* BT ADVISOR FUNDS *
Capital Appreciation Fund
Global High Yield Securities Fund
International Equity Fund
Latin American Equity Fund
Pacific Basin Equity Fund
Small Cap Fund
ANNUAL REPORT
SEPTEMBER*1996
BT Advisor Funds
TABLE OF CONTENTS
BT ADVISOR FUNDS
Statement of Assets and Liabilities 3
Statement of Operations 4
Statement of Changes in Net Assets 5
Financial Highlights 6
Notes to Financial Statements 7
Report of Independent Accountants 9
BT PORTFOLIOS
Schedule of Portfolio Investments 10
Statement of Assets and Liabilities 20
Statement of Operations 21
Statement of Changes in Net Assets 22
Financial Highlights 23
Notes to Financial Statements 25
Report of Independent Accountants 29
BT Advisor Funds
STATEMENT OF ASSETS AND LIABILITIES
September 30, 1996
<TABLE>
<CAPTION>
GLOBAL LATIN PACIFIC
CAPITAL HIGH YIELD INTERNATIONAL AMERICAN BASIN SMALL
APPRECIATION SECURITIES EQUITY EQUITY EQUITY CAP
<S> <C> <C> <C> <C> <C> <C>
ASSETS
Investment in Portfolio,
at Value* $ 907,028 $ 176,855 $ 3,134,895 $ 18,523 $ 199,545 $ 2,805,623
Receivable for Shares of
Beneficial Interest
Subscribed 9,522 -- 9,521 -- 25,000 4,144
Deferred Organization
Expenses 7,887 8,223 7,887 8,366 8,223 7,892
Prepaid Expenses and
Other 2,617 2,032 2,616 2,032 2,032 2,616
Due from Bankers Trust 20,546 16,496 17,929 15,653 20,827 18,565
Total Assets 947,600 203,606 3,172,848 44,574 255,627 2,838,840
LIABILITIES
Accrued Expenses and
Other 23,479 21,124 28,798 20,119 25,554 26,120
Total Liabilities 23,479 21,124 28,798 20,119 25,554 26,120
NET ASSETS ($0.001 par
value per share,
unlimited
number of shares of
beneficial
interest
authorized) $ 924,121 $ 182,482 $ 3,144,050 $ 24,455 $ 230,073 $ 2,812,720
COMPOSITION OF
NET ASSETS
Paid-in Capital $ 824,401 $ 170,927 $ 3,032,159 $ 24,490 $ 234,460 $ 2,699,434
Accumulated Net
Investment
Income (Loss) (4,203) 4,440 11,384 (40) 307 (9,427)
Accumulated Net Realized
Gain (Loss) from
Investments and Foreign
Currency Transactions 34,323 4,044 47,220 31 1,704 (2,322)
Net Unrealized
Appreciation
(Depreciation) on
Investments,
Foreign Currencies
and Forward Foreign
Currency Exchange
Contracts 69,600 3,071 53,287 (26) (6,398) 125,035
NET ASSETS,
SEPTEMBER 30, 1996 $ 924,121 $ 182,482 $ 3,144,050 $ 24,455 $ 230,073 $ 2,812,720
NET ASSET VALUE AND
REDEMPTION PRICE
PER SHARE
(Net Assets Divided By
Shares Outstanding) $ 11.35 $ 10.83 $ 10.93 $ 9.92 $ 9.60 $ 11.46
MAXIMUM PUBLIC $ 11.92 $ 11.25 $ 11.48 $ 10.40 $ 10.08 $ 12.03
OFFERING PRICE
PER SHARE
SHARES OUTSTANDING 81,418 16,851 287,664 2,465 23,974 245,336
</TABLE>
* Allocated from Capital Appreciation Portfolio, Global High Yield
Securities Portfolio, International Equity Portfolio, Latin American Equity
Portfolio, Pacific Basin Equity Portfolio and Small Cap Portfolio,
respectively.
See Notes to Financial Statements on Pages 7 and 8
BT Advisor Funds
STATEMENT OF OPERATIONS
For the period ended September 30, 1996**
<TABLE>
<CAPTION>
GLOBAL
HIGH LATIN PACIFIC
CAPITAL YIELD INTERNATIONAL AMERICAN BASIN SMALL
APPRECIATION SECURITIES EQUITY EQUITY EQUITY CAP
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Income (Loss),
net* $ (341) $ 6,032 $ 23,434 $ 14 $ 852 $ (1,029)
EXPENSES
Administration
and Services 2,789 530 9,755 41 482 6,065
Shareholder
Reports 5,060 3,060 6,000 3,060 8,000 5,060
Registration 1,471 172 1,999 123 190 2,135
Professional 8,957 7,548 9,301 7,229 7,294 8,379
Trustees 4,814 4,357 4,792 3,824 3,800 4,792
12b-1 Distribution 2,145 195 5,738 22 321 4,666
Miscellaneous 1,960 1,583 2,149 1,449 1,766 1,931
Total Expenses 27,196 17,445 39,734 15,748 21,853 33,028
Less: Expenses (23,334) (17,026) (27,684) (15,694) (21,308) (24,630)
Absorbed by
Bankers Trust
Net Expenses 3,862 419 12,050 54 545 8,398
NET INVESTMENT (4,203) 5,613 11,384 (40) 307 (9,427)
INCOME (LOSS)
REALIZED AND
UNREALIZED GAIN
(LOSS) FROM
INVESTMENTS AND
FOREIGN CURRENCY
TRANSACTIONS
Net Realized Gain
(Loss) from:
Investment
Transactions 34,323 4,223 46,301 39 1,613 (2,322)
Foreign Currency
Transactions -- (179) 919 (8) 91 --
Net Unrealized
Appreciation
(Depreciation) on
Investments, Foreign
Currencies and
Forward Foreign
Currency
Exchange
Contracts 69,600 3,071 53,287 (26) (6,398) 125,035
NET REALIZED AND
UNREALIZED GAIN
(LOSS) FROM
INVESTMENTS,
FOREIGN CURRENCY
AND FORWARD FOREIGN
CURRENCY EXCHANGE 103,923 7,115 100,507 5 (4,694) 122,713
CONTRACTS
NET INCREASE
(DECREASE) IN NET
ASSETS FROM
OPERATIONS $99,720 $ 12,728 $ 111,891 $ (35) $ (4,387) $ 113,286
</TABLE>
* Income allocated from Capital Appreciation Portfolio, Global High Yield
Securities Portfolio, International Equity Portfolio, Latin American Equity
Portfolio, Pacific Basin Equity Portfolio and Small Cap Portfolio,
respectively.
** For the period from Commencement of Operations to September 30, 1996. The
following are commencement dates for each Fund:
Funds Commencement of Operations
Capital Appreciation February 16, 1996
Global High Yield Securities April 26, 1996
International Equity February 16, 1996
Latin American Equity May 24, 1996
Pacific Basin Equity April 26, 1996
Small Cap February 16, 1996
See Notes to Financial Statements on Pages 7 and 8BT Advisor Funds
STATEMENT OF CHANGES IN NET ASSETS
For the period ended September 30, 1996*
<TABLE>
<CAPTION>
GLOBAL HIGH
CAPITAL YIELD INTERNATIONAL
APPRECIATION SECURITIES EQUITY
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income $ (4,203) $ 5,613 $ 11,384
(Loss)
Net Realized Gain on Investments and Foreign Currency
Transactions 34,323 4,044 47,220
Net Unrealized Appreciation on Investments, Foreign Currencies
and Forward Foreign Currency Exchange
Contracts 69,600 3,071 53,287
Net Increase in Net Assets from Operations 99,720 12,728 111,891
DISTRIBUTIONS TO SHAREHOLDERS
Net Investment Income -- (1,173) --
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Net Proceeds from Sales of Shares 774,451 171,745 3,082,149
Dividend Reinvestments -- 1,172 --
Cost of Shares Redeemed (50,000) (2,000) (50,000)
NET INCREASE FROM CAPITAL TRANSACTIONS IN SHARES OF
BENEFICIAL INTEREST 724,451 170,917 3,032,149
TOTAL INCREASE IN NET ASSETS NET ASSETS 824,171 182,472 3,144,040
Beginning of Period 99,950 10 10
End of Period (including undistributed accumulated net
investment income (loss) of $(4,203), $4,440 and
$11,384, respectively) $ 924,121 $ 182,482 $ 3,144,050
</TABLE>
<TABLE>
<CAPTION>
LATIN PACIFIC
AMERICAN BASIN SMALL
EQUITY EQUITY CAP
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS
Net Investment Income (Loss) $ (40) $ 307 $ (9,427)
Net Realized Gain (Loss) on Investments and Foreign Currencies
Transactions 31 1,704 (2,322)
Net Unrealized Appreciation (Depreciation) on Investments, Foreign
Currencies and Forward Foreign Currency Exchange
Contracts (26) (6,398) 125,035
Net Increase (Decrease) in Net Assets from Operations (35) (4,387) 113,286
CAPITAL TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Net Proceeds from Sales of Shares 24,480 243,978 2,750,190
Cost of Shares Redeemed -- (9,528) (50,766)
NET INCREASE FROM CAPITAL 24,480 234,450 2,699,424
TRANSACTIONS IN SHARES OF
BENEFICIAL INTEREST
TOTAL INCREASE IN NET ASSETS NET ASSETS 24,445 230,063 2,812,710
Beginning of Period 10 10 10
End of Period (including undistributed accumulated net
investment income (loss) of $(40), $307 and $(9,427), respectively) $ 24,455 $ 230,073 $ 2,812,720
</TABLE>
* The period represents from Commencement of Operations to September 30,
1996. The following are commencement dates for each Fund:
Funds Commencement of Operations
Capital Appreciation February 16, 1996
Global High Yield Securities April 26, 1996
International Equity February 16, 1996
Latin American Equity May 24, 1996
Pacific Basin Equity April 26, 1996
Small Cap February 16, 1996
See Notes to Financial Statements on Pages 7 and 8
BT Advisor Funds
FINANCIAL HIGHLIGHTS
Contained below are selected data for a share outstanding, total investment
return and other supplemental data and ratios for the period indicated for
each of the Funds.
<TABLE>
<CAPTION>
GLOBAL HIGH
CAPITAL YIELD INTERNATIONAL
APPRECIATION** SECURITIES** EQUITY**
<S> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, $ 10.00 $ 10.00 $ 10.00
BEGINNING OF PERIOD
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) (0.05) 0.45 0.04
Net Realized and Unrealized Gain on
Investments 1.40 0.49 0.89
Total from Investment Operations 1.35 0.94 0.93
DISTRIBUTION TO SHAREHOLDERS FROM:
Net Investment Income -- (0.11) --
NET ASSET VALUE, END OF PERIOD $ 11.35 $ 10.83 $ 10.93
TOTAL INVESTMENT RETURN 13.50% 9.51% 9.30%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000's) $ 924 $ 182 $ 3,144
Ratios to Average Net Assets
Net Investment Income (Loss) (0.98)%* 10.08%* 0.99%*
Expenses, including Expenses of the
Portfolio*** 1.50%* 1.50%* 1.70%*
Decrease Reflected in Above Expense Ratio Due to Absorption
of Expenses by Bankers Trust 5.61%* 31.02%* 2.61%*
</TABLE>
<TABLE>
<CAPTION>
LATIN PACIFIC SMALL
AMERICAN BASIN
EQUITY** EQUITY** CAP**
<S> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 $ 10.00 $ 10.00
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income (Loss) (0.02) 0.01 (0.04)
Net Realized and Unrealized Gain (Loss) on Investments (0.06) (0.41) 1.50
Total from Investment Operations (0.08) (0.40) 1.46
NET ASSET VALUE, END OF PERIOD $ 9.92 $ 9.60 $ 11.46
TOTAL INVESTMENT RETURN (0.80)% (4.00)% 14.60%
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000's) $ 24 $ 230 $ 2,813
Ratios to Average Net Assets
Net Investment Income (Loss) (0.91)%* 0.48%* (1.01)%*
Expenses, including Expenses of the Portfolio*** 2.25%* 1.85%* 1.50%*
Decrease Reflected in Above Expense Ratio Due to Absorption
of Expenses by Bankers Trust 359.36%* 33.30%* 2.81%*
</TABLE>
* Annualized
** The period represents from Commencement of Operations to September 30,
1996. The following are commencement dates for each fund, respectively:
Funds Commencement of Operations
Capital Appreciation February 16, 1996
Global High Yield Securities April 26, 1996
International Equity February 16, 1996
Latin American Equity May 24, 1996
Pacific Basin Equity April 26, 1996
Small Cap February 16, 1996
*** Expenses allocated from Capital Appreciation Portfolio, Global High
Yield Securities Portfolio, International Equity Portfolio, Latin American
Equity Portfolio, Pacific Basin Equity Portfolio and Small Cap Portfolio.
