------------------
Year Ended August 31,
1997 1996 1997 1996
--------------- ------------- --------------- ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income $ 136,850 $ 101,413 $ 63,795 $ 60,589
Net realized gain (loss) on investment
and foreign currency transactions 1,488,185 951,933 790,892 857,222
Change in net unrealized appreciation/
depreciation on investments and foreign
currency translations 1,876,210 (252,165) 1,575,253 60,856
------------- ---------- ------------- ----------
INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 3,501,245 801,181 2,429,940 978,667
------------- ---------- ------------- ----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (100,605) (95,201) (57,567) (49,138)
Net realized gain on
investment transactions (1,052,999) (79,334) (1,021,229) (74,399)
------------- ---------- ------------- ----------
(1,153,604) (174,535) (1,078,796) (123,537)
------------- ---------- ------------- ----------
NET INCREASE (DECREASE) FROM
CAPITAL SHARE TRANSACTIONS 4,572,685 1,208,079 3,112,197 726,248
------------- ---------- ------------- ----------
NET INCREASE (DECREASE) IN
NET ASSETS 6,920,326 1,834,725 4,463,341 1,581,378
NET ASSETS:
Beginning of period 8,081,341 6,246,616 7,909,955 6,328,577
------------- ---------- ------------- ----------
End of period $ 15,001,667 $8,081,341 $ 12,373,296 $7,909,955
============= ========== ============= ==========
<CAPTION>
International Equity Asset Allocation U.S. Government Income
Portfolio Portfolio Portfolio
---------------------------- ---------------------------- -----------------------------
1997 1996 1997 1996 1997 1996
------------ --------------- ------------ --------------- ------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income $ 94,650 $ 31,819 $ 168,248 $ 129,234 $ 200,891 $ 220,478
Net realized gain (loss) on investment
and foreign currency transactions 229,815 375,948 399,608 524,469 (1,000) 117,161
Change in net unrealized appreciation/
depreciation on investments and foreign
currency translations 23,702 (378,878) 466,666 (219,331) 62,226 (143,239)
---------- ------------- ---------- ------------- ---------- -------------
INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 348,167 28,889 1,034,522 434,372 262,117 194,400
---------- ------------- ---------- ------------- ---------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (53,064) (57,394) (118,324) (162,866) (175,708) (269,425)
Net realized gain on
investment transactions (346,955) (68,873) (611,347) (88,726) (107,377) (81,018)
---------- ------------- ---------- ------------- ---------- -------------
(400,019) (126,267) (729,671) (251,592) (283,085) (350,443)
---------- ------------- ---------- ------------- ---------- -------------
NET INCREASE (DECREASE) FROM
CAPITAL SHARE TRANSACTIONS 1,571,627 (1,483,401) 1,944,075 (1,695,297) 828,347 (2,239,862)
---------- ------------- ---------- ------------- ---------- -------------
NET INCREASE (DECREASE) IN
NET ASSETS 1,519,775 (1,580,779) 2,248,926 (1,512,517) 807,379 (2,395,905)
NET ASSETS:
Beginning of period 3,900,767 5,481,546 4,033,217 5,545,734 2,994,013 5,389,918
---------- ------------- ---------- ------------- ---------- -------------
End of period $5,420,542 $ 3,900,767 $6,282,143 $ 4,033,217 $3,801,392 $ 2,994,013
========== ============= ========== ============= ========== =============
<CAPTION>
Money Market
Portfolio
-------------------------------
1997 1996
------------- -----------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income $ 161,224 $ 181,767
Net realized gain (loss) on investment
and foreign currency transactions (11) (6)
Change in net unrealized appreciation/
depreciation on investments and foreign
currency translations -- --
---------- --------------
INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS 161,213 181,761
---------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (161,224) (181,761)
Net realized gain on
investment transactions -- (134)
---------- --------------
(161,224) (181,895)
---------- --------------
NET INCREASE (DECREASE) FROM
CAPITAL SHARE TRANSACTIONS 1,903,996 (2,471,888)
---------- --------------
NET INCREASE (DECREASE) IN
NET ASSETS 1,903,985 (2,472,022)
NET ASSETS:
Beginning of period 2,950,330 5,422,352
---------- --------------
End of period $4,854,315 $ 2,950,330
========== ==============
</TABLE>
See notes to financial statements.
