<PAGE>
[ART WORK APPEARS HERE]
------------------------------------------------------------------------
AMERICAN GROWTH SERIES
Individual Variable Annuity Contracts
Semiannual Reports
June 30, 1995
<PAGE>
This booklet has been prepared for contract owners of New England Variable Life
Insurance Company's American Growth Series individual variable annuity
contracts. It may also be distributed to prospective contract owners when
preceded or accompanied by a current prospectus describing American Growth
Series individual variable annuity contracts and the New England Zenith Fund.
The prospectus includes information on fees and expenses, including deferred
charges.
<PAGE>
August 24, 1995
TO OUR CONTRACT OWNERS:
I am pleased to present you with the Semi-Annual Report for your American
Growth Series variable annuity contract for the first six months of 1995. This
Semi-Annual Report includes fund performance histories, specific holdings of
each fund, market reviews and the outlook and strategy of each fund. The
majority of the funds in your American Growth Series contract have experienced
strong performance since the beginning of this year.
American Growth Series was designed to provide you with flexibility, control
and protection. You have 11 funds to invest in, managed by some of the top
investment managers in the industry; the option to receive a life income, an
income stream for a specific period of time or random withdrawals; and a
stepped-up death benefit.
As you reach various life stages, your annuity will be able to adapt to meet
your financial goals. You have purchased an annuity that allows you to plan
for retirement through wealth building; provide wealth protection for your
heirs in the event of death; and choose from a wide variety of payout options
at retirement.
New England Variable Life Insurance company is committed to you and your
financial needs. Our representatives, among the finest in the industry, are
dedicated to maximizing client relationships through superior products and
services. Please contact your New England Securities registered representative
with any questions you may have regarding your annuity or financial plan.
Thank you for making The New England your financial partner.
Sincerely,
/s/ Bruce C. Long
Bruce C. Long
President
New England Annuities
[RECYCLABLE PAPER LOGO APPEARS HERE]
<PAGE>
The following is a list of the New England Zenith Funds available through your
American Growth Series variable annuity contract.
<TABLE>
<S> <C>
Loomis Sayles Small Cap Series........... "Small Cap Series"
Draycott International Equity Series..... "International Equity Series"
Alger Equity Growth Series............... "Equity Growth Series"
Loomis Sayles Avanti Growth Series....... "Avanti Growth Series"
Venture Value Series..................... "Venture Value Series"
Westpeak Value Growth Series............. "Value Growth Series"
Loomis Sayles Balanced Series............ "Balanced Series"
Salomon Brothers Strategic Bond
Opportunities Series.................... "Strategic Bond Opportunities Series"
Back Bay Advisors Bond Income Series..... "Bond Income Series"
Salomon Brothers U.S. Government Series.. "U.S. Government Series"
Back Bay Advisors Money Market Series.... "Money Market Series"
</TABLE>
2
<PAGE>
THE FIVE YEAR PICTURE AS OF 6/30/95
<TABLE>
<CAPTION>
% ANNUAL
CHANGE IN UNIT EFFECTIVE
VALUE RATE
-------------- ---------
<S> <C> <C>
Small Cap#........................................... -- --
International Equity@................................ -- --
Equity Growth@....................................... -- --
Avanti Growth***..................................... -- --
Venture Value@....................................... -- --
Value Growth***...................................... -- --
Balanced@............................................ -- --
Strategic Bond Opportunities@........................ -- --
Bond Income.......................................... 74.74% 11.81%
U.S. Government@..................................... -- --
Money Market......................................... 31.37% 5.61%
<CAPTION>
%
CHANGE
--------------
<S> <C> <C>
*Dow Jones Industrial Average........................ 83.99% 12.97%
**Standard & Poor's 500+.............................. 76.69% 12.06%
</TABLE>
- --------
+ with dividends reinvested
* The Dow Jones Industrial Average is a market value-weighted and
unmanaged index of 30 large industrial stocks traded on the New York
Stock Exchange.
** The S&P 500 Stock Index is an unmanaged weighted index of the stock
performance of 500 industrial, transportation, utility and financial
companies. Investment results shown assume the reinvestment of
dividends.
*** Inception Date: April 30, 1993
# Inception Date: May 2, 1994
@ Inception Date: October 31, 1994
NOTE: Investment performance results contained in this report represent past
performance and, except for the average annual total returns, do not
reflect the deduction of the $30 annual administrative charge, maximum
contingent deferred sales charge of 7%, or premium tax, if applicable
(maximum 3.5%). If included, these charges would reduce the performance
figures. The investment return on and principal value of your
investment will fluctuate, so that your contract may be worth more or
less than you invested.
For more information contact New England Annuities, Marketing Department, 501
Boylston Street, Boston, MA 02116.
3
<PAGE>
ACCUMULATION UNIT VALUE TABLE
<TABLE>
<CAPTION>
SMALL INTERNATIONAL EQUITY AVANTI
DATE CAP % CHANGE EQUITY % CHANGE GROWTH % CHANGE GROWTH % CHANGE
---- ------- -------- ------------- -------- ------- -------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
12/31/93................ 1.13704 +13.7%(4)
12/31/94................ 0.95909 - 4.1%(7) 1.02374 +2.4%(8) 0.95589 - 4.4%(8) 1.11879 - 1.6%
6/30/95................ 1.05827 +10.3% 1.02384 0.0% 1.25738 +31.5% 1.33293 +17.2%
</TABLE>
<TABLE>
<CAPTION>
VENTURE VALUE STRATEGIC
DATE VALUE % CHANGE GROWTH % CHANGE BALANCED % CHANGE BOND % CHANGE
---- ------- -------- ------- -------- -------- -------- --------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
12/31/93 1.13211 +13.2%(4)
12/31/94................ 0.96286 - 3.7%(8) 1.10348 - 2.8% 0.99679 + 0.3%(8) 0.98385 - 1.6%(8)
6/30/95................ 1.17414 +17.9% 1.32078 +16.7% 1.14650 +15.0% 1.09766 +11.6%
</TABLE>
<TABLE>
<CAPTION>
BOND US MONEY
DATE INCOME % CHANGE GOVERNMENT % CHANGE MARKET % CHANGE
---- ------- -------- ---------- -------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
12/31/83... 1.02555 + 2.6%(1) 1.02806 +2.8%(1)
12/31/84... 1.14111 +11.3% 1.12205 +9.1%
12/31/85... 1.33701 +17.2% 1.19848 +6.8%
12/31/86... 1.51475 +13.3% 1.26285 +5.4%
12/31/87... 1.52831 + 0.9% 1.32725 +5.1%
12/31/88... 1.63250 + 6.8% 1.40866 +6.1%
12/31/89... 1.80954 +10.8% 1.51807 +7.8%
12/31/90... 1.93041 + 6.7% 1.61985 +6.7%
12/31/91... 2.24657 +16.4% 1.69743 +4.8%
12/31/92... 2.39766 + 6.7% 1.73821 +2.4%
12/31/93... 2.66383 +11.1% 1.76587 +1.6%
12/31/94... 2.53980 - 4.6% 1.00377 +0.4%(8) 1.81143 +2.6%
6/30/95... 2.85262 +12.3% 1.09114 +8.7% 1.85060 +2.2%
</TABLE>
--------
(1) Since date of inception 8/26/93, when unit value was 1.000000
(2) Since date of inception 5/1/87, when unit value was 1.000063
(3) Since date of inception 5/1/87, when unit value was 0.995163
(4) Since date of inception 4/30/93, when unit value was 1.000000
(5) Since date of inception 10/9/86, when unit value was 1.000000
(6) Since date of inception 1/28/87, when unit value was 1.000000
(7) Since date of inception 5/2/94, when unit value was 1.000000
(8) Since date of inception 10/31/94, when unit value was 1.000000
4
<PAGE>
AVERAGE ANNUAL TOTAL RETURN FOR PERIOD ENDING JUNE 30, 1995
BASED ON A SINGLE PAYMENT OF $1,000 FOR THE TIME PERIODS LISTED BELOW
ASSUMES DEDUCTION OF CONTRACT CHANGES, INCLUDING CONTINGENT DEFERRED SALES
CHARGE
<TABLE>
<CAPTION>
ASSUMING
MAXIMUM PREMIUM ASSUMING NO
TAX OF 3.5% PREMIUM TAX
--------------- -----------
<S> <C> <C>
SMALL CAP
1 Year........................................... 1.22% 1.33%
Since Inception................................... -2.97% -2.87%
INTERNATIONAL EQUITY
From 10/31/94 to 6/30/95.......................... -6.25% -6.18%
EQUITY GROWTH
From 10/31/94 to 6/30/95.......................... 16.41% 16.49%
AVANTI GROWTH
1 Year........................................... 19.46% 19.57%
Since Inception................................... 9.02% 9.13%
VENTURE VALUE
From 10/31/94 to 6/30/95.......................... 8.08% 8.16%
VALUE GROWTH
1 Year........................................... 15.66% 15.77%
Since Inception................................... 8.55% 8.67%
BALANCED
From 10/31/94 to 6/30/95.......................... 5.32% 5.40%
STRATEGIC BOND OPPORTUNITIES
From 10/31/94 to 6/30/95.......................... 0.61% 0.69%
BOND INCOME
1 Year........................................... 3.98% 4.09%
5 Years.......................................... 6.08% 6.18%
10 Years.......................................... 6.20% 6.29%
Since Inception................................... 7.08% 7.17%
US GOVERNMENT
From 10/31/94 to 6/30/95.......................... 0.01% 0.08%
MONEY MARKET
1 Year........................................... -4.73% -4.63%
5 Years.......................................... -0.06% 0.05%
10 Years.......................................... 2.01% 2.12%
Since Inception................................... 2.76% 2.86%
</TABLE>
5
<PAGE>
HYPOTHETICAL INVESTMENTS*
ISSUE DATE:September 1, 1983 for Bond Income and Money Market
May 1, 1993 for Avanti Growth and Value Growth
May 2, 1994 for Small Cap
November 1, 1994 for International Equity, Equity Growth, Venture
Value, Balanced, Strategic Bond Opportunities, and US Government
$100 PAYMENT PER MONTH
CONTRACT VALUE
<TABLE>
<CAPTION>
CUMULATIVE SMALL CUMULATIVE INTERNATIONAL EQUITY CUMULATIVE AVANTI
PAYMENTS CAP PAYMENTS EQUITY GROWTH PAYMENTS GROWTH
---------- -------- ---------- ------------- ------ ---------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
12/31/93 800 847.63
12/31/94 800 776.30 200 203.73 196.35 2,000 2,000.60
6/30/95 1,400 1,471.49 800 813.41 981.85 2,600 3,055.95
Annual
Effective
Rate of
Return 8.23% 15.05%
Cumulative
Return+ 0.37% 4.54%
</TABLE>
<TABLE>
<CAPTION>
STRATEGIC
CUMULATIVE VENTURE CUMULATIVE VALUE CUMULATIVE BOND
PAYMENTS VALUE PAYMENTS GROWTH PAYMENTS BALANCED OPPORTUNITIES
---------- ------- ---------- -------- ---------- -------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
12/31/93 800 848.54
12/31/94 200 198.56 2,000 1,997.99 200 200.66 196.45
6/30/95 800 915.67 2,600 3,034.83 800 885.17 867.78
Annual
Effective
Rate of
Return 14.66%
Cumulative
Return+ 2.99% 2.24% 1.80%
</TABLE>
<TABLE>
<CAPTION>
CUMULATIVE BOND CUMULATIVE US CUMULATIVE MONEY
PAYMENTS INCOME PAYMENTS GOVERNMENT PAYMENTS MARKET
---------- --------- ---------- ---------- ---------- ---------
<S> <C> <C> <C> <C> <C> <C>
12/31/83 400 404.51 400 406.73
12/31/84 1,600 1,720.39 1,600 1,673.10
12/31/85 2,800 3,304.00 2,800 2,998.89
12/31/86 4,000 4,981.88 4,000 4,361.45
12/31/87 5,200 6,207.06 5,200 5,787.75
12/31/88 6,400 7,827.20 6,400 7,353.43
12/31/89 7,600 9,909.41 7,600 9,143.25
12/31/90 8,800 11,804.98 8,800 10,986.40
12/31/91 10,000 15,034.52 10,000 12,691.67
12/31/92 11,200 17,270.47 11,200 14,180.13
12/31/93 12,400 20,402.48 12,400 15,585.77
12/31/94 13,600 20,560.58 200 200.74 13,600 17,181.74
6/30/95 14,200 23,790.75 800 848.82 14,200 18,155.70
Annual
Effective
Rate of
Return 8.37% 4.05%
Cumulative
Return+ 1.34%
</TABLE>
+ Cumulative Return is from November 1, 1994 to December 31, 1994.
*NOTE: These figures are net of all deductions, with the exception of premium
tax (which is charged in several states at a maximum of 3.5%) and the
contingent deferred sales charge (7% maximum). If included, these
charges would reduce the contract values.
6
<PAGE>
HYPOTHETICAL INVESTMENTS*
ISSUE DATE: September 1, 1983 for Bond Income and Money Market
May 1, 1993 for Avanti Growth and Value Growth
May 2, 1994 for Small Cap
November 1, 1994 for International Equity, Equity Growth, Venture
Value, Balanced, Strategic Bond Opportunities, and US Government
$10,000 SINGLE PAYMENT
CONTRACT VALUE
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY AVANTI VENTURE VALUE
SMALL CAP EQUITY GROWTH GROWTH VALUE GROWTH
--------- ------------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
12/31/93 11,306.07 11,357.58
12/31/94 9,512.13 10,196.29 9,561.73 10,972.12 9,657.56 11,004.10
6/30/95 10,551.52 10,238.73 12,752.77 13,184.21 11,741.82 13,181.79
Annual
Effective
Rate of Return 4.73% 13.62% 13.61%
Cumulative
Return+ 2.39% 27.53% 17.42%
</TABLE>
<TABLE>
<CAPTION>
STRATEGIC
BOND BOND US MONEY
BALANCED OPPORTUNITIES INCOME GOVERNMENT MARKET
--------- ------------- --------- ---------- ---------
<S> <C> <C> <C> <C> <C>
12/31/83 10,322.81 10,267.54
12/31/84 11,453.60 11,175.37
12/31/85 13,388.02 11,905.91
12/31/86 15,137.28 12,515.01
12/31/87 15,242.32 13,122.58
12/31/88 16,250.76 13,896.84
12/31/89 17,982.33 14,945.51
12/31/90 19,151.99 15,916.87
12/31/91 22,256.32 16,648.79
12/31/92 23,723.05 17,018.60
12/31/93 26,326.57 17,259.26
12/31/94 9,956.78 9,817.20 25,012.44 10,026.51 17,679.32
6/30/95 11,465.39 10,976.97 28,159.18 10,911.79 18,056.40
Annual Effective
Rate of Return 9.14% 5.12%
Cumulative Return+ 14.65% 9.77% 9.12%
</TABLE>
+ Cumulative Return is from November 1, 1994 to December 31, 1994.
*NOTE: These figures are net of all deductions, with the exception of premium
tax (which is charged in several states at a maximum of 3.5%) and the
contingent deferred sales charge (7% maximum). If included, these
charges would reduce the contract values.
7
<PAGE>
Zenith Loomis Sayles Small Cap Series
Portfolio Managers: Mary Champagne and Jeffrey Petherick;Loomis Sayles &
Company, L.P.
- -------------------------------------------------------------------------------
MARKET REVIEW
The Series had a return for the first six months of 1995 of 11.09%, compared
to a rise of 14.40% in the Russell 2000 Index/3/ for the same period. At
6/30/95, the growth portion accounted for 48% of total assets of the Series,
but this portion is expected to shift towards stocks with good earnings
potential that may be undervalued by the market during the second half of the
year.
During the early part of the year, large capitalization stocks were the
focus of interest, as investors flocked to the relative safety of the biggest
and most conservative companies. Despite a market that favored these well-
established, proven companies, the smaller cap stocks in our portfolio held
their own. In fact, although small caps lagged large caps for much of the
first half of the year, this gap has begun to narrow. As the economy continues
to slow, opportunity-minded stock market investors have begun to move beyond
the giants to small and mid-sized companies in search of stocks that may
deliver higher earnings growth.
On the growth side, we emphasized companies with strong fundamentals--above-
average profitability, skilled management with a clear growth strategy, and
most importantly, a clearly defined, attractive market niche. Although we
generally concentrate our search on companies with a market capitalization of
less than $500 million, we do have the flexibility to move into somewhat
larger companies--an option that we exercised during the first six months of
the year. We kept up weightings in technology and healthcare, and recently
broadened the portfolio to include some retail and financial stocks, as well
as some well-positioned cyclicals.
On the value side, the Series remains well diversified. Because our goal is
to add value through stock selection, rather than through sector bets, we're
typically not dramatically overweighted or underweighted in any particular
sector or industry. We are instead stock pickers, searching for those issues
that are out of favor, yet have strong earnings potential. Stocks that met our
demanding criteria include those in the financial services, energy and
technology sectors.
OUTLOOK AND STRATEGY
Looking ahead, our forecast is slow economic growth with a possible pickup
in the economy towards the latter half of the year. In such an environment, we
expect the market to continue to perform well and to expand its breadth beyond
the blue chips. In the months ahead, we anticipate small cap stocks may be
positioned to do well in a broadening market.
8
<PAGE>
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Average Annual Return
Zenith
Small
Cap
<S> <C>
6 mos. 11.09%
1 Year 11.65%
Since Inception 6.39%
<CAPTION>
Zenith
Small
Cap Russell 2000
<S> <C> <C>
YTD 1995 $10,750 $11,471
1994 $ 9,677 $10,027
Inception 5/1/94 $10,000 $10,000
</TABLE>
Performance numbers are net of all fund operating expenses but do not
include any insurance, sales or administrative charges of the policies; if
included, the returns would be lower.
This information represents past performance and is not indicative of future
results. Investment return and principal value will fluctuate so that shares,
upon redemption, may be worth more or less than original cost.
9
<PAGE>
Zenith Draycott International Equity Series
Portfolio Managers: Nicholas D. P. Carn, Timothy S. Griffen, Gregory D.
Eckersley and Nigel Hankin; Draycott Partners, Ltd.
- -------------------------------------------------------------------------------
MARKET REVIEW
Instability characterized much of the international investment scene for the
first six months of 1995. The dollar's drop to historic lows against the
Japanese yen and the German mark early in the year was widely thought to hurt
the earnings outlook for many export-oriented international companies,
particularly Japan's. Add to this Mexico's sharp devaluation of the peso,
which had a ripple effect throughout many Latin American countries, and the
result was a challenging climate for international stocks.
In addition, most major international markets felt the effects of a cyclical
slowdown early in the year. Many countries, coming off periods of strong
economic growth, generated growth rates far below investors' expectations. An
example is Japan, which ended the first half of the year with the worst return
of the major markets down 14% in U.S. dollar terms. There were bright spots,
however. In contrast to Japan, Switzerland rewarded investors with a positive
return of 22% in U.S. dollar terms through the end of June. Such figures
indicate the wide disparity in international investment performance for the
first two quarters of "95.
Against this backdrop, the Series posted a total return of 0.68% for the six
months ended June 30, 1995 versus a total return of 2.61% for the Morgan
Stanley Capital EAFE Index/4/, an index that includes stocks traded on 16
exchanges in Europe, Australia and the Far East.
During the early part of 1995, we focused on those countries, sectors and
issues which we believed would benefit the most in a predominantly slow-growth
international environment. The Series remained fully invested among more than
14 countries, with heavy weightings in the United Kingdom, France, Switzerland
and the Netherlands. Despite a pervasive slowdown in much of Europe, these
countries continued to offer attractive stock valuations. This experience was
in sharp contrast to the rest of Europe where, seeing little in the way of
significant growth prospects, we underweighted the Series.
Perhaps the most significant change to the portfolio occurred early in the
year when we dramatically reduced our Japanese exposure. Despite the
beginnings of a cyclical recovery in the Japanese stock market last year,
deflationary forces began to intensify once again--a situation which we
believed might soon force the Japanese economy into a recession. Consequently,
we cut back our Japanese holdings from a high of approximately 40% of Series
assets at the beginning of the first quarter to our current 22.5%--a position
which is quite low relative to the Morgan Stanley Capital EAFE Index/4/. We
then shifted assets to Southeast Asian countries, such as Singapore, Malaysia,
and Thailand, which now offer increasingly attractive investment
opportunities.
When selecting stocks for the Series, we follow a carefully defined, top-
down investment approach. We focus first on countries with stable economies,
then seek to identify the most profitable sectors and industries within those
countries. Sectors we focused on early in 1995 included interest-sensitive
industries in Europe and the financial services sector in Japan.
During this period, we continued to emphasize blue-chip companies in major
non-U.S. markets. SmithKline Beecham, representing 0.8% of the portfolio, is
one example of the type of stock we selected. This major British
pharmaceutical company is undergoing financial and operational restructuring,
and is developing promising new products. Elsewhere in Europe, we bought
shares of Spain's Acerinox, Europe's largest stainless steel producer,
representing 2.7% of the portfolio. Benefiting from the combination of a weak
Spanish currency and the devaluation of the Mexican peso, Acerinox is also
enjoying a substantial increase in output from its Mexican operation. One of
10
<PAGE>
our favorite Japanese stocks was Kirin Beverage, 0.3% of the portfolio, the
country's largest soft drink manufacturer. Unlike many Japanese firms, Kirin
Beverage is not exposed to outside competition, a fact that appears to be
helping them to rapidly grow their soft drinks, tea and coffee markets.
Our disciplined strategy also led us to avoid Mexico and the extremely
speculative markets of Latin America during the early part of the year. This
deliberate move helped shelter the Series from dramatic underperformance in
that corner of the world.
OUTLOOK AND STRATEGY
Our strategy for the remainder of the year remains essentially unchanged
from what is currently in place. Looking ahead, we expect slow growth to
continue for most major international markets through the remainder of 1995,
and into 1996. As economies around the world slow, however, there is the
increasing possibility that a recession will grip one or more of the developed
nations. Therefore, we are cautiously evaluating each new investment
opportunity as it arises. However, we do not share the prevailing opinion that
interest rates will increase worldwide; rather, we anticipate a stable-to-
lower rate environment, which would bode well for international stocks.
Finally, although Japan continues to make up a significant portion of the
portfolio, we are taking a somewhat neutral stance in terms of future
positioning. Long-term, we remain optimistic about the Japanese economy. In
the near term, however, we're awaiting significant forward-going changes in
government policy before we increase our holdings in Japan.
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Average Annual Return*
Zenith
Int'l
Equity
<S> <C>
6 mos. 0.68%
Since Inception 3.30%
*not annualized
<CAPTION>
Zenith
International
Equity EAFE
<S> <C> <C>
YTD 1995 $10,330 $ 9,833
1994 $10,260 $ 9,583
Inception 10/31/94 $10,000 $10,000
</TABLE>
Performance numbers are net of all fund operating expenses but do not
include any insurance, sales or administrative charges of the policies; if
included, the returns would be lower.
This information represents past performance and is not indicative of future
results. Investment return and principal value will fluctuate so that shares,
upon redemption, may be worth more or less than original cost.
11
<PAGE>
Zenith Alger Equity Growth Series
Portfolio Manager: David D. Alger; Fred Alger Management, Inc.
- -------------------------------------------------------------------------------
MARKET REVIEW
The Series entered the year in a very bullish posture and has been rewarded
with excellent results. For the six months ended June 30, 1995, the Series
returned 34.43% and according to Lipper Analytical Services, Inc. is rated
first out of eighty-nine Funds in the Lipper Variable Growth and Income Fund
Index for the period. Over the same period the S&P 500 Index** was up 20.15%.
The nature of markets is such that because of institutionalization, computers
and the globalization of finance, market moves are faster and more pronounced
than ever. Having a sense of the discontinuities is all the more important. In
our opinion, one glaring discontinuity is that despite this year's upside move
in the market and the Series' holdings, growth stocks remained exceedingly
undervalued.
As of June 30, 1995, the Series held 76 stocks with a median price/earnings
ratio of 22.4x, a weighted average estimated 1995 earnings per share (EPS)
growth of 37.6% and a weighted average annual five year EPS growth estimate of
21.4 %. The weighted average market cap was $12.5 billion. The top three
industry sectors at the quarter end were semi-conductors, healthcare and
retail. During the first six months of 1995, the Series purchased 57 new
stocks and eliminated 11 stocks. The Series held 24 stocks for the entire
period. Of the stocks held for the six month period, 20 advanced and 4
declined in price. The Series did not invest in derivative securities during
the quarter.
As 1995 dawned, the key questions facing the stock market concerned the need
for future tightening of interest rates by the Fed, the possible onset of
inflation and the excessive strength of the economy, all of which are
naturally interrelated. Now we are at mid-year and the concern of the markets
is not whether the economy is growing too fast, but whether it is growing too
slowly. In response to the sluggish economy the Federal Reserve lowered the
Fed Funds Rate by one quarter of a point on July 6, 1995, just after the
period's end. Currently, we believe we may be at an inflection point in the
economy and instead of a "soft landing" we may have a "touch and go landing."
At present, however, the inflation picture looks fair. I believe that
inflation will remain subdued for the year as a whole because of the slowing
in the economy. The key of course to continued record stock prices in the
market is the Fed.
OUTLOOK AND STRATEGY
Despite the rally year-to-date, growth stocks remain generally underpriced
relative to the market. Technology stocks continue to represent excellent
investments. While they have moved up a great deal, so have their earnings.
Consequently, their multiples have not increased. To get back to traditional
valuations, growth stocks could outperform relative to the general market over
the next few years. This would be combined with a generally optimistic feeling
about the market. This has been curiously absent despite the market's
strength. It is as though all of the "pundits" that were so negative last year
are "in denial" about this very strong market. The current sense of disbelief
about the permanence of this market rally is both refreshing (because it means
there is plenty of buying power left) and puzzling. It appears as though the
last two red lights on the road ahead, which are Fed Policy and the
possibility of a recession, have just turned green. Currently, short interest
is at a record high and stock buybacks still exceed new issues. We are
extremely excited about the prospects for the market and especially growth
stocks during the next five years, although there can be no assurance this
forecast will be borne out.
12
<PAGE>
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Average Annual Return*
Zenith
Alger Equity
Growth
<S> <C>
6 mos. 32.43%
Since Inception 26.87%
*not annualized
<CAPTION>
Zenith
Alger Equity
Growth S&P 500
<S> <C> <C>
YTD 1995 $12,687 $11,767
1994 $ 9,580 $ 9,794
Inception 10/31/94 $10,000 $10,000
</TABLE>
Performance numbers are net of all fund operating expenses but do not
include any insurance, sales or administrative charges of the policies; if
included, the returns would be lower.
This information represents past performance and is not indicative of future
results. Investment return and principal value will fluctuate so that shares,
upon redemption, may be worth more or less than original cost.
13
<PAGE>
Zenith Capital Growth Series
Portfolio Manager: G. Kenneth Heebner; Capital Growth Management, L.P.
- -------------------------------------------------------------------------------
MARKET REVIEW
The Zenith Capital Growth Series achieved a total return of 27.55% for the
six months ended 6/30/95. This compared favorably to the 20.15% return of the
Standard & Poor's 500 Index** for the same six-month period.
In the first quarter of 1995, evidence of a weakening economy appeared in
the auto and housing sectors. The trend continued throughout the second
quarter spreading to retail sales and cutting construction spending by 1.5% in
May to make the month the worst in four years for construction spending and
the second down month in a row. Signs of weakness also took their toll on
consumer confidence as measured by an index drop from 102 in April to 92.8 in
May.
OUTLOOK AND STRATEGY
In its attempt to contain inflation, has the Federal Reserve Board
engineered the very first "soft landing" (slowdown without recession), or has
it ushered in a recession? Though the answer remains to be seen, we favor the
soft landing scenario. Lower interest rates will encourage consumer spending
in the months ahead. In fact, signs of an increase in consumer spending were
already evident in late June and employment gains were well above average.
Personal income should continue to rise and the weaker dollar might well
stimulate exports.
Interest rates on long-term government bonds have fallen significantly to
6.5% from 8.3% in the fall of 1994. We expect the decline in rates to carry
into 1996 as we experience a slow growth economy with no immediate threat of
higher inflation.
While the diminished threat of inflation and weaker business activity helped
bring about lower interest rates for the bond market, the driving force behind
the equity market has been rising corporate profits. One year ago, the
estimate of earnings per share of the S&P 500 Index** was $27. The S&P 500
Index** was at 444, a price 16.5 times earnings. Today, after an increase of
23%, the S&P 500 Index** has reached 544. However, the current earnings
estimate of $34 prices the market once again at roughly 16 times earnings.
The Series is positioned to capitalize on continued growth in corporate
earnings with major emphasis on technology, airlines and New York City banks.
The Series' three largest holdings are Citicorp (7.1% of the portfolio),
Hewlett-Packard Company (6.5% of the portfolio) and the Intel Corporation
(6.3% of the portfolio).
14
<PAGE>
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Average Annual Return
Zenith
Capital
Growth
<S> <C>
6 mos. 27.55%
1 Year 25.78%
5 Years 9.65%
10 Years 23.62%
<CAPTION>
Zenith
Capital
Growth S&P 500
<S> <C> <C>
YTD 1995 $113,664 $45,871
1994 $ 89,113 $38,178
1993 $ 95,893 $37,666
1992 $ 83,407 $34,223
1991 $ 88,825 $31,803
1990 $ 57,679 $24,400
1989 $ 59,771 $25,186
1988 $ 45,696 $19,139
1987 $ 50,106 $16,429
1986 $ 32,813 $15,615
1985 $ 16,810 $13,164
12/31/84 $ 10,000 $10,000
</TABLE>
Performance numbers are net of all fund operating expenses but do not
include any insurance, sales or administrative charges of the policies; if
included, the returns would be lower.
This information represents past performance and is not indicative of future
results. Investment return and principal value will fluctuate so that shares,
upon redemption, may be worth more or less than original cost.
15
<PAGE>
Zenith Loomis Sayles Avanti Growth Series
Portfolio Managers: Richard Hurckes and Scott Pape; Loomis Sayles & Company,
L.P.
- -------------------------------------------------------------------------------
MARKET REVIEW
Equity markets in general, and growth stocks in particular, delivered very
strong results in the first six months of 1995. The economy has been expanding
rapidly, though this growth is beginning to moderate somewhat. Various
factors, including declining long-term interest rates, improving productivity
and low inflation, have been responsible for the strong profits that American
corporations have enjoyed year to date. In quite a few cases, corporations are
even outperforming their own expectations.
The decline of the U.S. dollar gave American companies doing business abroad
a competitive advantage. Corporations such as Coca-Cola and Gillette, who do a
large portion of their business outside the U.S., have posted record profits
thus far in 1995.
The market's focus on growth stocks during the first six months of 1995
enabled us to generate strong returns for the Series. The Series achieved an
impressive total return of 19.94% at net asset value as of 6/30/95. The Series
out performed its peer group, the Lipper Variable Growth Fund Average/7/, by
201 basis points.
We continue to pursue our investment approach of striving to build a
portfolio of America's premier companies--industry leaders with prospects for
better-than-average earnings growth. We also seek to identify companies that
have strong balance sheets and proven management teams.
Examples of our approach that have been very successful are McDonald's and
Coca-Cola, each representing 2.5% of the portfolio. Both are market leaders,
enjoy a significant international presence and have consistently delivered
strong earnings. In healthcare, Medtronic is the leading worldwide
manufacturer of pacemakers and implantable defibrillators. Intel and
Microsoft, representing 1.3% and 2.7% of the portfolio respectively, are
dominant in their industries and consistently on the cutting edge of
technological innovations. All these companies of the Series reported better
than expected earnings growth in the first half of 1995.
Because the market favored large-capitalization growth companies, the
Series' portfolio now holds a majority of its assets in this sector. We also
have a sizeable portion of the portfolio invested in emerging or mid-sized
companies where we anticipate strong growth potential later this year and into
1996. In anticipation of a slowing economy we reduced our exposure to stocks
that are cyclical in nature, selling or reducing positions in the energy,
retail and auto industries.
OUTLOOK AND STRATEGY
Over the next six months we may continue to overweight the sectors that have
contributed to the Series' strong year-to-date performance because we believe
they will continue to grow.
. TECHNOLOGY Both hardware and software companies did extremely well
because of the expanding economy and the increased momentum toward
networking for the private and business sectors.
. FINANCIAL SERVICES The expanding economy and declining interest rates
benefited banks and other financial institutions. There was an increase
in the number of credit cards issued, and the lower interest rates led to
increased numbers of loan applications.
. HEALTHCARE The health care debate in 1994 succeeded in bringing down the
stock prices of many well-established, solid companies. However, with the
failure to pass reforms and the realization that changes will take time,
we've seen several of these companies return to favor this year.
16
<PAGE>
. CONSUMER NON-DURABLES The decline of the dollar was good news for
American companies that supply consumable products such as food and
beverages to foreign countries.
We also believe that over the next six months the economy may continue to
grow, but at a slower pace. Leading companies with proprietary products and
dominant market positions may continue to generate strong earnings growth.
While during the first six months of 1995 the Series concentrated on large,
blue-chip companies, we believe that more growth opportunities in the second
half of 1995 may be found in emerging and mid-sized companies.
As always, we are committed to building a top portfolio of leading American
companies that are positioned to do well over the long term.
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Average Annual Return
Zenith
Avanti
Growth
<S> <C>
6 mos. 19.94%
1 Year 30.31%
Since Inception 15.73%
<CAPTION>
Zenith
Avanti
Growth S&P 500
<S> <C> <C>
YTD 1995 $13,725 $13,176
1994 $11,443 $10,966
1993 $11,474 $10,819
Inception 4/30/93 $10,000 $10,000
</TABLE>
Performance numbers are net of all fund operating expenses but do not
include any insurance, sales or administrative charges of the policies; if
included, the returns would be lower.
This information represents past performance and is not indicative of future
results. Investment return and principal value will fluctuate so that shares,
upon redemption, may be worth more or less than original cost.
17
<PAGE>
Zenith Venture Value Series
Portfolio Manger: Shelby M.C. Davis; Selected/Venture Advisers, L.P.
- -------------------------------------------------------------------------------
The Zenith Venture Value Series ended the six months through June 30, 1995
with a total return of 22.77% compared to a return of 20.15% for the S&P 500
Index** for the same period.
MARKET REVIEW
Financial stocks have performed well in the first half of 1995 spurred by a
robust bond market rally. The large capitalization stocks in which the
portfolio has substantial positions have also led the advance. Also, while the
portfolio has just a modest weighting in tech stocks -about 10%- the few names
in that group, like Hewlett-Packard, Texas Instruments and Intel, have
performed nicely over this period.
OUTLOOK AND STRATEGY
The Series has a large concentration of financial stocks. It is our sense
that the market has been trained to sell financial stocks in periods of rising
interest rates without regard to the underlying fundamentals. We hope that
this environment has created good buying opportunities in many of our core
holdings and we have taken advantage of price weakness to add to these
positions. Selected/Venture Advisers believes that the long-term growth
potential for financial stocks is strong while the downside risk is limited,
thanks, in part, to higher-than-market dividend yields and lower-than-market
price/earnings ratios.
At Selected/Venture Advisers we remain concerned about inflation. As a
hedge, the portfolio is building a position in oil stocks, with a recent
emphasis on Amerada Hess. For similar reasons, the portfolio has taken a
larger position in real estate investment trusts.
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Average Annual Return*
Zenith
Venture
Value
<S> <C>
6 mos 22.77%
Since Inception 18.47%
* not annualized
<CAPTION>
Zenith
Venture
Value S&P 500
<S> <C> <C>
YTD 1995 $11,847 $11,767
1994 $ 9,650 $ 9,794
Inception 10/31/94 $10,000 $10,000
</TABLE>
Performance numbers are net of all fund operating expenses but do not
include any insurance, sales or administrative charges of the policies; if
included, the returns would be lower.
This information represents past performance and is not indicative of future
results. Investment return and principal value will fluctuate so that shares,
upon redemption, may be worth more or less than original cost.
18
<PAGE>
Zenith Westpeak Value Growth Series
Portfolio Managers: Gerald H. Scriver and Philip J. Cooper; Westpeak
Investment Advisors, L.P.
- -------------------------------------------------------------------------------
MARKET REVIEW
The Zenith Westpeak Value Growth Series began operations on May 1, 1993. For
the six month period ending June 30, 1995, the Series returned 20.50%, while
the S&P 500 Index** returned 20.15% for the same time period. This performance
placed the Series 4th out of 55 funds in the Lipper Variable Growth and Income
Funds Index/1//2/. Since inception on May 1, 1993, the Series returned 36.00%,
while the S&P 500** returned 31.76%. This performance placed the Series 2nd
out of 40 funds in the above-referenced Lipper index for this period.