See Notes to Financial Statements on Pages 7 and 8
BT Advisor Funds
NOTES TO FINANCIAL STATEMENTS
NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
BT Advisor Funds ("the Trust") is registered under the Investment Company
Act of 1940 ("the Act"), as amended, as an open-end management investment
company. The Trust was organized on July 24, 1995, as a business trust under
the laws of the Commonwealth of Massachusetts. The BT Advisor Capital
Appreciation Fund, Global High Yield Securities Fund, International Equity
Fund, Latin American Equity Fund, Pacific Basin Equity Fund and Small Cap
Fund (each a "Fund", and collectively, the "Funds") are offered to investors
by the Trust. The Capital Appreciation Fund, Global High Yield Securities
Fund, International Equity Fund, Latin American Equity Fund, Pacific Basin
Equity Fund and Small Cap Fund invest substantially all of their assets in
the Capital Appreciation Portfolio, Global High Yield Securities Portfolio,
International Equity Portfolio, Latin American Equity Portfolio, Pacific
Basin Equity Portfolio and Small Cap Portfolio (each a "Portfolio" and
collectively, the "Portfolios"), respectively. Each Portfolio is an open-end
management investment company registered under the Act. The Funds seek to
achieve their investment objectives by investing all of their investable
assets in the respective Portfolio. The value of such investment in the
Portfolios reflects each Fund's proportionate interest in the net assets of
the respective Portfolio at September 30, 1996 as follows:
FUND INVESTMENT IN PORTFOLIO
Capital Appreciation 1.33%
Global High Yield Securities 0.90%
International Equity 1.91%
Latin American Equity 0.11%
Pacific Basin Equity 0.67%
Small Cap 1.14%
The financial statements of each of the Portfolios, including the Schedules
of Portfolio Investments, are contained elsewhere in this report.
B. Investment Income
Each of the Funds earns income, net of expenses, daily on its investment in
the respective Portfolio. All of the net investment income and realized and
unrealized gains and losses from the security transactions of each Portfolio
are allocated pro rata among the investors in the Portfolio at the time of
such determination.
C. Organization Expenses
Costs incurred by each Fund in connection with its organization and initial
registration are being amortized evenly over a five year period.
D. Dividends
It is the Global High Yield Securities Fund's policy to declare and
distribute dividends quarterly to shareholders from net investment income.
The Capital Appreciation Fund, International Equity Fund, Latin American
Equity Fund, Pacific Basin Equity Fund and Small Cap Fund, declare and
distribute dividends from net investment income, if any, annually. Dividends
payable to shareholders are recorded by each Fund on the ex-dividend date.
Distributions of net realized short-term and long-term capital gains, if
any, earned by each Fund will be made annually.
E. Federal Income Taxes
It is each Fund's policy to comply with the requirements of the Internal
Revenue Code. Therefore, no federal income tax provision is required. Each
of the Funds may periodically make reclassifications among certain of its
capital accounts as a result of the timing and characterization of certain
income and capital gains distributions determined annually in accordance
with federal tax regulations which may differ from generally accepted
accounting principles.
F. Other
The Trust accounts separately for the assets, liabilities, and operations of
each of the Funds. Expenses directly attributable to each Fund are charged
to that Fund, while expenses which are attributable to all of the Trust's
Funds are allocated among them.
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts in the financial statements.
NOTE 2--FEES AND TRANSACTIONS WITH AFFILIATES
The Funds have entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and
Services Agreement, Bankers Trust provides administrative, custody, transfer
agency and shareholder services to each of the Funds in return for a fee
computed daily and paid monthly at an annual rate of each Fund's average
daily net assets. The following table provides the annual rates and
aggregate fees for each of the Funds for the period ended September 30,
1996:
ANNUAL AGGREGATE
Fund Rate Fees
Capital Appreciation Fund 0.65 of 1% $2,789
Global High Yield Securities Fund 0.95 of 1% 530
International Equity Fund 0.85 of 1% 9,755
Latin American Equity Fund 0.95 of 1% 41
Pacific Basin Equity Fund 0.75 of 1% 482
Small Cap Fund 0.65 of 1% 6,065
On September 30, 1996, the Trust entered into a Distribution Agreement with
Edgewood Services, Inc. ("Edgewood"). Prior to September 30, Signature
Broker-Dealer Services, Inc. ("Signature") was the Trust's distributor.
Under the Distribution Agreements with the Trust, pursuant to Rule 12b-1 of
the 1940 Act, Edgewood, and previously Signature, may seek reimbursement, at
an annual rate not exceeding 0.50 of 1% (0.35% of 1% in the case of the
Global High Yield Securities Fund) of each Fund's average daily net assets,
for expenses incurred in connection with any activities primarily intended
to result in the sale of each Fund's shares. For the period ended September
30, 1996, reimbursable expenses incurred were as follows:
DISTRIBUTION
FUND EXPENSES INCURRED
Capital Appreciation $2,145
Global High Yield Securities 195
International Equity 5,738
Latin American Equity 22
Pacific Basin Equity 321
Small Cap 4,666
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of
each Fund, to the extent necessary, to limit all expenses based upon the
daily net assets of the Portfolio: Capital Appreciation Fund to 0.90 of 1%
of the average daily net assets of the Fund, excluding expenses of the
Portfolio and 1.50 of 1% of the average daily net assets of the Fund,
including expenses of the Portfolio, Global High Yield Securities Fund to
0.75 of 1% of the average daily net assets of the Fund, excluding expenses
of the Portfolio and 1.50 of 1% of the average daily net assets of the Fund,
including expenses of the Portfolio, International Equity Fund to 1.05 of 1%
of the average daily net assets of the Fund, excluding expenses of the
Portfolio and 1.70 of 1% of the average daily net assets of the Fund,
including expenses of the Portfolio, Latin American Equity Fund to 1.25 of
1% of the average daily net assets of the Fund, excluding expenses of the
Portfolio and 2.25 of 1% of the average daily net assets of the Fund,
including expenses of the Portfolio, Pacific Basin Equity to 0.85 of 1% of
the average daily net assets of the Fund, excluding expenses of the
Portfolio and 1.85 of 1% of the average daily net assets of the Fund,
including expenses of the Portfolio and Small Cap Fund to 0.90 of 1% of the
average daily net assets of the Fund, excluding expenses of the Portfolio
and 1.50 of 1% of the average daily net assets of the Fund, including
expenses of the Portfolio. For the period ended September 30, 1996, expenses
of the Funds have been reduced as follows:
FUND EXPENSES REDUCED
Capital Appreciation $23,334
Global High Yield Securities 17,026
International Equity 27,684
Latin American Equity 15,694
Pacific Basin Equity 21,308
Small Cap 24,630
Each of the Funds is subject to such limitations as may from time to time be
imposed by the Blue Sky laws of states in which each of the Funds sells its
shares. Currently, the most restrictive jurisdiction imposed expense
limitation is 2.5% of the first $30,000,000 of the average daily net assets,
2.0% of the next $70,000,000, and 1.5% of any excess over $100,000,000.
Certain trustees and officers of the Funds are also directors, officers
and/or employees of Signature and/or Edgewood. None of the trustees so
affiliated received compensation for services as trustees of the Funds.
Similarly, none of the Funds' officers received compensation from the Funds.
NOTE 3--SUBSEQUENT EVENTS
On October 18, 1996, the Board of Trustees voted to discontinue the offering
of shares of beneficial interest of BT Advisor Funds.
NOTE 4--SHARES OF BENEFICIAL INTEREST
At September 30, 1996, there were an unlimited number of shares of
beneficial interest authorized. Transactions in shares of beneficial
interest were as follows:
<TABLE>
<CAPTION>
FOR THE PERIOD ENDED SEPTEMBER 30, 1996
CAPITAL GLOBAL HIGH INTERNATIONAL
APPRECIATION YIELD SECURITIES EQUITY
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C> <C> <C>
Sold 76,335 $774,451 16,930 $171,745 292,527 $3,082,149
Reinvested -- -- 116 1,172 -- --
Redeemed (4,912) (50,000) (196) (2,000) (4,864) (50,000)
Increase 71,423 $724,451 16,850 $170,917 287,663 $3,032,149
<CAPTION>
FOR THE PERIOD ENDED SEPTEMBER 30, 1996
LATIN AMERICAN PACIFIC BASIN SMALL
EQUITY EQUITY CAP
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
Sold 2,464 $24,480 24,978 $243,978 250,179 $2,750,190
Redeemed -- -- (1,005) (9,528) (4,844) (50,766)
Increase 2,464 $24,480 23,973 $234,450 245,335 $2,699,424
</TABLE>
Report of Independent Accountants
To the Trustees and Shareholders of
BT Advisor Funds:
We have audited the accompanying statement of assets and liabilities of BT
Advisor Funds (comprised of the Capital Appreciation, Global High Yield
Securities, International Equity, Latin American Equity, Pacific Basin
Equity and Small Cap Funds) as of September 30, 1996 and the related
statement of operations, the statement of changes in net assets and the
financial highlights for the periods February 16, 1996 (commencement of
operations)to September 30, 1996 for the Capital Appreciation and Small Cap
Funds, April 26, 1996 (commencement of operations) to September 30, 1996
for the Global High Yield Securities and Pacific Basin Equity Funds,
February 26, 1996 (commencement of operations) to September 30, 1996 for
the International Equity Fund, and May 24, 1996 (commencement of
operations) to September 30, 1996 for the Latin American Equity Fund. These
financial statements and financial highlights are the responsibility of the
Fund's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statements. Our procedures included confirmation of
securities owned as of September 30, 1996, by correspondence with the
custodian. An audit also includes assessing the accounting principles used
and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits
provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position
of each of the Funds comprising BT Advisor Funds as of September 30, 1996,
the results of their operations, the changes in their net assets, and the
financial highlights for the periods referred to above, in conformity with
generally accepted accounting principles.
/s/Coopers & Lybrand L.L.P.
Coopers & Lybrand L.L.P.
Kansas City, Missouri
October 29, 1996
Capital Appreciation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
September 30, 1996
<TABLE>
<CAPTION>
Shares Description Value
<C> <S> <C>
COMMON STOCKS - 91.90%
AMERICA'S CHANGING LEISURE TIME - 7.78%
20,364 Applebees International, Inc.(a) $ 539,646
8,865 Callaway Golf Co. 302,518
16,247 Circus Circus Enterprises, Inc.(a) 574,738
3,842 Gemstar International Group Ltd.(a) 113,339
35,249 GT Interactive Software Corp.(a) 801,915
11,225 HFS, Inc.(a) 750,672
38,455 International Game Technology 788,327
26,655 Mirage Resorts, Inc.(a) 683,034
23,175 Starbucks Corp.(a) 764,775
5,318,964
AMERICA'S INDUSTRIAL RENAISSANCE - 5.75%
28,228 Agco Corp. 719,814
10,650 Harman International Industries, Inc. 519,187
19,091 Input/Output, Inc.(a) 567,957
9,167 Potash Corporation of Saskatchewan, Inc. 670,337
10,287 Raychem Corp. 771,525
