<PAGE> 1
TOUCHSTONE
FAMILY OF FUNDS
-------------------------------------------
Select Advisors Portfolios
* Emerging Growth Portfolio
* International Equity Portfolio
* Income Opportunity Portfolio
* Value Plus Portfolio
* Growth & Income Portfolio
* Balanced Portfolio
* Bond Portfolio
-----------------
SEMIANNUAL REPORT
JUNE 30, 1998
-----------------
<PAGE> 2
[This Page Intentionally Left Blank]
<PAGE> 3
EMERGING GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- -----------
<C> <S> <C>
COMMON STOCKS--94.8%
AUTOMOTIVE--2.1%
3,200 Bandag, Class A............. $ 110,400
7,900 Exide....................... 132,819
-----------
243,219
-----------
BANKING--3.6%
2,900 Bank United, Class A........ 138,838
3,400 Dime Bancorp................ 101,788
6,300 Golden State Bancorp........ 187,425
-----------
428,051
-----------
BEVERAGES, FOOD & TOBACCO--1.9%
9,200 DiMon....................... 103,500
6,500 Ralcorp Holdings............ 122,688
-----------
226,188
-----------
BUILDING MATERIALS--3.5%
6,700 Calmat...................... 147,400
13,400 Dal-Tile International...... 131,488
3,000 Martin Marietta Materials... 135,000
-----------
413,888
-----------
CHEMICALS--1.5%
11,300 Calgon Carbon............... 112,294
2,500 Standard Products........... 70,313
-----------
182,607
-----------
COMMERCIAL SERVICES--9.7%
11,100 Acsys....................... 152,625
3,000 Administaff*................ 138,375
5,000 Advance Paradigm............ 183,750
6,400 A.C. Nielson*............... 161,600
5,800 ITT Educational Services.... 187,050
5,000 Stewart Enterprises......... 133,125
3,900 Unova....................... 83,850
4,800 Wallace Computer Services... 114,000
-----------
1,154,375
-----------
COMMUNICATIONS--1.0%
3,000 Geotel Communications*...... 122,250
-----------
COMPUTER SOFTWARE & PROCESSING--13.4%
3,200 Cambridge Technology
Partners*................... 174,800
11,500 Carreker-Antinori........... 120,750
2,700 CBT Group, ADR.............. 144,450
7,000 Devry....................... 153,563
4,500 HNC Software*............... 183,649
3,500 Keane*...................... 196,000
3,600 Policy Management System*... 141,300
12,000 PSW Technologies*........... 69,000
9,000 Remedy...................... 153,000
3,500 Transaction Systems
Architects, Series A*....... 134,750
3,300 Wind River Systems*......... 118,388
-----------
1,589,650
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- -----------
<C> <S> <C>
COMPUTERS & INFORMATION--6.8%
3,300 EMC Corporation............. $ 147,881
5,600 Gerber Scientific........... 127,400
15,700 Intergraph*................. 134,431
3,000 Saville Systems, ADR*....... 150,375
10,800 Scitex...................... 141,075
2,016 Sterling Commerce........... 97,776
-----------
798,938
-----------
ELECTRONICS--6.1%
3,500 Advanced Lighting
Technologies................ 81,375
11,000 Aeroflex.................... 114,125
9,300 Commscope................... 150,544
7,400 Magnetek.................... 116,550
3,400 Maxwell Technologies........ 79,050
8,500 Sipex....................... 182,750
-----------
724,394
-----------
ENTERTAINMENT & LEISURE--2.6%
8,800 Cinar Films, Class B........ 171,600
2,900 SFX Entertainment, Class
A........................... 133,038
-----------
304,638
-----------
FINANCIAL SERVICES--2.0%
8,300 Life USA Holdings........... 107,381
5,000 T&W Financial............... 125,625
-----------
233,006
-----------
FOREST PRODUCTS & PAPER--1.1%
11,900 Unisource Worldwide......... 128,669
-----------
HEAVY INDUSTRY--0.8%
4,000 Flowserve................... 98,500
-----------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES--1.8%
3,300 Herman Miller............... 80,231
2,300 LA-Z-Boy Chair.............. 129,950
-----------
210,181
-----------
INDUSTRIAL--5.3%
5,000 CN Bioscience*.............. 125,000
7,000 Comfort Systems*............ 163,625
4,700 Foster Wheeler.............. 100,756
4,350 General Cable............... 125,606
5,000 Wesley Jessen Visioncare*... 115,625
-----------
630,612
-----------
INSURANCE--3.2%
5,900 ARM Financial Group,
Class A..................... 130,538
4,100 HCC Insurance Holdings...... 90,200
3,000 HSB Group................... 160,500
-----------
381,238
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
1
<PAGE> 4
EMERGING GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- -----------
<C> <S> <C>
COMMON STOCKS--CONTINUED
MEDIA--BROADCASTING &
PUBLISHING--6.9%
5,400 American Tower Systems,
Class A..................... $ 134,663
1,700 Central Newspapers, Class
A........................... 118,575
5,200 Gartner Group, Class A...... 182,000
5,300 Gibson Greetings............ 132,500
8,000 Hollinger International..... 136,000
3,600 Lee Enterprises............. 110,250
-----------
813,988
-----------
MEDICAL--0.7%
4,800 Atria Communities*.......... 82,800
-----------
MEDICAL SUPPLIES--3.1%
3,900 EG&G........................ 117,000
5,600 Elsag Bailey*............... 134,750
5,000 OEC Medical Systems......... 112,500
-----------
364,250
-----------
METALS--0.9%
2,200 Harsco...................... 100,788
-----------
OIL & GAS--1.9%
4,000 Equitable Resources......... 122,000
5,000 Nabors Industries*.......... 99,063
-----------
221,063
-----------
PHARMACEUTICALS--0.7%
5,300 Jean Coutu Group, Class A... 81,993
-----------
RESTAURANTS--1.2%
6,100 The Cheesecake Factory...... 138,013
-----------
RETAILERS--4.2%
19,800 Charming Shoppes*........... 94,050
6,700 Coldwater Creek............. 184,250
3,900 Enesco Group................ 119,925
3,000 Zale*....................... 95,438
-----------
493,663
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- -----------
<C> <S> <C>
TELEPHONE SYSTEMS--0.6%
6,000 Startec Global
Communication............... $ 69,000
-----------
TEXTILES, CLOTHING & FABRICS--2.5%
4,422 Albany International........ 105,852
12,200 Stride Rite................. 183,763
-----------
289,615
-----------
TRANSPORTATION--5.7%
10,500 Fritz Companies*............ 140,438
7,700 Halter Marine Group......... 115,981
3,000 JB Hunt Transportation
Services.................... 106,875
3,800 Knightsbridge Tankers....... 101,650
4,500 Newport News Shipbuilding... 120,375
4,500 Yellow...................... 83,531
-----------
668,850
-----------
TOTAL COMMON STOCKS (COST $9,944,204)....
11,194,427
-----------
WARRANTS--0.3%
BANKING--0.3%
6,300 Golden State Bancorp........ 33,469
-----------
TOTAL WARRANTS (COST $0)................. 33,469
-----------
TOTAL INVESTMENTS AT VALUE--95.1% (COST
$9,944,204)(a)........................... 11,227,896
-----------
CASH AND OTHER ASSETS NET OF
LIABILITIES--4.9%........................ 582,217
-----------
NET ASSETS--100.0%....................... $11,810,113
===========
</TABLE>
- ------------------------------
NOTES TO THE SCHEDULE OF INVESTMENTS:
* Non-income producing security.
(a) The aggregate identified cost for federal income tax purposes is $9,944,204,
resulting in gross unrealized appreciation and depreciation of $1,897,607
and $613,915, respectively, and net unrealized appreciation of $1,283,692.
ADR - American Depositary Receipt
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- -----------
<C> <S> <C>
COMMON STOCKS--89.7%
DENMARK--1.2%
1,497 Tele Danmark A/S, Class B... $ 143,900
-----------
FINLAND--2.7%
3,004 Nokia OYJ, Series A......... 222,090
1,934 Pohjola Insurance, Class
B......................... 96,028
-----------
318,118
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- -----------
<C> <S> <C>
FRANCE--18.7%
362 Accor....................... $ 101,383
1,524 Alcatel Alsthom............. 310,520
913 Assurances Generales de
France...................... 51,699
1,720 AXA......................... 193,594
1,358 Banque National De Paris.... 111,041
551 Bouygues.................... 100,140
</TABLE>
The accompanying notes are an integral part of the financial statements.
2
<PAGE> 5
INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- -----------
<C> <S> <C>
COMMON STOCKS--CONTINUED
FRANCE--CONTINUED
1,249 Cap Gemini.................. $ 196,400
1,117 Casino Guichard-Perrachon... 89,264
588 Groupe Danone............... 162,244
1,691 Lafarge..................... 174,936
3,206 Lagardere Groupe............ 133,568
3,148 Renault..................... 179,193
1,554 Rhone Poulenc............... 87,712
1,093 Suez Lyonnaise Des Eaux-
Dumex....................... 180,011
807 Total S.A., Series B........ 104,991
-----------
2,176,696
-----------
GERMANY--12.0%
495 Adidas...................... 86,368
173 Allianz Holdings............ 57,731
5 Allianz..................... 1,655
3,671 BASF........................ 174,640
201 BMW......................... 203,509
1,102 Dresdner Bank............... 59,609
4,065 Lufthansa................... 102,499
3,049 Mannesmann.................. 313,781
2,786 RWE......................... 165,073
240 Volkswagen.................. 232,078
-----------
1,396,943
-----------
GREAT BRITAIN--20.8%
7,203 Amvescap.................... 70,370
30,870 Avis Europe................. 139,880
22,526 BG.......................... 130,626
6,360 Boots....................... 105,469
12,070 British Aerospace........... 92,520
3,901 British Petroleum........... 57,069
15,650 Cable &Wireless
Communications.............. 158,642
16,800 Compass Group............... 193,586
3,712 Electrocomponents........... 29,135
5,750 GKN......................... 73,315
10,154 Great Universal Stores...... 133,962
5,947 Lloyds TSB Group............ 83,573
18,560 National Grid Group......... 125,314
5,683 National Westminster Bank... 101,644
5,915 Orange...................... 63,121
10,800 Rentokil Initial............ 77,735
11,192 Shell Transport & Trading... 79,155
7,884 SmithKline Beecham.......... 95,943
10,024 Unilever.................... 106,802
20,390 Vodafone Group.............. 258,960
20,702 WPP Group................... 135,783
2,264 Zeneca Group................ 97,244
-----------
2,409,848
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- -----------
<C> <S> <C>
IRELAND--3.3%
7,500 Allied Irish Banks.......... $ 108,959
7,111 Bank of Ireland............. 145,835
9,003 CRH......................... 127,572
-----------
382,366
-----------
ISRAEL--0.6%
1,500 ECI Telecommunications...... 56,813
500 Teva Pharmaceutical
Industries, ADR............. 17,594
-----------
74,407
-----------
ITALY--6.5%
36,880 Banca di Roma............... 74,613
32,775 Credito Italiano............ 170,505
55,164 Montedison.................. 68,336
267,190 Seat........................ 179,636
17,030 Telecom Italia Mobile....... 104,005
23,750 Telecom Italia, Non-
Convertible Savings
Shares...................... 115,664
6,785 Telecom Italia.............. 49,617
-----------
762,376
-----------
JAPAN--5.3%
500 Acom........................ 23,843
2,600 Bank of Tokyo............... 27,638
2,000 Bridgestone................. 47,469
1,000 Canon....................... 22,794
4,000 Fujitsu..................... 42,259
1,000 Fuji........................ 34,951
3,000 Minebea..................... 29,979
25 Morgan Stanley Deanwitter
(Sony Corp), CPS............ 42,172
33 Merrill Lynch (Honda Motor),
CPS......................... 33,541
300 Nintendo.................... 28,156
8 Nippon Telegraph &
Telephone................... 33,286
460 Promise..................... 19,006
1,000 Sankyo...................... 22,866
1,000 TDK......................... 74,171
2,000 Terumo...................... 31,839
1,600 Tokyo Electric Power........ 31,492
2,000 Toyota Motor................ 51,956
1,000 Yamanouchi Pharmaceutical... 20,912
-----------
618,330
-----------
MEXICO--1.8%
354 Cemex, Class B.............. 1,564
3,000 Cifra, ADR.................. 43,935
1,463 Fomento Economico Mexico,
ADR......................... 46,085
</TABLE>
The accompanying notes are an integral part of the financial statements.
