<PAGE>
[LOGO]
T O U C H S T O N E
-------------------------------------------------------
THE TOUCHSTONE FAMILY OF FUNDS
-------------------------------------------------------
SELECT ADVISORS PORTFOLIOS
( EMERGING GROWTH PORTFOLIO
( INTERNATIONAL EQUITY PORTFOLIO
( GROWTH & INCOME PORTFOLIO
( BALANCED PORTFOLIO
( INCOME OPPORTUNITY PORTFOLIO
( BOND PORTFOLIO
( MUNICIPAL BOND PORTFOLIO
- --------------------------------------------------------------------------------
SEMIANNUAL REPORT
JUNE 30, 1996
<PAGE>
EMERGING GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- --------- ----------
COMMON STOCKS (82.8%)
<C> <S> <C>
AIRLINES (2.0%)
2,300 America West Airlines Class B........ $ 50,600
900 Continental Airlines, Inc. Class B... 55,575
----------
106,175
----------
BANKING & FINANCE (1.6%)
1,850 First Security Corp.................. 44,400
2,400 Glendale Federal Bank, FSB........... 43,500
----------
87,900
----------
BROADCAST & MEDIA (3.7%)
1,200 Central Newspapers Class A........... 45,000
1,700 Lee Enterprises, Inc................. 40,163
2,600 Sinclair Broadcast Group, Inc.*...... 113,100
----------
198,263
----------
CHEMICALS (0.7%)
1,700 M. A. Hanna Co....................... 35,487
----------
COMPUTER EQUIPMENT & DATA PROCESSING
(14.2%)
1,100 3Com Corp............................ 50,325
3,500 Alpha Industries, Inc.*.............. 31,062
1,900 Axent Technologies, Inc.............. 31,350
3,000 Computervision Corp.*................ 30,000
2,100 EG&G................................. 44,888
1,110 First Data Corp...................... 88,384
1,600 Fiserv, Inc.......................... 48,000
2,500 Gerber Scientific, Inc............... 40,313
1,600 IDX Systems Corp..................... 62,400
2,700 Intergraph Corp.*.................... 32,738
3,500 Lumisys, Inc......................... 56,875
3,000 Scitex Corp.*........................ 51,750
700 Sterling Software, Inc.*............. 53,900
2,300 Trident International, Inc........... 50,025
900 Wallace Computer Services, Inc....... 53,775
800 Xylan Corp........................... 37,200
----------
762,985
----------
CONSUMER & OFFICE PRODUCTS (4.6%)
1,100 Alberto Culver Co. Class A........... 44,000
2,000 Armor All Products Corp.............. 29,750
1,400 Corporate Express, Inc............... 56,000
2,000 First Brands, Inc.................... 54,000
2,300 Resound Corp......................... 29,325
1,200 Stanhome, Inc........................ 31,800
----------
244,875
----------
ELECTRICAL EQUIPMENT (3.2%)
1,700 Elsag Bailey......................... 45,475
1,000 LSI Logic............................ 26,000
1,100 National Service Industries.......... 43,038
1,400 Verifone, Inc........................ 59,150
----------
173,663
----------
FOODS & BEVERAGES (2.2%)
1,300 Dean Foods Co........................ 32,175
2,700 Quality Dining, Inc.*................ 88,425
----------
120,600
----------
HEALTHCARE (6.6%)
1,800 Apria Healthcare Group*.............. 56,475
900 HCIA, Inc.*.......................... 56,700
600 Osteotech, Inc....................... 4,350
2,000 Quorum Health Group, Inc.*........... 52,750
3,000 Summit Care Corp.*................... 66,000
6,000 Transcend Services, Inc.............. $ 63,750
1,800 Vertex Pharmaceuticals, Inc.*........ 54,675
----------
354,700
----------
HEAVY INDUSTRY (7.3%)
1,700 Albany International Corp............ 38,462
800 Bandag, Inc.......................... 37,500
2,300 BW/IP, Inc........................... 43,700
3,600 Calgon Carbon Corp................... 48,600
2,400 Calmat, Inc.......................... 43,500
700 Harsco Corp.......................... 47,075
1,900 Martin Marietta Materials, Inc.*..... 46,075
1,800 Southdown, Inc.*..................... 42,300
1,300 Trinity Industries, Inc.............. 44,200
----------
391,412
----------
INSURANCE (3.0%)
1,000 Arthur J. Gallagher & Co............. 32,000
900 Hartford Steam Boiler Insurance...... 44,213
2,500 Western National Corp................ 45,938
3,400 Willis Corroon Group ADR............. 40,375
----------
162,526
----------
MOTOR VEHICLES & EQUIPMENT (1.6%)
1,000 Danaher Corp......................... 43,500
1,800 Standard Products Co................. 41,850
----------
85,350
----------
OIL SERVICE (4.0%)
1,700 BJ Services Co....................... 59,713
800 Halliburton, Inc..................... 44,400
3,300 Nabors Industries, Inc.*............. 53,625
1,900 Weatherford Enterra, Inc............. 57,000
----------
214,738
----------
PETROLEUM & NATURAL GAS (3.5%)
2,500 Cabot Oil & Gas Corp. Class A........ 43,437
1,300 Equitable Resources, Inc............. 36,725
4,300 Natural Gas Clearinghouse............ 64,500
3,000 Quaker State Corp.................... 45,000
----------
189,662
----------
RETAIL (8.1%)
5,800 Charming Shoppes, Inc................ 40,962
2,500 DiMon, Inc........................... 46,250
3,000 Fingerhut Companies, Inc............. 46,875
1,400 Fred Meyer, Inc...................... 41,125
1,400 LA-Z-Boy Chair Co.................... 42,175
1,600 Herman Miller, Inc................... 49,000
3,700 Stride Rite Corp..................... 30,525
1,500 Sunglass Hut, Inc.................... 36,562
1,400 Waban, Inc.*......................... 33,425
4,000 Zale Corp.*.......................... 67,500
----------
434,399
----------
SERVICES (4.9%)
1,700 CRA Managed Care, Inc................ 76,075
1,300 Healthcare Compare Corp.*............ 63,375
1,800 Republic Industries, Inc............. 52,425
1,200 Service Corp. International*......... 69,000
----------
260,875
----------
TELECOMMUNICATIONS (9.6%)
500 Ascend Communications, Inc........... 28,125
7,400 Compression Labs..................... 42,550
</TABLE>
The accompanying notes are an integral part of the financial statements.
13
<PAGE>
EMERGING GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- --------- ----------
COMMON STOCKS--CONTINUED
<C> <S> <C>
TELECOMMUNICATIONS--CONTINUED
3,400 Metricom, Inc........................ $ 53,550
600 Netscape Communications Corp......... 37,350
1,700 Octel Communication Corp.*........... 33,575
900 Premisys Communications, Inc......... 54,900
1,700 Tyco Lab............................. 69,275
2,700 USCS International, Inc.............. 51,975
2,400 Videoserver, Inc..................... 93,600
1,800 Winstar Communications, Inc.......... 44,887
----------
509,787
----------
TRANSPORTATION (2.0%)
1,600 Alexander & Baldwin, Inc.*........... 38,600
1,900 J. B. Hunt Transportation Services,
Inc................................ 39,662
1,600 Overseas Shipholding Group, Inc...... 29,000
----------
107,262
----------
TOTAL COMMON STOCKS (COST $3,823,934)........... 4,440,659
----------
TOTAL INVESTMENTS AT VALUE (82.8%)
(COST $3,823,934)(a)............................ $4,440,659
CASH AND OTHER ASSETS
NET OF LIABILITIES (17.2%)...................... 919,919
----------
NET ASSETS (100.0%)............................. $5,360,578
----------
----------
</TABLE>
- ------------------------------
* Non-income producing security.
(a) The aggregate cost for federal income tax purposes is
$3,823,934, the aggregate gross unrealized appreciation
is $762,650, and the aggregate gross unrealized
depreciation is $145,925, resulting in net unrealized
appreciation of $616,725.
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
COMMON STOCKS (93.3%)
<C> <S> <C>
ARGENTINA (0.0%)
1 Compania Naviera Perez Companc S.A.
(Petroleum & Natural Gas)........ $ 7
----------
AUSTRALIA (1.8%)
2,029 Broken Hill Proprietary (Mining)... 28,012
1,720 CRA Ltd. (Materials)............... 26,442
600 News Corp Ltd. ADR (Publishing).... 14,100
500 News Corp Pref Shares ADR
(Publishing)..................... 10,063
4,000 Western Mining Corp., Ltd.
(Materials)...................... 28,609
----------
107,226
----------
BRAZIL (4.3%)
300 Centrais Electricas Brasilieras ADR
(Electric Utilities)............. 4,362
1,900 Companhia Siderugica Nacional ADR
(Steel).......................... 49,400
2,050 Companhia Vale do Rio Doce S.A.
(Mining)......................... 41,150
2,200 Refrigeracao Parana S.A. ADR
(Consumer Goods)................. 27,389
900 Telecomunicacoes Basileiras ADR
(Telecommunications)............. 62,535
6,500 Usinas Siderugicas de Minas Gerais
S.A. ADR 144A (Steel)............ 70,563
----------
255,399
----------
CANADA (0.5%)
700 Magna International Inc. Class A
(Plastics & Metals).............. 32,200
----------
DENMARK (0.9%)
1,300 Tele Danmark A/S ADR
(Telecommunications)............. 32,988
460 Unidanmark A/S (Banking)........... 21,354
----------
54,342
----------
FINLAND (1.4%)
1,561 Kymmene (Forest Products &
Paper)........................... $ 32,513
1,430 Nokia Corp. ADR
(Telecommunications)............. 52,848
----------
85,361
----------
FRANCE (8.5%)
200 Accor (Services)................... 28,010
100 Air Liquide (Chemicals)............ 17,681
464 AXA (Insurance).................... 25,416
1,000 Bertrand Faure (Motor Vehicles &
Equipment)....................... 33,067
300 Bic (Consumer Products)............ 42,657
149 Carrefour Super Marche (Grocery
Stores).......................... 83,306
260 Christian Dior S.A. (Consumer
Products)........................ 33,884
300 Companie Generale des Eaux
(Utilities)...................... 33,554
647 Credit Local de France (Financial
Services)........................ 52,849
220 Groupe Danone (Consumer Products).. 33,336
540 GTM Entrerpose S.A.
(Engineering).................... 35,082
75 Legrand (Electronics).............. 13,422
320 Michelin Class B (Rubber & Plastic
Products)........................ 15,661
430 Technip S.A. (Construction)........ 39,646
440 Valeo S.A. (Motor Vehicles &
Equipment)....................... 23,578
----------
511,149
----------
GERMANY (4.2%)
60 CommerzBank AG (Banking)........... 12,428
130 Degussa AG (Plastics & Metals)..... 44,171
450 Deutsche Bank AG (Banking)......... 21,306
1,280 Hoechst AG (Chemicals)............. 43,433
90 MAN AG (Engineering)............... 22,419
400 RWE AG (Utilities)................. 15,598
26 Sandoz AG (Pharmaceuticals)........ 29,743
</TABLE>
The accompanying notes are an integral part of the financial statements.
