UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-6318
Consulting Group Capital Markets Funds
(Exact name of registrant as specified in charter)
125 Broad Street, New York, NY 10004
(Address of principal executive offices) (Zip code)
Christina T. Sydor, Esq.
Smith Barney Fund Management LLC
300 First Stamford Place
Stamford, CT 06902
(Name and address of agent for service)
Registrant's telephone number, including area code: (800) 451-2010
Date of fiscal year end: August 31
Date of reporting period: August 31, 2003
ITEM 1. REPORT TO STOCKHOLDERS.
The Annual Report to Stockholders is filed herewith.
[LOGO] Consulting Group
Consulting Group
Capital Markets Funds
Small Capitalization Value Equity Investments
Small Capitalization Growth Investments
International Equity Investments
Emerging Markets Equity Investments
International Fixed Income Investments
Annual Report
August 31, 2003
[LOGO] TRAK(R)
Personalized Investment Advisory Service
NOT FDIC INSURED . NOT BANK GUARANTEED . MAY LOSE VALUE
Table of Contents
SHAREHOLDER LETTER........................................................ 1
CONSULTING GROUP CAPITAL MARKETS FUNDS PERFORMANCE SUMMARY
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS......................... 4
SMALL CAPITALIZATION GROWTH INVESTMENTS............................... 6
INTERNATIONAL EQUITY INVESTMENTS...................................... 8
EMERGING MARKETS EQUITY INVESTMENTS................................... 10
INTERNATIONAL FIXED INCOME INVESTMENTS................................ 12
SCHEDULES OF INVESTMENTS.................................................. 16
STATEMENTS OF ASSETS AND LIABILITIES...................................... 50
STATEMENTS OF OPERATIONS.................................................. 52
STATEMENTS OF CHANGES IN NET ASSETS....................................... 54
NOTES TO FINANCIAL STATEMENTS............................................. 58
FINANCIAL HIGHLIGHTS...................................................... 71
INDEPENDENT AUDITORS' REPORT.............................................. 74
ADDITIONAL INFORMATION.................................................... 75
TAX INFORMATION........................................................... 78
Consulting Group
Capital Markets Funds
DEAR SHAREHOLDER,
The global financial markets rose sharply from mid-March 2003 through the end
of the fiscal year for the Consulting Group Capital Markets Funds (or
collectively the "Portfolios"). The gains more than offset the losses suffered
in the first six months of the fiscal year (through February 2003). For the
full year ended August 31, 2003, the U.S equity markets rose 12.06% as measured
by the S&P 500 Index. The international equity markets increased 9.11% as
measured by the Morgan Stanley Capital International Europe, Australasia and
the Far East ("MSCI EAFE Index"). Bond market returns were positive as interest
rates fell for much of the year. These positive returns mask the volatility in
returns and investor sentiment. Through October 2002, the global investors'
preference was to hold the lowest risk assets and avoid the higher risk assets.
Since then, investors have shifted assets back to equities and corporate bonds.
We have detailed the causes of the risk aversion in several of our earlier
letters. The concerns over the inconsistent economic recovery, geopolitical
risks, and the broad heading of corporate governance remain. However, since
March, investors have decided to focus on the positive effects of an
accommodative monetary and fiscal policy and the potential and benefits for
economic and profit growth. Within the equity universe, investors favored
smaller companies and companies with greater earnings leverage to the economic
recovery. The relative safety of companies that have earnings stability and
quality lagged the market in the recent rebound.
The impact of the change in market behavior is significant. Large
Capitalization Growth Investments and Small Capitalization Growth Investments
struggled during the worst phases of the bear market. The Portfolios remained
committed to their growth mandates and produced strong returns during the
rebound. Small Capitalization Growth Investments returned 31.30% for the
twelve-month period ended August 31, 2003, the highest of any of the
Portfolios, although it did underperform the comparative index, the Russell
2000 Growth Index, which returned 34.90% during the period. Large
Capitalization Growth Investments produced the highest outperformance compared
to its benchmark, returning 24.16% compared to the Russell 1000 Growth Index
return of 14.08%. The Portfolio benefited by having a more aggressive portfolio
positioning than the index as the market began the preference for high beta, or
riskier stocks, in the spring of 2003.
Small Capitalization Value Equity Investments returned 13.12%, underperforming
its benchmark, the Russell 2000 Value Index, which returned 23.68%. Large
Capitalization Value Equity Investments returned 8.75%, underperforming its
benchmark, the Russell 1000 Value Index, which returned 11.63%. Both Portfolios
were positioned to be slightly less economically sensitive than their
comparative index. The more conservative posture of Small Capitalization Value
Equity Investments benefited shareholders during the bear market, but hurt
during this rebound. Large Capitalization Value Equity Investments had a very
large part of the portfolio in dividend paying companies. While there has been
much talk about the changing tax law pertaining to dividends, the market has
not rewarded those issues so far in 2003. Dividend paying companies tend to
have more stable streams of earnings and the market's preference has been for
earnings recovery from low levels or from money losing companies.
The return to equity investing was a global phenomenon, similar to the retreat
from equities. Many of the same trends that drove equity prices in the U.S.
drove equity prices in foreign markets. The primary factors or statistics that
influenced returns were high beta, high influence of the economic cycle, and
the ability to bounce farther back up from the lows. Many have started to
invest under the belief that the harder the fall, the higher the recovery.
Unfortunately in both the U.S. and foreign markets, we believe corporate
successes and earnings recovery is still very far away for many of these
stocks. International Equity Investments returned 13.21% for the year ended
August 31, 2003, while the MSCI EAFE Index returned 9.11% for the same period.
1
The bond market received much attention during the equity bear market as the
safe haven in which to invest. This perception hides the risks and volatility
within the fixed-income markets. In the summer of 2003, interest rates on
longer-term government bonds rose sharply. For some individual bond issues, the
corresponding drop in price was a near 10% loss in value. As we highlighted in
earlier letters, the recent recovery in the corporate bond market was one of
the positive fundamental factors that helped equity prices to begin climbing
off the October 2002 lows. Like the equity market recovery, the individual
fixed-income securities that performed best were those rated below investment
grade. The high-yield sector of the bond market produced returns that looked
equity-like (greater than 20% for the one-year period). High Yield Investments
returned 14.57%, underperforming its benchmark, the Lehman Brothers High Yield
Index, which returned 24.86%, since the Portfolio was underrepresented in
lowest rated securities.
For the full year ended August 31, 2003, there were two changes to the
management structure of the Portfolios. Consulting Group, as investment manager
for the Portfolios, will make recommendations to replace or terminate a manager
or managers that no longer meet the expectations that have been established for
the Portfolio.
During the period under review, Consulting Group recommended, and the Board of
Trustees approved, the following changes to the Portfolios.
. Kern Capital Management was terminated from Small Capitalization Growth
Investments. The new target allocation for the sub-advisers is Wall Street
Associates 34%, Westfield Capital Management 33% and Westpeak Global
Advisors, L.P. 33%.
. Deutsche Asset Management Investment Services Limited was terminated from
International Equity Investments and replaced by Philadelphia International
Advisors LP ("PIA"). The target allocation for the sub-advisers is 33% PIA,
34% Brandywine Asset Management and 33% Oeschle International.
A detailed summary of the Portfolios' performance can be found on page 3.
Overall, equity markets produced positive returns for the year, about which we
are pleased. The importance of asset allocation and diversification of assets
remains at the core of our process. We thank you for your continued support and
encourage you to contact your Financial Consultant for further assistance and
guidance.
Sincerely,
/s/ R Jay Gerken
R. Jay Gerken, CFA
Chairman
October 10, 2003
2
Performance of the Consulting Group Capital Markets Funds for the Year Ended
August 31, 2003+
Emerging Markets Equity Investments.......... 25.51%
Government Money Investments++............... 0.85
High Yield Investments....................... 14.57
Intermediate Fixed Income Investments........ 4.78
International Equity Investments............. 13.21
International Fixed Income Investments....... 10.28
Large Capitalization Growth Investments...... 24.16
Large Capitalization Value Equity Investments 8.75
Long-Term Bond Investments................... 4.59
Mortgage Backed Investments++................ (0.90)
Multi-Sector Fixed Income Investments++...... (0.37)
Municipal Bond Investments................... 2.51
Small Capitalization Growth Investments...... 31.30
Small Capitalization Value Equity Investments 13.12
- --------
+ All figures represent past performance and is not a guarantee of future
results. The performance data represents past performance including the
investment return and principal value of an investment, which will fluctuate
so that an investor's shares, when redeemed, may be worth more or less than
their original cost. The returns shown do not reflect the deduction of taxes
that a shareholder would pay on fund distributions or the redemption of fund
shares.
The Portfolios are available only to investors participating in an advisory
program. These programs charge an annual fee, which in the case of TRAK(R)
may be up to 1.50%. The performance data shown does not reflect this fee,
which would reduce returns.
++ Performance figures may reflect fee waivers and/or expense reimbursements.
Past performance is no guarantee of future results. In the absence of fee
waivers and/or expense reimbursements, the total return would be reduced.
3
[Graphic]
Small Capitalization Value Equity Investments
ABOUT THE SUB-ADVISERS
.. Rutabaga Capital Management LLC ("Rutabaga Capital")
Focuses exclusively on micro and small capitalization stocks and looks
to unearth uncommon or currently unfavored stocks. The firm's analysts employ
extensive bottom-up fundamental research to identify high quality companies
with catalysts to increase margins and intrinsic value but are neglected or
misperceived by the market.
.. Furman Selz Capital Management LLC ("Furman Selz")
Selects stocks on a bottom-up basis utilizing fundamental research in order to
identify stocks of companies undergoing a material change that may be
purchased at a reasonable price in relation to their earnings growth rate.
.. NFJ Investment Group ("NFJ")
An active management style that invests in a diversified portfolio of small
capitalization common stocks that it believes are undervalued in the
marketplace generally and within their respective industries. The sub-adviser
also considers valuation factors such as price-to-book, price-to-cash flow,
dividend policy and industry outlook in selecting stocks for investment.
During the year of September 1, 2002 through August 31, 2003, the sub-advisers
to Small Capitalization Value Equity Investments ("Portfolio") were Rutabaga
Capital, Furman Selz and NFJ. The allocation among the sub-advisers at the end
of the period was Rutabaga Capital 33%, Furman Selz 33% and NFJ 34%. The
Portfolio underperformed the Russell 2000 Value Index and its Lipper Peer Group
Average.
The technology and healthcare sectors provided the best returns within the
Russell 2000 Value Index--particularly in the past six months. The Russell 2000
Value benchmark performance exceeded that of the Portfolio for the period
primarily due to an under weighting in each of these sectors. The Furman Selz
allocation trailed the benchmark in several sectors including financial
services due to a significant underweight and energy and healthcare due to
stock selection. Superior performance was seen in industrials and information
technology sectors due to stock selection and consumer discretionary as a
result of a meaningful overweight. The performance of the Rutabaga Capital
allocation during the early part of the fiscal year was marred by poor stock
selection: specifically, four stocks were down over 50% from August 31, 2002 to
December 31, 2002. For the NFJ allocation, all sector returns for the period
were positive, any of which produced double-digit performance results, along
with over half of the positions in the Portfolio. The technology and healthcare
sectors provided the best returns, particularly in the past six months. The
Portfolio remains committed to its value mandate.
4
The following graph depicts the performance of the Small Capitalization Value
Equity Investments vs. the Russell 2000 Value Index/1/ and the Lipper
Small Cap Value Funds Average./2/
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2003
(unaudited) SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
Comparison of $10,000 Investment in the Fund with the Russell 2000 Value
Index and the Lipper Small Cap Value Funds Average
[CHART]
Small Small
Capitalization Capitalization
Value Equity Value Equity Lipper Small
Investments* Investments Russell 2000 Cap Value
(With TRAK Fee) (Without TRAK Fee) Value Index Funds Average
--------------- ----------------- ----------- -------------
8/93 $10,000 $10,000 $10,000 $10,000
8/94 9,525 9,669 10,807 10,623
8/95 10,557 10,878 12,490 12,446
8/96 11,697 12,236 14,003 14,203
8/97 16,408 17,424 19,227 19,626
8/98 14,089 15,187 16,928 16,311
8/99 15,768 17,254 18,406 19,135
8/00 16,324 18,132 20,928 22,726
8/01 19,294 21,756 24,703 26,683
8/02 18,465 21,135 23,320 25,245
8/03 20,577 23,909 28,842 30,776
All figures represent past performance and are not a guarantee of future
results. The performance data represents past performance including the
investment return and principal value of an investment, which will fluctuate so
that an investor's shares, when redeemed, may be worth more or less than their
original cost.
The graph above and returns shown below do not reflect the deduction of taxes
that a shareholder would pay on fund distributions or the redemption of fund
shares.
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS (unaudited) Average Annual Total
Returns for Period Ended August 31, 2003
Without TRAK Fee With TRAK Fee*
-------------------------------------------------------------------
Since inception (11/18/91) 9.78% 8.14%
10 year 9.11 7.48
5 year 9.50 7.87
3 year 9.66 8.02
1 year 13.12 11.44
------------------------------------------------------------------
See pages 14 and 15 for all footnotes.
5
[Graphic]
Small Capitalization
Growth Investments
ABOUT THE SUB-ADVISERS
.. Wall Street Associates ("Wall Street")
Follows a bottom-up investment style. It looks for companies with superior
earnings growth, strong balance sheets, attractive valuations and potentially
positive earning surprises.
.. Westfield Capital Management Co., Inc. ("Westfield Capital")
Favors investing in earnings growth stocks given their conviction that stock
prices follow earnings progress and that they offer the best opportunity for
superior real rates of return. Reasonably priced stocks of companies with high
foreseen earnings potential are best identified through in-depth, fundamental
research. It is their belief that the small cap portion of the market is
under-researched, and therefore less efficient, than the large cap sector.
.. Westpeak Global Advisors, L.P. ("Westpeak")
Employs a value-oriented and research-driven approach to identify reasonably
priced growth stocks that are likely to have positive earning surprises and
revisions. The firm uses a value constraint to ensure that the growth stocks
selected are reasonably priced.
During the year of September 1, 2002 through August 31, 2003, the sub-advisers
to Small Capitalization Growth Investments ("Portfolio") were Wall Street,
Westfield Capital and Westpeak. The allocation among the sub-advisers at the
end of the period was Wall Street 34%, Westfield Capital 33% and Westpeak 33%.
The Portfolio slightly underperformed the Russell 2000 Growth Index for the
period, but outperformed its Lipper Peer Group Average.
During the period under review, investors favored smaller companies and
companies with greater earnings leverage to the economic recovery. The Wall
Street allocation overweight to technology and strong stock selection drove
performance. Virtually all the major economic sectors produced double-digit
returns. Overall, stock selection added 8.3% and sector allocation contributed
2.9% to performance during the period. The Westfield Capital allocation was
driven primarily by the technology sector, although the underweight in the
sector had a negative impact on performance. The sectors with the greatest
positive returns were in healthcare, energy and consumer discretionary. The
Westpeak allocation outperformed in the majority of the past twelve months
ending August 31, 2003, although there were some brief periods of speculation
in the marketplace where underperformance overwhelmed the more extended periods
of positive relative returns. In particular, October and November of 2002 were
characterized by the dominance of highly volatile, low-priced, negative
earnings companies primarily in the technology sector. In October of 2002, Kern
Capital was terminated as a sub-adviser to the Portfolio. The Portfolio remains
committed to its growth mandate.
6
The following graph depicts the performance of the Small Capitalization Growth
Investments vs. the Russell 2000 Growth Index/3/ and the Lipper
Small Cap Growth Funds Average./4/
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2003
(unaudited) SMALL CAPITALIZATION GROWTH INVESTMENTS
Comparison of $10,000 Investment in the Fund with the Russell 2000 Growth
Index and the Lipper Small Cap Growth Funds Average
[CHART]
Small Small
Capitalization Capitalization
Growth Growth Russell 2000 Lipper Small
Investments* Investments Growth Cap Growth
(With TRAK Fee) (Without TRAK Fee) Index Funds Average
--------------- ------------------ ----- -------------
8/93 $10,000 $10,000 $10,000 $10,000
8/94 11,150 11,318 10,378 10,534
8/95 15,185 15,648 13,088 13,811
8/96 18,149 18,985 14,304 16,318
8/97 21,012 22,312 17,169 19,893
8/98 15,504 16,712 12,651 15,847
8/99 22,042 24,119 18,130 23,596
8/00 32,693 36,315 25,214 39,162
8/01 21,188 23,891 16,404 27,378
8/02 15,339 17,558 12,136 20,569
8/03 19,840 23,053 16,371 26,473
All figures represent past performance and are not a guarantee of future
results. The performance data represents past performance including the
investment return and principal value of an investment, which will fluctuate so
that an investor's shares, when redeemed, may be worth more or less than their
original cost.
The graph above and returns shown below do not reflect the deduction of taxes
that a shareholder would pay on fund distributions or the redemption of fund
shares.
SMALL CAPITALIZATION GROWTH INVESTMENTS (unaudited)
Average Annual Total Returns for Period Ended August 31, 2003
Without TRAK Fee With TRAK Fee*
- ------------------------------------------------------------------------------
Since inception (11/18/91) 10.46% 8.81%
10 year 8.71 7.09
5 year 6.64 5.06
3 year (14.06) (15.34)
1 year 31.30 29.34
- -----------------------------------------------------------------------------
See pages 14 and 15 for all footnotes.
7
[Graphic]
International Equity Investments
ABOUT THE SUB-ADVISERS
.. Oechsle International Advisors, LLC ("Oechsle")
Seeks to identify the most attractive foreign markets by ranking their
expected returns through country and currency analysis. It then selects
investments within attractive markets through both a top-down and bottom-up
company analysis.
.. Philadelphia International Advisors LP ("PIA")
PIA utilizes a bottom-up approach to international investing. It selects
stocks to buy and sell by evaluating a company's growth outlook and market
valuation based on traditional value characteristics, positive
company-specific catalysts and other operating and financial conditions. It
selects countries primarily by evaluating a country's valuation ratios such as
price-to-earnings and dividend yield, prospective economic growth, government
policies and other factors.
.. Brandywine Asset Management, Inc. ("Brandywine")
With regard to stock selection, Brandywine employs a quantitative screen which
takes into account country, industry and company valuation history. Brandywine
seeks stocks whose performance has deviated from their historical mean and
likely will revert to this historical mean.
During the year of September 1, 2002 through August 31, 2003, there was a
change in the sub-adviser line-up for International Equity Investments
("Portfolio"). PIA replaced Deutsche Asset Management Investment Services
Limited. The allocation among the sub-advisers at the end of the period was
Oechsle 33%, Brandywine 33% and PIA 34%. The Portfolio outperformed the Morgan
Stanley Capital International ("MSCI") EAFE Index and its Lipper Peer Group
Average.
During the period under review, many of the same trends that drove equity
prices in the U.S. drove equity prices in foreign markets. The primary factors
or statistics that influenced returns were high beta (The measure of an asset's
risk in relation to the market or to an alternative benchmark or factors), high
influence of the economic cycle, and the ability to bounce farther back up from
the lows. The key reason behind the favorable comparison was the security
selection in the European and United Kingdom holdings. To a lesser extent, the
performance was enhanced by a relatively high exposure to the markets of Greece
and Germany. From a sector standpoint, consumer discretionary and utilities
were positive to performance.
The PIA allocation outperformed the MSCI EAFE Index since the inception of the
account in December 2002, mostly due to security selection in its European and
United Kingdom portfolios. PIA continued to favor inexpensive stocks in
economically sensitive sectors. The Oeschle allocation had allocations to Italy
and Japan, which added value, while France and Switzerland detracted from
performance. Consumer discretionary and energy were among the strongest sectors
for the allocation. The Brandywine allocation saw positive performance from
telecommunications and energy sectors, while financials and industrials
struggled. The Portfolio remains committed to its international equity mandate.
8
The following graph depicts the performance of the International Equity
Investments vs. the MSCI EAFE-Capitalization Weighted Index/5/ and the Lipper
International Funds Average./6/
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2003
(unaudited) INTERNATIONAL EQUITY INVESTMENTS
Comparison of $10,000 Investment in the Fund with the MSCI EAFE-Capitalization
Weighted Index and the Lipper International Funds Average
[CHART]
International International MSCI
Equity Equity EAFE-
Investments* Investments Capitalization Lipper
(With (Without Weighted International
TRAK Fee) TRAK Fee) Index Funds Average
------------- ------------ --------- --------------
8/93 $10,000 $10,000 $10,000 $10,000
8/94 11,500 11,674 11,114 11,571
8/95 11,309 11,654 11,203 11,576
8/96 11,612 12,147 12,103 12,689
8/97 12,530 13,305 13,200 14,571
8/98 12,779 13,775 13,182 14,414
8/99 15,618 17,090 13,163 18,098
8/00 18,335 20,366 14,420 21,542
8/01 12,883 14,527 10,909 15,816
8/02 10,651 12,191 9,278 13,493
8/03 11,878 13,801 10,123 14,506
All figures represent past performance and are not a guarantee of future
results. The performance data represents past performance including the
investment return and principal value of an investment, which will fluctuate so
that an investor's shares, when redeemed, may be worth more or less than their
original cost.