3
<PAGE> 6
INTERNATIONAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- -----------
<C> <S> <C>
COMMON STOCKS--CONTINUED
MEXICO--CONTINUED
11,100 Kimberly-Clark Mexico,
Series A.................... $ 38,359
1,600 Telefonos De Mexico, ADR.... 76,900
-----------
206,843
-----------
NETHERLANDS--5.2%
2,149 Ing Groep................... 140,859
2,697 Koninklijke................. 103,917
2,742 Nutreco Holding............. 96,071
1,858 OCE......................... 79,179
2,697 TNT Post Groep.............. 69,013
3,210 Verenigde Nederlandse....... 116,733
-----------
605,772
-----------
RUSSIA--0.0%
1,375 JSC Surgutneftegaz, ADR..... 5,573
-----------
SPAIN--2.6%
3,200 Bancaria De Espana.......... 71,784
3,475 Banco Central
Hispanoamericano............ 109,224
2,512 Telefonica De Espana........ 116,140
-----------
297,148
-----------
SWEDEN--2.6%
13,623 Nordbanken Holding.......... 99,968
5,000 Skandia Forsakrings......... 71,500
4,186 ForeningsSparbanken......... 126,021
-----------
297,489
-----------
SWITZERLAND--6.4%
20 Kuoni Reisen Holdings....... 99,531
82 Nestle...................... 175,912
101 Novartis.................... 168,478
36 Swiss Reinsurance........... 91,267
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- -----------
<C> <S> <C>
SWITZERLAND--CONTINUED
18 UBS (Schw. Bank
Gesellschaft)............... $ 32,393
490 Union Bank of Switzerland... 182,645
-----------
750,226
-----------
TOTAL COMMON STOCKS
(COST $8,135,555)....................... 10,446,035
-----------
PREFERRED STOCKS--5.0%
GERMANY--5.0%
2,195 Henkel...................... 217,369
42 Porsche..................... 121,165
354 Sap Vorzug.................. 240,583
-----------
579,117
-----------
TOTAL PREFERRED STOCKS
(COST $345,259)......................... 579,117
-----------
RIGHTS--0.1%
GERMANY--0.1%
13 BMW Rights.................. 12,757
-----------
TOTAL RIGHTS (COST $0).................. 12,757
-----------
TOTAL INVESTMENTS AT VALUE--94.8%
(COST $8,480,814)(a).................... 11,037,909
CASH AND OTHER ASSETS
NET OF LIABILITIES--5.2%................ 603,192
-----------
NET ASSETS--100.0%...................... $11,641,101
===========
</TABLE>
- ------------------------------
NOTES TO THE SCHEDULE OF INVESTMENTS:
(a) The aggregate identified cost for federal income tax purposes is $8,480,814,
resulting in gross unrealized appreciation and depreciation of $2,675,977
and $118,882, respectively, and net unrealized appreciation of $2,557,095.
ADR-American Depositary Receipt
CPS-Currency Protected Security
- --------------------------------------------------------------------------------
GROWTH & INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ -----------
<C> <S> <C>
COMMON STOCKS--95.2%
AEROSPACE & DEFENSE--2.5%
4,800 Lockheed Martin $ 508,200
9,900 Rockwell International.......... 475,819
-----------
984,019
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ -----------
<C> <S> <C>
AUTOMOTIVE--7.6%
14,300 Dana............................ $ 765,050
21,300 Ford Motor...................... 1,256,691
8,100 Goodyear Tire & Rubber.......... 521,944
8,600 Meritor Automotive.............. 206,400
5,000 Paccar.......................... 261,250
-----------
3,011,335
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
4
<PAGE> 7
GROWTH & INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ -----------
<C> <S> <C>
COMMON STOCKS--CONTINUED
BANKING--12.4%
40 Associates First Capital........ $ 3,075
5,210 Banc One........................ 290,761
3,000 Bankers Trust................... 348,188
13,800 Chase Manhattan................. 1,041,900
7,200 Firstar......................... 273,600
7,400 Fleet Financial Group........... 617,900
3,700 J P Morgan...................... 433,363
11,300 Key............................. 402,563
7,800 Nationsbank..................... 596,700
11,550 North Folk Bancorp.............. 282,253
3,475 Old Kent Financial.............. 124,991
11,400 US Bancorp...................... 490,200
-----------
4,905,494
-----------
BEVERAGES, FOOD & TOBACCO--4.9%
15,100 Heinz (H. J.)................... 847,488
12,600 Philip Morris................... 496,125
7,700 Unilever, ADR................... 607,819
-----------
1,951,432
-----------
CHEMICALS--7.2%
2,400 Akzo, ADR....................... 266,100
5,600 Betzdearborn.................... 236,250
4,200 Dow Chemical.................... 406,088
5,500 Eastman Chemical................ 342,375
9,500 Imperial Chemical Industries,
ADR............................. 612,750
17,500 Lyondell Petro Chemical......... 532,656
5,200 Olin............................ 216,775
8,100 Witco........................... 236,925
-----------
2,849,919
-----------
COMMERCIAL SERVICES--6.0%
12,300 Browning-Ferris Industries...... 427,425
14,700 Cinergy......................... 514,500
9,900 Duke Energy..................... 586,575
17,600 Pacificorp...................... 398,200
12,400 Unicom.......................... 434,775
-----------
2,361,475
-----------
COSMETICS & PERSONAL CARE--1.4%
7,000 Avon Products................... 542,500
-----------
ELECTRIC UTILITIES--2.0%
3,400 CMS Energy...................... 149,600
18,100 Southern........................ 501,144
5,200 Wisconsin Energy................ 157,950
-----------
808,694
-----------
ELECTRONICS--0.5%
4,100 Thomas & Betts.................. 201,925
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ -----------
<C> <S> <C>
FINANCIAL SERVICES--3.2%
2,500 Federal National Mortgage
Association..................... $ 151,875
14,762 First Union..................... 859,887
10,400 Nationwide Health Properties.... 248,300
-----------
1,260,062
-----------
FOREST PRODUCTS & PAPER--5.1%
6,200 Boise Cascade................... 203,050
4,600 Georgia-Pacific (Timber
Group).......................... 106,088
7,200 Georgia-Pacific................. 424,350
8,500 Mead............................ 269,875
6,300 Temple-Inland................... 339,413
7,200 Westvaco........................ 203,400
10,200 Weyerhauser..................... 471,113
-----------
2,017,289
-----------
HEAVY INDUSTRY--0.5%
3,400 Caterpillar..................... 179,775
-----------
HOUSEHOLD PRODUCTS--1.5%
17,000 Corning......................... 590,750
-----------
INSURANCE--4.7%
6,600 Exel............................ 513,563
7,700 Lincoln National................ 703,588
3,300 Mid Ocean....................... 259,050
8,800 Safeco.......................... 399,850
-----------
1,876,051
-----------
METALS--1.9%
16,000 Allegheny Teledyne.............. 366,000
9,000 Freeport McMoran Copper &
Gold............................ 128,250
8,700 Oregon Steel Mills.............. 162,038
1,700 Phelps Dodge.................... 97,219
-----------
753,507
-----------
OFFICE EQUIPMENT--2.5%
9,800 Xerox........................... 995,925
-----------
OIL & GAS--9.3%
5,100 Atlantic Richfield.............. 398,438
6,800 British Petroleum, ADR.......... 600,100
9,300 Elf Aquitaine, ADR.............. 660,300
11,800 Texaco.......................... 704,313
7,100 Total S.A., ADR................. 464,163
15,100 Williams Companies.............. 509,625
12,400 YPF Sociedad Anonima, ADR....... 372,775
-----------
3,709,714
-----------
PHARMACEUTICALS--5.3%
14,200 American Home Products.......... 734,850
5,900 Bristol-Myers Squibb............ 678,131
4,500 Smithkline Beecham, ADR......... 272,250
9,600 Zeneca Group, ADR............... 421,200
-----------
2,106,431
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
5
<PAGE> 8
GROWTH & INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ -----------
<C> <S> <C>
COMMON STOCKS--CONTINUED
REAL ESTATE--0.4%
5,600 Arden Realty Group.............. $ 144,900
-----------
RETAILERS--4.4%
8,700 J.C. Penney..................... 629,119
4,600 May Department Stores........... 301,300
5,600 Rite Aid........................ 210,350
9,600 Sears Roebuck................... 586,200
-----------
1,726,969
-----------
TELEPHONE SYSTEMS--9.5%
10,600 Alltel.......................... 492,900
18,000 Bell Atlantic................... 821,250
8,700 Bellsouth....................... 583,988
15,700 Frontier........................ 494,550
12,400 GTE............................. 689,750
9,600 Sprint.......................... 676,800
-----------
3,759,238
-----------
TRANSPORTATION--2.4%
7,100 CSX............................. 323,050
13,200 General Dynamics................ 613,800
-----------
936,850
-----------
TOTAL COMMON STOCKS
(COST $34,884,023)....................... 37,674,254
-----------
INVESTMENT TRUSTS--1.5%
5,200 S&P 500 Depository Receipt...... 589,225
-----------
TOTAL INVESTMENT TRUSTS
(COST $578,006).......................... 589,225
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ -----------
<C> <S> <C>
REAL ESTATE INVESTMENT TRUSTS--2.7%
FINANCIAL SERVICES--1.7%
3,900 Equity Residential Properties
Trust........................... $ 185,006
4,900 Meditrust....................... 136,894
14,500 Security Capital Industrial
Trust........................... 362,500
-----------
684,400
-----------
REAL ESTATE--1.0%
4,000 Boston Properties............... 138,000
8,400 Equity Office Properties........ 238,350
-----------
376,350
-----------
TOTAL REAL ESTATE INVESTMENT TRUSTS (COST
$1,102,242).............................. 1,060,750
-----------
TOTAL INVESTMENTS AT VALUE--99.4%
(COST $36,564,271)(a).................... 39,324,229
CASH AND OTHER ASSETS
NET OF LIABILITIES--0.6%................. 218,071
-----------
NET ASSETS--100.0%....................... $39,542,300
===========
</TABLE>
- ------------------------------
NOTES TO THE SCHEDULE OF INVESTMENTS:
(a) The aggregate identified cost for federal income tax purposes is
$36,564,271, resulting in gross unrealized appreciation and depreciation of
$4,342,170 and $1,582,212, respectively, and net unrealized appreciation of
$2,759,958.