14
<PAGE>
INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
COMMON STOCKS--CONTINUED
<C> <S> <C>
GERMANY--CONTINUED
195 SAP AG (Data Processing)........... $ 28,916
89 Volkswagen AG (Motor Vehicles &
Equipment)....................... 33,096
----------
251,110
----------
GREAT BRITAIN (10.8%)
3,640 British Petroleum Co. PLC
(Petroleum & Natural Gas)........ 31,913
800 British Sky Broadcasting PLC
(Publishing)..................... 32,500
10,000 Burton Group PLC (Retail).......... 24,073
2,360 Dixons Group PLC (Retail).......... 19,316
2,600 General Cable PLC ADR*
(Telecommunications)............. 39,975
7,000 General Cable PLC*
(Telecommunications)............. 21,200
1,200 Glaxo Wellcome PLC ADR*
(Pharmaceuticals)................ 32,100
1,333 International Cabletel, Inc.*
(Telecommunications)............. 39,324
2,900 Land Securities PLC (Financial
Services)........................ 28,060
3,600 Rank Organisation PLC
(Entertainment).................. 27,816
1,400 Reuters Holdings PLC ADR
(Publishing)..................... 101,500
16,600 Rolls Royce PLC (Motor Vehicles and
Equipment)....................... 57,750
4,000 Scottish Newcastle Breweries
(Beverages)...................... 40,909
7,624 Standard Chartered Bank PLC
(Banking)........................ 75,900
21,000 WPP Group PLC (Publishing)......... 70,775
----------
643,111
----------
HONG KONG (3.1%)
5,000 Cheung Kong Holdings, Ltd. (Real
Estate).......................... 36,011
9,000 Citic Pacific, Ltd. (Real
Estate).......................... 36,391
3,106 HSBC Holdings PLC (Banking)........ 46,947
6,000 New World Development Co. (Real
Estate).......................... 27,827
4,000 Sun Hung Kai Properties, Ltd. (Real
Estate).......................... 40,435
----------
187,611
----------
INDIA (1.5%)
8,000 Morgan Stanley India Investment
Fund, Inc. (Investment Co.)...... 90,000
----------
INDONESIA (1.0%)
5,000 PT Astra International (Motor
Vehicles & Equipment)............ 7,250
27,500 PT Telecomunikasion
(Telecommunications)............. 41,649
300 PT Telecomunikasion ADR
(Telecommunications)............. 8,925
----------
57,824
----------
ISRAEL (0.8%)
2,300 Geotek Communications, Inc.*
(Telecommunications)............. 31,481
500 Teva Pharmaceutical Industries,
Ltd. ADR (Pharmaceuticals)....... 18,938
----------
50,419
----------
ITALY (3.4%)
3,500 Edison SpA (Electric Utilities).... $ 21,122
9,000 ENI SpA* (Petroleum & Natural
Gas)............................. 44,925
9,000 Istituto Mobiliare Italiano*
(Banking)........................ 75,675
15,000 Telecom Italia Mobile SpA
(Telecommunications)............. 33,628
12,000 Telicom Italia SpA
(Telecommunications)............. 25,829
----------
201,179
----------
JAPAN (23.7%)
2,000 Aida Engineering, Ltd.
(Engineering).................... 16,779
1,000 Aoyama Trading Co. (Consumer
Goods)........................... 26,165
1,600 Bank of Tokyo, Ltd. (Banking)...... 37,180
30 Chubu Electric Power Company, Inc.
(Electric Utilities)............. 681
1,000 Chugai Pharmaceutical Co., Ltd.
(Pharmaceuticals)................ 9,654
1,000 Chugoku Bank, Ltd (Banking)........ 18,755
2,000 Dai Nippon Printing Company
(Publishing)..................... 38,791
2,000 Dai-Ichi Kangyo Bank, Ltd.
(Banking)........................ 37,327
3,000 Daiichi Pharmaceutical, Ltd.
(Pharmaceuticals)................ 46,384
1,000 Daito Trust Construction
(Construction)................... 15,004
1,000 Daiwa House Industry Co., Ltd.*
(Construction)................... 15,553
2,000 Daiwa Securities Company, Ltd.
(Financial Services)............. 25,799
1,000 Fuji Photo Film Company, Ltd.
(Photographic Equipment &
Supplies)........................ 31,655
2,000 Fujitsu, Ltd. (Business
Equipment)....................... 18,297
2,000 Higo Bank (Banking)................ 16,010
5,000 Hitachi, Ltd. (Electronics)........ 46,658
3,000 Hokkaido Bank (Banking)............ 9,936
1,000 House Foods Industry (Food &
Beverages)....................... 19,029
1,000 Industrial Bank of Japan, Ltd.
(Banking)........................ 24,884
1,000 Kikkoman Corp. (Food & Beverages).. 8,188
1,000 Kinden Corp. (Engineering)......... 15,736
1,000 Kyudenko Co., Ltd. (Engineering)... 13,449
1,000 Kyushu Electric Power (Electric
Utilities)....................... 22,597
2,000 Maruichi Steel Tube, Ltd.
(Steel).......................... 36,046
3,000 Matsushita Electric Industrial Co.,
Ltd. (Capital Equipment)......... 32,661
4,000 Mitsubishi Electric Industrial Co.,
Ltd. (Capital Equipment)......... 27,958
2,000 Mitsubishi Estate Company, Ltd.
(Real Estate).................... 27,629
2,000 Mitsubishi Steel Manufacturing Co.
(Steel).......................... 11,747
2,000 Mitsubishi Trust and Banking Corp.
(Banking)........................ 33,850
1,000 Mitsui Petrochemical Industries
(Chemicals)...................... 8,051
1,000 Murata Mfg Co (Consumer Goods)..... 38,059
2,000 NEC Corp. (Electronics)............ 21,774
2,000 Nichicon Corp. (Electronics)....... 29,093
2,000 Nippon Meat Packers (Food &
Beverages)....................... 28,544
</TABLE>
The accompanying notes are an integral part of the financial statements.
15
<PAGE>
INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
COMMON STOCKS--CONTINUED
<C> <S> <C>
JAPAN--CONTINUED
2,000 Nippon Oil Co. (Petroleum & Natural
Gas)............................. $ 13,595
3,000 Nisshin Steel Co. Ltd (Steel)...... 11,665
1,000 Nitto Denko Corp (Capital
Equipment)....................... 17,657
2,000 Ricoh Company Ltd. (Business
Equipment)....................... 21,393
500 Rinnai Corp. (Consumer Goods)...... 11,893
5,000 Sakura Bank Ltd. (Banking)......... 55,807
2,000 Sanwa Bank (Banking)............... 37,144
2,000 Seino Transportation Co., Ltd.
(Transportation)................. 31,655
3,000 Sekisui House Ltd.(Construction)... 34,308
2,000 Sharp Corp.(Electronics)........... 35,131
2,000 Shionogi & Co., Ltd.
(Pharmaceuticals)................ 17,236
1,000 Sumitomo Bank, Ltd.(Banking)....... 19,395
3,000 Suzuki Motor Corp. (Motor Vehicles
& Equipment)..................... 39,522
1,000 SXL Corp. (Construction)........... 9,881
3,000 Taiyo Yuden Co. Ltd. (Capital
Equipment)....................... 37,876
2,030 Tohoku Electric Power Company
(Electric Utilities)............. 45,501
2,000 Tokio Marine and Fire Insurance
(Insurance)...................... 26,714
3,000 Toppan Printing Co. (Printing)..... 43,914
2,000 Toshiba Corp. (Electronics)........ 14,272
1,000 Uny Company, Ltd. (Retail)......... 19,853
1,000 Yakult Honsha (Beverages).......... 14,181
1,000 Yamaguchi Bank (Banking)........... 17,017
1,000 Yamanouchi Pharmaceutical Co., Ltd.
(Pharmaceuticals)................ 21,774
1,000 Yamato Transport Co., Ltd.
(Transportation)................. 11,802
----------
1,419,109
----------
KOREA (1.4%)
2,900 Korea Fund, Inc. (Investment
Co.)............................. 82,388
----------
MALAYSIA (2.4%)
12,000 Diversified Resources Bhd. (Motor
Vehicles & Equipment)............ 41,371
4,000 Malayan Banking Bhd. (Banking)..... 38,485
15,000 Petronas Gas Bhd. (Petroleum &
Natural Gas)..................... 34,315
6,000 YTL Corp. Bhd. (Construction)...... 31,269
----------
145,440
----------
MEXICO (2.0%)
15,000 Cemex S.A. Class B
(Construction)................... 59,690
2,000 Grupo Modelo S.A. Series C
(Beverages)...................... 9,440
1,000 Kimberly Clark Mexico (Consumer
Products)........................ 18,194
5,000 Sanluis Corp. S.A. (Motor Vehicles
& Equipment)..................... 30,719
----------
118,043
----------
NETHERLANDS (3.1%)
800 Koninklijke PTT Nederland NV*
(Telecommunications)............. 30,302
2,200 Unilever NV (Consumer Goods)....... 43,735
1,000 Wolters Kluwer NV (Publishing)..... 113,691
----------
187,728
----------
PHILIPPINES (1.1%)
19,000 Ayala Corp Class B (Real Estate)... $ 35,897
500 Philippine Long Distance Telephone
(Telecommunications)............. 29,063
----------
64,960
----------
PORTUGAL (0.3%)
800 Portugal Telecom S.A.
(Telecommunications)............. 20,923
----------
SINGAPORE (2.6%)
3,000 Oversea Chinese Banking Corp.,
Ltd.* (Banking).................. 35,082
2,400 Singapore Press Holdings, Ltd.