The graph above and returns shown below do not reflect the deduction of taxes
that a shareholder would pay on fund distributions or the redemption of fund
shares.
INTERNATIONAL EQUITY INVESTMENTS (unaudited)
Average Annual Total Returns for Period Ended August 31, 2003
Without TRAK Fee With TRAK Fee*
- ------------------------------------------------------------------------------
Since inception (11/18/91) 4.37% 2.82%
10 year 3.27 1.74
5 year 0.04 (1.45)
3 year (12.16) (13.47)
1 year 13.21 11.52
- -----------------------------------------------------------------------------
See pages 14 and 15 for all footnotes.
9
[Graphic]
Emerging Markets Equity Investments
ABOUT THE SUB-ADVISERS
.. SSgA Funds Management, Inc. ("SSgA")
Uses quantitative analysis to identify countries and stocks which are
undervalued relative to their growth rates. It employs an investment process
that combines top-down country selection with bottom-up stock selection to
determine an optimal country and security mix.
.. F&C Emerging Markets Ltd. ("F&C")
Active management style combines a rigorous top-down macroeconomic approach to
country allocation with fundamental, bottom-up stock selection. Investment
decisions are founded on the primary research undertaken by the in-house
investment managers.
During the year September 1, 2002 through August 31, 2003, the sub-advisers to
the Emerging Markets Equity Investments ("Portfolio") were SSgA and F&C. The
allocation among the sub-advisers at the end of the period was SSgA 50% and F&C
50%. The Portfolio underperformed the Morgan Stanley Capital International
("MSCI") Europe, Australasia and Far East Index and the Lipper Peer Group
Average.
During the period under review, every market except for the Philippines posted
positive returns, with many offering double digit gains. Regionally, MSCI
Europe, Mid-East and Africa was up 29%, MSCI Latin America was up 34% and MSCI
Asia was up 21%. In general, the Portfolio benefited from positive company and
country selection by both managers.
In the F&C allocation, the key areas of strength were a gradual move to an
overweight position in India and an overweight position in Russia. F&C also
benefited recently from an overweight position in Brazil. In the last five
months of the fiscal year, SSgA's allocation saw gains resulting from a relief
that the mission in Iraq was accomplished without the use of weapons of mass
destruction or major acts of global terrorism, the apparent containment of the
SARS virus, and that the initial fears of a displacement of global trade proved
to be premature. An overall increased optimism on the state of the U.S. economy
also helped. The Portfolio remains committed to its emerging markets mandate.
10
The following graph depicts the performance of the Emerging Markets Equity
Investments vs. the MSCI Emerging Markets Free Index/7/ and the Lipper Emerging
Markets Funds Average./8/
HISTORICAL PERFORMANCE SINCE INCEPTION THROUGH AUGUST 31, 2003 (unaudited)
EMERGING MARKETS EQUITY INVESTMENTS
Comparison of $10,000 Investment in the Fund with the MSCI Emerging Markets
Free Index and the Lipper Emerging Markets Funds Average
[CHART]
Emerging Emerging
Markets Markets MSCI
Equity Equity Emerging Lipper
Emerging
Investments* Investments Markets Markets
Funds
(With TRAK Fee) (Without TRAK Fee) Free Index Average
4/20/94 $10,000 $10,000 $10,000 $10,000
8/94 11,797 11,863 12,008 11,576
8/95 9,863 10,068 10,039 9,849
8/96 10,521 10,901 10,421 10,714
8/97 11,388 11,978 10,899 12,475
8/98 5,667 6,051 5,421 6,704
8/99 8,673 9,401 9,339 10,363
8/00 9,380 10,321 9,927 12,223
8/01 6,437 7,190 7,165 8,726
8/02 6,507 7,378 7,342 9,020
8/31/03 8,046 9,260 9,466 11,421
All figures represent past performance and are not a guarantee of future
results. The performance data represents past performance including the
investment return and principal value of an investment, which will fluctuate so
that an investor's shares, when redeemed, may be worth more or less than their
original cost.
The graph above and returns shown below do not reflect the deduction of taxes
that a shareholder would pay on fund distributions or the redemption of fund
shares.
EMERGING MARKETS EQUITY INVESTMENTS (unaudited)
Average Annual Total Returns for Period Ended August 31, 2003
Without TRAK Fee With TRAK Fee*
- ------------------------------------------------------------------------------
Since inception (4/20/94) (0.82)% (2.30)%
5 year 8.88 7.26
3 year (3.55) (4.99)
1 year 25.51 23.64
- -----------------------------------------------------------------------------
See pages 14 and 15 for all footnotes.
11
[Graphic]
International Fixed Income Investments
ABOUT THE SUB-ADVISER
.. Julius Baer Investment Management Inc. ("Julius Baer")
Applies portfolio economic analysis to select a portfolio of
high-quality, well-diversified foreign bonds. From a universe of 20 developed
countries outside the U.S., the sub-adviser forecasts which bond markets offer
the best opportunity to outperform the U.S. bond market, considering factors
such as currencies, local bond market conditions, issuers and instruments. It
pays particular attention to markets that offer attractive yields. The
sub-adviser employs a proprietary computer model to analyze exchange rates to
assist in its forecasts and to help manage the risk of the Portfolio.
During the year of September 1, 2002 through August 31, 2003, the sub-adviser
to the International Fixed Income Investments ("Portfolio") was Julius Baer.
The Portfolio underperformed its benchmark and the Lipper Peer Group Average.
Several important themes in the last twelve months impacted performance,
including the risk of deflation and the Fed's efforts to stave it off, the
question of whether growth will return, and the war and continued involvement
in Iraq. The Fed's efforts to stave off deflation manifested itself in rate
cuts that brought market rates to their lowest point in decades, helping the
Portfolio. Credit markets also rallied on the prospect of renewed growth to the
benefit of the Portfolio, while whether or not growth has picked up in any
meaningful and sustained manner remains unresolved.
Several times during the last twelve months, the outlook for growth teetered
between positive and negative. This changing attitude peaked in July 2003, when
bond markets had their worst month in more than forty years, becoming the
largest detractor to the Portfolio over the last twelve months. Elsewhere, the
Euro took center stage for much of the first part of this year, helping returns
substantially. Japan saw a spike in the market that offered an opportunity to
re-enter a market that had had little appeal for a long time. Although the
global economy is recovering, the sub-adviser favors bond markets, especially
Treasuries. In terms of markets, the sub-adviser currently favors the U.S. over
Europe and Japan.
12
The following graph depicts the performance of the International Fixed
Income Investments vs. the Citigroup Global Markets Non-U.S. Government Bond
Index/9/ and the Lipper International Income Funds Average./10/
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2003
(unaudited) INTERNATIONAL FIXED INCOME INVESTMENTS
Comparison of $10,000 Investment in the Fund with the Citigroup Global Markets
Non-U.S. Government Bond Index and the Lipper International Income Funds
Average
[CHART]
International International Citigroup Global Lipper
Fixed Income Fixed Income Markets Non-U.S. International
Investments* Investments Government Bond Income Funds
(With TRAK Fee) (Without TRAK Fee) Index Average
--------------- ------------------ ----- -------
8/93 $10,000 $10,000 $10,000 $10,000
8/94 9,949 10,099 10,529 9,803
8/95 11,532 11,883 12,214 11,228
8/96 12,729 13,315 14,733 12,646
8/97 12,349 13,113 14,232 13,308
8/98 13,436 14,484 15,097 14,073
8/99 13,507 14,780 15,050 14,540
8/00 12,490 13,874 14,170 14,276
8/01 12,771 14,400 14,693 15,234
8/02 13,637 15,609 16,202 16,507
8/03 14,815 17,214 18,050 18,341
All figures represent past performance and are not a guarantee of future
results. The performance data represents past performance including the
investment return and principal value of an investment, which will fluctuate so
that an investor's shares, when redeemed, may be worth more or less than their
original cost.
The graph above and returns shown below do not reflect the deduction of taxes
that a shareholder would pay on fund distributions or the redemption of fund
shares.
INTERNATIONAL FIXED INCOME INVESTMENTS (unaudited)
Average Annual Total Returns for Period Ended August 31, 2003
Without TRAK Fee With TRAK Fee*
- ------------------------------------------------------------------------------
Since inception (11/18/91) 6.63% 5.04%
10 year 5.58 4.01
5 year 3.51 1.97
3 year 7.46 5.86
1 year 10.28 8.64
- -----------------------------------------------------------------------------
See pages 14 and 15 for all footnotes.
13
FOOTNOTES
* The Portfolios are available only to investors participating in an advisory
program. These programs charge an annual fee which in the case of TRAK(R),
may be up to 1.50%.
1 The Russell 2000 Value Index is a capitalization weighted total return
index which is comprised of 2000 of the smallest capitalized U.S. domiciled
companies with less-than-average growth orientation whose common stock is
traded in the United States on the New York Stock Exchange, American Stock
Exchange and NASDAQ. Because the index is not a managed portfolio, there
are no advisory fees or internal management expenses reflected in the
index's performance. Please note that an investor cannot invest directly in
an index.
2 The Lipper Small Cap Value Funds Average is comprised of the Portfolio's
peer group of mutual funds which limit their investments to small cap value
companies.
3 The Russell 2000 Growth Index is a capitalization weighted total return
index which is comprised of 2000 of the smallest capitalized U.S. domiciled
companies with greater-than-average growth orientation whose common stock
is traded in the United States on the New York Stock Exchange, American
Stock Exchange and NASDAQ. Because the index is not a managed portfolio,
there are no advisory fees or internal management expenses reflected in the
index's performance. Please note that an investor cannot invest directly in
an index.
4 The Lipper Small Cap Growth Funds Average is comprised of the Portfolio's
peer group of mutual funds which limit their investments to small cap
growth companies.
5 The Morgan Stanley Capital International EAFE Capitalization Weighted Index
is a composite portfolio of equity total returns for the countries of
Australia, New Zealand and countries in Europe and the Far East, weighted
based on each country's market capitalization. Because the index is not a
managed portfolio, there are no advisory fees or internal management
expenses reflected in the index's performance. Please note that an investor
cannot invest directly in an index.
6 The Lipper International Funds Average is an equally weighted average of
the funds that invest their assets in securities with primary trading
markets outside of the United States.
7 The Morgan Stanley Capital International Emerging Markets Free Index is an
index comprised of thirteen emerging markets open to direct foreign
participation. Because the index is not a managed portfolio, there are no
advisory fees or internal management expenses reflected in the index's
performance. Please note that an investor cannot invest directly in an
index.
8 The Lipper Emerging Markets Funds Average is an equally weighted average of
the funds that seek long-term capital appreciation by investing at least
65% of total assets in emerging market equity securities, where "emerging
market" is defined by a country's GNP per capita or other economic measures.
14
9 The Citigroup Global Markets Non-U.S. Government Bond Index, formerly known
as Salomon Smith Barney Non-U.S. Government Bond Index (unhedged), is an
index subset of the Citigroup Global Markets World Bond Index that excludes
corporate bonds denominated in U.S. dollars. It contains foreign government
and supranational bonds denominated in Australian, Austrian, Belgian,
British, Canadian, Danish, Dutch, French, German, Italian, Japanese,
Spanish and Swedish currencies. Because the index is not a managed
portfolio, there are no advisory fees or internal management expenses
reflected in the index's performance. Please note that an investor cannot
invest directly in an index.
10 The Lipper International Income Funds Average is an equally weighted
average of the funds that invest primarily in U.S. dollar and non-U.S.
dollar debt securities of issuers located in at least three countries,
excluding the United States.
15
Schedules of Investments
August 31, 2003
Small Capitalization Value Equity Investments
- ----------------------------------------------------------
Shares Security Value
- ----------------------------------------------------------
COMMON STOCK -- 96.3%
Aerospace and Defense -- 2.3%
155,960 Armor Holdings, Inc.*............ $ 2,364,354
25,800 Curtiss-Wright Corp.............. 1,754,400
128,000 Kaman Corp., Class A Shares...... 1,651,200
53,000 Precision Castparts Corp......... 1,876,200
76,100 World Fuel Services Corp......... 2,073,725
------------
9,719,879
------------
Auto Components -- 1.0%
80,000 ArvinMeritor, Inc................ 1,505,600
26,700 BorgWarner, Inc.................. 1,901,574
32,988 Modine Manufacturing Co.......... 814,804
------------
4,221,978
------------
Banks -- 7.4%
88,105 Astoria Financial Corp........... 2,831,695
79,500 BancorpSouth, Inc................ 1,713,225
11,900 Chittenden Corp.................. 343,196
72,000 Commercial Federal Corp.......... 1,785,600
43,800 FirstMerit Corp.................. 1,109,454
115,510 Fulton Financial Corp............ 2,333,302
26,375 Hudson United Bancorp............ 1,041,549
288,900 NBT Bancorp Inc.+................ 6,075,567
507,225 Ocwen Financial Corp.*........... 2,520,908
69,900 Old National Bancorp............. 1,630,767
50,900 Provident Financial Group, Inc.+. 1,359,539
77,000 Seacoast Financial Services Corp. 1,590,050
66,100 Susquehanna Bancshares, Inc...... 1,742,396
35,000 UMB Financial Corp............... 1,665,300
67,200 Washington Federal, Inc.......... 1,704,192
54,600 Webster Financial Corp........... 2,126,670
------------
31,573,410
------------
Biotechnology -- 0.5%
142,505 Serologicals Corp.*+............. 1,980,820
------------
Building Products -- 1.3%
81,400 Crane Co......................... 2,083,026
68,900 Universal Forest Products, Inc... 1,699,763
57,500 York International Corp.......... 1,856,100
------------
5,638,889
------------
Chemicals -- 3.2%
958,800 Intertape Polymer Group Inc.*.... 6,740,364
51,200 The Lubrizol Corp................ 1,740,800
353,350 Lyondell Chemical Co.+........... 5,052,905
------------
13,534,069
------------
Commercial Services and Supplies -- 7.0%
49,900 Banta Corp....................... 1,733,027
112,000 Ennis Business Forms, Inc........ 1,655,360
118,700 Headwaters Inc.*................. 1,654,678
351,470 Herman Miller, Inc............... 8,217,368
See Notes to Financial Statements.
16
Schedules of Investments
(continued)
Small Capitalization Value Equity Investments
- --------------------------------------------------------------------------------
Shares Security Value
- --------------------------------------------------------------------------------
Commercial Services and Supplies -- 7.0% (continued)
91,315 Ionics, Inc.*+......................................... $ 2,008,930
42,600 Landauer, Inc.......................................... 1,563,846
60,800 McGrath Rentcorp....................................... 1,684,160
40,700 Roto-Rooter, Inc....................................... 1,568,171
458,500 Schawk, Inc.+.......................................... 5,502,000
44,700 United Stationers Inc.*................................ 1,816,608
99,465 Watson Wyatt & Co. Holdings*........................... 2,298,636
------------
29,702,784
------------
Communications Equipment -- 0.8%
408,400 Powerwave Technologies, Inc.*+......................... 3,450,980
------------
Construction and Engineering -- 1.3%
403,350 Quanta Services, Inc.*+................................ 3,835,858
65,537 Washington Group International, Inc.*.................. 1,646,945
------------
5,482,803
------------
Construction Materials -- 2.5%
34,000 Florida Rock Industries, Inc........................... 1,766,300
225,800 Martin Marietta Materials, Inc......................... 8,632,334
------------
10,398,634
------------
Containers and Packaging -- 0.9%
84,200 Greif Inc., Class A Shares............................. 2,152,152
105,700 Rock-Tenn Co., Class A Shares.......................... 1,707,055
------------
3,859,207
------------
Electric Utilities -- 1.6%
200,400 Cleco Corp.+........................................... 3,134,256
80,100 OGE Energy Corp.+...................................... 1,740,573
62,300 PNM Resources Inc...................................... 1,707,020
------------
6,581,849
------------
Electrical Equipment -- 3.5%
98,000 Acuity Brands, Inc..................................... 1,755,180
46,000 AMETEK, Inc............................................ 1,930,160
344,200 Belden Inc.+........................................... 6,312,628
109,615 Rayovac Corp.*+........................................ 1,532,418
77,000 Regal-Beloit Corp...................................... 1,741,740
44,000 Tecumseh Products Co., Class A Shares.................. 1,725,680
------------
14,997,806
------------
Electronic Equipment and Instruments -- 0.6%
16,900 Analogic Corp.......................................... 863,759
134,900 Methode Electronics, Inc., Class A Shares.............. 1,618,800
------------
2,482,559
------------
Energy Equipment and Services -- 3.6%
60,500 Helmerich & Payne, Inc................................. 1,769,625
1,305,620 Input/Output, Inc.*.................................... 5,770,840
84,900 Rowan Cos., Inc.*...................................... 2,125,896
1,477,300 Stolt Offshore S.A., ADR*.............................. 3,796,661
63,000 Tidewater Inc.......................................... 1,809,360
------------
15,272,382
------------
See Notes to Financial Statements.
17
Schedules of Investments
(continued)
Small Capitalization Value Equity Investments
- --------------------------------------------------------------------------------
Shares Security Value
- --------------------------------------------------------------------------------
Food and Drug Retailing -- 3.2%
111,000 Casey's General Stores, Inc............................ $ 1,720,500
111,700 Ruddick Corp........................................... 1,853,103
1,182,100 Smart & Final Inc.*+................................... 7,163,526
14,700 Weis Markets, Inc...................................... 515,970
209,650 Wild Oats Markets, Inc.*+.............................. 2,490,642
------------
13,743,741
------------
Food Products -- 1.6%
45,425 American Italian Pasta Co.*+........................... 1,895,131
53,600 Corn Products International, Inc....................... 1,690,008
61,500 Fresh Del Monte Produce Inc.+.......................... 1,706,625
78,000 Sensient Technologies Corp.+........................... 1,622,400
------------
6,914,164
------------
Gas Utilities -- 2.8%
67,600 Atmos Energy Corp.+.................................... 1,646,060
50,500 Energen Corp........................................... 1,801,840
71,200 National Fuel Gas Co................................... 1,648,280
59,200 Northwest Natural Gas Co............................... 1,686,608
39,800 Peoples Energy Corp.................................... 1,597,970
52,500 UGI Corp.+............................................. 1,603,875
63,400 WGL Holdings Inc....................................... 1,704,826
------------
11,689,459
------------
Healthcare - Equipment and Supplies -- 2.3%
74,400 Arrow International, Inc............................... 1,923,984
48,000 The Cooper Cos., Inc................................... 1,780,320
156,600 Cytyc Corp.*........................................... 2,048,328
49,500 Invacare Corp.......................................... 1,879,515
67,810 Zoll Medical Corp.*+................................... 2,212,640
------------
9,844,787
------------
Healthcare - Providers and Services -- 1.3%
164,240 Cross Country Healthcare, Inc.*+....................... 2,562,144
72,500 Owens & Minor, Inc..................................... 1,689,250
44,000 Triad Hospitals, Inc.*................................. 1,425,600
------------
5,676,994
------------
Hotels, Restaurants and Leisure -- 3.0%
60,000 Bob Evans Farms, Inc................................... 1,621,800
57,935 CBRL Group, Inc........................................ 2,020,773
45,400 IHOP Corp.............................................. 1,599,896
47,800 RARE Hospitality International, Inc.*.................. 1,820,224
404,500 The Steak n Shake Co.*+................................ 5,845,025
------------
12,907,718
------------
Household Durables -- 3.6%
103,200 Furniture Brands International, Inc.*.................. 2,956,680
41,200 Lancaster Colony Corp.................................. 1,638,524
58,600 Libbey Inc............................................. 1,612,086
45,100 Russ Berrie and Co., Inc............................... 1,628,561
66,600 Snap-On Inc............................................ 1,964,700
99,000 Tupperware Corp........................................ 1,616,670
See Notes to Financial Statements.
