<PAGE> 1
[LOGO TOUCHSTONE]
------------------------------
The Touchstone Family of Funds
-------------
Select Advisors Portfolios
- Emerging Growth Portfolio
- International Equity Portfolio
- Growth & Income Portfolio
- Balanced Portfolio
- Income Opportunity Portfolio
- Bond Portfolio
- --------------------------------------------------------------------------------
ANNUAL REPORT
DECEMBER 31, 1997
- --------------------------------------------------------------------------------
<PAGE> 2
EMERGING GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (Note 1)
- ------- ----------
<C> <S> <C>
COMMON STOCKS (91.7%)
ADVERTISING (0.2%)
1,500 Mastering*...................... $ 13,688
----------
AUTOMOTIVE (2.4%)
1,800 Bandag, Class A................. 86,175
3,800 Exide........................... 98,325
----------
184,500
----------
BANKING (5.3%)
2,000 Bank United, Class A............ 97,875
3,700 Dime Bancorp., Inc. ............ 111,925
5,100 Golden State Bancorp*........... 190,613
----------
400,413
----------
BEVERAGES, FOOD & TOBACCO (3.2%)
3,700 DiMon........................... 97,125
4,200 Ralcorp Holdings*............... 71,138
1,500 Robert Mondavi, Class A*........ 73,125
----------
241,388
----------
BUILDING MATERIALS (2.7%)
4,100 Calmat.......................... 114,288
2,400 Martin Marietta Materials....... 87,750
----------
202,038
----------
CHEMICALS (2.8%)
6,200 Calgon Carbon................... 66,650
2,500 Standard Products............... 64,063
5,100 Vivid Technologies*............. 80,963
----------
211,676
----------
COMMERCIAL SERVICES (9.5%)
3,000 Administaff*.................... 77,625
2,300 Advance Paradigm*............... 73,025
4,800 A.C. Nielson*................... 117,000
4,000 Boron Lepore & Associates*...... 110,000
4,900 Metromail*...................... 87,588
1,300 National Service Industries..... 64,431
2,000 Stewart Enterprises............. 93,250
2,600 Wallace Computer Services....... 101,075
----------
723,994
----------
COMMUNICATIONS (1.6%)
2,400 Cable Design Technologies*...... 93,300
2,000 Geotel Communications*.......... 31,250
----------
124,550
----------
COMPUTERS & INFORMATION (7.4%)
2,600 EMC*............................ 71,338
3,900 Gerber Scientific............... 77,513
9,900 Intergraph*..................... 99,000
3,800 Saville Systems, ADR*........... 157,700
6,700 Scitex*......................... 80,819
2,016 Sterling Commerce*.............. 77,490
----------
563,860
----------
COMPUTER SOFTWARE &
PROCESSING (8.7%)
2,200 Cambridge Technology
Partners*....................... 91,575
1,000 CBT Group*...................... 82,125
2,200 HNC Software*................... 94,600
2,500 Keane*.......................... 101,563
1,600 Policy Management System*....... 111,300
8,000 PSW Technologies*............... 116,000
1,600 Wind River Systems*............. 63,500
----------
660,663
----------
ELECTRONICS (3.8%)
1,200 Commscope*...................... $ 16,125
4,300 Magnetek*....................... 83,850
990 Sanmina*........................ 67,073
4,000 Sipex Corporation*.............. 121,000
----------
288,048
----------
ENTERTAINMENT & LEISURE (1.0%)
2,000 Cinar Films, Class B*........... 77,750
----------
FINANCIAL SERVICES (5.6%)
2,325 First Security.................. 97,359
4,300 Life USA Holdings*.............. 72,563
2,400 Meditrust....................... 87,900
1,200 Seacor Smit*.................... 72,300
6,000 T&W Financial*.................. 99,750
----------
429,872
----------
HEALTH CARE PROVIDERS (1.0%)
8,000 Dianon Systems*................. 75,000
----------
HEAVY INDUSTRY (2.5%)
4,200 Comfort Systems USA*............ 82,950
2,299 Flowserve....................... 64,228
2,700 Global Industrial
Technologies*................... 45,731
----------
192,909
----------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCE (2.2%)
1,600 Herman Miller................... 87,300
1,900 LA-Z-Boy Chair.................. 81,938
----------
169,238
----------
INDUSTRIAL (3.9%)
3,000 CN Biosciences*................. 75,000
3,000 General Cable................... 108,563
2,800 Wesley Jessen Visioncare*....... 109,200
----------
292,763
----------
INSURANCE (2.0%)
900 HSB Group....................... 49,669
2,700 Western National................ 79,988
1,900 Willis Coroon Group, ADR........ 23,394
----------
153,051
----------
MEDIA--BROADCASTING & PUBLISHING
(4.4%)
1,700 American Radio Systems*......... 90,622
1,100 Central Newspapers, Class A..... 81,331
7,100 Hollinger International......... 99,400
2,100 Lee Enterprises................. 62,081
----------
333,434
----------
MEDICAL (0.7%)
3,300 Atria Communities*.............. 56,513
----------
MEDICAL SUPPLIES (2.2%)
3,100 EG&G............................ 64,519
6,100 Elsag Bailey*................... 100,650
----------
165,169
----------
METALS (1.0%)
1,700 Harsco.......................... 73,313
----------
OIL & GAS (3.7%)
2,800 Equitable Resources............. 99,050
11,000 Grey Wolf*...................... 59,125
2,700 Nabors Industries*.............. 84,881
2,800 Quaker State.................... 39,900
----------
282,956
----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
16
<PAGE> 3
EMERGING GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (Note 1)
- ------- ----------
<S> <C> <C>
COMMON STOCKS--CONTINUED
PHARMACEUTICALS (1.3%)
5,300 Digene*......................... $ 45,713
7,000 Sequus Pharmaceuticals*......... 52,063
----------
97,776
----------
REAL ESTATE (2.4%)
2,300 Arden Realty Group.............. 70,725
2,500 CCA Prison Realty Trust......... 111,563
----------
182,288
----------
RETAILERS (2.5%)
11,500 Charming Shoppes................ 53,906
2,600 Stanhome........................ 66,788
3,000 Zale*........................... 69,000
----------
189,694
----------
TEXTILES, CLOTHING & FABRICS
(1.8%)
2,200 Albany International............ 50,600
7,100 Stride Rite..................... 85,200
----------
135,800
----------
TRANSPORTATION (5.9%)
2,000 Alexander & Baldwin............. 54,625
6,800 Fritz Companies*................ 94,775
4,400 JB Hunt Transportation
Services........................ 82,500
3,800 Knightsbridge Tankers........... 107,588
4,300 Newport News Shipbuilding....... 109,381
----------
448,869
----------
TOTAL COMMON STOCKS (COST $5,405,843).....
$6,971,213
----------
TOTAL INVESTMENTS AT VALUE (91.7%) (COST
$5,405,843)(a)............................ 6,971,213
CASH AND OTHER ASSETS NET OF LIABILITIES
(8.3%).................................... 629,084
----------
NET ASSETS (100.0%)....................... $7,600,297
==========
</TABLE>
- -----------
NOTES TO THE SCHEDULE OF INVESTMENTS:
* Non-income producing security.
(a) The aggregate identified cost for federal income tax purposes is $5,406,241,
resulting in gross unrealized appreciation and depreciation of $1,689,435
and $124,463, respectively and net unrealized appreciation of $1,564,972.
ADR - American Depositary Receipt
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (Note 1)
- ---------- ----------
<S> <C> <C>
COMMON STOCKS (94.6%)
ARGENTINA (0.0%)
1 Compania Naviera Perez
Companc.................... $ 7
----------
AUSTRIA (0.6%)
950 Erste Banks.................. 47,344
----------
BRAZIL (1.1%)
1,900 Cia Paranaense Energy, ADR... 26,006
292,000 Saneamento Basico............ 69,334
----------
95,340
----------
CANADA (3.5%)
865 BCE.......................... 28,961
1,886 Canadian Imperial Bank of
Commerce................... 58,725
300 Newbridge Networks*.......... 10,548
200 Northern Telecom............. 17,829
2,350 Petro-Canada................. 43,164
1,320 Royal Bank of Canada......... 69,960
1,500 Suncor Energy................ 51,429
630 Talisman Energy.............. 18,735
----------
299,351
----------
CHILE (1.0%)
1,325 Chilectra ADR................ 33,844
1,620 Compania De
Telecomunicaciones ADR..... 48,398
----------
82,242
----------
DENMARK (0.8%)
181 Den Danske Bank.............. $ 24,127
3,160 Sas Danmark.................. 46,136
----------
70,263
----------
FINLAND (0.8%)
1,804 Pohjola Insurance, Class B... 66,899
----------
FRANCE (12.3%)
322 Accor........................ 59,888
1,023 Alcatel Alsthom.............. 130,075
1,226 AXA.......................... 94,897
1,022 Banque National De Paris..... 54,340
1,047 Cap Gemini................... 85,880
1,424 Credit Commercial De
France..................... 97,632
1,921 France Telecom............... 69,701
1,715 Lagardere Groupe............. 56,725
2,091 Renault*..................... 58,839
2,854 Rhone Poulenc Series A....... 127,888
731 Societe National
Elf-Aquitaine.............. 85,049
724 Suez Lyonnaise Des Eaux-
Dumex...................... 80,144
482 Total S.A., Series B......... 52,474
----------
1,053,532
----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
17
<PAGE> 4
INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (Note 1)
- ---------- ----------
<C> <S> <C>
COMMON STOCKS--CONTINUED
GERMANY (3.8%)
1,246 Bayerische Vereinsbank....... $ 81,565
204 Mannesmann................... 103,135
1,491 Rhein-Westfael
Elektricitaet.............. 80,023
667 Schering..................... 64,363
----------
329,086
----------
GREAT BRITAIN (28.2%)
1,000 Airtours..................... 20,375
3,900 Allied Irish Banks........... 37,213
7,203 Amvesco...................... 61,636
24,970 Avis Europe.................. 71,391
8,622 Boots........................ 124,176
4,120 British Aerospace............ 117,456
17,226 British Gas.................. 77,558
6,855 British Petroleum............ 90,730
8,400 Compass Group................ 103,380
8,430 CRH*......................... 97,793
1,725 GKN.......................... 35,345
4,312 Glaxo Wellcome............... 102,841
8,892 Great Universal Stores....... 112,066
6,995 JJB Sports................... 75,514
8,992 Lloyds TSB Group............. 117,028
3,441 Mercury Assets Management
Group...................... 96,133
5,683 National Westminster Bank.... 95,061
8,178 Next......................... 93,387
7,275 Railtrack Group.............. 115,594
14,572 Royal & Sun Alliance
Insurance Group............ 146,777
12,170 Sainsbury (J) Finance PLC.... 101,785
13,492 Shell Transport & Trading.... 94,663
1,760 Siebe........................ 34,562
10,061 Tesco........................ 81,832
9,124 Unilever..................... 78,514
2,200 Virgin Express Holdings,
ADR........................ 45,650
17,596 Vodafone Group............... 126,927
16,627 WPP Group.................... 73,219
----------
2,428,606
----------
IRELAND (1.2%)
6,500 Bank Of Ireland.............. 99,756
----------
ISRAEL (0.7%)
1,500 ECI Telecommunications....... 38,250
190 Geotek Communications........ 291
500 Teva Pharmaceutical
Industries, ADR............ 23,656
----------
62,197
----------
ITALY (6.2%)
4,010 Assicurazione Generali....... 98,733
38,235 Credito Italiano............. 118,338
91,868 Montedison................... 82,411
19,700 Stet RISP*................... 86,611
22,100 Telecom Italia Mobile........ 102,025
6,785 Telecom Italia............... 43,427
----------
531,545
----------
JAPAN (10.0%)
500 Acom......................... 27,570
1,000 Aoyama Trading............... 16,925
2,600 Bank of Tokyo................ 35,841
2,000 Bridgestone.................. 43,347
1,000 Canon........................ 23,282
4,000 Fujitsu...................... 42,887
1,000 Fuji Photo Film.............. $ 38,292
1,000 Honda Motor.................. 36,684
2 Japan Tobacco................ 14,183
2,000 Kao.......................... 28,796
600 Konami Company............... 14,750
3,000 Minebea...................... 32,165
2,000 Mitsubishi Estate............ 21,750
3,000 Mitsubishi Trust & Bank...... 30,098
300 Nintendo..................... 29,638
2,000 Nippon Comsys................ 24,660
8 Nippon Telegraph and
Telephone.................. 34,310
100 Nippon Television Network.... 29,332
1,000 Nomura Securities............ 13,326
460 Promise Company.............. 25,506
1,000 Sankyo....................... 22,592
2,000 Sekisui House................ 12,851
500 Sony......................... 44,419
1,000 TDK.......................... 75,359
2,000 Terumo....................... 29,408
1,600 Tokyo Electric Power......... 29,163
2,000 Toyota Motor................. 57,285
1,000 Yamanouchi Pharmaceutical.... 21,444
----------
855,863
----------
MEXICO (2.9%)
11,800 Cemex, Class B*.............. 62,725
11,315 Fomento Economico Mexicano,
Class B.................... 90,991
20,400 Kimberly-Clark Mexico, Series
A.......................... 96,559
----------
250,275
----------
NETHERLANDS (4.7%)
1,190 Ahrend....................... 37,406
1,010 Benckiser.................... 41,815
2,650 Ing Groep.................... 111,675
1,876 Koninklijke PTT Nederland NV... 78,317
872 Philips Electronics.......... 52,324
2,880 Verenigde Nederlandse........ 81,291
----------
402,828
----------
NORWAY (0.2%)
1,086 Sas Norge, Class B........... 15,151
----------
PORTUGAL (0.5%)
200 Portugal Telecom, ADR........ 9,400
800 Portugal Telecom............. 37,120
----------
46,520
----------
RUSSIA (0.8%)
300 AO Tatneft ADR............... 42,633
2,875 JSC Surgutneftegaz ADR....... 29,386
----------
72,019
----------
SPAIN (1.5%)
1,535 Banco Popular Espanola....... 107,304
853 Sol Melia.................... 34,154
----------
141,458
----------
SWEDEN (3.3%)
635 Electrolux................... 44,084
11,600 Nordbanken Holding*.......... 65,623
1,400 Skandia Forsaekrings......... 66,059
4,634 Forenings Sparbanken......... 105,387
----------
281,153
----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
18
<PAGE> 5
INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (Note 1)
- ---------- ----------
<S> <C> <C>
COMMON STOCKS--CONTINUED
SWITZERLAND (9.5%)
14 Julius Baer Holdings......... $ 25,945
29 Kuoni Reisen Holdings........ 108,575
61 Liechtenstein Global Trust... 37,751
118 Novartis..................... 191,966
131 Rentenenstalt................ 102,750
14 Roche Holding................ 69,433
59 Sairgroup*................... 80,692
302 Schweizerische Bankverein*... 93,759
36 Swiss Reinsurance............ 67,256
27 Union Bank of Switzerland.... 38,995
----------
817,122
----------
RUSSIA (0.5%)
1,300 Lukoil Holdings.............. 40,351
----------
VENEZUELA (0.5%)
1,000 Cia Anonima Nacional
Telefonos De Venezuela
ADR*....................... 41,625
----------
TOTAL COMMON STOCKS (COST $7,344,334).....