ADR - American Depositary Receipt
- --------------------------------------------------------------------------------
BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- -------- -----------
<C> <S> <C>
COMMON STOCKS--61.7%
ADVERTISING--2.6%
2,900 WPP Group..................... $ 195,025
-----------
AEROSPACE & DEFENSE--4.4%
2,200 Boeing........................ 98,038
1,200 Lockheed Martin............... 127,050
2,000 Rockwell International........ 96,125
-----------
321,213
-----------
AIRLINES--2.0%
1,800 AMR*.......................... 149,850
-----------
BANKING--1.0%
500 Citicorp...................... 74,625
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- -------- -----------
<C> <S> <C>
BEVERAGES, FOOD & TOBACCO--1.0%
1,555 Diageo, ADR................... $ 74,932
-----------
CHEMICALS--2.2%
3,000 Monsanto...................... 167,625
-----------
COMMUNICATIONS--1.8%
4,900 General Instrument............ 133,219
-----------
COMPUTERS & INFORMATION--0.8%
1,400 EMC........................... 62,738
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
6
<PAGE> 9
BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- -------- -----------
<C> <S> <C>
COMMON STOCKS--CONTINUED
ELECTRONICS--5.0%
3,500 Adaptec*...................... $ 50,094
1,100 Avnet......................... 60,156
1,500 Motorola...................... 78,844
4,500 Solectron..................... 189,281
-----------
378,375
-----------
ENTERTAINMENT & LEISURE--3.0%
3,400 Polaroid...................... 120,913
1,200 Time Warner................... 102,525
-----------
223,438
-----------
FINANCIAL SERVICES--6.9%
3,900 Countrywide Credit............ 197,925
2,000 Federal Home Loan Mortgage
Corporation................... 94,125
5,300 Green Tree Financial.......... 226,906
-----------
518,956
-----------
HEALTH CARE PROVIDERS--1.2%
3,000 Tenet Healthcare*............. 93,750
-----------
HEAVY INDUSTRY--3.2%
1,400 Caterpillar................... 74,025
4,200 Lucasvarity, ADR.............. 167,213
-----------
241,238
-----------
INDUSTRIAL--0.7%
800 Armstrong World Industries.... 53,900
-----------
INSURANCE--1.4%
2,200 Renaissancere Holdings........ 101,888
-----------
LODGING--1.9%
12,200 Homestead Village Property*... 144,875
-----------
MEDIA--BROADCASTING &
PUBLISHING--1.0%
2,100 Reed International, ADR....... 77,963
-----------
METALS--2.0%
6,500 Allegheny Teledyne............ 148,688
-----------
OIL & GAS--1.6%
1,800 Anadarko Petroleum............ 120,938
-----------
PHARMACEUTICALS--2.7%
4,400 Millipore..................... 119,900
2,400 Teva Pharmaceutical
Industries, ADR............... 84,450
-----------
204,350
-----------
REAL ESTATE--4.3%
3,400 Oakwood Homes................. 102,000
4,700 Security Capital Group, Class
B............................. 125,138
3,600 Security Capital Industrial
Trust REIT.................... 90,000
-----------
317,138
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- -------- -----------
TELEPHONE SYSTEMS--2.3%
2,400 Sprint........................ $ 169,200
-----------
TEXTILES, CLOTHING & FABRICS--2.7%
8,100 Shaw Industries............... 142,763
1,700 Unifi......................... 58,225
-----------
200,988
-----------
TRANSPORTATION--6.0%
5,200 Air Express International..... 139,100
6,500 Sabre Group Holding*.......... 247,000
1,500 Union Pacific................. 66,188
-----------
452,288
-----------
TOTAL COMMON STOCKS
(COST $4,048,758)........................ 4,627,200
-----------
PRINCIPAL
AMOUNT
- --------
<C> <S> <C>
CORPORATE BONDS--12.5%
BANKING--3.6%
$ 50,000 Bankers Trust, 7.125%,
03/15/06...................... 52,328
100,000 BB&T, 7.25% 06/15/07.......... 106,351
100,000 Chase Manhattan, 7.25%,
06/01/07...................... 106,481
339 Nykredit, 6.00%, 10/01/26..... 49
-----------
265,209
-----------
BEVERAGES, FOOD & TOBACCO--0.9%
60,000 Coca-Cola Femsa,
8.95%,11/01/06................ 60,827
-----------
COMPUTER SOFTWARE &
PROCESSING--1.3%
100,000 Computer Associates
International, 6.375%,
04/15/05...................... 100,440
-----------
ELECTRIC UTILITIES--1.2%
95,000 Financiera Energy, 9.375%,
06/15/06...................... 93,475
-----------
FINANCIAL SERVICES--2.2%
100,000 Bonos Del Tesoro, 8.75%,
05/09/02...................... 96,714
69,000 Paine Webber Group, 7.00%,
03/01/00...................... 69,856
-----------
166,570
-----------
METALS--1.4%
100,000 AK Steel, 9.125%, 12/15/06.... 104,500
-----------
OIL & GAS--0.6%
50,000 Petroleos Mexicanos, 8.85%,
09/15/07...................... 48,500
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
7
<PAGE> 10
BALANCED PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- --------- -----------
<C> <S> <C>
CORPORATE BONDS--CONTINUED
TELEPHONE SYSTEMS--1.3%
$100,000 AT&T Capital, 6.23%,
09/24/99...................... $ 99,987
-----------
TOTAL CORPORATE BONDS
(COST $936,146)........................... 939,508
-----------
MORTGAGE BACKED SECURITIES--3.4%
20,000 Federal Home Loan Mortgage
Corporation, 6.00%,
03/15/08...................... 20,031
45,000 Federal National Mortgage
Association, 6.15%,
10/25/07...................... 45,017
44,500 General Electric Capital
Mortgage Service, 6.50%,
03/25/24...................... 44,785
40,000 General Electric Capital
Mortgage Service, 6.50%,
11/25/23...................... 39,158
40,000 Merrill Lynch Mortgage
Investment, 7.089%,
12/26/25...................... 41,946
17,888 Merrill Lynch Mortgage
Investment, 7.65%, 01/15/12... 18,030
50,000 Prudential Home Mortgage
Securities, 6.25%, 04/25/24... 46,911
-----------
TOTAL MORTGAGE BACKED SECURITIES
(COST $241,580)........................... 255,878
-----------
MUNICIPAL BONDS--3.1%
40,000 Baltimore Community
Development Financing, 8.20%,
08/15/07...................... 44,331
7,031 Denver Colorado City & County
Single Family, 7.25%,
12/01/10...................... 7,325
15,000 New York City, New York,
General Obligation, 9.75%,
08/15/12...................... 15,928
40,000 New York State Housing Finance
Agency Service, 7.50%,
09/15/03...................... 41,684
50,000 Ohio Housing Financial Agency,
7.90%, 10/01/14............... 51,706
30,000 Oklahoma City Airport, 9.40%,
11/01/10...................... 34,874
40,000 Oregon State General
Obligation, 6.90%, 01/01/00... 40,045
-----------
TOTAL MUNICIPAL BONDS
(COST $223,662)........................... 235,893
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- --------- -----------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS--14.8%
$150,000 U.S. Treasury Bonds, 6.25%,
04/30/01...................... $ 152,766
245,000 U.S. Treasury Bonds, 6.75%,
08/15/26...................... 280,525
150,000 U.S. Treasury Notes, 7.00%,
07/15/06...................... 163,875
100,000 U.S. Treasury Notes, 5.75%,
10/31/00...................... 100,500
320,000 U.S. Treasury Notes, 7.25%,
08/15/04...................... 348,294
65,000 U.S. Treasury Notes, 6.125%,
08/31/98...................... 65,081
-----------
TOTAL U.S. TREASURY OBLIGATIONS
(COST $1,077,460)......................... 1,111,041
-----------
SOVEREIGN GOVERNMENT OBLIGATIONS--3.1%
BRAZIL--0.6%
58,011 Republic of Brazil, 8.00%,
04/15/14...................... 42,565
-----------
SOUTH AFRICA--1.5%
774,000 Republic Of South Africa,
13.00%, 08/31/10.............. 115,992
-----------
UNITED KINGDOM--1.0%
37,000 UK Treasury, 8.00%, 12/07/15.. 77,380
-----------
TOTAL SOVEREIGN GOVERNMENT OBLIGATIONS
(COST $267,474)........................... 235,937
-----------
TOTAL INVESTMENTS AT VALUE--98.6%
(COST $6,795,080)(a)...................... 7,405,457
CASH AND OTHER ASSETS
NET OF LIABILITIES--1.4%.................. 103,988
-----------
NET ASSETS--100.0%........................ $7,509,445
===========
</TABLE>
- ------------------------------
NOTES TO THE SCHEDULE OF INVESTMENTS:
* Non-income producing security.
(a) The aggregate identified cost for federal income tax purposes is $6,795,080,
resulting in gross unrealized appreciation and depreciation of $924,344 and
$313,967, respectively, and net unrealized appreciation of $610,377.
ADR - American Depositary Receipt
REIT - Real Estate Investment Trust
The accompanying notes are an integral part of the financial statements.
8
<PAGE> 11
INCOME OPPORTUNITY PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- --------- -----------
<C> <S> <C>
CORPORATE BONDS--48.1%
CHEMICALS--4.4%
$200,000 Climachem, 10.75%, 12/01/07... $ 207,500
300,000 Trans-Resources, 10.75%,
03/15/08...................... 309,000
-----------
516,500
-----------
ENVIRONMENTAL--1.6%
200,000 ATC Group Services, 12.00%,
01/15/08...................... 184,000
-----------
FINANCIAL SERVICES--2.3%
300,000 Salomon Brothers, 0.00%,
09/18/98...................... 276,000
-----------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES--2.6%
300,000 Imperial Home Decor Group,
11.00%, 03/15/08.............. 310,500
-----------
INDUSTRIAL--6.3%
250,000 Aqua Chem, 11.25%, 07/01/08... 254,375
250,000 Pen-Tab Industries, 10.875%,
02/01/07...................... 247,500
250,000 Samsonite, 10.75%, 06/15/08... 248,125
-----------
750,000
-----------
MEDIA--BROADCASTING &
PUBLISHING--6.1%
250,000 Cumulus Media, 10.375%,
07/01/08...................... 253,750
250,000 Perry-Judd, 10.625%,
12/15/07...................... 262,500
200,000 Source Media, 12.00%,
11/01/04...................... 204,000
-----------
720,250
-----------
METALS--2.6%
300,000 Doe Run Resources, 11.25%,
03/15/05...................... 303,000
-----------
OIL & GAS--2.1%
250,000 Panaco, 10.625%, 10/01/04..... 251,250
-----------
RESTAURANTS--2.3%
300,000 Planet Hollywood, 12.00%,
04/01/05...................... 271,500
-----------
RETAIL--4.3%
250,000 HMV Media Group, 10.25%,
05/15/08...................... 253,750
250,000 US Office Products, 9.75%,
06/15/08...................... 250,000
-----------
503,750
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- --------- -----------
<C> <S> <C>
TELEPHONE SYSTEMS-- 8.8%
$300,000 Amer Mobile/AMSC, 12.25%,
04/01/08...................... $ 282,000
250,000 Dobson Wireline, 12.25%,
06/15/08...................... 242,500
200,000 Iridium Capital, 14.00%,
07/15/05...................... 222,500
300,000 Long Distance International,
12.25%, 04/15/08.............. 297,000
-----------
1,044,000
-----------
TRANSPORTATION--4.7%
250,000 American Commercial Lines,
10.25%, 06/30/08.............. 253,125
300,000 Stena Line, 10.625%,
06/01/08...................... 303,750
-----------
556,875
-----------
TOTAL CORPORATE BONDS (COST $5,695,915)... 5,687,625
-----------
CONVERTIBLE CORPORATE BONDS--2.7%
METALS--2.7%
500,000 Nippon Denro Ispat, 3.00%,
04/01/01...................... 250,625
500,000 NTS Steel Group Public++,
4.00%, 12/16/08............... 70,000
-----------
320,625
-----------
TOTAL CONVERTIBLE CORPORATE BONDS (COST
$531,422)................................. 320,625
-----------
EUROBONDS--6.7%
ARGENTINA--2.5%
300,000 Telefonica De Argentina,
9.125%, 05/07/08.............. 282,750
-----------
CHINA--2.2%
300,000 Cathay International, 13.00%,
04/15/08...................... 264,000
-----------
ECUADOR--2.0%
250,000 Conecel Holdings, 14.00%,
10/01/00...................... 240,000
-----------
TOTAL EUROBONDS (COST $856,908)........... 786,750
-----------
SOVEREIGN GOVERNMENT OBLIGATIONS--9.7%
ARGENTINA--2.4%
300,000 Republic Of Argentina, 9.75%,
09/19/27...................... 277,950
-----------
JAMAICA--2.5%
300,000 Government of Jamaica,
10.875%, 06/10/05............. 300,000
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
9
<PAGE> 12
INCOME OPPORTUNITY PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- --------- -----------
<C> <S> <C>
SOVEREIGN GOVERNMENT OBLIGATIONS--CONTINUED
RUSSIA--1.8%
$ 7,894 Russian Ian, 6.625%,
12/15/15...................... $ 4,371
450,000 Russia-Principal Loan, 6.719%,
12/15/20...................... 212,625
-----------
216,996
-----------
VENEZUELA--3.0%
428,570 Republic Of Venezuela FLIRB,
6.625%, 03/31/07.............. 353,570
-----------
TOTAL SOVEREIGN GOVERNMENT OBLIGATIONS
(COST $1,264,303)......................... 1,148,516
-----------
BRADY BONDS--15.4%
ARGENTINA--1.8%
237,499 Republic of Argentina, FRB,
6.625%, 03/31/05.............. 209,949
-----------
BRAZIL--3.3%
522,095 Republic of Brazil, 8.00%,
04/15/14...................... 384,392
-----------
BULGARIA--2.1%
350,000 Government of Bulgaria, IAB,
6.563%, 07/28/11.............. 249,594
-----------
ECUADOR--2.6%
556,335 Ecuador-Bearer-PDI, 3.25%,
02/27/15...................... 310,157
-----------
MEXICO--2.5%
350,000 Mexico Par Ser B Cum, 6.25%,
12/31/19...................... 289,844
-----------
PANAMA--1.6%
250,000 Panama-Int Reduction Bond,
3.75%, 07/17/14............... 185,625
-----------
PERU--1.5%
300,000 Government of Peru, PDI Bond,
4.00%, 03/07/17............... 183,000
-----------
TOTAL BRADY BONDS (COST $1,909,089)....... 1,812,561
-----------
YANKEE BONDS--14.3%
BRAZIL--2.9%
400,000 Paging Network Do Brasil,
13.50%, 06/06/05.............. 342,500
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- --------- -----------
<C> <S> <C>
DOMINICAN REPUBLIC--2.5%
$300,000 Tricom, 11.375%, 09/01/04..... $ 290,625
-----------
ECUADOR--2.9%
350,000 Conecel, 14.00%, 05/01/02..... 336,000
-----------
HONG KONG--3.0%
500,000 GS Superhighway Holdings,
10.25%, 08/15/07.............. 355,625
-----------
INDONESIA--0.9%
500,000 FSW International++, 12.50%,
11/01/06...................... 110,000
-----------
KOREA--2.1%
300,000 Korea Electric Power, 7.00%,
02/01/27...................... 253,858
-----------
TOTAL YANKEE BONDS
(COST $2,294,513)......................... 1,688,608
-----------
WARRANTS--0.0%
TELEPHONE SYSTEMS--0.0%
200 Primus Telecommunications..... 4,000
-----------
TOTAL WARRANTS (COST $0).................. 4,000
-----------
TOTAL INVESTMENTS AT VALUE--96.9% (COST
$12,552,150) (a).......................... 11,448,685
CASH AND OTHER ASSETS NET OF
LIABILITIES--3.1%......................... 370,247
-----------
NET ASSETS--100.0%........................ $11,818,932
===========
</TABLE>
- ------------------------------
NOTES TO THE SCHEDULE OF INVESTMENTS:
++ Security currently in default of interest payment. The Portfolio is not
accruing stated interest.