18
Schedules of Investments
(continued)
Small Capitalization Value Equity Investments
- --------------------------------------------------------------------------------
Shares Security Value
- --------------------------------------------------------------------------------
Household Durables -- 3.6% (continued)
122,500 Universal Electronics Inc.*+........................... $ 1,626,677
97,615 The Yankee Candle Co., Inc.*........................... 2,289,072
------------
15,332,970
------------
Information Technology Consulting and Services -- 0.5%
133,330 Forrester Research, Inc.*.............................. 2,151,946
------------
Insurance -- 5.8%
58,000 AmerUs Group Co.+...................................... 1,869,340
29,900 Delphi Financial Group, Inc., Class A Shares........... 1,436,994
89,245 HCC Insurance Holdings, Inc............................ 2,613,094
142,250 IPC Holdings, Ltd...................................... 4,987,285
33,400 LandAmerica Financial Group, Inc....................... 1,533,060
17,600 Markel Corp.*.......................................... 4,730,000
96,100 Mercury General Corp.+................................. 4,197,648
125,100 Ohio Casualty Corp.*+.................................. 1,726,380
29,700 StanCorp Financial Group, Inc.......................... 1,683,693
------------
24,777,494
------------
Internet Software and Services -- 0.8%
514,400 SonicWALL, Inc.*....................................... 3,215,000
------------
Leisure Equipment and Products -- 3.0%
345,050 Arctic Cat Inc.+....................................... 7,535,892
229,150 Callaway Golf Co....................................... 3,444,125
150,000 Sturm, Ruger & Co., Inc.+.............................. 1,675,500
------------
12,655,517
------------
Machinery -- 4.3%
39,400 Actuant Corp., Class A Shares*......................... 2,028,706
73,500 Barnes Group Inc....................................... 1,855,875
107,980 Esterline Technologies Corp.*.......................... 2,133,685
46,000 Harsco Corp............................................ 1,793,540
79,000 Lincoln Electric Holdings, Inc......................... 1,794,564
303,650 Robbins & Myers, Inc.+................................. 6,901,964
88,900 Valmont Industries, Inc................................ 1,890,903
------------
18,399,237
------------
Marine -- 0.4%
57,900 Alexander & Baldwin, Inc............................... 1,695,312
------------
Metals and Mining -- 4.2%
119,900 Arch Coal, Inc......................................... 2,751,705
89,600 Commercial Metals Co................................... 1,772,288
57,000 Goldcorp Inc........................................... 742,140
605,050 GrafTech International Ltd.*........................... 4,840,400
112,500 Massey Energy Co....................................... 1,423,125
729,950 Ryerson Tull, Inc...................................... 6,343,266
------------
17,872,924
------------
Multi-Utilities -- 0.4%
70,800 Vectren Corp........................................... 1,607,160
------------
See Notes to Financial Statements.
19
Schedules of Investments
(continued)
Small Capitalization Value Equity Investments
- --------------------------------------------------------------------------------
Shares Security Value
- --------------------------------------------------------------------------------
Oil and Gas -- 4.0%
92,000 Berry Petroleum Co., Class A Shares.................... $ 1,725,000
67,400 Cabot Oil & Gas Corp................................... 1,816,430
118,300 Frontline Ltd.+........................................ 1,963,780
54,000 Patina Oil & Gas Corp.................................. 2,000,700
14,500 Penn Virginia Corp..................................... 652,645
59,600 St. Mary Land & Exploration Co.+....................... 1,686,680
54,400 Stone Energy Corp.*.................................... 2,105,280
40,800 Teekay Shipping Corp.+................................. 1,838,040
57,415 Tom Brown, Inc.*....................................... 1,578,338
137,000 Vintage Petroleum, Inc................................. 1,531,660
------------
16,898,553
------------
Paper and Forest Products -- 0.4%
120,750 Pope & Talbot, Inc..................................... 1,551,638
------------
Personal Products -- 0.6%
227,855 Nu Skin Enterprises, Inc............................... 2,574,762
------------
Real Estate -- 3.9%
33,900 CBL & Associates Properties, Inc....................... 1,660,083
113,800 Crescent Real Estate Equities Co....................... 1,651,238
52,000 First Industrial Realty Trust, Inc..................... 1,583,400
37,000 Health Care Property Investors, Inc.................... 1,555,850
57,000 Healthcare Realty Trust, Inc........................... 1,804,620
192,700 HRPT Properties Trust.................................. 1,747,789
223,000 La Quinta Corp.*....................................... 1,213,120
74,000 New Plan Excel Realty Trust............................ 1,691,640
51,900 Shurgard Storage Centers, Inc.......................... 1,749,030
92,500 United Dominion Realty Trust, Inc...................... 1,694,600
------------
16,351,370
------------
Road and Rail -- 0.4%
51,300 USF Corp............................................... 1,633,905
------------
Semiconductor Equipment and Products -- 2.4%
320,400 Cohu, Inc.............................................. 7,080,840
100,300 Ultratech, Inc.*+...................................... 2,941,799
------------
10,022,639
------------
Specialty Retail -- 3.9%
133,380 American Eagle Outfitters, Inc.*....................... 2,288,801
87,000 Burlington Coat Factory Warehouse Corp................. 1,808,730
67,400 The Cato Corp., Class A Shares......................... 1,600,750
49,100 Claire's Stores, Inc................................... 1,696,405
461,500 Cole National Corp.*................................... 5,164,185
142,500 CSK Auto Corp.*........................................ 2,351,250
49,000 Hughes Supply, Inc..................................... 1,739,500
------------
16,649,621
------------
Textiles and Apparel -- 2.4%
59,100 Brown Shoe Co., Inc.................................... 1,832,100
31,400 Columbia Sportswear Co.*+.............................. 1,601,400
48,300 Kellwood Co............................................ 1,763,433
76,400 Russell Corp........................................... 1,472,992
See Notes to Financial Statements.
20
Schedules of Investments
(continued)
Small Capitalization Value Equity Investments
- --------------------------------------------------------------------------------
Shares Security Value
- --------------------------------------------------------------------------------
Textiles and Apparel -- 2.4% (continued)
340,050 Unifi, Inc.*........................................... $ 2,342,944
119,000 Wellman, Inc........................................... 963,900
------------
9,976,769
------------
Tobacco -- 1.7%
223,450 Schweitzer-Mauduit International, Inc.................. 5,396,317
38,200 Universal Corp......................................... 1,600,580
------------
6,996,897
------------
Transportation Infrastructure -- 1.9%
566,550 Sea Containers Ltd., Class A Shares+................... 8,129,992
------------
TOTAL COMMON STOCK
(Cost -- $358,106,284)................................. 408,168,618
------------
Face
Amount
- -----------
REPURCHASE AGREEMENTS -- 3.7%
$15,069,000 Merrill Lynch & Co., Inc., 1.010% due 9/2/03; Proceeds
at maturity -- $15,070,691; (Fully collateralized by
U.S. Treasury Notes and Bonds, 1.500% to 13.875% due
11/15/03 to 8/15/26; Market value -- $15,370,380)..... 15,069,000
521,000 State Street Bank and Trust Co., 0.930% due 9/2/03;
Proceeds at maturity -- $521,054; (Fully
collateralized by U.S. Treasury Bonds, 5.250% due
2/15/29; Market value -- $532,804).................... 521,000
------------
TOTAL REPURCHASE AGREEMENTS
(Cost -- $15,590,000).................................. 15,590,000
------------
TOTAL INVESTMENTS -- 100.0%
(Cost -- $373,696,284**)............................... $423,758,618
============
- --------
* Non-income producing security.
+ All or a portion of this security is on loan (See Note 8).
** Aggregate cost for Federal income tax purposes is $376,215,810.
Abbreviation used in this schedule:
ADR -- American Depositary Receipt
Loaned Securities Collateral
August 31, 2003
- ---------------------------------------------------------------------------------------
Face
Amount Security Value
- ---------------------------------------------------------------------------------------
$42,861,747 State Street Navigator Securities Lending Trust Prime Portfolio
(Cost -- $42,861,747).......................................... $42,861,747
===========
See Notes to Financial Statements.
21
Schedules of Investments
(continued)
Small Capitalization Growth Investments
- ------------------------------------------------------------
Shares Security Value
- ------------------------------------------------------------
COMMON STOCK -- 95.8%
Aerospace and Defense -- 0.9%
88,700 Applied Signal Technology, Inc.*... $ 1,651,594
189,800 Armor Holdings, Inc.+.............. 2,877,368
1,758 TIMCO Aviation Services, Inc....... 765
------------
4,529,727
------------
Air Freight and Couriers -- 1.3%
96,800 EGL, Inc.+......................... 1,715,296
90,500 J.B. Hunt Transport Services, Inc.+ 4,497,850
------------
6,213,146
------------
Airlines -- 0.7%
36,100 AirTran Holdings, Inc.+............ 484,823
74,400 ExpressJet Holdings, Inc.+......... 1,008,120
116,600 SkyWest, Inc.*+.................... 2,038,168
------------
3,531,111
------------
Banks -- 4.8%
1,727 Arrow Financial Corp.*............. 55,316
10,400 Bank of the Ozarks, Inc.*+......... 439,920
5,800 Capital City Bank Group, Inc.*+.... 225,620
9,900 Capitol Bancorp Ltd.*+............. 272,250
4,250 Center Financial Corp.............. 85,043
6,793 Chemical Financial Corp.*.......... 225,460
19,976 City Holding Co.*+................. 684,977
5,400 Commercial Bankshares, Inc.*....... 167,951
61,200 East-West Bancorp, Inc.*+.......... 2,714,832
4,045 F.N.B. Corp.*...................... 112,572
600 First Community Bancshares, Inc.*.. 21,690
10,200 Firstbank Corp.*+.................. 326,400
39,200 Flagstar Bancorp, Inc.*+........... 765,576
1,269 Frontier Financial Corp.*.......... 38,070
13,300 Hanmi Financial Corp.*............. 282,878
26,859 Humboldt Bancorp*+................. 399,904
1,500 IBT Bancorp, Inc.*+................ 76,500
29,287 Independent Bank Corp.*............ 839,073
37,400 Irwin Financial Corp.*+............ 841,874
8,100 Macatawa Bank Corp.*............... 199,179
9,700 MB Financial, Inc.*................ 417,100
12,109 MBT Financial Corp.*+.............. 183,330
7,529 Mercantile Bank Corp.*............. 250,490
14,400 Mid-State Bancshares*.............. 306,288
29,208 Nara Bancorp, Inc.*................ 590,002
21,093 NBT Bancorp Inc.*+................. 443,586
11,024 PennRock Financial Services Corp.*. 330,720
4,200 Provident Bancorp, Inc.*........... 160,356
1,815 Shore Bancshares, Inc.*............ 66,248
16,800 The South Financial Group, Inc.*... 413,112
90,300 Southwest Bancorp of Texas, Inc.*.. 3,337,488
6,344 Sterling Financial Corp.*.......... 164,944
4,786 Suffolk Bancorp*................... 157,794
135,600 UCBH Holdings, Inc.*+.............. 4,337,844
See Notes to Financial Statements.
22
Schedules of Investments
(continued)
Small Capitalization Growth Investments
- ---------------------------------------------------------------------------
Shares Security Value
- ---------------------------------------------------------------------------
Banks -- 4.8% (continued)
2,400 Union Bankshares Corp.*........................... $ 73,258
4,944 United Community Banks, Inc.*..................... 135,960
900 United Security Bancshares, Inc.*+................ 25,020
9,300 USB Holding Co., Inc.*............................ 171,213
3,100 Virginia Financial Group, Inc.*................... 98,890
3,014 Washington Trust Bancorp, Inc.*................... 80,353
75,900 Westcorp*......................................... 2,700,522
13,700 WSFS Financial Corp.*............................. 598,690
------------
23,818,293
------------
Biotechnology -- 5.2%
73,700 Affymetrix, Inc.+................................. 1,696,574
78,600 Aphton Corp.+..................................... 547,056
68,700 Celgene Corp.+.................................... 2,644,263
185,700 Cell Therapeutics, Inc.+.......................... 2,029,701
70,189 Cephalon, Inc.+................................... 3,112,882
104,300 Cubist Pharmaceuticals, Inc.+..................... 1,376,760
40,844 Enzo Biochem, Inc.+............................... 727,023
13,400 Enzon Pharmaceuticals, Inc.+...................... 152,358
104,302 Genencor International Inc.+...................... 1,719,940
27,466 Idexx Laboratories, Inc.+......................... 1,142,860
47,700 Ilex Oncology, Inc.+.............................. 803,268
78,266 Kos Pharmaceuticals, Inc.+........................ 2,950,628
25,600 Myriad Genetics, Inc.+............................ 320,512
137,200 Nabi Biopharmaceuticals........................... 879,452
29,500 Neose Technologies, Inc.+......................... 288,245
29,600 Neurocrine Biosciences, Inc.+..................... 1,583,896
26,300 Techne Corp....................................... 882,102
123,300 Transkaryotic Therapies, Inc.+.................... 1,547,292
122,700 Tularik Inc.+..................................... 1,242,951
------------
25,647,763
------------
Commercial Services and Supplies -- 6.5%
87,600 Career Education Corp.+........................... 3,953,388
17,900 CCC Information Services Group+................... 275,302
114,000 Checkfree Corp.+.................................. 2,619,720
28,800 Corporate Executive Board Co...................... 1,271,520
67,900 CSG Systems International, Inc.................... 1,053,808
43,600 FactSet Research Systems, Inc.*+.................. 2,116,780
48,100 Infousa Inc....................................... 448,773
203,600 InterCept, Inc.+.................................. 2,604,044
222,200 Labor Ready, Inc.+................................ 2,059,794
57,669 Lightbridge, Inc.................................. 600,334
140,800 Navigant Consulting, Inc.......................... 2,140,160
180,500 NDCHealth Corp.*+................................. 3,822,990
106,000 Pegasus Solutions Inc............................. 1,531,700
31,500 Pre-Paid Legal Services, Inc.+.................... 706,230
147,100 Sylvan Learning Systems, Inc.+.................... 4,237,951
84,000 Waste Connections, Inc.+.......................... 2,959,320
------------
32,401,814
------------
Communications Equipment -- 5.3%
159,100 Advanced Fibre Communications, Inc................ 3,702,257
See Notes to Financial Statements.
23
Schedules of Investments
(continued)
Small Capitalization Growth Investments
- ---------------------------------------------------------------------------
Shares Security Value
- ---------------------------------------------------------------------------
Communications Equipment -- 5.3% (continued)
69,900 Andrew Corp.+..................................... $ 865,362
42,900 Avocent Corp.+.................................... 1,252,680
16,900 Black Box Corp.*+................................. 795,990
190,900 Brocade Communications Systems, Inc.+............. 1,076,676
200,100 Emulex Corp....................................... 4,844,421
149,200 F5 Networks, Inc.+................................ 2,925,812
180,400 McDATA Corp., Class A Shares+..................... 1,831,060
66,500 NetScreen Technologies, Inc.+..................... 1,591,345
263,300 Polycom, Inc.+.................................... 4,518,228
25,000 Tekelec........................................... 437,000
54,300 UTStarcom, Inc.+.................................. 2,332,728
------------
26,173,559
------------
Computers and Peripherals -- 1.0%
49,400 Advanced Digital Information Corp................. 666,900
171,500 Cray, Inc.+....................................... 2,172,905
23,500 Drexler Technology Corp.+......................... 428,170
104,000 Innovex, Inc...................................... 1,374,880
40,300 Synaptics Inc..................................... 483,600
------------
5,126,455
------------
Construction and Engineering -- 0.3%
61,300 Chicago Bridge & Iron Co. N.V.*................... 1,637,936
------------
Diversified Financials -- 2.8%
20,000 American Home Mortgage Holdings, Inc.*+........... 321,000
114,800 AmeriCredit Corp.+................................ 1,231,804
183,250 CompuCredit Corp.+................................ 2,688,278
155,700 eSPEED, Inc., Class A Shares...................... 3,549,960
12,900 First Citizens Banc Corp.*+....................... 357,330
6,800 Heartland Financial USA, Inc.*.................... 192,865
93,400 Investors Financial Services Corp.*+.............. 2,791,726
67,050 New Century Financial Corp.*+..................... 1,634,009
47,200 Portfolio Recovery Associates, Inc.+.............. 1,289,504
------------
14,056,476
------------
Diversified Telecommunication Services -- 0.3%
48,200 General Communication+............................ 412,110
50,600 Intrado, Inc.+.................................... 918,390
------------
1,330,500
------------
Electrical Equipment -- 0.7%
120,900 Global Power Equipment Group Inc.+................ 661,323
246,500 Power-One, Inc.+.................................. 2,911,165
------------
3,572,488
------------
Electronic Equipment and Instruments -- 3.5%
221,000 Artesyn Technologies, Inc.+....................... 1,779,050
41,100 Cognex Corp.*+.................................... 1,260,126
25,800 CTS Corp.*........................................ 332,304
45,900 Global Imaging Systems, Inc.+..................... 1,180,089
85,000 Keithley Instruments, Inc.*+...................... 1,356,600
50,500 Newport Corp.+.................................... 902,435
See Notes to Financial Statements.
24
Schedules of Investments
(continued)
Small Capitalization Growth Investments
- ---------------------------------------------------------------------
Shares Security Value
- ---------------------------------------------------------------------
Electronic Equipment and Instruments -- 3.5% (continued)
33,900 OSI Systems, Inc.+...................... $ 519,348
379,300 PerkinElmer, Inc.*...................... 6,273,622
33,300 Planar Systems Inc...................... 800,199
15,800 Trimble Navigation Ltd.+................ 422,650
80,100 Varian Inc.............................. 2,723,400
------------
17,549,823
------------
Energy Equipment and Services -- 6.4%
109,800 Grey Wolf, Inc.+........................ 416,142
129,600 Hanover Compressor Co.+................. 1,345,248
100,100 Helmerich & Payne, Inc.*+............... 2,927,925
279,900 Horizon Offshore, Inc.+................. 1,206,369
338,100 Key Energy Services, Inc.+.............. 3,502,716
187,500 Maverick Tube Corp...................... 3,185,625
111,100 National-Oilwell, Inc.+................. 2,175,338
140,700 NS Group, Inc.+......................... 1,125,600
110,100 Patterson-UTI Energy, Inc.+............. 3,285,384
98,200 Precision Drilling Corp.+............... 3,919,162
318,200 Superior Energy Services, Inc.+......... 3,427,014
22,600 Unit Corp.+............................. 487,256
213,700 Veritas DGC Inc.+....................... 1,953,218
151,500 W-H Energy Services, Inc.+.............. 2,825,475
------------
31,782,472
------------
Food Products -- 0.3%
65,100 Delta & Pine Land Co.*+................. 1,620,990
------------
Healthcare - Equipment and Supplies -- 6.7%
110,600 Aspect Medical Systems, Inc.+........... 1,133,650
8,400 Biosite Inc.+........................... 389,760
37,100 Cholestech Corp......................... 337,981
18,000 Closure Medical Corp.+.................. 444,960
59,800 CTI Molecular Imaging, Inc.+............ 899,392
65,900 Cyberonics, Inc.+....................... 1,814,227
39,600 DJ Orthopedics Inc...................... 467,280
191,100 I-Flow Corp.+........................... 1,586,130
34,700 Immucor, Inc.+.......................... 867,500
156,800 Integra LifeSciences+................... 4,235,168
200,800 Laserscope+............................. 1,985,912
81,600 Meridian Bioscience, Inc.*+............. 867,408
31,400 Molecular Devices Corp.+................ 609,160
49,900 Novoste Corp.+.......................... 224,051
92,400 PolyMedica Corp.*+...................... 4,159,848
72,200 Possis Medical, Inc.+................... 1,344,364
25,655 Quidel Corp............................. 161,626
49,900 Sybron Dental Specialties, Inc.......... 1,194,606
29,400 VISX, Inc.+............................. 588,588
120,500 Wilson Greatbatch Technologies, Inc.+... 4,768,185
213,900 Wright Medical Group, Inc............... 5,272,635
------------
33,352,431
------------
Healthcare - Providers and Services -- 4.2%
32,900 The Advisory Board Co................... 1,401,540
See Notes to Financial Statements.
25
Schedules of Investments
(continued)
Small Capitalization Growth Investments
- ---------------------------------------------------------------------
Shares Security Value
- ---------------------------------------------------------------------
Healthcare - Providers and Services -- 4.2% (continued)
54,100 American Healthways, Inc.+.................. $ 1,897,828
148,200 Cross Country Healthcare, Inc.+............. 2,311,920
183,050 First Horizon Pharmaceutical Corp.+......... 1,107,452
193,200 Manor Care, Inc.*+.......................... 5,332,320
65,900 Matria Healthcare, Inc...................... 1,019,473
63,900 Omnicell, Inc............................... 821,115
79,600 Pediatrix Medical Group, Inc................ 3,559,712
151,800 PSS World Medical, Inc...................... 1,408,704
57,600 Sierra Health Services, Inc.+............... 1,123,776
40,700 United Surgical Partners International, Inc. 1,056,572
------------
21,040,412
------------
Hotels, Restaurants and Leisure -- 2.6%
33,800 Ambassadors Group, Inc.+.................... 591,838
45,400 CEC Entertainment Inc.+..................... 1,780,588
89,400 O'Charley's Inc.+........................... 1,516,224
80,900 P.F. Chang's China Bistro, Inc.+............ 3,761,850
7,300 Penn National Gaming, Inc.+................. 161,695
74,000 RARE Hospitality International, Inc.+....... 2,817,920
92,500 WMS Industries Inc.+........................ 2,215,375
------------
12,845,490
------------
Household Durables -- 0.7%
54,200 Hovnanian Enterprises, Inc.................. 3,342,514
------------
Information Technology Consulting and Services -- 2.7%
22,200 CACI International Inc., Class A Shares..... 990,342
56,400 IDX Systems Corp.+.......................... 1,158,456
328,700 Keane, Inc.+................................ 4,841,751
64,400 Manhattan Associates, Inc.+................. 1,908,172
212,700 MPS Group, Inc.+............................ 2,031,285
137,900 The Titan Corp.+............................ 2,217,432
------------
13,147,438
------------
Insurance -- 2.0%
83,200 Philadelphia Consolidated Holding Corp...... 3,336,320
111,200 Platinum Underwriters Holdings, Ltd.*+...... 3,019,080
29,800 RenaissanceRe Holdings Ltd.*+............... 1,245,640
173,700 Universal American Financial Corp........... 1,311,435
34,900 Zenith National Insurance Corp.*+........... 1,010,355
------------
9,922,830
------------
Internet and Catalog Retail -- 0.8%
262,300 GSI Commerce, Inc.+......................... 3,147,600
20,900 School Specialty, Inc.+..................... 588,335
------------
3,735,935
------------
Internet Software and Services -- 3.0%
110,100 Digital Insight Corp.+...................... 2,636,895
33,600 Digital River, Inc.+........................ 896,448
308,600 DoubleClick, Inc.+.......................... 3,477,922
54,700 FindWhat.com+............................... 1,192,460
66,900 Internet Security Systems, Inc.+............ 835,581
See Notes to Financial Statements.