8,130,533
----------
PREFERRED STOCKS (2.6%)
BRAZIL (0.0%)
55,000 Cia Paranaense De Energia
PFB........................ 747
----------
GERMANY (2.6%)
1,875 Henkel....................... $ 118,361
314 Sap.......................... 102,775
----------
221,136
----------
TOTAL PREFERRED STOCKS (COST $187,288).... 221,883
----------
TOTAL INVESTMENTS AT VALUE (97.2%) (COST
$7,531,622)(a)............................ 8,352,416
CASH AND OTHER ASSETS NET OF LIABILITIES
(2.8%).................................... 241,047
----------
NET ASSETS (100.0%)....................... $8,593,463
==========
</TABLE>
- ------------------------------
NOTES TO THE SCHEDULE OF INVESTMENTS:
* Non-income producing security.
(a) The aggregate identified cost for federal income tax purposes is $7,577,991,
resulting in gross unrealized appreciation and depreciation of $999,459 and
$225,034, respectively, and net unrealized appreciation of $774,425.
ADR - American Depositary Receipt
PFB - Preferred Shares -- Class B
RISP - Risparmio (Italian "Savings Shares")
- --------------------------------------------------------------------------------
GROWTH & INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (Note 1)
- --------- -----------
<C> <S> <C>
COMMON STOCKS (97.0%)
AEROSPACE & DEFENSE (3.0%)
4,700 Rockwell International........ $ 245,575
10,700 T R W......................... 571,113
-----------
816,688
-----------
AUTOMOTIVE (5.8%)
7,500 Dana.......................... 356,250
5,900 Echlin........................ 213,506
11,600 Ford Motor.................... 564,775
8,600 Meritor Automotive............ 181,138
5,100 Paccar........................ 267,750
-----------
1,583,419
-----------
BANKING (12.7%)
1,100 Centura Banks................. 75,900
4,800 Chase Manhattan............... 525,600
1,700 First American................ 84,575
7,900 First Commerce................ 531,275
1,100 First Tennessee National...... 73,425
7,200 Firstar....................... 305,550
8,600 Key........................... 608,988
9,100 Nationsbank................... 553,394
11,000 North Folk Bancorp............ 369,188
2,800 US Bancorp.................... 313,425
-----------
3,441,320
-----------
BEVERAGES, FOOD & TOBACCO
(7.6%)
3,800 General Mills................. $ 272,175
11,900 Heinz (H. J.)................. 604,669
13,600 Philip Morris Companies....... 616,250
9,600 Unilever, ADR................. 599,400
-----------
2,092,494
-----------
CHEMICALS (6.7%)
2,900 Akzo NV, ADR.................. 251,938
3,900 Betzdearborn.................. 238,144
2,200 Dow Chemical Company.......... 223,300
5,100 Eastman Chemical Company...... 303,769
8,500 Imperial Chemical
Industries, ADR............. 551,969
5,700 Olin.......................... 267,188
-----------
1,836,308
-----------
COMMERCIAL SERVICES (6.3%)
1,500 Browning-Ferris Industries.... 55,500
9,800 Cinergy....................... 375,463
7,000 CMS Energy.................... 308,438
9,400 Duke Energy................... 520,525
8,300 Pacificorp.................... 226,694
7,800 Unicom Corporation............ 239,850
-----------
1,726,470
-----------
COSMETICS & PERSONAL CARE
(0.9%)
4,200 Avon Products................. 257,775
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
19
<PAGE> 6
GROWTH & INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (Note 1)
- --------- -----------
<S> <C>
COMMON STOCKS--CONTINUED
ELECTRIC UTILITIES (1.3%)
5,600 Entergy....................... $ 167,650
2,100 Southern...................... 54,338
4,700 Wisconsin Energy.............. 135,125
-----------
357,113
-----------
ELECTRONICS (1.4%)
4,700 AMP........................... 197,400
4,000 Thomas & Betts................ 189,000
-----------
386,400
-----------
FINANCIAL SERVICES (8.7%)
5,100 Corestates Financial.......... 408,319
2,500 Federal National Mortgage
Association................. 142,645
5,100 First Union................... 261,375
1,900 Fleet Financial Group......... 142,381
15,300 HomeCorp*..................... 447,525
1,100 J P Morgan.................... 124,163
5,300 Meditrust..................... 194,113
5,600 Nationwide Health
Properties.................... 142,800
5,600 Old Kent Financial............ 221,900
12,000 Security Capital Industrial
Trust......................... 298,500
-----------
2,383,721
-----------
FOREST PRODUCTS & PAPER (6.8%)
4,900 Boise Cascade................. 148,225
4,500 Georgia-Pacific (Timber
Group)*....................... 102,094
4,800 Georgia-Pacific............... 291,600
8,800 Kimberly-Clark................ 433,950
4,800 Louisiana Pacific............. 91,200
13,700 Mead.......................... 383,600
5,100 Westvaco...................... 160,331
5,100 Weyerhauser................... 250,219
-----------
1,861,219
-----------
HOME CONSTRUCTION, FURNISHINGS
& APPLIANCES (1.0%)
4,800 Whirlpool..................... 264,000
-----------
INSURANCE (2.6%)
2,200 Exel Limited.................. 139,425
5,100 Lincoln National.............. 398,438
3,300 Mid Ocean..................... 179,025
-----------
716,888
-----------
MEDICAL SUPPLIES (0.7%)
4,000 Baxter International.......... 201,750
-----------
METALS (2.3%)
9,600 Allegheny Teledyne............ 248,400
6,400 Freeport McMoran Copper &
Gold........................ 98,000
8,700 Oregon Steel Mills............ 185,419
1,700 Phelps Dodge.................. 105,825
-----------
637,644
-----------
OFFICE EQUIPMENT (2.3%)
8,600 Xerox......................... 634,788
-----------
OIL & GAS (7.4%)
6,300 Elf Aquitaine, ADR............ $ 369,338
4,100 MCN Energy Group.............. 165,538
8,000 Texaco........................ 435,000
4,500 Total S.A., ADR............... 249,750
16,000 Williams Companies............ 454,000
10,000 YPF Sociedad Anonima ADR...... 341,875
-----------
2,015,501
-----------
PHARMACEUTICALS (4.0%)
5,400 American Home Products........ 413,100
3,900 Merck......................... 414,375
2,600 Zeneca Group, ADR............. 280,800
-----------
1,108,275
-----------
RETAILERS (4.5%)
5,100 J.C. Penney Company........... 307,594
3,700 May Department Stores......... 194,944
4,300 Mercantile Stores............. 261,763
3,900 Rite Aid...................... 228,881
5,400 Sears Roebuck................. 244,350
-----------
1,237,532
-----------
TELEPHONE SYSTEMS (10.1%)
5,900 Alltel........................ 242,269
4,900 Bell Atlantic................. 445,900
5,500 Bellsouth..................... 309,719
8,300 Frontier...................... 199,719
10,300 GTE........................... 538,175
9,800 SBC Communications............ 717,850
5,100 Sprint........................ 298,988
-----------
2,752,620
-----------
TRANSPORTATION (0.9%)
4,400 CSX........................... 237,600
-----------
TOTAL COMMON STOCKS
(COST $24,433,029)........................ 26,549,525
-----------
<CAPTION>
PRINCIPAL
AMOUNT
- --------
<S> <C> <C>
CONVERTIBLE CORPORATE BONDS (COST
$249,000) (0.9%)
ENTERTAINMENT & LEISURE (0.9%)
$249,000 Loews, 3.125%, 09/15/07....... 246,510
-----------
TOTAL INVESTMENTS AT VALUE (97.9%)
(COST $24,682,029)(a)..................... 26,796,035
CASH AND OTHER ASSETS NET OF LIABILITIES
(2.1%).................................... 577,478
-----------
NET ASSETS (100.0%)....................... $27,373,513
===========
</TABLE>
- ------------------------------
NOTES TO THE SCHEDULE OF INVESTMENTS:
* Non-income producing security.
(a) The aggregate identified cost for federal income tax purposes is
$24,682,029, resulting in gross unrealized appreciation and depreciation of
$2,943,104 and $829,098, respectively, and net unrealized appreciation of
$2,114,006.
ADR - American Depositary Receipt
The accompanying notes are an integral part of the financial statements.