(Publishing)..................... 47,116
8,000 Straits Steamship Land
(Transportation)................. 26,761
4,800 United Overseas Bank, Ltd.
(Banking)........................ 45,924
----------
154,883
----------
SOUTH AFRICA (2.3%)
4,000 Amalgamated Banks of South Africa
(Banking)........................ 22,156
680 Anglo America Industrial Corp.
(Mining)......................... 23,355
7,000 General Minning Union Corp.*
(Mining)......................... 25,848
703 South African Breweries, Ltd. ADR
(Food & Beverages)............... 20,617
1,600 South African Breweries, Ltd. (Food
& Beverages)..................... 46,895
----------
138,871
----------
SPAIN (1.6%)
143 Banco Popular (Banking)............ 25,516
300 Bankinter S.A. (Banking)........... 33,585
1,110 Repsol S.A. ADR (Petroleum &
Natural Gas)..................... 38,491
----------
97,592
----------
SWEDEN (4.0%)
1,500 Astra AB Fria (Healthcare)......... 66,362
1,000 Autoliv AB (Motor Vehicles &
Equipment)....................... 30,500
2,000 Ericsson Telelephone Co. ADR Class
B (Telecommunications)........... 43,000
490 Hennes & Mauritz Fria (Textiles)... 45,503
1,100 Mo och Domsjo AB (Paper & Forest
Products)........................ 28,236
2,000 Stora Kopparbergs Bergslags AB
Class A (Paper & Forest
Products)........................ 26,424
----------
240,025
----------
SWITZERLAND (4.4%)
40 Asea Brown Boveri AG
(Electronics).................... 49,500
32 Ciba Geigy AG (Chemicals).......... 39,012
50 Holderbank Financial AG Class B
(Banking)........................ 39,971
6 Roche Holding AG
(Pharmaceuticals)................ 45,783
60 Swiss Reinsurance Co (Insurance)... 61,635
28 Union Bank of Switzerland
(Banking)........................ 27,420
----------
263,321
----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
16
<PAGE>
INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
COMMON STOCKS--CONTINUED
<C> <S> <C>
THAILAND (2.2%)
1,500 Advanced Information Systems*
(Telecommunications)............. $ 22,218
4,600 Krung Thai Bank Ltd. (Banking)..... 21,020
8,000 Thai Farmers Bank Ltd. (Banking)... 87,611
----------
130,849
----------
TOTAL COMMON STOCKS (COST $5,104,456)........... 5,591,070
----------
<CAPTION>
PRINCIPAL
- -----------
<C> <S> <C>
BONDS (0.4%)
HK$ 50 HKR International Ltd., 6.0%,
6/26/00 (Tourism)................ 6
$ 20,000 Italy INA Convertible, 5%, 6/28/01
(Real Estate).................... 20,457
----------
TOTAL BONDS (COST $20,005)...................... 20,463
----------
TOTAL INVESTMENTS AT VALUE (93.7%)
(COST $5,124,461)(a)............................ $5,611,533
CASH AND OTHER ASSETS
NET OF LIABILITIES (6.3%)....................... 379,915
----------
NET ASSETS (100.0%)............................. $5,991,448
----------
----------
</TABLE>
- ------------------------------
* Non-income producing security.
(a) The aggregate cost for federal income tax purposes is
$5,124,461, the aggregate gross unrealized appreciation
is $649,143, and the aggregate gross unrealized
depreciation is $162,071, resulting in net unrealized
appreciation of $487,072.
ADR: American Depositary Receipt
- --------------------------------------------------------------------------------
GROWTH & INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- --------- -----------
COMMON STOCKS (95.2%)
<C> <S> <C>
BANKING & FINANCE (21.2%)
6,300 Bank of New York.................... $ 322,875
20,000 Bank of Rhode Island................ 200,000
8,100 Federal National Mortgage
Association....................... 271,350
7,500 First Chicago NBD Corp.............. 293,437
8,500 First Colorado Bancorp.............. 112,625
2,100 Franklin Resources, Inc............. 128,100
7,500 Glendale Federal Bank FSB........... 135,937
8,100 Great Western Financial............. 193,388
8,000 HomeCorp, Inc.*..................... 143,375
4,000 Household International, Inc........ 304,000
6,000 Imperial Bancorp*................... 144,000
20,000 Mercury Financial Co................ 255,000
4,500 National City Corp.................. 158,062
8,500 Northfork Bancorp................... 222,063
5,000 PNC Bank Corp....................... 148,750
3,000 Summit Bancorp...................... 105,375
10,500 Texas Regional Bancshares Class A... 262,500
3,200 UnionBanCal Corp.................... 169,200
5,000 ValliCorp Holdings, Inc............. 85,625
5,650 Webster City Federal Savings........ 70,625
10,000 WFS Financial, Inc.*................ 225,000
-----------
3,951,287
-----------
CHEMICALS (1.6%)
6,000 Englehard Corp...................... 138,000
3,000 Hercules, Inc....................... 165,750
-----------
303,750
-----------
COMPUTER EQUIPMENT & DATA PROCESSING
(13.1%)
7,500 AMP Inc............................. 300,937
8,832 Automatic Data Processing, Inc...... 341,136
3,000 Computer Sciences Corp.*............ 224,250
10,000 Durion, Inc......................... 240,000
6,000 Electronic Data Systems Corp........ 322,500
2,800 First Data Corp..................... 222,950
3,000 Motorola, Inc....................... 188,625
10,000 National Semiconductor Corp.*....... 155,000
4,000 Thomas & Betts Corp................. $ 150,000
20,000 Ultradata Corp.*.................... 155,000
10,000 VLSI Technology, Inc.*.............. 138,750
-----------
2,439,148
-----------
CONSUMER & OFFICE PRODUCTS (5.1%)
3,800 Alco Standard Corp.................. 171,950
4,800 General Electric Co................. 415,200
4,000 Proctor & Gamble Co................. 362,500
-----------
949,650
-----------
FOODS & BEVERAGES (4.6%)
2,800 Anheuser Busch...................... 210,000
4,000 CPC International, Inc.............. 288,000
5,000 H. J. Heinz Co...................... 151,875
6,100 Nabisco Holdings Corp. Class A...... 215,788
-----------
865,663
-----------
HEALTHCARE (8.9%)
10,000 Caremark International, Inc......... 252,500
6,500 Columbia/HCA Healthcare Corp........ 346,937
9,000 Coventry Corporation*............... 141,750
20,000 Metra Biosystems, Inc.*............. 110,000
13,000 Physician Corp. of America*......... 172,250
6,500 Physician Health Services, Inc.*.... 147,875
10,000 St. Jude Medical, Inc............... 335,000
10,000 United American Healthcare Corp.*... 105,000
5,000 Wellcare Management Group, Inc.*.... 46,875
-----------
1,658,187
-----------
HEAVY INDUSTRY (3.9%)
10,000 Goulds Pumps, Inc................... 256,250
5,300 Tenneco, Inc........................ 270,962
4,500 Trinity Industries.................. 153,000
15,000 Weirton Steel*...................... 45,000
-----------
725,212
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
17
<PAGE>
GROWTH & INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- --------- -----------
<C> <S> <C>
INSURANCE (3.7%)
4,400 Aetna Life & Casualty................ $ 314,600
2,550 American International Group......... 251,494
2,500 St. Paul Cos......................... 133,750
----------
699,844
----------
LEISURE & ENTERTAINMENT (2.7%)
4,410 Gaylord Entertainment................ 124,582
4,500 Readers Digest Association, Inc...... 191,250
5,000 Viacom, Inc. Class B*................ 194,375
----------
510,207
----------
OIL SERVICE (1.8%)
7,300 USX-Marathon Group................... 146,913
10,000 Union Texas Petroleum Holdings....... 195,000
----------
341,913
----------
PHARMACEUTICALS (8.5%)
7,500 Abott Laboratories................... 326,250
3,000 Amgen, Inc.*......................... 162,000
4,000 Merck & Co., Inc..................... 258,500
8,000 Pharmacia & Upjohn, Inc.*............ 355,000
3,500 Schering-Plough Corp................. 219,625
5,000 SmithKline Beecham PLC ADR........... 271,875
----------
1,593,250
----------
SERVICES (3.6%)
3,000 Dun & Bradstreet Corp................ 187,500
15,000 Katz Media Group*.................... 215,625
6,700 Manpower, Inc........................ 262,975
----------
666,100
----------
TELECOMMUNICATIONS (12.7%)
10,000 360 Communications Co.*.............. 240,000
3,000 AT&T Corp............................ 186,000
22,000 American Paging, Inc.*............... 163,625
10,000 Atlantic Tele-Network*............... 240,000
3,800 Cincinnati Bell, Inc................. 198,075
9,421 Comcast Corp. Class A................ 174,289
3,000 SBC Communications, Inc.............. 147,750
20,000 Tele-Communications Inc. Class A*.... $ 362,500
6,000 Telephone & Data System, Inc......... 270,000
10,000 Western Wireless Corp. Class A*...... 213,750
3,000 Worldcom, Inc.*...................... 166,931
----------
2,362,920
----------
TRANSPORTATION (1.1%)
7,500 Illinois Central Corp................ 212,813
----------
UTILITIES (2.7%)
8,100 CINergy Corp......................... 259,200
15,400 Southwest Gas Co..................... 246,400
----------
505,600
----------
TOTAL COMMON STOCKS (COST $15,311,625).......... 17,785,544
----------
PREFERRED STOCK (0.9%)
4,400 Allstate Corp., 6.76% Convertible
(Cost $149,600).................... 173,800
PRINCIPAL
- ---------
CONVERTIBLE BONDS (1.5%)
$325,000 Softkey 144A, 5.5% 11/1/00 (Cost
$296,317).......................... 258,375
----------
TOTAL INVESTMENTS AT VALUE (97.6%)
(COST $15,757,542)(a)........................... 18,217.719
CASH AND OTHER ASSETS
NET OF LIABILITIES (2.4%)....................... 457,088
----------
NET ASSETS (100.0%)............................. $18,674,807
----------
----------
</TABLE>
- ------------------------------
* Non-income producing security.