The first half of 1995 saw the S&P 500** return 20.15%, while the U.S. Long-
Term Treasury Bond returned 18.64%. As we expected, the S&P/BARRA Growth
Index/8/ outperformed the S&P/BARRA Value Index/9/ by 2.05% for the first six
months of 1995. For the past 12 months, the Growth Index/8/ outperformed the
Value Index/9/ by 9.54%. The technology sector was responsible for much of the
Growth Index's superior performance.
We believe the growth sector of the stock market will continue to lead the
way over the next quarter. However, market leadership should begin to change
to value type stocks as we approach the end of the year. By this time, we
could be approaching the "blowoff" stage of the market, at which time the
technology stocks would be vulnerable to a major setback.
During the first half of 1995, the Series benefited significantly from its
holdings in technology stocks. For the second quarter of 1995, the Series
returned 12.20% compared to 9.52% for the S&P 500. Significant contributors to
portfolio performance were Hewlett-Packard, up 24.16%; Intel, up 49.22%; Dell
Computer Corp., up 37.42%; and Andrew Corp., up 42.06%.
OUTLOOK AND STRATEGY
We believe the economy will stay subdued enough for the near term to reduce
inflationary pressures. This should allow the Fed to lower short-term interest
rates again soon. As a result, long-term rates will continue to decline, but
the bond rally will probably not extend into 1996. Under this scenario, the
bond market provides protection for the stock market, but a build-up in
speculation may be a warning that risk is increasing for stocks. Continued
cuts in short-term rates could lead to a further rush to buy stocks that
should last until late this year.
As we enter the third quarter of 1995, we remain overweighted in technology
and interest sensitive stocks, and underweighted in the consumer sector of the
stock market. However, we continue to believe that it is getting late in the
cycle for technology stocks and would expect to scale back if these stocks
move into the explosive stage.
19
<PAGE>
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Average Annual Return
Zenith
Value
Growth
<S> <C>
6 mos. 20.50%
1 Year 26.46%
Since Inception 15.24%
<CAPTION>
Zenith
Value
Growth S&P 500
<S> <C> <C>
YTD 1995 $13,599 $13,176
1994 $11,286 $10,966
1993 $11,424 $10,819
Inception 4/30/93 $10,000 $10,000
</TABLE>
Performance numbers are net of all fund operating expenses but do not
include any insurance, sales or administrative charges of the policies; if
included, the returns would be lower.
This information represents past performance and is not indicative of future
results. Investment return and principal value will fluctuate so that shares,
upon redemption, may be worth more or less than original cost.
20
<PAGE>
Zenith Westpeak Stock Index Series
Portfolio Managers: Gerald H. Scriver and Philip J. Cooper; Westpeak
Investment Advisors, L.P.
- -------------------------------------------------------------------------------
MARKET REVIEW
The Zenith Westpeak Stock Index Series returned 20.03% compared to a return
of 20.15% for the S&P 500 Index** for the six month period ending June 30,
1995.
The Series is managed so as to track the performance of the S&P 500 Index**.
Westpeak's approach is to seek to emulate the S&P 500 Index** by owning a
majority of the stocks in the Index in the same proportion as the Index. This
process minimizes the tracking error to the Index. For example, during the
second quarter of 1995, the Series returned 9.55% while the S&P 500 Index**
returned 9.52%
OUTLOOK AND STRATEGY
We believe the economy will stay subdued enough for the near term to reduce
inflationary pressures. This should allow the Fed to lower short-term interest
rates again soon. As a result, long-term rates will continue to decline, but
the bond rally will probably not extend into 1996. Under this scenario, the
bond market provides protection for the stock market, but a build-up in
speculation is a warning that risk is increasing for stocks. We expect that
continued cuts in short-term rates could lead to a further rush to buy stocks
that should last until late this year.
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Average Annual Return
Zenith
Stock
Index
<S> <C>
6 mos. 20.03%
1 Year 25.88%
5 Years 11.75%
Since Inception 11.17%
<CAPTION>
Zenith
Stock
Index S&P 500
<S> <C> <C>
YTD 1995 $23,754 $24,431
1994 $19,785 $20,334
1993 $19,560 $20,061
1992 $17,827 $18,227
1991 $16,614 $16,938
1990 $12,744 $12,995
1989 $13,294 $13,414
1988 $10,215 $10,194
1987 $ 8,780 $ 8,750
Inception 4/30/87 $10,000 $10,000
</TABLE>
Performance numbers are net of all fund operating expenses but do not
include any insurance, sales or administrative charges of the policies; if
included, the returns would be lower.
This information represents past performance and is not indicative of future
results. Investment return and principal value will fluctuate so that shares,
upon redemption, may be worth more or less than original cost.
21
<PAGE>
Zenith Loomis Sayles Balanced Series
Portfolio Managers: Meri Anne Beck and Douglas D. Ramos; Loomis, Sayles &
Company, L.P.
- -------------------------------------------------------------------------------
MARKET REVIEW
Stock and bond markets posted excellent returns in the first six months of
1995. As measured by the Standard & Poor's 500 Index**, stocks produced a
total return of 20.15% for the six month period. Bonds, as measured by the 30-
year U.S. Treasury, returned 18.64% for the same period. Cash equivalents, as
measured by the 3-month Treasury bill, returned a meager 3.0% for the six
months ended 6/30/95. The total return for the Series for the six months ended
6/30/95 was 15.79%.
Asset allocation was a positive factor during the quarter. The Series held
very limited amounts of cash equivalents, though cash flows were substantial
in relation to the Series' size. During the second quarter, the percentage
held in stocks exceeded 50%, with 57% invested in stocks at June 30, a
positive for Fund performance. While the fixed-income portfolio outperformed
its benchmark, it did not come close to generating the returns posted by the
30-year Treasury. The equity portfolio, on the other hand, outperformed the
S&P 500 Index**.
Bond market investors went from celebrating the arrival of a "soft landing"
in the first quarter to concern about a "bumpy" to "belly" landing during the
second quarter. U.S. Treasuries and non-callable corporate bonds did provide
the best overall results. These bonds generally provide the most upside in
terms of price appreciation during strong rallies. Corporate bonds continued
to do very well as quality spreads have generally narrowed throughout the
market rally this year.
Stock market investors, helped by the bond markets, seemed to assume that
the Fed would do the right thing and keep the economy's growth fast enough to
support corporate profit growth but slow enough to keep inflation and interest
rates in check. Technology continued to lead the market and the equity
portfolio's performance. Within the portfolio's technology sector, the best
performing industry by far was electrical components thanks to the outstanding
returns generated by semiconductor stocks, Intel and Texas Instruments. The
financial sector was the second positive factor, while the negative for
portfolio performance was the energy sector, with natural gas pipelines and
major integrated oils performing equally badly.
OUTLOOK AND STRATEGY
Looking forward, our economists are projecting a "growth recession" for the
middle two quarters of 1995 followed by a stronger economy by year's end. The
odds of a recession are very small and the economy simply does not need the
Fed to move interest rates aggressively lower. Assuming no unexpected weakness
develops and a "soft takeoff" beginning in the fourth quarter of 1995, the
bigger part of the bond market rally may be behind us. In retrospect, it is
quite surprising that the stock market did so well in the second quarter after
such a strong first quarter performance and three discount rate increases. The
stock market appears to believe the Fed has succeeded in producing a slowdown
without a recession and is looking past the current slowdown. That said, it
would be even more surprising if the fireworks continued in the second half.
This is not to say that conditions are unfavorable. We will stick with the
current asset allocation, of approximately 60% stocks and 40% bonds.
22
<PAGE>
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Average Annual Return*
Zenith
Balanced
<S> <C>
6 mos. 15.80%
Since Inception 15.68%
*not annualized
<CAPTION>
Zenith
Balanced S&P 500
<S> <C> <C>
YTD 1995 $11,568 $11,767
1994 $ 9,990 $ 9,794
Inception 10/31/94 $10,000 $10,000
</TABLE>
Performance numbers are net of all fund operating expenses but do not
include any insurance, sales or administrative charges of the policies; if
included, the returns would be lower.
This information represents past performance and is not indicative of future
results. Investment return and principal value will fluctuate so that shares,
upon redemption, may be worth more or less than original cost.
23
<PAGE>
Zenith Back Bay Advisors Managed Series
Portfolio Manager: Peter Palfrey; Back Bay Advisors, L.P.
- -------------------------------------------------------------------------------
MARKET REVIEW
The Zenith Managed Series ended the first six months of 1995 significantly
ahead of its peer group of Lipper Variable Flexible Funds Average/1//1/ which
includes 64 funds, with a total return of 16.82%, versus the comparable Lipper
average of 13.45%--an outperformance of 337 basis points. For the twelve month
period ended June 30, the Zenith Managed Series posted top 10% performance
with a total return of 21.13% versus 15.88% for its peer group average--an
outperformance of 525 basis points. During the first half of 1995, the Managed
Series remained "fully invested" in stocks and bonds, with an average asset
allocation of approximately 65% stocks, 33% bonds and 2% in cash equivalents.
This compares to the 62% stocks, 27% bonds and 13% in cash equivalents under
more adverse market conditions over the same period last year.
Year to date, stocks and bonds have enjoyed one of the best bull markets in
years. The S&P 500 Index** (including reinvestment of dividends) is up 20.15%
for the six months ended June 30. Bonds, as represented by the Lehman
Intermediate Government/Corporate Bond Index***, are up 9.60% over the same
period. Moderating U.S. economic growth (slowing from last year's heated
pace), coupled with benign inflationary data and the perception that the
Federal Reserve was shifting to a more neutral monetary policy, has driven
interest rates 150-200 basis points lower from year-end 1994 levels. Stocks,
in turn, have been buoyed by continued strong corporate earnings, lower
interest rates, a more accommodative stance by the Federal Reserve and the
prospect of a prolonged period of moderate but sustainable economic expansion.
OUTLOOK AND STRATEGY
The U.S. economy, which had shown considerable resilience to the rate hikes
orchestrated by the Federal Reserve over the preceding 12 months, finally
started to react to the more restrictive monetary policy in 1995. Second
quarter economic activity, particularly in the manufacturing sector, has shown
a marked slowdown. Citing the increased risk of a mild recession, a cautious
Federal Reserve Board elected to reverse course, voting in early July to ease
short rates by 1/4%. However, with the Fed's move already priced into the
fixed income market, investor euphoria proved short-lived. The most recent
economic data and comments from Fed officials suggest that additional easing
by the Federal Reserve is not imminent, and may prove unnecessary to keep the
U.S. economy moving along the Fed's targeted 2.5% annual growth trendline.
The recent uncertainty over future Fed policy direction heightened
volatility in both the bond and stock markets. Longer duration fixed-income
securities, in particular, have been under considerable pressure thus far in
the 3rd quarter, as market participants have been quick to seize on recent
strength in economic data as an excuse to reduce exposure. However, with the
inflation outlook still favorable, and with significantly above trendline
economic growth over the next several quarters unlikely, we remain
constructive on the fixed income market and may look to add duration if long
rates back up behind 7%. Similarly, neutral Fed monetary policy and stable to
declining interest rates, coupled with steady earnings growth, has been the
recipe for successive new highs in the stock market thus far in 1995. While
current stock valuations depend on relatively aggressive earnings forecasts
and look to be approaching "fully priced" by many historical measures, we feel
that there is still additional upside in stocks over the next several
quarters. However, this is likely to come at the cost of increased volatility.
Increased volatility is to be expected after a runup such as seen in the first
half of 1995. With solid fundamentals underpinning the market, investors can
take advantage of this higher volatility to increase exposure to stocks on
corrections.
24
<PAGE>
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Average Annual Return
Zenith
Managed
<S> <C>
6 mos. 16.82%
1 Year 21.13%
5 Years 10.52%
Since Inception 10.08%
<CAPTION>
Zenith
Managed S&P 500
<S> <C> <C>
YTD 1995 $21,914 $24,431
1994 $18,755 $20,334
1993 $18,966 $20,061
1992 $17,141 $18,227
1991 $16,064 $16,938
1990 $13,365 $12,995
1989 $12,950 $13,414
1988 $10,873 $10,194
1987 $ 9,930 $ 8,750
Inception 4/30/87 $10,000 $10,000
</TABLE>
Performance numbers are net of all fund operating expenses but do not
include any insurance, sales or administrative charges of the policies; if
included, the returns would be lower.
This information represents past performance and is not indicative of future
results. Investment return and principal value will fluctuate so that shares,
upon redemption, may be worth more or less than original cost.
25
<PAGE>
Zenith Salomon Brothers Strategic Bond Opportunities Series
Portfolio Managers: Steven Guterman, Peter J. Wilby and David Scott;
Salomon Brothers Asset Management Inc
- -------------------------------------------------------------------------------
MARKET REVIEW
The U.S. fixed income markets staged a dramatic rally during the first half
of 1995. Consistently weak economic data forced buyers into the market and
pushed yields on two-year through ten-year benchmarks down by more than 100
basis points. The total return for the Series for the six month period ended
6/30/95 was 12.32%, versus 11.44% for the Lehman Aggregate Bond Index./2/
The strong performance of the Series was driven by gains of a little over 6%
in both the high yield and investment grade markets and a 22% gain in emerging
markets for the quarter, as defined by the appropriate Salomon Brothers
benchmarks.
The strong second quarter performance of emerging market debt resulted from
a combination of technical and fundamental factors. From a technical
standpoint, U.S. mutual funds and Japanese banks ended their widespread
selling of emerging market debt at March quarter-end. Fundamentally, a number
of positive developments helped the performance of the market. Poland received
an investment grade debt rating from Moody's, becoming the first Brady Bond
issuer to achieve investment grade status. Argentine President Menem was re-
elected by a comfortable margin in May, removing a potential uncertainty from
the outlook for the country. Mexico stabilized the peso during the June
quarter as the country continued to make progress in solving its liquidity
problem.
The Series is currently allocated as follows: 16% in non-U.S. investment
grade government bonds, 20% in U.S. investment grade securities, 40% in high
yield corporates, 22% in emerging market debt and 2% in short term
investments.
OUTLOOK AND STRATEGY
We are maintaining the exposure we had in the second quarter to the emerging
debt markets (approximately 22%); we believe that favorable developments in
this market should continue to provide investment opportunities. We are also
constructive on the U.S. high yield fixed income markets and plan to be
overweight in this sector. We believe both these sectors are attractive in a
low- to slow-growth environment.
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Average Annual Return*
Zenith
Salomon
Strategic Bd
<S> <C>
6 mos. 12.32%
Since Inception 10.75%
*not annualized
<CAPTION>
Zenith Lehman
Salomon Aggregate
Strategic Bd Bond
<S> <C> <C>
YTD 1995 $11,075 $11,132
1994 $ 9,860 $ 9,989
Inception 10/31/94 $10,000 $10,000
</TABLE>
26
<PAGE>
Performance numbers are net of all fund operating expenses but do not
include any insurance, sales or administrative charges of the policies; if
included, the returns would be lower.
This information represents past performance and is not indicative of future
results. Investment return and principal value will fluctuate so that shares,
upon redemption, may be worth more or less than original cost.
27
<PAGE>
Zenith Back Bay Advisors Bond Income Series
Portfolio Manager: Cathy Bunting; Back Bay Advisors, L.P.
- -------------------------------------------------------------------------------
MARKET REVIEW
The bond market staged a strong rally in the first half of 1995 as investors
grew more and more optimistic about the outlook for fixed-income securities.
The Federal Reserve Board's February 1995 rate increase, the last in a year-
long series, helped achieve the Fed's goal of cooling the economy while
allaying investor fears of rekindled inflation. The market drew strength from
the growing prospect of declining interest rates, which it saw as a likely
byproduct of a slowing economy. Sluggish economic activity, which implies
lower inflation, therefore led bond prices higher beginning early in the year,
in anticipation of lower rates to come. The markets' expectations proved
accurate as the Federal Reserve Board cut the Fed Funds rate by 1/4 of a
percentage point, just after the period's end, on July 6, 1995.
Overall, corporate bonds outperformed U.S. government securities thanks
primarily to rising corporate profits. Strong equity markets also benefited
bonds, as investor confidence spread to fixed-income securities; rising stock
prices also meant lower dividend yields, diminishing the appeal of stocks for
income-oriented investors. And for most of the period, the supply of corporate
securities of the type the Series invests in was restrained.
The economic scenario we have been observing is the much-discussed "soft
landing". Despite slowdowns in key industries like housing, retail sales and
manufactured goods, the economy appears to be slackening without sliding into
recession. Companies are maintaining inventories to support current sales
levels, in contrast to late 1994 when firms stockpiled inventory to meet
anticipated demand for goods.
The Series turned in a strong performance in the first half of 1995. Within
an overall climate of robust markets and improving corporate earnings, a
number of sectors contributed to the Series' positive results. For the period
January through June, the Series had a total return on net asset value of
13.1%. This compares favorably with a return of 9.60% for the Lehman
Intermediate Government/Corporate Bond Index***, and 11.6% for the Lipper
Variable A-Rated Corporate Bond Fund Average/1//0/ for the same period.
To take advantage of strength where it was most concentrated, we committed
around 10% of the portfolio to the electric and gas utilities and 9% to the
cable and media sectors. We favored gas utilities because of increased
profitability in the sector. Electric utilities were attractive thanks to an
overall industry recovery, improved balance sheets and our belief that these
securities had overreacted to the prospect of competition in their
marketplaces. In the cable and media sectors, takeovers and consolidations led
to stronger credits and a number of upgrades.
We also devoted almost 15% of the Series to Canadian securities, both U.S.
dollar- and Canadian dollar-denominated. In Canada we were attracted to better
yields than were available domestically. The Canadian dollar is stabilizing
and Canadian goods, at today's currency levels, are attractively priced in
world markets. In addition, concerns about the separatist movement in Quebec
have abated in the wake of flagging popular support. Canada also appears to be
taking effective steps to deal with its budget deficit.
We are also holding a smaller percentage of the Series in corporates than
has been our practice. With corporate bond yields not much higher than those
available on U.S. Treasuries, we feel that the higher quality of the U.S.
government issues is an attractive trade-off for the slight give-up in income.
Therefore the portfolio's overall quality is roughly equivalent to a security
rated in the lower range of AA.
28
<PAGE>
OUTLOOK AND STRATEGY
Last December we expressed an optimistic view for the fixed-income markets,
and that view has been borne out. Our outlook for the second half of the year
calls for economic growth in the range of 2-2.5% on an annualized basis. While
the Federal Reserve Board has taken an initial step toward loosening the
monetary reins, it does not follow that there will be a series of cuts
parallel to the increases of 1994-95. Rather, we think the Fed will opt to
wait and assess the effects of its first move before undertaking another cut.
In managing the Series, we seek to deliver attractive income with reasonable
risk. With 1994's challenges behind us, we are again very optimistic about the
outlook for bonds. Although past performance does not predict future results,
we believe our record of positive returns in 11 of the last 12 years, plus
strong performance in the first half of 1995, continue to justify your long-
term confidence.
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Average Annual Return
Zenith
Bond
Income
<S> <C>
6 mos. 13.05%
1 Year 14.61%
5 Years 10.61%
10 Years 10.08%
<CAPTION>
Zenith Lehman
Bond Intermediate Cost
Income Govt/Corp of Living
<S> <C> <C> <C>
YTD 1995 $28,815 $26,141 $14,621
1994 $25,484 $23,851 $14,218
1993 $26,370 $24,320 $13,847
1992 $23,418 $22,355 $13,476
1991 $21,643 $20,860 $13,096
1990 $18,341 $18,197 $12,707
1989 $16,967 $16,669 $11,976
1988 $15,109 $14,783 $11,443
1987 $13,938 $13,844 $10,959
1986 $13,745 $13,354 $10,494
1985 $11,870 $11,805 $10,380
12/31/84 $10,000 $10,000 $10,000
</TABLE>
Performance numbers are net of all fund operating expenses but do not
include any insurance, sales or administrative charges of the policies; if
included, the returns would be lower.
This information represents past performance and is not indicative of future
results. Investment return and principal value will fluctuate so that shares,
upon redemption, may be worth more or less than original cost.
29
<PAGE>
Zenith Salomon Brothers U.S. Government Series
Portfolio Managers: Steven Guterman and Roger Lavan; Salomon Brothers Asset
Management Inc
- -------------------------------------------------------------------------------
MARKET REVIEW
The U.S. fixed income markets staged a dramatic rally during the second
quarter of 1995. Consistently weak economic data forced buyers into the market
and pushed yields on two-year through ten-year benchmarks down by 100 basis
points. The total return for the Series for the six months ended 6/30/95 was
9.44%, versus 9.03% for the same period for the Lehman Brothers Intermediate
Government Bond Index./1/
The Series was well positioned for the rally. The Series began the second
quarter with a duration of 4.5 years and underweighted in callable mortgages.
As the rally ensued, additional strategic underweighting of callable mortgages
proved beneficial as most mortgage products had a difficult time keeping pace
with Treasuries during the rally.
OUTLOOK AND STRATEGY
Looking forward, we remain constructive on the market and believe the Fed
will continue to lower rates, albeit slowly. We expect to keep the duration of
the Series near the upper end of its three-to five-year duration band. In
terms of sector allocation, discount and current coupon mortgages are becoming
increasingly more attractive and it would not be surprising to see a
commitment by the Series back into those areas over the next few months.
Presently, the Series is allocated as follows: 15% cash, 33% Treasuries; 33%
agency debentures, 13% agency mortgage pass-throughs, 6% agency PAC CMOs.
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Average Annual Return*
Zenith
Salomon
US Govt
<S> <C>
First Half 9.44%
Since Inception 10.09%
*not annualized
<CAPTION>
Zenith
Salomon Lehman
US Govt Inter Govt
<S> <C> <C>
YTD 1995 $11,010 $10,954
1994 $10,060 $10,047
Inception 10/31/94 $10,000 $10,000
</TABLE>
Performance numbers are net of all fund operating expenses but do not
include any insurance, sales or administrative charges of the policies; if
included, the returns would be lower.
This information represents past performance and is not indicative of future
results. Investment return and principal value will fluctuate so that shares,
upon redemption, may be worth more or less than original cost.
30
<PAGE>
Zenith Back Bay Advisors Money Market Series
Portfolio Manager: J. Scott Nicholson; Back Bay Advisors, L.P.
- -------------------------------------------------------------------------------
MARKET REVIEW
From February 1994 through February 1995, the Federal Reserve Board raised
short-term rates seven times in an effort to slow down a rapidly growing
economy and ward off potential inflationary pressures. Throughout 1994 and
into 1995, yields on the Series have risen in response to the Fed's actions.
Indeed, yields have been at their highest level in recent years. However,
during the first six months of the year evidence accumulated that the economy
had slowed dramatically in response to the Fed's monetary policy. The markets
began to anticipate that the Fed would be forced to reduce rates to prevent
the economy from slipping into recession. Then, on July 6, just after the end
of this reporting period, the Fed reversed direction and lowered short-term
rates by a modest 0.25%, signaling a possible change in interest rate policy.
Shareholders in the Series enjoyed relatively high rates throughout the
first half of the year as the effects of the Fed's interest rate hikes worked
their way through the system. At June 30, 1995, the 7-day yield for the Series
stood at 5.67% (compared to 5.34% on December 31, 1994). The 7-day yields for
the Series as of June 30 continue to compare favorably with the average money
market deposit account (MMDA), which was yielding 3.42%. (Source: Wall Street
Journal, 7/6/95)*.
In a period of rising interest rates, money market fund managers will reduce
the average days to maturity of their fund's holdings so that assets can be
quickly rolled over into higher-yielding instruments. During periods of
declining rates, the average maturity of the fund will be extended, in order
to lock in the higher yields for as long as possible. At the end of 1994, we
believed that economic growth would perhaps pause for a short while and then
continue on its upward path, leading to continued interest rate hikes by the
Fed. Accordingly, we had shortened the average maturity of the Series (which
had dipped as low as 27 days at year-end).
In the first few months of 1995, our outlook on the economy began to shift.
As the evidence mounted that the economy was indeed slowing, we thought it
less likely that the Fed would continue raising rates and that it might even
reverse trend. Consequently, we lengthened the average maturity to about 48
days at June 30, 1995 for the Series. At mid-year our outlook is generally
positive, although concerns remain that lower interest rates may spur
excessive growth in the economy later in the year.
OUTLOOK AND STRATEGY
We have probably seen the peak of the current interest rate cycle and we
think that yields will stabilize or edge downward from their June 30 levels.
Of course, this scenario could change if economic numbers in the latter part
of the year point toward resurgent inflation, and we will be looking for signs
of an economic rebound later in the year that would cause the Fed to keep
short rates at current levels for an extended period of time.
No matter the economic climate, however, the Series can form a key part of
an investor's portfolio. We manage the series conservatively, following strict
investment guidelines to seek high current income and stability.
*Money Market Funds are not insured or guaranteed by the U.S. government.
There can be no assurance that the Funds will maintain a stable net asset
value of $1.00 per share. MMDAs are insured and offer fixed rates for
specified periods.
31
<PAGE>
FOOTNOTES
** Standard & Poor's 500 Index (S&P 500) is an unmanaged index representing
the performance of 500 major companies, most of which are listed on the
New York Stock Exchange. The S&P 500 performance has not been adjusted for
ongoing management, distribution and operating expenses and sales charges
applicable to mutual fund investments.
*** Lehman Intermediate Government/Corporate Bond Index is an unmanaged index
of investment grade bonds issued by the U.S. government and U.S.
corporations having maturities between one and ten years. The Index
performance has not been adjusted for ongoing management, distribution and
operating expenses and sales charges applicable to mutual fund
investments.
(1) Lehman Brothers Intermediate Government Bond Index includes most
obligations of theU.S. Treasury, agencies and quasi-federal corporations
having maturities of 1 to 10 years. The Index performance has not been
adjusted for ongoing management, distribution and operating expenses and
sales charges applicable to mutual fund investments.
(2) Lehman Aggregate Bond Index includes most obligations of the U.S.
Treasury, agencies and quasi-federal corporations, most publicly issued
investment grade corporate bonds, and most bonds backed by mortgage pools
of GNMA, FNMA and FHLMC. The Index performance has not been adjusted for
ongoing management, distribution and operating expenses and sales charges
applicable to mutual fund investments.
(3) Russell 2000 Index consists of 2000 small market capitalization stocks
having an average market cap of $160 million. The Index performance has
not been adjusted for ongoing management, distribution and operating
expenses and sales charges applicable to mutual fund investments.
(4) EAFE-Morgan Stanley Capital International Europe, Australia, Far East
Index is an arithmetical average (weighted by market value) of the
performance (in U.S. dollars) of 1,036 companies representing the stock
markets of Europe, Australia, New Zealand and the Far East. The Index
performance has not been adjusted for ongoing management, distribution and
operating expenses and sale charges applicable to mutual fund investments.
(5) COL (Cost of Living) is based on the Consumer Price Index, a widely
recognized measure of the cost of goods and services in the United States,
calculated by the U.S. Bureau of Labor Statistics.
(6) Lipper Intermediate Investment Grade Debt Average is an average of the
total return performance (calculated on the basis of net asset value) of
funds with similar investment objectives as calculated by Lipper
Analytical Services, an independent mutual fund ranking service.
(7) Lipper Variable Growth Fund Average is an average of the total return
performance (calculated on the basis of net asset value) of funds with
similar investment objectives as calculated by Lipper Analytical Services,
an independent mutual fund ranking service.
(8) S&P/BARRA Growth Index is constructed by dividing stocks in the S&P 500
according to price-to-book ratios. The Growth Index contains stocks with
higher price-to-book ratios than the average ratio. The Index performance
has not been adjusted for ongoing management, distribution and operating
expenses and sales charges applicable to mutual fund investments.
32
<PAGE>
(9) S&P/BARRA Value Index is constructed by dividing stocks in the S&P 500
according to price-to-book ratios. The Value Index contains stocks with
lower price-to-book ratios than the average ratio. The Index performance
has not been adjusted for ongoing management, distribution and operating
expenses and sales charges applicable to mutual fund investments.
(10) Lipper Variable A-Rated Corporate Bond Fund Average is an average of the
total return performance (calculated on the basis of net asset value) of
funds with similar investment objectives as calculated by Lipper
Analytical Services, an independent mutual fund ranking service.
(11) Lipper Variable Flexible Funds Average is an average of the total return
performance (calculated on the basis of net asset value) of funds with
similar investment objectives as calculated by Lipper Analytical
Services, an independent mutual fund ranking service.
(12) Lipper Variable Growth and Income Fund Average is an average of the total
return performance (calculated on the basis of net asset value) of funds
with similar investment objectives as calculated by Lipper Analytical
Services, an independent mutual fund ranking service.
33
<PAGE>
New England Zenith Fund
(Small Cap Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-82.7% of Total Net Assets
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
AUTOMOBILE & RELATED-3.1%
3,300 Durakon Industries, Inc................................... $ 50,325
5,200 Elsag Bailey Process Auto................................. 143,000
4,020 Hahn Automotive Wholesale, Inc. .......................... 39,195
7,900 Masland Corp.............................................. 101,712
5,800 Walbro Corp............................................... 104,400
-----------
438,632
-----------
BANKS/SAVINGS & LOAN-0.6%
3,050 Commercial Federal Corp................................... 83,113
-----------
COMPUTERS & BUSINESS EQUIPMENT-4.0%
2,100 Analysts International Corp............................... 54,600
3,600 Ceridian Corp............................................. 132,750
1,950 Computer Horizons Corp. .................................. 31,200
7,000 Gilat Satellite Networks.................................. 159,250
700 Komag, Inc................................................ 36,400
5,600 Office Max, Inc. ......................................... 156,100
-----------
570,300
-----------
CHEMICALS-SPECIALTY-1.9%
1,900 Cytec Industries, Inc..................................... 77,662
2,700 Dallas Semiconductor Corp................................. 55,350
4,300 Intertape Polymer Group, Inc.............................. 101,050
1,700 Learonal, Inc. ........................................... 35,913
-----------
269,975
-----------
ELECTRICAL EQUIPMENT-1.1%
2,400 Gasonics International Corp. ............................. 68,400
4,500 Gelman Sciences, Inc...................................... 84,938
-----------
153,338
-----------
ELECTRONICS-6.3%
1,600 Altera Corp. ............................................. 69,200
3,000 American Electronic Components............................ 22,500
4,800 Amphenol Corp. ........................................... 139,800
4,700 Cable Design Technologies................................. 101,050
2,900 Cyrix Corp. .............................................. 69,962
2,900 Exar Corp. ............................................... 85,550
2,000 Lam Research Corp. ....................................... 128,000
1,600 Microcom, Inc............................................. 24,000
7,700 Numerex Corp. ............................................ 86,625
7,600 Union Switch & Signal..................................... 95,475
1,600 Zilog, Inc................................................ 79,800
-----------
901,962
-----------
</TABLE>
See accompanying notes to financial statements.
34
<PAGE>
New England Zenith Fund
(Small Cap Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
ENVIROMENTAL SERVICES-1.8%
1,100 Corrpro Companies, Inc.................................... $ 7,288
4,500 International Recovery Corp............................... 66,375
7,400 Thermo Fibertek, Inc...................................... 147,075
1,000 United Waste Systems, Inc................................. 36,000
-----------
256,738
-----------
FINANCIAL & BUSINESS SERVICES-8.0%
5,000 Aames Financial Corp...................................... 90,625
1,600 Advanta Corp.............................................. 60,400
3,500 Banta Corp................................................ 116,375
2,900 Bolt Bernek & Newman, Inc................................. 79,388
6,200 Chateau Properties, Inc................................... 129,425
6,200 Control Data Systems, Inc................................. 55,800
4,900 Eaton Vance Corp.......................................... 158,025
5,100 Horizon Outlet Centers.................................... 118,575
6,800 Imperial Credit Industries, Inc........................... 84,150
5,400 Liberty Property.......................................... 105,975
2,350 Money Store, Inc.......................................... 84,158
4,500 Spectrum Holobyte, Inc.................................... 64,406
-----------
1,147,302
-----------
FOOD AND BEVERAGE-0.9%
3,700 Universal Foods Corp...................................... 119,788
-----------
HEALTH CARE-(DRUGS & HEALTH CARE SERVICES)-11.0%
4,800 American Medical Response................................. 134,400
3,400 Community Health Systems, Inc............................. 115,175
2,200 Conmed Corp............................................... 54,450
7,800 Evergreen Healthcare, Inc................................. 96,525
4,200 Genesis Health Ventures, Inc.............................. 124,425
6,600 Health Images, Inc........................................ 40,425
5,900 Health South Corp......................................... 102,512
1,400 Invacare Corp............................................. 58,100
2,900 Lunar Corp................................................ 81,925
9,800 Medisense, Inc............................................ 189,875
3,000 Mentor Corp............................................... 83,625
4,500 Mylan Labs, Inc........................................... 138,375
11,800 Regency Health Services................................... 123,900
4,500 Sierra Health Services, Inc............................... 110,250
1,800 Sofamor/Danek Group, Inc.................................. 40,725
4,250 Summit Care Corp.......................................... 77,563
-----------
1,572,250
-----------
HOME PRODUCTS-1.6%
2,400 Aptargroup, Inc........................................... 77,100
1,700 Bush Boake Allen, Inc..................................... 51,638
6,150 US Can Corp............................................... 96,093
-----------
224,831
-----------
HOTELS & RESTAURANTS-0.3%
3,000 Supertel Hospitality...................................... 40,500
-----------
</TABLE>
See accompanying notes to financial statements.
35
<PAGE>
New England Zenith Fund
(Small Cap Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
HOUSING CONSTRUCTION & BUILDING MATERIALS-4.4%
5,200 Congoleum Corp............................................ $ 69,550
10,500 Crossman Communities, Inc. ............................... 107,625
9,900 Giant Cement Holdings, Inc. .............................. 121,275
13,400 Griffon Corp.............................................. 107,200
6,150 NCI Building Systems, Inc................................. 103,012
1,800 W.H. Brady Co............................................. 122,400
-----------
631,062
-----------
INSURANCE-3.9%
4,400 Allied Group.............................................. 125,400
4,900 Capital Resource Corp..................................... 127,400
4,500 Protective Life Corp...................................... 122,625
4,300 Reinsurance Group of America, Inc. ....................... 123,088
2,900 Triad Guaranty, Inc. ..................................... 60,900
-----------
559,413
-----------
LEISURE-2.5%
2,050 Carmike Cinemas, Inc...................................... 49,713
3,900 Harman International Industries, Inc. .................... 157,950
9,250 Monaco Coach Corp......................................... 148,000
1,000 Mountasia Entertainment International, Inc................ 6,750
-----------
362,413
-----------
MACHINERY-3.7%
10,200 Digital Biometrics, Inc................................... 109,650
2,500 Greenfield Industries, Inc. .............................. 72,500
3,600 Scotsman Industries, Inc.................................. 66,600
1,500 Thermo Volter Corp........................................ 21,563
8,900 Thermedics, Inc. ......................................... 173,550
2,800 Wolverine Tube, Inc....................................... 89,950
-----------
533,813
-----------
MEDIA & ENTERTAINMENT-1.4%
3,700 International Cabletel, Inc............................... 120,250
2,700 Sinclair Broadcast Group.................................. 75,600
-----------
195,850
-----------
METALS-5.3%
8,000 Castech Aluminum Group, Inc............................... 143,000
12,000 Cold Metal Products, Inc. ................................ 82,500
5,000 GreenBrier Companies, Inc................................. 65,625
7,200 Huntco, Inc. ............................................. 117,000
9,600 Johnstown America Industries, Inc......................... 99,600
3,100 Quanex Corp............................................... 76,725
6,100 Republic Engineered Steels................................ 47,275
3,000 Steel Technologies, Inc................................... 34,500
13,000 UNR Industries, Inc....................................... 95,875
-----------
762,100
-----------
</TABLE>
See accompanying notes to financial statements.
36
<PAGE>
New England Zenith Fund
(Small Cap Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
MINING-0.5%
1,800 Cleveland Cliffs, Inc..................................... $ 69,300
-----------
MOBILE HOMES-0.4%
2,400 Oakwood Homes Corp........................................ 61,500
-----------
OIL-INDEPENDENT PRODUCERS-2.7%
6,800 Belden & Blake Corp....................................... 110,500
6,300 Cross Timbers Oil Co...................................... 100,012
4,500 International Colin Energy................................ 23,625
9,100 Lomak Petroleum, Inc...................................... 69,388
4,300 Vintage Petroleum, Inc.................................... 80,625
-----------
384,150
-----------
OIL-SERVICES-2.9%
6,250 J. Ray McDermott.......................................... 138,280
8,700 Production Operators Corp................................. 274,050
-----------
412,330
-----------
PUBLISHING-0.7%
1,400 American Publishing Co.................................... 15,050
1,600 Houghton Mifflin Co....................................... 84,400
-----------
99,450
-----------
PAPER PRODUCTS-0.7%
5,800 Caraustar Industries, Inc................................. 104,400
-----------
RETAIL (FOOD & DRUG)-0.5%
5,500 National Convenience Stores............................... 69,438
-----------
RETAIL (SPECIALTY)-5.7%
7,200 Borders Group, Inc........................................ 103,500
10,150 Cato Corp................................................. 82,468
7,600 Haverty Furniture Companies, Inc.......................... 77,900
5,500 Inbrand Corp.............................................. 89,375
3,400 Jones Apparel Group....................................... 101,575
3,600 Kenneth Cole Productions, Inc............................. 120,150
4,800 Lillian Vernon Corp....................................... 88,200
4,400 Sunglass Hut International, Inc........................... 154,000
-----------
817,168
-----------
SOFTWARE-1.8%
4,200 Micronics Computers Inc................................... 17,325
1,100 Pyxis Corp................................................ 24,888
3,200 SAP (ADR) (b)............................................. 132,800
2,000 Sterling Software, Inc.................................... 77,000
-----------
252,013
-----------
</TABLE>
See accompanying notes to financial statements.