20
<PAGE> 7
BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (Note 1)
- --------- ----------
<S> <C> <C>
COMMON STOCKS (60.5%)
ADVERTISING (1.6%)
2,100 WPP Group...................... $ 94,763
----------
AEROSPACE & DEFENSE (3.3%)
1,800 Boeing......................... 88,088
1,100 Lockheed Martin................ 108,350
----------
196,438
----------
AIRLINES (2.0%)
900 AMR*........................... 115,650
----------
BANKING (3.4%)
800 Citicorp....................... 101,150
300 Wells Fargo.................... 101,831
----------
202,981
----------
BEVERAGES, FOOD & TOBACCO
(2.7%)
1,800 Diageo......................... 68,175
1,900 McDonald's..................... 90,725
----------
158,900
----------
CHEMICALS (2.5%)
3,600 Monsanto....................... 151,200
----------
COMPUTERS & INFORMATION (1.2%)
2,600 EMC*........................... 71,338
----------
ELECTRONICS (10.0%)
2,400 Adaptec*....................... 89,100
1,100 Avnet.......................... 72,600
6,967 Commscope*..................... 93,619
6,300 Nextlevel Systems*............. 112,613
2,000 Solectron*..................... 83,125
3,600 Ucar International*............ 143,775
----------
594,832
----------
ENTERTAINMENT & LEISURE (3.3%)
2,500 Polaroid....................... 121,719
1,200 Time Warner.................... 74,400
----------
196,119
----------
FINANCIAL SERVICES (11.5%)
3,700 Countrywide Credit............. 158,638
1,300 Federal National Mortgage
Association.................. 74,181
2,200 Renaissancere Holdings......... 97,075
5,300 Sabre Group Holding*........... 153,038
2,700 Security Capital Group, Class
B*............................. 87,750
4,400 Security Capital Industrial
Trust*......................... 109,450
----------
680,132
----------
HEALTH CARE PROVIDERS (1.8%)
3,300 Tenet Healthcare*.............. 109,313
----------
HEAVY INDUSTRY (3.5%)
1,400 Caterpillar.................... 67,988
4,000 Lucasvarity.................... 139,500
----------
207,488
----------
INDUSTRIAL (1.8%)
1,400 Armstrong World Industries..... 104,650
----------
LODGING (1.2%)
4,700 Homestead Village Property*.... $ 70,794
----------
METALS (1.2%)
2,700 Allegheny Teledyne............. 69,863
----------
OIL & GAS (2.4%)
2,300 Anadarko Petroleum............. 139,581
----------
REAL ESTATE (1.6%)
2,800 Oakwood Homes.................. 92,925
----------
TELEPHONE SYSTEMS (2.4%)
2,400 Sprint......................... 140,700
----------
TEXTILES, CLOTHING & FABRICS
(3.1%)
9,600 Shaw Industries................ 111,600
1,700 Unifi.......................... 69,169
----------
180,769
----------
TOTAL COMMON STOCKS (COST $3,201,058).....
3,578,436
----------
<CAPTION>
PRINCIPAL
AMOUNT
- --------
<S> <C> <C>
CORPORATE BONDS (14.7%)
BANKING (5.3%)
$ 50,000 Bankers Trust-NY, 7.125%,
03/15/06..................... 51,440
100,000 BB&T, 7.25%, 06/15/07.......... 105,210
100,000 Chase Manhattan, 7.25%,
06/01/07..................... 104,838
358,385 Nykredit, 6.00%, 10/01/26...... 51,005
----------
312,493
----------
BEVERAGES, FOOD & TOBACCO (1.1%)
60,000 Coca-Cola Femsa, 8.95%,
11/01/06..................... 62,583
----------
ELECTRIC UTILITIES (1.6%)
95,000 Financiera Energy, 9.375%,
06/15/06..................... 95,742
----------
FINANCIAL SERVICES (4.1%)
100,000 Bonos Del Tesoro, 8.75%,
05/09/02..................... 94,562
40,000 G.E. Capital Management
Service, 6.50%, 11/25/23..... 36,903
44,500 G.E. Capital Management
Service, 6.50%, 03/25/24..... 43,065
69,000 Paine Webber Group, 7.00%,
03/01/00..................... 69,927
----------
244,457
----------
METALS (1.7%)
100,000 AK Steel, 9.125%, 12/15/06..... 102,500
----------
OIL & GAS (0.9%)
50,000 Petroleos Mexicanos, 8.85%,
09/15/07..................... 49,500
----------
TOTAL CORPORATE BONDS
(COST $861,497)............................ 867,275
----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
21
<PAGE> 8
BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
DECEMBER 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (Note 1)
- --------- ----------
<S> <C> <C>
MORTGAGE BACKED SECURITIES (3.2%)
$ 20,000 Federal Home Loan Mortgage
Corporation, 6.00%,
03/15/08..................... $ 19,927
9,359 Federal National Mortgage
Association, 5.00%,
10/25/03..................... 9,317
45,000 Federal National Mortgage
Association, 6.15%,
10/25/07..................... 44,979
3,066 Merrill Lynch Mortgage
Investment, 9.70%,
07/15/10..................... 3,122
23,825 Merrill Lynch Mortgage
Investment, 7.65%,
01/15/12..................... 24,370
40,000 Merrill Lynch Mortgage
Investment, 7.09%,
12/26/25..................... 40,800
50,000 Prudential Home Mortgage
Securities, 6.25%,
04/25/24..................... 45,950
----------
TOTAL MORTGAGE BACKED SECURITIES
(COST $184,190)............................ 188,465
----------
MUNICIPAL BONDS (4.3%)
40,000 Baltimore Community Development
Financing, 8.20%, 08/15/07... 44,000
7,957 Denver Colorado City & County
Single Family, 7.25%,
12/01/10..................... 8,216
20,000 Michigan State Job Development
Authority, 7.10%, 05/01/98... 20,076
15,000 New York City, New York,
General Obligation, 9.75%,
08/05/12..................... 16,238
40,000 New York State Housing Finance
Agency Service, 7.50%,
09/15/03..................... 41,050
50,000 Ohio Housing Financial Agency,
7.90%, 10/01/14.............. 53,188
30,000 Oklahoma City Airport, 9.40%,
11/01/10..................... 33,713
40,000 Oregon State General
Obligation, 6.90%,
01/01/00..................... 40,267
----------
TOTAL MUNICIPAL BONDS
(COST $244,860)............................ 256,748
----------
U.S. TREASURY OBLIGATIONS (13.0%)
$ 95,000 US Treasury Bond, 6.75%,
08/15/26..................... $ 104,618
65,000 US Treasury Note, 6.125%,
08/31/98..................... 65,223
100,000 US Treasury Note, 5.75%,
10/31/00..................... 100,093
50,000 US Treasury Note, 7.00%,
07/15/06..................... 53,984
100,000 US Treasury Bond, 6.25%,
04/30/01..................... 101,563
320,000 US Treasury Note, 7.25%,
08/15/04..................... 345,875
----------
TOTAL U.S. TREASURY OBLIGATIONS
(COST $748,297)............................ 771,356
----------
SOVEREIGN GOVERNMENT OBLIGATIONS (2.9%)
AUSTRALIA (1.7%)
143,000 Treasury Corp of Victoria,
7.50%, 08/15/08................ 99,865
----------
GREAT BRITAIN (1.2%)
37,000 UK Treasury, 8.00%, 12/07/15... 72,047
----------
TOTAL SOVEREIGN GOVERNMENT OBLIGATIONS
(COST $178,474)............................ 171,912
----------
<CAPTION>
UNITS
- --------
<C> <S> <C>
WARRANTS (0.0%)
FINANCIAL SERVICES (0.0%)
361 Security Capital Group......... 1,895
----------
TOTAL INVESTMENTS AT VALUE (98.6%)
(COST $5,418,376)(a)....................... 5,836,087
CASH AND OTHER ASSETS NET OF LIABILITIES
(1.4%)..................................... 83,614
----------
NET ASSETS (100.0%)........................ $5,919,701
==========
</TABLE>
- ------------------------------
NOTES TO THE SCHEDULE OF INVESTMENTS:
* Non-income producing security.
(a) The aggregate identified cost for federal income tax purposes is $5,418,397,
resulting in gross unrealized appreciation and depreciation of $493,644 and
$75,954, respectively, and net unrealized appreciation of $417,690.
- --------------------------------------------------------------------------------
INCOME OPPORTUNITY PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (Note 1)
- ---------- -----------
<C> <S> <C>
CORPORATE BONDS (34.8%)
BEVERAGES, FOOD & TOBACCO
(2.8%)
$ 300,000 Specialty Foods, 11.125%,
10/01/02.................. $ 303,750
-----------
CASINOS (1.8%)
200,000 Trump Atlantic City, 11.25%,
05/01/06.................. 195,000
-----------
CHEMICALS (7.2%)
$ 200,000 Climachem, 10.75%,
12/01/07.................. $ 206,000
300,000 Panoceanic Bulk, 12.00%,
12/15/07.................. 295,500
250,000 Perry-Judd, 10.625%,
12/15/07.................. 260,000
-----------
761,500
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
22
<PAGE> 9
INCOME OPPORTUNITY PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
DECEMBER 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (Note 1)
- ---------- -----------
<S> <C> <C>
CORPORATE BONDS--CONTINUED
COMPUTER SOFTWARE &
PROCESSING (1.9%)
$ 200,000 Details, 10.00%, 11/15/05... $ 204,500
-----------
ELECTRONICS (1.9%)
200,000 High Voltage Engineering,
10.50%, 08/15/04.......... 207,500
-----------
ENTERTAINMENT & LEISURE
(2.2%)
250,000 Pen-Tab Industries, 10.875%,
02/01/07.................. 240,000
-----------
FOREST PRODUCTS & PAPER
(2.4%)
250,000 Riverwood International,
10.625%, 08/01/07......... 253,750
-----------
HEAVY INDUSTRY (2.3%)
250,000 United Auto Group, 11.00%,
07/15/07.................. 246,250
-----------
INDUSTRIAL (3.8%)
200,000 Iowa Select Farms, 10.75%,
12/01/05.................. 205,250
200,000 Werner Holdings, 10.00%,
11/15/07.................. 205,000
-----------
410,250
-----------
OIL & GAS (2.4%)
250,000 Panaco, 10,625%, 10/01/04... 252,500
-----------
TELEPHONE SYSTEMS (6.1%)
200,000 Hyperion Telecom, 12.25%,
09/01/04.................. 221,000
200,000 Iridium LLC/Capital, 14.00%,
07/15/05.................. 217,000
200,000 Primus Telecommunications,
11.75%, 08/01/04.......... 215,000
-----------
653,000
-----------
TOTAL CORPORATE BONDS (COST
$3,653,486).............................. 3,728,000
-----------
EUROBONDS (23.3%)
BRAZIL (3.4%)
400,000 Paging Network De Brazil,
13.50%, 06/06/05.......... 364,000
-----------
ECUADOR (4.3%)
100,000 Conecel Holdings, 14.00%,
10/01/00.................. 100,000
350,000 Conecel, 14.00%, 05/01/02... 353,500
-----------
453,500
-----------
GREAT BRITAIN (1.9%)
200,000 Dialog, 11.00%, 11/15/07.... 207,500
-----------
HONG KONG (4.1%)
500,000 GS Superhighway Holdings,
10.25%, 08/15/07.......... 435,000
-----------
INDIA (2.5%)
500,000 Nippon Denro Ispat, 3.00%,
04/01/01.................. 270,000
-----------
NETHERLANDS (5.9%)
$ 500,000 DGS International Finance,
10.00%, 06/01/07.......... $ 425,000
250,000 Indah Kiat Fin Mauritius,
10.00%, 07/01/07.......... 210,000
-----------
635,000
-----------
THAILAND (1.2%)
1,250,000 NTS Steel Group Public,
4.00%, 12/16/08........... 125,000
-----------
TOTAL EUROBONDS (COST $3,052,308)........ 2,490,000
-----------
SOVEREIGN GOVERNMENT OBLIGATIONS (5.6%)
RUSSIA (1.4%)
250,000 Russia-Principal Loan (b),
6.719%, 12/15/20.......... 154,700
-----------
VENEZUELA (4.2%)
500,500 Republic of Venezuela,
9.25%, 09/15/27........... 449,449
-----------
TOTAL SOVEREIGN GOVERNMENT OBLIGATIONS
(COST $609,363).......................... 604,149
-----------
YANKEE BONDS (20.2%)
BRAZIL (6.5%)
350,000 Tevecap, 12.63%, 11/26/04... 321,125
400,000 TV Filme, 12.88%,
12/15/04.................. 373,952
-----------
695,077
-----------
INDONESIA (3.5%)
500,000 FSW International, 12.50%,
11/01/06.................. 380,000
-----------
MEXICO (10.2%)
850,000 Grupo Televisa (Zero Coupon
until 05/15/01, 13.25%
thereafter), 05/15/08
(c)....................... 636,479
200,000 Innova S. de R.L., 12.88%,
04/01/07.................. 202,000
250,000 Transport Maritma, 10.00%,
11/15/06.................. 250,313
-----------
1,088,792
-----------
TOTAL YANKEE BONDS (COST $2,298,205)..... 2,163,869
-----------
BRADY BONDS (12.2%)
BULGARIA (5.3%)
350,000 Government of Bulgaria, IAB
(d), 6.69%, 07/28/11...... 256,375
400,000 Government of Bulgaria (d),
6.69%, 07/28/24........... 308,000
-----------
564,375
-----------
ECUADOR (5.2%)
750,000 Republic of Ecuador (d),
3.50%, 02/28/25........... 409,650
188,000 Republic of Ecuador (d),
6.69%, 02/28/25........... 141,714
-----------
551,364
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
23
<PAGE> 10
INCOME OPPORTUNITY PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
DECEMBER 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (Note 1)
- ---------- -----------
<S> <C> <C>
BRADY BONDS--CONTINUED
PERU (1.7%)
$ 300,000 Government of Peru, FLIRB,
3.25%, 03/07/17........... $ 178,140
-----------
TOTAL BRADY BONDS(COST $1,130,066)....... 1,293,879
-----------
<CAPTION>
UNITS
- ----------
<C> <S> <C>
WARRANTS (0.0%)
TELEPHONE SYSTEMS (0.0%)
200 Primus Telecommunications... 2,000
-----------
TOTAL INVESTMENTS AT VALUE (96.1%)
(COST $10,743,428)(a).................... 10,281,897
CASH AND OTHER ASSETS NET OF LIABILITIES
(3.9%)................................... 415,517
-----------
NET ASSETS (100.0%)...................... $10,697,414
===========
</TABLE>
- ------------------------------
NOTES TO THE SCHEDULE OF INVESTMENTS:
(a) The aggregate identified cost for federal income tax purposes is
$10,743,428, resulting in gross unrealized appreciation and depreciation of
$339,291 and $800,822, respectively, and net unrealized depreciation of
$(461,531).