<PAGE>
page 22
Selected Data and Ratios For a Share of Beneficial Interest
Outstanding Throughout Each Period Indicated
<TABLE>
<CAPTION>
Growth and Income Capital Growth
Portfolio Portfolio
------------------------------------ --------------------------------------
Year Year 03/1/95* Year Year 03/1/95*
Ended Ended through Ended Ended through
08/31/97 08/31/96 08/31/95 08/31/97 08/31/96 08/31/95
---------- ---------- ---------- ------------ ------------ ----------
<S> <C> <C> <C> <C> <C> <C>
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 0.149 0.294 0.110 0.088 0.158 0.055
Net Gains or Losses on Investments
(both realized and unrealized) 3.991 1.516 1.370 3.422 2.139 1.845
---------- ---------- ---------- ------------ ------------ ----------
TOTAL FROM INVESTMENT OPERATIONS 4.140 1.810 1.480 3.510 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 -- 1.730 0.215 --
---------- ---------- ---------- ------------ ------------ ----------
TOTAL DISTRIBUTIONS 1.720 0.550 -- 1.830 0.357 --
---------- ---------- ---------- ------------ ------------ ----------
NET ASSET VALUE, END OF PERIOD $ 15.16 $ 12.74 $ 11.48 $ 15.52 $ 13.84 $ 11.90
========== ========== ========== ============ ============ ==========
TOTAL RETURN 35.53% 16.24% 14.80% 27.27% 19.66% 19.00%
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (000 omitted) $ 15,002 $ 8,081 $ 6,247 $ 12,373 $ 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 1.18% 1.71% 2.14% 0.64% 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 0.38% 0.63% 1.24% (0.16%) (0.09)% 0.14%
Portfolio Turnover Rate .89% 129% 32% 54% 107% 28%
Average commission rate paid** $ 0.0609 $ .0599 -- $ 0.0594 $ .0604 --
<CAPTION>
International Equity
Portfolio
--------------------------------------
Year Year 03/01/95*
Ended Ended through
08/31/97 08/31/96 08/31/95
---------- ------------ -----------
<S> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE
Net Asset Value, Beginning of Period $ 10.59 $ 10.89 $ 10.00
---------- ------------ -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.1899 0.216 0.101
Net Gains or Losses on Investments
(both realized and unrealized) 0.6501 0.034 0.789
---------- ------------ -----------
TOTAL FROM INVESTMENT OPERATIONS 0.840 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 $ 10.45 $ 10.59 $ 10.89
========== ============ ===========
TOTAL RETURN 8.27% 2.42% 8.90%
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (000 omitted) $ 5,421 $ 3,901 $ 5,482
Ratios to Average Net Assets:#
Ratio of expenses 1.11% 1.10% 1.09%
Ratio of net investment income 1.96% 0.82% 1.92%
Ratio of expenses without waivers and
assumption of expenses 2.99% 4.22% 2.90%
Ratio of net investment income without
waivers and assumption of expenses 0.08% (2.30)% 0.11%
Portfolio Turnover Rate 158% 200% 75%
Average commission rate paid** $ 0.0282 $ .0631 --
</TABLE>
<TABLE>
<CAPTION>
Asset Allocation U.S. Government Income
Portfolio Portfolio
------------------------------------- ------------------------------------
Year Year 03/01/95* Year Year 03/01/95*
Ended Ended through Ended Ended through
08/31/97 08/31/96 08/31/95 08/31/97 08/31/96 08/31/95
---------- ---------- ----------- ---------- --------- -----------
<S> <C> <C> <C> <C> <C> <C>
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 0.328 0.657 0.205 0.522 1.173 0.322
Net Gains or Losses on Investments
(both realized and unrealized) 1.942 0.488 0.835 0.218 (0.858) 0.368
---------- ---------- ----------- ---------- --------- -----------
TOTAL FROM INVESTMENT OPERATIONS 2.270 1.145 1.040 0.740 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 $ 11.57 $ 11.15 $ 11.04 $ 9.40 $ 9.53 $ 10.69
========== ========== =========== ========== ========= ===========
TOTAL RETURN 22.61% 10.90% 10.40% 8.11% 2.62% 6.90%
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (000 omitted) $ 6,282 $ 4,033 $ 5,546 $ 3,801 $ 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 3.28% 3.18% 3.86% 5.91% 6.06% 6.19%