37
<PAGE>
New England Zenith Fund
(Small Cap Series)
Investments as of June 30, 1995 (Unaudited)
- -------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
SHARES VALUE (a)
- -------------------------------------------------------------------------------
<C> <S> <C>
TELECOMMUNICATIONS-4.8%
5,800 Centennial Cellular Corp. .......................... $ 97,150
7,200 Cole National Corp.................................. 74,700
6,800 Davel Communications Group.......................... 85,850
2,100 Highwaymaster Communications, Inc................... 32,025
11,600 Intelcom Group, Inc................................. 103,675
12,300 Intervoice, Inc..................................... 215,250
3,900 Pronet Inc.......................................... 79,950
-----------
688,600
-----------
TRUCKING & FREIGHT-0.2%
1,500 Mark VII, Inc....................................... 24,563
-----------
Total Common Stocks (Identified Cost $11,102,241)... 11,806,292
-----------
- -------------------------------------------------------------------------------
Short-Term Investment-18.8%
<CAPTION>
FACE
AMOUNT
- -------------------------------------------------------------------------------
<C> <S> <C>
$2,690,000 Repurchase Agreement with State Street Bank & Trust
Company dated 6/30/95 at 5.500% to be repurchased at
$2,691,233 on 7/3/95 collateralized by $2,825,000
U.S. Treasury Bonds 5.125% due 12/31/98 with a value
of $2,747,313....................................... 2,690,000
-----------
Total Short-Term Investment (Identified Cost
$2,690,000)......................................... 2,690,000
-----------
Total Investments-101.5% (Identified Cost
$13,792,241) (b).................................... 14,496,292
Cash and Receivables................................ 147,545
Liabilities......................................... (362,309)
-----------
Total Net Assets-100%............................... $14,281,528
===========
</TABLE>
(a) See Note 1A.
(b) An American Depository Receipt (ADR) is a certificate issued by a U.S.
bank representing the right to receive securities of the foreign issuer
described. The values of ADR's are significantly influenced by trading on
exchanges not located in the United States or Canada.
(c) Federal Tax Information: At June 30, 1995 the net unrealized appreciation
on investments based on cost of $13,792,241 for federal income tax
purposes was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all investments in
which there is an excess of value over tax cost................... $1,127,139
Aggregate gross unrealized depreciation for all investments in
which there is an excess of tax cost over value................... (423,088)
----------
Net unrealized appreciation........................................ $ 704,051
==========
</TABLE>
See accompanying notes to financial statements.
38
<PAGE>
New England Zenith Fund
(International Equity Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-92.2% of Total Net Assets
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
AUSTRALIA-3.1%
1,400 Amcor Ltd.................................................. $ 10,328
16,000 Ampolex Ltd................................................ 36,390
4,300 Broken Hill Property....................................... 52,932
1,100 CRA Ltd.................................................... 14,964
8,400 CSR Ltd.................................................... 26,269
6,800 Gio Australia.............................................. 12,662
2,000 Lend Lease Corp............................................ 25,558
7,900 Mayne Nickless Ltd......................................... 32,510
4,300 National Australia Bank.................................... 33,984
5,500 North Ltd.................................................. 13,291
13,200 Normandy Mining Ltd........................................ 16,324
13,300 Woolworths Ltd............................................. 27,602
----------
302,814
----------
FINLAND-1.2%
2,000 Nokia (AB) OY.............................................. 117,069
----------
FRANCE-10.0%
1,900 AXA........................................................ 102,612
300 Bazar Hot de Ville......................................... 35,248
3,200 Cap Gemini Sogeti.......................................... 98,943
1,525 Casino Guich Perr.......................................... 44,480
1,500 Credit Comm France......................................... 67,126
1,000 Danone (EX BSN)............................................ 168,202
1,000 Eaux (Cie General)......................................... 111,310
1,200 LaFarge.................................................... 93,303
400 Saint Louis................................................ 123,678
2,000 Sanofi..................................................... 110,692
----------
955,594
----------
GERMANY-4.6%
2,530 Dresdner Bank AG........................................... 73,180
200 Henkel KGAA................................................ 77,084
140 Hochtief AG................................................ 77,142
430 Mannesmann AG.............................................. 131,373
220 Veba Ag.................................................... 86,463
----------
445,242
----------
GREAT BRITAIN-20.0%
41,500 ASDA Group................................................. 62,379
12,100 BAT Industries............................................. 92,766
6,100 Bass....................................................... 58,361
6,450 British Aerospace.......................................... 57,760
14,000 British Petroleum.......................................... 100,318
4,500 British Telecommunication.................................. 28,058
22,700 British Steel.............................................. 62,012
12,900 British Sky Broadcast...................................... 56,323
18,500 Caradon PLC................................................ 69,445
12,100 Compass Group.............................................. 71,595
7,800 Courtaulds................................................. 55,643
</TABLE>
See accompanying notes to financial statements.
39
<PAGE>
New England Zenith Fund
(International Equity Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
GREAT BRITAIN-CONTINUED
18,000 Forte...................................................... $ 65,134
3,850 Glaxo Welcome.............................................. 47,245
28,900 Hanson..................................................... 100,899
12,520 J. Sainsbury............................................... 87,921
8,450 Kingfisher................................................. 57,055
9,580 LLoyds Bank................................................ 95,008
8,900 Marks & Spencer............................................ 57,191
6,700 National Power............................................. 47,477
15,900 Pillar Properties Inv. .................................... 41,223
2,500 RMC Group.................................................. 41,991
7,850 Reed International......................................... 110,252
9,100 Rexam...................................................... 69,838
3,340 Shell Transportation & Trading............................. 39,924
5,950 Siebe...................................................... 59,528
8,800 Smithkline Beecham......................................... 79,644
20,600 Telewest Communications.................................... 53,409
3,990 Thorn EmI.................................................. 82,631
7,400 United News & Media PLC.................................... 61,206
----------
1,912,236
----------
JAPAN-22.5%
9,000 Asahi Bank................................................. 96,101
4,000 Asahi Glass Co............................................. 44,174
3,000 Bank of Tokyo.............................................. 48,139
2,000 Daiwa Securities........................................... 21,096
4,000 Fuji Bank.................................................. 80,703
5,000 Fujitsu.................................................... 49,850
10,000 Hitachi.................................................... 99,699
3,000 Honda Motor Co. ........................................... 46,015
3,000 Isetan Co.................................................. 40,706
13,000 Ishikawajima Har........................................... 51,077
2,000 Kirin Beverage............................................. 33,272
3,000 Kirin Brewery Co........................................... 31,857
5,000 Makino Milling............................................. 29,025
5,000 Matsushita Electronic Industries........................... 77,871
4,000 Mitsubishi Bank............................................ 86,367
4,000 Mitsubishi Corp............................................ 45,543
8,000 Mitsubishi Chemical........................................ 34,263
3,000 Mitsubishi Heavy Industrial................................ 20,388
4,000 Mitsui & Co................................................ 31,243
9,000 MItsukoshi................................................. 64,350
4,000 Mitsui Fudosan Co.......................................... 45,826
3,000 Nippondenso Co............................................. 54,510
19,000 Nippon Steel Corp.......................................... 61,872
3,000 Nomura Securities.......................................... 52,386
9,000 Odakyu Electric Railway.................................... 65,412
4,000 Okumura Securities......................................... 37,992
4,000 Sakura Bank................................................ 41,767
4,000 Sanwa Bank................................................. 75,512
</TABLE>
See accompanying notes to financial statements.
40
<PAGE>
New England Zenith Fund
(International Equity Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
JAPAN-CONTINUED
5,000 Sharp Corp. ............................................... $ 66,073
2,000 Sony Corp. ................................................ 96,042
5,000 Sumitomo Bank.............................................. 86,720
8,000 Sumitomo Realty & Development.............................. 47,761
7,000 Sumitomo Rubber............................................ 52,032
3,000 Takashimaya Co............................................. 40,352
7,000 Tokai Bank................................................. 77,636
2,000 Tokyo Electric Power....................................... 61,353
5,000 Yakult Honsha Co. ......................................... 72,562
4,000 Yamanouchi Pharmaceutical.................................. 90,142
----------
2,157,689
----------
MALAYSIA-5.2%
8,000 Genting Berhad............................................. 79,081
25,000 Land & General BHD......................................... 83,573
11,000 Malayan Bank BHD........................................... 87,080
28,000 Sime Darby BHD............................................. 78,097
11,000 Telekom Malaysia........................................... 83,470
21,000 Tenaga Nasional............................................ 85,705
----------
497,006
----------
NETHERLAND-5.5%
1,200 Akzo Nobel NV.............................................. 143,427
2,100 Fortis Amev NV............................................. 114,521
110 Hunter Douglas NV.......................................... 4,792
3,600 N.V. Koninklijke Sphinx Gus................................ 128,712
3,000 Philips Electronic......................................... 127,009
400 Vendex International....................................... 10,584
----------
529,045
----------
NORWAY-2.7%
36,100 Christiania Bank........................................... 83,783
1,800 Norsk Hydro AS............................................. 75,517
3,100 Norske Skogsindust......................................... 103,141
----------
262,441
----------
SINGAPORE-3.4%
12,000 City Developments.......................................... 73,417
8,000 Dev Bank Singapore......................................... 91,020
9,400 Keppel Corp................................................ 76,680
8,800 United Overseas Bank....................................... 83,120
----------
324,237
----------
SPAIN-6.0%
2,100 Acerinox SA................................................ 257,808
2,100 BCO Santander SA........................................... 82,786
1,300 Centros Com Pryca.......................................... 24,149
3,300 Empresa Nacl Celul......................................... 83,913
1,050 Gas Natural Sdg SA......................................... 125,350
----------
574,006
----------
</TABLE>
See accompanying notes to financial statements.
41
<PAGE>
New England Zenith Fund
(International Equity Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
SHARES VALUE (a)
- -------------------------------------------------------------------------------
<C> <S> <C> <C>
SWITZERLAND-6.4%
255 Alusuisse Lonza HD................................. $ 159,887
655 CS Holdings........................................ 60,011
730 Holderbank Fin..................................... 983
175 Holderbank FN Glarus............................... 143,617
20 Roche Holdings AG.................................. 128,875
97 Zurich Versicherun................................. 121,892
----------
615,265
----------
THAILAND-1.4%
3,100 Bangkok............................................ 34,158
500 Siam Cement Co. ................................... 31,922
10,400 Telecomasia........................................ 36,654
3,600 Thi Farmers Bank................................... 34,418
----------
137,152
----------
Total Common Stocks (Identified Cost $8,684,409)... 8,829,796
----------
- -------------------------------------------------------------------------------
Short-Term Investment-8.5%
<CAPTION>
FACE
AMOUNT
- -------------------------------------------------------------------------------
<C> <S> <C> <C>
$815,000 Repurchase agreement with State Street Bank & Trust
Company dated 6/30/95 at 5.500% to be repurchased
at $815,374 on 7/03/95 collateralized by $830,000
U.S. Treasury Notes
4.375%, due 8/15/96 with a value of $831,351....... 815,000
----------
Total Short-Term Investment (Identified Cost
$815,000)......................................... 815,000
----------
Total Investments-100% (Identified Cost
$9,499,409)(b).................................... 9,644,796
Cash and Receivables (c)........................... 809,935
Liabilities........................................ (875,124)
----------
Total Net Assets-100%.............................. $9,579,607
==========
(a)See Note 1A.
(b)Federal Tax Information: At June 30, 1995 the net unrealized appreciation on
investments based on cost
of $9,499,409 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments
in which there is an excess of value
over tax cost............................................ $ 419,382
Aggregate gross unrealized depreciation for all investments
in which there is an excess of tax cost
over value............................................... (273,995)
----------
Net unrealized appreciation.................................. $ 145,387
==========
</TABLE>
(c)Including deposits in foreign denominated currencies with a value of
$243,519 and a cost of $240,151.
See accompanying notes to financial statements.
42
<PAGE>
New England Zenith Fund
(Equity Growth Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-94.9% of Total Net Assets
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
APPAREL-1.5%
10,000 Tommy Hilfiger Corporation.................................. $ 280,000
----------
BIOTECHNOLOGY-1.7%
4,000 Amgen Corp. (c)............................................. 321,750
----------
BUILDING & CONSTRUCTION-1.4%
9,200 Pulte Corp.................................................. 257,600
----------
CASINOS & RESORTS-1.4%
5,000 Circus Circus Enterprises, Inc.............................. 176,250
2,800 Mirage Resorts, Inc......................................... 85,750
----------
262,000
----------
COMMUNICATIONS-11.4%
2,700 Airtouch Communications, Inc................................ 76,950
3,000 Century Telephone Enterprises, Inc.......................... 85,125
3,500 DSC Communications Corp..................................... 162,750
5,000 Glenayre Technologies, Inc.................................. 255,000
8,000 Motorola, Inc............................................... 537,000
1,400 Telephone & Data Systems, Inc............................... 50,925
5,400 Tellabs, Inc................................................ 259,875
4,000 US Robotics, Inc............................................ 436,000
4,000 Viacom Inc.-Class B (c)..................................... 185,500
2,700 Vodafone Group PLC.......................................... 102,263
----------
2,151,388
----------
COMPUTER SOFTWARE-2.2%
6,000 Informix Corporation........................................ 152,250
3,000 Microsoft Corp. (c)......................................... 271,125
----------
423,375
----------
COMPUTER TECHNOLOGY-1.4%
6,500 Silicon Graphics, Inc....................................... 259,187
----------
COMPUTER RELATED & BUSINESS EQUIPMENT-8.9%
10,500 Bay Networks, Inc........................................... 434,438
4,000 Cisco Systems, Inc. (c)..................................... 202,250
1,875 Dell Computer Corp.......................................... 112,734
5,300 First Data Corp............................................. 301,438
6,000 General Instrument Corp..................................... 230,250
3,100 International Business Machines Corp........................ 297,600
2,400 Seagate Technology.......................................... 94,200
----------
1,672,910
----------
CONSUMER PRODUCTS-2.3%
6,000 Gillette Company............................................ 267,750
5,800 Nabisco Holdings Corp. Class A.............................. 156,600
----------
424,350
----------
DEFENSE-3.0%
3,000 Lockheed Martin Corp........................................ 189,375
7,200 Loral Corp.................................................. 372,600
----------
561,975
----------
</TABLE>
See accompanying notes to financial statements.
43
<PAGE>
New England Zenith Fund
(Equity Growth Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
ELECTRONICS-1.5%
3,800 Hewlett-Packard Company..................................... $ 283,100
----------
FINANCIAL SERVICES-3.5%
4,000 First Financial Management Corp............................. 342,000
4,500 Lehman Brothers Holdings, Inc............................... 98,437
4,000 Merrill Lynch & Co., Inc.................................... 210,000
----------
650,437
----------
FOODS & BEVERAGES-1.0%
3,000 Coca-Cola Company........................................... 191,250
----------
FREIGHT-0.4%
3,000 Landstar Systems, Inc. ..................................... 77,250
----------
HEALTH CARE-9.9%
8,400 Apria Health Care Group, Inc................................ 237,300
7,000 Cardinal Health, Inc........................................ 330,750
1,400 Columbia/HCA Healthcare Corp................................ 60,550
2,300 Health Management Associates, Inc........................... 67,275
9,600 Merck & Co., Inc............................................ 470,400
20,000 Occusystems, Inc............................................ 342,500
8,000 R.P. Scherer Corp........................................... 338,000
500 United Healthcare Corp. .................................... 20,688
----------
1,867,463
----------
HEALTH CARE-ADMINISTRATIVE SERVICES-1.5%
7,800 Healthsource, Inc........................................... 273,000
----------
HEALTH MAINTENANCE SERVICES-1.0%
4,000 Oxford Health Plans, Inc.................................... 189,000
----------
LEISURE & ENTERTAINMENT-1.8%
3,500 Carnival Corporation Class A................................ 81,813
4,500 Walt Disney Co.............................................. 250,312
----------
332,125
----------
MACHINERY-0.8%
2,400 Caterpillar, Inc............................................ 154,200
----------
MANUFACTURING-2.0%
4,100 Integrated Device Tech., Inc................................ 189,625
3,000 Lam Research Corp........................................... 192,000
----------
381,625
----------
MEDICAL SERVICES-1.3%
3,200 Medtronic, Inc.............................................. 246,800
----------
MISCELLANEOUS-1.5%
7,000 Diamond Multimedia Systems, Inc............................. 143,500
4,000 Loewen Group, Inc. ......................................... 142,500
----------
286,000
----------
PHARMACEUTICALS-3.3%
4,100 Eli Lilly & Company......................................... 321,850
1,200 Forest Laboratories, Inc. Class A........................... 53,250
2,600 Pfizer, Inc................................................. 240,175
----------
615,275
----------
</TABLE>
See accompanying notes to financial statements.
44
<PAGE>
New England Zenith Fund
(Equity Growth Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
RESTAURANTS & LODGING-3.8%
7,150 Cracker Barrel Old Country Store........................... $ 147,469
13,000 Lone Star Steakhouse Saloon................................ 394,061
6,000 Outback Steakhouse, Inc.................................... 173,250
-----------
714,780
-----------
RETAILING-9.0%
8,000 Circuit City Stores, Inc................................... 253,000
7,000 Comp USA, Inc.............................................. 232,750
6,400 Creative Computers, Inc.................................... 169,600
3,875 Dollar General Corp........................................ 122,547
5,000 Office Depot, Inc.......................................... 140,625
14,000 Officemax, Inc............................................. 390,250
3,900 Tandy Corporation.......................................... 202,313
5,000 Viking Office Products, Inc................................ 183,125
-----------
1,694,210
-----------
SEMI-CONDUCTORS-14.8%
3,550 Adaptec, Inc............................................... 131,350
13,000 Altera Corp................................................ 562,250
10,100 Intel Corp................................................. 639,456
10,000 LSI Logic Corp............................................. 391,250
2,500 Linear Technology Corporation.............................. 165,000
10,000 Maxim Integrated Products, Inc............................. 510,000
4,000 Xilinx, Inc................................................ 376,000
-----------
2,775,306
-----------
SEMI-CONDUCTORS-CAPITAL EQUIPMENT-2.6%
5,600 Applied Materials, Inc..................................... 485,100
-----------
Total Common Stocks (Identified Cost $15,764,662).......... 17,831,456
-----------
- --------------------------------------------------------------------------------
Preferred Stock-0.6%
- --------------------------------------------------------------------------------
COMMUNICATIONS-0.6%
1,800 Nokia Corp. 1/2% Cum. Pfd.................................. 107,325
-----------
Total Preferred Stock (Identified Cost $69,993)............ 107,325
-----------
</TABLE>
See accompanying notes to financial statements.
45
<PAGE>
New England Zenith Fund
(Equity Growth Series)
Investments as of June 30, 1995 (Unaudited)
- -------------------------------------------------------------------------------
Short-Term Investment-7.7%
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE (a)
- -------------------------------------------------------------------------------
<C> <S> <C>
$1,447,983 Seven Seas U.S. Government Money Market Fund......... $ 1,447,983
-----------
Total Short-Term Investment (Identified cost
$1,447,983)......................................... 1,447,983
-----------
Total Investments-103.2% (Identified cost
$17,282,637) (b).................................... 19,386,764
Cash & Receivables................................... 89,580
Liabilities.......................................... (686,860)
-----------
Total Net Assets-100%................................ $18,789,484
===========
(a) See Note 1A.
(b) Federal Tax Information: At June 30, 1995 the net unrealized appreciation
on investments
based on cost of $17,282,637 for federal income tax purposes was as
follows:
Aggregate gross unrealized appreciation for all investments in
which there is an excess of value over
tax cost.................................................... $ 2,278,381
Aggregate gross unrealized depreciation for all investments in
which there is an excess of tax cost
over value.................................................. (174,254)
-----------
Net unrealized appreciation................................... $ 2,104,127
===========
</TABLE>
(c) Non-income producing security.
(d) An American Depository Receipt (ADR) is a certificate issued by a U.S.
bank representing the right to receive securities of the foreign issuer
described. The values of ADRs are significantly influenced by trading on
exchanges not located in the United States or Canada.
See accompanying notes to financial statements.
46
<PAGE>
New England Zenith Fund
(Capital Growth Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-99.7% of Total Net Assets
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
AEROSPACE-4.9%
661,000 Boeing Company........................................... $ 41,395,125
------------
AIRLINES-10.8%
600,000 AMR Corporation (c)...................................... 44,775,000
630,000 Delta Air Lines, Inc..................................... 46,462,500
------------
91,237,500
------------
ALUMINUM-5.6%
942,000 Aluminum Company of America.............................. 47,217,750
------------
AUTO & RELATED-2.4%
465,000 General Motors Corp. .................................... 20,227,500
------------
BANKS-MONEY CENTER-13.3%
265,000 BankAmerica Corp......................................... 13,945,625
930,000 Chemical Banking Corporation............................. 43,942,500
936,000 Citicorp................................................. 54,171,000
------------
112,059,125
------------
BANKS-REGIONAL-4.7%
988,000 Bank of New York, Inc.................................... 39,890,500
------------
BROKERS/INVESTMENT SERVICES-2.0%
325,000 Merrill Lynch & Co., Inc. ............................... 17,062,500
------------
CHEMICALS-2.2%
330,000 Air Products & Chemicals, Inc............................ 18,397,500
------------
COMPUTER SOFTWARE & SERVICES-5.1%
480,000 Microsoft Corporation (c)................................ 43,380,000
------------
ELECTRONIC & COMMUNICATION EQUIPMENT-2.5%
360,000 Nokia Corp............................................... 21,465,000
------------
ELECTRONIC COMPONENTS-12.9%
836,400 Intel Corporation........................................ 52,954,575
659,000 Micron Technology, Inc................................... 36,162,625
150,500 Texas Instruments, Incorporated.......................... 20,148,188
------------
109,265,388
------------
INSURANCE-5.0%
370,900 American International Group, Inc. ...................... 42,282,600
------------
LEISURE-4.6%
645,000 Eastman Kodak Company.................................... 39,103,125
------------
MACHINERY-5.1%
504,000 Deere & Company.......................................... 43,155,000
------------
MICRO-COMPUTERS-6.2%
700,000 Hewlett Packard Company.................................. 52,150,000
------------
PAPER-5.3%
853,000 Champion International Corporation....................... 44,462,625
------------
</TABLE>
See accompanying notes to financial statements.
47
<PAGE>
New England Zenith Fund
(Capital Growth Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE (a)
- -------------------------------------------------------------------------------
<C> <S> <C>
FOOD-RETAILERS/WHOLESALERS-4.9%
$559,000 Philip Morris Companies, Inc.......................... $ 41,575,625
------------
MISCELLANEOUS-2.2%
238,000 United Technologies Corporation....................... 18,593,750
------------
Total Common Stocks (Identified Cost $678,078,298).... 842,920,613
------------
Total Investments-99.7% (Identified Cost
$678,078,298)........................................ 842,920,613
Cash and Receivables.................................. 32,529,025
Liabilities........................................... (30,482,734)
------------
Total Net Assets-100%................................. $844,966,904
============
</TABLE>
(a)See Note 1A.
(b)Federal Tax Information: At June 30, 1995 the net unrealized appreciation on
investments based on cost of $678,078,298 for federal income tax purposes
was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all investments in
which there is an excess of value
over tax cost................................................ $166,077,716
Aggregate gross unrealized depreciation for all investments in
which there is an excess of tax
cost over value.............................................. (1,235,401)
------------
Net unrealized appreciation................................... $164,842,315
============
</TABLE>
(c)Non-income producing security.
See accompanying notes to financial statements.
48
<PAGE>
New England Zenith Fund
(Avanti Growth Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-95.2% of Total Net Assets
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
AUTO & RELATED-0.9%
5,300 Bandag, Inc. .............................................. $ 331,250
-----------
BANKS-SAVINGS & LOAN-1.8%
16,600 First Bank Systems, Inc.................................... 680,600
-----------
BEVERAGES-3.5%
14,200 Coca Cola Co............................................... 905,250
8,500 PepsiCo, Inc. ............................................. 387,813
-----------
1,293,063
-----------
BUSINESS SERVICES-7.3%
13,700 Cintas Corp................................................ 486,350
12,200 First Data Corp. .......................................... 693,875
24,750 Fiserv, Inc................................................ 696,094
13,000 Medaphis Corp.............................................. 282,750
15,000 Paychex, Inc. ............................................. 543,750
-----------
2,702,819
-----------
CHEMICALS MAJOR-1.9%
12,700 Air Products & Chemicals, Inc.............................. 708,025
-----------
COMPUTER SOFTWARE & SERVICES-9.5%
9,700 Autodesk, Inc.............................................. 417,100
23,000 Informix Corp.............................................. 583,625
11,200 Microsoft Corp. (c)........................................ 1,012,200
10,000 Parametric Technology Corp................................. 497,500
26,000 Oracle Systems (c)......................................... 1,004,250
-----------
3,514,675
-----------
ELECTRICAL EQUIPMENT-1.6%
10,400 General Electric........................................... 586,300
-----------
ELECTRONIC COMPONENTS-9.0%
7,500 Intel Corp................................................. 474,844
16,400 Micron Technology, Inc..................................... 899,950
13,000 Motorola, Inc.............................................. 872,625
16,700 Premier Industrial Corp.................................... 394,538
8,000 Solectron Corp............................................. 273,000
3,000 Texas Instruments, Inc..................................... 401,625
-----------
3,316,582
-----------
FINANCIAL SERVICES-MISCELLANEOUS-2.0%
21,500 MBNA Corp.................................................. 725,625
-----------
FOOD-PACKAGED & MISCELLANEOUS-2.4%
10,500 Dreyers Grand Ice Cream.................................... 384,562
13,700 Starbucks Corp............................................. 488,063
-----------
872,625
-----------
HEALTH CARE-DRUGS-3.8%
8,200 Amgen, Inc. (c)............................................ 659,588
5,500 Johnson & Johnson.......................................... 371,937
40,000 Oncor, Inc................................................. 242,500
10,000 Somatogen, Inc............................................. 135,000
-----------
1,409,025
-----------
</TABLE>
See accompanying notes to financial statements.
49
<PAGE>
New England Zenith Fund
(Avanti Growth Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
HEALTH CARE-MED TECH-3.0%
15,000 Biomet, Inc. (c)........................................... $ 232,500
7,000 Medtronic, Inc............................................. 539,875
21,000 Ventritex, Inc............................................. 354,375
-----------
1,126,750
-----------
HEALTH CARE SERVICES-3.6%
16,300 Columbia/HCA Healthcare Corp............................... 704,975
13,800 Healthsouth Corp........................................... 239,775
8,000 Steris Corp................................................ 388,000
-----------
1,332,750
-----------
HOME PRODUCTS-4.5%
12,400 Duracell International, Inc................................ 536,300
17,200 Gillette Co................................................ 767,550
5,000 Proctor & Gamble........................................... 359,375
-----------
1,663,225
-----------
HOTELS & RESTAURANTS-5.1%
20,500 Circus Circus Enterprises.................................. 722,625
20,700 McDonalds Corp............................................. 809,887
14,900 Primadonna Resorts, Inc.................................... 357,600
-----------
1,890,112
-----------
HOUSING & BUILDING MATERIALS-2.1%
19,500 Home Depot, Inc............................................ 792,187
-----------
INSURANCE-4.6%
6,000 American International Group, Inc.......................... 684,000
20,500 MGIC Investment Corp....................................... 960,937
-----------
1,644,937
-----------
MACHINERY-1.3%
7,500 Caterpillar, Inc........................................... 481,875
-----------
MEDIA & ENTERTAINMENT-3.2%
6,000 Broderbund Software, Inc................................... 382,500
17,400 Viacom, Inc., Class B (c).................................. 806,925
-----------
1,189,425
-----------
METALS-0.6%
4,200 Nucor Corp................................................. 224,700
-----------
NATURAL GAS-PIPELINES-1.9%
19,900 Enron Corp................................................. 698,988
-----------
OFFICE EQUIPMENT-5.1%
12,200 Cisco Systems, Inc. (c).................................... 616,862
23,500 EMC Corp................................................... 569,875
17,400 Silicon Graphics, Inc. (c)................................. 693,825
-----------
1,880,562
-----------
</TABLE>
See accompanying notes to financial statements.
50
<PAGE>
New England Zenith Fund
(Avanti Growth Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
SHARES VALUE (a)
- -------------------------------------------------------------------------------
<C> <S> <C>
OIL-INDEPENDENT PRODUCERS-2.3%
19,300 Anadarko Petroleum Corp.............................. $ 832,313
-----------
OIL-MAJOR INTEGRATED-1.6%
18,000 Phillips Petroleum Co................................ 600,750
-----------
RETAIL-GENERAL MERCHANDISE-1.3%
11,200 Nordstrom, Inc....................................... 463,400
-----------
RETAIL-SPECIALTY-5.2%
10,700 CUC International, Inc. ............................. 449,400
12,000 Gymboree Corp........................................ 348,750
21,300 Office Depot, Inc.................................... 599,062
19,250 PetsMart, Inc........................................ 553,438
-----------
1,950,650
-----------
TELECOMMUNICATIONS-3.8%
23,500 General Instrument Corp.............................. 901,812
15,000 Qualcomm, Inc........................................ 518,438
-----------
1,420,250
-----------
TOBACCO-2.3%
11,500 Philip Morris Cos., Inc. ............................ 855,311
-----------
Total Common Stocks (Identified Cost $28,863,412).... 35,188,774
-----------
- -------------------------------------------------------------------------------
Short-Term Investment-5.1%
<CAPTION>
FACE
AMOUNT
- -------------------------------------------------------------------------------
<C> <S> <C>
$1,868,787 Associates Corp. of North America 6% 7/3/95.......... 1,868,787
-----------
Total Short-Term Investment (Identified Cost
$1,868,787)......................................... 1,868,787
-----------
Total Investments-100.3% (Identified Cost
$30,732,198) (b).................................... 37,057,561
Cash and Receivables................................. 93,847
Liabilities.......................................... (208,101)
-----------
Total Net Assets-100%................................ $36,943,307
===========
</TABLE>
(a) See Note 1A
(b) Federal Tax Information: At June 30, 1995 the net unrealized appreciation
on investments based on cost of $30,732,198 for federal income tax purposes
was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all investments in
which there is an excess of value
over tax cost.................................................. $6,683,792
Aggregate gross unrealized depreciation for all investments in
which there is an excess of tax
cost over value................................................ (358,429)
----------
Net unrealized appreciation..................................... $6,325,363
==========
</TABLE>
As of December 31, 1994, the Series had a net tax basis capital
loss carryforward as follows: Expiring December 31, 2002 $429,848
(c) Non-income producing security.
See accompanying notes to financial statements.
51
<PAGE>
New England Zenith Fund
(Venture Value Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-93.9% of Total Net Assets
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
AGRICULTURE-1.9%
17,050 Archer-Daniels-Midland Co. ................................ $ 317,556
-----------
BANKS AND SAVINGS & LOANS-11.3%
5,300 Banc One Corp. ............................................ 170,925
3,400 Barnett Banks, Inc. ....................................... 174,250
9,600 First Bank Systems, Inc. .................................. 393,600
100 First Union Corp. ......................................... 4,525
6,300 Golden West Financial Corp. ............................... 296,887
2,200 Republic New York Corp. ................................... 123,200
7,800 State Street Boston Corp. ................................. 287,625
2,600 Wells Fargo & Co. ......................................... 468,650
-----------
1,919,662
-----------
CHEMICALS-0.1%
100 Dow Chemical Co. .......................................... 7,187
-----------
COMPUTER PRODUCTS AND SERVICES-12.8%
6,200 Cirrus Logic, Inc. ........................................ 388,662
6,200 Hewlett-Packard Co. ....................................... 461,900
12,300 Intel Corp. ............................................... 778,744
4,000 Texas Instruments, Inc. ................................... 535,500
-----------
2,164,806
-----------
CONSUMER PRODUCTS-7.7%
300 American Brands, Inc. ..................................... 11,925
7,400 Coca-Cola Company.......................................... 471,750
400 General Electric Co. ...................................... 22,550
7,700 General Motors Corp. ...................................... 360,937
3,900 Gillette Co. .............................................. 174,037
300 Maytag Corp. .............................................. 4,800
4,500 Nestle SA (ADR)............................................ 234,157
400 Philip Morris Cos., Inc. .................................. 29,750
-----------
1,309,906
-----------
ENERGY-4.8%
5,900 Amerada Hess Corp. ........................................ 288,362
100 Amoco Corp. ............................................... 6,663
200 Atlantic Richfield Co. .................................... 21,950
6,700 Burlington Resources, Inc. ................................ 247,062
500 Chevron Corp. ............................................. 23,313
3,100 Energy Ventures, Inc. ..................................... 55,800
900 Exxon Corp. ............................................... 63,563
100 Mobil Corp. ............................................... 9,600
1,600 Schlumberger, Ltd. ........................................ 99,400
100 Sonat, Inc. ............................................... 3,050
-----------
818,763
-----------
ENTERTAINMENT-0.4%
1,100 Walt Disney Company........................................ 61,187
-----------
FINANCIAL SERVICES-12.7%
13,300 American Express Co. ...................................... 467,163
1,700 Dean Witter, Discover & Co. ............................... 79,900
4,500 Federal Home Loan Mortgage Corporation..................... 309,375
</TABLE>
52
<PAGE>
New England Zenith Fund
(Venture Value Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES-CONTINUED
5,300 J.P. Morgan & Co., Inc. ................................... $ 371,662
5,800 Morgan Stanley Group, Inc. ................................ 469,800
9,000 SunAmerica, Inc. .......................................... 459,000
-----------
2,156,900
-----------
FOOD-0.6%
4,600 Tyson Foods Inc. (Del.).................................... 106,375
-----------
INSURANCE-17.1%
5,900 Allstate Corp. ............................................ 174,788
500 AMBAC, Inc. ............................................... 20,063
2,600 American International Group, Inc. ........................ 296,400
5,200 Chubb Corp. ............................................... 416,650
8,700 Equitable Companies, Inc. ................................. 181,612
3,200 General Re Corp. .......................................... 428,400
6,100 NAC Re Corp. .............................................. 189,862
2,700 National Re Holdings Corp. ................................ 90,450
5,000 Progressive Corp. ......................................... 191,875
2,400 Transatlantic Holdings Inc. ............................... 156,000
10,200 The Travelers Group, Inc. ................................. 446,250
9,300 20th Century Industries, Inc. ............................. 116,250
5,600 W.R. Berkley Corp. ........................................ 198,800
-----------
2,907,400
-----------
METALS AND MINERALS-0.3%
500 Alumax, Inc. .............................................. 15,563
700 Reynolds Metals Co. ....................................... 36,225
-----------
51,788
-----------
NEWSPAPER, TELEVISION AND RADIO-5.2%
5,700 Gannett Co., Inc. ......................................... 309,225
18,300 News Corp. Ltd. ADR (d).................................... 366,000
3,300 Tribune Co. ............................................... 202,538
-----------
877,763
-----------
PAPER-2.5%
100 International Paper Co. ................................... 8,575
2,800 Mead Corp. ................................................ 166,250
4,200 Union Camp Corp. .......................................... 243,075
-----------
417,900
-----------
PHARMACEUTICAL AND HEALTH CARE-4.3%
100 American Home Products Corp. .............................. 7,738
100 Bristol-Myers Squibb Co. .................................. 6,813
2,000 Johnson & Johnson.......................................... 135,250
1,400 Merck & Co., Inc. ......................................... 68,600
3,400 Pfizer, Inc. .............................................. 314,075
2,200 Warner-Lambert Co. ........................................ 190,025
-----------
722,501
-----------
</TABLE>
See accompanying notes to financial statements.