(a) The aggregate identified cost for federal income tax purposes is
$12,552,150, resulting in gross unrealized appreciation and depreciation of
$107,936 and $1,211,401, respectively, and net unrealized depreciation of
$1,103,465.
DCB - Debt Conversion Bond
FLIRB - Front-Load Interest Reduction Bonds
FRB - Floating Rate Bond
IAB - Interest Arrears Bond
PDI - Past Due Interest
The accompanying notes are an integral part of the financial statements.
10
<PAGE> 13
BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ---------- -----------
<C> <S> <C>
ASSET BACKED SECURITIES--8.1%
$ 750,000 Chemical Credit Card Master
Trust, 5.98%, 09/15/08...... $ 755,280
247,218 Navistar Financial, 6.35%,
11/15/02.................... 248,281
500,000 World Omni Auto Lease,
6.18%, 11/25/03............. 500,850
-----------
TOTAL ASSET BACKED SECURITIES (COST
$1,445,454).............................. 1,504,411
-----------
CORPORATE BONDS--31.9%
BANKING--4.7%
500,000 Bank of New York, 8.50%,
12/15/04.................... 561,800
225,000 Credit Suisse, 7.90%,
05/01/07.................... 240,566
78,063 Mercantile Safe Deposit +,
12.125%, 01/02/01........... 80,644
-----------
883,010
-----------
COMMUNICATIONS--2.8%
500,000 Harris Corporation, 6.65%,
08/01/06.................... 513,742
-----------
ELECTRIC UTILITIES--8.0%
250,000 AES, 8.50%, 11/01/07........ 252,500
500,000 Consumers Energy, 6.50%,
06/15/18.................... 496,565
750,000 Niagra Mohawk Power, 7.125%,
07/01/01.................... 749,063
-----------
1,498,128
-----------
FINANCIAL SERVICES--6.3%
350,000 First Union, 6.55%,
10/15/35.................... 362,005
750,000 Safeco Capital, 8.072%,
07/15/37.................... 801,938
-----------
1,163,943
-----------
FOREST PRODUCTS & PAPER--2.9%
250,000 Georgia Pacific, 9.50%,
05/15/22.................... 283,472
250,000 Sweetheart Cup, 9.625%,
09/01/00.................... 247,500
-----------
530,972
-----------
HEALTH CARE PROVIDERS--3.3%
650,000 Columbia/HCA Health, 6.73%,
07/15/45.................... 619,643
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ---------- -----------
<C> <S> <C>
MEDIA--BROADCASTING &
PUBLISHING--1.6%
$ 250,000 News America Holdings,
10.125%, 10/15/12........... $ 293,564
-----------
TELEPHONE SYSTEMS--2.3%
400,000 Worldcom, 8.875%, 01/15/06.. 433,000
-----------
TOTAL CORPORATE BONDS (COST
$5,809,704).............................. 5,936,002
-----------
CONVERTIBLE CORPORATE BONDS--2.3%
HEALTH CARE PROVIDERS--2.3%
500,000 Tenet Healthcare, 6.00%,
12/01/05.................... 426,250
-----------
TOTAL CONVERTIBLE CORPORATE BONDS (COST
$427,713)................................ 426,250
-----------
MORTGAGE BACKED SECURITIES--29.2%
137,925 Chase Manhattan Grantor
Trust, 5.20%, 02/15/02...... 137,328
1,250,000 Federal Home Loan Bank,
5.625%, 03/19/01............ 1,248,810
503,755 Federal Home Loan Mortgage
Association, 6.00%,
08/01/10.................... 499,286
153,033 Federal Home Loan Mortgage
Association, 6.00%,
05/01/09.................... 152,167
46,929 Federal Home Loan Mortgage
Association, 6.00%,
10/01/10.................... 46,512
1,000,000 Federal National Mortgage
Association, 5.75%,
04/15/03.................... 1,002,679
1,000,000 Federal National Mortgage
Association, 5.75%,
02/15/08.................... 998,638
372,352 Government National Mortgage
Association, 9.00%,
08/15/19.................... 401,648
353,416 Government National Mortgage
Association, 6.50%,
01/15/24.................... 353,822
464,561 Government National Mortgage
Association, 7.00%,
06/15/09.................... 475,878
112,117 Government National Mortgage
Association, 7.50%,
12/15/27.................... 115,166
-----------
TOTAL MORTGAGE BACKED SECURITIES (COST
$5,342,829).............................. 5,431,934
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
11
<PAGE> 14
BOND PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ---------- -----------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS--7.1%
$ 250,000 U.S. Treasury Bonds, 6.50%,
05/31/02.................... $ 258,281
1,000,000 U.S. Treasury Notes, 6.125%,
11/15/27.................... 1,071,562
-----------
TOTAL U.S. TREASURY OBLIGATIONS (COST
$1,282,621).............................. 1,329,843
-----------
YANKEE BONDS--3.6%
CANADA--3.6%
600,000 Province of Quebec, 7.50%,
07/15/23.................... 667,038
-----------
TOTAL YANKEE BONDS (COST $586,248)....... 667,038
-----------
AGENCY FOR INTERNATIONAL
DEVELOPMENT BONDS--4.1%+
CENTRAL AMERICA--2.6%
135,000 Central America
International Development,
Series F, 10.00%,
12/01/11.................... 158,525
135,000 Central America
International Development,
Series G, 10.00%,
12/01/11.................... 158,525
135,000 Central America
International Development,
Series H, 10.00%,
12/01/11.................... 158,525
-----------
475,575
-----------
HONDURAS--1.5%
100,000 Republic of Honduras
International Development,
Series D, 13.00%,
06/01/11.................... 146,576
100,000 Republic of Honduras
International Development,
Series C, 13.00%,
06/01/06.................... 129,395
-----------
275,971
-----------
TOTAL AGENCY FOR INTERNATIONAL
DEVELOPMENT BONDS (COST $605,000)........ 751,546
-----------
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- -----------
<C> <S> <C>
PREFERRED STOCKS--5.3%
INDUSTRIAL--2.5%
9,600 Appalachian Power........... $ 246,000
8,700 Ohio Power.................. 222,394
-----------
468,394
-----------
OIL & GAS--2.8%
20,000 Transcanada Pipelines....... 522,500
-----------
TOTAL PREFERRED STOCKS
(COST $984,274).......................... 990,894
-----------
TOTAL INVESTMENTS AT VALUE--91.6%
(COST $16,483,843)(a).................... 17,037,918
CASH AND OTHER ASSETS
NET OF LIABILITIES--8.4%................. 1,567,883
-----------
NET ASSETS--100.0%....................... $18,605,801
===========
</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
$16,483,843, resulting in gross unrealized appreciation and depreciation of
$566,753 and $12,678, respectively, and net unrealized appreciation of
$554,075.
The accompanying notes are an integral part of the financial statements.
12
<PAGE> 15
VALUE PLUS PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------- -----------
<C> <S> <C>
COMMON STOCKS--99.8%
AEROSPACE & DEFENSE--1.8%
10,100 Boeing......................... $ 450,081
-----------
AUTOMOTIVE--1.7%
9,000 ITT Industries................. 336,375
1,500 Magna International, Class A... 102,938
-----------
439,313
-----------
BANKING--9.1%
10,500 First American................. 505,313
6,300 First Chicago.................. 558,338
6,900 Key............................ 245,813
16,500 North Folk Bancorp............. 403,219
12,000 SLM Holding.................... 588,000
-----------
2,300,683
-----------
BEVERAGES, FOOD & TOBACCO--9.7%
7,500 General Mills.................. 512,813
9,200 McCormick & Company............ 328,612
7,000 McDonald's..................... 483,000
10,000 Pepsico........................ 411,875
2,700 Ralston-Ralston Purina Group... 315,394
16,000 Sysco.......................... 410,000
-----------
2,461,694
-----------
CHEMICALS--1.1%
3,600 Du Pont (E.I.) De Nemours...... 268,650
-----------
COMMUNICATIONS--0.7%
7,200 Scientific-Atlanta............. 182,700
-----------
COMPUTER SOFTWARE &
PROCESSING--5.3%
10,000 Ceridian....................... 587,500
9,000 Computer Associates
International.................. 500,063
7,200 First Data Corporation......... 239,850
-----------
1,327,413
-----------
COMPUTERS & INFORMATION--3.9%
12,400 Compaq Computer................ 351,850
12,200 Sun Microsystems*.............. 529,938
8,000 Western Digital................ 94,500
-----------
976,288
-----------
ELECTRIC UTILITIES--1.1%
6,100 CMS Energy..................... 268,400
-----------
ELECTRONICS--4.1%
7,500 Intel.......................... 555,938
6,600 Thomas & Betts................. 325,050
4,700 Xilinx*........................ 159,800
-----------
1,040,788
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------- -----------
<C> <S> <C>
ENTERTAINMENT & LEISURE--3.1%
13,400 Mattel......................... $ 566,988
2,000 The Walt Disney Company........ 210,125
-----------
777,113
-----------
FINANCIAL SERVICES--2.5%
10,500 Federal National Mortgage
Association.................... 637,875
-----------
FOREST PRODUCTS & PAPER-- 4.2%
9,400 Kimberly-Clark................. 431,225
11,000 Mead........................... 349,250
7,300 Tenneco........................ 277,856
-----------
1,058,331
-----------
HEALTH CARE PROVIDERS--3.5%
10,900 Health Care & Retirement....... 429,869
16,600 Healthsouth.................... 443,013
-----------
872,882
-----------
HEAVY INDUSTRY--0.9%
3,300 Applied Materials.............. 97,350
2,750 Ingersoll-Rand................. 121,172
-----------
218,522
-----------
HOME CONSTRUCTION, FURNISHINGS
& APPLIANCES--6.2%
6,000 General Electric............... 546,000
6,000 Johnson Controls............... 343,125
13,500 Newell......................... 672,469
-----------
1,561,594
-----------
INSURANCE--8.1%
5,000 Aetna.......................... 380,625
9,000 Equitable Companies............ 674,430
5,000 Ohio Casualty.................. 221,250
11,100 Reliastar Financial............ 532,800
4,000 Travelers Group................ 242,500
-----------
2,051,605
-----------
MEDICAL SUPPLIES--2.2%
7,000 Becton Dickinson & Company..... 543,375
-----------
OIL & GAS--9.9%
8,300 Mobil.......................... 635,988
10,600 Noble Drilling................. 255,063
5,500 Schlumberger................... 375,719
9,400 Texaco......................... 561,063
19,800 Williams Companies............. 668,250
-----------
2,496,083
-----------
PHARMACEUTICALS--7.9%
10,000 Abott Laboratories............. 408,750
8,400 Amgen.......................... 549,150
4,100 Merck.......................... 548,375
14,000 Sigma Aldrich.................. 491,750
-----------
1,998,025
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
13
<PAGE> 16
VALUE PLUS PORTFOLIO
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------- -----------
<C> <S> <C>
COMMON STOCKS--CONTINUED
RETAILERS--4.8%
7,100 Consolidated Stores*........... $ 257,375
5,500 Federated Department Stores.... 295,969
10,700 Wal-Mart Stores................ 650,025
-----------
1,203,369
-----------
TELEPHONE SYSTEMS--5.3%
9,600 Alltel......................... 446,400
8,000 Bell Atlantic.................. 365,000
13,000 SBC Communications............. 520,000
-----------
1,331,400
-----------
TRANSPORTATION--2.7%
5,500 Trinity Industries............. 228,250
4,400 US Freightways................. 144,512
13,700 Wisconsin Central Transport*... 299,688
-----------
672,450
-----------
TOTAL COMMON STOCKS
(COST $25,412,137)....................... 25,138,634
-----------
<CAPTION>
VALUE
(NOTE 1)
-----------
<C> <S> <C>
TOTAL INVESTMENTS AT VALUE--99.8%
(COST $25,412,137)(a).................... $25,138,634
CASH AND OTHER ASSETS NET OF
LIABILITIES--0.2%........................ 41,455
-----------
NET ASSETS--100.0%....................... $25,180,089
===========
</TABLE>
- ------------------------------
NOTES TO THE SCHEDULE OF INVESTMENTS:
* Non-income producing security.