(b) A percentage of income is received as additional shares of securities.
(c) Zero or step coupon bond.
(d) Interest rate shown reflects current rate on instrument with variable or
floating rates
ADR - American Depositary Receipt
FLIRB - Front-Load Interest Reduction Bonds
IAB - Interest Arrears Bond
- --------------------------------------------------------------------------------
BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (Note 1)
- ---------- -----------
<S> <C> <C>
ASSET BACKED SECURITIES (11.6%)
$ 500,000 World Omni Auto Lease,
6.18%, 11/25/03........... $ 500,115
196,111 Chase Manhattan Grantor
Trust, 5.20%, 02/15/02.... 194,652
750,000 Chemical Credit Card Master
Trust, 5.98%, 09/15/08.... 738,735
332,679 Navistar Financial, 6.35%,
11/15/02.................. 333,757
-----------
TOTAL ASSET BACKED SECURITIES (COST
$1,724,961).............................. 1,767,259
-----------
CORPORATE BONDS (34.7%)
BANKING (8.6%)
400,000 Associates Corporation of
North America, 7.88%,
09/30/01.................. 421,692
500,000 Bank of New York, 8.50%,
12/15/04.................. 557,869
225,000 Credit Suisse-London, 7.90%,
05/01/07.................. 237,398
85,875 Mercantile Safe Deposit+,
12.12%, 01/02/01.......... 90,960
-----------
1,307,919
-----------
BEVERAGES, FOOD & TOBACCO
(3.4%)
500,000 Rykoff Sexton, 8.875%,
11/01/03.................. 516,250
-----------
COMMERCIAL SERVICES (4.9%)
500,000 MCN Financing, 6.30%,
06/01/37.................. 500,000
250,000 Mississippi Power & Light,
8.80%, 04/01/05........... 251,078
-----------
751,078
-----------
COMMUNICATIONS (3.4%)
$ 500,000 Harris Corporation, 6.65%,
08/01/06.................. $ 511,561
-----------
ELECTRIC UTILITIES (1.6%)
250,000 AES, 8.50%, 11/01/07........ 250,000
-----------
FINANCIAL SERVICES (2.3%)
350,000 First Union, 6.55%,
10/15/35.................. 352,706
-----------
FOREST PRODUCTS & PAPER
(3.5%)
250,000 Georgia Pacific, 9.50%,
05/15/22*................. 284,201
250,000 Sweetheart Cup, 9.63%,
09/01/00.................. 246,250
-----------
530,451
INSURANCE (1.7%)
250,000 Travelers Capital, 7.75%,
12/01/36.................. 259,128
-----------
MEDIA--BROADCASTING &
PUBLISHING (5.3%)
250,000 News America Holdings,
10.13%, 10/15/12.......... 295,675
500,000 Viacom, 7.75%, 06/01/05..... 510,091
-----------
805,766
-----------
TOTAL CORPORATE BONDS (COST
$5,089,592).............................. 5,284,859
-----------
CONVERTIBLE CORPORATE BONDS
(COST $427,109) (2.9%)
MEDIA--BROADCASTING &
PUBLISHING (2.9%)
500,000 Scholastic, 5.00%,
08/15/05.................. 438,125
-----------
MORTGAGE BACKED SECURITIES (18.7%)
586,463 Federal Home Loan Mortgage
Association, 6.00%,
08/01/10.................. 577,800
</TABLE>
The accompanying notes are an integral part of the financial statements.
24
<PAGE> 11
BOND PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
DECEMBER 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (Note 1)
- ---------- -----------
<C> <S> <C>
MORTGAGE BACKED SECURITIES--CONTINUED
$ 50,200 Federal Home Loan Mortgage
Association, 6.00%,
10/01/10.................. $ 49,459
173,068 Federal Home Loan Mortgage
Association, 6.00%,
05/01/09.................. 171,125
125,000 Government National Mortgage
Association, 7.50%,
12/15/27.................. 128,008
423,529 Government National Mortgage
Association, 9.00%,
08/15/19.................. 461,345
398,937 Government National Mortgage
Association, 6.50%,
01/15/24.................. 395,673
493,189 Government National Mortgage
Association, 7.00%,
06/15/09.................. 502,875
63,268 Government National Mortgage
Association, 10.25%,
07/15/12.................. 63,268
500,000 Advanta Mortgage Loan Trust,
6.03%, 08/25/11........... 497,350
-----------
TOTAL MORTGAGE BACKED SECURITIES (COST
$2,774,651).............................. 2,846,903
-----------
U.S. GOVERNMENT & AGENCY OBLIGATIONS
(11.9%)
$ 750,000 US Treasury Note, 6.125%,
08/15/07.................. $ 770,859
250,000 US Treasury Note, 6.50%,
05/31/02.................. 257,344
750,000 US Treasury Note, 6.375%,
08/15/27.................. 790,781
-----------
TOTAL U.S. GOVERNMENT & AGENCY
OBLIGATIONS (COST $1,802,285)............ 1,818,984
-----------
YANKEE BONDS (6.8%)
CANADA (4.2%)
600,000 Province of Quebec, 7.50%,
07/15/23.................. 646,944
-----------
KOREA (2.6%)
500,000 Pohang Iron & Steel, 7.50%,
08/01/02.................. 397,006
-----------
TOTAL YANKEE BONDS (COST $1,096,134)..... 1,043,950
-----------
AGENCY FOR INTERNATIONAL DEVELOPMENT
BONDS (5.0%)+
CENTRAL AMERICA (3.2%)
$ 140,000 Central America
International Development,
Series F, 10.00%,
12/01/11.................. $ 164,068
140,000 Central America
International Development,
Series G, 10.00%,
12/01/11.................. 164,068
140,000 Central America
International Development,
Series H, 10.00%,
12/01/11.................. 164,068
-----------
492,204
-----------
HONDURAS (1.8%)
100,000 Republic of Honduras
International Development,
Series, 13.00%,
06/01/11.................. 145,729
100,000 Republic of Honduras
International Development,
Series, 13.00%,
06/01/06.................. 130,265
-----------
275,994
-----------
TOTAL AGENCY FOR INTERNATIONAL
DEVELOPMENT BONDS (COST $620,000)........ 768,198
-----------
PREFERRED STOCKS (6.3%)
INDUSTRIAL (2.9%)
9,600 Appalachian Power........... 247,200
7,500 Ohio Power.................. 192,188
-----------
439,388
-----------
OIL & GAS (3.4%)
20,000 Transcanada Pipelines....... 527,500
-----------
TOTAL PREFERRED STOCKS
(COST $953,164).......................... 966,888
-----------
TOTAL INVESTMENTS AT VALUE (97.9%) (COST
$14,487,896)(a).......................... 14,935,166
CASH AND OTHER ASSETS NET OF LIABILITIES
(2.1%)................................... 327,429
-----------
NET ASSETS (100.0%)...................... $15,262,595
===========
</TABLE>
- ------------------------------
NOTES TO THE SCHEDULE OF INVESTMENTS:
+ Restricted and Board valued security (Note 5).
(a) The aggregate identified cost for federal income tax purposes is
$14,487,896, resulting in gross unrealized appreciation and depreciation of
$571,804 and $124,534, respectively, and net unrealized
appreciation of $447,270.
The accompanying notes are an integral part of the financial statements.
25
<PAGE> 12
(This Page Intentionally Left Blank)
26
<PAGE> 13
SELECT ADVISORS PORTFOLIOS
Statements of Assets and Liabilities
December 31, 1997
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
EMERGING INTERNATIONAL GROWTH & INCOME
GROWTH EQUITY INCOME BALANCED OPPORTUNITY BOND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------- ------------- ----------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments, at value (Note 1)(a) $6,971,213 $8,352,416 $26,796,035 $5,836,087 $10,281,897 $14,935,166
Cash and foreign currency 570,113 243,408 342,487 -- 252,952 124,517
Receivables for:
Securities sold 107,082 29,994 413,371 5,105 -- --
Dividends 6,972 7,720 57,126 2,036 -- 16,978
Foreign tax reclaims 34 9,832 27 89 -- 1,094
Net unrealized gain on forward foreign
currency contracts -- 190 -- 5,637 -- --
Interest 2,281 1,298 3,957 35,962 322,131 191,183
Receivable from Investment Advisor (Note
4) 35,635 130,289 -- 43,898 -- 13,998
Deferred organization expenses (Note 1) 12,382 12,382 12,382 12,382 12,382 12,382
---------- ---------- ----------- ---------- ----------- -----------
Total assets 7,705,712 8,787,529 27,625,385 5,941,196 10,869,362 15,295,318
---------- ---------- ----------- ---------- ----------- -----------
LIABILITIES:
Payable for investments purchased 77,219 143,002 73,789 -- 141,946 --
Payable to Investment Advisor (Note 2) -- -- 142,613 -- 3,742 --
Due to Custodian -- -- -- 1,479 -- --
Other accrued expenses 28,196 51,064 35,470 20,016 26,260 32,723
---------- ---------- ----------- ---------- ----------- -----------
Total liabilities 105,415 194,066 251,872 21,495 171,948 32,723
---------- ---------- ----------- ---------- ----------- -----------
NET ASSETS:
Applicable to investors' beneficial
interests $7,600,297 $8,593,463 $27,373,513 $5,919,701 $10,697,414 $15,262,595
========== ========== =========== ========== =========== ===========
(a)Cost of investments $5,405,843 $7,531,622 $24,682,029 $5,418,376 $10,743,428 $14,487,896
========== ========== =========== ========== =========== ===========
<CAPTION>
Statements of Operations
For the year ended December 31, 1997
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME (Note 1):
Interest $ 18,125 $ 16,635 $ 42,782 $ 140,386 $1,287,743 $ 1,041,039
Dividends 55,807 122,548(a) 425,029 35,733 -- 45,218
---------- ---------- ----------- ---------- ----------- -----------
Total investment income 73,932 139,183 467,811 176,119 1,287,743 1,086,257
---------- ---------- ----------- ---------- ----------- -----------
EXPENSES:
Administration, custody and fund
accounting 100,241 222,430 111,938 97,151 95,319 104,717
Investment advisory (Note 2) 48,463 73,217 181,803 38,823 66,313 82,976
Audit 17,354 18,737 16,279 11,585 18,587 5,839
Amortization of organization expenses
(Note 1) 7,052 7,052 7,052 7,052 7,052 7,052
Trustee fees (Note 2) 836 1,126 2,782 717 1,459 2,229
Legal 2,147 3,220 7,830 1,680 3,468 5,410
Miscellaneous 1,988 2,986 8,236 1,288 3,172 16,985
---------- ---------- ----------- ---------- ----------- -----------
Total expenses 178,081 328,768 335,920 158,296 195,370 225,208
Reimbursement from Investment
Advisor (Note 4) (84,098) (200,506) (39,190) (82,721) (62,571) (96,974)
---------- ---------- ----------- ---------- ----------- -----------
NET EXPENSES 93,983 128,262 296,730 75,575 132,799 128,234
---------- ---------- ----------- ---------- ----------- -----------
NET INVESTMENT INCOME (LOSS) (20,051) 10,921 171,081 100,544 1,154,944 958,023
---------- ---------- ----------- ---------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on investments 913,915 1,010,270(b) 4,825,120 965,160 410,064 81,483
Net change in unrealized appreciation
(depreciation) on investments 846,170 77,380(c) (380,944) (175,493) (742,747) 96,828
---------- ---------- ----------- ---------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS): 1,760,085 1,087,650 4,444,176 789,667 (332,683) 178,311
---------- ---------- ----------- ---------- ----------- -----------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $1,740,034 $1,098,571 $ 4,615,257 $ 890,211 $ 822,261 $ 1,136,334
========== ========== =========== ========== =========== ===========
</TABLE>
- ------------------------------
(a) Net of foreign tax withholding of $13,986.