53
<PAGE>
New England Zenith Fund
(Venture Value Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
SHARES VALUE (a)
- -------------------------------------------------------------------------------
<C> <S> <C>
REAL ESTATE-3.7%
3,400 Federal Realty Investment Trust......................... $ 73,525
18,500 Host Marriott Corp. .................................... 196,562
500 Kimco Realty Corp. ..................................... 19,000
1,900 Mid-Atlantic Realty Trust............................... 16,625
2,200 Saul Centers, Inc. ..................................... 35,200
3,600 United Dominion Realty Trust, Inc. ..................... 53,100
5,400 Vornado Realty Trust.................................... 188,325
1,100 Weingarten Realty, Inc. ................................ 41,525
-----------
623,862
-----------
RETAIL-4.6%
9,500 Federated Department Stores, Inc. ...................... 244,625
3,700 Harcourt General, Inc. ................................. 157,250
2,900 Sears Roebuck & Co. .................................... 173,637
3,900 Tandy Corp. ............................................ 202,313
-----------
777,825
-----------
TELECOMMUNICATIONS-2.8%
5,900 Airtouch Communications................................. 168,150
1,100 AT & T Corp............................................. 58,438
1,600 Cellular Communications, Inc............................ 72,800
7,800 MCI Communications Corp................................. 171,600
100 SBC Communications, Inc................................. 4,763
-----------
475,751
-----------
TRANSPORTATION-1.3%
2,700 Illinois Central Corp. ................................. 93,150
2,100 Union Pacific Corp. .................................... 116,288
-----------
209,438
-----------
UTILITIES-0.0%
100 Duke Power Co........................................... 4,150
-----------
Total Common Stocks (Identified Cost $14,228,826)....... 15,930,720
-----------
- -------------------------------------------------------------------------------
Preferred Stocks-2.6%
- -------------------------------------------------------------------------------
500 Banc One Corp., $3.50, Ser. C Conv. Pfd. ............... 29,125
2,600 Citicorp, $5.375, Ser. 13 Conv. Pfd..................... 413,400
-----------
Total Preferred Stocks (Identified Cost $357,284)....... 442,525
-----------
- -------------------------------------------------------------------------------
Short-Term Investment-4.5%
<CAPTION>
FACE
AMOUNT
- -------------------------------------------------------------------------------
<C> <S> <C>
765,000 Repurchase Agreement with State Street Bank & Trust Co.
dated 6/30/95 at 5.800% to be
repurchased at $765,370 on 7/03/95 collateralized by
$760,000 U.S. Treasury Notes 6.875%
due 3/31/97 with a value of $784,985.................... 765,000
-----------
Total Short-Term Investment (Identified Cost $765,000).. 765,000
-----------
</TABLE>
See accompanying notes to financial statements.
54
<PAGE>
New England Zenith Fund
(Venture Value Series)
Investments as of June 30, 1995 (Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<S> <C>
Total Investments-101.1% (Identified Cost $15,351,109)(b)... $17,138,245
Cash & Receivables.......................................... 245,737
Liabilities................................................. (427,157)
-----------
Total Net Assets-100%....................................... $16,956,825
===========
</TABLE>
(a)See Note 1A.
(b) Federal Tax Information: At June 30, 1995 the net unrealized appreciation
on investments based on cost of $15,351,109 for federal income tax
purposes was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all investments in
which there is an excess of value over tax cost.................. $1,835,788
Aggregate gross unrealized depreciation for all investments in
which there is an excess of tax cost over value.................. (48,652)
----------
Net unrealized appreciation....................................... $1,787,136
==========
</TABLE>
(c) Non-income producing security.
(d) An American Depository Receipt (ADR) is a certificate issued by a U.S.
bank representing the right to receive securities of the foreign issuer
described. The values of ADRs are significantly influenced by trading on
exchanges not located in the United States or Canada.
See accompanying notes to financial statements.
55
<PAGE>
New England Zenith Fund
(Value Growth Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-96.8% of Total Net Assets
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
AEROSPACE-3.4%
6,200 Lockheed Martin Corp..................................... $ 391,375
9,900 McDonnell Douglas Corp................................... 759,825
------------
1,151,200
------------
AGRICULTURE & FOOD-3.5%
16,100 George A. Hormel & Co.................................... 420,612
11,200 IBP, Inc. ............................................... 487,200
2,200 Unilever NV.............................................. 286,275
------------
1,194,087
------------
AIR-1.7%
6,900 AMR Corp. (c)............................................ 514,912
1,900 Northwest Airlines Corp.................................. 67,212
------------
582,124
------------
APPAREL-1.3%
5,200 Nike, Inc................................................ 436,800
------------
BANKS-6.9%
11,600 Bank of Boston Corp...................................... 435,000
18,600 Bank of New York, Inc.................................... 750,975
5,100 Chemical Banking Corp.................................... 240,975
6,200 Citicorp................................................. 358,825
1,300 Suntrust Banks, Inc...................................... 75,725
11,700 Union Bank of San Francisco.............................. 494,325
------------
2,355,825
------------
BUSINESS MACHINES-3.4%
4,200 Dell Computer Corp....................................... 252,525
10,400 Hewlett Packard Co. ..................................... 774,800
3,100 Seagate Technology....................................... 121,675
------------
1,149,000
------------
CHEMICALS-2.2%
14,300 Cabot Corp............................................... 754,325
------------
CONTAINERS-0.2%
2,100 Ball Corp. .............................................. 73,238
------------
COSMETICS-3.8%
8,900 Johnson & Johnson........................................ 601,863
9,800 Procter & Gamble Co...................................... 704,375
------------
1,306,238
------------
DRUGS & MEDICINE-3.4%
9,500 Abbott Labs.............................................. 384,750
3,100 Amgen, Inc. (c).......................................... 249,356
2,100 Bergen Brunswig Corp. ................................... 48,037
9,500 Merck & Co., Inc......................................... 465,500
------------
1,147,643
------------
</TABLE>
See accompanying notes to financial statements.
56
<PAGE>
New England Zenith Fund
(Value Growth Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
ELECTRIC UTILITIES-3.4%
15,200 Consolidated Edison Co. of New York...................... $ 448,400
6,500 Houston Industries, Inc. ................................ 273,812
20,500 Rochester Gas & Electric Corp............................ 435,625
------------
1,157,837
------------
ELECTRONICS-9.5%
7,700 ADC Telecomunications, Inc............................... 275,275
7,300 Advanced Micro Devices (c)............................... 265,538
12,350 Andrew Corp. (c)......................................... 714,756
8,400 Intel Corp............................................... 531,825
1,800 KLA Instruments Corp..................................... 139,050
700 Novellus Systems, Inc.................................... 47,425
5,900 Raytheon Co.............................................. 457,988
12,000 Tellabs, Inc. (c)........................................ 577,500
6,510 Vishay Intertechnology, Inc.............................. 235,174
------------
3,244,531
------------
FINANCE-2.8%
12,000 Beneficial Corp.......................................... 528,000
500 Federal Home Loan Mortgage Corp.......................... 34,375
2,700 Household International, Inc............................. 133,650
5,000 Merrill Lynch & Co. ..................................... 262,500
------------
958,525
------------
GAS UTILITIES-2.2%
24,600 MCN Corp................................................. 485,850
10,900 Pacific Enterprises...................................... 267,050
------------
752,900
------------
HEALTH-3.1%
2,000 Becton Dickinson & Co.................................... 116,500
8,400 Medtronics, Inc.......................................... 647,850
6,200 St. Jude Medical (c)..................................... 310,775
------------
1,075,125
------------
HOTELS & RESTAURANTS-0.9%
6,400 LaQuinta Inns, Inc....................................... 172,800
3,000 McDonalds Corp........................................... 117,376
------------
290,176
------------
INTERNATIONAL OIL-6.3%
4,100 Chevron Corp............................................. 191,163
15,200 Exxon Corp............................................... 1,073,500
9,300 Mobil Corp. ............................................. 892,800
------------
2,157,463
------------
LIFE INSURANCE-3.7%
9,000 American General Corp.................................... 303,750
9,400 American National Insurance Co........................... 573,400
12,600 Protective Life Corp. ................................... 343,350
800 SunAmerica, Inc.......................................... 40,800
------------
1,261,300
------------
</TABLE>
See accompanying notes to financial statements.
57
<PAGE>
New England Zenith Fund
(Value Growth Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
MEDIA-3.8%
4,400 Capital Cities/ABC, Inc.................................. $ 475,200
8,600 Clear Channel Communications............................. 553,625
2,500 E.W. Scripps Co.......................................... 80,625
5,700 Media General, Inc....................................... 178,125
------------
1,287,575
------------
MORTGAGE-1.4%
10,700 Green Tree Financial Corp................................ 474,812
------------
MOTOR VEHICLES-1.6%
18,900 Ford Motor Co............................................ 562,275
------------
OIL REFINEMENT/DISTRIBUTION-2.2%
9,600 Amoco Corp............................................... 639,600
900 Royal Dutch Petroleum Co. ADR (d)........................ 109,687
------------
749,287
------------
OTHER INSURANCE-5.5%
6,900 AFLAC, Inc. ............................................. 301,875
900 American International Group, Inc........................ 102,600
8,700 Cigna Corp............................................... 675,337
1,900 ITT Corp................................................. 223,250
900 MGIC Investment Corp..................................... 42,188
11,000 St. Paul Cos., Inc....................................... 541,750
------------
1,887,000
------------
PAPER-2.8%
3,200 Champion International Corp.............................. 166,800
800 Consolidated Papers...................................... 46,100
8,000 Federal Paperboard....................................... 283,000
2,700 International Paper Co................................... 231,525
3,100 Union Camp Corp.......................................... 179,413
1,000 Westvaco Corp............................................ 44,250
------------
951,088
------------
PRODUCERS' GOODS-8.1%
2,200 Applied Materials, Inc................................... 190,575
13,900 Cummins Engine, Inc...................................... 606,387
1,900 Danaher Corp............................................. 57,475
3,300 Deere & Co............................................... 282,562
5,200 Illinois Tool Works, Inc................................. 286,000
600 Lam Research............................................. 38,400
3,900 Modine Manufacturing Co.................................. 143,325
1,800 Parker Hannifin Corp..................................... 65,250
9,900 Premark International, Inc............................... 513,563
3,200 TRW, Inc................................................. 255,600
200 U.S. Robotics Corp....................................... 21,800
5,600 Varian Associates, Inc................................... 309,400
------------
2,770,337
------------
PUBLISHING-0.3%
3,700 Reynolds & Reynolds...................................... 109,150
------------
</TABLE>
See accompanying notes to financial statements.
58
<PAGE>
New England Zenith Fund
(Value Growth Series)
Investments as of June 30, 1995 (Unaudited)
- -------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
SHARES VALUE (a)
- -------------------------------------------------------------------------------
<C> <S> <C>
RAILROADS-1.8%
5,600 Burlington Northern, Inc............................... $ 354,900
3,400 GATX................................................... 160,225
3,000 Illinois Central Corp.................................. 103,500
-----------
618,625
-----------
RETAIL (FOOD)-0.9%
7,800 Safeway, Inc........................................... 291,525
-----------
RETAIL (OTHER)-1.3%
4,800 Barnes & Noble, Inc.................................... 163,200
1,200 Circuit City Stores, Inc............................... 37,950
8,100 Jack Eckerd Corp....................................... 259,200
-----------
460,350
-----------
SERVICES-1.4%
1,600 Comdisco, Inc.......................................... 48,600
3,600 Computer Associates International, Inc................. 243,900
2,000 Microsoft Corp. (c).................................... 180,750
-----------
473,250
-----------
TELEPHONE-3.7%
13,800 Ameritech Corp......................................... 607,200
13,400 SBC Communications, Inc................................ 638,175
-----------
1,245,375
-----------
THRIFT-0.3%
3,000 Standard Federal Bank--Troy, MI........................ 100,875
-----------
Total Common Stocks (Identified Cost $27,237,732)...... 33,029,861
-----------
- -------------------------------------------------------------------------------
Short-Term Investment-2.8%
<CAPTION>
FACE
AMOUNT
- -------------------------------------------------------------------------------
<C> <S> <C>
$960,000 Repurchase agreement with State Street Bank & Trust
Company dated 6/30/95 at 5.5% to be repurchased at
$960,293 on 7/3/95 collateralized by $980,000 U.S.
Treasury Notes 4 3/8% due 8/15/96 with a value of
$981,595............................................... 960,000
-----------
Total Short-Term Investment............................ 960,000
-----------
Total Investments-99.6% (Identified cost $28,197,732)
(b).................................................... 33,989,861
Cash and Receivables................................... 159,139
Liabilities............................................ (41,928)
-----------
Total Net Assets--100%................................. $34,107,072
===========
</TABLE>
(a) See Note 1A.
(b) Federal Tax Information:
<TABLE>
<S> <C>
At June 30, 1995 the net unrealized appreciation on investments
based on cost of $28,197,732 for federal income tax purposes was
as follows:
Aggregate gross unrealized appreciation for all investments in
which there is an excess of value over tax cost................. $ 5,819,071
Aggregate gross unrealized depreciation for all investments in
which there is an excess of tax cost over value................. (26,942)
-----------
Net unrealized appreciation....................................... $ 5,792,129
===========
</TABLE>
(c) Non-income producing security.
(d) An American Depository Receipt (ADR) is a certificate issued by a U.S.
Bank representing the right to receive securities of the foreign issuer
described. The values of ADR's are significantly influenced by trading on
exchanges not located in the United States or Canada.
See accompanying notes to financial statements.
59
<PAGE>
New England Zenith Fund
(Stock Index Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-99.0% of Total Net Assets
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
AEROSPACE-2.0%
3,100 Allied Signal, Inc......................................... $ 137,950
4,500 Boeing Co.................................................. 281,812
900 General Dynamics Corp...................................... 39,938
2,815 Lockheed Martin Corp....................................... 177,697
1,500 McDonnell Douglas Corp..................................... 115,125
400 Northrop Grumman Corp...................................... 20,850
2,300 Rockwell International Corp................................ 105,225
900 Teledyne, Inc.............................................. 22,050
1,300 United Technologies Corp................................... 101,562
-----------
1,002,209
-----------
AGRICULTURE AND FOOD-4.8%
6,282 Archer-Daniels-Midland Co.................................. 117,002
3,300 Campbell Soup Company...................................... 161,700
3,050 Conagra, Inc............................................... 106,369
1,600 CPC International, Inc..................................... 98,800
2,200 General Mills, Inc......................................... 113,025
3,200 H.J. Heinz Co.............................................. 142,000
700 Hershey Foods Corp......................................... 38,675
3,400 Kellogg Co................................................. 242,675
10,200 Philip Morris Companies, Inc............................... 758,625
800 Pioneer Hi Bred International, Inc......................... 33,600
1,600 Quaker Oats Co............................................. 52,600
6,000 Sara Lee Corp.............................................. 171,000
2,200 Unilever N.V............................................... 286,275
1,300 William Wrigley Jr. Co..................................... 60,287
-----------
2,382,633
-----------
AIR TRANSPORT-0.4%
900 AMR Corp. (c).............................................. 67,163
900 Delta Airlines, Inc........................................ 66,375
700 Federal Express Corp. (c).................................. 42,525
1,600 Southwest Airlines Co...................................... 38,200
400 US Air Group, Inc. (c)..................................... 4,650
-----------
218,913
-----------
ALUMINUM-0.4%
2,400 Alcan Aluminum, Ltd........................................ 72,600
2,000 Aluminum Company of America................................ 100,250
900 Reynolds Metals Co......................................... 46,575
-----------
219,425
-----------
APPAREL-0.5%
100 Brown Group, Inc........................................... 2,275
600 Liz Claiborne, Inc......................................... 12,750
1,200 Nike, Inc.................................................. 100,800
1,200 Reebok International Ltd................................... 40,800
300 Russell Corp............................................... 8,625
100 Springs Industries, Inc.................................... 3,725
</TABLE>
See accompanying notes to financial statements.
60
<PAGE>
New England Zenith Fund
(Stock Index Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
APPAREL-CONTINUED
400 Stride Rite Corp........................................... $ 4,150
1,000 VF Corp.................................................... 53,750
-----------
226,875
-----------
BANKS-5.8%
4,978 Banc One Corp.............................................. 160,540
2,200 Bank of New York, Inc...................................... 88,825
1,300 Bank of Boston Corp........................................ 48,750
4,428 BankAmerica Corp........................................... 233,023
900 Bankers Trust New York Corp................................ 55,800
1,100 Barnett Banks of Florida, Inc.............................. 56,375
1,500 Boatmens Bancshares, Inc................................... 52,875
2,200 Chase Manhattan Corp....................................... 103,400
3,282 Chemical Banking Corp...................................... 155,074
4,700 Citicorp................................................... 272,012
1,700 Core States Financial Corp................................. 59,288
1,000 First Chicago Corp......................................... 59,875
1,000 First Fidelity Bancorporation.............................. 59,000
1,100 First Interstate Bancorp................................... 88,275
2,100 First U.N. Corp............................................ 95,025
2,500 Fleet Financial Group...................................... 92,812
2,400 J.P. Morgan & Co., Inc. ................................... 168,300
3,100 Keycorp.................................................... 97,262
1,750 Mellon Bank Corp. ......................................... 72,844
1,800 National City Corp. ....................................... 52,875
3,316 Nationsbank Corp. ......................................... 177,820
1,700 NBD Bancorp, Inc. ......................................... 54,400
3,700 Norwest Corp. ............................................. 106,375
3,000 PNC Bank Corp.............................................. 79,125
700 Republic New York Corp..................................... 39,200
2,200 Shawmut National Corp. (c)................................. 70,125
1,100 Suntrust Banks, Inc........................................ 64,075
1,200 U.S. Bancorp............................................... 28,875
1,900 Wachovia Corp. ............................................ 67,925
600 Wells Fargo & Co........................................... 108,150
-----------
2,868,300
-----------
BEVERAGES-3.0%
16,100 Coca Cola Co............................................... 1,026,375
9,500 PepsiCo, Inc............................................... 433,438
1,300 Whitman Corp............................................... 25,187
-----------
1,485,000
-----------
BUSINESS MACHINES-4.2%
1,400 Amdahl Corporation (c)..................................... 15,575
1,400 Apple Computer, Inc........................................ 65,013
1,000 Cabletron Systems, Inc. (c)................................ 53,250
3,600 Cisco Systems, Inc......................................... 182,025
3,300 Compaq Computer Corp. (c).................................. 149,737
300 Cray Research, Inc. (c).................................... 7,312
</TABLE>
See accompanying notes to financial statements.
61
<PAGE>
New England Zenith Fund
(Stock Index Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
BUSINESS MACHINES-CONTINUED
300 Data General Corp. (c)..................................... $ 2,888
1,800 Digital Equipment Corp. (c)................................ 73,350
6,300 Hewlett-Packard Co......................................... 469,350
7,300 International Business Machines Corp....................... 700,800
1,700 Pitney Bowes, Inc.......................................... 65,237
1,700 Silicon Graphics, Inc. (c)................................. 67,787
1,400 Sun Microsystems, Inc. (c)................................. 67,900
1,800 Tandem Computers, Inc. (c)................................. 29,025
2,200 Unisystems, Corp. (c)...................................... 23,925
1,000 Xerox Corp................................................. 117,250
-----------
2,090,424
-----------
CHEMICALS-3.5%
1,000 Air Products and Chemicals, Inc............................ 55,750
900 Avery Dennison Corp........................................ 36,000
800 B.F. Goodrich Co........................................... 42,900
3,050 Dow Chemical Co............................................ 219,219
1,300 Eastman Chemical Co........................................ 77,350
6,500 E.I. du Pont De Nemours & Co............................... 446,875
950 Engelhard Corp............................................. 40,731
300 FMC Corp................................................... 20,175
100 First Mississippi Corp..................................... 3,413
800 Great Lakes Chemical Corp.................................. 48,200
900 Hercules, Inc.............................................. 43,875
1,300 Monsanto Company........................................... 117,163
2,100 Morton International, Inc. ................................ 61,425
1,000 Nalco Chemical Co.......................................... 36,375
3,300 Occidental Petroleum Corp.................................. 75,487
2,300 PPG Industries, Inc........................................ 98,900
2,000 Praxair, Inc............................................... 50,000
1,000 Rohm & Haas Co............................................. 54,875
1,000 Sigma-Aldrich Corp. ....................................... 49,125
2,200 Union Carbide Corp......................................... 73,425
1,700 W.R. Grace & Co............................................ 104,338
-----------
1,755,601
-----------
CONSTRUCTION-0.3%
800 Armstrong World Industries, Inc............................ 40,100
700 Centex Corp................................................ 19,775
1 Emcor Group, Inc........................................... 12
900 Fluor Corp. ............................................... 46,800
700 Morrison Knudsen Corp...................................... 4,725
700 Sherwin Williams Co........................................ 24,937
100 Skyline Corp............................................... 1,813
100 Zurn Industries, Inc....................................... 2,000
-----------
140,162
-----------
CONSUMER DURABLES-0.3%
100 Bassett Furniture Industries, Inc. ........................ 2,800
1,000 Black & Decker Corp. ...................................... 30,875
</TABLE>
62
<PAGE>
New England Zenith Fund
(Stock Index Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
CONSUMER DURABLES-CONTINUED
2,000 Masco Corp. ............................................... $ 54,000
800 Maytag Corp................................................ 12,800
1,000 Whirlpool Corp. ........................................... 55,000
700 Zenith Electronics Corp. (c)............................... 5,163
-----------
160,638
-----------
CONTAINERS-0.3%
200 Ball Corp. ................................................ 6,975
400 Bemis, Inc. ............................................... 10,400
1,300 Crown Cork & Seal, Inc. (c)................................ 65,163
900 Temple Inland, Inc......................................... 42,862
-----------
125,400
-----------
COSMETICS-2.3%
200 Alberto Culver Co. ........................................ 6,050
800 Avon Products, Inc......................................... 53,600
7,600 Johnson & Johnson.......................................... 513,950
8,060 Procter & Gamble Co........................................ 579,313
-----------
1,152,913
-----------
DOMESTIC OIL RESERVES-0.9%
2,000 Atlantic Richfield Co...................................... 219,500
1,600 Burlington Resources, Inc. ................................ 59,000
700 Louisiana Land & Exploration............................... 27,913
800 Pennzoil Company........................................... 37,700
2,900 Phillips Petroleum Company................................. 96,787
1,711 Santa Fe Energy Research, Inc. ............................ 16,255
-----------
457,155
-----------
DRUGS & MEDICINE-6.0%
9,400 Abbott Laboratories, Inc. ................................. 380,700
700 Allergan, Inc.............................................. 18,988
1,600 Alza Corp. (c)............................................. 37,400
3,700 American Home Products Corp. .............................. 286,287
1,900 Amgen, Inc. ............................................... 152,831
6,140 Bristol Myers & Squibb Co. ................................ 418,286
3,600 Eli Lilly & Company........................................ 282,600
15,100 Merck & Co., Inc........................................... 739,900
4,000 Pfizer, Inc................................................ 369,500
4,600 Schering-Plough Corp. ..................................... 202,975
2,400 Upjohn Co. ................................................ 90,900
-----------
2,980,367
-----------
ELECTRIC UTILITIES-3.7%
2,000 American Electric Power Co., Inc. ......................... 70,250
1,600 Baltimore Gas & Electric Co. .............................. 40,000
1,700 Carolina Power & Light Co. ................................ 51,425
1,900 Central & South West Corp. ................................ 49,875
2,111 Cinergy Corp. ............................................. 55,414
3,100 Consolidated Edison Co. of New York........................ 91,450
</TABLE>
63
<PAGE>
New England Zenith Fund
(Stock Index Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
ELECTRIC UTILITIES-CONTINUED
1,600 Detroit Edison Co.......................................... $ 47,200
2,050 Dominion Resources, Inc.................................... 74,825
2,300 Duke Power Co. ............................................ 95,450
3,200 Entergy Corp............................................... 77,200
2,300 FPL Group, Inc............................................. 88,838
1,500 General Public Utilities Corp.............................. 44,625
2,000 Houston Industries, Inc. .................................. 84,250
2,000 Niagara Mohawk Power Corp.................................. 29,500
500 Northern States Power Co. ................................. 23,062
2,100 Ohio Edison Co............................................. 47,513
5,600 Pacific Gas & Electric Corp................................ 162,400
3,500 Pacificorp................................................. 65,625
3,500 PECO Energy Co............................................. 96,687
2,700 Public Service Enterprise Group............................ 74,925
5,700 SCE Corp................................................... 97,613
7,800 Southern Co................................................ 174,525
2,500 Texas Utilities Company.................................... 85,937
2,700 Unicom Corp................................................ 71,888
800 Union Electric Co.......................................... 29,800
-----------
1,830,277
-----------
ELECTRONICS-4.2%
1,600 Advanced Micro Devices, Inc................................ 58,200
3,000 AMP, Inc................................................... 126,750
225 Andrew Corp. (c)........................................... 13,022
300 Harris Corp................................................ 15,488
1,400 Honeywell, Inc............................................. 60,375
10,200 Intel Corp................................................. 645,787
900 Loral Corp................................................. 46,575
200 M/A Company, Inc........................................... 2,350
2,400 Micron Technology, Inc..................................... 131,700
7,300 Motorola, Inc.............................................. 490,012
1,800 National Semiconductor Corp. (c)........................... 49,950
3,100 Northern Telecom, Ltd...................................... 113,150
1,300 Raytheon Co................................................ 100,913
1,100 Scientific Atlanta, Inc.................................... 24,200
200 Tektronix, Inc............................................. 9,850
1,100 Tellabs, Inc. (c).......................................... 52,938
1,000 Texas Instruments, Inc..................................... 133,875
100 Thomas & Betts Corp. ...................................... 6,837
-----------
2,081,972
-----------
FINANCE-1.9%
6,400 American Express Co........................................ 224,800
400 Beneficial Corp............................................ 17,600
1,902 Dean Witter Discover & Co.................................. 89,394
2,400 Federal Home Loan Mortgage Corp............................ 165,000
1,200 Household International, Inc............................... 59,400
1,550 MBNA Corp.................................................. 52,313
</TABLE>
64
<PAGE>
New England Zenith Fund
(Stock Index Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
FINANCE-CONTINUED
2,300 Merrill Lynch & Co., Inc................................... $ 120,750
1,200 Salomon, Inc............................................... 48,150
3,384 Travelers Group, Inc....................................... 148,050
-----------
925,457
-----------
FOREIGN OIL RESERVES-0.1%
900 Kerr McGee Corp............................................ 48,263
-----------
FOREST PRODUCTS-0.1%
1,300 Louisiana Pacific Corp..................................... 34,125
-----------
GAS UTILITIES-1.1%
900 Columbia Gas System, Inc. ................................. 28,575
1,100 Consolidated Natural Gas Co................................ 41,525
700 Eastern Enterprises........................................ 20,913
3,200 Enron Corp................................................. 112,400
700 Ensearch Corporation....................................... 11,987
400 Nicor, Inc................................................. 10,750
1,300 Noram Energy Corp.......................................... 8,450
200 Oneok, Inc................................................. 4,275
1,100 Pacific Enterprises, Ltd................................... 26,950
1,829 Panhandle Eastern Corporation.............................. 44,582
300 Peoples Energy Corp........................................ 7,762
1,000 Sonat, Inc................................................. 30,500
2,800 Tenneco, Inc............................................... 128,800
1,600 Williams Companies, Inc.................................... 55,800
-----------
533,269
-----------
GOLD-0.6%
5,200 Barrick Gold Corp.......................................... 131,300
800 Echo Bay Mines, Ltd........................................ 7,200
1,500 Homestake Mining Co. ...................................... 24,750
624 Newmont Mining Corp........................................ 26,130
3,000 Placer Dome, Inc........................................... 78,375
1,200 Santa Fe Pacific Gold Corp................................. 14,550
-----------
282,305
-----------
HEALTH CARE-2.2%
400 Bausch & Lomb, Inc......................................... 16,600
3,400 Baxter International, Inc. ................................ 123,675
600 Becton Dickinson & Co...................................... 34,950
1,300 Beverly Enterprises, Inc. ................................. 16,088
1,300 Biomet, Inc................................................ 20,150
1,900 Boston Scientific Corp. (c)................................ 60,562
5,291 Columbia/HCA Healthcare Corp. ............................. 228,836
1,300 Community Psychiatric Centers.............................. 14,625
400 C.R. Bard Inc.............................................. 12,000
400 Manor Care, Inc. .......................................... 11,650
1,800 Medtronics, Inc............................................ 138,825
200 Millipore Corp............................................. 13,500
400 St. Jude Medical, Inc. (c)................................. 20,050
</TABLE>
65
<PAGE>
New England Zenith Fund
(Stock Index Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
HEALTH CARE-CONTINUED
2,000 Tenet Healthcare Corp. (c)................................. $ 28,750
2,600 U.S. Healthcare, Inc. ..................................... 79,625
2,300 United Healthcare Corp..................................... 95,162
700 United States Surgical Corp. .............................. 14,613
1,900 Warner-Lambert Company..................................... 164,112
-----------
1,093,773
-----------
HOTELS AND RESTAURANTS-1.3%
1,000 Bally Entertainment Group (c).............................. 12,250
2,200 Darden Restaurants, Inc. (c)............................... 23,925
400 Hilton Hotels Corp......................................... 28,100
700 Loews Corp................................................. 84,700
200 Luby's Cafeterias, Inc. ................................... 4,025
1,700 Marriott Corporation....................................... 60,988
8,600 McDonald's Corp. .......................................... 336,475
1,750 Promus Companies, Inc...................................... 68,250
400 Ryans Family Steak Houses (c).............................. 3,150
800 Shoney's, Inc. (c)......................................... 9,400
1,200 Wendys International, Inc.................................. 21,450
-----------
652,713
-----------
INTERNATIONAL OIL-4.3%
7,800 Chevron Corporation........................................ 363,675
15,800 Exxon Corporation.......................................... 1,115,875
4,900 Mobil Corporation.......................................... 470,400
1,200 Oryx Energy Corp. (c)...................................... 16,500
2,700 Texaco, Inc................................................ 177,188
-----------
2,143,638
-----------
LEISURE-0.2%
1,200 Brunswick Corp. ........................................... 20,400
900 Hasbro, Inc................................................ 28,575
2,500 Mattel, Inc................................................ 65,000
100 Outboard Marine Corp....................................... 1,963
-----------
115,938
-----------
LIFE INSURANCE-0.5%
3,100 American General Corp...................................... 104,625
350 Jefferson Pilot Corp....................................... 19,163
700 Lincoln National Corp., Inc................................ 30,625
1,400 Providian Corp............................................. 50,750
600 Transamerica Corp.......................................... 34,950
700 USLife Corp................................................ 28,175
-----------
268,288
-----------
LIQUOR-0.7%
300 Adolph Coors Co. .......................................... 4,912
2,900 Anheuser-Busch Companies, Inc.............................. 164,938
1,100 Brown Forman Corp. "B"..................................... 36,712
4,100 Seagram Company, Ltd....................................... 141,963
-----------
348,525
-----------
</TABLE>
66
<PAGE>
New England Zenith Fund
(Stock Index Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
MEDIA-2.6%
2,000 Capital Cities/ABC, Inc. .................................. $ 216,000
825 CBS, Inc................................................... 55,275
2,600 Comcast Corp. ............................................. 48,263
200 Handleman Co. ............................................. 1,925
250 King World Productions (c)................................. 10,125
8,500 Tele-Communications A (c).................................. 199,219
4,500 Time-Warner, Inc........................................... 185,062
1,000 Tribune Co................................................. 61,375
4,357 Viacom, Inc. (c)........................................... 202,056
5,900 Walt Disney Co. ........................................... 328,187
-----------
1,307,487
-----------
METALS-0.3%
800 Asarco, Inc................................................ 24,400
1,050 Cyprus Amax Minerals Co.................................... 29,925
1,400 Inco, Ltd.................................................. 39,550
1,000 Phelps Dodge Corp.......................................... 59,000
-----------
152,875
-----------
MORTGAGE-0.7%
3,500 Federal National Mortgage Association...................... 330,313
-----------
MOTOR VEHICLES-2.2%
4,800 Chrysler Corp.............................................. 229,800
800 Dana Corp.................................................. 22,900
400 Echlin, Inc................................................ 13,900
800 Fleetwood Enterprises, Inc. ............................... 15,800
12,000 Ford Motor Co.............................................. 357,000
9,100 General Motors Corp........................................ 426,562
100 Nacco Industries, Inc...................................... 5,988
1,220 Navistar International Corp., Inc. (c)..................... 18,453
345 Paccar, Inc................................................ 16,129
-----------
1,106,532
-----------
OIL REFINEMENT/DISTRIBUTION-3.0%
1,200 Amerada Hess Corp. ........................................ 58,650
6,400 Amoco Corp................................................. 426,400
600 Ashland Oil Co............................................. 21,075
800 Coastal Corp............................................... 24,300
6,400 Royal Dutch Petroleum Co. ADR (d).......................... 780,000
800 Sun, Inc................................................... 21,900
3,000 Unocal Corp................................................ 82,875
3,000 USX Marathon Group......................................... 59,250
-----------
1,474,450
-----------
OIL SERVICES-0.6%
2,000 Baker Hughes, Inc.......................................... 41,000
1,300 Halliburton Co............................................. 46,475
300 Helmerich & Payne, Inc. ................................... 8,850
1,100 Rowan Companies, Inc....................................... 8,938
3,100 Schlumberger, Ltd.......................................... 192,587
300 Western Atlas, Inc......................................... 13,313
-----------
311,163
-----------
</TABLE>
67
<PAGE>
New England Zenith Fund
(Stock Index Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
OTHER INSURANCE-2.3%
1,200 Aetna Life and Casualty Company............................ $ 75,450
3,875 American International Group, Inc. ........................ 441,750
800 Chubb Corp................................................. 64,100
1,000 CIGNA Corp. ............................................... 77,625
800 General Reinsurance Corp................................... 107,100
1,300 ITT Corporation............................................ 152,750
500 Safeco Corp................................................ 28,719
600 St. Paul Companies, Inc.................................... 29,550
1,450 Torchmark Inc. ............................................ 54,737
1,700 UNUM Corp.................................................. 79,688
2,100 USF&G Corp................................................. 34,125
-----------
1,145,594
-----------
PAPER-1.9%
800 Alco Standard Corp......................................... 63,900
933 Boise Cascade Corp......................................... 37,787
1,100 Champion International Corp................................ 57,338
800 Federal Paper Board, Inc................................... 28,300
1,200 Georgia Pacific Corp....................................... 104,100
1,900 International Paper Co..................................... 162,925
900 James River Corp........................................... 24,863
1,700 Kimberly Clark Corp. ...................................... 101,788
900 Mead Corp.................................................. 53,437
200 Potlatch Corp.............................................. 8,350
2,700 Scott Paper Co............................................. 133,650
1,100 Stone Container Corp. ..................................... 23,375
500 Union Camp Corp............................................ 28,937
450 Westvaco Corporation....................................... 19,913
2,500 Weyerhaeuser Co............................................ 117,812
-----------
966,475
-----------
PHOTOGRAPHY-0.6%
4,050 Eastman Kodak Co........................................... 245,531
800 Polaroid Corp.............................................. 32,600
-----------
278,131
-----------
POLLUTION CONTROL-0.7%
2,800 Browning-Ferris Industries, Inc............................ 101,150
4,200 Laidlaw, Inc............................................... 40,425
700 Safety Kleen Corp.......................................... 11,288
6,900 WMX Technologies, Inc...................................... 195,787
-----------
348,650
-----------
PRODUCER GOODS-6.5%
2,600 American Brands, Inc. ..................................... 103,350
1,500 Applied Materials, Inc..................................... 129,936
700 Briggs & Stratton Corp..................................... 24,150
2,900 Caterpillar Tractor Co..................................... 186,325
700 Cincinnati Milacron, Inc................................... 18,900
1,300 Cooper Industries, Inc..................................... 51,350
</TABLE>
68
<PAGE>
New England Zenith Fund
(Stock Index Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
PRODUCER GOODS-CONTINUED
200 Crane Co................................................... $ 7,250
700 Cummins Engine, Inc. ...................................... 30,538
1,400 Deere & Co................................................. 119,875
1,000 Dover Corporation.......................................... 72,750
1,600 Dresser Industries, Inc.................................... 35,600
1,800 DSC Communications Corp. (c)............................... 83,700
1,000 Eaton Corp................................................. 58,125
3,100 Emerson Electric Co. ...................................... 221,650
300 Foster Wheeler Corp. ...................................... 10,575
20,600 General Electric Co. ...................................... 1,161,325
500 General Signal Corp........................................ 19,875
1,400 Genuine Parts Company...................................... 53,025
400 Giddings & Lewis, Inc. .................................... 7,150
300 Harnischfeger Industries, Inc.............................. 10,388
1,300 Illinois Tool Works, Inc. ................................. 71,500
1,200 Ingersoll Rand Co. ........................................ 45,900
300 Johnson Controls, Inc...................................... 16,950
600 Mallinckrodt Group, Inc.................................... 21,300
600 McDermott International, Inc. ............................. 14,475
4,600 Minnesota Mining & Mfg. Co. ............................... 263,350
400 National Services Industries, Inc.......................... 11,550
800 Owens Corning Fiberglas Co. (c)............................ 29,500
1,400 Pall Corp.................................................. 31,150
600 Parker Hannifin Corp. ..................................... 21,750
300 Perkin Elmer Corp.......................................... 10,650
800 Premark International, Inc. ............................... 41,500
300 Raychem Corp. ............................................. 11,512
300 Snap-On Tools Corp. ....................................... 11,625
100 SPX Corp................................................... 1,138
300 Stanley Works.............................................. 11,363
1,000 Textron, Inc. ............................................. 58,125
200 Timken Co.................................................. 9,225
700 Trinova Corp............................................... 24,500
500 TRW, Inc................................................... 39,938
500 TYCO International Ltd..................................... 27,000
500 Varity Corp. (c)........................................... 22,000
900 W.W. Grainger, Inc. ....................................... 52,875
-----------
3,254,713
-----------
PROPERTY-0.0%
300 Kaufman & Broad Home Corp.................................. 4,350
200 Pulte Corp. ............................................... 5,600
-----------
9,950
-----------
PUBLISHING-0.7%
1,100 American Greetings Corp. .................................. 32,313
1,600 Gannett Co., Inc........................................... 86,800
300 John H. Harland Co......................................... 6,862
800 Jostens, Inc. ............................................. 17,000
</TABLE>
69
<PAGE>
New England Zenith Fund
(Stock Index Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
PUBLISHING-CONTINUED
600 Knight-Ridder, Inc......................................... $ 34,125
400 McGraw-Hill Companies, Inc................................. 30,350
200 Meredith Corp.............................................. 5,075
1,200 Moore Corp., Ltd........................................... 26,550
1,000 New York Times Co.......................................... 23,500
1,700 R.R. Donnelly & Sons Co.................................... 61,200
1,900 Times Mirror Co. .......................................... 45,363
-----------
369,138
-----------
RAILROADS-1.0%
1,300 Burlington Northern, Inc. ................................. 82,388
900 Conrail, Inc............................................... 50,063
1,300 CSX Corporation............................................ 97,662
1,500 Norfolk Southern Corp. .................................... 101,063
2,000 Santa Fe Pacific Corp...................................... 51,000
2,300 Union Pacific Corp......................................... 127,362
-----------
509,538
-----------
RETAIL-FOOD-0.8%
2,800 Albertson's, Inc........................................... 83,300
2,100 American Stores Co......................................... 59,063
1,100 Brunos, Inc................................................ 12,787
300 Fleming Companies, Inc..................................... 7,950
600 Giant Foods, Inc........................................... 17,025
800 Great Atlantic & Pacific Tea Company, Inc.................. 21,100
1,400 Kroger Co. (c)............................................. 37,625
1,300 SuperValu Stores, Inc...................................... 37,863
2,700 Sysco Corp. ............................................... 79,650
600 Winn-Dixie Stores, Inc..................................... 34,650
-----------
391,013
-----------
RETAIL-OTHER-5.0%
2,100 Charming Shoppes, Inc. .................................... 11,025
1,200 Circuit City Stores, Inc. ................................. 37,950
800 Dayton Hudson Corp......................................... 57,400
1,200 Dillard Department Stores, Inc............................. 35,250
600 Harcourt General, Inc...................................... 25,500
5,849 Home Depot, Inc............................................ 237,616
2,500 J.C. Penney Company, Inc. ................................. 120,000
5,400 K-Mart Corp................................................ 78,975
200 Longs Drug Stores Corp..................................... 7,500
2,400 Lowes Companies, Inc....................................... 71,700
2,700 May Department Stores Co................................... 112,387
1,100 Melville Corporation....................................... 37,675
250 Mercantile Stores Co., Inc................................. 11,625
1,400 Nordstrom, Inc............................................. 57,925
900 Pep Boys: Manny, Moe & Jack................................ 24,075
2,239 Price Costco (c)........................................... 36,384
900 Rite Aid Corp. ............................................ 23,062
4,300 Sears, Roebuck & Co........................................ 257,462
</TABLE>
70
<PAGE>
New England Zenith Fund
(Stock Index Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
RETAIL-OTHER-CONTINUED
1,200 Tandy Corp................................................. $ 62,250
2,600 The Gap, Inc............................................... 90,675
4,400 The Limited, Inc........................................... 96,800
1,300 TJX Companies, Inc. ....................................... 17,225
3,475 Toys R Us, Inc. (c)........................................ 101,644
1,300 Walgreen Co................................................ 65,162
28,700 Wal-Mart Stores, Inc....................................... 767,725
1,800 Woolworth Corp. (c)........................................ 27,225
-----------
2,472,217
-----------
SERVICES-4.1%
800 Alexander & Alexander Services............................. 19,100
600 Autodesk, Inc.............................................. 25,800
1,500 Automatic Data Processing, Inc............................. 94,313
300 Ceridian Corp. ............................................ 11,062
2,000 Computer Associates International, Inc..................... 135,500
700 Computer Sciences Corp. (c)................................ 39,813
1,400 CUC International, Inc. (c)................................ 58,800
1,000 De Luxe Corp. ............................................. 33,125
1,200 Dow Jones & Co., Inc....................................... 44,250
2,320 Dun & Bradstreet Corp. .................................... 121,800
400 EG & G, Inc................................................ 6,700
1,300 First Data Corp............................................ 73,937
1,200 H & R Block, Inc........................................... 49,350
400 Intergraph Corp. (c)....................................... 4,450
800 Interpublic Group Companies, Inc........................... 30,000
600 Lotus Development Corp. (c)................................ 38,250
1,000 Marsh & McLennan Companies................................. 81,125
7,800 Microsoft Corp. (c)........................................ 704,925
4,500 Novell, Inc. (c)........................................... 89,719
300 Ogden Corp. ............................................... 6,562
5,250 Oracle Systems Corp. (c)................................... 202,780
800 Pittston Service Group..................................... 19,200
800 Ryder Systems, Inc......................................... 19,100
1,050 Service Corporation International.......................... 33,206
200 Shared Medical System...................................... 8,025
4,400 Westinghouse Electric Corp................................. 64,350
-----------
2,015,242
-----------
SOAPS-1.6%
400 Clorox Co.................................................. 26,100
1,700 Colgate Palmolive Co. ..................................... 124,313
3,300 Corning, Inc. ............................................. 108,075
1,100 Dial Corp. ................................................ 27,225
700 Ecolab, Inc................................................ 17,150
6,600 Gillette Co................................................ 294,525
1,300 International Flavours & Fragrances, Inc................... 64,675
1,900 Newell Co.................................................. 46,550
1,800 Ralston Purina Co.......................................... 91,800
1,700 Rubbermaid, Inc............................................ 47,175
-----------
847,588
-----------
</TABLE>
71
<PAGE>
New England Zenith Fund
(Stock Index Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
STEEL & IRON-0.3%
1,300 Armco, Inc................................................ $ 8,775
1,200 Bethlehem Steel Corp...................................... 19,500
300 Inland Steel Industries, Inc.............................. 9,150
1,000 Nucor Corp. .............................................. 53,500
1,020 USX US Steel Corp. ....................................... 35,063
600 Worthington Industries, Inc. ............................. 12,262
------------
138,250
------------
TELEPHONE-7.8%
5,900 Airtouch Communications................................... 168,150
3,000 ALLTEL Corp. ............................................. 76,125
6,900 Ameritech Corp............................................ 303,600
19,535 AT & T Corp............................................... 1,037,795
5,100 Bell Atlantic Corp........................................ 285,600
6,000 BellSouth Corp. .......................................... 381,000
11,500 GTE Corp.................................................. 392,437
8,400 MCI Communications Corp. ................................. 184,800
4,400 NYNEX Corp................................................ 177,100
5,100 Pacific Telesis Group..................................... 136,425
7,600 SBC Communications, Inc................................... 361,950
4,400 Sprint Corp............................................... 147,950
5,600 U.S. West, Inc............................................ 233,100
------------
3,886,032
------------
THRIFT-0.2%
700 Golden West Financial Corp................................ 32,988
1,450 Great Western Financial Corp. ............................ 29,906
1,300 H.F. Ahmanson & Co........................................ 28,600
------------
91,494
------------
TIRES AND RUBBER GOODS-0.2%
600 Cooper Tire & Rubber Co................................... 14,625
1,600 Goodyear Tire & Rubber Company............................ 66,000
------------
80,625
------------
TOBACCO-0.2%
3,000 UST, Inc. ................................................ 89,250
------------
TRUCKING AND FREIGHT-0.1%
300 Consolidated Freightways, Inc............................. 6,638
300 Roadway Services, Inc..................................... 14,175
300 Yellow Corp............................................... 5,437
------------
26,250
------------
Total Common Stocks (Identified cost $40,216,422)......... 49,227,528
------------
</TABLE>
72
<PAGE>
New England Zenith Fund
(Stock Index Series)
Investments as of June 30, 1995 (Unaudited)
- -------------------------------------------------------------------------------
Short-Term Investment-2.0%
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE (a)
- -------------------------------------------------------------------------------
<C> <S> <C>
$1,014,000 Repurchase Agreement with State Street Bank & Trust
Co. dated 6/30/95 at 5.500% to be repurchased at
$1,014,465 on 7/03/95 collateralized by $1,035,000
U.S. Treasury Notes 4.375% due 8/15/96, with a value
of $1,036,685........................................ $ 1,014,000
-----------
Total Short-Term Investment (Identified cost
$1,014,000)......................................... 1,014,000
-----------
Total Investments-101.0% (Identified cost
$41,230,422) (b).................................... 50,241,528
Cash and Receivables................................. 336,948
Liabilities.......................................... (836,901)
-----------
Total Net Assets-100%................................ $49,741,575
===========
</TABLE>
(a)See Note 1A.