10,983 Western Atlas, Inc.(a) 683,692
3,932,512
CLIENT-SERVER COMPUTING - 5.02%
15,550 Adaptec, Inc.(a) 933,000
20,725 Cadence Design System, Inc.(a) 740,919
30,104 Cognos, Inc.(a) 982,143
9,350 Peoplesoft, Inc.(a) 778,387
3,434,449
ENVIRONMENTAL CRISIS - 1.33%
26,655 U.S. Filter Corp.(a) 909,602
FLOURISHING IN THE MANAGED CARE ENVIRONMENT - 2.30%
16,761 Oxford Health Plans, Inc. 833,860
48,350 Physician Reliance Network, Inc.(a) 737,337
1,571,197
INTERACTIVE MEDIA - 5.22%
10,350 Clear Channel Communications, Inc.(a) 915,975
16,399 CUC International, Inc.(a) 653,910
14,915 Intuit, Inc.(a) 469,823
16,822 Outdoor Systems, Inc.(a) 790,634
17,185 The Providence Journal Co. -Cl. A(a) 504,809
6,989 Univision Communications, Inc.(a) 234,132
3,569,283
LIFE ON THE NET - 4.05%
10,439 America Online, Inc.(a) 371,889
4,630 McAfee Associates, Inc.(a) 319,470
7,808 Netscape Communications Corp.(a) 362,096
45,443 Network General Corp.(a) 1,039,509
15,068 VeriFone, Inc.(a) 674,293
2,767,257
LIFE SCIENCES REVOLUTION - 6.20%
17,790 BioChem Pharma, Inc.(a) 713,824
20,998 Centocor, Inc.(a) 745,429
22,782 Elan Corp., ADR(a) 680,612
10,347 Genetics Institute, Inc.(a) 719,117
24,355 Genzyme Corp.(a) 621,052
17,850 U.S. Surgical Corp. 758,625
4,238,659
MANAGING THE INFORMATION AGE - 3.72%
34,431 Cheyenne Software, Inc.(a) 740,266
10,167 Electronics for Imaging, Inc 729,482
19,697 Pure Atria Corp.(a) 743,562
11,285 Sterling Commerce, Inc. 332,907
2,546,217
MOVE TO OUTSOURCING - 8.97%
25,475 AccuStaff, Inc.(a) 659,166
18,698 APAC Teleservices, Inc.(a) 958,272
10,878 CoreStaff, Inc.(a) 290,986
21,482 Corporate Express, Inc.(a) 835,113
11,588 Danka Business Systems, ADR 460,623
17,578 Global DirectMail Corp.(a) 839,350
18,049 Paychex, Inc. 1,046,842
4,477 Quintiles Transnational Corp.(a) 327,940
22,722 USA Waste Services, Inc.(a) 715,743
6,134,035
NEW CONSUMER - 8.70%
10,044 Abercrombie & Fitch Co.(a) 246,078
10,257 Blyth Industries, Inc.(a) 497,465
6,807 Fila Holdings, ADR 654,323
12,042 Gucci Group NV 873,045
12,586 Jones Apparel Group, Inc.(a) 802,358
19,576 Saks Holdings, Inc.(a) 685,160
34,369 Staples, Inc.(a) 762,562
11,314 Tommy Hilfiger Corp.(a) 670,354
26,747 Williams-Sonoma, Inc.(a) 758,946
5,950,291
NEW HEALTH CARE PARADIGM - 4.27%
9,470 Cardinal Health, Inc.(a) 782,459
16,973 Healthsouth Corp.(a) 651,339
23,417 Omnicare, Inc. 714,218
20,363 PhyCor, Inc.(a) 775,067
2,923,083
OTHER - 1.47%
16,490 IMC Global, Inc. 645,171
15,552 Sunbeam Corporation, Inc 359,640
1,004,811
PRODUCTIVITY ENHANCEMENT - 4.04%
15,976 Catalina Marketing Corp.(a) 850,722
13,101 Checkpoint Systems, Inc.(a) 347,176
15,914 Compuware Corp.(a) 728,066
17,003 Parametric Technology Co. 839,523
2,765,487
REDISTRIBUTION OF DEBT - 0.88%
22,601 The Money Store, Inc. 598,927
RE-ENERGIZING AMERICA - 4.56%
20,634 BJ Services Co.(a) 747,983
13,312 Cooper Cameron Corp.(a) 763,776
42,933 Global Marine, Inc.(a) 676,195
24,991 Tidewater, Inc. 934,039
3,121,993
SPECIAL SITUATIONS - 0.38%
13,433 Softkey International, Inc.(a) 260,264
</TABLE>
Capital Appreciation Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
September 30, 1996
<TABLE>
<CAPTION>
Shares Description Value
<C> <S> <C>
STORES OF VALUE - 7.65%
19,908 Borders Group, Inc.(a) $ 741,573
22,328 Consolidated Stores Corp.(a) 893,120
12,859 Nine West Group, Inc.(a) 697,601
17,276 Oakley, Inc.(a) 734,230
28,501 PETsMART, Inc.(a) 737,463
30,013 Price/Costco, Inc.(a) 615,267
22,631 U.S. Office Products Co.(a) 811,887
5,231,141
TELECOMMUNICATIONS - 6.96%
13,645 Andrew Corp.(a) 680,544
11,013 Aspect Telecommunication Corp.(a) 685,559
12,101 Excel Communications, Inc.(a) 382,694
27,623 McLeod, Inc.-Cl. A(a) 911,559
7,684 Omnipoint Corp.(a) 223,797
14,191 QUALCOMM, Inc.(a) 603,118
34,401 Teleport Communications Group Inc.(a) 812,724
21,420 WorldCom, Inc.(a) 457,853
4,757,848
THE UBIQUITOUS SEMICONDUCTOR - 0.43%
8,683 Xilinx, Inc. 295,222
THE GREYING OF AMERICA - 2.22%
11,165 Guidant Corp. $ 616,866
8,230 Loewen Group, Inc.(a) 344,631
25,234 Nellcor Puritan Bennett, Inc.(a) 555,148
1,516,645
TOTAL COMMON STOCKS (Cost $47,822,620) $62,847,887
<CAPTION>
Principal
Amount
<C> <S> <C>
SHORT TERM INVESTMENTS - 7.90%
U.S. TREASURY BILLS - 7.90%
$3,105,740 5.00%, 10/24/96 $ 3,095,765
2,325,145 5.12%, 12/5/96 2,304,491
TOTAL SHORT TERM INVESTMENTS (Cost $5,399,135) $ 5,400,256
TOTAL INVESTMENTS (Cost $53,221,755) - 99.80% $ 68,248,143
Other Assets in Excess of Liabilities - 0.20% 137,352
NET ASSETS - 100.00% $ 68,385,495
</TABLE>
(a) Non-Income Producing Security
See Notes to Financial Statements on Pages 25-28
Global High Yield Securities Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
September 30, 1996
<TABLE>
<CAPTION>
Principal
Amount Description Value
<C> <S> <C>
CORPORATE DEBENTURES - 41.56%
CHINA - 1.33%
$ 250,000 Zhuhai Highway 11.50%, 7/1/08(b) $ 263,125
COLOMBIA - 2.72%
500,000 Celcaribe, 3/15/04(b)(c) 537,500
HONG KONG - 9.78%
500,000 Bank of East Asia 2.00%, 7/19/03 520,000
350,000 China Overseas Land 5.25%, 12/8/00 353,937
390,000 Hysan Development Finance 6.75%, 6/1/00 444,112
500,000 Lai Fung Overseas Finance 5.75%, 1/5/98 458,750
150,000 New World Development 4.375%, 12/11/00 153,469
1,930,268
INDIA - 0.27%
50,000 Mahindra & Mahindra 5.00%, 7/9/01 53,000
MALAYSIA - 1.06%
250,000 Aokam Perdana Berhad 3.50%, 6/13/04 208,750
SOUTH AFRICA - 1.75%
20,000 Investec Overseas Finance 6.375%, 11/30/02(b) 21,550
300,000 Investec Overseas Finance 6.375%, 11/30/02 324,375
345,925
THAILAND - 0.70%
150,000 Tanayong Public 3.50%, 3/1/04 138,000
UNITED KINGDOM - 1.90%
500,000 Videotron Holdings Plc., 7/1/04(c) 376,250
UNITED STATES - 22.05%
$ 500,000 Cinemark USA, Inc. 9.625%, 8/1/08(b) $ 491,250
250,000 Eagle Food Centers, Inc. 8.625%, 4/15/00 235,625
500,000 Giant Industries 9.75%, 11/15/03 506,250
150,000 Grupo Industrial Durango 12.625%, 8/1/03 159,938
400,000 Nextel Communications, Inc. 8/15/04(e) 261,000
200,000 Paracelsus Healthcare 10.00%, 8/15/06 206,750
500,000 Pricellular, 10/1/03(c) 407,500
500,000 Schuller International Group 10.875%, 12/15/04 548,750
500,000 Station Casinos 10.125%, 3/15/06 493,750
500,000 Tenet Healthcare 8.625%, 12/1/03 523,125
250,000 Twin Laboratories 10.25%, 5/15/06(b) 252,500
250,000 United Meridian Corp. 10.375%, 10/15/05 266,875
4,353,313
TOTAL CORPORATE DEBENTURES (Cost $7,808,167) $ 8,206,131
GOVERNMENT BONDS - 53.07%
ARGENTINA - 7.06%
500,000 Argentina Discount 6.437%, 3/31/23 370,000
245,000 Argentina FRB 6.625%, 3/31/05 205,494
1,400,000 Argentina Par Ser. L-GP 5.25%, 3/31/23(a) 819,000
1,394,494
BRAZIL - 16.65%
1,136,551 Brazil C 8.00%, 4/15/14 (f) 801,269
1,298,916 Brazil C Ser. L 8.00%, 4/15/14 (f) 915,735
1,000,000 Brazil DCB Ser. L 6.562%, 4/15/12(a) 755,625
1,000,000 Brazil New Money Bond 6.562%, 4/15/09 813,750
3,286,379
</TABLE>
Global High Yield Securities Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
September 30, 1996
<TABLE>
<CAPTION>
Principal
Amount Description Value
<C> <S> <C>
BULGARIA - 1.29%
$ 500,000 Bulgaria Discount 6.687%, 7/28/24(a) $ 254,063
MEXICO-17.91%
500,000 Mexico Discount Ser. D 6.453%, 12/31/19 421,875
1,000,000 Mexico Discount Ser. B 6.390%, 12/31/19 845,000
2,550,000 Mexico Par Ser. B 6.25%, 12/31/19 1,772,250
500,000 United Mexican States, 11.375%, 9/15/16 497,500
3,536,625
MOROCCO - 3.18%
800,000 Morocco Restructuring & Consolidation
Agreement Ser. A 6.437%, 1/1/09(a) 628,500
PANAMA - 4.00%
700,000 Panama IRB 3.50%, 7/17/14 441,000
505,000 Panama PDI 6.75%, 7/17/16 348,766
789,766
POLAND - 2.98%
615,000 Poland Discount 6.437%, 10/27/24(a) 587,325
TOTAL GOVERNMENT BONDS (Cost $9,209,215) $ 10,477,152
OTHER SECURITIES - 1.44%
SOUTH AFRICA - 1.36%
24,185 Bidvest Group Ltd. $ 133,192
9,035 Fedsure Holdings Ltd. 63,690
151 South African Breweries 4,025
2,580 South African Breweries - B 68,201
269,108
UNITED STATES - 0.08%
500 IHF Holdings - Warrants Ser. I
Expire 11/14/99 (Cost $0) 15,000
TOTAL OTHER SECURITIES (Cost $298,263) $ 284,108
TOTAL INVESTMENTS (Cost $17,315,645) - 96.07% $ 18,967,391
Other Assets in Excess of Liabilities - 3.93% 775,764
NET ASSETS - 100.00% $ 19,743,155
</TABLE>
(a) Floating Rate Security
(b) Securities exempt from registration under Rule 144A of the Securities
Act of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
(c) Debt obligations initially issued in zero coupon form which convert to
coupon form at specified rate and date.
(d) Non-Income Producing Security.
(e) Zero coupon.
(f) Payment-in-Kind Security.
See Notes to Financial Statements on Pages 25-28
International Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
September 30, 1996
<TABLE>
<CAPTION>
Shares Description Value
<C> <S> <C>
COMMON STOCKS - 90.24%
AUSTRALIA - 2.62%
265,000 Aristocrat Leisure (Entertainment) $ 744,415
307,300 Capral Aluminum Ltd. 936,191
(Metals-Diversified)
206,960 News Corporation (Services) 1,085,778
140,000 TABCORP Holdings Ltd. (Capital 691,280
Equipment)
134,000 WMC Ltd. (Mining) 862,058
4,319,722
AUSTRIA - 0.61%
10,000 OMV AG (Energy) 1,006,421
BRAZIL - 0.34%
8,600,000 Telec Brasileiras-Telebras"ON" 561,877
(Telecommunication)
CANADA - 0.33%
24,800 Canadian Natural Resources Ltd. (Energy)(a) 549,776
FINLAND - 2.34%
79,900 KCI Konecranes International Corp.
(Capital Equipment)(a) 2,221,631
36,800 Nokia AB ADR-A (Consumer Goods) 1,628,400
3,850,031
FRANCE - 11.62%
14,889 Accor SA (Diversified) $ 1,840,463
67,100 Assurances Generales de France (Finance) 1,879,887
22,000 Chargeurs International SA 814,136
(Diversified)
11,750 Christian Dior (Consumer Goods) 1,375,041
13,987 Club Mediterranee (Services) 1,002,691
6,117 Compagnie Generale des Eaux 664,878
(Diversified)
2,200 Comptoirs Modernes (Retail-Grocery) 1,043,458
66,700 Dassault Systemes SA (Computer Software)(a) 2,793,063
21,200 Genset ADR (Biopharmaceuticals)(a) 365,700
7,000 Groupe Danone (Food Processing) 1,022,611
20,944 Lyonnaise des Eaux-Dumez 1,874,746
(Diversified)
7,900 Pathe SA (Services)(a) 2,018,891
29,800 SGS-Thomson Microelectronics N.V.
(Consumer Goods)(a) 1,411,775
13,251 Total SA - B (Energy) 1,043,639
19,150,979
GERMANY - 7.13%
31,000 Adidas AG (Consumer Goods)(b) 2,822,986
40,600 BASF AG (Diversified) 1,277,650
6,500 Berliner Kraft & Licht (Utilities) 1,768,504
10,344 SAP AG - Vorzug (Computer Software) 1,739,485
16,000 SGL Carbon AG (Diversified) 1,867,174
6,100 Volkswagen AG (Consumer Goods) 2,275,552
11,751,351
</TABLE>
International Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
September 30, 1996
<TABLE>
<CAPTION>
Shares Description Value
<C> <S> <C>
HONG KONG - 6.91%
797,000 CDL Hotels International (Services) $ 432,872
127,000 Cheung Kong Holdings, Ltd. (Finance) 977,176
687,000 China Resources Enterprises, Ltd. (Real Estate) 692,952
2,000,000 China Travel International Investment
Hong Kong Ltd. (Transportation) 594,853
500,000 First Pacific Co. (Diversified)(b) 756,498
2,412,000 First Sign International Holdings Ltd. 647,213
(Textile)
672,000 Founder Hong Kong Ltd. (Services)(a) 262,873
662,000 Giordano International Ltd. 582,129
(Diversified)
770,000 Goldlion Holdings Ltd. (Consumer Goods) 652,205
806,000 Guangnan Holdings, Ltd. (Services) 536,778
28,200 Guangshen Railway Company Ltd.
(Transportation)(a) 535,800
138,000 Guoco Group (Finance) 674,564
166,000 Hutchison Whampoa Ltd. (Diversified) 1,116,255
133,000 Jardine Matheson Holdings 831,250
(Diversified)
114,000 Pico Far East Holdings (Diversified) 25,061
626,000 Shanghai Industrial Holdings Ltd. 1,436,894
(Diversified)(a)
1,856,000 Theme International Holdings Ltd.
(Consumer Goods) 630,027
11,385,400
INDIA - 0.37%
46,000 Tata Engineering and Locomotive Company Ltd.