(b) Includes foreign currency transactions loss of $46,938.
(c) Includes change in unrealized appreciation on foreign currency transactions
and other assets of $684.
The accompanying notes are an integral part of the financial statements.
27
<PAGE> 14
SELECT ADVISORS PORTFOLIOS
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------
EMERGING GROWTH INTERNATIONAL EQUITY
PORTFOLIO PORTFOLIO
------------------------ ------------------------
1997 1996 1997 1996
FOR THE YEARS ENDED DECEMBER 31, ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss) (20,051) (10,291) 10,921 20,197
Net realized gain (loss) on investments 913,915 281,561 1,010,270 134,444
Net change in unrealized appreciation (depreciation) on
investments 846,170 222,880 77,380 476,242
---------- ---------- ---------- ----------
Net increase in net assets resulting from operations 1,740,034 494,150 1,098,571 630,883
---------- ---------- ---------- ----------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTEREST:
Contributions 2,100,799 1,861,907 1,464,035 1,107,986
Withdrawals (843,327) (1,631,580) (540,590) (275,007)
---------- ---------- ---------- ----------
Net increase from investors' transactions: 1,257,472 230,327 923,445 832,979
---------- ---------- ---------- ----------
TOTAL INCREASE IN NET ASSETS 2,997,506 724,477 2,022,016 1,463,862
NET ASSETS:
Beginning of period 4,602,791 3,878,314 6,571,447 5,107,585
---------- ---------- ---------- ----------
End of period $7,600,297 $4,602,791 $8,593,463 $6,571,447
========== ========== ========== ==========
<CAPTION>
Ratios and Supplementary Data
- ------------------------------------------------------------------------------------------------------------------
EMERGING GROWTH INTERNATIONAL EQUITY
PORTFOLIO PORTFOLIO
------------------------------------- ------------------------------------
1997 1996 1995 1994(a) 1997 1996 1995 1994(a)
FOR THE YEARS ENDED DECEMBER 31, ------- ------- ----- ------- ------- ------- ---- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Ratios to average net assets:
Net expenses 1.55% 1.61% 1.59% 2.56%(b) 1.66% 1.67% 1.65% 3.20%(b)
Net investment income (loss) (0.33%) (0.23%) (0.12%) 5.51%(b) 0.14% 0.35% 0.09% (1.68%)(b)
Ratios of expenses to average net
assets without waiver and
reimbursement 2.94% 2.94% 3.59% 7.35%(b) 4.26% 3.12% 3.87% 4.62%(b)
Portfolio turnover 101% 117% 109% 150% 151% 86% 90% 7%
Average commission rate(c) $0.0570 $0.0553 -- -- $0.0299 $0.0259 -- --
</TABLE>
- ------------------------------
(a) The Portfolios commenced operations on October 3, 1994.
(b) Ratios are annualized.
(c) For fiscal years beginning on or after September 1, 1995, a fund is required
to disclose its average commission rate per share for security trades on
which commissions are charged. This amount may vary between periods and
funds depending on the volume and character of trades executed in various
markets where trading practices and commission rate structures may differ.
The accompanying notes are an integral part of the financial statements.
28
<PAGE> 15
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------
GROWTH & INCOME BALANCED INCOME OPPORTUNITY BOND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------------------- ----------------------- ------------------------ -------------------------
1997 1996 1997 1996 1997 1996 1997 1996
----------- ----------- ---------- ---------- ----------- ---------- ----------- -----------
<C> <C> <C> <C> <C> <C> <C> <C>
171,081 161,590 100,544 70,858 1,154,944 497,340 958,023 797,564
4,825,120 3,329,104 965,160 145,710 410,064 384,732 81,483 (14,517)
(380,944) (599,755) (175,493) 341,232 (742,747) 175,750 96,828 (399,872)
----------- ----------- ---------- ---------- ----------- ---------- ----------- -----------
4,615,257 2,890,939 890,211 557,800 822,261 1,057,822 1,136,334 383,175
----------- ----------- ---------- ---------- ----------- ---------- ----------- -----------
3,534,026 2,962,725 1,791,228 998,640 9,286,451 4,501,206 2,725,843 867,436
(1,731,931) (473,261) (791,530) (411,455) (6,560,662) (991,120) (2,127,372) (349,615)
----------- ----------- ---------- ---------- ----------- ---------- ----------- -----------
1,802,095 2,489,464 999,698 587,185 2,725,789 3,510,086 598,471 517,821
----------- ----------- ---------- ---------- ----------- ---------- ----------- -----------
6,417,352 5,380,403 1,889,909 1,144,985 3,548,050 4,567,908 1,734,805 900,996
20,956,161 15,575,758 4,029,792 2,884,807 7,149,364 2,581,456 13,527,790 12,626,794
----------- ----------- ---------- ---------- ----------- ---------- ----------- -----------
$27,373,513 $20,956,161 $5,919,701 $4,029,792 $10,697,414 $7,149,364 $15,262,595 $13,527,790
=========== =========== ========== ========== =========== ========== =========== ===========
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
GROWTH & INCOME BALANCED INCOME OPPORTUNITY BOND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ------------------------------------ ----------------------------------- ---------------------------------- -------------
1997 1996 1995 1994(a) 1997 1996 1995 1994(a) 1997 1996 1995 1994(a) 1997 1996
- -------- ------- ----- ------- ------- ------- ----- ------- ------ ------ ------ ------- ----- -----
<C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1.25% 1.00% 1.23% 1.20%(b) 1.50% 1.51% 1.51% 1.33%(b) 1.30% 1.31% 1.42% 2.20%(b) 0.85% 0.85%
0.72% 0.87% 0.91% 1.11%(b) 1.99% 2.06% 2.29% 3.13%(b) 11.32% 11.31% 12.53% 8.09%(b) 6.35% 6.18%
1.49% 1.34% 1.53% 1.95%(b) 3.14% 3.38% 4.39% 6.48%(b) 1.92% 2.74% 4.77% 7.48%(b) 1.49% 1.32%
170% 92% 102% 10% 120% 88% 121% 7% 270% 222% 120% 144% 88% 64%
$0.0554 $0.0571 -- -- $0.0575 $0.0683 -- -- -- -- -- -- -- --
<CAPTION>
BOND
PORTFOLIO
- ---------------
1995 1994(a)
- ----- -------
<C> <C>
1.02% 1.21%(b)
6.66% 6.32%(b)
1.40% 1.76%(b)
78% 11%
-- --
</TABLE>
The accompanying notes are an integral part of the financial statements.
29
<PAGE> 16
SELECT ADVISORS PORTFOLIOS
Notes to Financial Statements
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES:
Select Advisors Portfolios (the "Portfolio Trust") was organized as a New
York master trust fund on February 7, 1994 and is registered under the
Investment Company Act of 1940, as amended (the "Act"), as an open-end
management investment company. The Portfolio Trust consists of eight subtrusts
(each a "Portfolio"), each having distinct investment objectives and policies:
Emerging Growth Portfolio, International Equity Portfolio, Growth & Income
Portfolio, Balanced Portfolio, Income Opportunity Portfolio, Bond Portfolio,
Bond Portfolio II and Growth & Income II. Bond Portfolio II and Growth & Income
II are included in a separate report.
The accounting policies are in conformity with generally accepted
accounting principles ("GAAP") for investment companies. The preparation of
financial statements in conformity with GAAP requires management to make
estimates and assumptions that affect the related amounts and disclosures in the
financial statements. Actual results could differ from these estimates.
The following is a summary of the significant accounting policies of the
Portfolios:
a) Investment Valuation. Securities for which market quotations are
readily available are valued at the last sale price on a national securities
exchange, or, in the absence of recorded sales, at the readily available closing
bid price on such exchanges, or at the quoted bid price in the over-the-counter
market. Securities quoted in foreign currencies are translated into U.S. dollars
at the current exchange rate. Debt securities are valued by a pricing service
which determines valuations based upon market transactions for normal,
institutional-size trading units of similar securities. Securities or other
assets for which market quotations are not readily available are valued at fair
value in good faith under consistently applied procedures in accordance with
procedures established by the Trustees of the Portfolio Trust. Such procedures
include the use of independent pricing services, which use prices based upon
yields or prices of securities of comparable quality, coupon, maturity and type;
indications as to values from dealers; and general market conditions. All
portfolio securities with a remaining maturity of less than 60 days are valued
at amortized cost, which approximates market.
b) Foreign Currency Translation. The accounting records of the Portfolios
are maintained in U.S. dollars. The market value of investment securities, other
assets and liabilities and forward contracts denominated in foreign currencies
are translated into U.S. dollars at the prevailing exchange rates at the end of
the period. Purchases and sales of securities, income receipts, and expense
payments are translated at the exchange rate prevailing on the respective dates
of such transactions. Reported net realized gains and losses on foreign currency
transactions represent net gains and losses from sales and maturities of forward
currency contracts, disposition of foreign currencies, currency gains and losses
realized between the trade and settlement dates on securities transactions and
the difference between the amount of net investment income accrued and the U.S.
dollar amount actually received.
The effects of changes in foreign currency exchange rates on investments in
securities are not segregated in the Statement of Operations from the effects of
changes in market prices of these securities, but are included with net realized
and unrealized gain or loss on investments.
c) Investment Income. Dividend income is recorded on the ex-dividend date
except that certain dividends from foreign securities where the ex-dividend date
has passed are recorded as soon as the Portfolio Trust is informed of the
ex-dividend date. Interest income, which includes the amortization of premium
and accretion of discount, if any, is recorded on an accrual basis. Dividend and
interest income is recorded net of foreign taxes where recovery of such taxes is
not assured.
d) Federal Taxes. Each Portfolio is treated as a partnership for federal
income tax purposes. As such, each investor in each Portfolio is subject to
taxation on its share of that Portfolio's ordinary income and capital gains.
Therefore, no provision has been made for federal income taxes. It is intended
that each Portfolio's assets will be managed in such a way that an investor in
the Portfolio will be able to satisfy the requirements of Subchapter M of the
Internal Revenue Code of 1986, as amended.
e) Forward Currency Contracts. Each Portfolio may enter into forward
foreign currency contracts to protect securities and related receivables and
payables against fluctuations in foreign currency rates. A forward contract is
an agreement to buy or sell currencies of different countries on a specified
future date at a specified rate.
30
<PAGE> 17
SELECT ADVISORS PORTFOLIOS
Notes to Financial Statements (continued)
- --------------------------------------------------------------------------------
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. As of December 31, 1997, the following Funds had the following open
foreign currency contracts:
<TABLE>
<CAPTION>
CONTRACTS TO UNREALIZED
FUND NAME MATURITY DATE DELIVER/RECEIVE IN EXCHANGE FOR VALUE GAIN/LOSS
--------- ------------- --------------- --------------- ------- ----------
<S> <C> <C> <C> <C> <C>
International Equity Portfolio
Sales 1/06/98 GBP 271 $ 451 $ 446 $ 5
1/02/98 SEK 66,203 8,526 8,341 185
------
$ 190
======
Balanced Portfolio
Sales 3/03/98 AUD 152,000 102,980 98,770 $4,210
1/09/98 DKK 319,000 47,742 46,596 1,146
3/19/98 GBP 43,000 70,666 70,385 281
------
$5,637
======
</TABLE>
AUD = Australian Dollar, DKK = Danish Krone, GBP = Great British Pound,
SEK = Swedish Krone
f) Repurchase Agreements. Each Portfolio may invest in repurchase
agreements, which are agreements pursuant to which securities are acquired by
the Portfolio from a third party with the commitment that they will be
repurchased by the seller at a fixed price on an agreed upon date. Each
Portfolio may enter into repurchase agreements with banks or lenders meeting the
creditworthiness standards established by the Portfolio Trust Board of Trustees.