(b) Federal Tax Information:
At June 30, 1995 the net unrealized appreciation on investments based on
cost of $41,230,422 for federal income tax purposes was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all investments in
which there is an excess of value
over tax cost.................................................. $9,533,185
Aggregate gross unrealized depreciation for all investments in
which there is an excess of tax
cost over value................................................ (522,079)
----------
Net unrealized appreciation.................................... $9,011,106
==========
</TABLE>
(c)Non-income producing security.
(d) An American Depository Receipt (ADR) is a certificate issued by a U.S.
bank representing the right to receive securities of the foreign issuer
described. The values of ADR's are significantly influenced by trading on
exchanges not located in the United States or Canada.
73
<PAGE>
New England Zenith Fund
(Balanced Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-54.6% of Total Net Assets
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
AEROSPACE-2.5%
1,900 Lockheed Martin Corp....................................... $ 119,938
1,300 Raytheon................................................... 100,913
----------
220,851
----------
AIRLINES-0.8%
1,000 AMR Corp. Del.............................................. 74,625
----------
AUTOMOBILES-2.3%
2,300 Chrysler Corp.............................................. 110,113
1,000 Ford Motor Co.............................................. 29,750
1,400 General Motors Corp. ...................................... 65,625
----------
205,488
----------
BANKS-3.7%
2,400 Chemical Banking Group..................................... 113,400
1,300 First Interstate Bancorp................................... 104,325
3,000 Fleet Financial Group...................................... 111,375
----------
329,100
----------
CHEMICALS-5.4%
2,700 E.I. du Pont de Nemours & Co............................... 185,625
2,000 Georgia Gulf Corp.......................................... 65,250
2,700 PPG Industries, Inc........................................ 116,100
4,800 Praxair, Inc............................................... 120,000
----------
486,975
----------
ELECTRICAL EQUIPMENT-2.4%
1,900 General Electric Co. ...................................... 107,112
2,600 Honeywell, Inc............................................. 112,125
----------
219,237
----------
ELECTRONIC COMPONENTS-2.5%
1,800 Intel Corp................................................. 113,962
800 Texas Instruments.......................................... 107,100
----------
221,062
----------
ENGINEERING & CONSTRUCTION-1.0%
3,800 McDermott International.................................... 91,675
----------
FINANCIAL SERVICES-4.8%
1,600 Federal Home Loan Mortgage Corp............................ 110,000
1,100 Federal National Mortgage Association...................... 103,812
3,300 MBNA Corp.................................................. 111,375
3,000 Meditrust SBI.............................................. 102,375
----------
427,562
----------
FOREST PRODUCTS-1.3%
2,400 Weyerhaeuser Co. .......................................... 113,100
----------
FREIGHT-TRANSPORTATION-1.1%
5,700 Canadian Pacific Ltd. ..................................... 99,038
----------
</TABLE>
See accompanying notes to financial statements.
74
<PAGE>
New England Zenith Fund
(Balanced Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
HEALTH CARE-DRUGS-0.9%
1,700 Smithkline Beecham PLC..................................... $ 76,925
----------
HEALTH CARE-SERVICES-0.7%
5,100 Beverly Enterprises........................................ 63,112
----------
HEALTH CARE-MED TECH-1.2%
3,700 C.R. Brad, Inc............................................. 111,000
----------
HOME PRODUCTS-1.3%
2,200 Premark International...................................... 114,125
----------
INSURANCE-4.4%
5,100 Ace Ltd.................................................... 147,900
400 American International Group, Inc.......................... 45,600
1,200 Chubb Corp................................................. 96,150
3,000 Providian Corp. ........................................... 108,750
----------
398,400
----------
LEISURE TIME-1.3%
4,900 Carnival Corp. Class A..................................... 114,538
----------
MACHINERY-0.3%
900 Case Corp.................................................. 26,775
----------
MULTI-INDUSTRY-3.6%
2,700 Allied Signal, Inc......................................... 120,150
900 ITT Corp................................................... 105,750
1,700 Textron, Inc............................................... 98,812
----------
324,712
----------
NATURAL GAS-PIPELINES-1.5%
900 El Paso Nat. Gas Co........................................ 25,650
1,900 Mapco, Inc................................................. 110,200
----------
135,850
----------
OFFICE EQUIPMENT-3.5%
1,400 Hewlett Packard Co......................................... 104,300
1,100 International Business Machines............................ 105,600
900 Xerox Corp................................................. 105,525
----------
315,425
----------
OIL-MAJOR INTEGRATED-2.5%
3,400 Repsol ADR................................................. 107,525
400 Sun, Inc................................................... 10,950
4,300 Ultramar Corp.............................................. 108,575
----------
227,050
----------
PAPER-1.3%
2,000 Mead Corp.................................................. 118,750
----------
RETAIL-0.6%
800 Dayton Hudson Corp......................................... 57,400
----------
TOBACCO-1.3%
1,600 Phillip Morris Cos. Inc.................................... 119,000
----------
</TABLE>
See accompanying notes to financial statements.
75
<PAGE>
New England Zenith Fund
(Balanced Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
UTILITIES-TELECOMMUNICATIONS-1.1%
1,600 GTE Corp................................................. $ 54,600
900 Sprint Corp.............................................. 30,263
500 Telefonos de Mexico SA (d)............................... 14,813
----------
99,676
----------
UTILITIES-ELECTRIC-1.3%
1,600 Pacific Gas & Electric Co................................ 46,400
3,900 SCE Corp................................................. 66,787
----------
113,187
----------
Total Common Stocks (Identified Cost $4,468,316)......... 4,904,638
----------
- --------------------------------------------------------------------------------
Preferred Stock-1.2%
- --------------------------------------------------------------------------------
TOBACCO-1.2%
17,600 RJR Nabisco Holding Corp................................. 107,800
----------
Total Preferred Stock (Identified Cost $109,835)......... 107,800
----------
- --------------------------------------------------------------------------------
Medium & Long Term Bonds & Notes-36.9%
<CAPTION>
FACE
AMOUNT
- --------------------------------------------------------------------------------
<C> <S> <C>
AIR TRANSPORT-1.3%
$100,000 AMR Corp 10.290%, 3/08/21................................ 120,464
----------
ASSET BACKED-0.6%
$ 50,000 Standard Credit Card Trust 8.625%, 1/07/02............... 52,163
----------
AUTO & RELATED-1.2%
100,000 General Motors Corp. 9.125%, 7/15/01..................... 110,747
----------
BANKS-5.1%
125,000 Bank of Boston 10.300%, 9/01/00.......................... 125,722
100,000 Bankers Trust New York Corp. 8.125%, 4/01/02............. 105,718
50,000 Chase Manhattan Corp. 9.050%, 2/01/02.................... 51,762
125,000 Mellon Financial Corp. 6.125% 11/15/95................... 124,980
50,000 Norwest Corp. Mountain Bank 7.650%, 3/15/05.............. 53,557
----------
461,739
----------
EQUIPMENT TRUST-0.3%
25,000 American Airlines 10.180%, 1/02/13....................... 29,063
----------
FINANCE-3.3%
125,000 Associates Corp. NA 8.350%, 12/22/98..................... 132,711
50,000 International Lease Finance Corp. 8.040%, 12/01/97....... 51,770
100,000 Secured Finance Investment, Inc. 9.050%, 12/15/04........ 113,897
----------
298,378
----------
HEALTH CARE-0.6%
50,000 Columbia/HCA Healthcare Corp. 8.020%, 8/5/02............. 53,111
----------
</TABLE>
See accompanying notes to financial statements.
76
<PAGE>
New England Zenith Fund
(Balanced Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Medium & Long Term Bonds & Notes-Continued
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE (a)
- -------------------------------------------------------------------------------
<C> <S> <C>
INDUSTRIAL-2.8%
$50,000 Coastal Corp. 10.000% 2/1/01............................. $ 56,731
25,000 Standard Oil Co. 9.000%, 6/01/19......................... 27,172
150,000 Tenneco Credit Corp. 9.625%, 8/15/01..................... 170,234
----------
254,137
----------
LEISURE TIME-1.7%
150,000 Carnival Corp. 7.050%, 5/15/05........................... 150,492
----------
MORTGAGED BACKED-2.4%
50,000 G.E. Capital Mortgage, Inc. 10.000%, 3/25/24............. 53,218
75,000 Paine Webber CMO Tr. 9.000%, 10/20/03.................... 78,257
75,000 Western Mortgage Financial Corp. 8.950%, 8/01/18......... 83,882
----------
215,357
----------
SECURITIES-4.1%
25,000 Lehman Bros. Inc. 7.000% 5/15/97......................... 24,997
100,000 Lehman Bros. Inc. 5.750% 11/15/98........................ 95,464
100,000 Merrill Lynch & Co. 8.375%, 2/09/00...................... 106,769
145,000 Salomon, Inc. 7.500%, 2/01/03............................ 142,884
----------
370,114
----------
UTILITIES-1.2%
100,000 Louisiana Power & Light Co. 10.670%, 1/02/17............. 107,018
----------
YANKEE/SUPRANATIONAL-1.2%
50,000 Province of Quebec 8.625%, 1/19/05....................... 55,526
50,000 Aktiebolaget SKF 7.625% 7/15/03.......................... 51,469
----------
106,995
----------
U.S. GOVERNMENT & AGENCIES-11.0%
50,000 Federal Home Loan Banks 8.150%, 2/24/99.................. 50,601
100,000 Federal Home Loan Mortgage 6.750%, 9/15/06............... 98,437
30,000 Federal National Mortgage Association Zero Coupon Bond
10/10/01................................................. 27,713
200,000 U.S. Treasury Notes 6.875%, 2/28/97...................... 203,250
100,000 U.S. Treasury Notes 6.500%, 5/15/97...................... 101,141
200,000 U.S. Treasury Notes 8.750%, 10/15/97..................... 212,124
25,000 U.S. Treasury Notes 8.250%, 7/15/98...................... 26,602
100,000 U.S. Treasury Notes 7.500%, 10/31/99..................... 105,609
125,000 U.S. Treasury Bonds 10.750%, 2/15/03..................... 159,180
----------
984,657
----------
Total Bonds & Notes (Identified Cost $3,173,494)......... 3,314,435
----------
</TABLE>
See accompanying notes to financial statements.
77
<PAGE>
New England Zenith Fund
(Balanced Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Short-Term Investments-6.5%
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE (a)
- -------------------------------------------------------------------------------
<C> <S> <C>
$250,000 Associates Corp. of North America 6.000%, 7/03/95...... $ 250,000
328,000 Repurchase Agreement with State Street Bank & Trust
Company dated 6/30/95 at 5.500% to be repurchased at
$328,150 on 7/03/95 collateralized by $830,000 U.S.
Treasury Notes 4.375% due 8/15/96, with a value of
$335,545............................................... 328,000
----------
Total Short-Term Investments (Identified Cost
$578,000).............................................. 578,000
----------
Total Investments-99.2% (Identified Cost $8,329,645
(b))................................................... 8,904,873
Cash & Receivables..................................... 238,878
Liabilities............................................ (167,366)
----------
Total Net Assets-100%.................................. $8,976,385
----------
(a)See Note 1A.
(b) Federal Tax Information: At June 30, 1995 the net
unrealized appreciation on investments based on cost of
$8,329,645 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments
in which there is an excess of value over tax cost......... $ 613,366
Aggregate gross unrealized depreciation for all investments
in which there is an excess of tax cost over value......... (38,138)
----------
Net unrealized appreciation................................. $ 575,228
==========
(c) Non-income producing security.
(d) An American Depository Receipt (ADR) is a certificate
issued by a U.S. bank representing the right to receive
securities of the foreign issuer described. The values of
ADRs are significantly influenced by trading on exchanges
not located in the United States or Canada.
</TABLE>
See accompanying notes to financial statements.
78
<PAGE>
New England Zenith Fund
(Managed Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-65.2% of Total Net Assets
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
AEROSPACE-0.9%
5,025 Boeing Co. ............................................... $ 314,691
14,600 Rockwell International Corp. ............................. 667,950
2,500 United Technologies Corp.................................. 195,313
------------
1,177,954
------------
APPAREL-0.2%
7,400 Melville Corp. ........................................... 253,450
------------
AIR TRANSPORT-0.0%
255 UAL, Inc.................................................. 35,764
------------
BANKS-3.0%
29,260 BancOne Corp.............................................. 943,635
10,144 Bank America Corp......................................... 533,828
5,400 Bankers Trust New York Corp. ............................. 334,800
19,000 Citicorp.................................................. 1,099,625
10,900 J.P. Morgan & Co., Inc.................................... 764,363
7,200 NationsBank Corp.......................................... 386,100
------------
4,062,351
------------
BUSINESS MACHINES-0.3%
8,500 Apple Computer............................................ 394,719
------------
BUSINESS SERVICES-1.8%
28,500 Browning Ferris Industries, Inc. ......................... 1,029,563
10,000 Dun & Bradstreet Corp. ................................... 525,000
9,200 H & R Block, Inc. ........................................ 378,350
39,200 Rollins Environmental Services............................ 186,200
9,500 WMX Technologies.......................................... 269,563
------------
2,388,676
------------
CHEMICALS-2.8%
14,200 Allied-Signals Inc........................................ 631,900
8,200 Dow Chemical Co........................................... 589,375
13,700 E.I. Du Pont de Nemours & Co.............................. 941,875
11,200 Monsanto Co............................................... 1,009,400
15,600 PPG Industries, Inc....................................... 670,800
------------
3,843,350
------------
CONSTRUCTION-1.2%
28,600 Home Depot, Inc. ......................................... 1,161,875
14,900 Masco Corp. .............................................. 402,300
------------
1,564,175
------------
CONSUMER DURABLES-0.0%
800 Whirlpool Corp............................................ 44,000
------------
DOMESTIC OIL-1.6%
2,400 Amoco Corp................................................ 159,900
2,700 Atlantic Richfield Co..................................... 296,325
3,600 Halliburton Co............................................ 128,700
69,300 Oryx Energy Co............................................ 952,875
934 Santa Fe Energy Co........................................ 8,873
</TABLE>
See accompanying notes to financial statements.
79
<PAGE>
New England Zenith Fund
(Managed Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
DOMESTIC OIL-CONTINUED
4,400 Sun Company............................................... $ 120,450
800 Tenneco, Inc.............................................. 36,800
15,600 Unocal Corp............................................... 430,950
------------
2,134,873
------------
DRUGS & MEDICINE-5.1%
8,800 Abbott Laboratories....................................... 356,400
11,000 American Home Products Corp............................... 851,125
37,100 Baxter International, Inc................................. 1,349,512
7,600 Eli Lilly & Co............................................ 596,600
5,200 Johnson & Johnson......................................... 351,650
31,500 Merck & Co., Inc.......................................... 1,543,500
9,600 Pfizer, Inc............................................... 886,800
10,800 Schering Plough Corp...................................... 476,550
12,900 Upjohn Co................................................. 488,588
------------
6,900,725
------------
ELECTRONICS-3.8%
43,200 AMP, Inc.................................................. 1,825,200
9,400 Emerson Electric Co....................................... 672,100
22,400 Hewlett-Packard........................................... 1,668,800
6,400 Motorola, Inc............................................. 429,600
7,700 Raytheon Co............................................... 597,713
------------
5,193,413
------------
ENERGY & UTILITIES-3.1%
18,300 American Electric Power, Inc.............................. 642,787
11,700 Consolidated Edison Co. of New York....................... 345,150
45,700 Pacific Gas & Electric Co................................. 1,325,300
7,700 Public Service Enterprise Group........................... 213,675
40,200 SCE Corp.................................................. 688,425
10,200 Southern Co............................................... 228,225
8,900 Texas Utilities Co........................................ 305,938
17,300 Unicom Corp............................................... 460,612
------------
4,210,112
------------
ENERGY RAW MATERIALS-1.1%
58,800 Occidental Petroleum Corp................................. 1,345,050
3,200 Schlumberger, Ltd......................................... 198,800
------------
1,543,850
------------
FINANCE-0.7%
4,449 Dean Witter Discover & Co................................. 209,103
11,600 Federal Home Loan Mortgage Corp........................... 797,500
------------
1,006,603
------------
FOOD & AGRICULTURE-4.5%
19,900 Coca Cola Bottling Co..................................... 1,268,625
5,000 General Mills, Inc........................................ 256,875
27,900 H. J. Heinz Co............................................ 1,238,062
24,600 Kellogg Co................................................ 1,755,825
</TABLE>
See accompanying notes to financial statements.
80
<PAGE>
New England Zenith Fund
(Managed Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
FOOD & AGRICULTURE-CONTINUED
8,100 PepsiCo, Inc.............................................. $ 369,563
13,300 Ralston Purina Co......................................... 678,300
16,000 Sara Lee Corp............................................. 456,000
------------
6,023,250
------------
GOLD-0.2%
18,434 Santa Fe Pacific Gold Corp. .............................. 223,512
------------
INSURANCE-1.8%
11,500 Aetna Life & Casualty Co.................................. 723,062
14,400 American General Corp..................................... 486,000
4,312 American International Group, Inc......................... 491,568
2,700 CIGNA Corp................................................ 209,588
4,300 General Reinsurance Corp.................................. 575,663
------------
2,485,881
------------
INTERNATIONAL OIL-4.4%
11,000 Chevron Corp.............................................. 512,875
9,400 Cooper Industries, Inc.................................... 371,300
25,100 Exxon Corp................................................ 1,772,686
7,800 Mobil Corp. .............................................. 748,800
9,800 Royal Dutch Petroleum Co. ADR (d)......................... 1,194,375
21,200 Texaco, Inc............................................... 1,391,250
------------
5,991,286
------------
LIQUOR-0.4%
3,300 Anheuser-Busch Companies, Inc............................. 187,688
11,700 Seagram, Ltd.............................................. 405,112
------------
592,800
------------
MEDIA-2.4%
21,000 Capital Cities/ABC, Inc................................... 2,268,000
2,540 CBS, Inc.................................................. 170,180
3,000 Gannett Co., Inc.......................................... 162,750
15,200 Tele Communications Inc................................... 356,250
7,200 Time-Warner, Inc. ........................................ 296,100
------------
3,253,280
------------
MISCELLANEOUS FINANCE-1.2%
25,000 American Express Co....................................... 878,125
5,000 Lehman Brothers Holdings, Inc............................. 109,375
16,900 Salomon, Inc.............................................. 678,113
------------
1,665,613
------------
MOTOR VEHICLES-1.4%
20,300 Chrysler Corp. ........................................... 971,862
4,600 Ford Motor Co............................................. 136,850
12,500 General Motors Corp....................................... 585,938
6,750 Genuine Parts Co.......................................... 255,656
------------
1,950,306
------------
</TABLE>
See accompanying notes to financial statements.
81
<PAGE>
New England Zenith Fund
(Managed Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
NON-FERROUS METALS-0.7%
8,075 Alcan Aluminum Ltd........................................ $ 244,268
14,000 Aluminum Co. of America................................... 701,750
220 USX U.S. Steel Corp....................................... 7,563
------------
953,581
------------
OFFICE EQUIPMENT-2.7%
28,400 Digital Equipment Corp. (c)............................... 1,157,300
5,900 International Business Machines Corp. .................... 566,400
16,900 Xerox Corp................................................ 1,981,525
------------
3,705,225
------------
OPTICAL PHOTO, EQUIPMENT-0.2%
3,600 Eastman Kodak Co.......................................... 218,250
------------
PAPER & FOREST PRODUCTS-0.8%
3,600 Georgia-Pacific Corp. .................................... 312,300
5,900 International Paper Co. .................................. 505,925
1,400 Kimberly Clark Corp....................................... 83,825
4,050 Weyerhaeuser Co........................................... 190,856
------------
1,092,906
------------
PRODUCER GOODS-2.3%
5,600 Caterpillar, Inc. ........................................ 359,800
8,000 Deere & Co................................................ 685,000
34,400 General Electric Co. ..................................... 1,939,300
4,200 Westinghouse Electric Corp................................ 61,425
------------
3,045,525
------------
RAILROADS & SHIPPING-1.0%
4,500 Norfolk Southern Corp..................................... 303,188
30,723 Santa Fe Southern Pacific Corp............................ 783,436
4,200 Union Pacific Corp........................................ 232,575
------------
1,319,199
------------
RESTAURANTS-0.3%
5,000 Darden Restaurants, Inc. ................................. 54,375
9,200 McDonald's Corp........................................... 359,950
------------
414,325
------------
RETAIL-3.5%
19,000 Albertsons, Inc. ......................................... 565,250
8,000 Dayton Hudson Corp. ...................................... 574,000
15,600 J.C. Penney Company, Inc. ................................ 748,800
38,900 K Mart Corp. ............................................. 568,913
7,800 May Department Stores Co. ................................ 324,675
11,400 Sears Roebuck and Co...................................... 682,575
5,400 The Limited, Inc. ........................................ 118,800
11,625 Toys R US (c)............................................. 340,031
29,200 Wal-Mart Stores, Inc...................................... 781,100
------------
4,704,144
------------
</TABLE>
See accompanying notes to financial statements.
82
<PAGE>
New England Zenith Fund
(Managed Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Common Stocks-Continued
<TABLE>
<CAPTION>
SHARES VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
SOAPS & COSMETICS-2.7%
6,260 Bristol-Myers Squibb Co.............................. $ 426,463
18,400 Gillette Co. ........................................ 821,100
10,300 Procter & Gamble Co.................................. 740,312
12,400 Unilever, N.V. ...................................... 1,613,550
------------
3,601,425
------------
STEEL-0.9%
64,700 USX Marathon Group................................... 1,277,825
------------
TELEPHONE-5.0%
15,500 Airtouch Communications.............................. 441,750
35,200 Ameritech Corp....................................... 1,548,800
27,261 AT & T Co. .......................................... 1,448,240
12,200 Bell Atlantic Corp. ................................. 683,200
8,100 BellSouth Corporation................................ 514,350
10,600 GTE Corp. ........................................... 361,725
14,600 NYNEX Corp........................................... 587,650
15,500 Pacific Telesis Group................................ 414,625
7,200 SBC Communications Inc. ............................. 342,900
9,700 U.S. West, Inc....................................... 403,762
------------
6,747,002
------------
TOBACCO-1.0%
8,500 American Brands, Inc. ............................... 337,875
13,600 Philip Morris Companies, Inc. ....................... 1,011,500
------------
1,349,375
------------
TRAVEL & RECREATION-1.4%
33,700 Walt Disney Productions.............................. 1,874,563
------------
MISCELLANEOUS & CONGLOMERATES-0.8%
2,200 ITT Corporation...................................... 258,500
13,800 Minnesota Mining & Manufacturing Co. ................ 790,050
------------
1,048,550
------------
Total Common Stocks (Identified cost $67,742,369).... 88,291,838
------------
- --------------------------------------------------------------------------------
Medium & Long Term Bonds & Notes-33.6%
<CAPTION>
FACE
AMOUNT
- --------------------------------------------------------------------------------
<C> <S> <C>
CORPORATE BONDS-16.2%
$ 2,000,000 Appalachian Power Co., 8.750%, 2/01/22............... 2,060,000
2,500,000 Banco de Comercio Exterior 8.625%, 6/02/00........... 2,520,750
1,000,000 Boston Edison Co. 7.800%, 5/15/10.................... 1,025,030
2,000,000 Cemex SA 8.875%, 6/10/98............................. 1,726,250
1,000,000 Chrysler Financial Corp. 13.250%, 10/15/99........... 1,232,740
2,000,000 Lehman Brothers Holdings, Inc. 8.500%, 5/01/07....... 2,116,460
1,000,000 Maxus Energy Corp. 9.375%, 11/01/03.................. 925,000
2,000,000 Oklahoma Gas & Electric Co., 8.625% 1/01/06.......... 2,070,980
1,500,000 Public Service Electric & Gas Co. 8.750%, 11/01/21... 1,612,155
3,000,000 Tele Communications, Inc. 9.800%, 2/1/12............. 3,298,680
10,000,000 Time-Warner, Inc. Zero Coupon 12/17/12............... 3,337,500
30,000 Viacom, Inc. 8.000%, 7/07/06......................... 29,213
------------
21,954,758
------------
</TABLE>
See accompanying notes to financial statements.
83
<PAGE>
New England Zenith Fund
(Managed Series)
Investments as of June 30, 1995 (Unaudited)
- -------------------------------------------------------------------------------
Medium & Long Term Bonds & Notes-Continued
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE (a)
- -------------------------------------------------------------------------------
<C> <S> <C>
FOREIGN-3.5%
$6,000,000 Government of Canada 9.000%, 12/01/04 (e)........... $ 4,666,108
------------
YANKEE-12.0%
3,000,000 Hydro Quebec 9.400%, 2/01/21........................ 3,535,890
2,000,000 Hydro Quebec 8.050%, 7/07/24........................ 2,185,860
4,000,000 News America Holdings, Inc. 9.250%, 2/01/13......... 4,484,840
5,000,000 Province of Manitoba 9.125%, 1/15/18................ 6,054,450
------------
16,261,040
------------
U.S. GOVERNMENT BONDS-1.9%
Government National Mortgage Association 10.000%,
623,056 9/15/18............................................ 679,555
Government National Mortgage Association 11.500%
734,151 with various maturities to 6/15/13................. 822,357
1,000,000 U.S. Treasury Bonds 7.625% 2/15/23.................. 1,129,370
------------
2,631,282
------------
Total Medium & Long Term Bonds & Notes (Identified
Cost $43,698,296).................................. 45,513,188
------------
- -------------------------------------------------------------------------------
Short-Term Investment-0.4%
- -------------------------------------------------------------------------------
565,000 Household Finance Corp. 6.050%, 7/03/95............. 564,810
------------
Total Short-Term Investment (Identified Cost
$564,810)........................................... 564,810
------------
Total Investments-99.2% (Identified Cost
$112,005,475) (b)................................... 134,369,836
Cash and Receivables................................ 1,301,936
Liabilities......................................... (245,101)
------------
Total Net Assets-100%............................... $135,426,671
============
</TABLE>
(a) See Note 1A.
(b) Federal Tax Information:
At June 30, 1995 the net unrealized appreciation on investments based on
cost of $112,005,475 for federal income tax purposes was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all investments in
which there is an excess of value
over tax cost................................................ $24,462,271
Aggregate gross unrealized depreciation for all investments in
which there is an excess of tax
cost over value.............................................. (2,097,910)
-----------
Net unrealized appreciation................................... $22,364,361
===========
</TABLE>
(c) Non-income producing security.
(d) An American Depository Receipt (ADR) is a certificate issued by a U.S.
bank representing the right to receive securities of the foreign issuer
described. The values of ADRs are significantly influenced by trading on
exchanges not located in the United States or Canada.
(e) Denominated in Canadian Dollars.
See accompanying notes to financial statements.