Ratio of expenses without waivers and
assumption of expenses 2.03% 2.33% 1.65% 1.50% 1.79% 1.62%
Ratio of net investment income without
waivers and assumption of expenses 2.10% 1.71% 3.06% 5.21% 5.08% 5.37%
Portfolio Turnover Rate 122% 155% 45% 40% 83% 46%
Average commission rate paid** $ 0.0594 $ .0598 -- -- -- --
<CAPTION>
Money Market
Portfolio
-------------------------------------
Year Year 03/01/95*
Ended Ended through
08/31/97 08/31/96 08/31/95
---------- ---------- -----------
<S> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE
Net Asset Value, Beginning of Period $ 1.00 $ 1.00 $ 1.00
---------- ---------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.048 0.050 0.028
Net Gains or Losses on Investments
(both realized and unrealized) -- -- --
---------- ---------- -----------
TOTAL FROM INVESTMENT OPERATIONS 0.048 0.050 0.028
---------- ---------- -----------
LESS DISTRIBUTIONS:
Dividends from net investment income 0.048 0.050 0.028
Distributions from capital gains -- -- --
---------- ---------- -----------
TOTAL DISTRIBUTIONS 0.048 0.050 0.028
---------- ---------- -----------
NET ASSET VALUE, END OF PERIOD $ 1.00 $ 1.00 $ 1.00
========== ========== ===========
TOTAL RETURN 4.93% 5.15% 2.79%
RATIOS/SUPPLEMENTAL DATA
Net Assets, End of Period (000 omitted) $ 4,854 $ 2,950 $ 5,422
Ratios to Average Net Assets:#
Ratio of expenses 0.55% 0.55% 0.55%
Ratio of net investment income 4.84% 5.10% 5.46%
Ratio of expenses without waivers and
assumption of expenses 1.46% 1.74% 1.21%
Ratio of net investment income without
waivers and assumption of expenses 3.93% 3.90% 4.80%
Portfolio Turnover Rate -- -- --
Average commission rate paid** -- -- --
</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
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 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 August 31, 1997, the IEP had no outstanding futures contracts.
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
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 advisor,
is the sub-investment advisor 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
Chase Asset Management (London) Limited (CAM London), a registered
investment advisor, is the sub-investment advisor 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 year ended August 31, 1997, the Administrator
and Advisor voluntarily waived all fees as shown in the Statement of
Operations, 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>
$-- $ -- $ 42,889 $ 22,199 $ 10,126 $ 15,408
---------- ---------- -------------- ----------- ----------- ----------
</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 year
ended August 31, 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 $ 220 $ 758
Capital Growth Portfolio 210 610
International Equity Portfolio 108 290
Asset Allocation Portfolio 113 313
U.S. Government Income Portfolio 81 187
Money Market Portfolio 80 170
</TABLE>
3. INVESTMENT TRANSACTIONS--For the year ended August 31, 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) $12,748,120 $7,239,713 $8,051,932 $ 4,511,585 $ --
Sales (excluding
U.S. Government) 9,394,889 4,607,318 6,481,014 2,443,079 --
Purchases of
U.S. Government -- -- -- 2,897,177 2,126,998
Sales of
U.S. Government -- -- -- 3,022,322 1,053,828
</TABLE>
4. FEDERAL INCOME TAX MATTERS--For Federal income tax purposes, the cost and
unrealized appreciation/(depreciation) in value of the investment
securities at August 31, 1997 are 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>
Aggregate Cost $12,698,341 $9,860,365 $5,200,253 $ 5,649,562 $ 3,738,888
----------- ---------- ---------- ----------- -----------
Gross Unrealized
Appreciation 2,335,331 2,603,593 339,707 605,120 50,298
Gross Unrealized
Depreciation (95,662) (127,306) (315,147) (23,445) (16,705)
----------- ---------- ---------- ----------- -----------
NET UNREALIZED
APPRECIATION