(a) The aggregate cost for federal income tax purposes is
$15,757,542, the aggregate gross unrealized appreciation
is $3,217,342, and the aggregate gross unrealized
depreciation is $757,165, resulting in net unrealized
appreciation of $2,460,177.
ADR: American Depositary Receipt
- --------------------------------------------------------------------------
BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- --------- ----------
COMMON STOCKS (53.8%)
<C> <S> <C>
AIRCRAFT/DEFENSE MANUFACTURING--(2.7%)
800 Boeing Co............................ $ 69,700
400 General Dynamics..................... 24,800
----------
94,500
----------
AIRLINES (1.2%)
700 Continental Airlines Class B*........ 43,225
----------
AUTOMOTIVE (1.5%)
400 Chrysler Corp........................ 24,800
600 Magna International Class A.......... 27,600
----------
52,400
----------
BANKING & FINANCE (5.9%)
1,100 Chase Manhattan Corp................. 77,688
900 Citicorp............................. 74,363
1,600 Federal National Mortgage
Association........................ 53,600
----------
205,651
----------
CHEMICALS (1.9%)
2,000 Monsanto Co.......................... $ 65,000
----------
COMPUTER EQUIPMENT & DATA PROCESSING
(8.2%)
400 America Online, Inc.*................ 17,500
300 BMC Software*........................ 17,925
200 Hewlett Packard, Inc................. 19,925
800 Intel Corp........................... 58,750
500 International Business Machines...... 49,500
400 Microsoft Corp.*..................... 48,050
700 Seagate Technology, Inc.*............ 31,500
2,400 System Software Associates, Inc...... 40,800
----------
283,950
----------
CONSUMER PRODUCTS (6.3%)
200 Eastman Kodak Co..................... 15,550
800 General Electric..................... 69,200
800 Illinois Tool Works, Inc............. 54,100
</TABLE>
The accompanying notes are an integral part of the financial statements.
18
<PAGE>
BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- --------- ----------
<C> <S> <C>
CONSUMER PRODUCTS--CONTINUED
1,000 Johnson & Johnson............. $ 49,500
1,100 Mattel, Inc................... 31,487
----------
219,837
----------
FOODS & BEVERAGES (0.6%)
400 Coca-Cola Company............. 19,550
----------
GOLD AND SILVER ORES (0.5%)
600 Barrick Gold Corp............. 16,275
----------
HEALTHCARE (0.6%)
400 Medtronic, Inc................ 22,400
----------
INDUSTRIAL ENGINEERING (1.6%)
200 Harsco Corp................... 13,450
1,050 Thermo Electron Corp.*........ 43,706
----------
57,156
----------
INSURANCE (4.5%)
2,100 Allmerica Financial Corp...... 62,475
300 American International Group,
Inc......................... 29,587
500 SunAmerica, Inc............... 28,250
750 Travelers Group, Inc.......... 34,219
----------
154,531
----------
LEISURE & ENTERTAINMENT (2.7%)
1,300 Viacom Class B*............... 50,538
700 Walt Disney Co................ 44,012
----------
94,550
----------
PAPER & FOREST PRODUCTS (3.0%)
300 Alco Standard Corp............ 13,575
900 Kimberly-Clark Corp........... 69,525
400 Mead Corp..................... 20,750
----------
103,850
----------
PETROLEUM & NATURAL GAS (4.6%)
400 Amoco Corp.................... 28,950
1,000 Enron Corp.................... 40,875
900 Triton Energy, Inc.*.......... 43,762
1,400 Unocal Corp................... 47,250
----------
160,837
----------
PHARMACEUTICALS (3.0%)
600 Bristol-Myers Squibb Co....... 54,000
700 Pfizer, Inc................... 49,962
----------
103,962
----------
RETAIL (2.3%)
1,200 Home Depot.................... 64,800
6,000 OfficeMax Inc.*............... 14,325
----------
79,125
----------
TELECOMMUNICATIONS (2.7%)
1,320 Ericsson Telephone Co. ADR
Class B..................... 28,380
1,800 Network Equipment
Technology*................. 38,250
600 Nokia Corp. ADR............... 22,200
---------
88,830
---------
TOTAL COMMON STOCKS (COST $1,626,516).... 1,865,629
---------
<CAPTION>
PRINCIPAL
- ---------
CORPORATE BONDS (8.3%)
$ 40,000 G.E. Capital Management
Service, 6.5%, 11/25/23..... 33,973
44,500 G.E. Capital Management
Service, 6.5%, 3/25/24...... 41,255
$ 19,135 Merrill Lynch Mortgage Inv.
Inc., 9.7%, 7/15/10......... $ 20,254
45,221 Merrill Lynch Mortgage Inv.
Inc., 7.65%, 1/15/12........ 45,595
40,000 Merrill Lynch Mortgage Inv.
Inc., 7.09%, 12/26/25....... 38,731
50,000 Prudential Home Mortgage Sec.,
6.25%, 4/25/24.............. 40,628
40,000 Storage Technology, 7%,
3/15/08..................... 66,100
----------
TOTAL CORPORATE BONDS (COST $267,073).... 286,536
----------
MUNICIPAL BONDS (11.4%)
40,000 Baltimore Community
Development Financing, 8.2%,
8/15/07..................... 41,700
11,705 Denver Colorado City & County
Single Family, 7.25%,
12/1/10..................... 11,734
50,000 Miami Florida Revenue, 7.25%,
12/1/00..................... 51,000
20,000 Michigan State Job Development
Authority MFM, 7.1%,
5/1/98...................... 20,200
15,000 New York City Taxable, 9.75%,
8/5/12...................... 16,650
40,000 New York State HFA Service,
7.5%, 9/15/03............... 39,450
40,000 New York State Job Development
Authority Series A, 7.625%,
3/1/97...................... 40,250
50,000 Ohio Housing Financial Agency,
7.9%, 10/1/14............... 51,812
30,000 Oklahoma City Airport Taxable,
9.4%, 11/1/10............... 30,713
40,000 Oregon State General
Obligation, 6.9%, 1/1/00.... 39,850
50,000 Rosecliff Department of Energy
GSA, 8%, 11/15/08........... 51,938
---------
TOTAL MUNICIPAL BONDS (COST $391,402).... 395,297
---------
FOREIGN GOVERNMENT OBLIGATIONS (0.8%)
30,000 Quebec Province, 6.89%,
4/15/26
(Cost $28,966).............. 29,125
---------
U.S. GOVERNMENT & AGENCY OBLIGATIONS (16.5%)
Federal Home Loan Mortgage Corporation:
20,000 6%, 3/15/08................... 19,109
50,000 5.5%, 9/15/02................. 49,633
Federal National Mortgage Association:
45,000 6.15%, 10/25/07............... 43,337
40,000 5%, 10/25/03.................. 39,388
40,000 U.S. Treasury Bonds, 8.125%,
8/15/19..................... 44,890
U.S. Treasury Notes:
130,000 7.25%, 5/15/04................ 134,703
40,000 6.875%, 8/31/99............... 40,577
40,000 6.25%, 2/15/03................ 39,313
165,000 6.25%, 8/31/00................ 163,809
---------
TOTAL U.S. GOVERNMENT & AGENCY
OBLIGATIONS(COST $582,173)............... 574,759
---------
TOTAL INVESTMENTS AT VALUE (90.9%)
(COST $2,896,130)(a)..................... 3,151,346
CASH AND OTHER ASSETS
NET OF LIABILITIES (9.1%)................ 316,652
---------
NET ASSETS (100.0%)...................... $3,467,998
---------
---------
</TABLE>
- ------------------------------
* Non-income producing security.
(a) The aggregate cost for federal income tax
purposes is $2,896,130, the aggregate gross
unrealized appreciation is $325,599, and the
aggregate gross unrealized depreciation is
$70,383, resulting in net unrealized
appreciation of $255,216.
ADR: American Depositary Receipt
The accompanying notes are an integral part of the financial statements.