26
Schedules of Investments
(continued)
Small Capitalization Growth Investments
- -------------------------------------------------------------------------
Shares Security Value
- -------------------------------------------------------------------------
Internet Software and Services -- 3.0% (continued)
427,800 Openwave Systems Inc............................ $ 2,100,498
66,500 Retek Inc.+..................................... 480,795
105,000 SonicWALL, Inc.+................................ 656,250
72,200 United Online, Inc.+............................ 2,751,542
------------
15,028,391
------------
Machinery -- 0.5%
22,900 Briggs & Stratton*+............................. 1,346,520
56,200 Wabash National Corp.+.......................... 1,003,170
------------
2,349,690
------------
Media -- 1.1%
18,000 ADVO, Inc....................................... 794,700
200,400 Entravision Communications Corp., Class A Shares 1,983,960
74,700 Macrovision Corp................................ 1,390,914
194,200 Mediacom Communications Corp.+.................. 1,328,328
------------
5,497,902
------------
Metals and Mining -- 0.3%
57,900 Royal Gold, Inc.*+.............................. 1,416,813
------------
Oil and Gas -- 2.5%
444,360 Chesapeake Energy Corp.*+....................... 4,816,862
34,200 Comstock Resources, Inc......................... 507,870
1,455 Cross Timbers Royalty Trust*.................... 32,512
9,800 Evergreen Resources, Inc.+...................... 547,526
45,400 Plains Resources, Inc........................... 617,894
59,900 Vintage Petroleum, Inc.*........................ 669,682
31,600 Western Gas Resources, Inc.*+................... 1,239,984
196,666 XTO Energy, Inc.*............................... 4,128,019
------------
12,560,349
------------
Personal Products -- 0.2%
62,100 Chattem, Inc.+.................................. 838,971
------------
Pharmaceuticals -- 4.4%
176,800 Bentley Pharmaceuticals, Inc.+.................. 2,802,280
64,300 Bradley Pharmaceuticals, Inc.+.................. 1,671,800
617,500 Elan Corp. PLC.................................. 2,692,300
74,800 Impax Laboratories, Inc......................... 972,400
60,000 K-V Pharmaceutical Co., Class A Shares+......... 1,959,000
55,500 Medicis Pharmaceutical*......................... 3,389,940
138,500 MGI Pharma, Inc.+............................... 5,344,715
45,500 Perrigo Co.*+................................... 639,275
61,500 Trimeris, Inc.+................................. 2,622,975
------------
22,094,685
------------
Real Estate -- 0.6%
101,800 Apex Mortgage Capital, Inc.*.................... 522,234
12,700 CBL & Associates Properties, Inc.*.............. 621,919
89,300 Impac Mortgage Holdings, Inc.*.................. 1,347,537
7,600 Novastar Financial, Inc.*+...................... 412,300
2,100 Tanger Factory Outlet Centers, Inc.*+........... 70,875
See Notes to Financial Statements.
27
Schedules of Investments
(continued)
Small Capitalization Growth Investments
- -------------------------------------------------------------------------------------
Shares Security Value
- -------------------------------------------------------------------------------------
Real Estate -- 0.6% (continued)
1,200 Universal Health Realty Income Trust*....................... $ 32,316
------------
3,007,181
------------
Semiconductor Equipment and Products -- 9.8%
128,000 Artisan Components, Inc..................................... 2,720,000
48,200 ASM International N.V.+..................................... 875,312
202,600 Asyst Technologies, Inc.+................................... 2,836,400
14,700 ATMI, Inc.+................................................. 411,306
25,000 Cymer, Inc.+................................................ 1,144,250
35,200 DuPont Photomasks, Inc.+.................................... 901,472
60,900 Entegris Inc.+.............................................. 896,448
43,600 Exar Corp................................................... 712,860
45,800 Fairchild Semiconductor International, Inc., Class A Shares+ 810,660
32,900 Integrated Circuit Systems, Inc.+........................... 1,135,708
153,800 Lam Research Corp.+......................................... 3,955,736
192,600 LTX Corp.+.................................................. 2,862,036
75,800 Marvell Technology Group Ltd................................ 3,196,486
79,500 MEMC Electronic Materials, Inc.+............................ 1,031,910
89,000 Micrel, Inc.+............................................... 1,210,400
67,000 Microchip Tehnology Inc.*................................... 1,876,670
37,600 Monolithic System Technology, Inc.+......................... 376,376
115,400 O2Micro International Ltd.+................................. 1,816,396
164,400 Photronics, Inc.+........................................... 3,993,276
112,600 Power Integrations, Inc.+................................... 3,623,468
133,400 Semtech Corp.+.............................................. 2,813,406
224,700 Skyworks Solutions, Inc.+................................... 2,548,098
70,000 Ultratech, Inc.+............................................ 2,053,100
111,600 Varian Semiconductor Equipment Associates, Inc.............. 4,527,612
38,000 White Electronic Designs Corp.+............................. 460,560
------------
48,789,946
------------
Software -- 4.6%
47,300 Ansys, Inc.................................................. 1,674,420
88,850 Ascential Software Corp.+................................... 1,554,875
30,500 Business Objects S.A.+...................................... 824,415
40,000 Catapult Communications Corp.+.............................. 532,400
41,300 Concord Communications, Inc.+............................... 532,357
150,100 Concur Technologies, Inc.................................... 1,666,110
47,200 Datastream Systems, Inc..................................... 446,040
32,900 Documentum, Inc............................................. 675,108
33,800 EPIQ Systems, Inc.+......................................... 625,638
49,800 Hyperion Solutions Corp.+................................... 1,642,404
69,600 Mentor Graphics Corp.+...................................... 1,409,400
3,426 MicroStrategy Inc., Class A Shares.......................... 138,613
69,600 Pegasystems Inc.+........................................... 492,768
14,800 SERENA Software, Inc.+...................................... 287,120
221,900 SkillSoft PLC+.............................................. 1,668,688
37,796 SS&C Technologies, Inc.*.................................... 717,746
48,600 TALX Corp.*+................................................ 1,028,425
175,371 Tradestation Group Inc.+.................................... 1,744,941
105,100 Transaction Systems Architects, Inc., Class A Shares........ 1,496,624
63,300 Verint Systems Inc.......................................... 1,433,112
172,600 Verity, Inc.+............................................... 2,057,392
------------
22,648,596
------------
See Notes to Financial Statements.
28
Schedules of Investments
(continued)
Small Capitalization Growth Investments
- --------------------------------------------------------------------------------------
Shares Security Value
- --------------------------------------------------------------------------------------
Specialty Retail -- 8.1%
25,000 A.C. Moore Arts & Crafts, Inc................................ $ 671,750
44,300 Aeropostale, Inc.+........................................... 1,243,501
143,400 American Eagle Outfitters, Inc............................... 2,460,744
107,900 bebe stores, inc.+........................................... 2,488,174
137,300 Chico's FAS, Inc............................................. 4,460,877
12,700 The Children's Place Retail Stores, Inc.+.................... 263,652
8,850 Christopher & Banks Corp..................................... 262,845
92,900 Cost Plus, Inc.+............................................. 3,738,296
16,900 Electronics Boutique Holdings Corp.+......................... 561,587
60,200 GameStop Corp................................................ 1,001,126
20,400 Genesco Inc.+................................................ 358,428
97,100 Guitar Center, Inc.+......................................... 3,256,734
25,300 The Gymboree Corp............................................ 412,137
68,300 Hollywood Entertainment Corp.+............................... 1,186,371
105,400 Hot Topic, Inc.+............................................. 3,758,564
60,500 Linens 'n Things, Inc........................................ 1,748,450
31,700 Movie Gallery, Inc.+......................................... 678,697
180,599 Pacific Sunwear of California, Inc.+......................... 6,104,246
88,715 Trans World Entertainment Corp.+............................. 573,986
177,000 Tweeter Home Entertainment Group, Inc.+...................... 1,546,980
109,400 Williams-Sonoma, Inc.+....................................... 3,348,734
------------
40,125,879
------------
Textiles and Apparel -- 0.6%
40,900 Kenneth Cole Productions, Inc.*+............................. 1,103,891
224,700 Vans, Inc.+.................................................. 2,078,475
------------
3,182,366
------------
Tobacco -- 0.2%
52,200 Vector Group Ltd.*+.......................................... 753,246
------------
Wireless Telecommunication Services -- 0.2%
61,900 Wireless Facilities, Inc.+................................... 851,744
------------
TOTAL COMMON STOCK
(Cost -- $373,873,594)....................................... 475,525,362
------------
Rights/Warrants
- ---------------
RIGHTS/WARRANTS -- 0.0%
205 Focal Communications Corp., Expires 12/14/07+................ 0
2,589 MicroStrategy Inc., Expires 6/24/07.......................... 440
14,998 TIMCO Aviation Services, Inc., Expires 2/28/07............... 1
------------
TOTAL RIGHTS/WARRANTS
(Cost -- $93)................................................ 441
------------
Face
Amount
- -----------
CONVERTIBLE BONDS -- 0.0%
$14,461 TIMCO Aviation Services, Inc., 8.000% due 1/2/07 (Cost -- $0) 82
------------
SUB-TOTAL INVESTMENTS
(Cost -- $373,873,687)....................................... 475,525,885
------------
See Notes to Financial Statements.
29
Schedules of Investments
(continued)
Small Capitalization Growth Investments
- --------------------------------------------------------------------------------
Face
Amount Security Value
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 4.2%
$17,698,000 Merrill Lynch & Co., Inc., 1.010% due 9/2/03; Proceeds
at maturity -- $17,699,986; (Fully collateralized
by U.S. Treasury Notes and Bonds, 1.500% to 13.875%
due 11/15/03 to 8/15/26; Market value -- $18,051,960). $ 17,698,000
3,361,000 State Street Bank and Trust Co., 0.930% due 9/2/03;
Proceeds at maturity -- $3,361,347; (Fully
collateralized by U.S. Treasury Bonds, 5.250% due
2/15/29; Market value -- $3,428,220).................. 3,361,000
------------
TOTAL REPURCHASE AGREEMENTS (Cost -- $21,059,000)...... 21,059,000
------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $394,932,687**)... $496,584,885
============
- --------
+ All or a portion of the security is on loan (See Note 8).
* Income producing security.
** Aggregate cost for Federal income tax purposes is $397,958,024.
Loaned Securities Collateral
August 31, 2003
- -----------------------------------------------------------------------------------------
Face
Amount Security Value
- -----------------------------------------------------------------------------------------
$126,325,682 State Street Navigator Securities Lending Trust Prime Portfolio
(Cost -- $126,325,682)......................................... $126,325,682
============
See Notes to Financial Statements.
30
Schedules of Investments
(continued)
International Equity Investments
- ------------------------------------------------------------------------------
Shares Security Value
- ------------------------------------------------------------------------------
COMMON STOCK -- 98.2%
Australia -- 2.7%
1,420,184 BHP Billiton Ltd...................................... $ 10,079,605
420,000 Coca-Cola Amatil Ltd.................................. 1,543,634
158,700 Commonwealth Bank of Australia+....................... 2,890,603
------------
14,513,842
------------
Belgium -- 0.4%
139,700 Fortis+............................................... 2,351,299
------------
Brazil -- 0.7%
99,700 Banco Itau Holding Financeira S.A., ADR............... 3,775,639
------------
Canada -- 0.3%
37,300 Talisman Energy Inc.+................................. 1,769,521
------------
Channel Islands -- 1.5%
359,500 Amdocs Ltd.*.......................................... 8,045,610
------------
China -- 0.7%
1,988,000 China Telecom Corp. Ltd............................... 548,027
1,174,000 Lianhua Supermarket Holdings Ltd.*.................... 1,159,060
3,935,000 People's Food Holdings Ltd............................ 2,221,896
------------
3,928,983
------------
Denmark -- 0.4%
72,100 TDC A/S............................................... 2,183,118
------------
Finland -- 0.3%
110,241 Stora Enso Oyj, Class R Shares........................ 1,437,355
------------
France -- 10.4%
36,865 Accor S.A............................................. 1,438,323
77,800 Assurances Generales de France+....................... 3,499,866
66,900 Aventis S.A........................................... 3,253,699
167,000 Axa................................................... 2,965,003
53,300 Cap Gemini S.A.+...................................... 2,194,397
64,934 Carrefour S.A......................................... 3,240,889
89,400 Club Mediterranee S.A.+............................... 3,288,513
69,000 Compagnie de Saint-Gobain............................. 2,699,686
93,835 France Telecom S.A.+.................................. 2,331,361
72,600 Lafarge S.A.+......................................... 4,880,556
40,175 Pernod-Ricard S.A..................................... 3,451,605
16,098 Pinault-Printemps-Redoute S.A.+....................... 1,384,817
76,700 Renault S.A........................................... 4,629,178
26,700 Societe BIC S.A....................................... 1,100,725
94,284 Suez S.A.+............................................ 1,489,467
46,700 Technip S.A.+......................................... 4,207,286
71,310 Thomson+.............................................. 1,299,000
47,054 Total S.A............................................. 7,226,519
21,156 Valeo S.A............................................. 803,792
------------
55,384,682
------------
Germany -- 9.8%
43,398 Allianz AG, Registered Shares+........................ 3,874,498
See Notes to Financial Statements.
31
Schedules of Investments
(continued)
International Equity Investments
- ------------------------------------------------------------------------------
Shares Security Value
- ------------------------------------------------------------------------------
Germany -- 9.8% (continued)
60,407 BASF AG............................................... $ 2,785,171
69,500 Bayerische Motoren Werke (BMW) AG..................... 2,749,811
103,100 Celanese AG........................................... 3,116,933
247,500 Continental AG........................................ 6,459,399
14,237 Deutsche Boerse AG.................................... 689,133
46,700 E.On AG............................................... 2,418,098
96,400 Fresenius Medical Care AG+............................ 4,885,558
485,860 Kontron AG*........................................... 2,526,437
122,216 Metro AG+............................................. 4,425,760
25,374 Muenchener Rueckversicherungs-Gesellschaft AG,
Registered Shares.................................... 2,599,806
111,200 Schering AG........................................... 4,479,158
64,590 Siemens AG, Registered Shares......................... 4,004,798
144,098 Volkswagen AG......................................... 7,074,779
------------
52,089,339
------------
Greece -- 1.0%
155,600 Bank of Piraeus....................................... 1,505,319
32,600 Commercial Bank of Greece............................. 650,833
256,000 Hellenic Telecommunications Organization S.A.......... 2,949,425
------------
5,105,577
------------
Hong Kong -- 3.4%
724,500 BOC Hong Kong Holdings Ltd............................ 928,935
1,248,000 Cafe De Coral Holdings Ltd............................ 1,040,100
719,900 China Mobile (Hong Kong) Ltd.......................... 1,850,690
2,652,000 Glorious Sun Enterprises Ltd.......................... 782,075
320,800 Hongkong Electric Holdings Ltd........................ 1,266,871
3,382,000 Hung Hing Printing Group Ltd.......................... 2,493,381
344,000 Sun Hung Kai Properties Ltd........................... 2,492,034
206,500 Swire Pacific Ltd..................................... 1,159,688
708,000 Techtronic Industries Co. Ltd......................... 1,561,381
2,796,000 TPV Technology Ltd.................................... 1,156,150
1,100,600 Yue Yuen Industrial Holdings Ltd.+.................... 3,273,894
------------
18,005,199
------------
Ireland -- 1.2%
167,600 Allied Irish Banks PLC................................ 2,339,990
159,700 CRH PLC............................................... 2,991,649
20,400 Ryanair Holdings PLC, ADR*+........................... 862,716
------------
6,194,355
------------
Israel -- 0.6%
197,475 Orbotech, Ltd.*....................................... 3,436,065
------------
Italy -- 3.0%
941,976 Banca Intesa S.p.A.+.................................. 2,832,262
125,900 Benetton Group S.p.A.+................................ 1,280,276
404,106 Eni S.p.A.+........................................... 6,112,937
686,182 Mediaset S.p.A.+...................................... 6,034,836
------------
16,260,311
------------
Japan -- 18.2%
156,000 Asahi Breweries, Ltd.+................................ 1,000,026
See Notes to Financial Statements.
32
Schedules of Investments
(continued)
International Equity Investments
- ------------------------------------------------------------------------------
Shares Security Value
- ------------------------------------------------------------------------------
Japan -- 18.2% (continued)
176,000 Bridgestone Corp...................................... $ 2,451,043
95,000 Canon Inc............................................. 4,567,425
243,000 Dai Nippon Printing Co. Ltd........................... 3,096,722
622,000 Daiwa Securities Group Inc............................ 4,013,935
504 Dentsu Inc............................................ 2,215,812
69,000 Fuji Photo Film Co. Ltd............................... 2,069,675
260,000 Fujirebio Inc.+....................................... 2,074,474
113,800 Honda Motor Co. Ltd................................... 4,632,558
71,000 Ito-Yokado Co. Ltd.+.................................. 2,038,394
970 Japan Telecom Holdings Co. Ltd.+...................... 3,167,245
98,000 Kao Corp.............................................. 1,847,710
162,000 Kirin Brewery Co. Ltd.+............................... 1,159,275
256,000 Matsushita Electric Industrial Co. Ltd................ 3,264,584
120,500 Meitec Corp........................................... 4,337,318
430 Millea Holdings, Inc.................................. 4,459,014
299,000 Mitsubishi Estate Co. Ltd............................. 2,680,327
280 Mitsubishi Tokyo Financial Group, Inc................. 1,631,744
16,000 Nintendo Co. Ltd...................................... 1,331,448
484,000 Nippon Yusen Kabushiki Kaisha......................... 1,999,297
716,000 NIPPONKOA Insurance Co. Ltd........................... 2,908,549
250,400 Nissan Motor Co. Ltd.................................. 2,688,873
375,000 Nomura Holdings, Inc.................................. 5,457,000
615 NTT DoCoMo, Inc....................................... 1,581,180
30,800 Orix Corp............................................. 2,045,679
47,000 PIONEER Corp.......................................... 1,055,320
85,000 Ricoh Co. Ltd......................................... 1,566,182
17,610 Rohm Co. Ltd.......................................... 2,300,008
60,300 Shin-Etsu Chemical Co. Ltd............................ 2,366,834
300,000 Sumitomo Chemical Co. Ltd............................. 1,084,972
76,400 Takeda Chemical Industries Ltd........................ 2,763,063
24,300 Takefuji Corp......................................... 1,374,470
41,700 TDK Corp.............................................. 2,716,030
102,000 Terumo Corp........................................... 1,971,205
113,800 Toyota Motor Corp..................................... 3,140,386
116,900 YAMADA DENKI Co. Ltd.+................................ 3,165,822
337,000 The Yamaguchi Bank Ltd................................ 2,685,949
79,200 Yamanouchi Pharmaceutical Co. Ltd..................... 2,076,976
------------
96,986,524
------------
Mexico -- 1.2%
95,600 Coca-Cola Femsa, S.A. de C.V., Sponsored ADR+......... 2,069,740
150,000 Telefonos de Mexico S.A. de C.V., Sponsored ADR,
Class L Shares+...................................... 4,546,500
------------
6,616,240
------------
Netherlands -- 7.2%
97,400 ABN AMRO Holding NV................................... 1,707,874
157,033 Aegon NV.............................................. 1,947,315
192,000 Akzo Nobel NV+........................................ 6,302,708
124,000 Hagemeyer NV+......................................... 451,218
31,725 Heineken NV+.......................................... 1,214,065
92,627 Hunter Douglas NV..................................... 3,089,508
169,100 ING Groep NV.......................................... 3,301,587
120,000 Koninklijke Numico NV+................................ 2,331,063
See Notes to Financial Statements.