84
<PAGE>
New England Zenith Fund
(Strategic Bond Opportunities Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Bonds & Notes-89.6% of Total Net Assets
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
CORPORATE BONDS-38.0%
$ 150,000 Bally's Park Place Funding 9.25%, 3/15/2004.......... $ 142,500
150,000 Foamex LP Foamex Capital Corp. 11.25%, 10/01/02...... 150,563
200,000 In Flight Phone Corp. Zero Coupon, 5/15/02........... 131,000
150,000 Jordan Industries, Inc. 10.375% 8/01/03.............. 142,688
150,000 Katz Corp. 12.75% 11/15/02........................... 157,500
150,000 National Medical Enterprises 10.125% 3/01/05......... 159,374
150,000 Pathmark Stores, Inc. 9.625%, 5/01/03................ 145,688
150,000 Renco Metals, Inc. 12.00%, 7/15/00................... 150,750
100,000 Rogers Cable Systems Ltd. 10.00% 3/15/05............. 103,250
150,000 Telex Communications, Inc. 12.00%, 7/15/04........... 151,875
150,000 UCAR Global Enterprises, Inc. 12.00%, 1/15/05........ 161,063
100,000 United States Leasing International 8.45%, 1/25/05... 110,265
50,000 Waters Corp. 12.75%, 9/30/04......................... 53,063
150,000 Williamhouse Regency 11.50%, 6/15/05................. 152,250
----------
1,911,829
----------
FOREIGN BONDS-35.4%
$ 312,120 Brazil C Bonds 4.00%, 4/15/14........................ 154,499
NLG 50,000 Dutch Government 6.25% 7/15/98....................... 32,707
NLG 10,000 Dutch Government 7.00% 6/15/05....................... 6,438
DM 120,000 Federal Republic of Germany 6.375% 5/20/98........... 88,423
DM 180,000 Federal Republic of Germany 6.875% 5/12/05........... 129,563
FFR 120,000 Government of France 7.50%, 4/25/05.................. 24,550
FFR 200,000 Government of France 8.00%, 5/12/98.................. 42,430
ESP 5,600,000 Government of Spain 10.00%, 2/28/05.................. 41,758
$ 50,000 Indah Kiat International Finance Co.12.5%, 6/15/06... 51,750
JPY 2,200,000 Japan 4.60% 3/20/05.................................. 29,560
JPY14,850,000 Japan 4.90% 3/20/98.................................. 191,821
BEF 1,000,000 Kingdom of Belgium 6.50%, 3/31/05.................... 32,616
DKK 30,000 Kingdom of Denmark 7.00% 12/15/04.................... 5,008
DKK 60,000 Kingdom of Denmark 9.00% 11/15/98.................... 11,501
$ 250,000 Mexico Par Series B 6.25%, 12/31/19.................. 150,313
$ 250,000 Republic of Argentina 7.312%, 3/31/05................ 151,875
$ 500,000 Republic of Ecuador 3.00% 2/28/25.................... 162,500
ITL10,000,000 Republic of Italy 9.50% 4/25/05...................... 5,805
ITL90,000,000 Republic of Italy 8.00% 5/12/98...................... 46,530
$ 600,000 Republic of Poland 3.25%, 10/27/14................... 366,000
GBP 19,000 UK Treasury 8.50%, 12/07/05.......................... 30,306
GBP 18,000 UK Treasury 7.25%, 3/30/98........................... 28,174
----------
1,784,127
----------
U.S. GOVERNMENT BONDS-16.2%
500,000 Federal Home Loan Bank 6.49%, 9/8/97................. 503,260
250,000 United States Treasury Bonds 8.875%, 8/15/17......... 311,553
----------
814,813
----------
Total Bonds & Notes (Identified Cost $4,331,688)..... 4,510,769
----------
</TABLE>
See accompanying notes to financial statements.
85
<PAGE>
New England Zenith Fund
(Strategic Bond Opportunities Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Short-Term Investment-8.3%
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
$419,000 Repurchase agreement with State Street Bank & Trust
Company dated 6/30/95 at 6.00% to be repurchased at
$419,210 on 7/3/95 collateralized by $415,000 U.S.
Treasury Notes
6.875% due 3/31/97 with a value of $428,649............. $ 419,000
----------
Total Short-Term Investment (Identified Cost $419,000).. 419,000
----------
Total Investments-97.9% (Identified Cost $4,750,688)(b). 4,929,769
Cash & Receivables...................................... 919,865
Liabilities............................................. (815,420)
----------
Total Net Assets-100%................................... $5,034,214
==========
(a) See Note 1A.
(b) Federal Tax Information: At June 30, 1995 the net unrealized appreciation
on investments based on
cost of $4,750,688 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in
which there is an excess of value
over tax cost................................................. $ 238,149
Aggregate gross unrealized depreciation for all investments in
which there is an excess of tax cost
over value.................................................... (59,068)
----------
Net unrealized appreciation.................................... $ 179,081
==========
</TABLE>
BEF = Belgian francs GBP = British pounds sterling
DKK = Danish krone ITL = Italian lira
DM = German Deutsche marks JPY = Japanese yen
ESP = Spanish pesetas NLG = Netherlands guilders
FFR = French francs $ = United States dollars
See accompanying notes to financial statements.
86
<PAGE>
New England Zenith Fund
(Bond Income Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Bonds and Notes-88.3% of Total Net Assets
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
CORPORATE BONDS AND NOTES-67.5%
CHEMICALS-3.1%
$4,000,000 Dow Chemical Co. 8.550%, 10/15/09..................... $ 4,537,680
------------
FINANCIAL-16.3%
4,000,000 American General Finance Corp. 8.450%, 10/15/09....... 4,548,800
4,160,000 Associates Corp of North America 8.550%, 7/15/09...... 4,799,017
4,600,000 ITT Financial Corp. 8.350% 11/01/04................... 5,187,190
4,000,000 News America Holdings, Inc. 9.500%, 7/15/24........... 4,705,000
2,500,000 Pitney Bowes Credit Corp. 8.625% 2/15/08.............. 2,895,750
1,275,000 Toronto Dominion Bank Ontario 7.875%, 8/15/04......... 1,341,173
------------
23,476,930
------------
FOREIGN-7.7%
2,500,000 Government of Canada 6.250%, 2/01/98 (b).............. 1,778,686
4,000,000 Government of Canada 8.500%, 4/01/02 (b).............. 3,024,362
2,000,000 Government of Canada 9.000%, 12/01/04 (b)............. 1,555,369
2,500,000 Province of Alberta 6.375%, 6/01/04 (b)............... 1,623,316
3,000,000 Province of British Columbia 7.750% 6/16/03 (b)....... 2,141,565
1,300,000 Province of Ontario 8.000% 3/11/03 (b)................ 933,568
------------
11,056,866
------------
OIL AND GAS-6.7%
1,050,000 Coastal Corp. 10.000%, 2/01/01........................ 1,192,149
2,180,000 Coastal Corp. 10.250%, 10/15/04....................... 2,615,673
600,000 Maxus Energy Corp. 10.190% 5/09/96.................... 599,250
750,000 Oryx Energy Co. 9.750%, 9/15/98....................... 751,875
800,000 Oryx Energy Co. 10.000%, 6/15/99...................... 859,000
3,290,000 Oryx Energy Co. 10.000%, 4/01/01...................... 3,602,550
------------
9,620,497
------------
PUBLISHING-4.2%
3,000,000 Time Warner Co. 10.150%, 5/01/12...................... 3,506,250
750,000 Time Warner Co. 8.875%, 10/01/12...................... 791,250
2,150,000 Western Publishing Group, Inc. 7.650%, 9/15/02........ 1,749,563
------------
6,047,063
------------
TELECOMMUNICATIONS-4.2%
2,750,000 Tele-Communications, Inc., 9.250%, 1/15/03............ 2,796,860
3,000,000 US-West Communication, 8.875% 6/01/31................. 3,339,210
------------
6,136,070
------------
UTILITIES-(DIVERSIFIED)-3.7%
1,250,000 Arizona Public Service Co. 10.250% 5/15/20............ 1,461,788
1,250,000 New York State Electric & Gas Co. 9.875%, 2/01/20..... 1,331,863
2,250,000 New York State Electric & Gas Co. 8.875%, 11/01/21.... 2,499,186
------------
5,292,837
------------
</TABLE>
See accompanying notes to financial statements.
87
<PAGE>
New England Zenith Fund
(Bond Income Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Bonds and Notes-Continued
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
UTILITIES-(ELECTRIC)-9.1%
$4,200,000 Arizona Public Service Co. 8.000%, 12/30/15.......... $ 4,195,716
7,000,000 Tennesse Valley Electric, 6.125%, 7/15/03............ 6,816,390
300,000 Texas Utilities Electric Co. 10.150%, 3/01/99........ 335,253
1,700,000 Texas Utilities Electric Co. 8.875%, 2/01/22......... 1,836,850
------------
13,184,209
------------
UTILITIES-(GAS)-2.8%
2,400,000 Southern California Gas Co. 8.750%, 10/01/2021....... 2,693,496
1,250,000 USX Marathon Group 9.125%, 1/15/13................... 1,325,113
------------
4,018,609
------------
YANKEE-9.7%
900,000 British Columbia Hydro & Power 12.500% 9/01/13....... 1,083,555
5,000,000 Hydro Quebec 8.050% 7/07/24.......................... 5,446,300
450,000 Petroleos Mexicanos 7.100%, 4/07/97.................. 421,083
2,400,000 Petroleos Mexicanos 8.625%, 12/01/23................. 1,608,000
1,500,000 Province of Ontario 6.125%, 8/17/99.................. 1,493,400
1,500,000 Republic of Columbia 8.750%, 10/6/99................. 1,553,130
2,500,000 Republic of Columbia 7.750%, 2/23/04................. 2,362,125
------------
13,967,593
------------
Total Corporate Bonds and Notes (Identified Cost
$94,030,390)........................................ 97,338,354
------------
U.S. GOVERNMENT AND AGENCIES-20.8%
70,546 Federal Home Loan Bank 9.000%, 5/01/01............... 73,258
26,343 Federal Home Loan Bank 9.000%, 9/01/01............... 27,356
6,000,000 Federal National Mortgage Association 7.850% 9/10/04. 6,221,160
Government National Mortgage Association 7.000%
5,762,273 2/15/24............................................. 5,679,468
Government National Mortgage Association 7.500%
4,353,855 7/15/23............................................. 4,385,160
Government National Mortgage Association 8.500% with
2,530,051 various maturities to 2022.......................... 2,630,469
Government National Mortgage Association 9.000%
258,940 10/15/16............................................ 272,291
2,500,000 Student Loan Marketing Association 7.820% 10/14/99... 2,534,950
1,500,000 U.S. Treasury Notes 6.375% 7/15/99................... 1,520,910
2,500,000 U.S. Treasury Notes 8.500% 11/15/00.................. 2,781,650
3,500,000 U.S. Treasury Notes 8.000% 5/15/01................... 3,836,070
------------
Total U.S. Government and Agencies (Identified Cost
$30,244,425)........................................ 29,962,742
------------
Total Bonds and Notes (Identified Cost $124,274,815). 127,301,096
------------
</TABLE>
See accompanying notes to financial statements.
88
<PAGE>
New England Zenith Fund
(Bond Income Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Short-Term Investments-9.9%
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE (a)
- -------------------------------------------------------------------------------
<C> <S> <C>
$2,255,000 American Express Credit Corp. 5.500%, 7/03/95....... $ 2,254,311
6,000,000 General Motors Acceptance Corp. 5.800%, 7/03/95..... 5,998,066
6,000,000 Household Finance Corp. 6.050%, 7/03/95............. 5,997,983
------------
Total Short-Term Investments (Identified Cost
$14,250,360)....................................... 14,250,360
------------
Total Investments-98.2% (Identified Cost
$138,825,644) (b).................................. 141,551,456
Cash and Receivables................................ 2,852,049
Liabilities......................................... (304,190)
------------
Total Net Assets-100%............................... $144,099,315
============
</TABLE>
(a)See Note 1A.
(b) Federal Tax Information: At June 30, 1995 the net unrealized appreciation
on investments based on cost of $138,825,644 for federal income tax
purposes was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all investments in
which there is an excess of value
over tax cost................................................ $ 5,133,618
Aggregate gross unrealized depreciation for all investments in
which there is an excess of tax
cost over value.............................................. (2,407,806)
------------
Net unrealized appreciation................................... $ 2,725,812
============
</TABLE>
(c)Denominated in Canadian dollars.
See accompanying notes to financial statements.
89
<PAGE>
New England Zenith Fund
(U.S. Government Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Bonds & Notes-82.8% of Total Net Assets
<TABLE>
<CAPTION>
FACE
AMOUNT VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C>
FEDERAL AGENCY-50.9%
$250,000 Federal Home Loan Banks 6.49% 9/08/97..................... $ 251,630
300,000 Federal Home Loan Banks 5.94% 6/13/00..................... 297,961
100,000 Federal Home Loan Mortgage 5.25% 11/15/13................. 96,544
100,000 Federal National Mortgage Association 6.25% 3/25/18....... 98,054
250,000 Federal National Mortgage Association 5.94% 1/29/98....... 248,345
450,000 Federal National Mortgage Association Pool TBA 1/01/99.... 432,844
250,000 Student Loan Marketing Association 7.50% 3/08/00.......... 262,995
----------
1,688,373
----------
U.S. TREASURY-31.9%
350,000 U.S. Treasury Bonds 8.875% 8/15/17........................ 436,173
200,000 U.S. Treasury Notes 7.75% 1/31/00......................... 213,732
100,000 U.S. Treasury Notes 6.75% 4/30/00......................... 103,048
300,000 U.S. Treasury Notes 6.25% 5/31/00......................... 303,129
----------
1,056,082
----------
Total Bonds & Notes (Identified Cost $2,658,381).......... 2,744,455
----------
</TABLE>
- --------------------------------------------------------------------------------
Short-Term Investments-27.3%
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
<C> <S> <C>
904,000 Repurchase agreement with State Street Bank & Trust
Company dated 7/3/95 at 6.00% to be repurchased at
$904,452 on 7/3/95 collateralized by $895,000.00 U.S.
Treasury Notes
6.875% due 3/31/97 with a value of $924,445............. 904,000
----------
Total Short-Term Investments (Identified Cost $904,000). 904,000
----------
Total Investments-110.1% (Identified Cost $3,562,381)(b) 3,648,455
Cash & Receivables...................................... 118,888
Liabilities............................................. (451,865)
----------
Total Net Assets-100%................................... $3,315,478
==========
(a)See Note 1A.
(b)Federal Tax Information: At June 30, 1995 the net unrealized appreciation on
investments based on cost
of $3,562,381 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in
which there is an excess of value over
tax cost...................................................... $ 90,297
Aggregate gross unrealized depreciation for all investments in
which there is an excess of tax cost
over value.................................................... (4,223)
----------
Net unrealized appreciation....................................... $ 86,074
==========
</TABLE>
See accompanying notes to financial statements.
90
<PAGE>
New England Zenith Fund
(Money Market Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Investments-98.4% of Total Net Assets
<TABLE>
<CAPTION>
FACE INTEREST MATURITY
VALUE DESCRIPTION RATE DATE VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
BANKERS ACCEPTANCE-2.7%
$1,000,000 First Union National Bank............ 6.140% 8/23/95 $ 990,961
1,219,635 State Street Bank & Trust............ 6.090 9/05/95 1,206,018
-----------
Total Bankers Acceptance ($2,196,979)................... 2,196,979
-----------
CERTIFICATE OF DEPOSIT-4.8%
1,000,000 Societe Generale..................... 6.010 7/18/95 1,000,004
1,000,000 Societe Generale..................... 6.020 7/24/95 999,994
1,000,000 Canadian Imperial Bank............... 5.980 8/24/95 1,000,000
1,000,000 Rabobank Nederland NV................ 6.660 2/27/96 998,738
-----------
Total Certificate of Deposit ($3,998,736)............... 3,998,736
-----------
COMMERCIAL PAPER-92.6%
AUTOMOTIVE-9.3%
1,300,000 Ford Motor Credit Corp............... 5.960 7/11/95 1,297,848
800,000 General Motors Acceptance Corp....... 5.970 7/17/95 797,877
1,400,000 Ford Motor Credit Corp............... 5.950 7/24/95 1,394,678
1,500,000 General Motors Acceptance Corp....... 5.990 7/27/95 1,493,511
250,000 General Motors Acceptance Corp....... 6.000 8/01/95 248,708
1,400,000 General Motors Acceptance Corp....... 6.050 8/08/95 1,391,059
1,000,000 Ford Motor Credit Corp............... 6.050 1/12/96 967,229
-----------
7,590,910
-----------
BANKING-20.1%
1,000,000 Banque Nationale de Paris............ 6.420 7/03/95 999,643
400,000 Deutsche Bank........................ 6.200 7/06/95 399,656
1,300,000 Societe Generale..................... 6.100 7/10/95 1,298,017
1,500,000 Canadian Imperial Holding, Inc....... 5.920 7/26/95 1,493,833
1,000,000 J.P. Morgan & Co., Inc............... 6.170 7/31/95 994,858
855,000 Commerzbank.......................... 5.950 8/04/95 850,195
1,145,000 Dresdner US Finance.................. 6.150 8/07/95 1,137,762
1,000,000 ABN Bank Canada...................... 5.910 8/09/95 993,598
1,000,000 Bank of Nova Scotia.................. 5.830 8/10/95 993,522
1,000,000 Canadian Imperial Holding, Inc....... 5.930 8/16/95 992,423
1,300,000 Toronto Dominion Holdings............ 6.120 9/18/95 1,282,541
1,000,000 Commerzbank.......................... 5.880 9/08/95 988,730
1,000,000 Norwest Corp......................... 5.880 9/28/95 985,463
1,000,000 Commerzbank.......................... 6.160 10/03/95 983,916
1,000,000 Dresdner US Finance.................. 6.060 11/01/95 979,295
1,000,000 Commerzbank.......................... 6.050 11/02/95 979,161
-----------
16,352,613
-----------
DRUGS-3.7%
315,000 American Home Products Corp.......... 5.970 7/07/95 314,687
1,000,000 American Home Products Corp.......... 5.980 7/19/95 997,010
1,000,000 American Home Products Corp.......... 5.950 8/03/95 994,546
705,000 American Home Products Corp.......... 5.960 8/09/95 700,448
-----------
3,006,691
-----------
</TABLE>
See accompanying notes to financial statements.
91
<PAGE>
New England Zenith Fund
(Money Market Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Investments-Continued
<TABLE>
<CAPTION>
FACE INTEREST MATURITY
VALUE DESCRIPTION RATE DATE VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
ELECTRICAL EQUIPMENT-3.0%
$1,800,000 General Electric Capital Corp. ...... 6.230% 7/06/95 $ 1,798,442
270,000 General Electric Capital Corp. ...... 5.950 8/31/95 267,278
400,000 General Electric Capital Corp. ...... 5.850 10/25/95 392,460
-----------
2,458,180
-----------
FINANCE-25.3%
1,000,000 Sears Roebuck Acceptance Corp........ 5.950 7/11/95 998,347
1,000,000 American Express Credit Corp......... 6.120 7/12/95 998,130
735,000 Beneficial Corp...................... 6.000 7/12/95 733,653
1,500,000 Transamerica Financial Group......... 5.960 7/13/95 1,497,020
1,000,000 American General Corp. .............. 6.040 7/14/95 997,819
965,000 Beneficial Corp...................... 5.940 7/20/95 961,975
645,000 American Express Credit Corp......... 6.080 7/25/95 642,386
1,050,000 Avco Financial Services, Inc. ....... 5.960 7/25/95 1,045,828
1,200,000 Sears Roebuck Acceptance Corp........ 5.980 7/26/95 1,195,017
1,000,000 Hanson Finance PLC................... 6.000 7/27/95 995,667
1,000,000 Avco Financial Services, Inc. ....... 5.960 7/31/95 995,033
1,310,000 Household Financial Corp............. 5.950 8/01/95 1,303,288
1,000,000 Transamerica Financial Group......... 6.250 8/03/95 994,271
1,000,000 Avco Financial Services, Inc. ....... 5.950 8/08/95 993,719
1,000,000 USAA Capital Corp. .................. 5.890 8/10/95 993,455
1,000,000 Sears Roebuck Acceptance Corp. ...... 5.950 8/11/95 993,224
1,690,000 USAA Capital Corp. .................. 5.950 8/21/95 1,675,755
1,000,000 American Express Credit Corp......... 5.870 10/06/95 984,184
300,000 Transamerica Financial Group......... 5.890 11/02/95 293,914
700,000 American Express Credit Corp. ....... 5.910 11/10/95 684,831
600,000 American Express Credit Corp......... 5.700 12/26/95 583,090
-----------
20,560,606
-----------
FOOD & TOBACCO-9.1%
2,000,000 BAT Capital Corp..................... 5.970 7/17/95 1,994,693
800,000 Philip Morris Companies, Inc......... 5.930 7/17/95 797,892
1,000,000 Philip Morris Companies, Inc......... 5.770 8/22/95 991,665
1,200,000 Philip Morris Companies, Inc......... 5.900 9/05/95 1,187,020
1,000,000 Pepsico, Inc......................... 6.410 10/31/95 978,277
500,000 Coca Cola Co......................... 6.050 1/11/96 483,699
1,000,000 Coca Cola Co......................... 6.100 1/11/96 967,128
-----------
7,400,374
-----------
INSURANCE-4.7%
1,300,000 Prudential Funding Corp.............. 5.950 7/05/95 1,329,121
1,275,000 Met Life Funding Corp................ 6.000 7/07/95 1,273,725
1,200,000 Prudential Funding Corp.............. 5.980 7/14/95 1,197,409
-----------
3,800,255
-----------
MANAGEMENT SERVICES-2.4%
1,000,000 PHH Corp. ........................... 5.870 7/12/95 998,206
965,000 PHH Corp. ........................... 5.960 7/28/95 960,686
-----------
1,958,892
-----------
</TABLE>
See accompanying notes to financial statements.
92
<PAGE>
New England Zenith Fund
(Money Market Series)
Investments as of June 30, 1995 (Unaudited)
- --------------------------------------------------------------------------------
Investments-Continued
<TABLE>
<CAPTION>
FACE INTEREST MATURITY
VALUE DESCRIPTION RATE DATE VALUE (a)
- --------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
POLLUTION CONTROL-2.4%
$1,045,000 WMX Technologies, Inc............... 6.300% 8/09/95 $ 1,037,868
918,000 WMX Technologies, Inc............... 6.280 9/12/95 906,310
-----------
1,944,178
-----------
SECURITIES-12.6%
500,000 Smith Barney, Inc................... 5.950 7/06/95 499,587
325,000 Merrill Lynch & Co.................. 5.960 7/07/95 324,677
1,200,000 Goldman Sachs Group................. 6.230 7/10/95 1,198,131
910,000 Merrill Lynch & Co.................. 5.950 7/13/95 908,195
865,000 Merrill Lynch & Co.................. 5.930 7/21/95 862,150
900,000 Merrill Lynch & Co.................. 5.970 7/24/95 896,567
2,000,000 Smith Barney, Inc................... 5.970 8/02/95 1,989,387
1,000,000 Smith Barney, Inc................... 5.940 8/04/95 994,390
1,000,000 Goldman Sachs Group................. 5.880 10/13/95 983,013
800,000 Goldman Sachs Group................. 5.840 11/14/95 782,350
790,000 Goldman Sachs Group................. 5.650 11/21/95 772,270
-----------
10,210,717
-----------
Total Commercial Paper (Cost $75,283,416).............. 75,283,416
-----------
Total Investments-100.1% (Cost $81,479,131) (b)........ 81,479,131
Cash and Receivables................................... 486,640
Liabilities............................................ (625,568)
-----------
Total Net Assets-100%.................................. $81,340,203
===========
</TABLE>
(a)See Note 1A.
(b)The aggregate cost for federal income tax purposes was $81,479,131.
See accompanying notes to financial statements.
93
<PAGE>
New England Zenith Fund
- --------------------------------------------------------------------------------
Statement of Assets and Liabilities
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
BOND CAPITAL MONEY STOCK AVANTI VALUE SMALL
INCOME GROWTH MARKET INDEX MANAGED GROWTH GROWTH CAP
------------ ------------ ----------- ----------- ------------ ----------- ----------- -----------
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
ASSETS
Investments at value
Securities.......... $141,551,456 $842,920,613 $81,479,131 $49,227,528 $134,369,836 $37,057,561 $33,029,861 $11,806,292
Repurchase
Agreements......... 0 0 0 1,014,000 0 0 960,000 2,690,000
------------ ------------ ----------- ----------- ------------ ----------- ----------- -----------
Total Investments.... 141,551,456 842,920,613 81,479,131 50,241,528 134,369,836 37,057,561 33,989,861 14,496,292
------------ ------------ ----------- ----------- ------------ ----------- ----------- -----------
Cash................. 9,414 537,766 3,643 128 3,243 0 544 3,607
Receivable for:
Shares of the Fund
sold............... 144,869 534,121 440,211 53,537 41,557 46,980 82,142 85,263
Securities sold..... 0 30,170,243 0 160,669 0 0 0 49,856
Dividends and
Interest........... 2,697,766 1,286,895 42,786 108,181 1,254,077 33,211 59,598 8,819
Withholding Tax..... 0 0 0 1,997 3,059 0 0 0
Receivable due from
advisor............. 0 0 0 12,436 0 13,656 16,855 0
------------ ------------ ----------- ----------- ------------ ----------- ----------- -----------
144,403,505 875,449,638 81,965,771 50,578,476 135,671,772 37,151,408 34,149,000 14,643,837
------------ ------------ ----------- ----------- ------------ ----------- ----------- -----------
LIABILITIES
Payable for:
Securities
purchased.......... 0 29,346,000 0 769,864 0 161,326 0 358,274
Shares of the Fund
redeemed........... 172,967 538,111 184,072 11,022 114,260 10,457 3,078 1,516
Dividends declared.. 0 0 358,826 0 0 0 0 0
Accrued expenses:
Management fees..... 21,567 435,240 21,395 4,023 31,356 15,234 14,617 2,519
Deferred trustees'
fees............... 31,460 41,029 23,792 29,075 26,703 681 680 0
Other expenses...... 78,196 122,354 37,483 22,917 72,782 20,403 23,553 0
------------ ------------ ----------- ----------- ------------ ----------- ----------- -----------
304,190 30,482,734 625,568 836,901 245,101 208,101 41,928 362,309
------------ ------------ ----------- ----------- ------------ ----------- ----------- -----------
NET ASSETS........... $144,099,315 $844,966,904 $81,340,203 $49,741,575 $135,426,671 $36,943,307 $34,107,072 $14,281,528
============ ============ =========== =========== ============ =========== =========== ===========
Net Assets consist
of:
Capital paid in..... $138,633,629 $648,737,327 $81,340,203 $39,765,752 $110,340,704 $30,513,320 $28,627,896 $13,342,996
Undistributed net
investment income.. 4,959,902 3,770,603 0 510,889 2,732,399 95,473 232,422 48,869
Accumulated net
realized gains
(losses)........... (2,220,426) 27,616,659 0 453,828 (10,882) 9,151 (545,375) 185,612
Unrealized
appreciation
(depreciation) on
investments,
options and
futures............ 2,726,210 164,842,315 0 9,011,106 22,364,450 6,325,363 5,792,129 704,051
------------ ------------ ----------- ----------- ------------ ----------- ----------- -----------
NET ASSETS........... $144,099,315 $844,966,904 $81,340,203 $49,741,575 $135,426,671 $36,943,307 $34,107,072 $14,281,528
============ ============ =========== =========== ============ =========== =========== ===========
Shares of beneficial
interest
outstanding, no par
value............... 1,334,260 2,121,401 813,402 549,979 889,733 273,134 259,601 133,061
============ ============ =========== =========== ============ =========== =========== ===========
Computation of
offering price:
Net asset value and
redemption price per
share
(Net assets/Shares of
beneficial interest
outstanding)........ $ 108.00 $ 398.31 $ 100.00 $ 90.44 $ 152.21 $ 135.26 $ 131.38 $ 107.33
============ ============ =========== =========== ============ =========== =========== ===========
Identified cost of
investments......... $138,825,644 $678,078,298 $81,479,131 $41,230,422 $112,005,475 $30,732,198 $28,197,732 $13,792,241
============ ============ =========== =========== ============ =========== =========== ===========
</TABLE>
See accompanying notes to financial statements.
94
<PAGE>
New England Zenith Fund
- --------------------------------------------------------------------------------
Statement of Assets and Liabilities--Continued
June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
INTERNATIONAL STRATEGIC BOND
BALANCED EQUITY U.S. GOVERNMENT OPPORTUNITIES VENTURE VALUE EQUITY GROWTH
SERIES SERIES SERIES SERIES SERIES SERIES
---------- ------------- --------------- -------------- ------------- -------------
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
ASSETS
Investments at value
Securities............. $8,576,873 $ 8,829,796 $2,744,455 $4,510,769 $16,373,245 $19,386,764
Repurchase Agreements.. 328,000 815,000 904,000 419,000 765,000 0
---------- ----------- ---------- ---------- ----------- -----------
Total Investments....... 8,904,873 9,644,796 3,648,455 4,929,769 17,138,245 19,386,764
---------- ----------- ---------- ---------- ----------- -----------
Cash.................... 495 2,415 206 550 2,110 0
Foreign currency at
value.................. 0 243,519 0 0 0 0
Receivable for:
Shares of the Fund
sold.................. 15,809 24,247 40,055 18,101 33,675 45,106
Securities sold........ 101,725 220,239 0 0 141,659 0
Foreign currency sold.. 0 225,864 0 2,276 0 0
Foreign exchange
contracts............. 0 0 0 758,406 0 0
Dividends and interest. 82,295 48,170 41,229 105,256 30,520 12,652
Unamortized organization
expenses............... 8,719 8,719 8,719 8,719 8,719 8,719
Receivable due from
advisor................ 29,835 36,762 28,679 26,557 29,054 23,103
---------- ----------- ---------- ---------- ----------- -----------
9,143,751 10,454,731 3,767,343 5,849,634 17,383,982 19,476,344
---------- ----------- ---------- ---------- ----------- -----------
LIABILITIES
Payable for:
Securities purchased... 139,745 601,673 436,072 0 393,560 631,786
Foreign currency
purchased............. 0 226,203 0 2,281 0 0
Foreign exchange
contracts............. 0 0 0 764,664 0
Shares of the Fund
redeemed.............. 6,298 11,007 0 30,920 3,553 30,137
Foreign taxes.......... 0 5,944 0 305 0 158
Accrued expenses:
Management fees........ 3,321 5,718 489 1,375 5,815 6,359
Deferred trustees'
fees.................. 128 127 128 127 128 127
Other expenses......... 17,874 24,452 15,176 15,748 24,101 18,293
---------- ----------- ---------- ---------- ----------- -----------
167,366 875,124 451,865 815,420 427,157 686,860
---------- ----------- ---------- ---------- ----------- -----------
$8,976,385 $ 9,579,607 $3,315,478 $5,034,214 $16,956,825 $18,789,484
========== =========== ========== ========== =========== ===========
NET ASSETS
Net Assets consist of:
Capital paid in........ $8,212,372 $ 9,382,882 $3,133,046 $4,655,247 $15,055,098 $16,194,492
Undistributed/(in
excess) net investment
income................ 118,378 92,406 65,912 171,975 76,914 20,212
Accumulated net
realized gains
(losses).............. 70,407 (43,964) 30,446 34,134 37,677 470,653
Unrealized appreciation
(depreciation) on
investments, options
and futures........... 575,228 148,283 86,074 172,858 1,787,136 2,104,127
---------- ----------- ---------- ---------- ----------- -----------
NET ASSETS.............. $8,976,385 $ 9,579,607 $3,315,478 $5,034,214 $16,956,825 $18,789,484
========== =========== ========== ========== =========== ===========
Shares of beneficial
interest outstanding,
no par value........... 780,034 929,721 304,229 460,066 1,435,390 1,484,355
========== =========== ========== ========== =========== ===========
Computation of offering
price:
Net asset value and
redemption price per
share
(Net assets / Shares of
beneficial interest
outstanding)........... $ 11.51 $ 10.30 $ 10.90 $ 10.94 $ 11.81 $ 12.66
========== =========== ========== ========== =========== ===========
Identified cost of
investments............ $8,329,645 $ 9,499,409 $3,562,381 $4,750,688 $15,351,109 $17,282,637
========== =========== ========== ========== =========== ===========
</TABLE>
See accompanying notes to financial statements.
95
<PAGE>
New England Zenith Fund
- --------------------------------------------------------------------------------
Statement of Operations
For the Six Months Ended June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
BOND CAPITAL MONEY STOCK AVANTI VALUE SMALL
INCOME GROWTH MARKET INDEX MANAGED GROWTH GROWTH CAP
----------- ------------ ---------- ---------- ----------- ---------- ---------- --------
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends............... $ 5,982,181 $ 566,594 $ 1,224,551 $ 163,691 $ 311,820 $ 28,533
Interest................ $ 5,328,412 48,273 $2,286,274 30,038 1,922,703 59,445 38,631 63,679
----------- ------------ ---------- ---------- ----------- ---------- ---------- --------
5,328,412 6,030,454 2,286,274 596,632 3,147,254 223,136 350,451 92,212
----------- ------------ ---------- ---------- ----------- ---------- ---------- --------
EXPENSES
Management fees......... 268,007 2,341,174 129,404 53,587 320,278 105,131 97,196 43,342
Trustees' fees and
expenses............... 14,524 16,650 11,748 9,000 14,515 8,979 8,974 8,953
Custodian fees.......... 35,579 67,573 25,882 35,865 30,691 33,372 29,419 38,901
Audit................... 8,893 8,893 5,392 5,459 8,892 4,958 4,958 4,870
Legal................... 6,078 3,958 6,078 6,078 6,078 6,230 6,230 7,862
Printing................ 30,950 87,413 12,358 9,703 27,962 8,645 8,510 1,609
Miscellaneous........... 6,326 12,929 1,005 5,452 6,524 1,440 4,189 1,662
----------- ------------ ---------- ---------- ----------- ---------- ---------- --------
370,357 2,538,590 191,867 125,144 414,940 168,755 159,476 107,199
Less expenses assumed by
the investment adviser. (1,847) 0 (6,999) (39,401) 0 (41,092) (41,447) (63,856)
----------- ------------ ---------- ---------- ----------- ---------- ---------- --------
NET INVESTMENT INCOME... 4,959,902 3,491,864 2,101,406 510,889 2,732,314 95,473 232,422 48,869
----------- ------------ ---------- ---------- ----------- ---------- ---------- --------
REALIZED AND UNREALIZED
GAIN (LOSS) ON
INVESTMENTS, FUTURES
CONTRACTS AND FOREIGN
CURRENCY TRANSACTIONS
Realized gain (loss)
on:
Investments-net........ 74,268 27,616,659 0 587,753 1,095,415 438,999 88,643 187,466
Futures Contracts-net.. 0 0 0 0 84,750 0 0 0
Foreign Currency
transactions-net...... 639 0 0 0 (1,210) 0 0 0
----------- ------------ ---------- ---------- ----------- ---------- ---------- --------
Total realized gain
(loss) on investments,
futures contracts and
foreign currency
transactions........... 74,907 27,616,659 0 587,753 1,178,955 438,999 88,643 187,466
----------- ------------ ---------- ---------- ----------- ---------- ---------- --------
Unrealized appreciation
(depreciation) on:
Investments--net....... 11,560,588 152,701,833 0 6,788,066 16,163,947 5,177,818 5,049,111 745,422
Foreign Currency
transactions-net....... 4,070 0 0 0 89 0 0 0
----------- ------------ ---------- ---------- ----------- ---------- ---------- --------
Total unrealized
appreciation
(depreciation) on
investments and foreign
currency transactions.. 11,564,658 152,701,833 0 6,788,066 16,164,036 5,177,818 5,049,111 745,422
----------- ------------ ---------- ---------- ----------- ---------- ---------- --------
Net gain (loss) on
investments, futures
contracts and foreign
currency transactions.. 11,639,565 180,318,492 0 7,375,819 17,342,991 5,616,817 5,137,754 932,888
----------- ------------ ---------- ---------- ----------- ---------- ---------- --------
NET INCREASE (DECREASE)
IN NET ASSETS FROM
OPERATIONS............. $16,599,467 $183,810,356 $2,101,406 $7,886,708 $20,075,305 $5,712,290 $5,370,176 $981,757
=========== ============ ========== ========== =========== ========== ========== ========
</TABLE>
See accompanying notes to financial statements.