The Portfolio, through its custodian, receives as collateral, delivery of the
underlying securities, whose market value is required to be at least 102% of the
resale price at the time of purchase. The resale price reflects the purchase
price plus an agreed upon rate of interest. In the event of counterparty default
the Portfolio has the right to use the collateral to offset losses incurred.
g) Organization Expense. Organization expenses were deferred and are
being amortized by each Portfolio on a straight-line basis over a five-year
period from commencement of operations. Any amount received by the Portfolio
from a corresponding Fund as a result of a redemption by Touchstone Advisors,
Inc. of any of its organizational seed capital shares of the Fund will be
applied so as to reduce the amount of unamortized organization expenses. The
amount paid by the Portfolio Trust on any withdrawal by the Select Advisors
Trust A or Select Advisors Trust C of all or a part of its organizational seed
capital investment ("Initial Interest") in the Portfolio will be reduced by a
portion of any unamortized organization expenses of the Portfolio, determined by
the proportion of the amount of the Initial Interest withdrawn to the aggregate
amount of the Initial Interests in the Portfolio then-outstanding after taking
into account any prior withdrawals of any portion of the Initial Interests in
the Portfolio.
h) Security Transactions. Securities transactions are recorded on a trade
date basis. For financial and tax reporting purposes, realized gains and losses
are determined on the basis of specific lot identification.
2. TRANSACTIONS WITH AFFILIATES
a) Investment Advisor. The Portfolio Trust has an investment advisory
agreement with Touchstone Advisors, Inc. (the "Advisor") a subsidiary of
Western-Southern Life Assurance Company ("Western-Southern"). Under the terms of
the investment advisory agreement, each Portfolio pays an investment advisory
fee that is computed daily and paid monthly. For the year ended December 31,
1997, each Portfolio incurred the following investment advisory fees equal on an
annual basis to the following percentages of the average daily net assets of the
Portfolio. The Balanced Portfolio's advisory fee changed on May 1, 1997, from
0.70% to 0.80%. The Growth & Income Portfolio's advisory fee changed on
September 17, 1997, from 0.75% to 0.80%.
<TABLE>
<CAPTION>
EMERGING INTERNATIONAL GROWTH & INCOME
GROWTH EQUITY INCOME BALANCED OPPORTUNITY BOND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- ------------- --------- --------- ----------- ---------
<S> <C> <C> <C> <C> <C> <C>
Rate 0.80% 0.95% 0.77% 0.77% 0.65% 0.55%
</TABLE>
31
<PAGE> 18
SELECT ADVISORS PORTFOLIOS
Notes to Financial Statements (continued)
- --------------------------------------------------------------------------------
b) Trustees. Each Trustee who is not an "interested person", (as defined
in the Act), of the Portfolio Trust receives an aggregate of $5,000 annually
plus $1,000 per meeting attended as well as reimbursement for reasonable
out-of-pocket expenses from the Portfolio Trust and from Select Advisors Trust
A, Select Advisors Trust C, and Select Advisors Variable Insurance Trust, which
are included in separate annual reports. For December 31, 1997, the Portfolio
Trust incurred $9,149 in Trustee fees which was prorated to each Portfolio.
3. PURCHASES AND SALES OF INVESTMENT SECURITIES
Investment transactions (excluding purchases and sales of U.S. government
and U.S. government agency obligations and excluding short-term investments) for
December 31, 1997, were as follows:
<TABLE>
<CAPTION>
COST OF PURCHASES PROCEEDS FROM SALES
----------------- -------------------
<S> <C> <C>
Emerging Growth Portfolio $ 6,590,581 $ 5,690,121
International Equity Portfolio 11,766,523 10,933,222
Growth & Income Portfolio 40,542,253 39,137,220
Balanced Portfolio 5,975,136 4,777,753
Income Opportunity Portfolio 29,673,647 26,118,264
Bond Portfolio 7,799,209 7,245,455
</TABLE>
The following Portfolios had transactions in U.S. government and U.S.
government agency obligations:
<TABLE>
<CAPTION>
COST OF PURCHASES PROCEEDS FROM SALES
----------------- -------------------
<S> <C> <C>
Balanced Portfolio $1,114,168 $1,059,066
Bond Portfolio 6,121,935 5,187,908
</TABLE>
4. EXPENSE REIMBURSEMENTS
For December 31, 1997, the Advisor has voluntarily agreed to reimburse each
Portfolio the following amounts:
<TABLE>
<CAPTION>
AMOUNT OF
REIMBURSEMENT
-------------
<S> <C>
Emerging Growth Portfolio $ 84,098
International Equity Portfolio 200,506
Growth & Income Portfolio 39,190
Balanced Portfolio 82,721
Income Opportunity Portfolio 62,571
Bond Portfolio 96,974
</TABLE>
5. RESTRICTED SECURITIES
Restricted securities may be difficult to dispose of and involve time
consuming negotiation and expense. Prompt sale of these securities may involve
the seller taking a discount to the security's stated market value. As of
December 31, 1997, Bond Portfolio held restricted securities valued by the
trustees of the Portfolio Trust at $859,157, representing 5.6% 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 $ 85,837
Central America, Series F 8/1/86 140,000
Central America, Series G 8/1/86 140,000
Central America, Series H 8/1/86 140,000
Republic of Honduras, Series C 5/1/88 100,000
Republic of Honduras, Series D 5/1/88 100,000
</TABLE>
Bond Portfolio received these securities from Western-Southern on October
4, 1994, in exchange for a proportionate interest in the Portfolio.
32
<PAGE> 19
Select Advisors Portfolios
Report of Independent Accountants
To the Investors and Trustees of
the Select Advisors Portfolios:
We have audited the accompanying statements of assets and liabilities of
Select Advisors Portfolios (the "Portfolios") (consisting of Emerging Growth
Portfolio, International Equity Portfolio, Growth and Income Portfolio, Balanced
Portfolio, Income Opportunity Portfolio and Bond Portfolio), including the
schedules of investments, as of December 31, 1997, the related statements of
operations for the year then ended, the statements of changes in net assets for
each of the two years in the period then ended and supplemental data for each of
the three years in the period then ended and for the period from October 3, 1994
(commencement of operations) to December 31, 1994. These financial statements
and supplemental data are the responsibility of the Portfolios' management. Our
responsibility is to express an opinion on these financial statements and
supplemental data based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and supplemental
data are free of material misstatement. An audit includes examining, on a test
basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1997 by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and supplemental data referred to
above present fairly, in all material respects, the financial position of the
Select Advisors Portfolios as of December 31, 1997, the results of its
operations for the year then ended, the changes in its net assets for each of
the two years in the period then ended and the supplemental data for each of the
three years in the period then ended and for the period from October 3, 1994
(commencement of operations) to December 31, 1994, in conformity with generally
accepted accounting principles.
COOPERS & LYBRAND L.L.P.
Boston, Massachusetts
February 13, 1998
33
<PAGE> 20
[LOGO TOUCHSTONE]
---------------------------
Touchstone Variable Annuity
--------------
Select Advisors Portfolios
- Growth & Income Portfolio II
- Bond Portfolio II
- --------------------------------------------------------------------------------
ANNUAL REPORT
DECEMBER 31, 1997
- --------------------------------------------------------------------------------
<PAGE> 21
GROWTH & INCOME PORTFOLIO II
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (Note 1)
- -------- --------
<S> <C> <C>
COMMON STOCKS (93.1%)
AEROSPACE & DEFENSE (3.0%)
9,200 Rockwell International........ $ 480,700
17,100 T R W......................... 912,713
-----------
1,393,413
-----------
AUTOMOTIVE (5.3%)
12,100 Dana.......................... 574,750
9,400 Echlin........................ 340,163
18,500 Ford Motor.................... 900,719
13,466 Meritor Automotive............ 283,628
6,700 Paccar........................ 351,750
-----------
2,451,010
-----------
BANKING (11.5%)
3,500 Banc One...................... 190,094
1,700 Centura Banks................. 117,300
8,000 Chase Manhattan............... 876,000
2,700 First American................ 134,325
11,000 First Commerce................ 739,750
1,800 First Tennessee National...... 120,150
11,700 Firstar....................... 496,519
11,900 Key........................... 842,669
13,800 Nationsbank................... 839,213
15,000 North Folk Bancorp............ 503,438
4,900 US Bancorp.................... 548,494
-----------
5,407,952
-----------
BEVERAGES, FOOD & TOBACCO (7.4%)
6,000 General Mills................. 429,750
20,100 Heinz (H. J.)................. 1,021,331
21,700 Philip Morris Companies....... 983,281
16,500 Unilever, ADR................. 1,030,219
-----------
3,464,581
-----------
CHEMICALS (7.5%)
4,600 Akzo NV, ADR*................. 399,625
7,300 Betzdearborn.................. 445,756
3,500 Dow Chemical Company.......... 355,250
8,200 Eastman Chemical Company...... 488,413
10,000 Hercules...................... 500,625
13,600 Imperial Chemical Industries,
ADR......................... 883,150
9,300 Olin.......................... 435,938
-----------
3,508,757
-----------
COMMERCIAL SERVICES (5.6%)
2,600 Browning-Ferris Industries.... 96,200
15,400 Cinergy....................... 590,013
8,900 CMS Energy.................... 392,156
14,700 Duke Energy................... 814,013
13,300 Pacificorp.................... 363,256
11,900 Unicom Corporation............ 365,925
-----------
2,621,563
-----------
COSMETICS & PERSONAL CARE (0.9%)
6,800 Avon Products................. 417,350
-----------
ELECTRIC UTILITIES (1.3%)
9,400 Entergy....................... 281,413
3,500 Southern...................... 90,563
7,900 Wisconsin Energy.............. 227,125
-----------
599,101
-----------
ELECTRONICS (1.3%)
7,200 AMP........................... $ 302,400
6,500 Thomas & Betts................ 307,125
-----------
609,525
-----------
FINANCIAL SERVICES (8.0%)
8,300 Corestates Financial.......... 664,519
4,100 Federal National Mortgage
Association................. 233,956
7,700 First Union................... 394,625
3,100 Fleet Financial Group......... 232,306
15,750 HomeCorp*..................... 460,688
2,700 J P Morgan.................... 304,763
8,700 Meditrust..................... 318,638
9,200 Nationwide Health
Properties.................. 234,600
9,200 Old Kent Financial............ 364,550
19,900 Security Capital Industrial
Trust....................... 495,013
-----------
3,703,658
-----------
FOREST PRODUCTS & PAPER (6.4%)
7,600 Boise Cascade................. 229,900
7,400 Georgia-Pacific (Timber
Group)...................... 167,888
7,900 Georgia-Pacific*.............. 479,925
14,500 Kimberly-Clark................ 715,031
7,400 Louisiana Pacific............. 140,600
20,000 Mead.......................... 560,000
8,900 Westvaco...................... 279,794
8,000 Weyerhauser................... 392,500
-----------
2,965,638
-----------
HOME CONSTRUCTION, FURNISHINGS
& APPLIANCES (0.9%)
7,600 Whirlpool..................... 418,000
-----------
INSURANCE (2.9%)
6,600 Exel Limited.................. 418,275
8,200 Lincoln National.............. 640,625
5,100 Mid Ocean..................... 276,675
-----------
1,335,575
-----------
MEDICAL SUPPLIES (0.7%)
6,600 Baxter International.......... 332,888
-----------
METALS (2.2%)
14,900 Allegheny Teledyne............ 385,538
10,200 Freeport McMoran Copper
& Gold...................... 156,188
13,700 Oregon Steel Mills............ 291,981
2,700 Phelps Dodge.................. 168,075
-----------
1,001,782
-----------
OFFICE EQUIPMENT (2.2%)
13,600 Xerox......................... 1,003,850
-----------
OIL & GAS (7.3%)
10,800 Elf Aquitaine, ADR............ 633,150
6,700 MCN Energy Group.............. 270,513
12,800 Texaco........................ 696,000
9,800 Total S.A., ADR............... 543,900
24,600 Williams Companies............ 698,025
15,700 YPF Sociedad Anonima ADR...... 536,744
-----------
3,378,332
-----------
PHARMACEUTICALS (3.9%)
8,800 American Home Products........ 673,200
6,500 Merck......................... 690,625
</TABLE>
The accompanying notes are an integral part of the financial statements.