(Diversified)(b) 603,750
INDONESIA - 1.16%
217,500 Bukaka Teknik Utama PT (Capital 175,570
Equipment)
332,000 Ciputra Development PT (Real Estate) 264,422
498,000 Citra Marga Nusaphala Persada PT
(Capital Equipment) 337,674
545,000 Fiskaragung Perkasa PT (Consumer Goods)(a) 404,738
207,000 Kalbe Farma PT (Pharmaceuticals) 494,597
265,200 Steady Safe PT (Transportation) 242,617
1,919,618
IRELAND - 2.20%
192,600 Bank of Ireland (Finance) 1,517,663
207,300 CRH Plc. (Materials) 2,101,634
3,619,297
ITALY - 5.34%
75,000 Bulgari SPA (Consumer Goods) 1,396,965
1,400,000 Credito Italiano (Finance) 1,608,751
246,700 Ente Nazionale Idrocarburi SPA (Oil) 1,261,824
1,020,000 Parmalat Finanziaria SPA (Finance) 1,467,626
62,000 Safilo SPA (Consumer Goods) 1,380,901
486,700 Societa Finanziaria Telefonica (Services) 1,689,964
8,806,031
JAPAN - 15.44%
92,600 AJL Peps Trust (Consumer Goods) 1,828,850
68,000 Canon Inc.(Capital Equipment) 1,337,104
51,000 Daimaru Inc. (Services) 337,939
280 East Japan Railway Co. (Transportation) 1,352,548
163,000 Hitachi Ltd. (Capital Equipment) 1,580,606
58,000 Jusco Co. (Services) 1,765,387
204,000 Mitsubishi Electric Corp. (Capital Equipment) 1,392,054
64,000 Mitsubishi Estate Co. (Finance) 879,192
237,000 Mitsubishi Heavy Industry (Capital Equipment) 1,930,047
200,000 Obayashi Corp. (Capital Equipment) 1,641,302
75,000 Sankyo Co. (Health & Personal) 1,919,192
30,000 Sony Corp. (Consumer Goods) 1,893,603
440,000 Sumitomo Metal Industries (Steel) 1,248,395
114,000 Sumitomo Realty & Development (Finance) 878,222
108,000 Takashimaya Co. (Retail) 1,609,697
94,000 Takeda Chemical Industries 1,721,751
(Pharmaceuticals)
83,000 Toyota Motor Co. (Consumer Goods) 2,123,906
25,439,795
MALAYSIA - 2.49%
76,000 Edaran Otomobil Nasional (Consumer Goods) 748,933
97,000 Jaya Tiasa Holdings (Materials) 603,710
183,337 Kentucky Fried Chicken (Consumer Goods) 797,276
102,000 Perusahaan Otomobil Nasional BHD
(Consumer Goods) 553,441
127,000 Sungei Way Holdings (Diversified) 678,955
188,000 UMW Holdings BHD (Diversified) 723,798
4,106,113
NETHERLANDS - 5.98%
18,000 Gucci Group (Consumer Goods) 1,305,000
97,250 Internationale Nederlanden Group NV 3,035,332
(Finance)
32,200 KLM Royal Dutch Airlines 861,979
(Transportation)
28,140 Koninklijke Ahold NV (Retail) 1,593,761
60,300 Philips Electronics (Consumer Goods) 2,178,117
18,750 Toolex Alpha NV ADR (Diversified)(a) 421,875
20,500 Toolex Alpha NV (Diversified)(a) 467,298
9,863,362
PHILIPPINES - 1.48%
3,720,000 Belle Corp. (Real Estate)(a) 1,091,824
1,270,100 Mondragon International Philippines
(Consumer Goods)(a) 726,187
1,232,400 Universal Robina Corp. (Consumer Goods) 622,424
2,440,435
SINGAPORE - 0.52%
86,000 Far East Levingston Shipbuilding Ltd. (Capital Equipment) 406,150
73,000 Singapore Land Ltd. (Finance) 443,257
849,407
SOUTH AFRICA - 0.53%
53,960 Fedsure Holdings Ltd. (Finance)(b) 392,522
6,932 Liberty Life Association of Africa (Services) 209,725
19,600 Metro Cash and Carry Ltd. (Services)(b) 267,050
169 South African Breweries (Diversified) 4,508
873,805
SOUTH KOREA - 0.60%
65,000 Korea Mobile Telecommunications
(Telecommunications)(a) 983,125
SPAIN - 4.25%
9,932 Acerinox (Steel) 1,156,368
61,204 Autopistas Concesionaria Espanola SA
(Diversified) 731,655
9,635 Banco Popular Espanol (Finance) 1,770,850
20,200 Fomento de Construcciones y Contratas
(Capital Equipment) 1,596,745
180,100 Iberdrola SA (Utilities) 1,746,229
7,001,847
</TABLE>
International Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
September 30, 1996
<TABLE>
<CAPTION>
Shares Description Value
<C> <S> <C>
SWEDEN - 2.02%
79,000 Nordbanken AB (Finance) $ 2,027,476
74,800 Svedala Industries (Capital 1,298,611
Equipment)
3,326,087
SWITZERLAND - 3.12%
1,791 ABB AG - Bearer (Machinery) 2,191,603
794 Ciba-Geigy AG, - B (Consumer Goods) 1,011,501
9,841 TAG Heuer International SA (Consumer Goods) 1,931,147
5,134,251
TAIWAN - 0.39%
28,130 Taiwan Fund, Inc. (Diversified) 650,506
THAILAND - 0.66%
41,300 PTT Exploration & Production (Energy) 610,949
135,500 Thai Military Bank (Finance) 482,453
1,093,402
UNITED KINGDOM - 10.13%
170,000 Barclays Plc. (Finance) 2,495,656
98,600 British Aerospace Plc. (Aerospace) 1,628,608
160,000 British Land Company Plc. (Real Estate) 1,140,657
692,500 Iceland Group (Services) 936,496
560,700 Lonrho (Diversified) 1,494,600
210,000 Millennium & Copthorne Hotels Plc. (Services) 1,025,981
231,000 National Power Plc. (Utilities) 1,421,107
108,500 National Westminster Bank Plc. (Finance) 1,151,780
96,600 Powerscreen International Plc. (Diversified) 829,879
307,000 Rolls-Royce Plc. (Aerospace) 1,149,513
427,100 Storehouse Plc. (Services) 2,013,201
157,000 United Utilities Plc. (Utilities) 1,400,314
16,687,792
VENEZUELA - 1.10%
822,688 Electricidad de Caracas (Utilities) 816,585
155,902 Mavesa SA, ADR (Consumer Goods)(b) 1,004,009
1,820,594
OTHER - 0.56%
63,500 Latin American Equity Fund 928,688
(Diversified)
TOTAL COMMON STOCKS (Cost $128,783,890) $ 148,723,462
PREFERRED STOCK CONVERTIBLE - 0.25%
SOUTH AFRICA - 0.25%
16,000 South African Breweries
(Diversified) (Cost $594,485) 423,234
CORPORATE DEBT CONVERTIBLE - 0.65%
SOUTH AFRICA - 0.65%
$ 280,000 Investec O/S Finance BVI, 6.375% 11/30/02
(Finance) $ 302,750
590,000 Liberty Life International, 6.50%,
9/30/04 (Finance) 772,900
TOTAL CORPORATE DEBT CONVERTIBLE (Cost $1,084,333) 1,075,650
SOVEREIGN DEBT - 0.66%
ITALY - 0.66%
1,075,000 Republic of Italy, 5.00%, 6/28/01
(Finance) (Cost $1,083,701) 1,088,437
SHORT TERM INSTRUMENTS - 10.78%
U.S. TREASURY BILLS - 10.78%
$ 18,030,000 5.36%, 1/16/97 (Cost $17,754,106) $ 17,759,911
TOTAL INVESTMENTS (Cost $149,300,515) - 102.58% $ 169,070,694
Liabilities in Excess of Other Assets - (2.58%) (4,257,333)
NET ASSETS - 100% $ 164,813,361
</TABLE>
(a) Non-Income Producing Security
(b) Security exempt from registration under Rule 144A of the Securities Act
of 1933. This Security may be resold in transactions exempt from
registrations, normally to qualified institutional buyers.
Industry Diversification (as a percentage of Total Investments):
<TABLE>
<S> <C>
Consumer Goods 20.84%
Finance 14.10%
Diversified 12.45%
Services 11.13%
U.S. Treasury 10.50%
Capital Equipment 9.94%
Utilities 4.23%
Transportation 3.77%
Energy 2.64%
Retail 2.51%
Metals Diversified 2.49%
Materials 1.98%
Real Estate 1.89%
Other* 1.53%
100.00%
</TABLE>
* No one industry represents more than 3% of Portfolio holdings.
See Notes to Financial Statements on Pages 25-28
Latin American Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
September 30, 1996
<TABLE>
<CAPTION>
Shares Description Value
<C> <S> <C>
COMMON STOCKS - 84.64%
ARGENTINA - 0.33%
27,412 Mirgor Sacifia - ADS (Auto Parts)(a)(b) $ 56,880
BRAZIL - 17.08%
2,400 Centrais Electricas Brasileiras SA
Electrobras ADR- B (Utility)(a) 199,794
2,898,059 Centrais Electricas Brasileiras SA
Electrobras (Utility) 774,973
2,250,000 CIA Paulista De Forca E Luz (Utility)(a) 206,840
22,300 Compania Vale de Rio Doce, ADR (Metals/Mining) 442,267
11,176,500 Telec Brasileiras-Telebras ON
(Telecommunications) 729,664
6,300 Telecommunicacoes Brasileiras SA
Telebras, ADR (Telecommunications) 494,550
6,500 Usiminas, ADR (Metals/Mining)(b) 64,188
2,912,276
CHILE - 10.23%
13,000 Banco BHIF, ADR (Financial Services)(a) 237,250
10,744 Chile Fund (Country Fund) 247,112
10,056 Chilgener SA, ADR (Utility) 233,802
1,000 Compania Telefonica de Chile SA, ADR
(Telecommunications) 96,625
1,600 Embotelladora Andina, ADR (Beverages) 55,600
6,859 Empresa Nacional Electricidad SA (Utility) 129,464
14,450 Madeco SA, ADR (Building Materials) 334,156
16,000 Santa Isabel, ADR (Retail) 410,000
1,744,009
COLOMBIA - 6.76%
20,000 Banco de Colombia, GDR (Financial Services) 157,500
45,320 Carulla CIA SA, ADR - B (Retail)(b) 317,240
38,700 Cementos Diamante SA, ADR - B
(Building/Construction)(b) 493,425
5,300 Cementos Diamante SA 20,638
(Building/Construction)
135,000 Gran Cadena Almacenes (Retail) 121,562
3,794 Gran Cadena de Almacenes Colombiano, ADR (Retail) 41,734
1,152,099
MEXICO - 36.60%
83,400 Cemex SA de CV - B (Building Materials) 346,118
24 Controladora de Farmacia (Retail) 29
9,000 Consorcio ARA, ADR 192,375
(Building/Construction)(a)(b)
110,100 Corporacion GEO, SA de CV - Ser. B
(Building/Construction) 515,318
102,300 Corporacion Industrial Sanluis, SA de CV
(Diversified) 583,254
8,400 Empresas La Moderna, ADR (Tobacco) 160,650
159,400 Fomento Economico Mexicano SA de CV
(Beverages) 489,275
126,544 Gruma SA - B (Food)(a) 791,110
41,498 Grupo Carso SA de CV - A1 (Diversified)(a) 192,579
68,700 Grupo Financiero Serfin, ADR
(Financial Services)(a) 326,325
759,200 Grupo Financiero Bancomer, SA de CV
(Financial Services)(a) 370,440
429,250 Grupo Financiero Banorte - B
(Financial Services)(a) 456,455
1,001,900 Grupo Posadas SA - Ser. L (Hotels)(a) 435,724
11,100 Grupo Televisa SA Spons, GDR (Media)(a) $ 320,512
41,498 Invercorporacion SA - A-1 (Financial Services)(a) 5,557
24,100 Kimberly Clark De Mexico - A (Consumer Products) 456,948
10,000 Kimberly Clark De Mexico - B
(Consumer Products) 192,124
27,500 Sigma Alimentos, SA - Ser. BCP
(Food Processing) 255,602
4,660 Telefonos de Mexico SA, ADR - L (Telecommunications) 149,702
6,240,097
PERU - 6.03%
15,031 Compania de Minas Buenaventura SA - A
(Metals/Mining) 135,285
3,015 Compania de Minas Buenaventura - B
(Metals/Mining)(a) 28,817
9,000 Compania de Minas Buenaventura SA, ADR
(Metals/Mining)(a) 172,687
102,950 Consorcio Alim Fabril Pacifico - C
(Consumer Products)(a) 153,749
39,445 Consorcio Alim Fabril Pacifico - T
(Consumer Products)(a) 58,123
14,436 Credicorp (Financial Services) 274,284
9,000 Telefonica Del Peru, ADR 205,875
(Telecommunications)
1,028,820
VENEZUELA - 7.61%
14,398 Banco Provincial (Financial Services) 28,491
1,325 Banco Venezolano de Credito Ser. - A-B
(Financial Services) 70,102
130,427 Electricidad de Caracas (Utility) 129,460
101,800 Mavesa SA, ADR (Consumer Products) 655,592
45,819 Siderurgica Venezuela (Metals/Mining) 33,552
50,000 Sivensa - A, ADR (Metals/Mining) 185,000
4,545 Sivensa - B, ADR (Metals/Mining) 14,185
758,716 Sudamtex (Textiles) 95,541
334,950 Venaseta - A (Diversified)(a) 31,616
66,990 Venaseta - B (Diversified) 6,380
10,000 Venezolana de Cementos (Building/Construction) 23,174
25,396 Venezolana Pulpa Y Papel (Paper and Pulp) 23,649
1,296,742
TOTAL COMMON STOCKS (Cost $12,999,890) $14,430,923
PREFERRED STOCKS CONVERTIBLE - 13.95%
BRAZIL - 13.95%
52,660,449 Bradesco PN (Financial Services) 446,188
696,874 Banco Itau SA (Financial Services) 286,695
325,000 Centrais Electricas Brasileiras SA Electrobras - B
(Utility) 90,410
22,000 CIA Vale Rio Doce (Metals/Mining) 436,380
773,808 Compania Cervejaria Brahma (Beverages) 479,793
610,800 Mesbla SA (Retail)(c) 0
3,954,200 Petroleo Brasileiro SA (Oil/Gas) 453,170
188,266,396 Usiminas ADR (Metal/Mining)(b) 186,256
TOTAL PREFERRED STOCKS CONVERTIBLE (Cost $2,314,555) $ 2,378,892
PREFERRED STOCK NON-CONVERTIBLE - 0.21%
COLOMBIA - 0.21%
1,800 Banco Ganadero SA, ADR (Financial Services)
(Cost $25,970) $ 36,450
</TABLE>
Latin American Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
September 30, 1996
<TABLE>
<CAPTION>
Principal
Amount
<C> <S> <C>
SHORT TERM INSTRUMENTS - 1.07%
$ 185,000 U.S. Treasury Bill, 5.36%, 1/16/1997 (Cost $182,224) $ 182,229
Total Investments (Cost $15,522,639) - 99.87% $17,028,494
Other Assets Less Liabilities - 0.13% 22,703
NET ASSETS - 100.00% $17,051,197
</TABLE>
(a) Non-Income Producing Security
(b) Security exempt from registration under Rule 144A of the Securities Act
of 1933. This Security may be resold in transactions exempt from
registrations, normally to qualified institutional buyers.