(a) The aggregate identified cost for federal income tax purposes is
$25,412,137, resulting in gross unrealized appreciation and depreciation of
$967,247 and $1,240,750, respectively, and net unrealized depreciation of
$273,503.
The accompanying notes are an integral part of the financial statements.
14
<PAGE> 17
SELECT ADVISORS PORTFOLIOS
Statements of Assets and Liabilities
June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EMERGING INTERNATIONAL GROWTH & INCOME
GROWTH EQUITY INCOME BALANCED OPPORTUNITY BOND VALUE PLUS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO(c)
----------- ------------- ----------- ---------- ----------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments, at value (Note
1)(a) $11,227,896 $11,037,909 $39,324,229 $7,405,457 $11,448,685 $17,037,918 $25,138,634
Cash and foreign currency 432,852 777,513 416,881 -- 76,849 1,325,915 232,463
Receivables for:
Securities sold 185,107 138,779 7,354 -- 189,297 10,635 --
Dividends 5,630 23,064 85,175 5,086 -- 17,589 24,592
Foreign tax reclaims -- 14,883 3,951 93 -- 1,094 34
Gain forward contracts -- 457 -- 17,476 -- -- --
Interest 2,767 2,063 1,352 49,858 376,514 228,432 1,113
Receivable from Investment
Advisor (Note 4) 30,123 163,355 -- 58,425 -- 10,967 --
Deferred organization expenses
(Note 1) 8,885 8,885 8,885 8,885 8,885 8,885 --
----------- ----------- ----------- ---------- ----------- ----------- -----------
Total assets 11,893,260 12,166,908 39,847,827 7,545,280 12,100,230 18,641,435 25,396,836
----------- ----------- ----------- ---------- ----------- ----------- -----------
LIABILITIES:
Payable for investments
purchased 56,033 479,162 6,312 -- 250,000 -- 188,827
Payable to custodian -- -- -- 13,988 -- -- --
Payable to Investment Advisor
(Note 4) -- -- 265,468 -- 4,605 -- 16,474
Other accrued expenses 27,114 46,645 33,747 21,847 26,693 35,634 11,446
----------- ----------- ----------- ---------- ----------- ----------- -----------
Total liabilities 83,147 525,807 305,527 35,835 281,298 35,634 216,747
----------- ----------- ----------- ---------- ----------- ----------- -----------
NET ASSETS:
Applicable to investors'
beneficial interests $11,810,113 $11,641,101 $39,542,300 $7,509,445 $11,818,932 $18,605,801 $25,180,089
=========== =========== =========== ========== =========== =========== ===========
(a) Cost of investments $ 9,944,204 $ 8,480,814 $36,564,271 $6,795,080 $12,552,150 $16,483,843 $25,412,137
=========== =========== =========== ========== =========== =========== ===========
</TABLE>
Statement of Operations
For the six months ended June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
<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>
INVESTMENT INCOME (NOTE 1):
Interest $ 14,560 $ 8,176 $ 18,573 $ 95,126 $ 678,858 $ 535,008
Dividends 37,912 112,224(b) 429,432 29,802 -- 40,647
----------- ----------- ----------- ---------- ----------- -----------
Total investment income 52,472 120,400 448,005 124,928 678,858 575,655
----------- ----------- ----------- ---------- ----------- -----------
EXPENSES:
Investment advisory fees (Note 2) 36,373 47,765 128,983 26,625 36,866 45,023
Custody, administration and fund
accounting fees 44,383 95,240 49,706 46,088 44,785 47,279
Auditing fees 5,901 6,436 5,901 3,863 6,436 5,901
Amortization of organization expenses
(Note 1) 3,497 3,497 3,497 3,497 3,497 3,497
Trustee fees (Note 2) 1,006 769 500 610 1,464 1,231
Legal 2,237 1,712 5,435 1,356 3,258 2,737
Miscellaneous 3,391 3,345 10,319 2,378 4,923 5,905
----------- ----------- ----------- ---------- ----------- -----------
Total expenses 96,788 158,764 204,341 84,417 101,229 111,573
Reimbursement from Advisor (Note 4) (30,861) (80,831) (6,128) (41,152) (36,004) (41,992)
----------- ----------- ----------- ---------- ----------- -----------
NET EXPENSES 65,927 77,933 198,213 43,265 65,225 69,581
----------- ----------- ----------- ---------- ----------- -----------
NET INVESTMENT INCOME (LOSS) (13,455) 42,467 249,792 81,663 613,633 506,074
----------- ----------- ----------- ---------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments 577,480 326,599 1,698,243 170,356 56,045 125,262
Foreign currency -- (15,935) -- 3,748 -- --
----------- ----------- ----------- ---------- ----------- -----------
577,480 310,664 1,698,243 174,104 56,045 125,262
----------- ----------- ----------- ---------- ----------- -----------
Net change in unrealized appreciation
(depreciation) on:
Investments (281,678) 1,738,456 645,953 192,607 (641,859) 106,805
Foreign currency -- (223) -- 11,712 147 --
----------- ----------- ----------- ---------- ----------- -----------
(281,678) 1,738,233 645,953 204,319 (641,712) 106,805
----------- ----------- ----------- ---------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS): 295,802 2,048,897 2,344,196 378,423 (585,667) 232,067
----------- ----------- ----------- ---------- ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ 282,347 $ 2,091,364 $ 2,593,988 $ 460,086 $ 27,966 $ 738,141
=========== =========== =========== ========== =========== ===========
<CAPTION>
VALUE PLUS
PORTFOLIO(c)
<S> <C>
INVESTMENT INCOME (NOTE 1):
Interest $ 19,785
Dividends 54,237
-----------
Total investment income 74,022
-----------
EXPENSES:
Investment advisory fees (Note 2) 31,103
Custody, administration and fund
accounting fees 14,799
Auditing fees 2,963
Amortization of organization expenses
(Note 1) --
Trustee fees (Note 2) 797
Legal 548
Miscellaneous 1,743
-----------
Total expenses 51,953
Reimbursement from Advisor (Note 4) (14,629)
-----------
NET EXPENSES 37,324
-----------
NET INVESTMENT INCOME (LOSS) 36,698
-----------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments (72,312)
Foreign currency --
-----------
(72,312)
-----------
Net change in unrealized appreciation
(depreciation) on:
Investments (273,503)
Foreign currency --
-----------
(273,503)
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS): (345,815)
-----------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ (309,117)
===========
</TABLE>
- ------------------------------
(b) Net of foreign tax withholding of $16,704.
(c) The Portfolio commenced operations on May 1, 1998.
The accompanying notes are an integral part of the financial statements.
15
<PAGE> 18
SELECT ADVISORS PORTFOLIOS
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
EMERGING GROWTH INTERNATIONAL EQUITY
PORTFOLIO PORTFOLIO
--------------------------- ---------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE MONTHS ENDED FOR THE
JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED
1998 DECEMBER 31, 1998 DECEMBER 31,
(UNAUDITED) 1997 (UNAUDITED) 1997
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss) (13,455) (20,051) 42,467 10,921
Net realized gain (loss) 577,480 913,915 310,664 1,010,270
Net change in unrealized appreciation (depreciation) (281,678) 846,170 1,738,233 77,380
----------- ----------- ----------- -----------
Net increase in net assets resulting from operations 282,347 1,740,034 2,091,364 1,098,571
----------- ----------- ----------- -----------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTEREST:
Contributions 4,425,473 2,100,799 1,509,164 1,464,035
Withdrawals (498,004) (843,327) (552,890) (540,590)
----------- ----------- ----------- -----------
Net increase from investors' transactions: 3,927,469 1,257,472 956,274 923,445
----------- ----------- ----------- -----------
TOTAL INCREASE IN NET ASSETS 4,209,816 2,997,506 3,047,638 2,022,016
NET ASSETS:
Beginning of period 7,600,297 4,602,791 8,593,463 6,571,447
----------- ----------- ----------- -----------
End of period $11,810,113 $ 7,600,297 $11,641,101 $ 8,593,463
=========== =========== =========== ===========
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
INCOME OPPORTUNITY BOND
PORTFOLIO PORTFOLIO
--------------------------- ---------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE MONTHS ENDED FOR THE
JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED
1998 DECEMBER 31, 1998 DECEMBER 31,
(UNAUDITED) 1997 (UNAUDITED) 1997
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
OPERATIONS:
Net investment income (loss) 613,633 1,154,944 506,074 958,023
Net realized gain (loss) 56,045 410,064 125,262 81,483
Net change in unrealized appreciation (depreciation) (641,712) (742,747) 106,805 96,828
----------- ----------- ----------- -----------
Net increase in net assets resulting from operations 27,966 822,261 738,141 1,136,334
----------- ----------- ----------- -----------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTEREST:
Contributions 3,314,534 9,286,451 3,137,597 2,725,843
Withdrawals (2,220,982) (6,560,662) (532,532) (2,127,372)
----------- ----------- ----------- -----------
Net increase from investors' transactions: 1,093,552 2,725,789 2,605,065 598,471
----------- ----------- ----------- -----------
TOTAL INCREASE IN NET ASSETS 1,121,518 3,548,050 3,343,206 1,734,805
NET ASSETS:
Beginning of period 10,697,414 7,149,364 15,262,595 13,527,790
----------- ----------- ----------- -----------
End of period $11,818,932 $10,697,414 $18,605,801 $15,262,595
=========== =========== =========== ===========
</TABLE>
- ------------------------------
(a) The Portfolio commenced operations on May 1, 1998.
The accompanying notes are an integral part of the financial statements.