33
Schedules of Investments
(continued)
International Equity Investments
- ------------------------------------------------------------------------------
Shares Security Value
- ------------------------------------------------------------------------------
Netherlands -- 7.2% (continued)
528,345 Koninklijke (Royal) KPN NV*........................... $ 3,665,077
135,907 Koninklijke (Royal) Philips Electronics NV............ 3,316,889
82,800 Royal Dutch Petroleum Co.............................. 3,700,216
118,915 TPG NV................................................ 2,222,398
22,154 Unilever NV+.......................................... 1,234,799
122,218 VNU NV................................................ 3,802,400
------------
38,287,117
------------
New Zealand -- 0.2%
417,936 Telecom Corp. of New Zealand Ltd.+.................... 1,220,652
------------
Norway -- 0.7%
51,200 Norsk Hydro ASA....................................... 2,688,524
139,200 Smedvig ASA, Class A Shares........................... 955,420
------------
3,643,944
------------
Portugal -- 0.4%
265,700 Portugal Telecom, SGPS, S.A., Registered Shares....... 1,922,001
------------
Singapore -- 1.7%
288,000 DBS Group Holdings Ltd................................ 2,069,697
247,300 Flextronics International Ltd.*....................... 3,336,077
1,484,000 Singapore Telecommunications Ltd...................... 1,438,887
279,000 United Overseas Bank Ltd.............................. 2,020,932
------------
8,865,593
------------
South Korea -- 2.1%
25,840 Hyundai Motor Co. Ltd................................. 862,433
136,487 Kookmin Bank, ADR+.................................... 5,077,316
11,555 Samsung Electronics Co. Ltd........................... 4,279,630
59,070 SK Telecom Co. Ltd., ADR+............................. 1,125,874
------------
11,345,253
------------
Spain -- 3.2%
15,831 Acerinox, S.A......................................... 671,787
191,847 Banco Bilbao Vizcaya Argentaria, S.A.................. 2,056,344
240,000 Endesa, S.A.+......................................... 3,741,310
116,306 Grupo Dragados, S.A................................... 2,359,036
137,900 Repsol YPF, S.A....................................... 2,331,615
506,544 Telefonica S.A........................................ 5,969,640
------------
17,129,732
------------
Sweden -- 2.1%
150,000 Electrolux AB, Series B Shares........................ 3,345,091
506,700 Nordea AB............................................. 2,610,831
86,700 Sandvik AB............................................ 2,327,412
112,700 Volvo AB, Class B Shares.............................. 2,722,157
------------
11,005,491
------------
Switzerland -- 3.2%
38,316 Adecco S.A., Registered Shares........................ 1,938,179
69,818 Compagnie Financiere Richemont AG, Class A Shares..... 1,336,850
158,762 Credit Suisse Group+.................................. 4,962,553
See Notes to Financial Statements.
34
Schedules of Investments
(continued)
International Equity Investments
- ------------------------------------------------------------------------------
Shares Security Value
- ------------------------------------------------------------------------------
Switzerland -- 3.2% (continued)
54,400 Logitech International S.A., Registered Shares*+...... $ 1,749,009
22,500 Mettler-Toledo International Inc.*.................... 866,475
8,400 Nestle S.A., Registered Shares........................ 1,830,458
79,787 Novartis AG, Registered Shares........................ 2,935,756
17,018 Roche Holding AG...................................... 1,304,026
------------
16,923,306
------------
Taiwan -- 1.3%
138,200 Chunghwa Telecom Co. Ltd., ADR+....................... 1,951,384
410,920 Taiwan Semiconductor Manufacturing Co. Ltd., ADR*+.... 4,840,638
------------
6,792,022
------------
Thailand -- 0.2%
427,200 Bangkok Bank Public Co. Ltd., Registered Shares*...... 878,520
------------
United Kingdom -- 19.5%
3,087,100 Aegis Group PLC....................................... 4,748,156
461,300 Allied Domecq PLC..................................... 2,767,084
182,100 Anglo American PLC.................................... 3,396,884
35,272 AstraZeneca PLC....................................... 1,352,091
536,800 Aviva PLC............................................. 4,246,715
167,977 BAA PLC............................................... 1,208,327
661,929 BAE SYSTEMS PLC....................................... 1,782,961
137,400 BOC Group PLC......................................... 1,871,625
250,000 Boots Group PLC....................................... 2,606,820
543,300 BP PLC................................................ 3,676,772
167,175 British Sky Broadcasting Group PLC*................... 1,745,818
385,300 Cadbury Schweppes PLC................................. 2,321,839
807,000 Centrica PLC.......................................... 2,262,835
118,322 Diageo PLC............................................ 1,265,508
1,872,529 FKI PLC............................................... 3,367,465
1,022,000 Hays PLC.............................................. 1,854,037
156,586 HBOS PLC.............................................. 1,738,983
310,109 HSBC Holdings PLC..................................... 3,977,174
121,300 Imperial Tobacco Group PLC............................ 1,890,547
178,187 InterContinental Hotels Group PLC*.................... 1,374,531
188,400 Johnson Matthey PLC................................... 2,917,030
86,400 Kesa Electricals PLC*................................. 304,622
782,710 Kingfisher PLC........................................ 3,358,454
407,100 Lloyds TSB Group PLC.................................. 2,665,133
75,000 Lonmin PLC............................................ 1,100,899
310,450 Marks & Spencer Group PLC............................. 1,491,244
2,080,500 Michael Page International PLC........................ 5,491,755
423,064 Mitchells & Butlers PLC*.............................. 1,681,807
130,000 Next PLC.............................................. 2,206,608
185,800 Pearson PLC........................................... 1,811,356
426,791 Reed Elsevier PLC..................................... 3,265,327
293,700 Rexam PLC............................................. 1,898,421
149,200 Rio Tinto PLC......................................... 3,273,901
53,817 Royal Bank of Scotland Group PLC...................... 1,336,269
425,800 Scottish Power PLC.................................... 2,433,233
533,100 Shire Pharmaceuticals Group PLC*...................... 4,019,817
5,219,400 Spirent PLC........................................... 3,808,044
See Notes to Financial Statements.
35
Schedules of Investments
(continued)
International Equity Investments
- ------------------------------------------------------------------------------
Shares Security Value
- ------------------------------------------------------------------------------
United Kingdom -- 19.5% (continued)
711,200 Tesco PLC............................................. $ 2,423,344
22,471 TI Automotive Ltd., Class A Shares*................... 5,065
359,000 Trinity Mirror PLC.................................... 2,944,879
1,381,941 Vodafone Group PLC.................................... 2,523,365
369,821 WPP Group PLC......................................... 3,363,261
------------
103,780,006
------------
United States -- 0.6%
102,200 Royal Caribbean Cruises Ltd.+......................... 3,146,376
------------
TOTAL COMMON STOCK (Cost -- $445,680,831)............. 523,023,672
------------
Face
Amount
- ----------
REPURCHASE AGREEMENT -- 1.8%
$9,556,000 State Street Bank and Trust Co., 0.930% due 9/2/03;
Proceeds at maturity -- $9,556,987; (Fully
collateralized by U.S. Treasury Bills, Notes and
Bonds, 0.000% to 11.875% due 10/23/03 to 11/15/05;
Market value -- $9,758,281) (Cost -- $9,556,000)..... 9,556,000
------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $455,236,831**).. $532,579,672
============
- --------
* Non-income producing security.
+ All or a portion of this security is on loan (See Note 8).
** Aggregate cost for Federal income tax purposes is $466,207,594.
Abbreviation used in this schedule:
ADR -- American Depositary Receipt
Loaned Securities Collateral
August 31, 2003
- ---------------------------------------------------------------------------------------
Face
Amount Security Value
- ---------------------------------------------------------------------------------------
$78,138,355 State Street Navigator Securities Lending Trust Prime Portfolio
(Cost -- $78,138,355).......................................... $78,138,355
===========
See Notes to Financial Statements.
36
Schedules of Investments
(continued)
Emerging Markets Equity Investments
- ---------------------------------------------------------------------------------
Shares Security Value
- ---------------------------------------------------------------------------------
COMMON STOCK -- 89.4%
Austria -- 0.1%
2,000 Erste Bank der oesterreichischen Sparkassen AG........ $ 181,443
------------
Brazil -- 10.0%
25,302 Aracruz Celulose S.A., Sponsored ADR.................. 691,504
196,126,731 Banco Bradesco S.A., Preferred Shares................. 834,779
4,200 Banco Bradesco S.A., Sponsored ADR (a)................ 90,174
19,481,997 Banco Itau Holding Financeira S.A., Preferred Shares
(a).................................................. 1,475,112
24,259,944 Brasil Telecom Participacoes S.A...................... 137,868
3,602 Brasil Telecom Participacoes S.A., ADR................ 136,516
66,496,638 Brasil Telecom Participacoes S.A., Preferred Shares... 504,388
14,976,500 Centrais Eletricas Brasileiras S.A.................... 111,124
24,343,000 Centrais Eletricas Brasileiras S.A., Preferred Class
B Shares............................................. 201,969
9,347 Companhia Brasileira de Distribuicao Grupo Pao de
Acucar S.A., Sponsored ADR........................... 183,762
500,000 Companhia de Bebidas das Americas..................... 94,435
46,191 Companhia de Bebidas das Americas, Preferred ADR...... 1,024,978
4,776,900 Companhia de Bebidas das Americas, Preferred Shares... 1,055,268
13,693 Companhia de Concessoes Rodoviarias................... 60,037
1,430,247 Companhia de Saneamento Basico do Estado de Sao Paulo
(a).................................................. 62,468
38,230,239 Companhia Energetica de Minas Gerais, Preferred
Shares (a)........................................... 417,631
15,242 Companhia Energetica de Minas Gerais, Sponsored ADR... 166,900
39,942,000 Companhia Paranaense de Energia-Copel, Preferred
Class B Shares*...................................... 111,811
7,625,400 Companhia Siderurgica Nacional S.A.................... 255,895
6,214 Companhia Siderurgica Nacional S.A., Sponsored ADR.... 208,169
1,646 Companhia Vale do Rio Doce............................ 61,510
15,229 Companhia Vale do Rio Doce, ADR....................... 570,326
17,665 Companhia Vale do Rio Doce, Preferred Class A Shares.. 604,721
43,354 Companhia Vale do Rio Doce, Sponsored ADR............. 1,479,672
17,969 Empresa Brasileira de Aeronautica S.A., ADR........... 366,388
20,166 Empresa Brasileira de Aeronautica S.A., Preferred
Shares............................................... 103,040
8,271 Gerdau S.A., Preferred Shares......................... 123,772
8,719 Gerdau S.A., Sponsored ADR............................ 127,123
255,100 Itausa-Investimentos Itau S.A., Preferred Shares...... 243,485
8,518 Metalurgica Gerdau S.A., Preferred Shares............. 127,669
172,680 Petroleo Brasileiro S.A., ADR......................... 3,666,064
84,384 Petroleo Brasileiro S.A., Preferred Shares (a)........ 1,730,370
85,800,000 Tele Celular Sul Participacoes S.A.................... 63,373
35,937,907 Tele Centro Oeste Celular Participacoes S.A.,
Preferred Shares..................................... 72,967
50,693,423 Tele Norte Leste Participacoes S.A.................... 485,392
36,311 Tele Norte Leste Participacoes S.A., ADR.............. 472,406
39,001,298 Tele Norte Leste Participacoes S.A., Preferred Shares. 507,609
576 Telefonica Data Brasil Holding, Preferred Shares*..... 0
191,799,592 Telemig Celular Participacoes S.A., Preferred Shares.. 216,704
10,818 Telesp Celular Participacoes S.A., ADR*............... 43,813
116,413,786 Telesp Celular Participacoes S.A., Preferred Shares*.. 187,283
576 Telesp-Telecomunicacoes de Sao Paulo S.A., Preferred
Shares............................................... 7
23,369 Unibanco-Uniao de Bancos Brasileiros S.A., ADR........ 449,853
33,000 Usinas Siderurgicas de Minas Gerais S.A., Preferred
Class A Shares....................................... 189,207
11,768 Votorantim Celulose e Papel S.A., Sponsored ADR....... 309,498
------------
20,027,040
------------
Chile -- 0.7%
12,020 Banco Santander Chile S.A., ADR....................... 251,819
See Notes to Financial Statements.
37
Schedules of Investments
(continued)
Emerging Markets Equity Investments
- -------------------------------------------------------------------------------
Shares Security Value
- -------------------------------------------------------------------------------
Chile -- 0.7% (continued)
20,150 Distribucion y Servicio D&S S.A., ADR................. $ 297,213
154,000 Enersis S.A., Sponsored ADR........................... 823,900
------------
1,372,932
------------
China -- 2.4%
362,813 Aluminum Corp. of China Ltd........................... 110,483
326,000 Beijing Capital Land Ltd.*............................ 71,476
154,700 Beijing Datang Power Generation Co. Ltd............... 83,804
81,500 BYD Co. Ltd........................................... 222,579
152,000 China Oilfield Services Ltd........................... 41,901
1,646,000 China Petroleum and Chemical Corp. Ltd................ 501,234
1,012,000 China Shipping Development Co. Ltd.................... 506,049
784,000 China Telecom Corp. Ltd............................... 216,123
378,000 Huaneng Power International, Inc...................... 518,588
216,000 Jiangsu Expressway Co. Ltd............................ 86,547
1,349,000 Legend Group Ltd...................................... 579,434
2,721,500 PetroChina Co. Ltd.................................... 950,872
212,000 Shandong International Power Development Co. Ltd...... 62,519
450,000 Shenzhen Dongjiang Environmental Co. Ltd.............. 31,157
534,000 Sinopec Beijing Yanhua Petrochemical Co. Ltd.*........ 106,810
460,000 Sinopec Shanghai Petrochemical Co. Ltd................ 112,062
80,000 Sinopec Zhenhai Refining and Chemical Co. Ltd......... 42,055
1,301,000 Sinotrans Ltd......................................... 442,049
194,000 Zhejiang Southeast Electric Power Co., Ltd., Class B
Shares............................................... 122,608
------------
4,808,350
------------
Croatia -- 0.3%
42,075 Pliva D.D., Registered Shares, GDR.................... 631,125
------------
Czech Republic -- 1.9%
55,493 Cesky Telecom A.S..................................... 615,211
34,543 Cesky Telecom A.S., Registered Shares GDR............. 379,973
217,604 CEZ A.S. (a).......................................... 995,169
14,661 Komercni Banka A.S. (a)............................... 1,177,704
1,004 Philip Morris CR A.S.................................. 468,336
84,345 Unipetrol A.S.*....................................... 185,873
------------
3,822,266
------------
Egypt -- 0.2%
20,165 Commercial International Bank......................... 126,236
12,278 Egyptian Co........................................... 105,810
2 Medinet NASR for Housing & Development Co............. 9
28,713 Orascom Construction Industries....................... 228,770
------------
460,825
------------
Hong Kong -- 3.8%
294,000 Brilliance China Automotive Holdings Ltd.............. 93,297
548,000 China Merchants Holdings International Co. Ltd........ 611,290
1,093,500 China Mobile (Hong Kong) Ltd.......................... 2,811,126
332,000 China Overseas Land & Investment Ltd.................. 39,588
40,300 China Resources Cement Holding Ltd.*.................. 12,530
534,000 China Resources Land Ltd.............................. 63,675
173,000 Citic Pacific Ltd..................................... 356,015
See Notes to Financial Statements.
38
Schedules of Investments
(continued)
Emerging Markets Equity Investments
- -------------------------------------------------------------------------------
Shares Security Value
- -------------------------------------------------------------------------------
Hong Kong -- 3.8% (continued)
997,500 CNOOC Ltd............................................. $ 1,854,505
462,000 Comba Telecom Systems Holdings Ltd.*.................. 167,343
342,000 Denway Motors Ltd..................................... 192,942
304,000 Giordano International Ltd............................ 126,679
250,000 Global Bio-Chem Technology Group Co. Ltd.............. 84,944
390,000 GZI Transport Ltd..................................... 99,510
78,000 Shanghai Industrial Holdings Ltd...................... 130,013
672,000 Shenzhen Investment Ltd............................... 97,363
246,000 Shougang Concord Century Holdings Ltd.*............... 23,656
1,232,000 TCL International Holdings Ltd........................ 363,317
568,800 Texwinca Holdings Ltd................................. 441,227
1,332,000 Wah Sang Gas Holdings Ltd............................. 157,123
------------
7,726,143
------------
Hungary -- 0.9%
1,512 Gedeon Richter RT..................................... 129,035
168 Gedeon Richter RT., Sponsored GDR..................... 14,302
40,021 Magyar Tavkozlesi RT.................................. 151,815
31,600 Magyar Tavkozlesi RT., Sponsored ADR.................. 597,240
6,490 MOL Magyar Olaj-es Gazipari RT........................ 160,342
27,967 OTP Bank RT.*......................................... 319,224
17,280 OTP Bank RT., Registered Shares GDR*.................. 393,984
------------
1,765,942
------------
India -- 2.4%
22,300 Bajaj Auto Ltd., Sponsored GDR........................ 357,915
18,000 Dr. Reddy's Laboratories Ltd., ADR.................... 456,300
60,000 ICICI Bank Ltd., Sponsored ADR........................ 581,400
5,700 Infosys Technologies Ltd., Sponsored ADR.............. 322,905
20,942 ITC Ltd., GDR......................................... 405,228
42,479 Ranbaxy Laboratories Ltd., Sponsored GDR.............. 989,336
58,526 Reliance Industries Ltd., Sponsored GDR (b)........... 1,071,026
12,900 Satyam Computer Services Ltd., ADR.................... 153,639
19,710 State Bank of India Ltd., GDR......................... 494,721
------------
4,832,470
------------
Indonesia -- 1.4%
1,014,175 PT Astra International Tbk.*.......................... 454,197
920,000 PT Bank Central Asia Tbk.............................. 317,148
641,500 PT Bank Mandiri*...................................... 64,263
35,500 PT Gudang Garam Tbk................................... 38,491
281,420 PT Hanjaya Mandala Sampoerna Tbk...................... 134,325
971,500 PT Indofood Sukses Makmur Tbk......................... 77,285
30,500 PT Indonesian Satellite Corp. Tbk..................... 29,116
590,000 PT Kalbe Farma Tbk.................................... 41,721
110,500 PT Ramayana Lestari Sentosa Tbk....................... 38,418
2,892,998 PT Telekomunikasi Indonesia........................... 1,559,866
------------
2,754,830
------------
Israel -- 2.3%
370,024 Bank Hapoalim Ltd.*................................... 721,897
143,791 Bank Leumi Le-Israel*................................. 201,256
214,114 Bezeq Israeli Telecommunication Corp. Ltd............. 213,777
See Notes to Financial Statements.
39
Schedules of Investments
(continued)
Emerging Markets Equity Investments
- -------------------------------------------------------------------------------
Shares Security Value
- -------------------------------------------------------------------------------
Israel -- 2.3% (continued)
5,951 Blue Square-Israel Ltd................................ $ 57,381
28,500 Check Point Software Technologies Ltd.*............... 497,895
6,369 IDB Development Corp. Ltd............................. 109,064
142,971 Partner Communications Co. Ltd.*...................... 755,713
20,375 Supersol Ltd.......................................... 39,338
5,093 Tadiran Communications Industries Ltd................. 114,375
1,478 Taro Pharmaceutical Industries Ltd.*.................. 79,797
3,050 Teva Pharmaceutical Industries Ltd.................... 179,747
26,768 Teva Pharmaceutical Industries Ltd., Sponsored ADR.... 1,571,603
------------
4,541,843
------------
Luxembourg -- 0.1%
8,780 Tenaris S.A., ADR..................................... 221,519
------------
Malaysia -- 4.8%
38,000 Berjaya Sports Toto Berhad............................ 42,200
11,000 British American Tobacco (Malaysia) Berhad............ 118,684
121,000 Commerce Asset-Holding Berhad......................... 127,368
446,000 Gamuda Berhad......................................... 745,289
230,700 Genting Berhad........................................ 947,084
274,000 IOI Corp. Berhad...................................... 425,421
99,000 Kuala Lumpur Kepong Berhad............................ 156,316
349,000 Magnum Corp. Berhad................................... 258,995
84,000 Malakoff Berhad....................................... 106,989
466,000 Malayan Banking Berhad................................ 1,134,342
383,300 Malaysia Mining Corp. Berhad.......................... 280,414
41,000 Malaysian Pacific Industries Berhad................... 165,079
521,800 Maxis Communications Berhad........................... 885,687
168,000 The New Straits Times Press (Malaysia) Berhad......... 168,000
105,000 Perusahaan Otomobil Nasional Berhad................... 212,763
168,000 PLUS (Projek Lebuhraya Utara Selatan) Expressways
Berhad............................................... 111,853
1,288,187 Public Bank Berhad.................................... 898,341
387,100 Resorts World Berhad.................................. 1,049,245
178,000 Road Builder (Malaysia) Holdings Berhad............... 177,063
256,000 Sime Darby Berhad..................................... 346,947
124,000 Tanjong PLC........................................... 324,684
92,000 Telekom Malaysia Berhad............................... 187,632
37,000 Tenaga Nasional Berhad................................ 87,632
220,400 UMW Holdings Berhad................................... 510,400
159,000 YTL Corp. Berhad...................................... 187,453
------------
9,655,881
------------
Mexico -- 7.9%
87,738 Alfa, S.A., Series A Shares........................... 205,709
1,635,390 America Movil S.A. de C.V., Series L Shares........... 1,897,907
37,113 America Movil S.A. de C.V., Series L Shares, ADR...... 853,599
11,400 Apasco S.A. de C.V.................................... 84,622
36,932 Cemex S.A. de C.V., Participant Certificate,
Sponsored ADR........................................ 923,300
152,741 Cemex S.A. de C.V., Series CPO........................ 757,708
5,750 Coca-Cola Femsa, S.A. de C.V., Sponsored ADR.......... 124,488
56,000 Consorcio ARA, S.A. de C.V.*.......................... 121,158
100,000 Controladora Comercial Mexicana S.A. de C.V........... 63,005
42,076 Corporacion GEO, S.A. de C.V., Series B Shares*....... 190,445
See Notes to Financial Statements.