36
<PAGE> 22
GROWTH & INCOME PORTFOLIO II
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (Note 1)
- -------- --------
<S> <C> <C>
PHARMACEUTICALS--CONTINUED
4,200 Zeneca Group, ADR............. $ 453,600
-----------
1,817,425
-----------
RETAILERS (4.5%)
8,300 J.C. Penney Company........... 500,594
6,100 May Department Stores......... 321,394
7,900 Mercantile Stores............. 480,913
6,400 Rite Aid...................... 375,600
8,700 Sears Roebuck................. 393,675
-----------
2,072,176
-----------
TELEPHONE SYSTEMS (9.5%)
11,300 Alltel........................ 464,006
7,800 Bell Atlantic................. 709,800
8,800 Bellsouth..................... 495,550
15,700 Frontier...................... 377,770
16,500 GTE........................... 862,125
14,600 SBC Communications............ 1,069,450
8,100 Sprint........................ 474,863
-----------
4,453,564
-----------
TRANSPORTATION (0.8%)
7,000 CSX........................... 378,000
-----------
TOTAL COMMON STOCKS
(COST $40,506,097)........................ 43,334,140
-----------
<CAPTION>
PRINCIPAL VALUE
AMOUNT (Note 1)
- --------- --------
<S> <C> <C>
CONVERTIBLE CORPORATE BONDS (COST
$374,000) (0.8%)
ENTERTAINMENT & LEISURE (0.8%)
$374,000 Loews, 3.125%, 09/15/07....... $ 370,260
-----------
INVESTMENT TRUST (COST $1,297,379) (2.8%)
13,550 S&P 500 Depository Receipt.... 1,313,503
-----------
TOTAL INVESTMENTS AT VALUE (96.7%) (COST
$42,177,476) (a).......................... $45,017,903
CASH AND OTHER ASSETS
NET OF LIABILITIES (3.3%)................. 1,545,079
-----------
NET ASSETS (100.0%)....................... $46,562,982
===========
</TABLE>
- ------------------------------
NOTES TO THE SCHEDULE OF INVESTMENTS:
* Non-income producing security.
(a) The aggregate identified cost for federal income tax purposes
is $42,177,476, resulting in gross unrealized appreciation and
depreciation of $4,295,376 and $1,454,949, respectively, and
net unrealized appreciation of $2,840,427.
ADR - American Depositary Receipt
- --------------------------------------------------------------------------------
BOND PORTFOLIO II
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (Note 1)
- --------- --------
<S> <C> <C>
ASSET BACKED SECURITIES (6.7%)
$ 196,111 Chase Manhattan Grantor
Trust, 5.20%, 02/15/02.... $ 194,652
900,000 Chemical Credit Card Master
Trust, 5.98%, 09/15/08.... 886,482
332,679 Navistar Financial, 6.35%,
11/15/02.................. 333,754
250,000 World Omni Auto Lease,
6.18%, 11/25/03........... 250,058
-----------
TOTAL ASSET BACKED SECURITIES (COST
$1,614,829).............................. 1,664,946
-----------
CORPORATE BONDS (32.7%)
AUTOMOTIVE (0.8%)
200,000 Ford Motor, 6.75%,
05/15/05.................. 202,200
-----------
BANKING (4.8%)
500,000 Bank of New York, 8.50%,
12/15/04.................. 557,869
500,000 Credit Suisse-London, 7.90%,
05/01/07.................. 527,551
85,875 Mercantile Safe Deposit,+
12.125%, 01/02/01......... 90,960
-----------
1,176,380
-----------
BEVERAGES, FOOD & TOBACCO (2.5%)
600,000 Rykoff Sexton, 8.875%,
11/01/03.................. 619,500
-----------
COMMERCIAL SERVICES (2.0%)
$ 500,000 MCN Financing, 6.305%,
06/01/37.................. $ 500,000
-----------
COMMUNICATIONS (2.1%)
500,000 Harris Corporation, 6.65%,
08/01/06.................. 511,561
-----------
ELECTRIC UTILITIES (2.0%)
500,000 AES, 8.50%, 11/01/07........ 500,000
-----------
FINANCIAL SERVICES (6.4%)
250,000 CIT Group Holdings, 6.25%,
11/22/01.................. 249,407
300,000 Discover Card Mastertrust,
6.05%, 08/18/08........... 295,329
350,000 First Union, 6.55%,
10/15/35.................. 352,706
650,000 Safeco Capital, 8.027%,
07/15/37.................. 681,466
-----------
1,578,908
-----------
FOREST PRODUCTS & PAPER (2.6%)
250,000 Georgia Pacific, 9.50%,
05/15/22.................. 284,201
350,000 Sweetheart Cup, 9.625%,
09/01/00.................. 344,750
-----------
628,951
-----------
INSURANCE (1.0%)
250,000 Travelers Capital, 7.75%,
12/01/36.................. 259,128
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
37
<PAGE> 23
BOND PORTFOLIO II
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (Note 1)
- ---------- --------
<S> <C> <C>
MEDIA -- BROADCASTING &
PUBLISHING (3.3%)
$ 250,000 News America Holdings,
10.125%, 10/15/12......... $ 295,678
500,000 Viacom, 7.75%, 06/01/05..... 510,091
-----------
805,769
-----------
OIL & GAS (3.1%)
750,000 Enterprice Oil, 6.70%,
09/15/07.................. 768,690
-----------
TRANSPORTATION (2.1%)
500,000 CSX, 7.45%, 05/01/07........ 530,525
-----------
TOTAL CORPORATE BONDS (COST
$7,819,083).............................. 8,081,612
-----------
CONVERTIBLE CORPORATE BONDS (COST
$427,109) (1.8%)
MEDIA BROADCASTING &
PUBLISHING (1.8%)
500,000 Scholastic, 5.00%,
08/15/05.................. 438,125
-----------
MORTGAGE BACKED SECURITIES (15.4%)
500,000 Advanta Mortgage Loan Trust,
6.03%, 08/25/11........... 497,350
430,505 Federal Government Loan
Mortgage Corporation,
7.00%, 10/01/25........... 435,279
452,345 Federal Government Loan
Mortgage Corporation,
7.00%, 12/01/25........... 457,361
63,268 Government National Mortgage
Association, 10.25%,
07/15/12.................. 63,268
1,100,000 Government National Mortgage
Association, 7.50%,
12/15/27.................. 1,126,468
519,663 Government National Mortgage
Association, 7.00%,
02/15/09.................. 529,868
669,624 Government National Mortgage
Association, 7.50%,
12/15/25.................. 685,736
11,350 Government National Mortgage
Association, 7.50%,
07/15/23.................. 11,623
-----------
TOTAL MORTGAGE BACKED SECURITIES (COST
$3,740,660).............................. 3,806,953
-----------
U.S. GOVERNMENT & AGENCY OBLIGATIONS
(26.9%)
425,000 US Treasury Note, 6.125%,
12/31/01.................. 430,711
750,000 US Treasury Note, 6.50%,
05/31/02.................. 772,031
U.S. GOVERNMENT & AGENCY
OBLIGATIONS -- CONTINUED
$1,000,000 US Treasury Note, 5.875%,
11/15/99.................. $ 1,003,437
500,000 US Treasury Note, 6.75%,
04/30/00.................. 511,406
750,000 US Treasury Note, 7.50%,
11/15/01.................. 795,469
750,000 US Treasury Note, 5.75%,
11/30/02.................. 750,703
1,275,000 US Treasury Note, 6.125%,
08/15/07.................. 1,310,460
1,000,000 US Treasury Note, 6.375%,
08/15/27.................. 1,054,375
-----------
TOTAL U.S. GOVERNMENT & AGENCY
OBLIGATIONS (COST $6,535,307)............ 6,628,592
-----------
YANKEE BONDS (4.6%)
CANADA (2.7%)
600,000 Province of Quebec, 7.50%,
07/15/23.................. 646,944
-----------
KOREA (1.9%)
600,000 Pohang Iron & Steel, 7.50%,
08/01/02.................. 476,407
-----------
TOTAL YANKEE BONDS (COST $1,198,161).....
(1,123,351)
-----------
AGENCY FOR INTERNATIONAL
DEVELOPMENT BONDS+ (3.1%)
CENTRAL AMERICA (2.0%)
140,000 Central America
International Development,
Series F, 10.00%,
12/01/11.................. 164,068
140,000 Central America
International Development,
Series G, 10.00%,
12/01/11.................. 164,068
140,000 Central America
International Development,
Series H, 10.00%,
12/01/11.................. 164,068
-----------
492,204
-----------
HONDURAS (1.1%)
100,000 Republic of Honduras
International Development,
Series D, 13.00%,
06/01/11.................. 145,729
100,000 Republic of Honduras
International Development,
Series C, 13.00%,
06/01/06.................. 130,265
-----------
275,994
-----------
TOTAL AGENCY FOR INTERNATIONAL
DEVELOPMENT BONDS (COST $620,000)........ 768,198
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
38
<PAGE> 24
BOND PORTFOLIO II
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
<TABLE>
<CAPTION>
VALUE
SHARES (Note 1)
- ---------- --------
<S> <C> <C>
PREFERRED STOCKS (3.8%)
INDUSTRIAL (0.6%)
5,400 Appalachian Power........... $ 139,050
-----------
OIL & GAS (3.2%)
29,900 Transcanada Pipelines....... 788,613
-----------
TOTAL PREFERRED STOCKS
(COST $903,875).......................... 927,663
-----------
TOTAL INVESTMENTS AT VALUE (95.0%) (COST
$22,859,024) (a)......................... $23,439,440
CASH AND OTHER ASSETS
NET OF LIABILITIES (5.0%)................ 1,244,934
-----------
NET ASSETS (100.0%)...................... $24,684,374
===========
</TABLE>
- ------------------------------
NOTES TO THE SCHEDULE OF INVESTMENTS:
+ Restricted and Board valued security (Note 5).
(a) The aggregate identified cost for federal income tax purposes
is $22,859,024, resulting in gross unrealized appreciation and
depreciation of $730,263 and $149,847, respectively, and net
unrealized appreciation of $580,416.
The accompanying notes are an integral part of the financial statements.
39
<PAGE> 25
SELECT ADVISORS PORTFOLIOS
Statements of Assets and Liabilities
December 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH &
INCOME BOND
PORTFOLIO II PORTFOLIO II
------------ ------------
<S> <C> <C>
ASSETS:
Investments, at value (Note 1)(a) $45,017,903 $23,439,440
Cash 1,043,721 905,504
RECEIVABLES FOR:
Securities sold 620,056 --
Dividends 94,836 15,048
Interest 7,236 317,670
Reimbursement receivable from Sponsor (Note 3) -- 36,096
Deferred organization expenses (Note 1) 14,812 14,812
----------- -----------
Total assets 46,798,564 24,728,570
----------- -----------
LIABILITIES:
Investment advisory fees payable 50,222 --
Payable for securities purchased 120,878 --
Other accrued expenses 64,482 44,196
----------- -----------
Total liabilities 235,582 44,196
----------- -----------
NET ASSETS:
Applicable to investors' beneficial interests $46,562,982 $24,684,374
=========== ===========
(a) Cost of investments $42,177,476 $22,859,024
=========== ===========
</TABLE>
Statements of Operations
For the year ended December 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH &
INCOME BOND
PORTFOLIO II PORTFOLIO II
------------ ------------
<S> <C> <C>
INVESTMENT INCOME (Note 1):
Interest $ 102,429 $1,271,056
Dividends 585,789 49,383
---------- ----------
Total investment income 688,218 1,320,439
---------- ----------
EXPENSES:
Investment advisory fees (Note 2) 248,984 103,585
Administration and fund accounting fees 79,501 79,501
Sponsor fee (Note 2) 64,647 37,562
Printing expense 45,804 25,993
Audit fees 15,548 15,532
Amortization of organization expenses (Note 1) 8,707 8,707
Custody fees 43,019 33,640
Trustee fees (Note 2) 4,975 2,949
Insurance expense 7,829 4,063
Miscellaneous expense 11,195 6,568
---------- ----------
Total expenses 530,209 318,100
Waiver of Sponsor fee (Note 2) (64,647) (37,562)
Reimbursement from Sponsor (Note 3) (190,812) (139,681)
---------- ----------
Net expenses 274,750 140,857
---------- ----------
NET INVESTMENT INCOME 413,468 1,179,582
---------- ----------
REALIZED AND UNREALIZED GAIN:
Net realized gain on investments 5,279,721 42,062
Net change in unrealized appreciation 455,947 256,174
---------- ----------
NET REALIZED AND UNREALIZED GAIN: 5,735,668 298,236
---------- ----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $6,149,136 $1,477,818
========== ==========
</TABLE>
The accompanying notes are an integral part of the financial statements.