19
<PAGE>
INCOME OPPORTUNITY PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
PRINCIPAL (NOTE 1)
- --------- -----------
CORPORATE BONDS (37.2%)
<C> <S> <C>
$ 250,000 Alliance Gaming, 12.875%, 6/30/03
(United States)................... $ 249,375
200,000 Hayes Wheels, 11%, 7/15/06 (United
States)........................... 202,500
100,000 International Wire Group,11.75%,
6/1/05 (United States)............ 99,250
141,700 MCII Holdings (USA), Zero Coupon,
11/15/02 (United States).......... 110,526
100,000 Mesa Operating Co., 10.625%, 7/1/06
(United States)................... 101,125
100,000 Owens & Minor, 10.875%, 6/1/06
(United States)................... 103,500
75,000 Park Newspapers, Inc., 11.875%,
5/15/04 (United States)........... 75,750
80,000 Showboat Marina Casino, 13.5%,
3/15/03 (United States)........... 86,400
100,000 Specialty Foods, 11.125%, 10/1/02
(United States)................... 94,750
80,000 Stena AB, 10.5%, 12/15/05
(Sweden).......................... 79,400
100,000 Sweetheart Cup, 9.625%, 9/1/00
(United States)................... 98,875
100,000 Trans Texas Gas, 11.5%, 6/15/02
(United States)................... 99,750
100,000 Trump Atlantic City, 11.25%, 5/1/06
(United States)................... 100,500
125,000 Unisys Corp., 12%, 4/15/03 (United
States)........................... 127,500
-----------
TOTAL CORPORATE BONDS (COST $1,582,416)........ 1,629,201
-----------
EUROBONDS (5.8%)
150,000 Empresas Ica Sociedad, 11.875%,
5/30/01 (Mexico).................. 151,125
100,000 RBS Participacoes S.A., 14%,
12/15/03 (Brazil)................. 104,500
-----------
TOTAL EUROBONDS (COST $250,565)................ 255,625
-----------
FOREIGN GOVERNMENT (5.5%)
254,000 Argentina Bocon Pre 4, 5.42%, 9/1/02
(Argentina) (Cost $226,866)....... 240,983
-----------
YANKEE BOND (18.1%)
250,000 APP International Finance, 11.75%,
10/1/05 (Indonesia)............... 255,625
100,000 Grupo Televisa, 11.875%, 5/15/06
(Mexico).......................... 102,000
100,000 Metrogas S.A., 10.875%, 5/15/01
(Argentina)....................... 101,500
$ 125,000 National Bank of Hungary, 8.875%,
11/1/13 (Hungary)................. $ 125,027
150,000 Tolmex S.A., 8.375%, 11/1/03
(Mexico).......................... 125,062
80,000 Trizec Finance, 10.875%, 10/15/05
(Canada).......................... 82,000
-----------
TOTAL YANKEE BONDS (COST $785,708)............. 791,214
-----------
BRADY BONDS (27.3%)
250,000 Central Bank of Nigeria, 6.25%,
11/15/20 (Nigeria)................ 130,313
200,000 Government of Bulgaria, 6.25%,
7/28/11 (Bulgaria)................ 94,750
150,000 Government of Bulgaria, 6.25%,
7/28/24 (Bulgaria)................ 77,437
250,000 Mexican Discount Bond Series B,
6.39%, 12/31/19 (Mexico).......... 196,250
150,000 National Government of Jordan, 4%,
12/23/23 (Jordan)................. 78,000
291,833 Republic of Brazil, 8%, 4/15/14
(Brazil).......................... 180,207
188,000 Republic of Ecuador, 6.0625%,
2/28/25 (Ecuador)................. 107,395
200,000 Republic of Poland, 3.75%, 10/27/14
(Poland).......................... 150,000
250,000 Republic of Venezuela, 6.625%,
12/18/07 (Venezuela).............. 176,875
-----------
TOTAL BRADY BONDS (COST $1,083,581)............ 1,191,227
-----------
WARRANTS (0.0%)
250 Central Bank of Nigeria Warrants,
expires 11/15/20*................. 0
384,000 United Mexican States Warrants,
expires 6/30/03*.................. 0
-----------
TOTAL WARRANTS (COST $0)....................... 0
-----------
TOTAL INVESTMENTS AT VALUE (93.9%)
(COST $3,929,136)(a)........................... 4,108,250
CASH AND OTHER ASSETS
NET OF LIABILITIES (6.1%)...................... 266,326
-----------
NET ASSETS (100.0%)............................ $ 4,374,576
-----------
-----------
</TABLE>
- ------------------------------
* Non-income producing security.
(a) The aggregate cost for federal income tax purposes is
$3,929,136, the aggregate gross unrealized appreciation
is $196,225, and the aggregate gross unrealized
depreciation is $17,111, resulting in net unrealized
appreciation of $179,114.
- --------------------------------------------------------------------------------
BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
PRINCIPAL (NOTE 1)
- --------- -----------
ASSET BACKED SECURITIES (17.9%)
<C> <S> <C>
$ 500,000 Advanta Mortgage Loan, 6.03%,
8/25/11........................... $ 486,405
432,881 Chase Manhattan Grantor Trust, 5.2%,
4/15/02........................... 427,002
500,000 Ford Credit Auto Loan Master Trust,
6.5%, 8/15/02..................... 496,564
$ 500,000 Navistar Financial, 6.35%,
5/30/96........................... $ 499,770
400,000 Standard Credit Card Master Trust,
5.95%, 10/7/04.................... 376,316
-----------
TOTAL ASSET BACKED SECURITIES (COST
$2,316,006).................................... 2,286,057
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
20
<PAGE>
BOND PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
PRINCIPAL (NOTE 1)
- --------- -----------
<C> <S> <C>
CORPORATE BONDS (26.0%)
AIRLINES (1.4%)
$ 75,000 Delta Airlines, Inc., 10.375%
2/1/11............................. $ 90,738
75,000 United Airlines, Inc., 10.25%,
7/15/21............................ 87,828
----------
178,566
----------
BANKING & FINANCE (12.6%)
400,000 Associates Corp. of North America
7.875%, 9/30/01.................... 416,490
500,000 Bank of New York, 8.5%, 12/15/04..... 538,490
500,000 Ford Motor Credit Co., 6.25%,
11/8/00............................ 487,931
105,603 Mercantile Safe Deposit, 12.125%,
1/2/01+............................ 117,978
42,857 Star Banc Corp., 9.25%, 7/15/01+..... 42,900
----------
1,603,789
----------
BROADCAST & MEDIA (2.2%)
250,000 News America Holdings, Inc., 10.125%,
10/15/12........................... 282,467
----------
CHEMICALS (3.9%)
500,000 Praxair, 6.7%, 4/15/01............... 495,679
----------
INSURANCE (3.9%)
500,000 Travelers/Aetna P&C, 6.75%,
4/15/01............................ 496,824
----------
UTILITIES (2.0%)
250,000 Mississippi Power & Light, 8.8%,
4/1/05............................. 253,514
----------
TOTAL CORPORATE BONDS (COST $3,250,938)......... 3,310,839
----------
YANKEE BONDS (4.3%)
300,000 Hydro-Quebec, 8.05%, 7/7/24.......... 318,507
250,000 Province of Ontario, 6%, 2/21/06..... 229,302
----------
TOTAL YANKEE BONDS (COST $518,713).............. 547,809
----------
MORTGAGE BACKED SECURITIES (24.2%)
Federal Home Loan Mortgage Association:
494,903 7%, 4/1/03........................... 493,201
57,728 6%, 10/1/10.......................... 54,786
681,809 6%, 8/1/10........................... 647,063
210,701 6%, 5/1/09........................... 200,609
Government National Mortgage Association:
65,831 10.25%, 7/15/12...................... 65,831
434,152 9%, 8/15/19.......................... 457,726
632,859 7%, 6/15/09.......................... 628,225
$469,138 6.5%, 1/15/24........................ $ 437,447
100,000 Morgan Stanley Mortgage Trust, 9.8%,
11/1/18............................ 101,197
----------
TOTAL MORTGAGE BACKED SECURITIES (COST
$3,102,558)..................................... 3,086,085
----------
U.S. TREASURY OBLIGATIONS (14.3%)
350,000 U.S. Treasury Bond, 7.25%, 5/15/16... 358,531
U.S. Treasury Notes:
500,000 6.75%, 5/31/99....................... 505,780
350,000 6.25%, 2/15/03....................... 343,656
250,000 6.125%, 3/31/98...................... 250,273
375,000 5.125%, 2/28/98...................... 369,492
----------
TOTAL U.S. TREASURY OBLIGATIONS (COST
$1,860,028) 1,827,732
----------
AGENCY FOR INTERNATIONAL DEVELOPMENT BONDS
(7.1%)+
Central America:
150,000 Series F, 10%, 12/1/11............... 170,816
150,000 Series G, 10%, 12/1/11............... 170,816
150,000 Series H, 10%, 12/1/11............... 170,816
Republic of Honduras:
92,683 Series B, 13%, 6/1/01................ 104,322
100,000 Series C, 13%, 6/1/06................ 129,815
100,000 Series D, 13%, 6/1/11................ 139,925
----------
TOTAL AGENCY FOR INTERNATIONAL DEVELOPMENT BONDS
(COST $742,683) 886,501
----------
TOTAL INVESTMENTS AT VALUE (93.8%) (COST
$11,790,926) (a)................................ 11,945,032
----------
CASH AND OTHER ASSETS (6.2%)....................
NET OF LIABILITIES 791,943
----------
NET ASSETS (100.0%)............................. $12,736,975
----------
----------
</TABLE>
- ------------------------
(a) The aggregate cost for federal income tax purposes is $11,790,926, the
aggregate gross unrealized appreciation is $301,197, and the aggregate gross
unrealized appreciation is $147,091, resulting in net unrealized
appreciation of $154,106.
+ Restricted and Board valued security (Note 5).