96
<PAGE>
New England Zenith Fund
- --------------------------------------------------------------------------------
Statement of Operations--Continued
For the Six Months Ended June 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
INTERNATIONAL STRATEGIC BOND
BALANCED EQUITY U.S. GOVERNMENT OPPORTUNITIES VENTURE VALUE EQUITY GROWTH
SERIES SERIES SERIES SERIES SERIES SERIES
-------- ------------- --------------- -------------- ------------- -------------
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends............... $ 33,551 $ 93,415* $ 93,859 $ 26,861
Interest................ 106,017 40,575 $ 73,471 $188,465 25,670 31,148
-------- --------- -------- -------- ---------- ----------
139,568 133,990 73,471 188,465 119,529 58,009
-------- --------- -------- -------- ---------- ----------
EXPENSES
Management fees......... 17,658 28,787 5,940 12,611 35,512 31,127
Trustees' fees and
expenses............... 8,955 8,954 8,954 8,956 8,955 8,953
Custodian fees.......... 23,481 53,539 18,000 18,534 39,395 26,302
Audit................... 11,581 11,581 11,581 11,581 11,581 11,581
Legal................... 6,728 6,728 6,728 6,728 6,728 6,728
Printing................ 570 1,818 204 455 1,647 1,032
Registration............ 7 7 7 7 7 7
Organization............ 1,333 1,333 1,333 1,333 1,333 1,333
Miscellaneous........... 887 887 886 889 867 886
-------- --------- -------- -------- ---------- ----------
71,200 113,634 53,633 61,094 106,025 87,949
Less expenses assumed by
investment adviser..... (49,758) (72,050) (46,074) (44,604) (63,410) (50,152)
-------- --------- -------- -------- ---------- ----------
NET INVESTMENT INCOME... 118,126 92,406 65,912 171,975 76,914 20,212
-------- --------- -------- -------- ---------- ----------
REALIZED AND UNREALIZED
GAIN (LOSS) ON
INVESTMENTS, FUTURES
CONTRACTS AND
FOREIGN CURRENCY
TRANSACTIONS
Realized gain (loss)
on:
Investments-net........ 70,407 (139,843) 36,693 67,655 37,677 478,591
Foreign Currency
transactions-net...... 0 96,202 0 2,639 0 0
-------- --------- -------- -------- ---------- ----------
Total realized gain
(loss) on investments,
futures contracts and
foreign currency
transactions........... 70,407 (43,641) 36,693 70,294 37,677 478,591
-------- --------- -------- -------- ---------- ----------
Unrealized appreciation
(depreciation) on
investments-net........ 577,063 89,772 87,170 227,456 1,810,478 2,182,743
-------- --------- -------- -------- ---------- ----------
Net gain (loss) on
investments, futures
contracts and foreign
currency transactions.. 647,470 46,131 123,863 297,750 1,848,155 2,661,334
-------- --------- -------- -------- ---------- ----------
NET INCREASE (DECREASE)
IN NET ASSETS
FROM OPERATIONS........ $765,596 $ 138,537 $189,775 $469,725 $1,925,069 $2,681,546
======== ========= ======== ======== ========== ==========
</TABLE>
* Net of foreign withholding tax of $12,839.
See accompanying notes to financial statements.
97
<PAGE>
New England Zenith Fund
- --------------------------------------------------------------------------------
Statement of Changes in Net Assets (Unaudited)
<TABLE>
<CAPTION>
BOND INCOME CAPITAL GROWTH
---------------------------- -----------------------------
YEAR ENDED SIX MONTHS YEAR ENDED SIX MONTHS
DECEMBER 31, ENDED JUNE 30, DECEMBER 31, ENDED JUNE 30,
1994 1995 1994 1995
------------ -------------- ------------- --------------
- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income... $ 8,708,335 $ 4,959,902 $ 10,848,989 $ 3,491,864
Net realized gain (loss)
on investments and
foreign currency
transactions........... (2,245,611) 74,907 18,279,890 27,616,659
Unrealized appreciation
(depreciation) on
investments and foreign
currency transactions.. (10,925,944) 11,564,658 (79,261,045) 152,701,833
------------ ------------ ------------- -------------
Increase (decrease) in
net assets from
operations............. (4,463,220) 16,599,467 (50,132,166) 183,810,356
------------ ------------ ------------- -------------
FROM DISTRIBUTIONS TO
SHAREHOLDERS
Net investment income... (8,697,370) 0 (10,566,409) 0
In excess of net
investment income...... (6,472) 0 0 0
Net realized gain on
investments............ 0 0 (19,094,533) 0
------------ ------------ ------------- -------------
(8,703,842) 0 (29,660,942) 0
------------ ------------ ------------- -------------
FROM CAPITAL SHARES
TRANSACTIONS
Proceeds from the sale
of shares.............. 50,909,294 20,910,329 265,969,106 102,166,425
Net asset value of
shares issued in
connection with the
reinvestment of:
Distributions from net
investment income..... 8,703,842 0 10,556,416 0
Distributions from net
realized gain......... 0 0 18,284,122 0
------------ ------------ ------------- -------------
59,613,136 20,910,329 294,809,644 102,166,425
Cost of shares redeemed. (51,454,492) (19,644,098) (192,273,754) (108,136,578)
------------ ------------ ------------- -------------
Increase (decrease) in
net assets derived from
capital share
transactions........... 8,158,644 1,266,231 102,535,890 (5,970,153)
------------ ------------ ------------- -------------
Total increase
(decrease) in net
assets................. (5,008,418) 17,865,698 22,742,782 177,840,203
NET ASSETS
Beginning of the period. 131,242,035 126,233,617 644,383,919 667,126,701
------------ ------------ ------------- -------------
End of the period....... $126,233,617 $144,099,315 $ 667,126,701 $ 844,966,904
============ ============ ============= =============
UNDISTRIBUTED NET
INVESTMENT INCOME
Beginning of the period. $ 0 $ 0 ($1,766) $ 278,739
============ ============ ============= =============
End of the period....... $ 0 $ 4,959,902 $ 278,739 $ 3,770,603
============ ============ ============= =============
NUMBER OF SHARES OF THE
FUND:
Issued from the sale of
shares................. 493,361 206,276 773,701 301,977
Issued in connection
with the reinvestment
of:
Distributions from net
investment income..... 90,987 0 33,768 0
Distributions from net
realized gain......... 0 0 58,487 0
------------ ------------ ------------- -------------
584,348 206,276 865,956 301,977
Redeemed................ (499,476) (193,379) (562,304) (316,783)
------------ ------------ ------------- -------------
Net change.............. 84,872 12,897 303,652 (14,806)
============ ============ ============= =============
</TABLE>
See accompanying notes to financial statements.
98
<PAGE>
New England Zenith Fund
- --------------------------------------------------------------------------------
Statement of Changes in Net Assets (Unaudited)-Continued
<TABLE>
<CAPTION>
MONEY MARKET STOCK INDEX
----------------------------- ----------------------------
YEAR ENDED SIX MONTHS YEAR ENDED SIX MONTHS
DECEMBER 31, ENDED JUNE 30, DECEMBER 31, ENDED JUNE 30,
1994 1995 1994 1995
------------- -------------- ------------ --------------
- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income... $ 2,614,216 $ 2,101,406 $ 861,746 $ 510,889
Net realized gain (loss)
on investments and
foreign currency
transactions........... 0 0 85,627 587,753
Unrealized appreciation
(depreciation) on
investments and foreign
currency transactions.. 0 0 (489,644) 6,788,066
------------- ------------ ------------ -----------
Increase (decrease) in
net assets from
operations............. 2,614,216 2,101,406 457,729 7,886,708
------------- ------------ ------------ -----------
FROM DISTRIBUTIONS TO
SHAREHOLDERS
Net investment income... (2,614,206) (2,101,406) (861,687) 0
Net realized gain on
investments............ 0 0 (74,418) 0
Paid in capital......... 0 0 (28,861) 0
------------- ------------ ------------ -----------
(2,614,206) (2,101,406) (964,966) 0
------------- ------------ ------------ -----------
FROM CAPITAL SHARES
TRANSACTIONS
Proceeds from the sale
of shares.............. 149,478,320 67,378,860 18,433,352 10,020,630
Net asset value of
shares issued in
connection with he
reinvestment of:
Distributions from net
investment income..... 2,445,979 2,054,214 861,687 0
Distributions from net
realized gain......... 0 0 74,418 0
Distributions from paid
in capital............ 0 0 28,861 0
------------- ------------ ------------ -----------
151,924,299 69,433,074 19,398,318 10,020,630
Cost of shares redeemed. (137,007,701) (62,053,274) (10,543,643) (5,330,051)
------------- ------------ ------------ -----------
Increase (decrease) in
net assets derived from
capital share
transactions........... 14,916,598 7,379,800 8,854,675 4,690,579
------------- ------------ ------------ -----------
Total increase
(decrease) in net
assets................. 14,916,608 7,379,800 8,347,438 12,577,287
NET ASSETS
Beginning of the period. 59,043,795 73,960,403 28,816,850 37,164,288
------------- ------------ ------------ -----------
End of the period....... $ 73,960,403 $ 81,340,203 $ 37,164,288 $49,741,575
============= ============ ============ ===========
UNDISTRIBUTED NET
INVESTMENT INCOME
Beginning of the period. $ 0 $ 0 $ (2,244) $ 0
============= ============ ============ ===========
End of the period....... $ 0 $ 0 $ 0 $ 510,889
============= ============ ============ ===========
NUMBER OF SHARES OF THE
FUND:
Issued from the sale of
shares................. 1,494,783 673,789 324,734 121,378
Issued in connection
with the reinvestment
of:
Distributions from net
investment income..... 24,460 20,542 7,275 0
Distributions from net
realized gain......... 0 0 4,176 0
Distributions from paid
in capital............
------------- ------------ ------------ -----------
1,519,243 694,331 336,185 121,378
Redeemed................ (1,370,077) (620,533) (100,656) (64,644)
============= ============ ============ ===========
Net change.............. 149,166 73,798 235,529 56,734
============= ============ ============ ===========
</TABLE>
See accompanying notes to financial statements.
99
<PAGE>
New England Zenith Fund
- --------------------------------------------------------------------------------
Statement of Changes in Net Assets (Unaudited)-Continued
<TABLE>
<CAPTION>
MANAGED AVANTI GROWTH
---------------------------- ----------------------------
YEAR ENDED SIX MONTHS YEAR ENDED SIX MONTHS
DECEMBER 31, ENDED JUNE 30, DECEMBER 31, ENDED JUNE 30,
1994 1995 1994 1995
------------ -------------- ------------ --------------
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income... $ 4,885,826 $ 2,732,314 $ 133,225 $ 95,473
Net realized gain (loss)
on investments and
foreign currency
transactions........... (1,227,890) 1,178,955 (429,848) 438,999
Unrealized appreciation
(depreciation) on
investments and foreign
currency transactions.. (4,971,428) 16,164,036 522,519 5,177,818
------------ ------------ ------------ -----------
Increase (decrease) in
net assets from
operations............. (1,313,492) 20,075,305 225,896 5,712,290
------------ ------------ ------------ -----------
FROM DISTRIBUTIONS TO
SHAREHOLDERS
Net investment income... (4,847,688) 0 (133,225) 0
In excess of net
investment income...... 0 0 (1,266) 0
------------ ------------ ------------ -----------
(4,847,688) 0 (134,491) 0
------------ ------------ ------------ -----------
FROM CAPITAL SHARES
TRANSACTIONS
Proceeds from sale of
shares................. 38,433,190 12,579,098 24,276,118 10,487,560
Net asset value of
shares issued in
connection with
reinvestment of:
Distributions from net
investment income..... 4,847,688 0 134,491 0
------------ ------------ ------------ -----------
43,280,878 12,579,098 24,410,609 10,487,560
Cost of shares redeemed. (36,581,093) (19,105,064) (10,852,176) (4,878,803)
------------ ------------ ------------ -----------
Increase (decrease) in
net assets derived from
capital share
transactions........... 6,699,785 (6,525,966) 13,558,433 5,608,757
------------ ------------ ------------ -----------
Total increase
(decrease) in net
assets................. 538,605 13,549,339 13,649,838 11,321,047
NET ASSETS
Beginning of the period. 121,338,727 121,877,332 11,972,422 25,622,260
------------ ------------ ------------ -----------
End of the period....... $121,877,332 $135,426,671 $ 25,622,260 $36,943,307
============ ============ ============ ===========
UNDISTRIBUTED NET
INVESTMENT INCOME
Beginning of the period. $ 6,388 $ 44,585 $ 0 $ 0
============ ============ ============ ===========
End of the period....... $ 44,526 $ 2,732,399 $ 0 $ 95,473
============ ============ ============ ===========
NUMBER OF SHARES OF THE
FUND:
Issued from the sale of
shares................. 285,556 90,196 219,339 85,998
Issued in connection
with the reinvestment
of:
Distributions from net
investment income..... 37,014 0 1,197 0
------------ ------------ ------------ -----------
322,570 90,196 220,536 85,998
Redeemed................ (271,720) (135,858) (98,649) (40,074)
------------ ------------ ------------ -----------
Net change.............. 50,850 (45,662) 121,887 45,924
============ ============ ============ ===========
</TABLE>
See accompanying notes to financial statements.
100
<PAGE>
New England Zenith Fund
- --------------------------------------------------------------------------------
Statement of Changes in Net Assets (Unaudited)-Continued
<TABLE>
<CAPTION>
VALUE GROWTH SMALL CAP
---------------------------- -----------------------------
FOR THE PERIOD
MAY 1, 1994(a)
YEAR ENDED SIX MONTHS THROUGH SIX MONTHS
DECEMBER 31, ENDED JUNE 30, DECEMBER 31, ENDED JUNE 30,
1994 1995 1994 1995
------------ -------------- -------------- --------------
- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income... $ 387,990 $ 232,422 $ 4,483 $ 48,869
Net realized gain (loss)
on investments and
foreign currency
transactions........... (633,620) 88,643 455 187,466
Unrealized appreciation
(depreciation) on
investments and foreign
currency transactions.. 298,917 5,049,111 (41,371) 745,422
----------- ----------- ----------- -----------
Increase (decrease) in
net assets from
operations............. 53,287 5,370,176 (36,433) 981,757
----------- ----------- ----------- -----------
FROM DISTRIBUTIONS TO
SHAREHOLDERS
Net investment income... (387,990) 0 (4,709) 0
Paid in capital......... (9,110) 0 0 0
----------- ----------- ----------- -----------
(397,100) 0 (4,709) 0
----------- ----------- ----------- -----------
FROM CAPITAL SHARES
TRANSACTIONS
Proceeds from sale of
shares................. 23,191,269 9,271,190 5,264,621 12,334,105
Net asset value of
shares issued in
connection with
reinvestment of:
Distributions from net
investment income..... 387,990 0 4,709 0
Distributions from paid
in capital............ 9,110 0 0 0
----------- ----------- ----------- -----------
23,588,369 9,271,190 5,269,330 12,334,105
Cost of shares redeemed. (9,392,660) (3,468,456) (2,123,311) (2,139,211)
----------- ----------- ----------- -----------
Increase (decrease) in
net assets derived from
capital share
transactions........... 14,195,709 5,802,734 3,146,019 10,194,894
----------- ----------- ----------- -----------
Total increase
(decrease) in net
assets................. 13,851,896 11,172,910 3,104,877 11,176,651
NET ASSETS
Beginning of the period. 9,082,266 22,934,162 0 3,104,877
----------- ----------- ----------- -----------
End of the period....... $22,934,162 $34,107,072 $ 3,104,877 $14,281,528
=========== =========== =========== ===========
UNDISTRIBUTED NET
INVESTMENT INCOME
Beginning of the period. $ (315) $ 0 $ 0 $ 0
=========== =========== =========== ===========
End of the period....... $ (9,425) $ 232,422 $ 0 $ 48,869
=========== =========== =========== ===========
NUMBER OF SHARES OF THE
FUND:
Issued from the sale of
shares................. 212,075 78,417 95,218 121,943
Issued in connection
with the reinvestment
of:
Distributions from net
investment income..... 3,558 0 49 0
Distributions from paid
in capital............ 73 0 0 0
----------- ----------- ----------- -----------
215,706 78,417 95,267 121,943
Redeemed................ (86,227) (29,154) (63,128) (21,021)
----------- ----------- ----------- -----------
Net change.............. 129,479 49,263 32,139 100,922
=========== =========== =========== ===========
</TABLE>
- --------
(a) Commencement of Operations
See accompanying notes to financial statements.
101
<PAGE>
New England Zenith Fund
- --------------------------------------------------------------------------------
Statement of Changes in Net Assets (Unaudited)-Continued
<TABLE>
<CAPTION>
INTERNATIONAL
BALANCED SERIES EQUITY SERIES
---------------------------------- ----------------------------------
FOR THE PERIOD FOR THE PERIOD
OCTOBER 31, 1994(a) SIX MONTHS OCTOBER 31, 1994(a) SIX MONTHS
THROUGH ENDED JUNE 30, THROUGH ENDED JUNE 30,
DECEMBER 31, 1994 1995 DECEMBER 31, 1994 1995
------------------- -------------- ------------------- --------------
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income... $ 12,585 $ 118,126 $ 7,643 $ 92,406
Net realized gain (loss)
on investments and
foreign currency
transactions........... 0 70,407 (2,176) (43,641)
Unrealized appreciation
(depreciation) on
investments and foreign
currency transactions.. (1,836) 577,063 58,511 89,772
---------- ----------- ----------- -----------
Increase (decrease) in
net assets from
operations............. 10,749 765,596 63,978 138,537
---------- ----------- ----------- -----------
FROM DISTRIBUTIONS TO
SHAREHOLDERS
Net investment income... (12,334) 0 (5,791) 0
Paid-in Capital......... 0 0 (2,628) 0
---------- ----------- ----------- -----------
(12,334) 0 (8,419) 0
---------- ----------- ----------- -----------
FROM CAPITAL SHARES
TRANSACTIONS
Proceeds from the sale
of shares.............. 2,157,989 7,204,251 3,566,918 8,057,641
Net asset value of
shares issued in
connection with the
reinvestment of:
Distributions from net
investment income..... 12,335 0 5,791 0
Distributions from
Paid-in Capital....... 0 0 2,628 0
---------- ----------- ----------- -----------
2,170,324 7,204,251 3,575,337 8,057,641
Cost of shares redeemed. (446,397) (1,715,804) (1,641,679) (1,605,788)
---------- ----------- ----------- -----------
Increase (decrease) in
net assets derived from
capital share
transactions........... 1,723,927 5,488,447 1,933,658 6,451,853
---------- ----------- ----------- -----------
Total increase in net
assets................. 1,722,342 6,254,043 1,989,217 6,590,390
NET ASSETS
Beginning of the period. 1,000,000 2,722,342 1,000,000 2,989,217
---------- ----------- ----------- -----------
End of the period....... $2,722,342 $ 8,976,385 $ 2,989,217 $ 9,579,607
========== =========== =========== ===========
UNDISTRIBUTED NET
INVESTMENT INCOME
Beginning of the period. $ 0 $ 251 $ 0 $ 0
========== =========== =========== ===========
End of the period....... $ 251 $ 118,378 $ 0 $ 92,406
========== =========== =========== ===========
NUMBER OF SHARES OF THE
FUND:
Issued from the sale of
shares................. 217,577 669,026 355,009 794,428
Issued in connection
with the reinvestment
of:
Distributions from net
investment income..... 1,242 0 571 0
Distributions from net
Paid-in Capital....... 0 0 257 0
---------- ----------- ----------- -----------
218,819 669,026 355,837 794,428
Redeemed................ (44,926) (162,886) (163,731) (156,813)
---------- ----------- ----------- -----------
Net change.............. 173,893 506,140 192,106 637,615
========== =========== =========== ===========
</TABLE>
(a) Commencement of Operations
See accompanying notes to financial statements.
102
<PAGE>
New England Zenith Fund
- --------------------------------------------------------------------------------
Statement of Changes in Net Assets (Unaudited)-Continued
<TABLE>
<CAPTION>
STRATEGIC BOND
U.S. GOVERNMENT OPPORTUNITIES
SERIES SERIES
---------------------------------- ----------------------------------
FOR THE PERIOD FOR THE PERIOD
OCTOBER 31, 1994(a) SIX MONTHS OCTOBER 31, 1994(a) SIX MONTHS
THROUGH ENDED JUNE 30, THROUGH ENDED JUNE 30,
DECEMBER 31, 1994 1995 DECEMBER 31, 1994 1995
------------------- -------------- ------------------- --------------
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income... $ 19,034 $ 65,912 $ 40,922 $ 171,975
Net realized gain (loss)
on investments and
foreign currency
transactions........... (6,247) 36,693 (36,161) 70,294
Unrealized appreciation
(depreciation) on
investments and foreign
currency transactions.. (1,096) 87,170 (54,596) 227,456
----------- ----------- ----------- -----------
Increase (decrease)in
net assets from
operations............. 11,691 189,775 (49,835) 469,725
----------- ----------- ----------- -----------
FROM DISTRIBUTIONS TO
SHAREHOLDERS
Net investment income... (19,034) 0 (40,922) 0
In excess of net
investment income...... (966) 0 (1,078) 0
----------- ----------- ----------- -----------
(20,000) 0 (42,000) 0
----------- ----------- ----------- -----------
FROM CAPITAL SHARES
TRANSACTIONS
Proceeds from the sale
of shares.............. 1,051,370 2,354,096 1,060,215 4,398,699
Net asset value of
shares issued in
connection with the
reinvestment of:
Distributions from net
investment income..... 20,000 0 42,000 0
----------- ----------- ----------- -----------
1,071,370 2,354,096 1,102,215 4,398,699
Cost of shares redeemed. (1,051,370) (1,240,084) (1,060,215) (3,284,375)
----------- ----------- ----------- -----------
Increase (decrease) in
net assets derived from
capital share
transactions........... 20,000 1,114,012 42,000 1,114,324
----------- ----------- ----------- -----------
Total increase
(decrease) in net
assets................. 11,691 1,303,787 (49,835) 1,584,049
NET ASSETS
Beginning of the period. 2,000,000 2,011,691 3,500,000 3,450,165
----------- ----------- ----------- -----------
End of the period....... $ 2,011,691 $ 3,315,478 $ 3,450,165 $ 5,034,214
=========== =========== =========== ===========
UNDISTRIBUTED NET
INVESTMENT INCOME
Beginning of the period. $ 0 $ 0 $ 0 $ 0
=========== =========== =========== ===========
End of the period....... $ 0 $ 65,912 $ 0 $ 171,975
=========== =========== =========== ===========
NUMBER OF SHARES OF THE
FUND:
Issued from the sale of
shares................. 111,982 221,437 106,727 429,926
Issued in connection
with the reinvestment
of:
Distributions from net
investment income..... 2,008 0 4,325 0
----------- ----------- ----------- -----------
113,990 221,437 111,052 429,926
Redeemed................ (111,982) (119,216) (106,727) (324,184)
----------- ----------- ----------- -----------
Net change.............. 2,008 102,221 4,325 105,742
=========== =========== =========== ===========
</TABLE>
(a) Commencement of Operations
See accompanying notes to financial statements.
103
<PAGE>
New England Zenith Fund
- --------------------------------------------------------------------------------
Statement of Changes in Net Assets (Unaudited)-Continued
<TABLE>
<CAPTION>
VENTURE VALUE EQUITY GROWTH
SERIES SERIES
---------------------------------- ----------------------------------
FOR THE PERIOD FOR THE PERIOD
OCTOBER 31, 1994(a) SIX MONTHS OCTOBER 31, 1994(a) SIX MONTHS
THROUGH ENDED JUNE 30, THROUGH ENDED JUNE 30,
DECEMBER 31, 1994 1995 DECEMBER 31 1994 1995
------------------- -------------- ------------------- --------------
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
FROM OPERATIONS
Net investment income... $ 8,452 $ 76,914 $ 3,467 $ 20,212
Net realized gain (loss)
on investments and
foreign currency
transactions........... 0 37,677 (7,937) 478,591
Unrealized appreciation
(depreciation) on
investments and foreign
currency transactions.. (23,343) 1,810,478 (78,617) 2,182,743
----------- ----------- ----------- -----------
Increase (decrease) in
net assets from
operations............. (14,891) 1,925,069 (83,087) 2,681,546
----------- ----------- ----------- -----------
FROM DISTRIBUTIONS TO
SHAREHOLDERS
Net investment income... (8,452) 0 (3,466) 0
In excess of net
investment income...... (1,456) 0 (534) 0
----------- ----------- ----------- -----------
(9,908) 0 (4,000) 0
----------- ----------- ----------- -----------
FROM CAPITAL SHARES
TRANSACTIONS
Proceeds from sale of
shares................. 3,821,298 12,729,086 1,872,491 16,177,247
Net asset value of
shares issued in
connection with
reinvestment of:
Distributions from net
investment income..... 9,908 0 4,000 0
----------- ----------- ----------- -----------
3,831,206 12,729,086 1,876,491 16,177,247
Cost of shares redeemed. (1,434,963) (1,068,774) (1,872,491) (1,986,222)
----------- ----------- ----------- -----------
Increase (decrease) in
net assets derived from
capital share
transactions........... 2,396,243 11,660,312 4,000 14,191,025
----------- ----------- ----------- -----------
Total increase
(decrease) in net
assets................. 2,371,444 13,585,381 (83,087) 16,872,571
NET ASSETS
Beginning of the period. 1,000,000 3,371,444 2,000,000 1,916,913
----------- ----------- ----------- -----------
End of the period....... $ 3,371,444 $16,956,825 $ 1,916,913 $18,789,484
=========== =========== =========== ===========
UNDISTRIBUTED NET
INVESTMENT INCOME
Beginning of the period. $ 0 $ 0 $ 0 $ 0
=========== =========== =========== ===========
End of the period....... $ 0 $ 76,914 $ 0 $ 20,212
=========== =========== =========== ===========
NUMBER OF SHARES OF THE
FUND:
Issued from the sale of
shares................. 397,102 1,181,077 220,620 1,459,911
Issued in connection
with the reinvestment
of:
Distributions from net
investment income..... 1,030 0 421 0
----------- ----------- ----------- -----------
398,132 1,181,077 221,041 1,459,911
Redeemed................ (147,540) (96,279) (220,620) (175,977)
----------- ----------- ----------- -----------
Net change.............. 250,592 1,084,798 421 1,283,934
=========== =========== =========== ===========
</TABLE>
(a) Commencement of Operations
See accompanying notes to financial statements.
104
<PAGE>
New England Zenith Fund
(Small Cap Series)
FINANCIAL HIGHLIGHTS (UNAUDITED)
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS
MAY 2, 1994(*) ENDED
THROUGH JUNE 30,
DECEMBER 31, 1994 1995
----------------- ----------
<S> <C> <C>
Net Asset Value, Beginning of Period....... $100.00 $ 96.61
------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income..................... 0.14 0.37
Net Realized and Unrealized Gain (Loss) on
Investments.............................. (3.38) 10.35
------- -------
Total From Investment Operations.......... (3.24) 10.72
------- -------
LESS DISTRIBUTIONS
Distributions From Net Investment Income.. (0.15) 0.00
------- -------
Total Distributions....................... (0.15) 0.00
------- -------
Net Asset Value, End of Period............. $ 96.61 $107.33
======= =======
Total Return (%)........................... (3.23)(***) 11.10(***)
Ratio of Operating Expenses to Average Net
Assets (%)................................ 1.00 (**) 1.00(**)
Ratio of Net Investment Income to Average
Net Assets (%)............................ 0.32 (**) 1.13(**)
Portfolio Turnover Rate (%)................ 80 (**) 84(**)
Net Assets, End of Period (000)............ $ 3,105 $14,282
The ratios of expenses to average net
assets without giving effect to the
voluntary expense limitations described in
Note 4 to the Financial Statements would
have been (%)............................. 2.31 (**) 2.47(**)
</TABLE>
(*)Commencement of operations.
(**)Computed on an annualized basis.
(***)Not computed on an annualized basis.
See accompanying notes to financial statements.
105
<PAGE>
New England Zenith Fund
(International Equity Series)
FINANCIAL HIGHLIGHTS (UNAUDITED)
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
OCTOBER 31(*) SIX MONTHS
THROUGH ENDED
DECEMBER 31, 1994 JUNE 30, 1995
----------------- -------------
<S> <C> <C>
Net Asset Value, Beginning of Period...... $10.00 $10.23
------ ------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income.................... 0.03 0.10
Net Realized and Unrealized Gain (Loss)
on Investments.......................... 0.23 (0.03)
------ ------
Total From Investment Operations......... 0.26 0.07
------ ------
LESS DISTRIBUTIONS
Distributions From Net Investment Income. (0.02) 0.00
Distributions From Paid-in Capital....... (0.01) 0.00
------ ------
Total Distributions...................... (0.03) 0.00
------ ------
Net Asset Value, End of Period............ $10.23 $10.30
====== ======
Total Return (%).......................... 2.60 (***) .68(***)
Ratio of Operating Expenses to Average Net
Assets (%)............................... 1.30 (**) 1.30(**)
Ratio of Net Investment Income to Average
Net Assets (%)........................... 2.56 (**) 2.89(**)
Portfolio Turnover Rate (%)............... 4 (**) 74(**)
Net Assets, End of Period (000)........... $2,989 $9,580
The ratios of expenses to average net
assets without giving effect to the
voluntary expense limitations described
in Note 4 to the Financial Statements
would have been (%)...................... 5.38 (**) 3.55 (**)
</TABLE>
(*)Commencement of operations.
(**)Computed on an annualized basis.
(***)Not computed on an annualized basis.
See accompanying notes to financial statements.
106
<PAGE>
New England Zenith Fund
(Equity Growth Series)
FINANCIAL HIGHLIGHTS (UNAUDITED)
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
OCTOBER 31(*) SIX MONTHS
THROUGH ENDED
DECEMBER 31, 1994 JUNE 30, 1995
----------------- -------------
<S> <C> <C>
Net Asset Value, Beginning of Period...... $10.00 $ 9.56
------ -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income.................... 0.02 0.01
Net Realized and Unrealized Gain (Loss)
on Investments.......................... (0.44) 3.09
------ -------
Total From Investment Operations......... (0.42) 3.10
------ -------
LESS DISTRIBUTIONS
Distributions From Net Investment Income. (0.02) 0.00
------ -------
Total Distributions...................... (0.02) 0.00
------ -------
Net Asset Value, End of Period............ $ 9.56 $ 12.66
====== =======
Total Return (%).......................... (4.20)(***) 32.43(**)
Ratio of Operating Expenses to Average Net
Assets (%)............................... 0.85 (**) 0.85(**)
Ratio of Net Investment Income to Average
Net Assets (%)........................... 1.07 (**) 0.45(**)
Portfolio Turnover Rate (%)............... 32 (**) 111(**)
Net Assets, End of Period (000)........... $1,917 $18,789
The ratios of expenses to average net
assets without giving effect to the
voluntary expense limitations described
in Note 4 to the Financial Statements
would have been (%)...................... 2.74 (**) 1.98(**)
</TABLE>
(*)Commencement of operations.
(**)Computed on an annualized basis.
(***)Not computed on an annualized basis.
See accompanying notes to financial statements.
107
<PAGE>
New England Zenith Fund
(Capital Growth Series)
FINANCIAL HIGHLIGHTS (UNAUDITED)
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS
YEAR ENDED DECEMBER 31, ENDED
------------------------------------------------ JUNE 30,
1990 1991 1992 1993 1994 1995
-------- -------- -------- -------- -------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period.... $ 260.25 $ 249.04 $ 347.36 $ 322.23 $ 351.63 $ 312.30
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income.. 1.78 3.16 4.04 2.12 5.28 1.65
Net Realized and
Unrealized Gain (Loss)
on Investments........ (10.88) 130.75 (25.10) 46.21 (30.54) 84.36
-------- -------- -------- -------- -------- --------
Total From Investment
Operations............ (9.10) 133.91 (21.06) 48.33 (25.26) 86.01
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS
Distributions From Net
Investment Income..... (2.11) (3.22) (4.07) (2.18) (5.15) 0.00
Distributions From Net
Realized Capital
Gains................. 0.00 (31.93) 0.00 (16.75) (8.92) 0.00
Distributions From
Paid-in Capital....... 0.00 (0.44) 0.00 0.00 0.00 0.00
-------- -------- -------- -------- -------- --------
Total Distributions.... (2.11) (35.59) (4.07) (18.93) (14.07) 0.00
-------- -------- -------- -------- -------- --------
Net Asset Value, End of
Period................. $ 249.04 $ 347.36 $ 322.23 $ 351.63 $ 312.30 $ 398.31
======== ======== ======== ======== ======== ========
Total Return (%)........ (3.49) 54.00 (6.05) 14.97 (7.07) 27.54(**)
Ratio of Operating
Expenses to Average
Net Assets (%)......... 0.73 0.70 0.70 0.68 0.67 0.70(*)
Ratio of Net Investment
Income to Average
Net Assets (%)......... 0.93 1.22 1.53 0.67 1.61 0.98(*)
Portfolio Turnover Rate
(%).................... 229 174 207 169 140 194(*)
Net Assets, End of
Period (000)........... $148,254 $343,965 $472,017 $644,384 $667,127 $844,967
</TABLE>
(*)Computed on an annualized basis.
(**) Not computed on an annualized basis.
See accompanying notes to financial statements.
108
<PAGE>
New England Zenith Fund
(Avanti Growth Series)
FINANCIAL HIGHLIGHTS (UNAUDITED)
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS
APRIL 30, 1993(*) YEAR ENDED
THROUGH ENDED JUNE 30,
DECEMBER 31, 1993 DECEMBER 31, 1994 1995
----------------- ----------------- ----------
<S> <C> <C> <C>
Net Asset Value,
Beginning of Period..... $100.00 $113.67 $112.77
------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income... 0.18 0.59 0.35
Net Realized and
Unrealized Gain (Loss)
on Investments......... 14.56 (0.89) 22.14
------- ------- -------
Total From Investment
Operations............. 14.74 (0.30) 22.49
------- ------- -------
LESS DISTRIBUTIONS
Distributions From Net
Investment Income...... (0.18) (0.60) 0.00
Distributions From Net
Realized Capital Gains. (0.67) 0.00 0.00
Distributions From Paid-
In Capital............. (0.22) 0.00 0.00
------- ------- -------
Total Distributions..... (1.07) (0.60) 0.00
------- ------- -------
Net Asset Value, End of
Period.................. $113.67 $112.77 $135.26
======= ======= =======
Total Return (%)......... 14.74 (***) (0.27) 19.94(***)
Ratio of Operating
Expenses to Average Net
Assets (%).............. 0.85 (**) 0.84 0.85(**)
Ratio of Net Investment
Income to Average Net
Assets (%).............. 0.46 (**) 0.67 0.65(**)
Portfolio Turnover Rate
(%)..................... 21 (**) 67 58(**)
Net Assets, End of Period
(000)................... $11,972 $25,622 $36,943
The ratios of expenses to
average net assets
without giving effect to
the voluntary expense
limitations described in
Note 4 to the Financial
Statements would have
been (%)................ 0.89 (**) 0.84 1.12(**)
</TABLE>
(*)Commencement of operations.
(**)Computed on an annualized basis.
(***)Not computed on an annualized basis.
See accompanying notes to financial statements.
109
<PAGE>
New England Zenith Fund
(Venture Value Series)
FINANCIAL HIGHLIGHTS (UNAUDITED)
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS
OCTOBER 31(*) ENDED
THROUGH JUNE 30,
DECEMBER 31, 1994 1995
----------------- ----------
<S> <C> <C>
Net Asset Value, Beginning of Period........ $10.00 $ 9.62
------ -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income...................... 0.03 0.05
Net Realized and Unrealized Gain (Loss) on
Investments............................... (0.38) 2.14
------ -------
Total From Investment Operations........... (0.35) 2.19
------ -------
LESS DISTRIBUTIONS
Distributions From Net Investment Income... (0.03) 0.00
------ -------
Total Distributions........................ (0.03) 0.00
------ -------
Net Asset Value, End of Period.............. $ 9.62 $ 11.81
====== =======
Total Return (%)............................ (3.50)(***) 22.77(***)
Ratio of Operating Expenses to Average Net
Assets (%)................................. 0.90 (**) 0.90(**)
Ratio of Net Investment Income to Average
Net Assets (%)............................. 2.54 (**) (1.62(**)
Portfolio Turnover Rate (%)................. 1 (**) 22(**)
Net Assets, End of Period (000)............. $3,371 $16,957
The ratios of expenses to average net assets
without giving effect to the voluntary
expense limitations described in Note 4 to
the Financial Statements would have been
(%)........................................ 3.97 (**) 2.24(**)
</TABLE>
(*)Commencement of operations.
(**)Computed on an annualized basis.
(***)Not computed on an annualized basis.
See accompanying notes to financial statements.
110
<PAGE>
New England Zenith Fund
(Value Growth Series)
FINANCIAL HIGHLIGHTS (UNAUDITED)
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS
APRIL 30, 1993(*) ENDED
THROUGH YEAR ENDED JUNE 30,
DECEMBER 31, 1993 DECEMBER 31, 1994 1995
------------------ ----------------- ----------
<S> <C> <C> <C>
Net Asset Value,
Beginning of Period..... $100.00 $112.32 $109.03
------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income... 0.92 1.90 0.90
Net Realized and
Unrealized Gain (Loss)
on Investments......... 13.33 (3.25) 21.45
------- ------- -------
Total From Investment
Operations............. 14.25 (1.35) 22.35
------- ------- -------
LESS DISTRIBUTIONS
Distributions From Net
Investment Income...... (0.92) (1.92) 0.00
Distributions From Net
Realized Capital Gains. (1.00) 0.00 0.00
Distributions In Excess
of Net Realized Capital
Gains.................. (0.01) 0.00 0.00
Distributions From Paid-
in Capital............. 0.00 (0.02) 0.00
------- ------- -------
Total Distributions..... (1.93) (1.94) 0.00
------- ------- -------
Net Asset Value, End of
Period.................. $112.32 $109.03 $131.38
======= ======= =======
Total Return (%)......... 14.24(***) (1.21) 20.50(***)
Ratio of Operating
Expenses to Average Net
Assets (%).............. 0.85(**) 0.85 0.85(**)
Ratio of Net Investment
Income to Average Net
Assets (%).............. 2.16(**) 2.30 1.72(**)
Portfolio Turnover Rate
(%)..................... 49(**) 133 100(**)
Net Assets, End of Period
(000)................... $ 9,082 $22,934 $34,107
The ratios of expenses to
average net assets
without giving effect to
the voluntary expense
limitations described in
Note 4 to the Financial
Statements would have
been (%)................ 0.94(**) 0.86 1.15(**)
</TABLE>
(*)Commencement of operations.