40
Schedules of Investments
(continued)
Emerging Markets Equity Investments
- -------------------------------------------------------------------------------
Shares Security Value
- -------------------------------------------------------------------------------
Mexico -- 7.9% (continued)
14,834 Fomento Economico Mexicano, S.A. de C.V., Sponsored
ADR.................................................. $ 548,858
20,023 Grupo Aeroportuario del Sureste S.A. de C.V., ADR..... 297,742
14,500 Grupo Financiero Banorte S.A. de C.V., Series O Shares 38,591
1,748,100 Grupo Financiero BBVA Bancomer, S.A. de C.V., Series
B Shares*............................................ 1,417,881
2,120 Grupo Financiero BBVA Bancomer, S.A. de C.V.,
Sponsored ADR*....................................... 34,433
3 Grupo Financiero Inbursa, S.A. de C.V., Series O
Shares............................................... 3
255,500 Grupo Modelo, S.A. de C.V., Series C Shares........... 610,605
97,000 Grupo Televisa S.A., Series CPO....................... 181,764
48,414 Grupo Televisa S.A., Sponsored ADR.................... 1,815,525
39,200 Kimberly-Clark de Mexico, S.A. de C.V., Series A
Shares............................................... 90,488
1,677,445 Telefonos de Mexico S.A. de C.V., Series L Shares..... 2,548,037
36,874 Telefonos de Mexico S.A. de C.V., Series L Shares,
Sponsored ADR........................................ 1,117,651
34,100 TV Azteca, S.A. de C.V., Sponsored ADR................ 225,742
104,929 Wal-Mart de Mexico S.A. de C.V., Series C Shares...... 259,313
478,100 Wal-Mart de Mexico S.A. de C.V., Series V Shares...... 1,306,181
2,469 Wal-Mart de Mexico S.A. de C.V., Series V Shares, ADR. 67,538
------------
15,782,293
------------
Poland -- 1.2%
6,470 Bank Pekao S.A........................................ 206,212
9,048 Bank Zachodni WBK S.A................................. 190,352
43,035 Polski Koncern Naftowy Orlen S.A., GDR................ 537,938
332,631 Telekomunikacja Polska S.A., GDR...................... 1,410,355
------------
2,344,857
------------
Russia -- 4.3%
60,435 Gazprom, Registered Shares, Sponsored ADR............. 1,151,287
41,668 LUKOIL, Sponsored ADR................................. 3,250,104
17,193 Mining and Metallurgical Co. Norilsk Nickel, ADR...... 674,825
5,221 Surgutneftegaz, Preferred Shares, Sponsored ADR....... 140,445
39,269 Surgutneftegaz, Sponsored ADR......................... 849,388
9,638 Tatneft, Sponsored ADR................................ 221,674
40,644 YUKOS, ADR............................................ 2,326,869
------------
8,614,592
------------
South Africa -- 5.1%
36,129 ABSA Group Ltd........................................ 173,900
166,903 African Bank Investments Ltd.......................... 164,297
16,584 Anglo American Platinum Corp. Ltd..................... 613,146
23,602 AngloGold Ltd......................................... 910,111
107,600 Avgold Ltd.*.......................................... 134,409
26,900 Barloworld Ltd........................................ 215,857
17,146 Bidvest Group Ltd..................................... 101,735
463,728 FirstRand Ltd......................................... 478,524
95,039 Gold Fields Ltd....................................... 1,290,414
32,924 Harmony Gold Mining Co. Ltd........................... 466,926
13,975 Impala Platinum Holdings Ltd.......................... 1,081,549
61,317 Imperial Holdings Ltd................................. 489,121
49,062 Iscor Ltd............................................. 137,893
13,004 JD Group Ltd.......................................... 55,812
80,973 MTN Group Ltd.*....................................... 199,547
49,188 Nedcor Ltd............................................ 555,661
49,621 Pick'n Pay Stores Ltd................................. 101,398
See Notes to Financial Statements.
41
Schedules of Investments
(continued)
Emerging Markets Equity Investments
- -------------------------------------------------------------------------------
Shares Security Value
- -------------------------------------------------------------------------------
South Africa -- 5.1% (continued)
13,800 Remgro Ltd............................................ $ 114,297
379,600 Sanlam Ltd............................................ 373,673
39,276 Sappi Ltd............................................. 498,616
104,494 Sasol Ltd............................................. 1,205,973
172,044 Standard Bank Group Ltd............................... 768,533
22,184 Tiger Brands Ltd...................................... 216,569
------------
10,347,961
------------
South Korea -- 17.4%
5,890 Amorepacific Corp..................................... 742,205
3,640 Cheil Communications Inc.............................. 396,696
40,491 Daeduck Electronics Co., Ltd.......................... 393,016
8,220 Daelim Industrial Co., Ltd............................ 181,267
23,500 Hana Bank............................................. 343,146
24,070 Hanjin Shipping Co., Ltd.............................. 272,568
16,770 Hyosung Corp.......................................... 187,047
11,114 Hyundai Department Store Co., Ltd..................... 312,271
8,250 Hyundai Heavy Industries Co., Ltd.*................... 212,835
13,060 Hyundai Mobis......................................... 461,464
54,135 Hyundai Motor Co., Ltd................................ 1,806,805
88,128 Kookmin Bank.......................................... 3,222,731
47,091 Korea Electric Power (KEPCO) Corp..................... 773,824
18,466 Korean Air Co., Ltd................................... 233,478
39,130 KT Corp............................................... 1,494,236
38,712 KT Corp., Sponsored ADR............................... 729,721
12,450 KT&G Corp............................................. 206,705
15,731 LG Chem Ltd........................................... 692,459
19,769 LG Electronics Inc.................................... 1,077,238
7,408 LG Household & Health Care Ltd........................ 183,229
13,580 LG Investment & Securities Co., Ltd................... 164,186
7,930 LG Petrochemical Co., Ltd............................. 155,292
4,610 ORION Corp............................................ 325,781
22,720 POSCO................................................. 2,688,872
53,380 Samsung Corp.......................................... 386,318
2,120 Samsung Electro Mechanics Co., Ltd.................... 76,533
33,014 Samsung Electronics Co., Ltd. (a)..................... 12,227,407
3,660 Samsung Electronics Co., Ltd., Preferred NV Shares.... 663,755
10,855 Samsung Fire & Marine Insurance Co., Ltd.............. 600,745
38,240 Samsung Heavy Industries Co., Ltd..................... 167,025
10,410 Samsung SDI Co., Ltd.................................. 979,400
17,140 Samsung Securities Co., Ltd........................... 436,344
25,260 Shinhan Financial Group Co., Ltd...................... 344,112
9,300 SK Telecom Co., Ltd. (a).............................. 1,591,571
22,700 Ssangyong Motor Co.*.................................. 160,417
------------
34,890,699
------------
Taiwan -- 12.7%
173,000 Acer Inc.............................................. 256,278
9,310 Ambit Microsystems Corp............................... 25,535
153,697 Asustek Computer Inc.................................. 414,788
34,000 Basso Industry Corp................................... 70,314
711,008 Benq Corp............................................. 1,053,268
338,900 Cathay Financial Holding Co., Ltd..................... 423,501
See Notes to Financial Statements.
42
Schedules of Investments
(continued)
Emerging Markets Equity Investments
- -------------------------------------------------------------------------------
Shares Security Value
- -------------------------------------------------------------------------------
Taiwan -- 12.7% (continued)
15,300 Cathay Financial Holding Co., Ltd., GDR (b)*.......... $ 190,814
418,422 China Development Financial Holding Corp.............. 157,108
88,000 China Motor Co., Ltd.................................. 154,884
583,610 China Steel Corp...................................... 467,367
1,726,718 Chinatrust Financial Holding Co. Ltd.................. 1,408,119
243,000 Chunghwa Telecom Co., Ltd............................. 348,569
11,000 Chunghwa Telecom Co., Ltd., ADR....................... 155,320
580,602 Compal Electronics Inc................................ 885,635
378,000 Compeq Manufacturing Co., Ltd.*....................... 146,920
153,000 CTCI Corp............................................. 111,305
738,865 Delta Electronics Inc................................. 975,328
439,000 EVA Airways Corp...................................... 164,190
202,283 Evergreen Marine Corp................................. 139,444
22,440 Evergreen Marine Corp., Sponsored GDR................. 154,836
1,877,850 Far Eastern Textile Ltd............................... 815,259
157,825 Faraday Technology Corp............................... 381,947
382,725 Formosa Chemicals & Fibre Corp........................ 500,720
1,066,160 Formosa Plastics Corp................................. 1,579,380
157,000 Fubon Financial Holding Co., Ltd...................... 136,782
88,000 Gamania Digital Entertainment Co., Ltd................ 64,277
9,000 Grand Hall Enterprise Co., Ltd........................ 50,161
433,043 Hon Hai Precision Industry Co., Ltd................... 1,791,114
16,560 Hon Hai Precision Industry Co., Ltd., Registered
Shares, GDR.......................................... 137,448
483,000 International Bank of Taipei.......................... 226,694
242,940 Inventec Co., Ltd..................................... 148,230
63,000 Kaulin Manufacturing Co., Ltd......................... 107,187
263,120 Lite-On Technology Corp............................... 298,702
42,300 MediaTek Inc.......................................... 421,883
1,337,440 Mega Financial Holding Co., Ltd....................... 651,261
112,406 Micro-Star International Co., Ltd..................... 199,489
945,394 Nan Ya Plastics Corp.................................. 1,137,024
196,000 Nien Hsing Textile Co., Ltd........................... 212,156
691 Pacific Electric Wire & Cable Co., Ltd.*.............. 11
367,938 Quanta Computer Inc................................... 912,020
40,440 Realtek Semiconductor Corp............................ 87,784
707,003 SinoPac Holdings...................................... 281,018
1,225,000 Taishin Financial Holdings Co., Ltd................... 700,719
271,200 Taiwan Cellular Corp.................................. 194,908
1,990,551 Taiwan Semiconductor Manufacturing Co. Ltd. (a)*...... 3,912,201
1,526,080 United Microelectronics Corp. (a)*.................... 1,253,454
189,000 Wan Hai Lines Ltd..................................... 173,532
923,695 Winbond Electronics Corp.*............................ 539,206
1,003,000 Yageo Corp.*.......................................... 367,776
924,476 Yuanta Core Pacific Securities Co..................... 515,255
------------
25,501,121
------------
Thailand -- 3.7%
275,650 Advanced Info Service Public Co., Ltd................. 372,319
232,700 The Aromatics (Thailand) Public Co. Ltd.*............. 108,167
406,400 Bangkok Bank Public Co., Ltd.*........................ 835,746
154,800 Bangkok Expressway Public Co., Ltd.................... 86,649
268,200 Bank of Ayudhya Public Co., Ltd.*..................... 65,271
1,872,700 Bank of Ayudhya Public Co., Ltd., NVDR*............... 451,198
See Notes to Financial Statements.
43
Schedules of Investments
(continued)
Emerging Markets Equity Investments
- -------------------------------------------------------------------------------
Shares Security Value
- -------------------------------------------------------------------------------
Thailand -- 3.7% (continued)
104,954 BEC World Public Co., Ltd............................. $ 628,345
717,350 Charoen Pokphand Foods Public Co. Ltd................. 92,964
237,000 Delta Electronics (Thailand) Public Co. Ltd........... 180,245
109,800 Electricity Generating Public Co. Ltd................. 168,348
129,200 GMM Grammy Public Co. Ltd............................. 68,232
818,700 Kasikornbank Public Co. Ltd.*......................... 926,492
1,118,100 Land and Houses Public Co. Ltd........................ 329,253
85,600 Major Cineplex Group Public Co. Ltd................... 32,290
296,900 National Finance Public Co. Ltd....................... 106,216
78,900 Noble Development Public Co. Ltd...................... 26,114
153,100 PTT Exploration and Production Public Co. Ltd......... 588,703
241,600 PTT Public Co. Ltd.................................... 435,103
374,200 Shin Corp. Public Co. Ltd............................. 197,618
252,500 The Siam Cement Public Co. Ltd........................ 1,155,269
17,900 Siam City Cement Public Co. Ltd....................... 92,353
160,200 Siam Commercial Bank Public Co. Ltd.*................. 152,051
28,600 Siam Makro Public Co. Ltd............................. 23,665
148,900 Thai Airways International Public Co. Ltd............. 206,554
37,600 Thai Union Frozen Products Public Co. Ltd............. 28,367
27,200 Thai Union Frozen Products Public Co. Ltd., NVDR...... 20,355
132,800 TISCO Finance Public Co. Ltd.*........................ 97,766
------------
7,475,653
------------
Turkey -- 1.0%
10,175,707 Akbank T.A.S.......................................... 316,739
2,112,000 Aksigorta A.S......................................... 63,851
36,700 Aktas Elektrik Ticaret A.S.*.......................... 0
340,462 Anadolu Efes Biracilik ve Malt Sanayii A.S............ 77,959
31 Beko Elektronik A.S.*................................. 1
234,900 Eregli Demir ve Celik Fabrikalari T.A.S.*............. 36,643
17,267,450 Haci Omer Sabanci Holding A.S......................... 463,348
600,926 Koc Holding A.S....................................... 59,340
1,718,100 Tupras-Turkiye Petrol Rafinerileri A.S................ 140,153
4,142,131 Turkcell Iletisim Hizmetleri A.S.*.................... 302,324
4,148 Turkcell Iletisim Hizmetleri A.S., ADR*............... 75,079
3,300,115 Turkiye Garanti Bankasi A.S.*......................... 51,007
10,931,732 Turkiye Is Bankasi, Class C Shares*................... 406,762
2,785,500 Vestel Elektronik*.................................... 72,752
------------
2,065,958
------------
United Kingdom -- 3.6%
341,566 Anglo American PLC (c)................................ 6,379,145
543,983 Old Mutual PLC........................................ 816,159
------------
7,195,304
------------
United States -- 1.2%
46,100 The India Fund, Inc................................... 699,337
29,100 Morgan Stanley India Investment Fund, Inc............. 433,299
41,325 RAO Unified Energy System, Registered Shares, GDR..... 1,291,406
------------
2,424,042
------------
TOTAL STOCK (Cost -- $130,600,504).................... 179,445,089
------------
See Notes to Financial Statements.
44
Schedules of Investments
(continued)
Emerging Markets Equity Investments
- ---------------------------------------------------------------------------------------------------------------------------
Face
Amount Rating(d) Security Value
- ---------------------------------------------------------------------------------------------------------------------------
CORPORATE NOTES -- 0.6%
$ 1,200,000 Aaa General Electric Capital Corp., Notes, 1.210% due 4/22/04 (Cost -- $1,201,672).......... $ 1,201,151
------------
Warrants
- -----------
WARRANTS -- 0.0%
564,080 Bank of Ayudhya Public Co. Ltd., Expires 9/11/08 (Cost -- $0)........................... 0
------------
SUB-TOTAL INVESTMENTS
(Cost -- $131,802,176).................................................................. 180,646,240
------------
Face
Amount
- -----------
REPURCHASE AGREEMENT -- 10.0%
$20,126,000 State Street Bank and Trust Co., 0.930% due 9/2/03; Proceeds at maturity -- $20,128,080;
(Fully collateralized by U.S. Treasury Notes and Bonds, 6.500% to 7.125%
due 2/15/10 to 2/15/23; Market value -- $20,537,250) (Cost -- $20,126,000)............. 20,126,000
------------
TOTAL INVESTMENTS -- 100.0%
(Cost -- $151,928,176**)................................................................ $200,772,240
============
- --------
(a) All or a portion of this security is segregated for open forward foreign
currency contracts (See Note 6).
(b) Security is exempt from registration under Rule 144A of the Securities Act
of 1933. This security may be resold in transactions that are exempt
from registration, normally to qualified institutional buyers.
(c) All or a portion of this security is segregated for open futures contract
commitments (See Note 4).
(d) Rating is by Moody's Investors Service ("Moody's").
* Non-income producing security.
** Aggregate cost for Federal income tax purposes is $160,128,272.
Abbreviations used in this schedule:
ADR -- American Depositary Receipt
GDR -- Global Depositary Receipt
NVDR -- Non-Voting Depositary Receipt
Rating used in this schedule:
Aaa --Bonds rated "Aaa" by Moody's are judged to be of the best quality. They
carry the smallest degree of investment risk and are generally referred
to as "gilt edge." Interest payments are protected by a large or by an
exceptionally stable margin and principal is secure. While the various
protective elements are likely to change, such changes as can be
visualized are most unlikely to impair the fundamentally strong position
of such issues.
See Notes to Financial Statements.
45
Schedules of Investments
(continued)
International Fixed Income Investments
- --------------------------------------------------------------------------------------
Face
Amount+ Security Value
- --------------------------------------------------------------------------------------
BONDS -- 97.3%
Australia -- 6.1%
9,410,000 Australia Government Bond, 6.500% due 5/15/13++........ $ 6,564,120
-------------
Belgium -- 2.5%
2,200,000 Belgium Kingdom, 5.750% due 3/28/08*................... 2,647,368
-------------
Bermuda -- 0.7%
640,000/EUR/ Fidelity International Ltd., 6.250% due 3/21/12........ 753,715
-------------
Cayman Islands -- 0.5%
500,000/EUR/ Hutchinson Whampoa Finance C.I. Ltd., 5.875% due 7/8/13 539,803
-------------
Denmark -- 1.0%
7,130,000 Kingdom of Denmark, 5.000% due 8/15/05................. 1,098,239
-------------
France -- 11.2%
490,000 Casino Guichard Perrachon S.A., 6.000% due 3/6/08...... 575,447
France Government Bond O.A.T.:
1,100,000 5.000% due 4/25/12................................... 1,284,866
2,430,000 6.000% due 10/25/25.................................. 3,091,725
3,300,000 Principal Strip, zero coupon due 10/25/25.............. 1,198,241
320,000/GBP/ France Telecom, 9.000% due 3/14/11..................... 590,086
French Treasury Notes:
2,800,000 4.000% due 1/12/04................................... 3,097,355
2,000,000 3.500% due 7/12/04................................... 2,223,164
-------------
12,060,884
-------------
Germany -- 24.5%
Bundesobligation:
610,000 4.500% due 8/18/06................................... 698,588
4,000,000 3.000% due 4/11/08................................... 4,312,312
Deutsche Bundesrepublik:
5,380,000 4.750% due 7/4/08.................................... 6,259,250
420,000 3.750% due 1/4/09.................................... 465,421
400,000 5.000% due 7/4/11.................................... 468,499
270,000 5.000% due 7/4/12 ................................... 315,792
2,150,000 4.500% due 1/4/13.................................... 2,425,766
8,140,000 3.750% due 7/4/13.................................... 8,631,034
500,000 5.625% due 1/4/28* .................................. 608,381
1,715,000 6.250% due 1/4/30.................................... 2,265,669
-------------
26,450,712
-------------
Greece -- 7.2%
Hellenic Republic Government Bond:
4,900,000/EUR/ 4.650% due 4/19/07................................... 5,635,904
1,400,000/EUR/ 6.300% due 1/29/09................................... 1,733,579
370,000/EUR/ Public Power Corp., 4.500% due 3/12/09................. 409,688
-------------
7,779,171
-------------
See Notes to Financial Statements.
46
Schedules of Investments
(continued)
International Fixed Income Investments
- -----------------------------------------------------------------------------------------------------
Face
Amount+ Security Value
- -----------------------------------------------------------------------------------------------------
Hungary -- 3.2%
842,000,000 Hungary Government Bond, 6.750% due 2/12/13............................ $ 3,484,516
------------
Iceland -- 5.4%
480,000,000 Housing Finance Fund, 2.700% due 1/1/20 ............................... 5,857,958
------------
Italy -- 10.4%
Buoni Poliennali Del Tes:
5,600,000 4.750% due 3/15/06................................................... 6,431,552
3,640,000 5.000% due 2/1/12 ................................................... 4,248,937
520,000 Telecom Italia S.p.A., 6.250% due 2/1/12............................... 612,908
------------
11,293,397
------------
Japan -- 13.8%
Development Bank of Japan:
267,000,000 1.400% due 6/20/12................................................... 2,298,166
360,000,000 1.700% due 9/20/22................................................... 3,003,317
370,000,000 1.050% due 6/20/23................................................... 2,729,061
787,000,000 Japan Finance Corp. for Municipal Enterprises, 1.550% due 2/21/12...... 6,877,187
------------
14,907,731
------------
Netherlands -- 7.9%
700,000 Brisa Finance BV, 4.875% due 12/20/06.................................. 800,904
520,000 Deutsche Telekom International Finance BV, 7.125% due 7/11/11 ......... 644,749
480,000 EDP Finance BV, 5.000% due 3/20/08..................................... 548,110
490,000 Munich Re Finance BV, 6.750% due 6/21/23............................... 578,787
4,800,000 Netherlands Government Bond, 7.750% due 3/1/05 ........................ 5,676,342
280,000 TPSA Eurofinance BV, 6.625% due 3/1/06................................. 326,457
------------
8,575,349
------------
Supranational -- 0.5%
2,200,000/BRL/ International Bank Reconstruction & Development, zero coupon due 4/4/05 560,944
------------
Sweden -- 0.3%
300,000/EUR/ If Skadeforsakring AB, 7.500% due 3/30/21 ............................. 328,074
------------
United Kingdom -- 0.3%
270,000/EUR/ HSBC Holdings PLC, 5.375% due 12/20/12................................. 312,452
------------
United States -- 1.8%
670,000/EUR/ GMAC Swift Trust, 5.000% due 1/18/05................................... 758,883
560,000/EUR/ Morgan Stanley, 4.375% due 3/1/10...................................... 615,821
540,000/EUR/ Pemex Project Funding Master Trust, 6.250% due 8/5/13.................. 583,366
------------
1,958,070
------------
TOTAL BONDS
(Cost -- $103,868,649)................................................. 105,172,503
------------
See Notes to Financial Statements.