(c) Issuer in bankruptcy.
Industry Diversification (as a percentage of Total Investments):
<TABLE>
<S> <C>
Beverages 6.02%
Building/Construction 7.31%
Building Materials 4.00%
Consumer Products 8.91%
Diversified 4.78%
Financial Services 15.83%
Food 4.65%
Hotels 2.56%
Metals/Mining 9.98%
Oil/Gas 2.66%
Retail 5.23%
Telecommunications 9.84%
Utility 10.36%
Other* 7.87%
100.00%
</TABLE>
* No one industry represents more than 3% of Portfolio holdings.
See Notes to Financial Statements on Pages 25-28
See Notes to Financial Statements on Pages 25-28
Pacific Basin Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
September 30, 1996
<TABLE>
<CAPTION>
Shares Description Value
<C> <S> <C>
COMMON STOCKS - 98.45%
HONG KONG - 29.22%
29,000 Bank of East Asia, Ltd. (Banks) $ 106,692
86,000 Cheung Kong Holdings, Ltd. (Real Estate) 661,710
57,000 Cheung Kong Infrastructure Holdings (Construction)(a) 93,980
710,000 Chevalier International Holdings 122,113
(Diversified)
725,000 China Merchants Hai Hong Holdings 243,761
(Chemicals)
851,000 China Resources Enterprises, Ltd. (Real Estate) 858,373
230,000 China Travel International Investment, Ltd.
(Transportation) 68,408
95,000 Citic Pacific, Ltd. (Diversified) 429,975
140,400 Dah Sing Financial Holdings (Financial Services) 493,842
786,000 Denway Investment, Ltd. (Automobiles)(a) 40,657
1,933,000 First Sign International Holdings (Textile) 518,683
790,000 Founder Hong Kong, Ltd. (Consumer Services)(a) 309,033
446,000 Gilbert Holdings, Ltd. (Textile) 57,675
52,000 Glorious Sun Enterprises (Textile)(a) 20,341
389,000 Goldlion Holdings, Ltd. (Consumer Goods) 329,491
499,360 HKR International, Ltd. (Real Estate) 581,177
13,600 HSBC Holdings (Banks) 252,373
49,000 Hutchison Whampoa (Diversified) 329,497
130,200 Lai Sun Development Co. (Real Estate) 136,379
874,000 Moulin International Holding (Diversified) 519,902
110,000 New World Development Co. (Real Estate) 577,524
934,000 Qingling Motors Co. (Automobiles) 359,324
1,350,000 Regal Hotels International Holdings, Ltd.
(Hotel/Motel) 366,611
184,000 Shanghai Industrial Holdings, Ltd. - A
(Diversified)(a) 422,345
543,000 Sinocan Holdings, Ltd. (Packaging & Container) 242,254
1,890,000 Wai Kee Holdings, Ltd. (Construction) 427,712
20,000 Wharf Holdings, Ltd. (Diversified) 82,762
8,652,594
INDIA - 4.40%
9,500 Bombay Subernean Electric, Ltd. (Utility)(a) $ 166,250
18,700 Crompton Greaves, Ltd. (Electrical (Products)(a) 95,838
4,100 Indian Hotels Co., Ltd., GDR 93,808
(Hotel/Motel)(a)
15,400 Indian Petrochemicals Corp., GDR (Chemicals) 152,075
21,300 Larsen & Toubro, Ltd. (Building (Products) 308,850
17,600 Mahindra & Mahindra, Ltd., GDR (Automobiles)(a)(b) 176,000
23,800 Tata Engineering & Locomotive Co.,
Ltd., GDR
(Automotive) 309,400
1,302,221
INDONESIA - 7.17%
81,000 Astra International PT (Automobiles) 158,666
272,142 Bank International Indonesia PT 398,349
(Banking)
11,000 Gudang Garam PT (Tobacco) 41,437
108,295 Indah Kiat Paper & Pulp PT (Paper)(a) 82,755
36,000 Indonesian Satellite PT 121,276
(Telecommunications)
97,000 Jaya Real Property PT (Real Estate) 123,192
34,500 Lippo Bank PT (Banks) 54,213
67,000 Lippo Karawaci PT (Real Estate)(a) 77,880
335,000 Lippo Life Insurance PT (Insurance) 295,656
441,931 Mulia Industrindo PT (Glass 442,350
Manufacturing)
110,000 Semen Gresik PT (Building Materials) 326,760
2,122,534
MALAYSIA - 20.41%
24,000 Amway Malaysia Holdings Berhad
(Consumer Products)(a) 135,009
213,000 Commerce Asset Holdings Berhad (Banks) 1,325,673
115,000 Gadek Berhad (Diversified)(a) 908,438
32,666 Gadek Capital (Financial Services)(a) 95,789
71,000 Gopeng Berhad (Construction)(a) 135,966
25,000 Kedah Cement Holdings Berhad
(Building Products) $ 48,673
61,000 Konsortium Perkapalan Berhad
(Transportation)(a) 396,689
101,000 Malaysian International Shipping
Berhad (Transportation) 310,273
176,000 Rashid Hussain Berhad (Financial 976,022
Services)
192,000 Tanjong Plc. (Gaming) 689,408
123,000 Technology Resources Industries Berhad
(Telecommunications)(a) 323,878
9,000 Timah Langat Berhad (Diversified) 46,679
84,000 United Engineers Berhad (Engineering &
Construction) 650,150
6,042,647
</TABLE>
Pacific Basin Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
September 30, 1996
<TABLE>
<CAPTION>
Shares Description Value
<C> <S> <C>
PAKISTAN - 0.50%
26,520 Engro Chemical Pakistan (Chemicals) 101,246
16,500 Karachi Electric Supply (Utility)(a) 9,427
4,100 Pakistan State Oil Co. (Oil - International) 36,856
147,529
PHILIPPINES - 6.18%
2,436 Benpres Holdings Corp. GDR (Broadcast Media)(a) 18,270
126,000 C & P Homes (Real Estate) 85,249
1,597,900 Centennial City, Inc. (Real Estate) 280,173
40 Empire East Land, Inc. (Real Estate)(a) 21
139,700 Fil-Estate Land, Inc. (Real Estate) 129,130
327,500 Filinvest Development Corp. (Real Estate)(a) 124,833
158,700 International Container Terminal, Inc.
(Transportation)(a) 105,860
384,000 Marsman & Co. (Pharmaceuticals) 139,051
22,705 Megaworld Properties & Holdings (Real Estate)(a) 8,871
158,000 Metro Pacific (Diversified) 45,771
203,900 Mondragon International (Textiles)(a) 116,581
5,000 Philippine Long Distance Telephone Co.
(Telecommunications) 310,654
7,300 Philippine National Bank (Banks)(a) 120,345
31,129 Philippine Savings Bank (Banks)(a) 69,413
113,000 Republic Glass Holdings (Wholesale 27,997
Distributor)
665,000 Solid Group, Inc. (Diversified)(a) 149,552
16,000 Southeast Asia Cement Holdings
(Building Products)(a) 1,891
539,000 Uniwide Holdings, Inc. (Wholesale Distributor)(a) 97,589
1,831,251
SINGAPORE - 13.90%
50,000 City Developments, Ltd. (Real Estate) 426,137
39,000 Development Bank of Singapore (Banks) 479,190
115,000 Overseas Chinese Banking (Banks) 1,380,327
102,000 Overseas Union Bank (Banks) 713,565
163,000 Parkway Holdings, Ltd. (Diversified) 527,898
45,000 Singapore Land (Real Estate) 273,260
84,000 Van Der Horst, Ltd. (Machinery) 316,193
4,116,570
SOUTH KOREA - 4.40%
5,000 Commercial Bank of Korea (Banking) 45,979
2,500 Daehan City Gas Co. (Utility) 203,474
1,410 Daesung Industrial Co. (Retail) 97,460
396 Dong-Ah Construction (Construction) 11,799
2,101 Dong-Ah Construction Industrial Co. 62,601
(Construction)
2,420 Kook Min Bank (Banks)(a) 46,887
2,733 Kook Min Bank, GDR (Banks)(a) 68,667
261 Korea Mobile Telecom Corp.
(Telecommunictions) $ 279,700
4,100 LG Construction, Co. (Construction) 94,947
450 LG Insurance Co., Ltd. (Insurance) 36,180
1,610 Samsung Electronics (Electronic Products) 126,735
136 Samsung Fire & Marine Insurance Co. Insurance) 82,869
4,900 Tongyang Confectionery Co. (Food) 144,643
1,301,941
THAILAND - 12.27%
40,000 BEC World (Diversified)(a) 427,959
193,000 Big C Supercenter Plc. (Textiles)(a) 261,909
63,600 Finance One Plc. (Financial Services) 375,251
208,820 Krung Thai Bank Public Co., Ltd. (Banks) 903,520
87,000 Nawarat Patanakarn (Engineering & Construction) 212,170
63,000 Phatra Thanakit Finance & Securities (Financial Services) 359,320
89,000 Sahaviriya Steel Industries Co., Ltd. (Metals)(a) 44,635
9,300 Siam Cement Plc. Co., Ltd. (Building Products) 378,980
214,600 Siam City Bank (Banks) 360,860
48,000 SP Suzuki Plc. Co., Ltd. (Consumer Goods)(a) 92,515
42,100 TelecomAsia Corp. Plc. Co., Ltd. (Telecommunications)(a) 85,283
25,050 TPI Polene Co. (Rubber & Plastics) 71,928
30,500 Unithai Line Public Co. (Transportation) 59,385
3,633,715
TOTAL COMMON STOCKS (Cost $28,295,395) $ 29,151,002
WARRANTS - 0.73%
INDONESIA - 0.12%
88,000 Indah Kiat Paper & Pulp Corp. PT (Paper) 35,991
MALAYSIA - 0.61%
55,000 Gadek Berhad (Diversified) 179,932
TOTAL WARRANTS (Cost $116,116) $ 215,923
TOTAL INVESTMENTS (Cost $28,411,511) - 99.18% $ 29,366,925
Other Assets Less Liabilities - 0.82% 242,007
NET ASSETS - 100.00% $ 29,608,932
</TABLE>
(a) Non-Income Producing Security
(b) Security exempt from registration under Rule 144A of the Securities Act
of 1933. This Security may be resold in transactions exempt from
registrations, normally to qualified institutional buyers.
(c) Issuer in bankruptcy.
Industry Diversification (as a percentage of Total Investments):
<TABLE>
<S> <C>
Banks 21.54%
Building Products 3.63%
Construction 5.03%
Diversified 14.28%
Financial Services 7.83%
Real Estate 14.79%
Telecommunications 3.82%
Textile 3.32%
Other* 25.76%
100.00%
</TABLE>
* No one industry represents more than 3% of Portfolio holdings.