16
<PAGE> 19
<TABLE>
<CAPTION>
---------------------------------------------------------
GROWTH & INCOME BALANCED
PORTFOLIO PORTFOLIO
--------------------------- ---------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE MONTHS ENDED FOR THE
JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED
1998 DECEMBER 31, 1998 DECEMBER 31,
(UNAUDITED) 1997 (UNAUDITED) 1997
------------ ------------ ------------ ------------
<S> <C> <C> <C>
249,792 171,081 81,663 100,544
1,698,243 4,825,120 174,104 965,160
645,953 (380,944) 204,319 (175,493)
----------- ----------- ---------- ----------
2,593,988 4,615,257 460,086 890,211
----------- ----------- ---------- ----------
10,697,161 3,534,026 1,828,519 1,791,228
(1,122,362) (1,731,931) (698,861) (791,530)
----------- ----------- ---------- ----------
9,574,799 1,802,095 1,129,658 999,698
----------- ----------- ---------- ----------
12,168,787 6,417,352 1,589,744 1,889,909
27,373,513 20,956,161 5,919,701 4,029,792
----------- ----------- ---------- ----------
$39,542,300 $27,373,513 $7,509,445 $5,919,701
=========== =========== ========== ==========
</TABLE>
<TABLE>
<CAPTION>
- -------------------
VALUE PLUS
PORTFOLIO
---------------
FOR THE
PERIOD ENDED(a)
JUNE 30,
1998
(UNAUDITED)
---------------
<S> <C>
36,698
(72,312)
(273,503)
-----------
(309,117)
-----------
25,548,218
(59,012)
-----------
25,489,206
-----------
25,180,089
--
-----------
$25,180,089
===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
17
<PAGE> 20
SELECT ADVISORS PORTFOLIOS
Ratios and Supplementary Data
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
EMERGING GROWTH
PORTFOLIO
---------------------------------------------------------------------------
FOR THE SIX
MONTHS ENDED FOR THE FOR THE FOR THE FOR THE
JUNE 30, YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED(a)
1998 DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1997 1996 1995 1994
------------ ------------ ------------ ------------ ---------------
<S> <C> <C> <C> <C> <C>
Ratios to average net assets:
Expenses 1.45% (c) 1.55% 1.61% 1.59% 2.56%(c)
Net investment income (loss) (0.30%)(c) (0.33%) (0.23%) (0.12%) 5.51%(c)
Ratios of expenses to average
net assets without waiver and
reimbursement 2.13% (c) 2.94% 2.94% 3.59% 7.35%(c)
Portfolio turnover 33% 101% 117% 109% 150%
<CAPTION>
INTERNATIONAL EQUITY
PORTFOLIO
---------------------------------------------------------------------------
FOR THE SIX
MONTHS ENDED FOR THE FOR THE FOR THE FOR THE
JUNE 30, YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED(a)
1998 DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1997 1996 1995 1994
------------ ------------ ------------ ------------ ---------------
<S> <C> <C> <C> <C> <C>
Ratios to average net assets:
Expenses 1.55%(c) 1.66% 1.67% 1.65% 3.20% (c)
Net investment income (loss) 0.84%(c) 0.14% 0.35% 0.09% (1.68%)(c)
Ratios of expenses to average
net assets without waiver and
reimbursement 3.16%(c) 4.26% 3.12% 3.87% 4.62% (c)
Portfolio turnover 55% 151% 86% 90% 7%
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INCOME OPPORTUNITY BOND
PORTFOLIO PORTFOLIO
--------------------------------------------------------------------------- ------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE FOR THE FOR THE FOR THE MONTHS ENDED
JUNE 30, YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED(a) JUNE 30,
1998 DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 1998
(UNAUDITED) 1997 1996 1995 1994 (UNAUDITED)
------------ ------------ ------------ ------------ --------------- ------------
<S> <C> <C> <C> <C> <C> <C>
Ratios to average net assets:
Expenses 1.15%(c) 1.30% 1.31% 1.42% 2.20%(c) 0.85%(c)
Net investment income (loss) 10.82%(c) 11.32% 11.31% 12.53% 8.09%(c) 6.18%(c)
Ratios of expenses to average
net assets without waiver and
reimbursement 1.78%(c) 1.92% 2.74% 4.77% 7.48%(c) 1.36%(c)
Portfolio turnover 184% 270% 222% 120% 144% 76%
<CAPTION>
BOND
PORTFOLIO
------------------------------------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED(A)
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1997 1996 1995 1994
------------ ------------ ------------ ---------------
<S> <C> <C> <C> <C>
Ratios to average net assets:
Expenses 0.85% 0.85% 1.02% 1.21%(c)
Net investment income (loss) 6.35% 6.18% 6.66% 6.32%(c)
Ratios of expenses to average
net assets without waiver and
reimbursement 1.49% 1.32% 1.40% 1.76%(c)
Portfolio turnover 88% 64% 78% 11%
</TABLE>
- ------------------------------
(a) The Portfolio commenced operations on October 3, 1994.
(b) The Portfolio commenced operations on May 1, 1998.
(c) Ratios are annualized.
The accompanying notes are an integral part of the financial statements.
18
<PAGE> 21
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH & INCOME BALANCED
PORTFOLIO PORTFOLIO
--------------------------------------------------------------------------- ------------------------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE FOR THE FOR THE FOR THE MONTHS ENDED FOR THE FOR THE
JUNE 30, YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED(a) JUNE 30, YEAR ENDED YEAR ENDED
1998 DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 1998 DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1997 1996 1995 1994 (UNAUDITED) 1997 1996
------------ ------------ ------------ ------------ --------------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
1.23%(c) 1.25% 1.00% 1.23% 1.20%(c) 1.30%(c) 1.50% 1.51%
1.55%(c) 0.72% 0.87% 0.91% 1.11%(c) 2.45%(c) 1.99% 2.06%
1.27%(c) 1.49% 1.34% 1.53% 1.95%(c) 2.54%(c) 3.14% 3.38%
31% 170% 92% 102% 10% 21% 120% 88%
</TABLE>
<TABLE>
<CAPTION>
BALANCED
PORTFOLIO
------------------------------
FOR THE FOR THE
YEAR ENDED PERIOD ENDED(a)
DECEMBER 31, DECEMBER 31,
1995 1994
------------ ---------------
<S> <C>
1.51% 1.33%(c)
2.29% 3.13%(c)
4.39% 6.48%(c)
121% 7%
</TABLE>
<TABLE>
<CAPTION>
- ---------------
VALUE PLUS
PORTFOLIO
- ---------------
FOR THE
PERIOD ENDED(b)
JUNE 30,
1998
- ---------------
<S> <C>
0.85%(c)
6.18%(c)
1.36%(c)
7%
</TABLE>
The accompanying notes are an integral part of the financial statements.
19
<PAGE> 22
SELECT ADVISORS PORTFOLIOS
Notes to Financial Statements (unaudited)
- --------------------------------------------------------------------------------
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 nine 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,
Value Plus 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) Risks Associated with Foreign Investments. Some of the Portfolios may
invest in securities of foreign issuers. Investing in securities issued by
companies whose principal business activities are outside the United States may
involve significant risks not present in domestic investments. For example,
there is generally less publicly available information about foreign companies,
particularly those not subject to the disclosure and reporting requirements of
the U.S. securities laws. Foreign issuers are generally not bound by uniform
accounting, auditing, and financial reporting requirements and standards of
practice comparable to those applicable to domestic issuers. Investments in
foreign securities also involve the risk of possible adverse changes in
investment or exchange control regulations, expropriation or confiscatory
taxation, limitation on the removal of funds or other assets of the Portfolio,
political or financial instability or diplomatic and other developments which
could affect such investments. Foreign stock markets, while growing in volume
and sophistication, are generally not as developed as those in the United
States, and securities of some foreign issuers (particularly those located in
developing countries) may be less liquid and more volatile than securities of
comparable U.S. companies. In general, there is less overall governmental
supervision and regulation of foreign securities markets, broker-dealers, and
issuers than in the United States.
c) 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
20
<PAGE> 23
SELECT ADVISORS PORTFOLIOS
Notes to Financial Statements (continued)
- --------------------------------------------------------------------------------
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.
d) 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.
e) 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.
f) Forward Currency Contracts. Each Portfolio may enter into forward
foreign currency contracts to protect securities and related receivables and
payables against fluctuations in foreign currency rates. A forward contract is
an agreement to buy or sell currencies of different countries on a specified
future date at a specified rate.
Risks associated with such contracts include the movement in the value of
the foreign currency relative to the U.S. dollar and the ability of the
counterparty to perform. The market value of the contract will fluctuate with
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 June 30, 1998, 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
Purchases 7/31/98 $ 165,791 FRF 1,000,225 $166,396 $ 605
7/6/98 22,484 GBP 13,492 22,525 41
Sales 7/2/98 GBP 3,051 $ 5,065 5,094 (29)
7/6/98 GBP 52,404 87,325 87,485 (160)
-------
$ 457
=======
BALANCED PORTFOLIO
Sales 9/22/98 GBP 41,520 $ 69,629 $ 69,009 $ 620
9/9/98 SAR 805,000 152,606 135,750 16,856
-------
$17,476
=======
</TABLE>
FRF = French Franc, GBP = Great British Pound, SAR = South African Rand
g) 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
21
<PAGE> 24
SELECT ADVISORS PORTFOLIOS
Notes to Financial Statements (continued)
- --------------------------------------------------------------------------------
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.
h) 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.
i) 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 six months ended June 30,
1998, each Portfolio incurred the following investment advisory fees equal on an
annual basis to the following percentages of the average daily net assets of the
Portfolio.
<TABLE>
<CAPTION>
EMERGING INTERNATIONAL GROWTH & INCOME
GROWTH EQUITY INCOME BALANCED OPPORTUNITY BOND VALUE PLUS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- ------------- --------- --------- ----------- --------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
Rate 0.80% 0.95% 0.80% 0.80% 0.65% 0.55% 0.75%
</TABLE>
Fort Washington Investment Advisors, Inc., an affiliate of the sponsor, is
the sub-advisor for the Bond Portfolio and the Value Plus Portfolio.
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 the six months ended June 30, 1998
the Portfolio Trust incurred $6,377 in Trustee fees which was prorated to each
Portfolio.
22
<PAGE> 25
SELECT ADVISORS PORTFOLIOS
Notes to Financial Statements (continued)
- --------------------------------------------------------------------------------
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
June 30, 1998 were as follows:
<TABLE>
<CAPTION>
COST OF PURCHASES PROCEEDS FROM SALES
----------------- -------------------
<S> <C> <C>
Emerging Growth Portfolio $ 6,787,139 $ 2,826,257
International Equity Portfolio 6,025,574 5,350,772
Growth & Income Portfolio 19,952,697 9,768,699
Balanced Portfolio 2,266,127 1,369,571
Income Opportunity Portfolio 21,390,311 20,251,912
Bond Portfolio 7,515,854 7,108,097
Value Plus Portfolio 27,144,919 1,660,470
</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 $ 328,844 $ 0
Bond Portfolio 7,428,520 4,811,395
</TABLE>
4. EXPENSE REIMBURSEMENTS
For the six months ended June 30, 1998, the Advisor has voluntarily agreed
to reimburse each Portfolio the following amounts:
<TABLE>
<CAPTION>
AMOUNT OF
REIMBURSEMENT
-------------
<S> <C>
Emerging Growth Portfolio $30,861
International Equity Portfolio 80,831
Growth & Income Portfolio 6,128
Balanced Portfolio 41,152
Income Opportunity Portfolio 36,004
Bond Portfolio 41,992
Value Plus Portfolio 14,629
</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 June
30, 1998, Bond Portfolio held restricted securities valued by the trustees of
the Portfolio Trust at $832,191, representing 4.5% 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 $ 77,992
Central America, Series F 8/1/86 135,000
Central America, Series G 8/1/86 135,000
Central America, Series H 8/1/86 135,000
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.