47
Schedules of Investments
(continued)
International Fixed Income Investments
- -------------------------------------------------------------------------------
Face
Amount Security Value
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 2.7%
$2,971,000 State Street Bank and Trust Co., 0.930% due 9/2/03;
Proceeds at maturity -- $2,971,307; (Fully
collateralized by U.S. Treasury Bonds, 7.625% due
11/15/22; Market value -- $3,032,581) (Cost --
$2,971,000)........................................... $ 2,971,000
------------
TOTAL INVESTMENTS -- 100.0% (Cost -- $106,839,649**)... $108,143,503
============
- --------
+ Face amount represents local currency unless otherwise indicated.
++ All or a portion of this security is on a loan (See Note 8).
* All or a portion of this security is segregated for open forward foreign
currency contracts (See Note 6).
** Aggregate cost for Federal income tax purposes is $111,032,677.
Currency abbreviations used in this schedule:
BRL -- Brazilian Real
EUR -- Euro
GBP -- British Pound
Loaned Securities Collateral
August 31, 2003
- -------------------------------------------------------------------------------
Face
Amount Security Value
- -------------------------------------------------------------------------------
$5,104,400 State Street Navigator Securities Lending Trust Prime
Portfolio
(Cost -- $5,104,400)................................... $ 5,104,400
============
See Notes to Financial Statements.
48
(This page intentionally left blank.)
49
Statements of Assets and Liabilities
August 31, 2003
Small
Capitalization
Value Equity
Investments
---------------------------------------------------------------------------
ASSETS:
Investments, at cost....................................... $358,106,284
Repurchase agreements, at cost............................. 15,590,000
Loaned securities collateral, at cost (Note 8)............. 42,861,747
Foreign currency, at cost.................................. --
============
Investments, at value...................................... $408,168,618
Repurchase agreements, at value............................ 15,590,000
Loaned securities collateral, at value (Note 8)............ 42,861,747
Foreign currency, at value................................. --
Cash....................................................... 1,069
Receivable for securities sold............................. 1,084,581
Dividends and interest receivable.......................... 747,704
Receivable for Fund shares sold............................ 783,219
Receivable for open forward foreign currency contracts
(Note 6)................................................. --
Unrealized appreciation on open swap contracts (Note 9).... --
Receivable for open interest rate swap contracts (Note 9).. --
Receivable from broker -- variation margin................. --
------------
Total Assets............................................... 469,236,938
------------
LIABILITIES:
Payable for loaned securities collateral (Note 8).......... 42,861,747
Payable for securities purchased........................... 671,386
Payable for Fund shares reacquired......................... 382,062
Management fees payable.................................... 271,250
Administration fees payable................................ 70,281
Payable for open forward foreign currency contracts (Note
6)....................................................... --
Dividends payable.......................................... --
Other liabilities.......................................... --
Accrued expenses........................................... 179,126
------------
Total Liabilities.......................................... 44,435,852
------------
Total Net Assets............................................ $424,801,086
============
NET ASSETS:
Par value of shares of beneficial interest................. $ 34,533
Capital paid in excess of par value........................ 389,659,939
Undistributed net investment income........................ 3,452,442
Accumulated net realized loss from investment
transactions, futures contracts and swap contracts....... (18,408,162)
Net unrealized appreciation of investments, futures
contracts, foreign currencies and swap contracts......... 50,062,334
------------
Total Net Assets............................................ $424,801,086
============
Shares Outstanding.......................................... 34,533,248
============
Net Asset Value............................................. $12.30
============
See Notes to Financial Statements.
50
Small Emerging
Capitalization International Markets International
Growth Equity Equity Fixed Income
Investments Investments Investments Investments
----------------------------------------------------------
$ 373,873,687 $ 445,680,831 $ 131,802,176 $103,868,649
21,059,000 9,556,000 20,126,000 2,971,000
126,325,682 78,138,355 -- 5,104,400
-- 522,447 6,369,214 371,398
============= ============= ============= ============
$ 475,525,885 $ 523,023,672 $ 180,646,240 $105,172,503
21,059,000 9,556,000 20,126,000 2,971,000
126,325,682 78,138,355 -- 5,104,400
-- 524,285 6,373,079 363,720
560 837 489,840 810
1,539,141 1,214,772 1,514,852 7,017,223
90,810 1,380,209 687,225 1,708,200
1,356,408 1,052,081 775,668 226,835
-- 3,640 355,197 5,128,708
-- -- 354,520 --
-- -- 5,414 --
-- -- 77,895 --
------------- ------------- ------------- ------------
625,897,486 614,893,851 211,405,930 127,693,399
------------- ------------- ------------- ------------
126,325,682 78,138,355 -- 5,104,400
1,863,436 2,583,377 14,305,900 6,992,777
356,073 307,078 211,000 76,211
313,807 298,470 130,432 47,689
78,649 88,696 29,178 19,075
-- 4,021 130,668 3,313,435
-- -- -- 15,136
-- 32,252 306,341 --
431,420 353,184 256,719 95,350
------------- ------------- ------------- ------------
129,369,067 81,805,433 15,370,238 15,664,073
------------- ------------- ------------- ------------
$ 496,528,419 $ 533,088,418 $ 196,035,692 $112,029,326
============= ============= ============= ============
$ 41,989 $ 68,132 $ 30,243 $ 14,134
860,154,340 817,904,943 317,228,957 111,376,978
907 3,012,587 466,829 143,018
(465,321,015) (365,259,417) (170,882,302) (2,653,369)
101,652,198 77,362,173 49,191,965 3,148,565
------------- ------------- ------------- ------------
$ 496,528,419 $ 533,088,418 $ 196,035,692 $112,029,326
============= ============= ============= ============
41,989,346 68,131,791 30,243,390 14,133,639
============= ============= ============= ============
$11.83 $7.82 $6.48 $7.93
============= ============= ============= ============
See Notes to Financial Statements.
51
Statements of Operations
For the Year Ended August 31, 2003
Small
Capitalization
Value Equity
Investments
- ------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends...................................................................... $ 8,517,059
Interest (Note 8).............................................................. 311,743
Less: Foreign withholding tax.................................................. (2,386)
------------
Total Investment Income........................................................ 8,826,416
------------
EXPENSES:
Management fees (Note 2)....................................................... 3,102,731
Shareholder servicing fees..................................................... 749,999
Administration fees (Note 2)................................................... 801,286
Custody........................................................................ 63,486
Shareholder communications..................................................... 27,001
Audit and legal................................................................ 32,999
Registration fees.............................................................. 19,999
Trustees' fees................................................................. 16,998
Interest expense (Note 3)...................................................... --
Other.......................................................................... 10,002
------------
Total Expenses................................................................. 4,824,501
------------
Net Investment Income (Loss)..................................................... 4,001,915
------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS,
FUTURES CONTRACTS, FOREIGN CURRENCIES AND
SWAP CONTRACTS (NOTES 3, 4, 6 AND 9):
Realized Gain (Loss) From:
Investment transactions....................................................... (16,337,865)
Futures contracts............................................................. --
Foreign currency transactions................................................. (193)
Swap contracts................................................................ --
------------
Net Realized Gain (Loss)....................................................... (16,338,058)
------------
Change in Net Unrealized Appreciation (Depreciation) From:
Investments................................................................... 51,779,889
Foreign currencies............................................................ --
------------
Increase (Decrease) in Net Unrealized Appreciation............................. 51,779,889
------------
Net Gain on Investments, Futures Contracts, Foreign Currencies and Swap Contracts 35,441,831
------------
Increase in Net Assets From Operations........................................... $ 39,443,746
============
See Notes to Financial Statements.
52
Small Emerging International
Capitalization International Markets Fixed
Growth Equity Equity Income
Investments Investments Investments Investments
-------------------------------------------------------
$ 1,601,161 $ 13,778,822 $ 4,691,378 --
462,451 703,582 133,054 $ 5,019,445
(1,407) (1,535,805) (714,232) --
------------ ------------ ----------- -----------
2,062,205 12,946,599 4,110,200 5,019,445
------------ ------------ ----------- -----------
3,269,663 3,282,881 1,398,086 590,598
975,001 897,001 467,607 249,001
818,245 960,818 310,684 236,239
40,002 250,000 520,000 82,700
29,999 25,002 20,300 12,000
35,028 33,999 36,500 32,999
20,000 20,001 10,300 14,998
15,001 18,002 7,200 5,500
-- 4,659 -- --
10,001 10,002 5,004 2,500
------------ ------------ ----------- -----------
5,212,940 5,502,365 2,775,681 1,226,535
------------ ------------ ----------- -----------
(3,150,735) 7,444,234 1,334,519 3,792,910
------------ ------------ ----------- -----------
(82,008,985) (64,924,655) (5,574,415) 19,230,183
-- -- 962,427 --
-- (834,998) (228,618) (9,364,294)
-- -- 723,378 --
------------ ------------ ----------- -----------
(82,008,985) (65,759,653) (4,117,228) 9,865,889
------------ ------------ ----------- -----------
195,592,765 117,033,292 36,847,087 (4,593,553)
-- (20,080) (67,007) 2,514,526
------------ ------------ ----------- -----------
195,592,765 117,013,212 36,780,080 (2,079,027)
------------ ------------ ----------- -----------
113,583,780 51,253,559 32,662,852 7,786,862
------------ ------------ ----------- -----------
$110,433,045 $ 58,697,793 $33,997,371 $11,579,772
============ ============ =========== ===========
See Notes to Financial Statements.
53
Statements of Changes in Net Assets
For the Year Ended August 31, 2003
Small
Capitalization
Value Equity
Investments
- --------------------------------------------------------------------------------
OPERATIONS:
Net investment income (loss)................................... $ 4,001,915
Net realized gain (loss)....................................... (16,338,058)
Increase (decrease) in net unrealized appreciation............. 51,779,889
-------------
Increase in Net Assets From Operations......................... 39,443,746
-------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.......................................... (1,967,532)
Net realized gains............................................. (22,740,420)
-------------
Decrease in Net Assets From Distributions to Shareholders...... (24,707,952)
-------------
FUND SHARE TRANSACTIONS (NOTE 12):
Net proceeds from sale of shares............................... 38,780,587
Net asset value of shares issued for reinvestment of dividends. 24,340,026
Cost of shares reacquired...................................... (156,247,315)
-------------
Decrease in Net Assets From Fund Share Transactions............ (93,126,702)
-------------
Increase (Decrease) in Net Assets................................ (78,390,908)
NET ASSETS:
Beginning of year.............................................. 503,191,994
-------------
End of year*................................................... $ 424,801,086
=============
* Includes undistributed net investment income of:............... $3,452,442
=============
See Notes to Financial Statements.
54
Small Emerging
Capitalization International Markets International
Growth Equity Equity Fixed Income
Investments Investments Investments Investments
---------------------------------------------------------
$ (3,150,735) $ 7,444,234 $ 1,334,519 $ 3,792,910
(82,008,985) (65,759,653) (4,117,228) 9,865,889
195,592,765 117,013,212 36,780,080 (2,079,027)
------------- ------------- ------------ ------------
110,433,045 58,697,793 33,997,371 11,579,772
------------- ------------- ------------ ------------
-- (1,584,789) (1,744,393) (4,474,320)
-- -- -- --
------------- ------------- ------------ ------------
-- (1,584,789) (1,744,393) (4,474,320)
------------- ------------- ------------ ------------
79,014,613 81,500,116 40,256,929 23,681,301
-- 1,558,411 1,727,402 4,299,562
(166,521,061) (141,711,972) (61,717,701) (49,133,422)
------------- ------------- ------------ ------------
(87,506,448) (58,653,445) (19,733,370) (21,152,559)
------------- ------------- ------------ ------------
22,926,597 (1,540,441) 12,519,608 (14,047,107)
473,601,822 534,628,859 183,516,084 126,076,433
------------- ------------- ------------ ------------
$ 496,528,419 $ 533,088,418 $196,035,692 $112,029,326
============= ============= ============ ============
$907 $3,012,587 $466,829 $143,018
============= ============= ============ ============
See Notes to Financial Statements.
55
Statements of Changes in Net Assets
For the Year Ended August 31, 2002
Small
Capitalization
Value Equity
Investments
- -----------------------------------------------------------------------------------
OPERATIONS:
Net investment income (loss)...................................... $ 5,754,530
Net realized gain (loss).......................................... 34,324,925
Change in net unrealized appreciation (depreciation).............. (52,277,248)
-------------
Increase (Decrease) in Net Assets From Operations................. (12,197,793)
-------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income............................................. (9,548,920)
Net realized gains................................................ (23,041,743)
Capital........................................................... --
-------------
Decrease in Net Assets From Distributions to Shareholders......... (32,590,663)
-------------
FUND SHARE TRANSACTIONS (NOTE 12):
Net proceeds from sale of shares.................................. 148,025,266
Net asset value of shares issued for reinvestment of dividends.... 32,057,520
Cost of shares reacquired......................................... (270,769,489)
-------------
Decrease in Net Assets From Fund Share Transactions............... (90,686,703)
-------------
Decrease in Net Assets.............................................. (135,475,159)
NET ASSETS:
Beginning of year................................................. 638,667,153
-------------
End of year*...................................................... $ 503,191,994
=============
* Includes undistributed (overdistributed) net investment income of: $3,125,089
=============
See Notes to Financial Statements.
56
Small Emerging
Capitalization International Markets International
Growth Equity Equity Fixed Income
Investments Investments Investments Investments
----------------------------------------------------------
$ (5,326,163) $ 2,478,761 $ 938,642 $ 5,447,422
(157,586,276) (133,695,282) (35,329,413) 1,216,223
(30,274,711) 20,504,218 44,520,962 3,303,217
------------- ------------- ------------- ------------
(193,187,150) (110,712,303) 10,130,191 9,966,862
------------- ------------- ------------- ------------
-- (202,026) (1,548,291) (2,201,435)
-- -- -- --
-- -- -- (3,458,980)
------------- ------------- ------------- ------------
-- (202,026) (1,548,291) (5,660,415)
------------- ------------- ------------- ------------
174,463,762 353,536,749 65,595,663 23,033,320
-- 197,801 1,532,110 5,474,047
(259,676,121) (457,328,509) (138,276,333) (66,507,968)
------------- ------------- ------------- ------------
(85,212,359) (103,593,959) (71,148,560) (38,000,601)
------------- ------------- ------------- ------------
(278,399,509) (214,508,288) (62,566,660) (33,694,154)
752,001,331 749,137,147 246,082,744 159,770,587
------------- ------------- ------------- ------------
$ 473,601,822 $ 534,628,859 $ 183,516,084 $126,076,433
============= ============= ============= ============
-- $(2,156,933) $1,151,225 $(5,226,872)
============= ============= ============= ============
See Notes to Financial Statements.
57
Notes to Financial Statements
1. Significant Accounting Policies
Small Capitalization Value Equity Investments, Small Capitalization Growth
Investments, International Equity Investments, Emerging Markets Equity
Investments and International Fixed Income Investments ("Funds") are separate
investment funds of the Consulting Group Capital Markets Funds ("Trust"). The
Trust, a Massachusetts business trust, is registered under the Investment
Company Act of 1940, as amended, as a diversified, open-end management
investment company. The Trust offers ten other funds: Large Capitalization
Value Equity Investments, Large Capitalization Growth Investments, Intermediate
Fixed Income Investments, Long-Term Bond Investments, Municipal Bond
Investments, Mortgage Backed Investments, High Yield Investments, Multi-Sector
Fixed Income Investments, Government Money Investments and Multi-Strategy
Market Neutral Investments. The financial statements and financial highlights
for these other funds are presented in separate shareholder
reports.
The significant accounting policies consistently followed by the Funds are: (a)
security transactions are accounted for on trade date; (b) securities traded on
national securities markets are valued at the closing prices on such markets
or, if there were no sales during the day, at current quoted bid price; except
for Government Money Investments, which values investments using the amortized
cost method; securities primarily traded on foreign exchanges are generally
valued at the preceding closing values of such securities on their respective
exchanges, except that when a significant occurrence subsequent to the time a
value was so established is likely to have significantly changed the value then
the fair value of those securities will be determined by consideration of other
factors by or under the direction of the Board of Trustees; securities traded
in the over-the-counter market are valued on the basis of the bid price at the
close of business on each day; certain debt securities of U.S. issuers (other
than U.S. government securities and short-term investments) are valued at the
mean between the quoted bid and asked prices; U.S. government agencies and
obligations are valued at the mean between the bid and asked prices; securities
listed on the NASDAQ National Market System for which market quotations are
available are valued at the official closing price or, if there is no official
closing price on that day, at the last sale price; (c) securities for which
market quotations are not available will be valued in good faith at fair value
by or under the direction of the Board of Trustees; (d) securities maturing
within 60 days are valued at cost plus accreted discount, or minus amortized
premium, which approximates value; (e) dividend income is recorded on the
ex-dividend date except that foreign dividends are recorded on the ex-dividend
date or as soon as practical after the Trust determines the existence of a
dividend declaration after exercising reasonable due diligence; each Fund
distributes income dividends monthly and capital gains, if any, at least
annually, with the exception of International Fixed Income Investments which
distributes income dividends on a monthly basis; and interest income is
recorded on an accrual basis; (f) gains or losses on the sale of securities are
calculated by using the specific identification method; (g) dividends and
distributions to shareholders are recorded on the ex-dividend date; (h) the
accounting records of the Trust are maintained in U.S. dollars. All assets and
liabilities denominated in foreign currencies are translated into U.S. dollars
based on the rate of exchange of such currencies against U.S. dollars on the
date of valuation. Purchases and sales of securities and income and expenses
are translated at the rate of exchange quoted on the respective date that such
transactions are recorded. Differences between income or expense amounts
recorded and collected or paid are adjusted when reported by the custodian
bank; (i) each Fund intends to comply with the requirements of the Internal
Revenue Code of 1986, as amended, pertaining to regulated investment companies
and to make distributions of taxable income sufficient to relieve it from
substantially all Federal income and excise taxes; (j) the character of income
and gains to be distributed is determined in accordance with income tax
regulations which may differ from accounting principles generally accepted in
the United States of America. At August 31, 2003, reclassifications were made
to the capital accounts of Small Capitalization Value Equity Investments, Small
Capitalization Growth Investments, International Equity Investments, Emerging
Markets Equity Investments and International Fixed Income Investments to
reflect permanent book/tax differences and income and gains available for
distributions under income tax regulations. Accordingly, Small Capitalization
Value Equity Investments reclassified $8,933,717 and $769,824 of net realized
gains and undistributed net investment income, respectively, to paid-in
capital. Small Capitalization Growth Investments reclassified a portion of
accumulated net investment loss amounting to $3,232,890 to paid-in capital. Net
investment income, net realized gains and net assets were not affected by this
adjustment; and (k) estimates and assumptions are required to be made regarding
assets, liabilities and changes in net assets resulting from operations when
financial statements are prepared. Changes in the economic environment,
financial markets and any other parameters used in determining these estimates
could cause actual results to differ.
58
Notes to Financial Statements
(continued)
In addition, certain Funds may from time to time enter into futures contracts
in order to hedge market or currency risk. Also, certain Funds may enter into
forward exchange contracts in order to hedge against foreign currency risk.
These contracts are marked to market daily, by recognizing the difference
between the contract exchange rate and the current market rate as an unrealized
gain or loss. Realized gains or losses are recognized when contracts are
settled.
2. Investment Advisory Agreement, Administration Agreement and Other
Transactions
The Trust has entered into an investment management agreement ("Management
Agreement") with Smith Barney Fund Management LLC ("SBFM"), an indirect
wholly-owned subsidiary of Citigroup Inc. ("Citigroup"). The Consulting Group
("Manager"), a division of SBFM, provides investment evaluation services with
respect to the investment advisers of the Trust. SBFM has entered into a
sub-advisory agreement with each sub-adviser selected for the Funds
(collectively, "Sub-Advisers").
Under the Management Agreement, each Fund pays SBFM a fee, calculated daily and
paid monthly, based on the rates applied to the value of each Fund's average
daily net assets. In addition, SBFM pays each Sub-Adviser, based on the rates
applied to each respective Fund's average daily net assets on a monthly basis.