- --------------------------------------------------------------------------------
MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
PRINCIPAL (NOTE 1)
- --------- ----------
MUNICIPAL BONDS (93.3%)
<C> <S> <C>
COLORADO (2.9%)
$ 75,000 Colorado Springs Utilities, 6.2%,
11/15/99........................... $ 78,928
----------
CONNECTICUT (3.6%)
100,000 Connecticut State Special Tax MBIA,
5.4%, 9/1/09....................... 98,971
----------
FLORIDA (16.7%)
125,000 Dade County Water & Sewer System,
6.25%, 10/1/07..................... 136,066
100,000 Florida State Board of Education, 5%,
6/1/02............................. 100,966
100,000 Florida State Environmental
Preservation AMBAC, 5.5%, 7/1/07... 101,537
$ 50,000 Fort Lauderdale Water & Sewer, 5.1%,
9/1/02............................. $ 50,736
60,000 Jacksonville Electric Authority,
6.375%, 10/1/99.................... 63,332
----------
452,637
----------
HAWAII (2.9%)
75,000 Hawaii State, 6%, 2/1/02............. 79,142
----------
ILLINOIS (2.9%)
75,000 Illinois State, 6.375%, 8/1/00....... 79,423
----------
INDIANA (3.8%)
100,000 Indiana Municipal Power Agency,
5.875%, 1/1/10..................... 103,300
----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
21
<PAGE>
MUNICIPAL BOND PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
PRINCIPAL (NOTE 1)
- --------- ----------
MUNICIPAL BONDS--CONTINUED
<C> <S> <C>
MASSACHUSETTS (3.0%)
$ 75,000 Massachusetts State, 6.25%, 7/1/04... $ 80,714
----------
MINNESOTA (10.7%)
100,000 Faribault Independent School
District, 7.75%, 6/1/01............ 112,714
100,000 Minneapolis Series B, 4.8%, 3/1/04... 99,070
75,000 Ramsey County, 5.5%, 2/1/02.......... 77,619
----------
289,403
----------
NEW JERSEY (4.8%)
25,000 Monmouth County, 6.9%, 8/1/98........ 26,330
100,000 New Jersey State, 5.5%, 2/15/04...... 103,454
----------
129,784
----------
NEW MEXICO (4.8%)
125,000 Albuquerque Water & Sewer, 6%,
7/1/15............................. 130,894
----------
NEW YORK (3.8%)
100,000 Municipal Assistance Corp. AMBAC,
5.25%, 7/1/02...................... 102,167
----------
NORTH CAROLINA (3.8%)
100,000 Mecklenburg County, 5.2%, 3/1/99..... 102,296
----------
OREGON (3.0%)
75,000 Oregon State Series LX, 6.5%,
11/1/00............................ 80,759
----------
PENNSYLVANIA (6.5%)
100,000 Haverford Township School District,
5.25%, 3/15/06..................... 100,067
75,000 Pennsylvania State MBIA, 5.2%,
6/15/04............................ 75,778
----------
175,845
----------
TEXAS (6.8%)
100,000 Texas A & M University Revenue,
5.95%, 5/15/05..................... 105,711
75,000 University of Texas Permanent
University Fund, 5.9%, 7/1/02...... 79,261
----------
184,972
----------
VIRGINIA (3.7%)
$ 100,000 Big Stone Gap Redevelopment &
Housing, 5.1%, 9/1/00.............. $ 101,418
----------
WASHINGTON (3.7%)
100,000 Washington State Motor Vehicle Fuel,
5.375%, 9/1/06..................... 101,204
----------
WISCONSIN (5.9%)
75,000 Milwaukee Metropolitan Sewer
District, 6.6%, 10/1/99............ 79,601
75,000 Wisconsin State Clean Water Revenue,
6.25%, 6/1/03...................... 80,745
----------
160,346
----------
TOTAL MUNICIPAL BONDS (COST $2,531,279)......... 2,532,203
----------
TOTAL INVESTMENTS AT VALUE (93.3%)
(COST $2,531,279)(a)............................ 2,532,203
CASH AND OTHER ASSETS NET OF LIABILITIES
(6.7%).......................................... 182,233
----------
NET ASSETS (100.0%)............................. $2,714,436
----------
----------
</TABLE>
- ------------------------------
* Non-income producing security.
(a) The aggregate cost for federal income tax
purposes is $2,531,279, the aggregate gross
unrealized appreciation is $19,427, and the
aggregate gross unrealized depreciation is
$18,503, resulting in net unrealized
appreciation of $924.
AMBAC: American Municipal Bond Assurance Corp.
MBIA: Municipal Bond Insurance Association
The accompanying notes are an integral part of the financial statements.
22
<PAGE>
SELECT ADVISORS PORTFOLIOS
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EMERGING INTERNATIONAL GROWTH & INCOME MUNICIPAL
GROWTH EQUITY INCOME BALANCED OPPORTUNITY BOND BOND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------- ---------- ----------- ---------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments, at value (Note 1)* $4,440,659 $5,611,533 $18,217,719 $3,151,346 $4,108,250 $11,945,032 $2,532,203
Cash 465,117 667,827 370,397 334,881 502,384 646,796 275,691
Receivables for:
Securities sold 466,299 184,693 386,684 -- -- 833,557 --
Dividends 4,835 13,856 22,251 1,748 -- --
Foreign tax reclaim 32 9,324 -- 16 -- -- --
Interest 1,210 1,861 3,778 18,945 66,594 152,546 40,199
Open forward foreign currency
contracts -- 28 -- -- -- -- --
Deferred organization expenses 23,027 23,027 23,027 23,027 23,027 23,027 23,027
---------- ---------- ----------- ---------- ---------- ----------- ----------
Total assets 5,401,179 6,512,149 19,023,856 3,529,963 4,700,255 13,600,958 2,871,120
---------- ---------- ----------- ---------- ---------- ----------- ----------
LIABILITIES:
Payable for investments purchased -- 483,316 228,125 37,225 300,000 784,035 130,894
Payable to Administrator (Note 2) 6,321 14,160 6,095 6,068 6,024 5,248 4,783
Payable to Advisor (Note 2) 26,546 14,825 106,074 11,351 11,626 66,106 14,680
Other accrued expenses 7,734 8,400 8,755 7,321 8,029 8,594 6,327
---------- ---------- ----------- ---------- ---------- ----------- ----------
Total liabilities 40,601 520,701 349,049 61,965 325,679 863,983 156,684
---------- ---------- ----------- ---------- ---------- ----------- ----------
NET ASSETS:
Applicable to investors' beneficial
interests $5,360,578 $5,991,448 $18,674,807 $3,467,998 $4,374,576 $12,736,975 $2,714,436
---------- ---------- ----------- ---------- ---------- ----------- ----------
---------- ---------- ----------- ---------- ---------- ----------- ----------
*Cost of investments $3,823,934 $5,124,461 $15,757,542 $2,896,130 $3,929,136 $11,790,926 $2,531,279
---------- ---------- ----------- ---------- ---------- ----------- ----------
---------- ---------- ----------- ---------- ---------- ----------- ----------
</TABLE>
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME (NOTE 1)
Interest $ 8,155 $ 10,504 $ 19,631 $ 44,312 $ 187,483 $ 436,589 $ 63,113
Dividends (a) 23,957 66,945 139,977 13,076 -- -- --
---------- ----------- ----------- ---------- ----------- ----------- ----------
TOTAL INVESTMENT INCOME 32,112 77,449 159,608 57,388 187,483 436,589 63,113
---------- ----------- ----------- ---------- ----------- ----------- ----------
EXPENSES:
Administration and fund accounting
fees (Note 2) 30,410 30,606 30,651 31,747 30,678 30,100 29,604
Investment advisory fees (Note 2) 18,551 25,913 63,387 10,793 10,230 33,934 6,986
Auditing fees 7,177 7,686 6,955 6,647 7,685 6,453 5,463
Custody fees 5,810 20,968 3,930 3,892 3,293 2,082 1,126
Amortization of organization expenses
(Note 1) 3,478 3,478 3,478 3,478 3,478 3,478 3,478
Trustee fees (Note 2) 673 782 2,458 450 451 1,763 366
Miscellaneous 1,125 1,520 4,083 765 712 3,577 712
---------- ----------- ----------- ---------- ----------- ----------- ----------
Total expenses 67,224 90,953 114,942 57,772 56,527 81,387 47,735
Reimbursement from Advisor (Note 4) (29,777) (44,725) (58,874) (34,006) (34,750) (31,763) (31,381)
---------- ----------- ----------- ---------- ----------- ----------- ----------
Net expenses 37,447 46,228 56,068 23,766 21,777 49,624 16,354
---------- ----------- ----------- ---------- ----------- ----------- ----------
NET INVESTMENT INCOME (LOSS) (5,335) 31,221 103,540 33,622 165,706 386,965 46,759
---------- ----------- ----------- ---------- ----------- ----------- ----------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on
investments (b) 290,603 189,073 2,270,915 106,123 97,510 (17,253) 1,920
Net change in unrealized appreciation
(depreciation) 120,404 212,729 (634,510) (1,406) 84,627 (596,168) (64,562)
---------- ----------- ----------- ---------- ----------- ----------- ----------
NET REALIZED AND UNREALIZED GAIN (LOSS): 411,007 401,802 1,636,405 104,717 182,137 (613,421) (62,642)
---------- ----------- ----------- ---------- ----------- ----------- ----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ 405,672 $ 433,023 $ 1,739,945 $ 138,339 $ 347,843 $ (226,456) $ (15,883)
---------- ----------- ----------- ---------- ----------- ----------- ----------
---------- ----------- ----------- ---------- ----------- ----------- ----------
</TABLE>
- ------------------------------
(a) Net of foreign tax witholding of $106 for Emerging Growth Portfolio and
$9,416 for International Equity Portfolio.
(b) Includes foreign currency transactions loss of $9,665 for International
Equity Portfolio.
The accompanying notes are an integral part of the financial statements.