23
<PAGE> 26
TOUCHSTONE
VARIABLE ANNUITY
TOUCHSTONE
SELECT
VARIABLE ANNUITY
SELECT ADVISORS PORTFOLIOS
* Growth & Income Portfolio II
* Bond Portfolio II
SEMIANNUAL REPORT
JUNE 30, 1998
<PAGE> 27
[This Page Intentionally Left Blank]
<PAGE> 28
GROWTH & INCOME PORTFOLIO II
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ -----------
<C> <S> <C>
COMMON STOCKS--95.3%
AEROSPACE & DEFENSE--2.5%
8,300 Lockheed Martin................. $ 878,763
16,700 Rockwell International.......... 802,644
-----------
1,681,407
-----------
AUTOMOTIVE--7.8%
25,300 Dana............................ 1,353,550
36,400 Ford Motor...................... 2,147,600
13,800 Goodyear Tire & Rubber.......... 889,238
16,566 Meritor Automotive.............. 397,584
10,200 Paccar.......................... 532,950
-----------
5,320,922
-----------
BANKING--12.7%
82 Associates First Capital........ 6,304
13,424 Banc One........................ 749,249
4,900 Bankers Trust................... 568,706
24,000 Chase Manhattan................. 1,811,991
13,200 Firstar......................... 501,600
11,600 Fleet Financial Group........... 968,600
6,600 J P Morgan...................... 773,025
18,700 Key............................. 666,188
12,900 Nationsbank..................... 986,850
22,500 North Folk Bancorp.............. 549,844
6,640 Old Kent Financial.............. 238,832
20,600 US Bancorp...................... 885,800
-----------
8,706,989
-----------
BEVERAGES, FOOD & TOBACCO--5.0%
28,000 Heinz (H. J.)................... 1,571,500
21,500 Philip Morris................... 846,563
12,400 Unilever, ADR................... 978,825
-----------
3,396,888
-----------
CHEMICALS--7.1%
5,300 Akzo, ADR....................... 587,638
9,000 Betzdearborn.................... 379,688
6,800 Dow Chemical.................... 657,475
8,200 Eastman Chemical................ 510,450
15,300 Imperial Chemical Industries,
ADR........................... 986,850
27,600 Lyondell Petro Chemical......... 840,075
10,400 Olin............................ 433,550
16,100 Witco........................... 470,925
-----------
4,866,651
-----------
COMMERCIAL SERVICES--5.8%
20,500 Browning-Ferris Industries...... 712,375
24,300 Cinergy......................... 850,500
16,900 Duke Energy..................... 1,001,325
27,300 Pacificorp...................... 617,663
21,500 Unicom.......................... 753,844
-----------
3,935,707
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ -----------
<C> <S> <C>
COSMETICS & PERSONAL CARE--1.3%
11,700 Avon Products................... $ 906,750
-----------
ELECTRIC UTILITIES--2.3%
8,900 CMS Energy...................... 391,600
30,100 Southern........................ 833,394
10,500 Wisconsin Energy................ 318,938
-----------
1,543,932
-----------
ELECTRONICS--0.7%
9,500 Thomas & Betts.................. 467,875
-----------
FINANCIAL SERVICES--3.4%
4,100 Federal National Mortgage
Association................... 249,075
28,346 First Union..................... 1,651,155
17,500 Nationwide Health Properties.... 417,813
-----------
2,318,043
-----------
FOREST PRODUCTS & PAPER--5.4%
9,300 Boise Cascade................... 304,575
9,500 Georgia-Pacific (Timber
Group)........................ 219,094
13,700 Georgia-Pacific................. 807,444
20,000 Mead............................ 635,000
10,300 Temple-Inland................... 554,913
11,700 Westvaco........................ 330,525
17,700 Weyerhauser..................... 817,519
-----------
3,669,070
-----------
HEAVY INDUSTRY--0.4%
5,500 Caterpillar..................... 290,813
-----------
HOUSEHOLD PRODUCTS--1.4%
28,200 Corning......................... 979,950
-----------
INSURANCE--4.6%
10,900 Exel............................ 848,156
12,200 Lincoln National................ 1,114,775
6,100 Mid Ocean....................... 478,850
14,800 Safeco.......................... 672,475
-----------
3,114,256
-----------
METALS--2.2%
28,100 Allegheny Teledyne.............. 642,788
19,800 Freeport McMoran Copper & Gold.. 282,150
19,900 Oregon Steel Mills.............. 370,638
3,500 Phelps Dodge.................... 200,156
-----------
1,495,732
-----------
OFFICE EQUIPMENT--2.5%
16,700 Xerox........................... 1,697,138
-----------
</TABLE>
The accompanying notes are an integral part of the financial statements.
1
<PAGE> 29
GROWTH & INCOME PORTFOLIO II
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ -----------
<C> <S> <C>
COMMON STOCKS--CONTINUED
OIL & GAS--8.9%
8,200 Atlantic Richfield.............. $ 640,625
11,200 British Petroleum, ADR.......... 988,400
15,700 Elf Aquitaine, ADR.............. 1,114,700
18,700 Texaco.......................... 1,116,156
11,800 Total S.A., ADR................. 771,425
27,100 Williams Companies.............. 914,625
18,100 YPF Sociedad Anonima, ADR....... 544,131
-----------
6,090,062
-----------
PHARMACEUTICALS--5.5%
25,000 American Home Products.......... 1,293,750
10,500 Bristol-Myers Squibb............ 1,206,844
11,900 Smithkline Beecham, ADR......... 719,950
12,600 Zeneca Group, ADR............... 552,825
-----------
3,773,369
-----------
REAL ESTATE--0.4%
10,000 Arden Realty Group.............. 258,750
-----------
RETAILERS--4.1%
14,200 J.C. Penney..................... 1,026,838
6,100 May Department Stores........... 399,550
10,600 Rite Aid........................ 398,163
15,700 Sears Roebuck................... 958,681
-----------
2,783,232
-----------
TELEPHONE SYSTEMS--9.1%
17,400 Alltel.......................... 809,100
31,200 Bell Atlantic................... 1,423,500
14,400 Bellsouth....................... 966,600
25,300 Frontier........................ 796,950
19,600 GTE............................. 1,090,250
15,600 Sprint.......................... 1,099,800
-----------
6,186,200
-----------
TRANSPORTATION--2.2%
11,300 CSX............................. 514,150
20,800 General Dynamics................ 967,200
-----------
1,481,350
-----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ -----------
<C> <S> <C>
TOTAL COMMON STOCKS (COST $59,743,585)... $64,965,086
-----------
INVESTMENT TRUSTS--0.1%
900 S&P 500 Depository Receipt...... 101,981
-----------
TOTAL INVESTMENT TRUSTS (COST
$101,615)................................ 101,981
-----------
REAL ESTATE INVESTMENT TRUSTS--2.6%
FINANCIAL SERVICES--1.7%
5,600 Equity Residential Properties
Trust......................... 265,650
8,300 Meditrust....................... 231,881
24,000 Security Capital Industrial
Trust......................... 600,000
-----------
1,097,531
-----------
REAL ESTATE--0.9%
6,800 Boston Properties............... 234,600
14,300 Equity Office Properties........ 405,763
-----------
640,363
-----------
TOTAL REAL ESTATE INVESTMENT TRUSTS (COST
$1,802,663).............................. 1,737,894
-----------
TOTAL INVESTMENTS AT VALUE--98.0%
(COST $61,647,863)(a).................... 66,804,961
CASH AND OTHER ASSETS
NET OF LIABILITIES--2.0%............... 1,346,173
-----------
NET ASSETS--100.0% $68,151,134
===========
</TABLE>
- ------------------------------
NOTES TO THE SCHEDULE OF INVESTMENTS:
(a) The aggregate identified cost for federal income tax purposes
is $61,647,863, resulting in gross unrealized appreciation and
depreciation of $7,736,983 and $2,579,885, respectively, and
net unrealized appreciation of $5,157,098.
ADR - American Depositary Receipt
The accompanying notes are an integral part of the financial statements.
2
<PAGE> 30
BOND PORTFOLIO II
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ---------- -----------
<C> <S> <C>
ASSET BACKED--4.5%
$ 900,000 Chemical Credit Card Master
Trust, 5.98%, 9/15/08..... $ 906,336
247,218 Navistar Financial, 6.35%,
11/15/02.................. 248,281
250,000 World Omni Auto Lease,
6.18%, 11/25/03........... 250,425
-----------
1,405,042
-----------
TOTAL ASSET BACKED SECURITIES (COST
$1,336,226).............................. 1,405,042
-----------
CORPORATE BONDS--32.7%
AUTOMOTIVE--0.7%
200,000 Ford Motor, 6.75%,
05/15/05.................. 206,525
-----------
BANKING--3.8%
500,000 Bank of New York, 8.50%,
12/15/04.................. 561,800
500,000 Credit Suisse, 7.90%,
05/01/07.................. 534,592
78,063 Mercantile Safe Deposit+,
12.125%, 01/02/01......... 80,644
-----------
1,177,036
-----------
COMMERCIAL SERVICES--3.3%
1,000,000 PSE&G Capital, 6.74%,
10/23/01.................. 1,013,300
-----------
COMMUNICATIONS--1.6%
500,000 Harris Corporation, 6.65%,
08/01/06.................. 513,742
-----------
ELECTRIC UTILITIES--8.0%
500,000 AES, 8.50%, 11/01/07........ 505,000
1,000,000 Consumers Energy, 6.50%,
06/15/18.................. 993,130
1,000,000 Niagra Mohawk Power, 7.125%,
07/01/01.................. 998,750
-----------
2,496,880
-----------
FINANCIAL SERVICES--4.6%
350,000 First Union, 6.55%,
10/15/35.................. 362,005
1,000,000 Safeco Capital, 8.072%,
07/15/37.................. 1,069,251
-----------
1,431,256
-----------
FOREST PRODUCTS &
PAPER--2.0%
250,000 Georgia Pacific, 9.50%,
05/15/22.................. 283,472
350,000 Sweetheart Cup, 9.625%,
09/01/00.................. 346,500
-----------
629,972
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ---------- -----------
<C> <S> <C>
HEALTH CARE PROVIDERS--2.6%
$ 850,000 Columbia/HCA Health, 6.73%,
07/15/45.................. $ 810,302
-----------
MEDIA--BROADCASTING &
PUBLISHING--0.9%
250,000 News America Holdings,
10.125%, 10/15/12......... 293,564
-----------
TELEPHONE SYSTEMS--3.5%
1,000,000 Worldcom, 8.875%, 01/15/06.. 1,082,500
-----------
TRANSPORTATION--1.7%
500,000 CSX, 7.45%, 05/01/07........ 536,637
-----------
TOTAL CORPORATE BONDS (COST
$9,991,547).............................. 10,191,714
-----------
CONVERTIBLE CORPORATE BONDS--2.0%
HEALTH CARE PROVIDERS--2.0%
750,000 Tenet Healthcare, 6.00%,
12/01/05.................. 639,375
-----------
TOTAL CONVERTIBLE CORPORATE BONDS (COST
$641,570)................................ 639,375
-----------
MORTGAGE BACKED SECURITIES--26.5%
137,925 Chase Manhattan Grantor
Trust, 5.20%, 02/15/02.... 137,328
379,582 Federal Government Loan
Mortgage Corporation,
7.00%, 12/01/25........... 385,370
388,256 Federal Government Loan
Mortgage Corporation,
7.00%, 10/01/25........... 394,176
2,000,000 Federal Home Loan Bank,
5.625%, 03/19/01.......... 1,998,096
2,000,000 Federal National Mortgage
Association, 5.75%,
02/15/08.................. 1,997,276
1,250,000 Federal National Mortgage
Association, 5.75%,
04/15/03.................. 1,253,349
8,633 Government National Mortgage
Association, 7.50%,
07/15/23.................. 8,867
577,390 Government National Mortgage
Association, 7.50%,
12/15/25.................. 593,089
</TABLE>
The accompanying notes are an integral part of the financial statements.
3
<PAGE> 31
BOND PORTFOLIO II
SCHEDULE OF INVESTMENTS--CONTINUED
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ---------- -----------
<C> <S> <C>
MORTGAGE BACKED SECURITIES--CONTINUED
$ 464,072 Government National Mortgage
Association, 7.00%,
02/15/09.................. $ 475,377
986,633 Government National Mortgage
Association, 7.50%,
12/15/27.................. 1,013,458
-----------
8,256,386
-----------
TOTAL MORTGAGE BACKED SECURITIES (COST
$8,154,830).............................. 8,256,386
-----------
U.S. TREASURY OBLIGATIONS--14.0%
$1,000,000 U.S. Treasury Bonds, 6.375%,
08/15/27.................. 1,098,437
750,000 U.S. Treasury Bonds, 6.50%,
05/31/02.................. 774,844
425,000 U.S. Treasury Notes, 6.125%,
12/31/01.................. 432,570
1,000,000 U.S. Treasury Notes, 5.375%,
01/31/00.................. 997,500
1,000,000 U.S. Treasury Notes, 6.125%,
11/15/27.................. 1,071,562
-----------
4,374,913
-----------
TOTAL U.S. TREASURY OBLIGATIONS (COST
$4,281,784) 4,374,913
-----------
YANKEE BONDS--2.1%
CANADA--2.1%
600,000 Province of Quebec, 7.50%,
07/15/23.................. 667,038
-----------
TOTAL YANKEE BONDS (COST $586,248)....... 667,038
-----------
AGENCY FOR INTERNATIONAL DEVELOPMENT
BONDS--2.4%+
CENTRAL AMERICA--1.5%
135,000 Central America
International Development,
Series F, 10.00%,
12/01/11.................. 158,525
135,000 Central America
International Development,
Series G, 10.00%,
12/01/11.................. 158,525
135,000 Central America
International Development,
Series H, 10.00%,
12/01/11.................. 158,525
-----------
475,575
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ---------- -----------
<C> <S> <C>
HONDURAS--0.9%
$ 100,000 Republic of Honduras
International Development,
Series D, 13.00%,
06/01/11.................. $ 146,576
100,000 Republic of Honduras
International Development,
Series C, 13.00%,
06/01/06.................. 129,395
-----------
275,971
-----------
TOTAL AGENCY FOR INTERNATIONAL
DEVELOPMENT BONDS (COST $605,000) 751,546
-----------
PREFERRED STOCKS--5.6%
COMMERCIAL SERVICES--2.6%
$ 16,800 Columbus Southern Power..... 428,400
15,400 Virginia Power Capital...... 394,625
-----------
823,025
-----------
INDUSTRIAL--0.5%
6,000 Appalachian Power........... 153,750
-----------
OIL & GAS--2.5%
29,900 Transcanada Pipelines....... 781,138
-----------
TOTAL PREFERRED STOCKS (COST
$1,748,786).............................. $1,757,913
-----------
TOTAL INVESTMENTS AT VALUE--89.8% (COST
$27,345,991) (a)......................... 28,043,927
CASH AND OTHER ASSETS NET OF
LIABILITIES--10.2%....................... 3,184,397
-----------
NET ASSETS--100.0%....................... $31,228,324
===========
</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
$27,345,991, resulting in gross unrealized appreciation and depreciation of
$719,323 and $21,387, respectively, and net unrealized appreciation of
$697,936.