(**)Computed on an annualized basis.
(***)Not computed on an annualized basis.
See accompanying notes to financial statements.
111
<PAGE>
New England Zenith Fund
(Stock Index Series)
FINANCIAL HIGHLIGHTS (UNAUDITED)
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS
YEAR ENDED DECEMBER 31, ENDED
------------------------------------------- JUNE 30,
1990 1991 1992 1993 1994 1995
------- ------- ------- ------- ------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period.... $117.36 $108.49 $137.39 $ 72.00 $ 76.48 $ 75.35
------- ------- ------- ------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income.. 3.76 3.56 8.35 1.54 1.80 0.93
Net Realized and
Unrealized Gain (Loss)
on Investments........ (8.64) 29.29 2.02 5.18 (0.92) 14.16
------- ------- ------- ------- ------- -------
Total From Investment
Operations............ (4.88) 32.85 10.37 6.72 0.88 15.09
------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS
Distributions From Net
Investment Income..... (3.82) (3.56) (8.35) (1.36) (1.82) 0.00
Distributions In Excess
of Net Investment
Income................ 0.00 0.00 0.00 (0.18) 0.00 0.00
Distributions From Net
Realized Capital
Gains................. 0.00 (0.39) (67.41) (0.55) (0.16) 0.00
Distributions In Excess
of Net Capital Gains.. 0.00 0.00 0.00 (0.15) 0.00 0.00
Distributions From
Paid-in Capital....... (0.17) 0.00 0.00 0.00 (0.03) 0.00
------- ------- ------- ------- ------- -------
Total Distributions.... (3.99) (3.95) (75.76) (2.24) (2.01) 0.00
------- ------- ------- ------- ------- -------
Net Asset Value, End of
Period................. $108.49 $137.39 $ 72.00 $ 76.48 $ 75.35 $ 90.44
======= ======= ======= ======= ======= =======
Total Return (%)........ (4.14) 30.37 7.30 9.72 1.14 20.03(**)
Ratio of Operating
Expenses to Average
Net Assets (%)......... 0.36 0.36 0.35 0.34 0.33 0.40(*)
Ratio of Net Investment
Income to Average
Net Assets (%)......... 3.36 2.86 2.63 2.52 2.59 2.44(*)
Portfolio Turnover Rate
(%).................... 1 2 17 12 2 9(*)
Net Assets, End of
Period (000)........... $15,122 $20,496 $10,172 $28,817 $37,164 $49,742
The ratios of expenses
to average net assets
without giving effect
to the voluntary
expense limitations
described in Note 4 to
the Financial
Statements would have
been (%)............... -- -- -- -- -- 0.58
</TABLE>
(*)Computed on an annualized basis.
(**)Not computed on an annualized basis.
See accompanying notes to financial statements.
112
<PAGE>
New England Zenith Fund
(Balanced Series)
FINANCIAL HIGHLIGHTS (UNAUDITED)
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
OCTOBER 31(*) SIX MONTHS
THROUGH ENDED
DECEMBER 31, 1994 JUNE 30, 1995
----------------- -------------
<S> <C> <C>
Net Asset Value, Beginning of Period...... $10.00 $ 9.94
------ ------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income.................... 0.05 0.15
Net Realized and Unrealized Gain (Loss)
on Investments.......................... (0.06) 1.42
------ ------
Total From Investment Operations......... (0.01) 1.57
------ ------
LESS DISTRIBUTIONS
Distributions From Net Investment Income. (0.05) 0.00
------ ------
Total Distributions...................... (0.05) 0.00
------ ------
Net Asset Value, End of Period............ $ 9.94 $11.51
====== ======
Total Return (%).......................... (0.10)(***) 15.79(***)
Ratio of Operating Expenses to Average Net
Assets (%)............................... 0.85 (**) 0.85(**)
Ratio of Net Investment Income to Average
Net Assets (%)........................... 4.16 (**) 4.68(**)
Portfolio Turnover Rate (%)............... 0 (**) 84(**)
Net Assets, End of Period (000)........... $2,722 $8,976
The ratios of expenses to average net
assets without giving effect to the
voluntary expense limitations described
in Note 4 to the Financial Statements
would have been (%)...................... 3.73 (**) 2.82(**)
</TABLE>
(*)Commencement of operations.
(**)Computed on an annualized basis.
(***)Not computed on an annualized basis.
See accompanying notes to financial statements.
113
<PAGE>
New England Zenith Fund
(Managed Series)
FINANCIAL HIGHLIGHTS (UNAUDITED)
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS
YEAR ENDED DECEMBER 31, ENDED
--------------------------------------------- JUNE 30,
1990 1991 1992 1993 1994 1995
------- ------- ------- -------- -------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period.... $114.65 $112.79 $127.87 $ 130.26 $ 137.18 $ 130.30
------- ------- ------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income.. 5.47 6.41 5.14 4.35 5.42 3.07
Net Realized and
Unrealized Gain (Loss)
on Investments........ (1.81) 16.23 3.45 9.58 (6.92) 18.84
------- ------- ------- -------- -------- --------
Total From Investment
Operations............ 3.66 22.64 8.59 13.93 (1.50) 21.91
------- ------- ------- -------- -------- --------
LESS DISTRIBUTIONS
Distributions From Net
Investment Income..... (5.38) (6.41) (5.13) (4.36) (5.38) 0.00
Distributions From Net
Realized Capital
Gains................. 0.00 (1.15) (1.07) (2.65) 0.00 0.00
Distributions From
Paid-in Capital....... (0.14) 0.00 0.00 0.00 0.00 0.00
------- ------- ------- -------- -------- --------
Total Distributions.... (5.52) (7.56) (6.20) (7.01) (5.38) 0.00
------- ------- ------- -------- -------- --------
Net Asset Value, End of
Period................. $112.79 $127.87 $130.26 $ 137.18 $ 130.30 $ 152.21
======= ======= ======= ======== ======== ========
Total Return (%)........ 3.21 20.17 6.70 10.65 (1.11) 16.82(**)
Ratio of Operating
Expenses to Average Net
Assets (%)............. 0.57 0.55 0.54 0.53 0.54 0.65(*)
Ratio of Net Investment
Income to Average Net
Assets (%)............. 5.58 5.45 5.32 3.65 3.98 4.30(*)
Portfolio Turnover Rate
(%).................... 1 36 36 22 76 81(*)
Net Assets, End of
Period (000)........... $36,563 $49,995 $77,575 $121,339 $121,877 $135,427
</TABLE>
(*) Computed on an annualized basis.
(**) Not computed on an annualized basis.
See accompanying notes to financial statements.
114
<PAGE>
New England Zenith Fund
(Strategic Bond Opportunities Series)
FINANCIAL HIGHLIGHTS (UNAUDITED)
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS
OCTOBER 31(*) ENDED
THROUGH JUNE 30,
DECEMBER 31, 1994 1995
----------------- ----------
<S> <C> <C>
Net Asset Value, Beginning of Period......... $10.00 $ 9.74
------ ------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income....................... 0.12 0.37
Net Realized and Unrealized Gain (Loss) on
Investments................................ (0.26) 0.83
------ ------
Total From Investment Operations............ (0.14) 1.20
------ ------
LESS DISTRIBUTIONS
Distributions From Net Investment Income.... (0.12) 0.00
------ ------
Total Distributions......................... (0.12) 0.00
------ ------
Net Asset Value, End of Period............... $ 9.74 $10.94
====== ======
Total Return (%)............................. (1.40)(***) 12.32(***)
Ratio of Operating Expenses to Average Net
Assets (%).................................. 0.85 (**) 0.85(**)
Ratio of Net Investment Income to Average Net
Assets (%).................................. 7.05 (**) 8.86(**)
Portfolio Turnover Rate (%).................. 403 (**) 214(**)
Net Assets, End of Period (000).............. $3,450 $5,034
The ratios of expenses to average net assets
without giving effect to the voluntary
expense limitations described in Note 4 to
the Financial Statements would have been
(%)......................................... 2.01 (**) 3.15(**)
</TABLE>
(*)Commencement of operations.
(**)Computed on an annualized basis.
(***)Not computed on an annualized basis.
See accompanying notes to financial statements.
115
<PAGE>
New England Zenith Fund
(Bond Income Series)
FINANCIAL HIGHLIGHTS (UNAUDITED)
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS
YEAR ENDED DECEMBER 31, ENDED
--------------------------------------------- JUNE 30,
1990 1991 1992 1993 1994 1995
------- ------- ------- -------- -------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period.... $ 97.23 $ 97.61 $103.44 $ 103.47 $ 106.14 $ 95.53
------- ------- ------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income.. 8.49 8.53 7.96 5.70 7.05 3.72
Net Realized and
Unrealized Gain (Loss)
on Investments........ (0.65) 8.90 0.51 7.38 (10.61) 8.75
------- ------- ------- -------- -------- --------
Total From Investment
Operations............ 7.84 17.43 8.47 13.08 (3.56) 12.47
------- ------- ------- -------- -------- --------
LESS DISTRIBUTIONS
Distributions From Net
Investment Income..... (7.46) (9.47) (6.87) (6.20) (7.05) 0.00
Distributions in Excess
of Net Investment
Income................ 0.00 0.00 0.00 (0.05) 0.00 0.00
Distributions From Net
Realized Capital
Gains................. 0.00 (2.13) (1.57) (4.16) 0.00 0.00
------- ------- ------- -------- -------- --------
Total Distributions.... (7.46) (11.60) (8.44) (10.41) (7.05) 0.00
------- ------- ------- -------- -------- --------
Net Asset Value, End of
Period................. $ 97.61 $103.44 $103.47 $ 106.14 $ 95.53 $ 108.00
======= ======= ======= ======== ======== ========
Total Return (%)........ 8.09 17.96 8.18 12.61 (3.36) 13.05(**)
Ratio of Operating
Expenses to Average
Net Assets (%)......... 0.46 0.45 0.44 0.43 0.44 0.55(*)
Ratio of Net Investment
Income to Average
Net Assets (%)......... 8.57 8.27 7.70 6.47 6.75 7.47(*)
Portfolio Turnover Rate
(%).................... 106 193 71 177 82 90(*)
Net Assets, End of
Period (000)........... $40,631 $49,369 $83,057 $131,242 $126,234 $144,099
</TABLE>
As of January 1, 1993, the Bond Income Series discontinued the use of
equalization accounting.
(*) Computed on an annualized basis.
(**) Not computed on an annualized basis.
See accompanying notes to financial statements.
116
<PAGE>
New England Zenith Fund
(U.S. Government Series)
FINANCIAL HIGHLIGHTS (UNAUDITED)
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
OCTOBER 31(*) SIX MONTHS
THROUGH ENDED
DECEMBER 31, 1994 JUNE 30, 1995
----------------- -------------
<S> <C> <C>
Net Asset Value, Beginning of Period...... $10.00 $ 9.96
------ ------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income.................... 0.10 0.22
Net Realized and Unrealized Gain (Loss)
on Investments.......................... (0.04) 0.72
------ ------
Total From Investment Operations......... 0.06 0.94
------ ------
LESS DISTRIBUTIONS
Distributions From Net Investment Income. (0.10) 0.00
------ ------
Total Distributions...................... (0.10) 0.00
------ ------
Net Asset Value, End of Period............ $ 9.96 $10.90
====== ======
Total Return (%).......................... 0.60 (***) 9.44(***)
Ratio of Operating Expenses to Average Net
Assets (%)............................... 0.70 (**) 0.70(**)
Ratio of Net Investment Income to Average
Net Assets (%)........................... 5.70 (**) 6.10(**)
Portfolio Turnover Rate (%)............... 1,409 (**) 572(**)
Net Assets, End of Period (000)........... $2,012 $3,315
The ratios of expenses to average net
assets without giving effect to the
voluntary expense limitations described
in Note 4 to the Financial Statements
would have been (%)...................... 2.54 (**) 4.97(**)
</TABLE>
(*)Commencement of operations.
(**)Computed on an annualized basis.
(***)Not computed on an annualized basis.
See accompanying notes to financial statements.
117
<PAGE>
New England Zenith Fund
(Money Market Series)
FINANCIAL HIGHLIGHTS (UNAUDITED)
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS
YEAR ENDED DECEMBER 31, ENDED
------------------------------------------- JUNE 30,
1990 1991 1992 1993 1994 1995
------- ------- ------- ------- ------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period.... $100.00 $100.00 $100.00 $100.00 $100.00 $100.00
------- ------- ------- ------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS
Net Investment Income.. 7.88 6.03 3.73 2.93 3.89 2.83
------- ------- ------- ------- ------- -------
Total From Investment
Operations............ 7.88 6.03 3.73 2.93 3.89 2.83
------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS
Distributions From Net
Investment Income..... (7.88) (6.03) (3.73) (2.93) (3.89) (2.83)
------- ------- ------- ------- ------- -------
Total Distributions.... (7.88) (6.03) (3.73) (2.93) (3.89) (2.83)
------- ------- ------- ------- ------- -------
Net Asset Value, End of
Period................. $100.00 $100.00 $100.00 $100.00 $100.00 $100.00
======= ======= ======= ======= ======= =======
Total Return (%)........ 8.17 6.20 3.79 2.97 4.01 2.87(**)
Ratio of Operating
Expenses to Average Net
Assets (%)............. 0.38 0.38 0.38 0.38 0.40 0.50(*)
Ratio of Net Investment
Income to Average Net
Assets (%)............. 7.87 6.01 3.71 2.93 3.89 2.82(*)
Net Assets, End of
Period (000)........... $60,071 $58,614 $61,607 $59,044 $73,960 $81,340
The ratios of expenses
to average net assets
without giving effect
to the voluntary
expense limitations
described in Note 4 to
the Financial
Statements would have
been (%)............... -- -- -- -- -- 0.52
</TABLE>
(*)Computed on an annualized basis.
(**) Not computed on an annualized basis.
See accompanying notes to financial statements.
118
<PAGE>
New England Zenith Fund
Notes to Financial Statements-June 30, 1995 (Unaudited)
- -------------------------------------------------------------------------------
1. New England Zenith Fund (the "Fund") is organized as a Massachusetts
business trust under the laws of the Commonwealth of Massachusetts pursuant to
an Agreement and Declaration of Trust dated December 16, 1986. The Fund
succeeded to the operations of The New England Zenith Fund, Inc. on February
27, 1987. The Fund is registered under the Investment Company Act of 1940, as
amended, as a diversified, open-end management investment company.
Shares in the Fund are not offered directly to the general public and,
currently, are available only to separate accounts established by New England
Variable Life Insurance Company ("NEVLICO"), New England Mutual Life Insurance
Company ("The New England") or its subsidiaries as an investment vehicle for
variable life insurance or variable annuity products, although not all Series
may be available to all separate accounts. In the future, however, such shares
may be offered to separate accounts of insurance companies unaffiliated with
NEVLICO or The New England.
The Fund's Agreement and Declaration of Trust permits the issuance of an
unlimited number of shares of beneficial interest, no par value, in separate
Series, with shares of each Series representing interests in a separate
portfolio of assets. Each Series is separately managed and has its own
investment objective and policies. The Fund (or its predecessor) began
offering shares of the Series on the dates set forth below:
<TABLE>
<S> <C>
Bond Income............. August 26, 1983
Capital Growth.......... August 26, 1983
Money Market............ August 26, 1983
Stock Index............. March 30, 1987
Managed................. May 1, 1987
Avanti Growth........... April 30, 1993
Value Growth............ April 30, 1993
</TABLE>
<TABLE>
<S> <C>
Small Cap............... May 1, 1994
Balanced Series......... October 31, 1994
International Equity Se-
ries................... October 31, 1994
U.S. Government Series.. October 31, 1994
Strategic Bond Opportu-
nities Series.......... October 31, 1994
Venture Value Series.... October 31, 1994
Equity Growth Series.... October 31, 1994
</TABLE>
The following is a summary of significant accounting policies followed by the
Fund in the preparation of the Financial Statements of the Series. The
policies are in conformity with generally accepted accounting principles for
investment companies.
A. SECURITY VALUATION
MONEY MARKET SERIES--The Money Market Series employs the amortized cost
method of security valuation which, in the opinion of the Board of
Trustees, represents the fair market value of the particular security. The
Board monitors the deviations between the Series' net asset value per
share, as determined by using available market quotations, and its
amortized cost price per share. If the deviation exceeds 1/2 of 1%, the
board will consider what action, if any, should be initiated to provide
fair valuation of the Series.
BOND INCOME, MANAGED, BALANCED, U.S. GOVERNMENT AND STRATEGIC BOND
OPPORTUNITIES SERIES--Debt securities (other than short-term obligations)
are valued on the basis of valuations furnished by a pricing service,
authorized by the Board of Trustees, which service determines valuations
for normal, institutional-size trading units of such securities using
market information, transactions for comparable securities and various
relationships between securities which are generally recognized by
institutional traders. Short-term notes are stated at amortized cost which
approximates market value.
CAPITAL GROWTH, MANAGED, STOCK INDEX, AVANTI GROWTH, VALUE GROWTH, SMALL
CAP, BALANCED, INTERNATIONAL EQUITY, VENTURE VALUE AND EQUITY GROWTH
SERIES--Equity securities are valued on the basis of market valuations
furnished by a pricing service, authorized by the Board of
119
<PAGE>
New England Zenith Fund
Notes to Financial Statements-June 30, 1995 (Unaudited)-Continued
- -------------------------------------------------------------------------------
Trustees. The pricing service provides the last reported sale price for
securities listed on a national securities exchange or on the NASDAQ
National Market System, or if there is no reported sale during the day, and
in the case of over-the-counter securities not so listed, the last bid
price. Securities for which current market quotations are not readily
available are taken at fair value as determined in good faith by the Board
of Trustees, although the actual calculations may be made by persons acting
pursuant to the direction of the Board. Short-term notes are stated at
amortized cost which approximates market value.
B. FOREIGN CURRENCY TRANSLATION--The books and records of the funds are
maintained in U.S. dollars. The value of securities, currencies and other
assets and liabilities denominated in currencies other than U.S. dollars
are translated into U.S. dollars based upon foreign exchange rates
prevailing at the end of the period. Purchases and sales of investment
securities, income and expenses are translated on the respective dates of
such transactions.
Since the values of investment securities are presented at the foreign
exchange rates prevailing at the end of the period, it is not practical to
isolate that portion of the results of operations arising from changes in
exchange rates from fluctuations arising from changes in market prices of
the investment securities.
Net realized and unrealized gains and losses on foreign currency
transactions represent foreign exchange gains from the sale of short-term
securities and holdings of foreign currencies, foreign currency gains and
losses between trade dates and settlement dates on investment securities
transactions, and the difference between the amounts of daily interest
accruals on the books of the fund and the amounts actually received
resulting from changes in exchange rates on the payable date.
C. SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME--Security transactions
are accounted for on the trade date (date the order to buy or sell is
executed). Dividend income is recorded on the ex-dividend date and interest
income is recorded on the accrual basis. In determining gain or loss on
securities sold, the cost of securities has been determined on the
identified cost basis.
D. FUTURES CONTRACTS--The Value Growth, Stock Index, Managed, Balanced,
International Equity, U.S. Government, Strategic Bond Opportunities and
Venture Value Series may enter into futures contracts on the S&P 500 Index
or on interest-bearing securities or indices thereof, or on indices of
stock prices to hedge against changes in the values of securities the
Series owns or expects to purchase. Upon entering into a futures contract,
the Series is required to deposit with a broker an amount ("initial
margin") equal to a certain percentage of the purchase price indicated in
the futures contract. Subsequent payments ("variation margin") are made or
received by the Series each day, dependent on the daily fluctuations in the
value of the underlying security, and are recorded for financial reporting
purposes as unrealized gains or losses by the Series. When entering into a
closing transaction, the Series will realize, for book purposes, a gain or
loss equal to the difference between the value of the futures contract to
sell and the futures contract to buy. Futures contracts are valued at the
most recent settlement price, unless such price does not reflect the fair
market value of the contract, in which case the position will be valued by
or under the direction of the Trustees. Certain risks may arise upon
entering into futures contracts from the contingency of imperfect market
conditions. The potential risk to the fund is that the change in value of
futures contracts primarily corresponds with the value of underlying
instruments which may not correspond to the change in the value of the
hedged instruments. In addition, there is a risk that the fund may not be
able to close out its futures positions due to an illiquid secondary
market.
120
<PAGE>
New England Zenith Fund
Notes to Financial Statements-June 30, 1995 (Unaudited)-Continued
- -------------------------------------------------------------------------------
E. REPURCHASE AGREEMENTS--The Series, through their custodian, receive
delivery of the underlying securities collateralizing repurchase
agreements. It is the Series' policy that the market value of the
collateral be at least equal to 100% of the repurchase price. The adviser
is responsible for determining that the value of the collateral is at all
times at least equal to the repurchase price. In connection with
transactions in repurchase agreements, if the seller defaults and the value
of the collateral declines or if the seller enters an insolvency
proceeding, realization of the collateral by the Series may be delayed or
limited.
F. SHORT SALES AGAINST THE BOX--The Equity Growth Series may hedge the
investments against changes in value by engaging in short sales against the
box. In a short sale against the box, the fund sells a borrowed security,
while at the same time either owning an identical security or having the
right to obtain such a security. By selling short against the box the
equity underlying one of its convertible holdings, the fund would seek to
offset the effect that a decline in the underlying equity might have on the
value of the convertible security. While the short sale is outstanding, the
fund will not dispose of the security hedged by the short sale. The fund is
required to establish a margin account with the broker lending the security
sold short. While the short sale is outstanding, the broker retains the
proceeds of the short sale and the fund instructs the custodian to maintain
in a separate account securities having a value at least equal to the
amount of the securities sold short.
G. FEDERAL TAXES--Each Series, which is a separate taxable entity, intends to
meet the requirements of the Internal Revenue Code applicable to regulated
investment companies and to distribute to its shareholders all of its
taxable income and any net realized capital gains at least annually.
Accordingly, no provision for federal income tax has been made.
H. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS--Money Market Series dividends
are declared daily to shareholders of record at the time and are paid
monthly. Dividends and distributions are recorded by all other Series on
the ex-dividend date. Net realized gains from security transactions are
distributed at least annually to shareholders. The timing and
characterization of certain income and capital gains distributions are
determined in accordance with federal tax regulations which may differ from
generally accepted accounting principles. Permanent book and tax basis
differences relating to shareholder distributions will result in
reclassification to paid in capital.
I. OTHER--The Money Market Series invests primarily in a portfolio of money
market instruments maturing in 397 days or less whose ratings are within
the two highest ratings categories by a nationally recognized rating agency
or, if not rated, are believed to be of comparable quality. The weighted
average maturity of the Series is less than ninety days. The ability of the
issuers of the securities held by the Series to meet their obligations may
be affected by foreign economic, political and legal developments in the
case of foreign banks or of foreign branches or subsidiaries of U.S. banks
or domestic economic developments in a specific industry, state or region.
2. At June 30, 1995, The New England owned an aggregate of 9 shares of the
fourteen Series and held 9,139,881 shares in separate investment accounts for
annuity contracts offered by The New England Variable Account, a separate
account of The New England. NEVLICO, a life insurance subsidiary of The New
England, held the remaining 2,628,476 shares then outstanding in separate
investment accounts for life insurance and annuity contracts offered by
NEVLICO.
121
<PAGE>
New England Zenith Fund
Notes to Financial Statements-June 30, 1995 (Unaudited)-Continued
- -------------------------------------------------------------------------------
As long as The New England owns (directly or through NEVLICO) more than 25% of
the Fund's outstanding shares, it will be presumed to be in control (as that
term is defined by the Investment Company Act of 1940, as amended) of the
Fund.
3. For the period ended June 30, 1995, purchases and sales of securities
(excluding short-term investments) for each of the Series were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
---------------------------- ----------------------------
SERIES U.S. GOVERNMENT OTHER U.S. GOVERNMENT OTHER
------ --------------- ------------ --------------- ------------
<S> <C> <C> <C> <C>
Bond Income............. $2,908,613 $ 52,624,830 $3,576,937 $ 51,041,984
Capital Growth.......... -- 703,877,099 -- 706,921,553
Stock Index............. -- 7,192,237 -- 1,845,196
Managed................. 6,219,648 44,902,319 16,161,796 37,733,364
Avanti Growth........... -- 15,250,468 -- 8,276,023
Value Growth............ -- 19,040,608 -- 13,404,376
Small Cap............... -- 11,326,824 -- 2,867,467
Balanced................ 1,433,947 5,405,187 1,266,693 738,136
International Equity.... -- 8,832,707 -- 2,034,349
U.S. Government......... 6,937,147 -- 5,510,820 --
Strategic Bond
Opportunities.......... 1,880,532 3,588,174 2,035,477 1,754,148
Venture Value........... -- 12,243,190 -- 1,019,831
Equity Growth........... -- 18,264,578 -- 4,869,507
</TABLE>
Purchases and sales of corporate short-term obligations for the Money Market
Series aggregated $302,101,265 and $295,461,890, respectively.
Transactions in index futures contracts for the Managed Series for the six
months ended June 30, 1995 are summarized as follows:
<TABLE>
<CAPTION>
PURCHASES OF FUTURES
CONTRACTS
----------------------
AGGREGATE
NUMBER OF FACE VALUE
CONTRACTS OF CONTRACTS
--------- ------------
<S> <C> <C>
Contracts opened........................................ 20 $ 5,329,000
Contracts closed........................................ (20) (5,329,000)
--- -----------
Open at June 30, 1995................................... 0 $ 0
=== ===========
</TABLE>
122
<PAGE>
New England Zenith Fund
Notes to Financial Statements-June 30, 1995 (Unaudited)-Continued
- -------------------------------------------------------------------------------
4. During the four months ended April 30, 1995, the Fund incurred management
fees payable to the Fund's investment advisers for that period, Back Bay
Advisors, L.P., Capital Growth Management Limited Partnership, Loomis Sayles &
Company, L.P. and Westpeak Investment Advisors, L.P., certain officers and
directors of which are also officers and Trustees of the Fund. Back Bay
Advisors, L.P. and Westpeak Investment Advisors, L.P. are wholly owned
subsidiaries, Loomis Sayles & Company, L.P. is a majority-owned subsidiary and
Capital Growth Management Limited Partnership is a partially owned subsidiary
of New England Investment Companies, L.P., which is a subsidiary of The New
England. Effective May 1, 1995, TNE Advisers, Inc. became the adviser for all
series except Capital Growth with the aforementioned advisers being retained
as the sub-adviser for the respective series. Separate management agreements
for each Series provide for fees as set forth below:
<TABLE>
<CAPTION>
ANNUAL AVERAGE
FEES ADVISER/ PERCENTAGE NET ASSET
SERIES EARNED(A) SUBADVISER RATE VALUE LEVELS
------ --------- ---------- ---------- ------------
<S> <C> <C> <C> <C>
Money Market............ $ 103,645 Back Bay Advisors, L.P. 0.35% the first $500 million
25,759 TNE Advisers, Inc. 0.30% the next $500 million
0.25% amount in excess of $1 billion
Bond Income............. 224,755 Back Bay Advisors, L.P. 0.40% the first $400 million
43,252 TNE Advisers, Inc. 0.35% the next $300 million
0.30% the next $300 million
0.25% amounts in excess of $1 billion
Capital Growth.......... 2,341,174 Capital Growth Management 0.70% the first $200 million
Limited Partnership 0.65% the next $300 million
0.60% amounts in excess of $500 million
Stock Index............. 41,575 Westpeak Investment 0.25% All net assets
Advisors, L.P.
12,012 TNE Advisers, Inc.
Managed................. 256,982 Back Bay Advisors, L.P. 0.50% All net assets
63,296 TNE Advisers, Inc.
Avanti Growth........... 92,134 Loomis Sayles & Company, 0.70% the first $200 million
L.P. 0.65% the next $300 million
12,997 TNE Advisers, Inc. 0.60% amounts in excess of $500 million
Value Growth............ 85,424 Westpeak Investment 0.70% the first $200 million
Advisors, L.P. 0.65% the next $300 million
11,772 TNE Advisers, Inc. 0.60% amounts in excess of $500 million
Small Cap............... 34,040 Loomis Sayles & Company, 1.00% All net assets
L.P.
9,302 TNE Advisers, Inc.
</TABLE>
a. Before reduction due to voluntary expense limitation, see below.
- - Pursuant to a voluntary expense agreement, effective from November 1, 1994
to May 1, 1995, relating to the Capital Growth, Back Bay Advisors Money
Market, Back Bay Advisors Bond Income, Back Bay Advisors Managed and the
Westpeak Stock Index Series and, beginning December 1, 1994, relating to the
Loomis Sayles Small Cap, Loomis Sayles Avanti Growth and the Westpeak Value
Growth Series, The New England agreed to bear the expenses (other than the
advisory fees and any brokerage costs, interest, taxes or extraordinary
expenses) of the Series (except the Loomis Sayles Small Cap Series) in excess
of 0.15% of the respective Series' average daily net assets. In the case of
the Loomis Sayles Small Cap Series, The New England agreed to bear such
expenses of the Series in excess of 1.00% of the Series' average daily net
assets. Beginning May 1, 1995, TNE Advisers voluntarily agreed to bear any
such excess expenses for all of the Series.
123
<PAGE>
New England Zenith Fund
Notes to Financial Statements-June 30, 1995 (Unaudited)-Continued
- -------------------------------------------------------------------------------
- - As a result of the Series expenses exceeding the voluntary expense
limitations for the period ending June 30, 1995, The New England and TNE
Advisers will reimburse the Series as follows:
<TABLE>
<S> <C>
Stock Index...................................................... $39,401
Avanti Growth.................................................... 41,092
Value Growth..................................................... 41,447
Small Cap........................................................ 63,856
</TABLE>
Prior to November 1, 1994, pursuant to an Expense Agreement between The New
England and the Fund, The New England had agreed to pay the charges and
expenses of preparing, printing and distributing prospectuses and reports to
shareholders, custodial and transfer agent charges and expenses, auditing,
accounting and legal fees and expenses in connection with affairs of the Fund
(except for fees of the independent trustees' outside counsel) and the
expenses of shareholders' and trustees' meetings. In addition, The New England
also paid registration, filing and other fees arising prior to the date the
Fund commenced operations and relating to registration and qualification of
each Series' shares.
TNE Advisers, Inc. is the investment adviser of the Loomis Sayles Balanced
Series, the Draycott International Equity Series, the Salomon Brothers U.S.
Government Series, the Salomon Brothers Strategic Bond Opportunities Series,
the Venture Value Series and the Alger Equity Growth Series and has entered
into subadvisory agreements for these Series with Loomis Sayles, Draycott,
Salomon Brothers Asset Management Inc., Selected/Venture Advisers, L.P., and
Fred Alger Management, Inc., respectively.
TNE Advisers, Inc. is paid a management fee from the Series it manages as
shown below. Pursuant to an expense deferral arrangement in effect beginning
November 1, 1994, which TNE Advisers may terminate at any time, TNE Advisers
has agreed to pay operating expenses of the Series in excess of expense limits
stated below subject to the obligation of the Series to repay TNE Advisers
such expenses in future years, if any, when a Series' expenses fall below the
stated expense limit that pertains to that Series; such deferred expenses may
be charged to a Series in a subsequent year to the extent that the charge does
not cause the total expenses in such subsequent year to exceed the Series'
expense limit; provided, however, that no Series is obligated to repay any
expense paid by TNE Advisers more than two years after the end of the fiscal
year in which such expense was incurred.
<TABLE>
<CAPTION>
EXPENSE
MANAGEMENT MANAGEMENT LIMITATION EXPENSE DEFERRAL
FEES EARNED FEES ANNUAL ANNUAL EXPENSE DECEMBER 31, 1994
BY TNE PERCENTAGE PERCENTAGE DEFERRAL (EXPIRES
SERIES ADVISERS(a) RATE RATE JUNE 30, 1995 DECEMBER 31, 1996)
------ ----------- ----------- ---------- ------------- ------------------
<S> <C> <C> <C> <C> <C>
Balanced................ $17,658 0.70% 0.85% $49,758 $ 8,151
International Equity.... 28,787 0.90 1.30 72,050 11,312
U.S. Government......... 5,940 0.55 0.70 46,074 6,163
Strategic Bond
Opportunities.......... 12,611 0.65 0.85 44,604 6,799
Venture Value........... 35,512 0.75 0.90 63,410 9,339
Equity Growth........... 31,127 0.70 0.85 50,152 6,007
</TABLE>
- --------
(a) Before reduction due to voluntary expense deferral.
124
<PAGE>
New England Zenith Fund
Notes to Financial Statements-June 30, 1995 (Unaudited)-Continued
- -------------------------------------------------------------------------------
TNE Advisers, Inc. pays each subadviser at the following rates for providing
advisory services to the Series:
<TABLE>
<CAPTION>
ANNUAL
FEES PERCENTAGE
SUBADVISER SERIES EARNED RATE AVERAGE NET ASSET VALUE LEVELS
---------- ------ ------ ---------- ------------------------------
<S> <C> <C> <C> <C>
Loomis Sayles Balanced $12,613 0.500% the first $25 million
0.400% the next $75 million
0.400% amounts in excess of $100 million
Draycott International Equity $23,989 0.750% the first $10 million
0.600% the next $40 million
0.450% amounts in excess of $50 million
Salomon Brothers U.S. Government $ 2,430 0.225% the first $200 million
0.150% the next $300 million
0.100% amounts in excess of $500 million
Salomon Brothers Strategic Bond Opportunities $ 6,791 0.350% the first $50 million
0.300% the next $150 million
0.250% the next $300 million
0.200% amounts in excess of $500 million
Selected/Venture Venture Value $21,307 0.450% the first $100 million
0.400% the next $400 million
0.350% amounts in excess of $500 million
Alger Equity Growth $20,010 0.450% the first $10 million
0.400% the next $90 million
0.350% the next $150 million
0.300% the next $250 million
0.250% amounts in excess of $500 million
</TABLE>
5. The Fund does not pay any compensation to its officers or to any trustees
who are directors, officers or employees of The New England, NEVLICO, Back Bay
Advisors, L.P., Capital Growth Management Limited Partnership, Loomis Sayles &
Company, L.P., Westpeak Investment Advisors, L.P., New England Funds L.P. or
their affiliates, other than registered investment companies. Each
disinterested trustee is compensated by each Series as follows:
<TABLE>
<CAPTION>
BOND CAPITAL MONEY STOCK AVANTI VALUE SMALL
INCOME GROWTH MARKET INDEX MANAGED GROWTH GROWTH CAP
------ ------- ------ ----- ------- ------ ------ -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Annual Retainer......... $2,500 $2,500 $1,667 $833 $2,500 $833 $833 $833
Meeting Fee............. $ 143 $ 143 $ 143 $143 $ 143 $143 $143 $143
Committee Chairman
Annual Retainer
(Contract Review)...... $ 214 $ 214 $ 214 $214 $ 214 $214 $214 $214
Committee Chairman
Annual Retainer
(Audit)................ $ 143 $ 143 $ 143 $143 $ 143 $143 $143 $143
</TABLE>
<TABLE>
<CAPTION>
STRATEGIC
INTERNATIONAL U.S. BOND VENTURE EQUITY
BALANCED EQUITY GOVERNMENT OPPORTUNITIES VALUE GROWTH
-------- ------------- ---------- ------------- ------- ------
<S> <C> <C> <C> <C> <C> <C>
Annual Retainer......... $833 $833 $833 $833 $833 $833
Meeting Fee............. $143 $143 $143 $143 $143 $143
Committee Chairman
Annual Retainer
(Contract Review)...... $214 $214 $214 $214 $214 $214
Committee Chairman
Annual Retainer
(Audit)................ $143 $143 $143 $143 $143 $143
</TABLE>
A deferred compensation plan is available to trustees on a voluntary basis.
Each participating trustee will receive deferred compensation in an amount
equal to the value that such compensation would have had if it had been
invested in the relevant Series on the normal payment date.
125
<PAGE>
501 Boylston Street BULK RATE
Boston, Massachusetts 02116 U.S.
POSTAGE
[LOGO APPEARS HERE] PAID
HUDSON, MA
PERMIT NO.
19
EQUAL OPPORTUNITY EMPLOYER M/F
- --------------------------------------------------------------------------------