(DEPRECIATION) $2,239,669 $2,476,287 $ 24,560 $ 581,675 $ 33,593
=========== ========== ========== =========== ===========
</TABLE>
<PAGE>
page 26
Notes to Financial Statements
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
Year Ended August 31,
1997 1996
--------------------------- -------------------------
Amount Shares Amount Shares
------------- ----------- ------------ -----------
<S> <C> <C> <C> <C>
Shares sold $ 5,749,214 426,540 $ 4,085,514 328,234
Shares issued in reinvestment
of distributions 1,153,604 93,214 174,534 15,050
Shares redeemed (2,330,133) (164,444) (3,051,969) (253,425)
------------- ----------- ------------ -----------
Net increase (decrease) in
Trust shares outstanding $ 4,572,685 355,310 $ 1,208,079 89,859
============= =========== ============ ===========
Capital Growth Portfolio
Year Ended August 31,
1997 1996
--------------------------- -------------------------
Amount Shares Amount Shares
------------- ----------- ------------ -----------
Shares sold $ 3,889,436 271,956 $ 3,666,046 276,967
Shares issued in reinvestment
of distributions 1,078,795 78,724 123,537 10,004
Shares redeemed (1,856,034) (125,230) (3,063,335) (247,141)
------------- ----------- ------------ -----------
Net increase (decrease) in
Trust shares outstanding $ 2,112,197 225,450 $ 726,248 39,830
============= =========== ============ ===========
International Equity Portfolio
Year Ended August 31,
1997 1996
--------------------------- -------------------------
Amount Shares Amount Shares
------------- ----------- ------------ -----------
Shares sold $ 1,376,612 129,737 $ 1,419,165 130,714
Shares issued in reinvestment
of distributions 400,018 39,666 126,267 12,206
Shares redeemed (205,003) (19,191) (3,028,833) (278,033)
------------- ----------- ------------ -----------
Net increase (decrease) in
Trust shares outstanding $ 1,571,627 150,212 ($ 1,483,401) (135,113)
============= =========== ============ ===========
Asset Allocation Portfolio
Year Ended August 31,
1997 1996
--------------------------- -------------------------
Amount Shares Amount Shares
------------- ----------- ------------ -----------
Shares sold $ 1,347,903 121,979 $ 1,061,288 96,621
Shares issued in reinvestment
of distributions 729,672 71,619 251,592 23,832
Shares redeemed (133,500) (12,026) (3,008,177) (261,398)
------------- ----------- ------------ -----------
Net increase (decrease) in
Trust shares outstanding $ 1,944,075 181,572 ($ 1,695,297) (140,945)
============= =========== ============ ===========
U.S. Government Income Portfolio
Year Ended August 31,
1997 1996
--------------------------- -------------------------
Amount Shares Amount Shares
------------- ----------- ------------ -----------
Shares sold $ 696,656 75,260 $ 439,144 45.896
Shares issued in reinvestment
of distributions 283,085 31,241 350,442 35,888
Shares redeemed (151,394) (16,243) (3,029,448) (271,621)
------------- ----------- ------------ -----------
Net increase (decrease) in
Trust shares outstanding $ 828,347 90,258 ($ 2,239,862) (189,837)
============= =========== ============ ===========
Money Market Portfolio
Year Ended August 31,
1997 1996
--------------------------- -------------------------
Amount Shares Amount Shares
------------- ----------- ------------ -----------
Shares sold $ 3,081,078 3,081,076 $ 1,170,389 1,170,381
Shares issued in reinvestment
of distributions 161,224 161,224 181,836 181,836
Shares redeemed (1,338,306) (1,338,306) (3,824,113) (3,824,110)
------------- ----------- ------------ -----------
Net increase (decrease) in
Trust shares outstanding $ 1,903,996 1,903,994 ($ 2,471,888) (2,471,893)
============= =========== ============ ===========
</TABLE>
6. OPEN FORWARD FOREIGN CURRENCY CONTRACTS The following forward foreign
currency contracts were held by the Variable Annuity International Equity
Portfolio at August 31, 1997:
<TABLE>
Net
Delivery Market Unrealized