23
<PAGE>
SELECT ADVISORS PORTFOLIOS
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EMERGING GROWTH INTERNATIONAL EQUITY GROWTH & INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
------------------------ ------------------------ ------------------------
FOR THE SIX FOR THE SIX FOR THE SIX
MONTHS FOR THE MONTHS FOR THE MONTHS FOR THE
ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED
JUNE 30, DECEMBER JUNE 30, DECEMBER JUNE 30, DECEMBER
1996 31, 1996 31, 1996 31,
(UNAUDITED) 1995 (UNAUDITED) 1995 (UNAUDITED) 1995
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss) $ (5,335) $ (3,877) $ 31,221 $ 4,340 $ 103,540 $ 113,940
Net realized gain (loss) on
investments 290,603 275,958 189,073 (425,634) 2,270,915 1,974,179
Net change in unrealized
appreciation (depreciation) on
investments 120,404 410,318 212,729 676,327 (634,510) 1,798,625
----------- ----------- ----------- ----------- ----------- -----------
Net increase (decrease) in net
assets resulting from operations 405,672 682,399 433,023 255,033 1,739,945 3,886,744
----------- ----------- ----------- ----------- ----------- -----------
TRANSACTIONS IN INVESTORS'
BENEFICIAL INTEREST:
Contributions 1,261,458 1,290,860 555,589 472,341 1,525,356 1,782,414
Withdrawals (184,866) (144,796) (104,749) (157,392) (166,252) (203,751)
----------- ----------- ----------- ----------- ----------- -----------
Net increase from investors'
transactions: 1,076,592 1,146,064 450,840 314,949 1,359,104 1,578,663
----------- ----------- ----------- ----------- ----------- -----------
TOTAL INCREASE IN NET ASSETS 1,482,264 1,828,463 883,863 569,982 3,099,049 5,465,407
NET ASSETS:
Beginning of period 3,878,314 2,049,851 5,107,585 4,537,603 15,575,758 10,110,351
----------- ----------- ----------- ----------- ----------- -----------
End of period $5,360,578 $3,878,314 $5,991,448 $5,107,585 $18,674,807 $15,575,758
----------- ----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- ----------- -----------
</TABLE>
<TABLE>
<CAPTION>
SUPPLEMENTARY DATA
- ----------------------------------------------------------------------------------------------------------------
EMERGING GROWTH PORTFOLIO INTERNATIONAL EQUITY PORTFOLIO
---------------------------------------------- ----------------------------------------------
FOR THE SIX FOR THE SIX
MONTHS FOR THE MONTHS FOR THE
ENDED YEAR ENDED FOR THE PERIOD ENDED YEAR ENDED FOR THE PERIOD
JUNE 30, DECEMBER OCTOBER 3, 1994(A) JUNE 30, DECEMBER OCTOBER 3, 1994(A)
1996 31, TO DECEMBER 31, 1996 31, TO DECEMBER 31,
(UNAUDITED) 1995 1994 (UNAUDITED) 1995 1994
----------- ----------- -------------------- ----------- ----------- --------------------
<S> <C> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS (B):
Expenses 1.61% 1.59% 2.56% 1.69% 1.65% 3.20%
Net investment income (loss) (0.23%) (0.12%) 5.51% 1.14% 0.09% (1.68%)
Ratios of expenses to average net
assets without waiver and
reimbursement 2.89% 3.59% 7.35% 3.33% 3.87% 4.62%
Portfolio turnover 61% 109% 150% 47% 90% 7%
Average commission rate (c) $ 0.0609 $ 0.0231
<CAPTION>
SUPPLEMENTARY DATA
- -----------------------------------
GROWTH & INCOME PORTFOLIO
----------------------------------------------
FOR THE SIX
MONTHS FOR THE
ENDED YEAR ENDED FOR THE PERIOD
JUNE 30, DECEMBER OCTOBER 3, 1994(A)
1996 31, TO DECEMBER 31,
(UNAUDITED) 1995 1994
----------- ----------- --------------------
<S> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS (B):
Expenses 0.66% 1.23% 1.20%
Net investment income (loss) 1.22% 0.91% 1.11%
Ratios of expenses to average net
assets without waiver and
reimbursement 1.36% 1.53% 1.95%
Portfolio turnover 54% 102% 10%
Average commission rate (c) $ 0.0576
</TABLE>
- ------------------------------
(a) Commencement of operations.
(b) Ratios are annualized. Turnover is not annualized.
(c) For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share for security
trades on which commissions are charged. This amount may vary between
periods and funds depending on the volume and character of trades executed
in various markets where trading practices and commission rate structures
may differ.
24
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INCOME OPPORTUNITY
BALANCED PORTFOLIO PORTFOLIO
------------------------ ------------------------
FOR THE SIX FOR THE SIX
MONTHS FOR THE MONTHS FOR THE
ENDED YEAR ENDED ENDED YEAR ENDED
JUNE 30, DECEMBER JUNE 30, DECEMBER
1996 31, 1996 31,
(UNAUDITED) 1995 (UNAUDITED) 1995
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss) $ 33,622 $ 53,853 $ 165,706 $ 259,088
Net realized gain (loss) on
investments 106,123 169,621 97,510 8,065
Net change in unrealized
appreciation (depreciation) on
investments (1,406) 252,839 84,627 185,892
----------- ----------- ----------- -----------
Net increase (decrease) in net
assets resulting from operations 138,339 476,313 347,843 453,045
----------- ----------- ----------- -----------
TRANSACTIONS IN INVESTORS'
BENEFICIAL INTEREST:
Contributions 534,402 537,632 1,713,503 416,695
Withdrawals (89,550) (125,201) (268,226) (132,490)
----------- ----------- ----------- -----------
Net increase from investors'
transactions: 444,852 412,431 1,445,277 284,205
----------- ----------- ----------- -----------
TOTAL INCREASE IN NET ASSETS 583,191 888,744 1,793,120 737,250
NET ASSETS:
Beginning of period 2,884,807 1,996,063 2,581,456 1,844,206
----------- ----------- ----------- -----------
End of period $3,467,998 $2,884,807 $4,374,576 $2,581,456
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
<CAPTION>
MUNICIPAL BOND PORTFOLIO
BOND PORTFOLIO ------------------------
-------------------------- FOR THE SIX
FOR THE SIX MONTHS FOR THE
MONTHS ENDED FOR THE ENDED YEAR ENDED
JUNE 30, YEAR ENDED JUNE 30, DECEMBER
1996 DECEMBER 31, 1996 31,
(UNAUDITED) 1995 (UNAUDITED) 1995
------------ ------------ ----------- -----------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss) $ 386,965 $ 754,683 $ 46,759 $ 105,093
Net realized gain (loss) on
investments (17,253) 254,000 1,920 (4,076)
Net change in unrealized
appreciation (depreciation) on
investments (596,168) 768,522 (64,562) 90,026
------------ ------------ ----------- -----------
Net increase (decrease) in net
assets resulting from operations (226,456) 1,777,205 (15,883) 191,043
------------ ------------ ----------- -----------
TRANSACTIONS IN INVESTORS'
BENEFICIAL INTEREST:
Contributions 439,416 872,705 313,870 393,280
Withdrawals (102,779) (104,885) (72,388) (111,371)
------------ ------------ ----------- -----------
Net increase from investors'
transactions: 336,637 767,820 241,482 281,909
------------ ------------ ----------- -----------
TOTAL INCREASE IN NET ASSETS 110,181 2,545,025 225,599 472,952
NET ASSETS:
Beginning of period 12,626,794 10,081,769 2,488,837 2,015,885
------------ ------------ ----------- -----------
End of period $12,736,975 $12,626,794 $2,714,436 $2,488,837
------------ ------------ ----------- -----------
------------ ------------ ----------- -----------
</TABLE>
<TABLE>
<CAPTION>
SUPPLEMENTARY DATA
- ------------------------------------------------------------------------------------------------------------------
BALANCED PORTFOLIO INCOME OPPORTUNITY PORTFOLIO
---------------------------------------------- ----------------------------------------------
FOR THE SIX FOR THE SIX
MONTHS FOR THE MONTHS FOR THE
ENDED YEAR ENDED FOR THE PERIOD ENDED YEAR ENDED FOR THE PERIOD
JUNE 30, DECEMBER OCTOBER 3, 1994(A) JUNE 30, DECEMBER OCTOBER 3, 1994(A)
1996 31, TO DECEMBER 31, 1996 31, TO DECEMBER 31,
(UNAUDITED) 1995 1994 (UNAUDITED) 1995 1994
----------- ----------- -------------------- ----------- ----------- --------------------
<S> <C> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS (B):
Expenses 1.54% 1.51% 1.33% 1.38% 1.42% 2.20%
Net investment income (loss) 2.17% 2.29% 3.13% 10.50% 12.53% 8.09%
Ratios of expenses to average net
assets without waiver and
reimbursement 3.74% 4.39% 6.48% 3.58% 4.77% 7.48%
Portfolio turnover 47% 121% 7% 117% 120% 144%
Average commission rate (c) $ 0.0693
<CAPTION>
SUPPLEMENTARY DATA
- -----------------------------------
BOND PORTFOLIO MUNICIPAL BOND PORTFOLIO
---------------------------------------------- ----------------------------------------------
FOR THE SIX FOR THE SIX
MONTHS FOR THE MONTHS FOR THE
ENDED YEAR ENDED FOR THE PERIOD ENDED YEAR ENDED FOR THE PERIOD
JUNE 30, DECEMBER OCTOBER 3, 1994(A) JUNE 30, DECEMBER OCTOBER 3, 1994(A)
1996 31, TO DECEMBER 31, 1996 31, TO DECEMBER 31,
(UNAUDITED) 1995 1994 (UNAUDITED) 1995 1994
----------- ----------- -------------------- ----------- ----------- --------------------
<S> <C> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS (B):
Expenses 0.80% 1.02% 1.21% 1.28% 1.24% 1.30%
Net investment income (loss) 6.25% 6.66% 6.32% 3.67% 4.66% 4.42%
Ratios of expenses to average net
assets without waiver and
reimbursement 1.32% 1.40% 1.76% 3.75% 4.26% 6.54%
Portfolio turnover 45% 78% 11% 5% 54% 4%
Average commission rate (c)
</TABLE>
25
<PAGE>
SELECT ADVISORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES:
Select Advisors Portfolios (the "Portfolio Trust") is registered under the
Investment Company Act of 1940 ("the Act"), as amended, as an open-end
management investment company organized as a New York master trust fund on
February 7, 1994. There are nine subtrusts of the Portfolio Trust (each a
"Portfolio"), each having distinct investment objectives and policies. The
Portfolios are Emerging Growth Portfolio, International Equity Portfolio, Growth
& Income Portfolio, Balanced Portfolio, Income Opportunity Portfolio, Bond
Portfolio, Municipal Bond Portfolio, Bond Portfolio II and Growth & Income
Portfolio II. Bond Portfolio II and Growth & Income Portfolio II are included in
a separate report.
The accounting policies are in conformity with generally accepted accounting
principles ("GAAP") for investment companies. The preparation of financial
statements in conformity with GAAP requires management to make estimates and
assumptions that affect the related amounts and disclosures in the financial
statements. Actual results could differ from these estimates.