The accompanying notes are an integral part of the financial statements.
4
<PAGE> 32
SELECT ADVISORS PORTFOLIOS
Statement of Assets and Liabilities
June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH &
INCOME BOND
PORTFOLIO II PORTFOLIO II
------------ ------------
<S> <C> <C>
ASSETS:
Investments, at value (Note 1) (a) $66,804,961 $28,043,927
Cash 1,402,543 2,832,443
Receivables for:
Securities sold 24,581 1,060
Dividends 148,493 32,175
Interest 5,154 391,952
Receivable from Sponsor (Note 3) -- 21,195
Deferred organization expenses (Note 1) 10,774 10,774
----------- -----------
Total assets 68,396,506 31,333,526
----------- -----------
LIABILITIES:
Payable for securities purchased 6,312 66,211
Payable to Sponsor (Note 3) 187,495 --
Other accrued expenses 51,565 38,991
----------- -----------
Total liabilities 245,372 105,202
----------- -----------
NET ASSETS:
Applicable to investors' beneficial interests $68,151,134 $31,228,324
=========== ===========
(a) Cost of investments $61,647,863 $27,345,991
=========== ===========
</TABLE>
Statement of Operations
For the six months ended June 30, 1998 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH &
INCOME BOND
PORTFOLIO II PORTFOLIO II
------------ ------------
<S> <C> <C>
INVESTMENT INCOME (NOTE 1):
Interest $ 30,277 $ 868,679
Dividends 764,100 57,794
----------- ------------
Total investment income 794,377 926,473
----------- ------------
EXPENSES:
Investment advisory fees (Note 2) 230,315 74,470
Custody, Administration and fund accounting fees 60,619 53,781
Sponsor fee (Note 2) 57,577 27,080
Printing 24,795 14,876
Auditing fees 7,537 7,537
Legal fees 3,968 2,479
Amortization of organization expenses (Note 1) 4,038 4,038
Trustee fees (Note 2) 2,512 1,209
Miscellaneous fees 3,968 2,728
----------- ------------
Total expenses 395,329 188,198
Waiver of Sponsor fee (Note 2) (57,577) (27,080)
Reimbursement from Advisor (Note 3) (93,042) (59,568)
----------- ------------
Net expenses 244,710 101,550
----------- ------------
NET INVESTMENT INCOME 549,667 824,923
----------- ------------
REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on investments 1,855,869 237,121
Net change in unrealized appreciation (depreciation) 2,316,671 117,520
----------- ------------
NET REALIZED AND UNREALIZED GAIN (LOSS): 4,172,540 354,641
----------- ------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 4,722,207 $ 1,179,564
=========== ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
5
<PAGE> 33
SELECT ADVISORS PORTFOLIOS
Statement of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH & INCOME BOND
PORTFOLIO II PORTFOLIO II
---------------------------- ----------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED FOR THE MONTHS ENDED FOR THE
JUNE 30, YEAR ENDED JUNE 30, YEAR ENDED
1998 DECEMBER 31, 1998 DECEMBER 31,
(UNAUDITED) 1997 (UNAUDITED) 1997
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 549,667 $ 413,468 $ 824,923 $ 810,228
Net realized gain on investments 1,855,869 5,279,721 237,121 52,355
Net change in unrealized appreciation
(depreciation) on investments 2,316,671 455,947 117,520 (481,003)
----------- ----------- ----------- -----------
Net increase in net assets resulting from
operations 4,722,207 6,149,136 1,179,564 381,580
----------- ----------- ----------- -----------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTEREST:
Contributions 18,809,370 21,726,669 6,900,040 2,347,375
Withdrawals (1,943,425) (3,283,783) (1,535,654) (54,047)
----------- ----------- ----------- -----------
Net increase (decrease) from investors'
transactions 16,865,945 18,442,886 5,364,386 2,293,328
----------- ----------- ----------- -----------
TOTAL CHANGES IN NET ASSETS 21,588,152 24,592,022 6,543,950 2,674,908
NET ASSETS
Beginning of period 46,562,982 21,970,960 24,684,374 12,304,490
----------- ----------- ----------- -----------
End of period $68,151,134 $46,562,982 $31,228,324 $24,684,374
=========== =========== =========== ===========
</TABLE>
Supplementary Data
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH & INCOME BOND
PORTFOLIO II PORTFOLIO II
--------------------------------------------------------------------------- ---------------------------
FOR THE FOR THE SIX
MONTHS ENDED FOR THE FOR THE FOR THE FOR THE MONTHS ENDED FOR THE
JUNE 30, YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED(a) JUNE 30, YEAR ENDED
1998 DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 1998 DECEMBER 31,
(UNAUDITED) 1997 1996 1995 1994 (UNAUDITED) 1997
------------ ------------ ------------ ------------ --------------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
RATIOS TO AVERAGE NET
ASSETS (b):
Expenses 0.85% 0.85% 0.85% 0.85% 0.85% 0.75% 0.75%
Net investment
income 1.91% 1.28% 1.07% 1.27% 2.06% 6.09% 6.28%
Expenses, without
waiver and
reimbursement 1.37% 1.64% 1.74% 1.77% 2.94% 1.39% 1.69%
Portfolio turnover 28% 153% 82% 96% 0% 91% 79%
<CAPTION>
BOND
PORTFOLIO II
---------------------------------------------
FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED PERIOD ENDED(a)
DECEMBER 31, DECEMBER 31, DECEMBER 31,
1996 1995 1994
------------ ------------ ---------------
<S> <C> <C> <C>
RATIOS TO AVERAGE NET
ASSETS (b):
Expenses 0.75% 0.75% 0.75%
Net investment
income 6.18% 6.91% 6.76%
Expenses, without
waiver and
reimbursement 1.76% 1.58% 2.67%
Portfolio turnover 79% 80% 0%
</TABLE>
- ------------------------------
(a) The Portfolio commenced operations on November 21, 1994.
(b) Ratios are annualized. Portfolio turnover is not annualized.
The accompanying notes are an integral part of the financial statements.
6
<PAGE> 34
SELECT ADVISORS PORTFOLIOS
Notes to Financial Statements (unaudited)
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Select Advisors Portfolios (the "Portfolio Trust") is registered under the
Investment Company Act of 1940, 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 nine subtrusts of the Portfolio Trust (each a "Portfolio"), each
having distinct investment objectives and policies. The Portfolios are Emerging
Growth Portfolio, International Equity Portfolio, Growth & Income Portfolio,
Balanced Portfolio, Income Opportunity Portfolio, Bond Portfolio, Value Plus
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 June 30, 1998, Touchstone Advisors, Inc., a subsidiary of
Western-Southern Life Assurance Company ("Western-Southern"), and
Western-Southern owned 100% of the interest in the Growth & Income Portfolio II
and Bond Portfolio II.
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) Risks Associated with Foreign Investments. Some of the Portfolios may
invest in securities of foreign issuers. Investing in securities issued by
companies whose principal business activities are outside the United States may
involve significant risks not present in domestic investments. For example,
there is generally less publicly available information about foreign companies,
particularly those not subject to the disclosure and reporting requirements of
the U.S. securities laws. Foreign issuers are generally not bound by uniform
accounting, auditing, and financial reporting requirements and standards of
practice comparable to those applicable to domestic issuers. Investments in
foreign securities also involve the risk of possible adverse changes in
investment or exchange control regulations, expropriation or confiscatory
taxation, limitation on the removal of funds or other assets of the Portfolio,
political or financial instability or diplomatic and other developments which
could affect such investments. Foreign stock markets, while growing in volume
and sophistication, are generally not as developed as those in the United
States, and securities of some foreign issuers (particularly those located in
developing countries) may be less liquid and more volatile than securities of
comparable U.S. companies. In general, there is less overall governmental
supervision and regulation of foreign securities markets, broker-dealers, and
issuers than in the United States.
c) 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
7
<PAGE> 35
SELECT ADVISORS PORTFOLIOS
Notes to Financial Statements (continued)
- --------------------------------------------------------------------------------
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.
d) 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.
e) 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.
f) Forward Currency Contracts. Each Portfolio may enter into forward
foreign currency contracts to protect securities and related receivables and
payables against fluctuations in foreign currency rates. A forward contract is
an agreement to buy or sell currencies of different countries on a specified
future date at a specified rate.
Risks associated with such contracts include the movement in the value of
the foreign currency relative to the U.S. dollar and the ability of the
counterparty to perform. The market value of the contract will fluctuate with
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.
g) 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.
h) 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 Interests in the Portfolio then
outstanding after taking into account any prior withdrawals of the Initial
Interests in the Portfolio.
i) 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.
8
<PAGE> 36
SELECT ADVISORS PORTFOLIOS
Notes to Financial Statements (continued)
- --------------------------------------------------------------------------------
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 Growth & Income Portfolio II and
Bond Portfolio II is equal on an annual basis to .80% and .55%, respectively, of
average daily net assets.
Fort Washington Investment Advisors, Inc., an affiliate of the Advisor, is
the sub-advisor for the Bond Portfolio II.
(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
period ended June 30, 1998, the Growth & Income Portfolio II incurred $2,512 in
Trustee Fees and the Bond Portfolio II incurred $1,209 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 period ended June 30, 1998,
the sponsor reimbursed $93,042 and $59,568 to the Growth & Income Portfolio II
and Bond Portfolio II, respectively.
4. PURCHASES AND SALES OF INVESTMENT SECURITIES
For the period ended June 30, 1998, the cost of investment securities
purchased was $33,690,587 and $15,424,519, and the proceeds from sales of
investment securities sold were $16,076,070 and $12,916,896, 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 $12,904,129 and
$10,125,934, respectively, for Bond Portfolio II.
9
<PAGE> 37
SELECT ADVISORS PORTFOLIOS
Notes to Financial Statements (continued)
- --------------------------------------------------------------------------------
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 June
30, 1998, Bond Portfolio II held restricted securities valued at $832,191 by the
Trustees, representing 2.66% 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 $ 77,992
Central America, Series F........................ 8/1/86 135,000
Central America, Series G........................ 8/1/86 135,000
Central America, Series H........................ 8/1/86 135,000
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 The Western and Southern
Life Insurance Company Separate Account A on November 21, 1994, in exchange for
a proportionate interest in the Portfolio.
10
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<PAGE> 39
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<PAGE> 40
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<PAGE> 41
[This Page Intentionally Left Blank]
<PAGE> 42
Distributor
Touchstone Securities, Inc.
311 Pike Street
Cincinnati, Ohio 45202
(800) 669-2796 (press 3)
Investment Advisor & Sponsor
Touchstone Advisors, Inc.
311 Pike Street
Cincinnati, Ohio 45202
Variable Annuity Service Center
Touchstone Variable Annuity Service Center
P.O. Box 2850
Cincinnati, Ohio 45201-2850
(800) 669-2796 (press 2)
Custodian
Investors Bank & Trust Company
200 Clarendon Street
Boston, Massachusetts 02116-9130
Independent Accountants
Price Waterhouse Coopers, L.L.P.
One International Place
Boston, Massachusetts 02110
Legal Counsel
Frost & Jacobs
2500 PNC Center
201 East Fifth Street
Cincinnati, Ohio 45202
TOUCHSTONE
The Mark of Excellence in Investment Management(SM)
Form 7141-9806