See Notes to Financial Statements on Pages 25-28
See Notes to Financial Statements on Pages 25-28
Small Cap Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
September 30, 1996
<TABLE>
<CAPTION>
Shares Description Value
<C> <S> <C>
COMMON STOCKS - 96.21%
AMERICA'S CHANGING LEISURE TIME - 5.64%
71,800 Applebees International, Inc. $ 1,902,700
31,900 Cinar Films, Inc.(a) 831,394
32,800 Interstate Hotels(a) 906,100
82,650 Papa John's International(a) 4,339,125
101,925 Regal Cinemas, Inc.(a) 2,548,125
144,200 Sodak Gaming, Inc.(a) 3,316,600
13,844,044
AMERICA'S INDUSTRIAL RENAISSANCE - 0.74%
64,600 Greenwich Air Services 1,808,800
CLIENT SERVER COMPUTING - 9.81%
5,000 CBT Group Plc., ADR(a) 235,000
17,100 Citrix Systems, Inc.(a) 876,375
36,300 Clarify, Inc.(a) 2,250,600
78,600 Indus Group, Inc.(a) 1,572,000
53,300 Industri-Matematik International Corp.(a) 659,587
115,200 Rational Software(a) 3,931,200
30,600 SS&C Technologies(a) 309,825
49,000 Sapient Corp.(a) 2,180,500
77,800 Structural Dynamics Research(a) 1,857,475
92,400 Systemsoft Corp.(a) 3,164,700
40,200 Veritas Software(a) 2,844,150
153,300 Versant Object Technology Corp.(a) 3,640,875
38,200 Xionics Document Technologies, Inc.(a) 573,000
24,095,287
FLOURISHING IN THE MANAGED CARE ENVIRONMENT - 8.18%
36,800 CRA Managed Care(a) 1,987,200
102,500 FPA Medical Management Inc.(a) 2,703,437
74,100 Henry Schein, Inc.(a) 2,852,850
116,400 Multicare Companies, Inc.(a) 2,531,700
40,400 NCS HealthCare, Inc.(a) 1,267,550
103,700 OccuSystems, Inc.(a) 3,111,000
47,300 Perclose, Inc.(a) 1,052,425
87,100 Renal Treatment Centers, Inc.(a) 2,896,075
39,100 Target Therapeutics(a) 1,671,525
20,073,762
INTERACTIVE MEDIA - 3.82%
62,900 Inso Corp.(a) 3,412,325
64,500 The Providence Journal Company Cl. A(a) 1,894,687
51,000 Universal Outdoor Holdings, Inc.(a) 1,843,200
63,900 VideoServer, Inc.(a) 2,220,525
9,370,737
LIFE ON THE NET - 5.32%
79,800 Legato Systems, Inc.(a) 3,790,500
14,900 Security Dynamics Tech, Inc.(a) 1,069,075
62,500 Technology Modeling Association, Inc.(a) 812,500
113,400 Transaction Systems Architects(a) 4,791,150
58,400 VeriFone, Inc.(a) 2,613,400
13,076,625
LIFE SCIENCES REVOLUTION - 4.47%
67,500 Agouron Pharmaceuticals(a) 2,944,687
85,100 Endovascular Technologies(a) 1,021,200
68,000 Human Genome Sciences(a) 2,567,000
39,500 Idexx Laboratories Corp.(a) 1,787,375
53,200 Martek Biosciences Corp.(a) 1,330,000
47,600 Spine-Tech, Inc.(a) 1,332,800
10,983,062
MANAGING THE INFORMATION AGE - 10.19%
35,800 Abacus Direct Corp.(a) $ 751,800
65,500 CCC Information Services Group(a) 1,375,500
126,100 Cheyenne Software, Inc.(a) 2,711,150
43,200 DSP Communications(a) 2,413,800
68,200 IDX Systems(a) 2,387,000
57,600 Metromail Corp.(a) 1,245,600
104,800 National Data Corp. 4,571,900
62,865 Pure Atria Corp.(a) 2,373,154
93,800 Sitel Corp.(a) 4,174,100
66,500 Visio Corp.(a) 3,025,750
25,029,754
MOVE TO OUTSOURCING - 6.96%
42,600 Affiliated Computer Services(a) 2,502,750
81,200 Atlantic Southeast Airlines 1,786,400
84,500 Career Horizons, Inc.(a) 3,284,937
58,600 CoreStaff, Inc.(a) 1,567,550
101,500 HPR, Inc.(a) 1,624,000
57,000 MSC Industrial Direct(a) 2,030,625
61,800 Norrell Corp. 1,946,700
32,100 Pharmaceutical Product Development(a) 866,700
38,900 The Vincam Group, Inc.(a) 1,487,925
17,097,587
NEW CONSUMER - 6.30%
57,600 Blyth Industries, Inc.(a) 2,793,600
26,700 Boston Beer Company, Inc.(a) 517,313
19,400 Gargoyles, Inc.(a) 412,250
127,900 Nautica Enterprises, Inc.(a) 4,124,775
72,000 USA Detergents, Inc.(a) 2,862,000
70,400 Urban Outfitters, Inc.(a) 1,636,800
54,800 West Marine, Inc.(a) 1,808,400
46,400 Williams-Sonoma, Inc.(a) 1,316,600
15,471,738
NEW HEALTH CARE PARADIGM - 11.21%
30,500 ABR Information Services, Inc.(a) 2,196,000
48,400 American Homepatient, Inc.(a) 1,076,900
33,000 Amerisource Health Corp. CI. A(a) 1,468,500
50,100 Applied Analytical Industries, Inc.(a) 1,139,775
33,900 Express Scripts(a) 1,228,875
90,800 Gulf South Medical Supply(a) 2,338,100
127,500 Mariner Health Group(a) 1,960,313
91,200 Pediatrix Medical Group(a) 4,571,400
113,200 Physician Sales & Service(a) 2,660,200
44,900 Rexall Sundown, Inc.(a) 1,638,850
82,900 Ro Tech Medical Corp.(a) 1,367,850
133,100 TheraTx, Inc.(a) 1,580,562
63,900 Total Renal Care Holdings(a) 2,540,025
83,700 Transition Systems(a) 1,757,700
27,525,050
PRODUCTIVITY ENHANCEMENT - 5.79%
58,000 Catalina Marketing Corp.(a) 3,088,500
22,900 Quick Response Services, Inc.(a) 853,025
20,600 Remedy Corp.(a) 1,648,000
103,500 Saville Systems Plc.(a) 3,648,375
81,100 Sawtek, Inc.(a) 2,108,600
16,400 Symbol Technologies(a) 754,400
44,900 Whittman-Hart, Inc.(a) 2,121,525
14,222,425
RETURN TO HOME OWNERSHIP - 0.28%
22,400 Ethan Allen, Inc. 697,200
</TABLE>
Small Cap Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS
September 30, 1996
<TABLE>
<CAPTION>
Shares Description Value
<C> <S> <C>
STORES OF VALUE - 6.63%
73,000 Cost Plus, Inc.(a) $ 1,688,125
105,700 Dollar Tree Stores Inc.(a) 4,069,450
21,400 Hot Topic, Inc.(a) 502,900
52,700 Just For Feet(a) 2,641,588
83,100 Petco Animal Supplies(a) 2,264,475
81,900 The Men's Wearhouse(a) 2,047,500
85,900 US Office Products Co.(a) 3,081,663
16,295,701
TELECOMMUNICATIONS - 6.64%
4,900 Advanced Fibre Communication(a) 122,500
44,000 Aspect Telecommunication Corp.(a) 2,739,000
54,500 CSG Systems International, Inc.(a) 1,103,625
71,500 Digital Microwave Corp.(a) 1,644,500
78,000 ICG Communications, Inc.(a) 1,638,000
67,600 Lightbridge Inc.(a) 794,300
43,600 Orckit Communications, Ltd.(a) 801,150
95,800 P-COM, Inc.(a) 2,371,050
50,000 Premisys Communications(a) 1,837,500
86,400 Verilink Co.(a) 2,116,800
25,800 Westell Technologies, Inc.(a) 1,141,650
16,310,075
THE GREYING OF AMERICA - 3.11%
51,200 ESC Medical Systems Ltd.(a) 1,638,400
90,250 Genesis Health Ventures Inc.(a) 2,538,281
59,700 Sofamor Danek Group, Inc.(a) $ 1,843,238
58,000 Sunrise Assisted Living(a) 1,624,000
7,643,919
THE UBIQUITOUS SEMICONDUCTOR- 1.12%
46,200 Microchip Technology(a) 1,726,725
59,200 USCS International, Inc.(a) 1,036,000
2,762,725
TOTAL COMMON STOCKS (Cost $175,410,470) $ 236,308,491
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount
<C> <S> <C>
SHORT-TERM INVESTMENTS - 5.37%
U.S. TREASURY BILLS - 5.37%
$ 3,105,000 5.12%, 10/24/96 3,095,168
10,190,000 5.00%, 12/05/96 10,099,482
TOTAL SHORT TERM INVESTMENTS (Cost $13,192,508) $ 13,194,650
TOTAL INVESTMENTS (Cost $188,602,978) - 101.58% $249,503,141
Liabilities in Excess of Other Assets - (1.58%) (3,888,050)
NET ASSETS - 100.00% $245,615,091
</TABLE>
(a) Non-Income Producing Security
See Notes to Financial Statements on Pages 25-28
BT Portfolios
STATEMENT OF ASSETS AND LIABILITIES
September 30, 1996
<TABLE>
<CAPTION>
GLOBAL LATIN PACIFIC
CAPITAL HIGH YIELD INTERNATIONAL AMERICAN BASIN SMALL
APPRECIATION SECURITIES EQUITY EQUITY EQUITY CAP
<S> <C> <C> <C> <C> <C> <C>
ASSETS
Investment at
Portfolio,
at Value* $68,248,143 $18,967,391 $169,070,694 $17,028,494 $29,366,925 $249,503,141
Cash** 148,138 357,705 -- 59,731 518,802 174,574
Receivable for
Securities
Sold 4,203,285 -- -- 221,538 428,119 599,261
Receivable for
Foreign
Taxes
Withheld -- -- 152,263 -- -- --
Dividend and
Interest
Receivable 939 443,328 238,301 33,825 45,757 2,163
Net Unrealized
Appreciation on
Forward Foreign
Currency Exchange
Contracts -- -- 143,547 -- 160,912 --
Prepaid Expenses
and Other 163 20 12,855 15 25 165
Total Assets 72,600,668 19,768,444 169,617,660 17,343,603 30,520,540 250,279,304
LIABILITIES
Due to Bankers
Trust 117,231 8,863 60,426 86,260 40,267 147,607
Due to Custodian -- -- 338,421 -- -- --
Payable for
Securities
Purchased 3,762,530 -- 4,314,462 191,250 729,237 4,498,328
Net Unrealized
Depreciation on
Forward Foreign
Currency Exchange
Contracts -- -- 65,575 -- 128,196 --
Accrued Expenses
and Other 335,412 16,426 25,415 14,896 13,908 18,278
Total
Liabilities 4,215,173 25,289 4,804,299 292,406 911,608 4,664,213
Net Assets $68,385,495 $19,743,155 $164,813,361 $17,051,197 $29,608,932 $245,615,091
COMPOSITION
OF NET ASSETS
Paid-in Capital $53,359,107 $18,091,409 $145,003,353 $15,546,336 $28,620,006 $184,714,928
Net Unrealized
Appreciation on
Investments,
Foreign Currencies
and Forward Foreign
Currency Exchange
Contracts 15,026,388 1,651,746 19,810,008 1,504,861 988,926 60,900,163
NET ASSETS, SEPTEMBER
30, 1996 $68,385,495 $19,743,155 $164,813,361 $17,051,197 $29,608,932 $245,615,091
</TABLE>
* As of September 30, 1996, the cost of investments in the Capital
Appreciation Portfolio was $53,221,755; Global High Yield Securities
Portfolio was $17,315,645; International Equity Portfolio was $149,300,515;
Latin American Equity Portfolio was $15,522,639; Pacific Basin Equity
Portfolio was $28,411,511 and Small Cap Portfolio was $188,602,978.
** Includes foreign cash of $59,388 and $470,170 with a cost of $59,622 and
$469,642 for the Latin American Equity and Pacific Basin Equity Portfolios,
respectively.
See Notes to Financial Statements on Pages 25-28
BT Portfolios
STATEMENT OF OPERATIONS
For the year ended September 30, 1996
<TABLE>
<CAPTION>
GLOBAL HIGH LATIN PACIFIC
CAPITAL YIELD INTERNATIONAL AMERICAN BASIN SMALL
APPRECIATION SECURITIES EQUITY EQUITY EQUITY CAP
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends* $ 215,459 $ 19,719 $ 2,358,966 $ 252,382 $ 414,540 $ 55,426
Interest 890,485 1,845,865 457,553 81,153 9,597 1,042,653
TOTAL 1,105,944 1,865,584 2,816,519 333,535 424,137 1,098,079
INVESTMENT
INCOME
EXPENSES
Advisory 1,225,764 156,634 759,552 151,004 211,122 1,293,449
Administration 188,579 39,158 175,281 30,201 70,374 198,992
and Services
Professional 31,708 18,679 35,044 12,138 12,395 27,045
Trustees 2,628 2,638 3,004 2,904 2,654 2,718
Transfer Tax -- -- 14,335 -- 10,571 --
Miscellaneous 2,319 15,805 1,633 1,685 4,830 2,925
Total Expenses 1,450,998 232,914 988,849 197,932 311,946 1,525,129
Less: Expenses (319,524) (86,070) (229,297) (46,928) (30,450) (331,176)
Absorbed by
Bankers Trust
Net Expenses 1,131,474 146,844 759,552 151,004 281,496 1,193,953
NET INVESTMENT (25,530) 1,718,740 2,056,967 182,531 142,641 (95,874)
INCOME (LOSS)
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENT
AND FOREIGN CURRENCY
TRANSACTIONS
Net Realized Gain
(Loss) from:
Investment 18,986,988 903,691 5,103,507 986,129 1,764,595 4,944,264
Transactions
Foreign -- (44,567) 1,024,419 (47,459) (158,278) --
Currency
Transactions
Net Change in Unrealized
Appreciation (Depreciation)
on Investments, Foreign
Currencies and Forward
Foreign Currency
Exchange
Contracts (17,719,598) 1,621,753 8,042,701 1,901,005 584,216 38,597,216
NET REALIZED AND UNREALIZED
GAIN ON INVESTMENTS
AND FOREIGN CURRENCY AND
FORWARD FOREIGN
CURRENCY 1,267,390 2,480,877 14,170,627 2,839,675 2,190,533 43,541,480
EXCHANGE
TRANSACTIONS
NET INCREASE IN NET
ASSETS FROM
OPERATIONS $ 1,241,860 $ 4,199,617 $ 16,227,594 $ 3,022,206 $ 2,333,174 $ 43,445,606
</TABLE>
* Net of foreign withholding tax of $5,815 for Capital Appreciation
Portfolio; $271,374 for International Equity Portfolio; $15,305 for Latin
American Equity Portfolio; and $37,711 for Pacific Basin Equity
Portfolio.