40
<PAGE> 26
SELECT ADVISORS PORTFOLIOS
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH & INCOME BOND
PORTFOLIO II PORTFOLIO II
-------------------------- --------------------------
FOR THE YEARS ENDED DECEMBER 31, 1997 1996 1997 1996
- ------------------------------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 413,468 $ 183,083 $ 1,179,582 $ 810,228
Net realized gain on investments 5,279,721 2,614,611 42,062 52,355
Net change in unrealized appreciation
(depreciation) on investments 455,947 (476,749) 256,174 (481,003)
----------- ----------- ----------- -----------
Net increase in net assets resulting from
operations 6,149,136 2,320,945 1,477,818 381,580
----------- ----------- ----------- -----------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTEREST:
Contributions 21,726,669 6,012,563 8,615,620 2,347,375
Withdrawals (3,283,783) (256,085) (388,462) (54,047)
----------- ----------- ----------- -----------
Net increase from investors' transactions 18,442,886 5,756,478 8,227,158 2,293,328
----------- ----------- ----------- -----------
TOTAL INCREASE IN NET ASSETS 24,592,022 8,077,423 9,704,976 2,674,908
NET ASSETS:
Beginning of period 21,970,960 13,893,537 14,979,398 12,304,490
----------- ----------- ----------- -----------
End of period $46,562,982 $21,970,960 $24,684,374 $14,979,398
=========== =========== =========== ===========
</TABLE>
SUPPLEMENTARY DATA
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH & INCOME BOND
PORTFOLIO II PORTFOLIO II
------------------------------------- -------------------------------------
FOR THE YEARS ENDED DECEMBER 31, 1997 1996 1995 1994(a) 1997 1996 1995 1994(a)
- ------------------------------- ------- ------- ------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS(b):
Net expenses 0.85% 0.85% 0.85% 0.85% 0.75% 0.75% 0.75% 0.75%
Net investment income 1.28% 1.07% 1.27% 2.06% 6.28% 6.18% 6.91% 6.76%
Expenses, without waiver and
reimbursement 1.64% 1.74% 1.77% 2.94% 1.69% 1.76% 1.58% 2.67%
Portfolio turnover 153% 82% 96% 0% 79% 79% 80% 0%
Average commission rate(c) $0.0551 $0.0571 -- -- -- -- -- --
</TABLE>
- ---------------
(a) The portfolios commenced operations on November 21, 1994.
(b) Ratios are annualized.
(c) For fiscal years beginning on or after September 1, 1995, a fund is required
to disclose its average commission rate per share for security trades on
which commissions are charged. This amount may vary between periods and
funds depending on the volume and character of trades executed in various
markets where trading practices and commission rate structures may differ.
The accompanying notes are an integral part of the financial statements.
41
<PAGE> 27
SELECT ADVISORS PORTFOLIOS
Notes to Financial Statements
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Select Advisors Portfolios (the "Portfolio Trust") is registered under the
Investment Company Act of 1940, as amended, as an open-end management investment
company and was organized as a New York master trust fund on February 7, 1994.
There are eight 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, Growth &
Income Portfolio II, and Bond Portfolio II. Only Growth & Income Portfolio II
and Bond Portfolio II are included in this report. The other portfolios are
included in a separate report.
As of December 31, 1997, Touchstone Advisors, Inc., a subsidiary of
Western-Southern Life Assurance Company ("Western-Southern"), and
Western-Southern owned 100% of the interest in the Portfolios.
The accounting policies are in conformity with generally accepted
accounting principles ("GAAP") for investment companies. The preparation of
financial statements in conformity with GAAP requires management to make
estimates and assumptions that affect the related amounts and disclosures in the
financial statements. Actual results could differ from these estimates.
The following is a summary of the significant accounting policies of the
Portfolios:
a) Investment Valuation. Securities for which market quotations are
readily available are valued at the last sale price on a national securities
exchange, or, in the absence of recorded sales, at the readily available closing
bid price on such exchanges, or at the quoted bid price in the over-the-counter
market. Securities quoted in foreign currencies are translated into U.S. Dollars
at the current exchange rate. Debt securities are valued by a pricing service
which determines valuations based upon market transactions for normal,
institutional-size trading units of similar securities. Securities or other
assets for which market quotations are not readily available are valued at fair
value in good faith in accordance with procedures established by the Trustees of
the Portfolio Trust using 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 statements of operations from the effects
of changes in market prices of these securities, but are included with the 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.
Accordingly, no provision has been made for federal income taxes. It is intended
that each Portfolio's assets will be managed in such a way that an investor in
the Portfolio will be able to satisfy the requirements of Subchapter M of the
Internal Revenue Code of 1986, as amended.
e) Forward Currency Contracts. Each Portfolio may enter into forward
foreign currency contracts to protect securities and related receivables and
payables against fluctuations in foreign currency rates. A
42
<PAGE> 28
SELECT ADVISORS PORTFOLIOS
Notes to Financial Statements
- --------------------------------------------------------------------------------
forward contract is an agreement to buy or sell currencies of different
countries on a specified future date at a specified rate.
Risks associated with such contracts include the movement in the value of
the foreign currency relative to the U.S. dollar and the ability of the
counterparty to perform. The market value of the contract will fluctuate with
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) 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. The amount paid by the Trust on any
withdrawal by Touchstone Advisors, Inc. or any other then-current holder of the
organizational seed capital investment ("Initial Interests") 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 Interests in the
Portfolio withdrawn to the amount of the Initial Interests in the Portfolio then
outstanding after taking into account any prior withdrawals of the Initial
Interests in the Portfolio.
g) Securities Transactions. 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) Sponsor. Touchstone Advisors, Inc. ("Sponsor"), as sponsor to the
Trust, pursuant to a Sponsor Agreement provides oversight of the various service
providers to the Trust, including the Trust's Administrator, Custodian and
Transfer Agent. The Sponsor receives a sponsor fee from each portfolio equal on
an annual basis to 0.20% of average daily net assets of that Portfolio. The
Sponsor Agreement may be terminated by the Sponsor or by the Trust on not less
than 30 days prior written notice. The Sponsor has advised the Trust that it
will waive all fees under the Sponsor Agreement through December 31, 1998.
(b) Investment Advisor. The Portfolio Trust also has an investment
advisory agreement with Touchstone Advisors, Inc. Under the terms of the
investment advisory agreement, each Portfolio pays a fee that is computed daily
and paid monthly. Investment advisory fees for Bond Portfolio II is equal on an
annual basis to 0.55% of the average daily net assets. Investment advisory fees
for the Growth & Income Portfolio II was equal to 0.75% of average daily net
assets until September 17, 1997 and changed to 0.80% thereafter.
Fort Washington Investment Advisors, Inc., an affiliate of the Advisor, is
the sub-advisor for the Bond Portfolio II and was the sub-advisor for the Growth
& Income Portfolio II until August 31, 1997. Scudder, Kemper Investments, Inc.
became the sub-advisor for Growth & Income Portfolio II as of September 1, 1997.
(c) Trustees. Each Trustee who is not an "interested person," (as defined
in the Act), of the Portfolio Trust, receives an aggregate of $5,000 annually,
plus $1,000 per meeting attended, as well as, reimbursement for reasonable
out-of-pocket expenses from the Portfolio and from Select Advisors Trust A,
Select Advisors Trust C and Select Advisors Variable Insurance Trust. For the
year ended December 31, 1997, the Growth & Income Portfolio II incurred $4,975
in Trustee Fees and the Bond Portfolio II incurred $2,949 in Trustee Fees.
3. EXPENSE REIMBURSEMENT
The Sponsor has agreed to reimburse each Portfolio so that, following such
reimbursement the aggregate total operating expenses (excluding interest, taxes,
brokerage commission and extraordinary expenses) are not greater, on an
annualized basis, than 0.85% and 0.75% of average daily net assets of Growth &
Income Portfolio II and Bond Portfolio II, respectively. The sponsor has advised
the Trust that it will continue to waive fees and reimburse each Portfolio as
described above through December 31, 1998. For the year ended December 31, 1997,
the sponsor reimbursed $190,812 and $139,681 to the Growth & Income Portfolio II
and Bond Portfolio II, respectively.
4. PURCHASES AND SALES OF INVESTMENT SECURITIES
For the period ended December 31, 1997, the cost of investment securities
purchased was $64,401,153 and $14,407,462, and the proceeds from sales of
investment securities sold were $45,597,935 and $8,802,455, for Growth & Income
Portfolio II and Bond Portfolio II, respectively, excluding U.S. government
obligations and US government agency obligations and short-term investments.
Purchases and sales of U.S. government obligations were $7,954,271 and
$4,512,070, respectively, for Bond Portfolio II.
43
<PAGE> 29
SELECT ADVISORS PORTFOLIOS
Notes to Financial Statements
- --------------------------------------------------------------------------------
5. RESTRICTED SECURITIES
Restricted securities may be difficult to dispose of and involve time
consuming negotiation and expense. Prompt sale of these securities may involve
the seller taking a discount to the security's stated market value. As of
December 31, 1997, Bond Portfolio II held restricted securities valued at
$859,157 by the Trustees, representing 3.48% 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 $ 85,838
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 C................... 5/1/88 100,000
Republic of Honduras, Series D................... 5/1/88 100,000
</TABLE>
Bond Portfolio II received these securities from Western-Southern on
November 21, 1994, in exchange for a proportionate interest in the Portfolio.
44
<PAGE> 30
SELECT ADVISORS PORTFOLIOS
Report of Independent Accountants
- --------------------------------------------------------------------------------
To the Investors and Trustees of
the Select Advisors Portfolios:
We have audited the accompanying statements of assets and liabilities of the
Select Advisors Portfolios (consisting of Growth & Income Portfolio II and Bond
Portfolio II), including the schedules of investments, as of December 31, 1997,
the related statements of operations for the year then ended, the statements of
changes in net assets for each of the two years in the period then ended and
supplementary data for each of the three years in the period then ended and for
the period from November 21, 1994 (commencement of operations) to December 31,
1994. These financial statements and supplementary data are the responsibility
of the Select Advisors Portfolios' management. Our responsibility is to express
an opinion on these financial statements and supplementary data based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and supplementary
data are free of material misstatement. An audit includes examining, on a test
basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1997 by correspondence with the custodian and brokers. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and supplementary data referred to
above present fairly, in all material respects, the financial position of the
Select Advisors Portfolios (consisting of Growth & Income Portfolio II and Bond
Portfolio II) as of December 31, 1997, the results of its operations for the
year then ended, the changes in its net assets for each of the two years in the
period then ended and the supplementary data for each of the three years in the
period then ended and for the period from November 21, 1994 (commencement of
operations) to December 31, 1994, in conformity with generally accepted
accounting principles.
COOPERS & LYBRAND L.L.P.
Boston, Massachusetts
February 13, 1998
<PAGE> 31
DISTRIBUTOR
Touchstone Securities, Inc.
311 Pike Street
Cincinnati, Ohio 45202
(800) 669-2796
INVESTMENT ADVISOR OF EACH PORTFOLIO
Touchstone Advisors, Inc.
311 Pike Street
Cincinnati, Ohio 45202
ADMINISTRATOR OF THE SEPARATE ACCOUNT
Continuum-Vantage
301 West 11th Street
Kansas City, Missouri 64105
TRANSFER AGENT
Investors Bank & Trust Company
P.O. Box 9130
Boston, Massachusetts 02117
ADMINISTRATOR AND CUSTODIAN OF EACH PORTFOLIO
Investors Bank & Trust Company
200 Clarendon Street
Boston, Massachusetts 02116
INDEPENDENT ACCOUNTANTS
Coopers & Lybrand L.L.P.
One International Place
Boston, Massachusetts 02110
LEGAL COUNSEL
Frost & Jacobs
2500 PNC Center
201 East 5th Street
Cincinnati, Ohio 45202
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TOUCHSTONE
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THE MARK OF EXCELLENCE IN INVESTMENT MANAGEMENT(TM)
FORM 7141-9712
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