Value (Local Settlement Value Gain (Loss)
Currency) Cost (USD) Date (USD) (USD)
------------ ----------- ---------- --------- -----------
<S> <C> <C> <C> <C> <C>
Purchases
- -------------------
German Deutschemark 120,000 $ 65,129 09/12/97 $ 66,508 $ 1,379
Japanese Yen 39,387,700 348,801 09/12/97 327,072 (21,729)
Sales
- -------------------
German Deutschemark 610,000 $ 348,801 09/12/97 $338,084 $ 10,717
German Deutschemark 200,000 109,575 09/12/97 110,847 (1,272)
German Deutschemark 120,000 65,488 11/14/97 66,790 (1,302)
German Deutschemark 300,000 166,954 11/14/97 166,974 (20)
Japanese Yen 7,626,000 65,129 09/12/97 63,326 1,803
</TABLE>
7. FOREIGN CASH POSITIONS--International Equity Portfolio
<TABLE>
<S> <C> <C> <C> <C>
Net
Delivery Market Unrealized
Value (Local Value Gain (Loss)
Currency Currency) Cost (USD) (USD) (USD)
- ------------------ ----------- ---------- -------- ------------
Australian Dollars 13,457 $ 9,892 $ 9,892 $ 0
Finnish Markka 122 23 22 (1)
French Franc 37,486 6,211 6,168 (43)
Hong Kong Dollar 3,639 470 470 0
Italian Lira 7,425,871 4,125 4,206 81
Japanese Yen (802,972) (6,819) (6,640) 179
Philippines Peso (71,669) (2,410) (2,342) 68
Thai Baht 146,121 4,382 4,285 (97)
---------- -------- ------------
Total $ 15,874 $ 16,061 $ 187
========== ======== ============
</TABLE>
<PAGE>
page 27
Notes to Financial Statements
8. CONCENTRATION OF SHAREHOLDERS
At August 31, 1997, all shares outstanding for each Portfolio are owned
either directly or indirectly by a single insurance company.
9. CONCENTRATION OF CREDIT RISK--
As of August 31, 1997 MMP invested 26.2% of its net assets in financial
institutions, of which 20.0% was invested in other financial service
providers and 6.2% in Banking. General economic conditions, as well as
exposure to credit losses arising from possible financial difficulties of
borrowers, play an important role in the operation of the financial
services industry.
<PAGE>
page 28
Report of Independent Accountants
To the Trustees and Shareholders of
Mutual Fund Variable Annuity Trust
In our opinion, the accompanying statement of assets and liabilities, including
the portfolios of investments, and the related statements of operations and of
changes in net assets and the selected data and ratios for a share of
beneficial interest outstanding present fairly, in all material respects, the
financial position of Growth and Income Portfolio, Capital Growth Portfolio,
International Equity Portfolio, Asset Allocation Portfolio, U.S. Government
Income Portfolio, formerly U.S. Treasury Income Portfolio, and Money Market
Portfolio (separate portfolios constituting Mutual Fund Variable Annuity Trust,
hereafter referred to as the "Trust") at August 31, 1997, the results of each
of their operations for the year then ended, the changes in each of their net
assets for each of the two years in the period then ended and the selected data
and ratios for a share of beneficial interest outstanding for each of the
periods presented, in conformity with generally accepted accounting principles.
These financial statements and selected data and ratios for a share of
beneficial interest outstanding (hereinafter referred to as "financial
statements") are the responsibility of the Trust's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with generally accepted auditing standards which require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement
presentation. We believe that our audits, which included confirmation of
securities at August 31, 1997 by correspondence with the custodian and the
application of alternative auditing procedures where securities purchased had
not been received, provide a reasonable basis for the opinion expressed above.
PRICE WATERHOUSE LLP
1177 Avenue of the Americas
New York, New York 10036
October 14, 1997
<PAGE>
(C)The Chase Manhattan Bank, 1997 Vista Investment Services
A-7036-CRT F-7036(CMB)
VCA-2 1097