See Notes to Financial Statements on Pages 25-28
BT Portfolios
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CAPITAL APPRECIATION GLOBAL HIGH YIELD SECURITIES INTERNATIONAL EQUITY
FOR THE FOR THE PERIOD FOR THE FOR THE FOR THE FOR THE PERIOD
YEAR ENDED JANUARY 1, 1995 YEAR ENDED YEAR ENDED YEAR ENDED JANUARY 1, 1995
SEPTEMBER 30, TO SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30,TO SEPTEMBER 30,
1996 1995 1996 1995 1996 1995
INCREASE (DECREASE) IN
NET ASSETS FROM:
OPERATIONS
Net Investment
Income (Loss) $ (25,530) $ 10,500 $ 1,718,740 $ 1,706,048 $ 2,056,967 $ 1,188,602
Net Realized Gain (Loss)
on Investment and
Foreign Currency
Transactions 18,986,988 11,774,764 859,124 (516,419) 6,127,926 1,956,124
Net Change in Unrealized
Appreciation (Depreciation)
on Investments, Foreign
Currencies and Forward
Foreign Currency
Exchange
Contracts (17,719,598) 23,909,639 1,621,753 (3,411) 8,042,701 6,955,471
Net Increase in Net
Assets from
Operations 1,241,860 35,694,903 4,199,617 1,186,218 16,227,594 10,100,197
CAPITAL TRANSACTIONS
Proceeds From Capital
Invested 110,885,692 63,887,608 10,592,611 18,275,555 104,050,782 35,819,720
Value of Capital
Withdrawn (193,629,946) (23,328,952) (18,052,538) (11,187,306) (38,778,446) (18,648,629)
Net Increase (Decrease)
in Net Assets from
Capital Transactions (82,744,254) 40,558,656 (7,459,927) 7,088,249 65,272,336 17,171,091
TOTAL INCREASE
(DECREASE) IN
NET ASSETS
NET ASSETS (81,502,394) 76,253,559 (3,260,310) 8,274,467 81,499,930 27,271,288
Beginning of Period 149,887,889 73,634,330 23,003,465 14,728,998 83,313,431 56,042,143
End of Period $ 68,385,495 $ 149,887,889 $ 19,743,155 $ 23,003,465 $ 164,813,361 $ 83,313,431
</TABLE>
<TABLE>
<CAPTION>
LATIN AMERICAN EQUITY PACIFIC BASIN EQUITY SMALL CAP
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30,
1996 1995 1996 1995 1996 1995
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE)
IN NET ASSETS FROM:
OPERATIONS
Net Investment $ 182,531 $ 220,235 $ 142,641 $ 201,609 $ (95,874) $ 114,355
Income (Loss)
Net Realized Gain
(Loss) on Investment
and Foreign Currency
Transactions 938,670 (9,485,483) 1,606,317 (481,527) 4,944,264 11,205,496
Net Change in
Unrealized
Appreciation
(Depreciation)
on Investments,
Foreign Currencies
and Forward
Foreign Currency
Exchange
Contracts 1,901,005 (3,176,213) 584,216 (821,330) 38,597,216 19,127,783
Net Increase
(Decrease) in
Net Assets from
Operations 3,022,206 (12,441,461) 2,333,174 (1,101,248) 43,445,606 30,447,634
CAPITAL TRANSACTIONS
Proceeds From Capital
Invested Value of
Capital 24,363,201 18,611,709 37,502,717 12,695,645 259,905,685 89,963,488
Withdrawn (23,992,125) (19,878,349) (34,883,257) (12,304,373) (181,564,152) (17,910,681)
Net Increase
(Decrease) in
Net Assets from
Capital Transactions 371,076 (1,266,640) 2,619,460 391,272 78,341,533 72,052,807
TOTAL INCREASE
(DECREASE) IN
NET ASSETS 3,393,282 (13,708,101) 4,952,634 (709,976) 121,787,139 102,500,441
NET ASSETS
Beginning of Year 13,657,915 27,366,016 24,656,298 25,366,274 123,827,952 21,327,511
End of Year $ 17,051,197 $ 13,657,915 $ 29,608,932 $ 24,656,298 $ 245,615,091 $ 123,827,952
</TABLE>
See Notes to Financial Statements on Pages 25-28
BT Portfolios
FINANCIAL HIGHLIGHTS
Contained below are selected data for a share outstanding, ratios to average
net assets and other supplemental data for the periods indicated for each of
the Portfolios.
<TABLE>
<CAPTION>
CAPITAL APPRECIATION
FOR THE FOR THE PERIOD
FOR THE PERIOD MARCH 9, 1993
YEAR JANUARY 1, FOR THE (COMMENCEMENT
ENDED 1995 TO YEAR ENDED OF OPERATIONS) TO
SEPTEMBER SEPTEMBER 30, DECEMBER 31, DECEMBER 31,
30, 1996 1995# 1994 1993
<S> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of
Period (000's omitted) $ 68,385 $ 149,888 $ 73,634 $ 37,076
Ratios to Average Net Assets
Net (0.01)% 0.01%* 0.08% 0.38%*
Investment Income
(Loss)
Expenses 0.60% 0.60%* 0.60% 0.60%*
Decrease Reflected in
Above Expense Ratios Due to
Absorption of Expenses by
Bankers Trust 0.17% 0.18%* 0.23% 0.41%*
Portfolio Turnover
Rate 271% 125% 157% 137%
Average Commission Per Share** $0.0550
</TABLE>
<TABLE>
<CAPTION>
GLOBAL HIGH YIELD
FOR THE PERIOD
FOR THE DECEMBER 14, 1993
YEAR FOR THE (COMMENCEMENT
ENDED YEAR ENDED OF OPERATIONS) TO
SEPTEMBER SEPTEMBER 30, SEPTEMBER 30,
30, 1996 1995 1994
<S> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of
Period (000's omitted) $ 19,743 $ 23,003 $ 14,729
Ratios to Average Net Assets
Net Investment Income 8.78% 9.63% 6.44%*
Expenses 0.75% 0.75% 0.75%*
Decrease Reflected in Above
Expense Ratios Due to
Absorption of Expenses
by Bankers Trust 0.44% 0.45% 0.59%*
Portfolio Turnover Rate 207% 169% 347%
</TABLE>
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY
FOR THE PERIOD
AUGUST 4, 1992
FOR THE PERIOD FOR THE YEAR ENDED (COMMENCEMENT
FOR THE YEAR ENDED JANUARY 1, 1995 TO DECEMBER 31, OF OPERATIONS) TO
SEPTEMBER 30, 1996 SEPTEMBER 30, 1995# 1994 1993 DECEMBER 31, 1992
<S> <C> <C> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of
Period (000's omitted) $ 164,813 $ 83,313 $ 56,042 $ 33,907 $ 8,225
Ratios to Average Net Assets
Net Investment
Income 1.76% 2.39%* 1.69% 1.64% 1.87%*
Expenses 0.65% 0.65%* 0.65% 0.65% 0.60%*
Decrease Reflected in Above
Expense Ratios Due to
Absorption of Expenses
by Bankers Trust 0.20% 0.22%* 0.24% 0.39% 0.93%*
Portfolio Turnover
Rate 68% 21% 15% 17% 7%
Average Commission
Per Share** $0.0100
</TABLE>
# During fiscal year 1996, Capital Appreciation Portfolio and International
Equity Portfolio changed their year ends from December 31 to September 30.
* Annualized
** For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share for security
trades on which commissions are charged.
See Notes to Financial Statements on Pages 25-28
BT Portfolios
FINANCIAL HIGHLIGHTS
(continued)
<TABLE>
<CAPTION>
LATIN AMERICAN EQUITY
FOR THE PERIOD
OCTOBER 25, 1993
(COMMENCEMENT
FOR THE YEAR ENDED FOR THE YEAR ENDED OF OPERATIONS) TO
SEPTEMBER 30, 1996 SEPTEMBER 30, 1995 SEPTEMBER 30, 1994
<S> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of Period (000's
omitted) $ 17,051 $ 13,658 $ 27,366
Ratios to Average Net Assets
Net Investment Income 1.21% 1.27% 1.03%*
Expenses 1.00% 1.00% 1.00%*
Decrease Reflected in Above
Expense Ratios Due to Absorption
of Expenses by Bankers Trust 0.31% 0.80% 0.79%*
Portfolio Turnover Rate 171% 161% 124%
Average Commission Per Share** $ 0.0001
</TABLE>
<TABLE>
<CAPTION>
PACIFIC BASIN EQUITY
FOR THE PERIOD
NOVEMBER 1, 1993
(COMMENCEMENT
FOR THE YEAR ENDED FOR THE YEAR ENDED OF OPERATIONS) TO
SEPTEMBER 30, 1996 SEPTEMBER 30, 1995 SEPTEMBER 30, 1994
<S> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS:
Net Assets, End of $ 29,609 $ 24,656 $ 25,366
Period (000's
omitted)
Ratios to Average Net Assets
Net Investment 0.51% 0.87% 0.16%*
Income
Expenses 1.00% 1.00% 1.00%*
Decrease Reflected in Above
Expense Ratios Due to
Absorption of 0.11% 0.20% 0.26%*
Expenses by Bankers
Trust
Portfolio Turnover 118% 104% 40%
Rate
Average Commission $ 0.0049
Per Share**
</TABLE>
<TABLE>
<CAPTION>
SMALL CAP
FOR THE PERIOD
OCTOBER 21, 1993
(COMMENCEMENT
FOR THE YEAR ENDED FOR THE YEAR ENDED OF OPERATIONS) TO
SEPTEMBER 30, 1996 SEPTEMBER 30, 1995 SEPTEMBER 30, 1994
<S> <C> <C> <C>
Supplemental Data and Ratios:
Net Assets, End of $ 245,615 $ 123,828 $ 21,328
Period (000's
omitted)
Ratios to Average Net Assets
Net Investment (0.05)% 0.19% 0.07%*
Income (Loss)
Expenses 0.60% 0.60% 0.60%*
Decrease Reflected in Above
Expense Ratios Due to
Absorption of 0.17% 0.19% 0.38%*
Expenses by Bankers
Trust
Portfolio Turnover 159% 161% 154%
Rate
Average Commission $ 0.0480
Per Share**
</TABLE>
* Annualized
** For fiscal years beginning on or after September 1, 1995, a fund is
required to disclose its average commission rate per share for security
trades on which commissions are charged.
See Notes to Financial Statements on Pages 25-28BT Portfolios
NOTES TO FINANCIAL STATEMENTS
NOTE 1--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
Capital Appreciation Portfolio, Global High Yield Securities Portfolio,
International Equity Portfolio, Latin American Equity Portfolio, Pacific
Basin Equity Portfolio and Small Cap Portfolio (each a "Portfolio", and
collectively, the "Portfolios") are registered under the Investment Company
Act of 1940 ("the Act"), as amended, as an open-end management investment
company.
ORGANIZATION COMMENCEMENT
PORTFOLIO DATE OF OPERATION
Capital Appreciation October 28, 1992 March 9, 1993
Global High Yield Securities August 6, 1993 December 14, 1993
International Equity December 11, 1991 August 4, 1992
Latin American Equity August 6, 1993 October 25, 1996
Pacific Basin Equity August 6, 1993 November 1, 1993
Small Cap August 6, 1993 October 21, 1993
The Declaration of Trust permits the Board of Trustees (the "Trustees") to
issue beneficial interests in the Portfolios.
B. Security Valuation
The Portfolios' investments listed or traded on National Stock Exchanges or
other domestic or foreign exchanges are valued based on the closing price of
the security traded on that exchange prior to the time when the Portfolio
assets are valued. Short-term obligations with remaining maturities of 60
days or less are valued at amortized cost. Other short-term debt securities
are valued on a mark-to-market basis until such time as they reach a
remaining maturity of 60 days, whereupon they will be valued at amortized
cost using their value on the 61st day. All other securities and other
assets are valued at their fair value as determined in good faith under
procedures established by and under the general supervision of the Trustees.
C. Security Transactions and Interest Income
Security transactions are accounted for on a trade date basis. Dividend
income, less foreign taxes withheld, if any, is recorded on the ex-dividend
date or upon receipt of ex-dividend notification in the case of certain
foreign securities. Interest income is recorded on the accrual basis and
includes amortization of premium and discount on investments. Realized gains
and losses from securities transactions are recorded on the identified cost
basis.
All of the net investment income and realized and unrealized gains and
losses from the security and foreign currency transactions of the Portfolios
are allocated pro rata among the investors in the Portfolios at the time of
such determination.
D. Repurchase Agreements
Each of the Portfolios may enter into repurchase agreements with financial
institutions deemed to be creditworthy by the Portfolio's Investment
Advisers, subject to the seller's agreement to repurchase such securities at
a mutually agreed upon price. Securities purchased subject to repurchase
agreements are deposited with the Portfolio's custodian, and pursuant to the
terms of the repurchase agreement must have an aggregate market value
greater than or equal to the repurchase price plus accrued interest at all
times. If the value of the underlying securities falls below the value of
the repurchase price plus accrued interest, the Portfolio will require the
seller to deposit additional collateral by the next business day. If the
request for additional collateral is not met, or the seller defaults on its
repurchase obligation, the Portfolio maintains the right to sell the
underlying securities at market value and may claim any resulting loss
against the seller.
E. Foreign Currency Transactions
The books and records of the Global High Yield Securities Portfolio,
International Equity Portfolio, Latin American Equity Portfolio and Pacific
Basin Equity Portfolio are maintained in U.S. dollars. All assets and
liabilities initially expressed in foreign currencies are converted into
U.S. dollars at prevailing exchange rates. Purchases and sales of investment
securities, dividend and interest income, and certain expenses are
translated at the rates of exchange prevailing on the respective dates of
such transactions.