The following is a summary of the significant accounting policies of the
Portfolios:
a) INVESTMENT VALUATION. The value of each security for which readily
available market quotations exists is based on a decision as to the broadest and
most representative market for such security. The value of such security is
based either on the last sale price on a national securities exchange, or, in
the absence of recorded sales, at the readily available closing bid price on
such exchanges, or at the quoted bid price in the over-the-counter market.
Securities listed on a foreign exchange are valued at the last quoted sale price
available before the time net assets are valued. Unlisted securities are valued
at the average of the quoted bid and asked prices in the over-the-counter
market. Debt securities are valued by a pricing service which determines
valuations based upon market transactions for normal, institutional-size trading
units of similar securities. Securities or other assets for which market
quotations are not readily available are valued at fair value in good faith in
accordance with procedures established by the Trustees of the Portfolio Trust.
Such procedures include the use of independent pricing services, which use
prices based upon yields or prices of securities of comparable quality, coupon,
maturity and type; indications as to values from dealers; and general market
conditions. All debt securities with a remaining maturity of less than 60 days
are valued at amortized cost, which approximates market.
b) FOREIGN CURRENCY TRANSLATION. The accounting records of the Portfolios
are maintained in U.S. dollars. The market value of investment securities, other
assets and liabilities and forward contracts denominated in foreign currencies
are translated into U.S. dollars at the prevailing exchange rates at the end of
the period. Purchases and sales of securities, income receipts, and expense
payments are translated at the exchange rate prevailing on the respective dates
of such transactions. Reported net realized gains and losses on foreign currency
transactions represent net gains and losses from sales and maturities of forward
currency contracts, disposition of foreign currencies, currency gains and losses
realized between the trade and settlement dates on securities transactions and
the difference between the amount of net investment income accrued and the U.S.
dollar amount actually received.
The effects of changes in foreign currency exchange rates on investments in
securities are not segregated in the Statement of Operations from the effects of
changes in market prices of these securities, but are included with net realized
and unrealized gain or loss on investments.
c) INVESTMENT INCOME. Dividend income is recorded on the ex-dividend date
except that certain dividends from foreign securities where the ex-dividend date
has passed are recorded as soon as the Portfolio Trust is informed of the
ex-dividend date. Interest income, which includes the amortization of premium
and accretion of discount, if any, is recorded on an accrual basis. Dividend and
interest income is recorded net of foreign taxes where recovery of such taxes is
not assured.
d) FEDERAL TAXES. Each Portfolio is treated as a partnership for federal
income tax purposes. As such, each investor in each Portfolio is subject to
taxation on its share of that Portfolio's ordinary income and capital gains. It
is intended that each Portfolio's assets will be managed in such a way that an
investor in the Portfolio will be able to satisfy the requirements of Subchapter
M of the Internal Revenue Code of 1986, as amended. Therefore, no provision has
been made for federal income taxes.
e) FORWARD CURRENCY CONTRACTS. Each Portfolio may enter into forward
foreign currency contracts to protect securities and related receivables and
payables against fluctuations in foreign currency rates. A forward contract is
an agreement to buy or sell currencies of different countries on a specified
future date at a specified rate.
26
<PAGE>
SELECT ADVISORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Risks associated with such contracts include the movement in the value of
the foreign currency relative to the U.S. dollar and the ability of the
counterparty to perform. The market value of the contract will fluctuate with
changes in currency exchange rates. Contracts are valued daily based on
procedures established by and under the general supervision of the Trustees of
the Portfolio Trust and the change in the market value is recorded by the
Portfolio as unrealized appreciation or depreciation of forward foreign currency
contracts.
f) REPURCHASE AGREEMENTS. Each Portfolio may invest in repurchase
agreements, which are agreements pursuant to which securities are acquired by
the Portfolio from a third party with the commitment that they will be
repurchased by the seller at a fixed price on an agreed upon date. Each
Portfolio may enter into repurchase agreements with banks or lenders meeting the
creditworthiness standards established by the Portfolio Trust Board of Trustees.
The Portfolio, through its custodian, receives as collateral, delivery of the
underlying securities, whose market value is required to be at least 102% of the
resale price at the time of purchase. The resale price reflects the purchase
price plus an agreed upon rate of interest. In the event of counterparty default
the Portfolio has the right to use the collateral to offset losses incurred.
g) ORGANIZATION EXPENSE. Organization expenses were deferred and are being
amortized by each Portfolio on a straight-line basis over a five-year period
from commencement of operations. Each Fund's organizational fees payable
includes fees and expenses payable to Touchstone Advisors, Inc. of $35,878. Any
amount received by the Portfolio from a corresponding Fund as a result of a
redemption by Touchstone Advisors, Inc. of any of its organizational seed
capital shares of the Fund will be applied so as to reduce the amount of
unamortized organization expenses. The amount paid by the Portfolio Trust on any
withdrawal by the Select Advisors Trust A or Select Advisors Trust C of all or a
part of its organizational seed capital investment ("Initial Interest") in the
Portfolio will be reduced by a portion of any unamortized organization expenses
of the Portfolio, determined by the proportion of the amount of the Initial
Interest withdrawn to the aggregate amount of the Initial Interests in the
Portfolio then-outstanding after taking into account any prior withdrawals of
any portion of the Initial Interests in the Portfolio.
h) OTHER. Securities transactions are recorded on a trade date basis. For
financial and tax reporting purposes, realized gains and losses are determined
on the basis of specific lot identification.
2. TRANSACTIONS WITH AFFILIATES
a) INVESTMENT ADVISOR. The Portfolio Trust has an investment advisory
agreement with Touchstone Advisors, Inc. (the "Advisor") a subsidiary of
Western-Southern Life Assurance Company ("Western-Southern"). Under the terms of
the investment advisory agreement, each Portfolio pays an investment advisory
fee that is computed daily and paid monthly. For the six months ended June 30,
1996, each Portfolio incurred the following investment advisory fees equal on an
annual basis to the following percentages of the average daily net assets of the
Portfolio.
<TABLE>
<CAPTION>
EMERGING INTERNATIONAL GROWTH & INCOME MUNICIPAL
GROWTH EQUITY INCOME BALANCED OPPORTUNITY BOND BOND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Rate 0.80% 0.95% 0.75% 0.70% 0.65% 0.55% 0.55%
</TABLE>
Fort Washington Investment Advisors, Inc., an affiliate of the Advisor, is
the sub-advisor for the Growth & Income Portfolio and Bond Portfolio.
b) ADMINISTRATOR AND FUND ACCOUNTANT. The Portfolio Trust retains
Signature Financial Services, Inc. ("Signature") to serve as administrator and
fund accountant. Certain officers of Signature serve as officers of the
Portfolios. Signature provides administrative services necessary for the
operations of the Portfolios, including the preparation and filing of all
documents required by the Portfolio Trust for compliance with applicable laws
and regulations; arranging for the maintenance of books, records and custody of
the Portfolios; and paying the compensation of the Portfolio Trust's officers
affiliated with Signature. For these services, Signature receives from each
Portfolio a fee that is computed daily and paid monthly equal on an annual basis
to 0.20% of the aggregate average daily net assets of all the Portfolios. Rates
are reduced on a sliding scale when combined average net assets of all the
Portfolios exceed $100 million. In addition, each Portfolio is subject to a
minimum annual fee of $60,000 plus out-of-pocket expenses.
c) TRUSTEES. Each Trustee who is not an "interested person", (as defined
in the Act), of the Portfolio Trust receives in aggregate $5,000 annually plus
$1,000 per meeting attended as well as reimbursement for reasonable
out-of-pocket expenses from the Portfolio Trust and from Select Advisors Trust
A, Select Advisors Trust C, and Select Advisors Variable Insurance Trust, which
are included in separate reports.
27
<PAGE>
SELECT ADVISORS PORTFOLIOS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
3. PURCHASES AND SALES OF INVESTMENT SECURITIES
Investment transactions (excluding purchases and sales of U.S. government
and U.S. government agency obligations and excluding short-term investments) for
the six months ended June 30, 1996 were as follows:
<TABLE>
<CAPTION>
EMERGING INTERNATIONAL GROWTH & INCOME MUNICIPAL
GROWTH EQUITY INCOME BALANCED OPPORTUNITY BOND BOND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------- ------------ ------------ ------------ ----------
<S> <C> <C> <C> <C> <C> <C> <C>
Cost of purchases $ 3,033,729 $ 3,630,754 $ 10,445,763 $ 1,121,499 $ 4,776,697 $ 4,036,197 $ 319,861
Proceeds from sales 2,677,178 2,440,075 9,189,800 1,020,810 3,458,394 3,319,374 209,191
</TABLE>
The following Portfolios had transactions in U.S. government and U.S.
government agency obligations:
<TABLE>
<CAPTION>
INCOME
BALANCED OPPORTUNITY BOND
PORTFOLIO PORTFOLIO PORTFOLIO
---------- ----------- ------------
<S> <C> <C> <C>
Cost of purchases $ 614,773 $ 121,595 $ 1,525,581
Proceeds from sales 379,815 115,845 1,991,336
</TABLE>
4. EXPENSE REIMBURSEMENTS
For the six months ended June 30, 1996, the Advisor has voluntarily agreed
to reimburse each Portfolio in order to reduce operating expenses.
5. RESTRICTED SECURITIES
As of June 30, 1996, Bond Portfolio held restricted securities valued at
$1,047,388, representing 8.2% of net assets. Acquisition date and cost of each
are as follows:
<TABLE>
<CAPTION>
ACQUISITION
DATE COST
--------------- ----------
<S> <C> <C>
Mercantile Safe Deposit 3/28/85 $ 105,603
Central America, Series F 8/1/86 150,000
Central America, Series G 8/1/86 150,000
Central America, Series H 8/1/86 150,000
Republic of Honduras, Series B 5/1/88 92,683
Republic of Honduras, Series C 5/1/88 100,000
Republic of Honduras, Series D 5/1/88 100,000
Star Banc Corporation 7/23/91 42,857
</TABLE>
Bond Portfolio received these securities from Western-Southern on October 4,
1994 in exchange for a proportionate interest in the Portfolio.
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