F. Forward Foreign Currency Exchange Contracts
The Global High Yield Securities Portfolio, International Equity Portfolio,
Latin American Equity Portfolio and Pacific Basin Equity Portfolio may enter
into forward foreign currency exchange contracts for the purpose of settling
specific purchases or sales of securities denominated in a foreign currency
or with respect to the Portfolio's investments. The net U.S. dollar value of
foreign currency underlying all contractual commitments held by the
Portfolio and the resulting unrealized appreciation or depreciation are
determined using prevailing exchange rates. With respect to forward foreign
currency exchange contracts, losses in excess of amounts recognized in the
Statement of Assets and Liabilities may arise due to changes in the value of
the foreign currency or if the counterparty does not perform under the
contract.
G. Option Contracts
Each Portfolio may enter into option contracts. Upon the purchase of a put
option or a call option by a Portfolio, the premium paid is recorded as an
investment, the value of which is marked-to-market daily to reflect the
current market value. When a purchased option expires, the Portfolio will
realize a loss in the amount of the cost of the option. When the Portfolio
enters into a closing sale transaction, the Portfolio will realize a gain or
loss depending on whether the sale proceeds from the closing sale
transaction are greater or less than the cost of the option. When the
Portfolio exercises a put option, it realizes a gain or loss from the sale
of the underlying security and the proceeds from such sale will be decreased
by the premium originally paid. When the Portfolio exercises a call option,
the cost of the security which the Portfolio purchases upon exercise will be
increased by the premium originally paid.
H. Futures Contracts
Each Portfolio may enter into financial futures contracts which are
contracts to buy a standard quantity of securities at a specified price on a
future date. Each Portfolio is required to deposit either in cash or
securities an amount equal to a certain percentage of the contract amount.
Subsequent payments are made or received by the Portfolio each day,
dependent on the daily fluctuations in the value of the underlying security,
and are recorded for financial statement purposes as unrealized gains or
losses by the Portfolio.
Futures contracts are valued at the settlement price established each day by
the board of trade or exchange on which they are traded.
I. Federal Income Taxes
It is each Portfolio's policy to comply with the requirements of the
Internal Revenue Code. Therefore, no federal income tax provision is
required.
J. Other
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts in the financial statements.
NOTE 2--FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolios have entered into an Administration and Services Agreement
with Bankers Trust Company ("Bankers Trust"). Under this Administration and
Services Agreement, Bankers Trust provides administrative, custody and
shareholder services to each of the Portfolios in return for a fee computed
daily and paid monthly at an annual rate of the Portfolio's average daily
net assets. The following provides a table of annual rates and aggregate
fees for each of the Portfolios for the year ended September 30, 1996:
PORTFOLIO ANNUAL RATE AGGREGATE FEES
Capital Appreciation 0.10 of 1% $188,579
Global High Yield Securities 0.20 of 1% 39,158
International Equity 0.15 of 1% 175,281
Latin American Equity 0.20 of 1% 30,201
Pacific Basin Equity 0.25 of 1% 70,374
Small Cap 0.10 of 1% 198,992
The Portfolios have entered into an Advisory Agreement with Bankers Trust.
Under this Advisory Agreement, the Portfolio pays Bankers Trust an advisory
fee computed daily and paid monthly at an annual rate of each Portfolio's
average daily net assets. The following provides a table of annual rates and
aggregate fees for each of the Portfolios for the year ended September 30,
1996:
PORTFOLIO ANNUAL RATE AGGREGATE FEES
Capital Appreciation 0.65 of 1% $1,225,764
Global High Yield Securities 0.80 of 1% 156,634
International Equity 0.65 of 1% 759,552
Latin American Equity 1.00 of 1% 151,004
Pacific Basin Equity 0.75 of 1% 211,122
Small Cap 0.65 of 1% 1,293,449
Bankers Trust has entered into a Sub-Advisory Agreement with BT Portfolio
Managers International Limited ("BT Portfolio Managers International"), a
wholly owned subsidiary of Bankers Trust Australia Limited, for Pacific
Basin Equity Portfolio. Under such Agreement, BT Portfolio Managers
International receives a fee from Bankers Trust for providing investment
advice and research services, computed daily and paid monthly at an annual
rate of 0.60 of 1% of the Portfolio's average daily net assets.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of
each Portfolio, to the extent necessary, to limit all expenses based upon
the average daily net assets of the Portfolio. For the year ended September
30, 1996, expenses of the Portfolios have been reduced as follows:
EXPENSES
PORTFOLIO REDUCED
Capital Appreciation $319,524
Global High Yield Securities 86,070
International Equity 229,297
Latin American Equity 46,928
Pacific Basin Equity 30,450
Small Cap 331,176
On September 30, 1996, the Trust entered into a Distribution Agreement with
Edgewood Services, Inc. ("Edgewood"). Prior to September 30, Signature
Broker-Dealer Services, Inc. ("Signature") was the Trust's Distributor.
Certain trustees and officers of the Portfolios are also directors, officers
and/or employees of Edgewood and/or Signature. None of the trustees so
affiliated received compensation for services as trustees of the Portfolios.
Similarly, none of the Portfolios' officers received compensation from the
Portfolios.
For the year ended September 30, 1996, the Portfolios paid brokerage
commissions of:
BROKERAGE
PORTFOLIO COMMISSIONS PAID
Capital Appreciation $648,897
Global High Yield Securities 3,538
International Equity 603,995
Latin American Equity 164,049
Pacific Basin Equity 323,957
Small Cap 238,160
NOTE 3--PURCHASE AND SALE OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments,
other than short-term obligations, for the year ended September 30, 1996
were as follows:
COST OF PROCEEDS FROM
PORTFOLIO PURCHASES SALE OF SECURITIES
Capital Appreciation $489,610,608 $437,250,028
Global High Yield Securities 39,107,438 44,629,238
International Equity 132,762,664 75,463,529
Latin American Equity 26,499,916 23,034,698
Pacific Basin Equity 35,078,130 30,217,506
Small Cap Portfolio 369,914,922 289,341,209
For Federal income tax purposes, the tax basis of investments held at
September 30, 1996 was $53,971,519 for Capital Appreciation Portfolio,
$17,406,656 for Global High Yield Securities Portfolio, $149,313,254 for
International Equity Portfolio, $15,799,820 for Latin American Equity
Portfolio, $28,657,893 for Pacific Basin Equity Portfolio and $190,666,888
for Small Cap Portfolio. The aggregate gross unrealized appreciation and
depreciation for all investments as of September 30, 1996 were as follows:
GROSS UNREALIZED GROSS UNREALIZED
PORTFOLIO APPRECIATION DEPRECIATION
Capital Appreciation $14,799,536 $522,912
Global High Yield Securities 1,606,712 45,977
International Equity 23,947,591 4,190,151
Latin American Equity 1,982,743 754,069
Pacific Basin Equity 3,439,325 2,730,293
Small Cap 63,846,863 5,010,610
NOTE 4--CREDIT RISK
The Global High Yield Securities Portfolio invests in primarily high yield,
non-investment grade debt securities issued in many of the world's
securities markets. Investments in higher yielding securities are
accompanied by a greater degree of credit risk and the risk tends to be more
sensitive to economic conditions than higher rated securities. The risk of
loss due to default by the issuer may be significantly greater for the
holders of high yielding securities because such securities are generally
unsecured and are often subordinated to other creditors of the issuer.
BT Portfolios
NOTES TO FINANCIAL STATEMENTS
(continued)NOTE 5 -- OPEN FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
As of September 30, 1996, the International Equity Portfolio had the
following open forward foreign currency exchange contracts outstanding:
<TABLE>
<CAPTION>
NET UNREALIZED
APPRECIATION
CONTRACTS TO IN SETTLEMENT VALUE (US$) (DEPRECIATION)
DELIVER EXCHANGE DATE (US$)
FOR
SALES
<S> <C> <C> <C> <C> <C> <C>
AUD 41,746 USD 32,993 10/01/96 33,135 (142)
AUD 3,289,201 USD 2,597,378 10/01/96 2,610,771 (13,393)
AUD 3,267,343 USD 2,572,897 10/08/96 2,585,416 (12,519)
AUD 3,396,879 USD 2,713,261 10/01/96 2,696,239 17,022
JPY 296,683,411 USD 2,677,658 10/01/96 2,661,315 16,343
JPY 286,594,676 USD 2,625,452 10/01/96 2,570,817 54,635
JPY 286,594,676 USD 2,690,090 1/06/97 2,608,489 81,601
Total Sales 143,547
<CAPTION>
PURCHASES
<S> <C> <C> <C> <C> <C> <C>
USD 2,677,657 AUD 3,396,879 10/01/96 2,696,238 18,581
USD 2,625,452 AUD 3,330,947 10/01/96 2,643,905 18,453
USD 2,690,090 AUD 3,396,879 1/06/97 2,680,905 (9,375)
USD 465,179 FRF 2,400,000 10/01/96 468,365 3,186
USD 1,175,398 GBP 750,325 10/01/96 1,174,483 (915)
USD 394 IDR 915,000 10/02/96 394 --
USD 188,815 ITL 287,000,000 10/01/96 188,258 (557)
USD 2,597,377 JPY 286,594,676 10/01/96 2,570,816 (26,561)
USD 2,572,897 JPY 286,595,000 10/08/96 2,572,897 --
USD 10,978 JPY 1,209,289 10/01/96 10,847 (131)
USD 2,713,261 JPY 295,474,118 10/01/96 2,650,468 (62,793)
USD 7,000,000 JPY 779,751,000 10/09/96 6,994,537 (5,463)
Total (65,575)
Purchases
Net Appreciation 77,972
</TABLE>
As of September 30, 1996, the Pacific Basin Equity Portfolio had the
following open forward foreign currency exchange contracts outstanding:
<TABLE>
<CAPTION>
NET UNREALIZED
APPRECIATION
CONTRACTS TO IN EXCHANGE FOR SETTLEMENT VALUE (US$) (DEPRECIATION)
DELIVER DATE (US$)
SALES
<S> <C> <C> <C> <C> <C> <C>
HKD 54,144,300 USD 7,000,996 11/12/96 7,002,897 (1,901)
IDR 3,938,334,407 USD 1,634,299 10/29/96 1,683,253 (48,954)
IDR 1,788,951,525 USD 732,576 12/17/96 756,555 (23,979)
IDR 4,083,140,593 USD 1,698,831 10/29/96 1,745,143 (46,312)
MYR 6,784,253 USD 2,702,889 10/01/96 2,706,771 (3,882)
SGD 4,617,680 USD 3,290,000 12/16/96 3,293,168 (3,168)
Total Sales (128,196)
<CAPTION>
PURCHASES
<S> <C> <C> <C> <C> <C> <C>
USD 129,316 HKD 1,000,000 10/01/96 129,316 --
USD 3,300,000 IDR 8,021,475,000 10/29/96 3,428,396 128,396
USD 1,530,000 IDR 3,693,420,000 12/17/96 1,561,964 31,964
USD 55,833 MYR 140,000 10/01/96 55,855 22
USD 1,660,000 MYR 4,156,806 10/01/96 1,658,477 (1,523)
USD 1,050,000 MYR 2,627,447 10/01/96 1,048,295 (1,705)
USD 2,697,087 MYR 6,784,253 12/02/96 2,700,845 3,758
Total 160,912
Purchases
Net Appreciation 32,716
</TABLE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Holders of Beneficial Interest
of BT Investment Portfolios, Capital Appreciation
Portfolio and International Equity Portfolio:
We have audited the accompanying statement of assets and liabilities,
including the schedule of portfolio investments, of the Global High Yield
Securities, Latin American Equity, Pacific Basin Equity and Small Cap
Portfolios (four of the Portfolios comprising BT Investment Portfolios) and
the Capital Appreciation Portfolio and International Equity Portfolio,
(collectively the `Portfolios'') as of September 30, 1996 and the related
statement of operations for the year then ended, the statement of changes
in net assets for each of the two years in the period then ended except for
the Capital Appreciation Portfolio and International Equity Portfolio, for
which the periods were for the year ended September 30, 1996 and the nine
months ended September 30, 1995 and the financial highlights for each of
the periods presented therein. These financial statements and financial
highlights are the responsibility of the Portfolios' management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures
in the financial statement. Our procedures included confirmation of
securities owned as of September 30, 1996, by correspondence with the
custodian and brokers. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that
our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position
of each of the Portfolios as of September 30, 1996, the results of their
operations for the year then ended, and the changes in their net assets and
the financial highlights for the periods referred to above, in conformity
with generally accepted accounting principles.
/s/ Coopers & Lybrand L.
Coopers & Lybrand L.
Kansas City, Missouri
October 29, 1996
BT ADVISOR FUNDS
Capital Appreciation Fund
Global High Yield Securities Fund
International Equity Fund
Latin American Equity Fund
Pacific Basin Equity Fund
Small Cap Fund
For shareholder account information and current price and yield quotations,
shareholders may call their relationship manager or servicing agent.
Prospectuses containing more extensive information regarding the BT Advisor
Funds may be obtained by calling or writing to Investors Fiduciary Trust
Company or Edgewood Services,Inc., the primary Servicing Agent and
Distributor, respectively, of BT Advisor Funds:
BT ADVISOR FUNDS
Investors Fiduciary Trust Company
127 West 10th Street
Kansas City, MO 64105
(800) 730-1313
BT ADVISOR FUNDS
Edgewood Services, Inc.
Clearing Operations
P.O. Box 897
Pittsburgh, PA 15230-8097
You may write to BT Advisor Funds at the following address:
BT ADVISOR FUNDS
6 St. James Avenue
Boston, MA 02116