Indicated below for each Fund is the applicable maximum allowable management
fee, actual management fee incurred, sub-advisory fee and the sub-adviser. The
maximum allowable management fee represents the total amount that could be
charged to the Fund while the actual management fee is what the Fund incurred
during the reporting period. The actual management fee could fluctuate from
year to year if sub-advisers are added or terminated in a particular Fund.
Actual Maximum
Sub- Management Allowable
Adviser Fee Annual
Fund Sub-Adviser Fee Incurred Management Fee
- ------------------------------------------------------------------------------------------------------------------
Small Capitalization Value Equity 0.77% 0.80%
Investments
NFJ Investment Group:
on the first $450 million 0.50%
on the amount over $450 million 0.45
Rutabaga Capital Management LLC 0.50
Furman Selz Capital Management LLC 0.40
Small Capitalization Growth Investments 0.80 0.80
Wall Street Associates 0.50
Westpeak Global Advisors, L.P. 0.50
Westfield Capital Management Co., Inc. 0.50
International Equity Investments 0.68 0.70
Oechsle International Advisors, LLC 0.40
Philadelphia International Advisors, LP:
on the first $100 million 0.40
on the next $100 million 0.35
on the amount over $200 million 0.30
Brandywine Asset Management, Inc.:
on the first $150 million 0.45
on the amount over $150 million 0.25
Emerging Markets Equity Investments 0.90 0.90
F&C Emerging Markets Ltd. 0.60
SSgA Funds Management, Inc. 0.60
International Fixed Income Investments 0.50 0.50
Julius Baer Investment Management Inc. 0.25
59
Notes to Financial Statements
(continued)
In addition, the following changes were made:
Small Capitalization Growth Investments:
Kern Capital Management LLC was terminated, effective October 31, 2002.
International Equity Investments:
Philadelphia International Advisors, LP was added as an additional adviser
and Deutsche Asset Management
Investment Services Ltd. was terminated, effective December 17, 2002.
Balanced Investments:
Balanced Investments was liquidated on August 29, 2003.
SBFM also acts as the Trust's administrator for which each Fund pays a fee
calculated at an annual rate of 0.20% of the average daily net assets of each
respective Fund. This fee is calculated daily and paid monthly.
Citicorp Trust Bank, fsb. ("CTB"), another subsidiary of Citigroup, acts as the
Funds' transfer agent. PFPC Global Fund Services ("PFPC") acts as the Funds'
sub-transfer agent. CTB receives account fees and asset-based fees that vary
according to the size and type of account. PFPC is responsible for shareholder
record keeping and financial processing for all shareholder accounts and is
paid by CTB.
For the year ended August 31, 2003, the Funds paid transfer agent fees totaling
$2,423,531 to CTB. The totals for each Fund were as follows:
Transfer Agent
Fund Fees
---------------------------------------------------------------------------
Small Capitalization Value Equity Investments............... $614,359
Small Capitalization Growth Investments..................... 617,256
International Equity Investments............................ 584,301
Emerging Markets Equity Investments......................... 396,436
International Fixed Income Investments...................... 211,179
For the year ended August 31, 2003, Citigroup Global Markets Inc., formerly
known as Salomon Smith Barney Inc., another indirect wholly-owned subsidiary of
Citigroup, received brokerage commissions of $134,447.
All officers and one Trustee of the Trust are employees of Citigroup or its
affiliates.
3. Investments
During the year ended August 31, 2003, the aggregate cost of purchases and
proceeds from sales of investments (including maturities of long-term
investments, but excluding short-term investments) were as follows:
Fund Purchases Sales
-----------------------------------------------------------------------
Small Capitalization Value Equity Investments $130,900,311 $254,006,369
Small Capitalization Growth Investments...... 360,344,156 468,003,882
International Equity Investments............. 519,390,338 564,203,280
Emerging Markets Equity Investments.......... 129,458,512 152,150,315
International Fixed Income Investments....... 328,802,177 359,925,625
60
Notes to Financial Statements
(continued)
At August 31, 2003, the aggregate gross unrealized appreciation and
depreciation of investments for Federal income tax purposes were as follows:
Net
Unrealized
Appreciation
Fund Appreciation Depreciation (Depreciation)
- ---------------------------------------------------------------------------------------
Small Capitalization Value Equity Investments $ 78,526,158 $(30,983,350) $47,542,808
Small Capitalization Growth Investments...... 120,727,432 (22,100,571) 98,626,861
International Equity Investments............. 89,352,973 (22,980,895) 66,372,078
Emerging Markets Equity Investments.......... 50,926,784 (10,282,816) 40,643,968
International Fixed Income Investments....... 314,720 (3,203,894) (2,889,174)
In addition, during the year ended August 31, 2003, International Equity
Investments incurred $4,659 of interest expense related to overdrafts due to
money transfers between investment managers.
4. Futures Contracts
Securities or cash equal to the initial margin amount, which is made upon
entering into the futures contract, are either deposited with the broker or
segregated by the custodian. Additional securities are also segregated up to
the current market value of the futures contract. During the period the futures
contract is open, changes in the value of the contract are recognized as
unrealized gains or losses by "marking to market" on a daily basis to reflect
the market value of the contract at the end of each day's trading. Variation
margin payments are made or received and recognized as assets due from or
liabilities due to broker, depending upon whether unrealized gains or losses
are incurred. When the contract is closed, the Fund records a realized gain or
loss equal to the difference between the proceeds from (or cost of) the closing
transactions and the Fund's basis in the contract.
The Fund enters into such contracts to hedge a portion of its portfolio. The
Fund bears the market risk that arises from changes in the value of the
financial instruments and securities indices (futures contracts).
At August 31, 2003, Emerging Markets Equity Investments had the following open
futures contracts:
Emerging Markets Equity Investments
Number of Basis Market Unrealized
To Buy Contracts Expiration Value Value Gain
-----------------------------------------------------------------
Taiwan MSCI 238 9/03 $5,895,905 $5,973,800 $77,895
=======
5. Foreign Securities
International Equity Investments, Emerging Markets Equity Investments and
International Fixed Income Investments invest in foreign securities which may
involve risks not present in domestic investments. Since securities may be
denominated in a foreign currency and may require settlement in foreign
currencies and pay interest and/or a dividend in foreign currencies, changes in
the relationship of these foreign currencies to the U.S. dollar can
significantly affect the value of the investments and earnings of the Funds.
Foreign investments may also subject the Funds to foreign government exchange
restrictions, expropriation, taxation or other political, social or economic
developments, all of which could affect the market and/or credit risk of the
investments.
61
Notes to Financial Statements
(continued)
6. Forward Foreign Currency Contracts
At August 31, 2003, International Equity Investments, Emerging Markets Equity
Investments and International Fixed Income Investments had the following open
forward foreign currency contracts. The Funds bear the market risk that arises
from changes in foreign currency exchange rates.
The unrealized gain (loss) on the contracts reflected in the accompanying
financial statements were as follows:
International Equity Investments
Unrealized
Forward Foreign Currency Contracts Local Currency Market Value Settlement Date Gain (Loss)
- ---------------------------------- -------------- ------------ --------------- -----------
To Buy:
British Pound 139,503 $ 220,067 9/2/03 $ (28)
British Pound 139,481 220,031 9/3/03 419
Euro 129,132 141,961 9/3/03 278
Euro 1,470,673 1,616,785 9/3/03 2,868
-------
3,537
-------
To Sell:
British Pound 230,823 364,124 9/2/03 46
British Pound 308,582 486,788 9/3/03 (926)
Euro 10,487 11,529 9/2/03 (67)
Hong Kong Dollar 353,967 45,385 9/2/03 1
Hong Kong Dollar 522,701 67,019 9/2/03 (2)
Hong Kong Dollar 666,260 85,426 9/2/03 (3)
Japanese Yen 769,500 6,595 9/2/03 28
Japanese Yen 837,000 7,173 9/2/03 (10)
Norwegian Krone 1,270,292 169,298 9/2/03 (2,593)
Norwegian Krone 616,458 82,158 9/2/03 (375)
Singapore Dollar 74,974 42,762 9/2/03 (17)
-------
(3,918)
-------
Net Unrealized Loss on Open Forward
Foreign Currency Contracts $ (381)
=======
62
Notes to Financial Statements
(continued)
Emerging Markets Equity Investments
Unrealized
Forward Foreign Currency Contracts Local Currency Market Value Settlement Date Gain (Loss)
- ---------------------------------- -------------- ------------ --------------- -----------
To Buy:
Agentine Peso 406,500 $ 136,698 10/20/03 $ 35,326
Agentine Peso 406,500 136,698 10/20/03 28,873
Agentine Peso 816,000 269,370 11/24/03 196
Brazilian Real 620,641 209,322 9/2/03 (922)
Hong Kong Dollar 2,827,550 362,541 9/2/03 (2)
Hong Kong Dollar 3,114,000 397,359 11/25/05 1,664
Hungarian Forint 133,656,500 559,199 11/24/03 (33)
Indonesian Rupiah 1,550,502,600 182,735 9/2/03 (974)
Malaysian Ringgit 1,086,719 285,978 9/2/03 (189)
Malaysian Ringgit 2,552,000 671,579 9/2/03 (88)
Mexican Peso 1,727,000 156,336 9/2/03 (1,022)
South African Rand 6,667,000 905,227 9/2/03 (6,499)
South African Rand 6,830,640 927,446 9/3/03 (6,723)
South African Rand 15,386,000 2,041,401 11/24/03 176,056
South African Rand 3,032,000 402,275 11/24/03 (3,697)
Thailand Baht 1,010,000 24,580 9/2/03 42
Thailand Baht 6,478,650 157,670 9/2/03 268
Thailand Baht 55,000,000 1,338,525 9/2/03 (326)
--------
221,950
--------
To Sell:
Agentine Peso 813,000 273,396 10/20/03 (18,537)
Agentine Peso 816,000 269,370 11/24/03 6,446
Czech Koruna 64,653,000 2,183,870 11/24/03 93,687
Czech Koruna 20,311,000 686,071 11/24/03 (6,296)
Hong Kong Dollar 6,133,000 782,595 11/25/05 (4,838)
Hong Kong Dollar 18,399,000 2,347,784 11/25/05 (11,166)
Hong Kong Dollar 2,262,000 288,640 11/25/05 (652)
Hong Kong Dollar 5,957,000 760,137 11/25/05 3,571
Hungarian Forint 37,275,530 159,056 9/2/03 (1,698)
Hungarian Forint 133,656,500 559,199 11/24/03 9,068
South African Rand 4,504,000 597,575 11/24/03 (67,006)
--------
2,579
--------
Net Unrealized Gain on Open Forward Foreign $224,529
Currency Contracts
========
International Fixed Income Investments
Unrealized
Forward Foreign Currency Contracts Local Currency Market Value Settlement Date Loss
- ---------------------------------- -------------- ------------ --------------- ----------
To Buy:
Euro 1,195,748 $1,311,291 11/25/03 $(38,709)
--------
63
Notes to Financial Statements
(continued)
International Fixed Income Investments (continued)
Forward Foreign Cross Currency Contracts* Market Value
- ----------------------------------------- ----------------------------------- Settlement Unrealized
Australian Dollar Japanese Yen Date Gain (Loss)
----------------- ----------------- ---------- -----------
To Buy:
Australian Dollar vs Japanese Yen $4,111,584 $4,226,617 9/10/03 $(115,033)
Australian Dollar vs Japanese Yen 2,399,775 2,467,264 9/10/03 (67,489)
Australian Dollar vs Japanese Yen 5,563,207 5,684,071 9/10/03 (120,864)
Canadian Dollar Euro
----------------- -----------------
Canadian Dollar vs Euro $5,400,106 $5,093,478 10/27/03 306,628
Euro British Pound
----------------- -----------------
Euro vs. British Pound $5,636,548 $5,676,389 9/5/03 (39,841)
Euro vs. British Pound 3,502,665 3,547,743 9/5/03 (45,078)
Euro Japanese Yen
----------------- -----------------
Euro vs. Japanese Yen $5,751,973 $6,087,014 9/10/03 (335,041)
Euro vs. Japanese Yen 2,921,132 3,078,657 9/10/03 (157,525)
Euro vs. Japanese Yen 2,992,730 3,112,093 9/10/03 (119,363)
Euro vs. Japanese Yen 9,123,542 9,480,309 9/10/03 (356,767)
Euro vs. Japanese Yen 3,175,580 3,274,985 9/10/03 (99,405)
Euro vs. Japanese Yen 5,925,607 6,327,065 9/10/03 (401,458)
Euro vs. Japanese Yen 8,364,745 8,740,129 9/10/03 (375,384)
Euro vs. Japanese Yen 5,519,452 5,718,363 9/10/03 (198,911)
Euro vs. Japanese Yen 5,522,654 5,718,363 9/10/03 (195,709)
Euro Australian Dollar
----------------- -----------------
Euro vs. Australian Dollar $5,170,529 $5,318,419 9/10/03 (147,890)
Euro vs. Australian Dollar 1,428,698 1,426,893 9/10/03 1,805
Euro Swedish Krona
----------------- -----------------
Euro vs. Swedish Krona $6,290,130 $6,309,719 9/2/03 (19,589)
Euro vs. Swedish Krona 5,351,901 5,354,591 10/22/03 (2,690)
Euro vs. Swedish Krona 2,192,112 2,194,309 10/22/03 (2,197)
Euro vs. Swedish Krona 3,155,884 3,160,282 10/22/03 (4,398)
Euro Canadian Dollar
----------------- -----------------
Euro vs Canadian Dollar $1,442,694 $1,512,030 10/27/03 (69,336)
Euro vs Canadian Dollar 491,478 504,010 10/27/03 (12,532)
Euro Hungarian Forint
----------------- -----------------
Euro vs. Hungarian Forint $3,777,754 $3,886,865 11/3/03 (109,111)
British Pound Euro
- - ----------------- -----------------
British Pound vs Euro $5,518,711 $5,481,664 9/5/03 37,047
British Pound vs Euro 9,224,132 9,226,499 9/5/03 (2,367)
64
Notes to Financial Statements
(continued)
International Fixed Income Investments (continued)
Forward Foreign Cross Currency Contracts* Market Value
- ----------------------------------------- ---------------------------------- Settlement Unrealized
British Pound Japanese Yen Date Gain (Loss)
---------------- ----------------- ---------- -----------
British Pound vs Japanese Yen $ 5,684,188 $ 5,846,060 9/5/03 $ (161,872)
British Pound vs Japanese Yen 2,758,448 2,772,082 9/10/03 (13,634)
British Pound vs Japanese Yen 2,758,448 2,770,829 9/10/03 (12,381)
British Pound vs Japanese Yen 2,758,448 2,764,790 9/10/03 (6,342)
British Pound vs Japanese Yen 2,758,448 2,765,915 9/10/03 (7,467)
Hungarian Forint Euro
---------------- -----------------
Hungarian Forint vs Euro $ 292,960 $ 285,288 11/3/03 7,672
Japanese Yen British Pound
---------------- -----------------
Japanese Yen vs British Pound $ 5,846,060 $ 5,565,457 9/5/03 280,603
Japanese Yen vs British Pound 2,759,164 2,758,448 9/10/03 716
Japanese Yen vs British Pound 2,757,664 2,758,448 9/10/03 (784)
Japanese Yen Euro
---------------- -----------------
Japanese Yen vs. Euro $13,678,634 $12,664,564 9/10/03 1,014,070
Japanese Yen vs. Euro 24,544,726 22,799,445 9/10/03 1,745,281
Japanese Yen vs. Euro 5,684,071 5,335,574 9/10/03 348,497
Japanese Yen vs. Euro 6,781,448 6,426,851 9/10/03 354,597
Japanese Yen vs. Euro 6,009,854 5,785,078 9/10/03 224,776
Japanese Yen vs. Euro 5,846,962 5,555,193 9/10/03 291,769
Japanese Yen vs. Euro 2,417,659 2,311,871 9/10/03 105,788
Japanese Yen vs. Euro 5,701,989 5,549,866 9/10/03 152,123
Japanese Yen vs. Euro 5,718,364 5,566,480 9/10/03 151,884
Japanese Yen Australian Dollar
---------------- -----------------
Japanese Yen vs. Australian Dollar $ 6,009,854 $ 5,934,657 9/10/03 75,197
Japanese Yen vs. Australian Dollar 6,368,097 6,441,614 9/10/03 (73,517)
Swedish Krona Euro
---------------- -----------------
Swedish Krona vs. Euro $ 7,906,667 $ 7,907,418 10/22/03 (751)
Swedish Krona vs. Euro 1,109,080 1,097,399 10/22/03 11,681
Swedish Krona vs. Euro 6,291,942 6,273,368 10/22/03 18,574
----------
1,853,273
----------
Net Unrealized Gain on Open Forward Foreign
and Cross Currency Contracts $1,815,273
==========
*Local Currency on Forward Foreign
Cross Currency Contracts Buy Sell
---------------------------------- --------- -----------
Australian Dollar vs Japanese Yen 6,339,287 493,000,000
Australian Dollar vs Japanese Yen 3,700,000 287,786,000
Australian Dollar vs Japanese Yen 8,577,417 663,000,000
Canadian Dollar vs Euro 7,500,000 4,641,089
Euro vs. British Pound 5,128,161 3,600,000
Euro vs. British Pound 3,186,743 2,250,000
65
Notes to Financial Statements
(continued)
International Fixed Income Investments (continued)
*Local Currency on Forward Foreign
Cross Currency Contracts Buy Sell
---------------------------------- ------------- -------------
Euro vs. Japanese Yen 5,233,904 710,000,000
Euro vs. Japanese Yen 2,658,031 359,100,000
Euro vs. Japanese Yen 2,723,181 363,000,000
Euro vs. Japanese Yen 8,301,802 1,105,800,000
Euro vs. Japanese Yen 2,889,561 382,000,000
Euro vs. Japanese Yen 5,391,899 738,000,000
Euro vs. Japanese Yen 7,611,348 1,019,464,000
Euro vs. Japanese Yen 5,022,326 667,000,000
Euro vs. Japanese Yen 5,025,239 667,000,000
Euro vs. Australian Dollar 4,704,829 8,200,000
Euro vs. Australian Dollar 1,300,017 2,200,000
Euro vs. Swedish Krona 5,721,678 52,768,176
Euro vs. Swedish Krona 4,875,824 44,900,000
Euro vs. Swedish Krona 1,997,113 18,400,000
Euro vs. Swedish Krona 2,875,153 26,500,000
Euro vs Canadian Dollar 1,314,558 2,100,000
Euro vs Canadian Dollar 447,827 700,000
Euro vs. Hungarian Forint 3,442,885 925,000,000
British Pound vs Euro 5,850,000 8,394,318
British Pound vs Euro 3,500,000 4,987,247
British Pound vs Japanese Yen 3,604,946 682,000,000
British Pound vs Japanese Yen 1,750,000 323,340,500
British Pound vs Japanese Yen 1,750,000 323,194,375
British Pound vs Japanese Yen 1,750,000 322,490,000
British Pound vs Japanese Yen 1,750,000 322,621,250
Hungarian Forint vs Euro 69,719,000 260,000
Japanese Yen vs British Pound 682,000,000 3,529,646
Japanese Yen vs British Pound 321,658,750 1,750,000
Japanese Yen vs British Pound 321,833,750 1,750,000
Japanese Yen vs. Euro 1,595,500,000 11,523,891
Japanese Yen vs. Euro 2,862,940,000 20,745,942
Japanese Yen vs. Euro 663,000,000 4,855,009
Japanese Yen vs. Euro 791,000,000 5,847,996
Japanese Yen vs. Euro 701,000,000 5,264,027
Japanese Yen vs. Euro 682,000,000 5,054,847
Japanese Yen vs. Euro 282,000,000 2,103,646
Japanese Yen vs. Euro 665,090,050 5,050,000
Japanese Yen vs. Euro 667,000,000 5,065,118
Japanese Yen vs. Australian Dollar 701,000,000 9,150,122
Japanese Yen vs. Australian Dollar 742,786,000 9,931,755
Swedish Krona vs. Euro 66,300,000 7,204,016
Swedish Krona vs. Euro 9,300,000 999,780
Swedish Krona vs. Euro 52,760,000 5,715,323
66
Notes to Financial Statements
(continued)
7. Repurchase Agreements
The Funds purchase (and the custodian takes possession of) U.S. government
securities from securities dealers subject to agreements to resell the
securities to the sellers at a future date (generally, the next business day)
at an agreed-upon higher repurchase price. The Funds require continual
maintenance of the market value (plus accrued interest) of the collateral in
amounts at least equal to the repurchase price.
8. Lending of Portfolio Securities
The Funds have an agreement with the custodian whereby the custodian may lend
securities owned by the Funds to brokers, dealers and other financial
organizations. Fees earned by the Funds on securities lending are recorded in
interest income. Loans of securities by the Funds are collateralized by cash,
U.S. government securities or high quality money market instruments that are
maintained at all times in an amount equal to the current market value of the
loaned securities, plus a margin depending on the type of securities loaned.
At August 31, 2003, the Funds listed below had securities on loan. The market
value for the securities on loan was as follows:
Fund Value
----------------------------------------------------------
Small Capitalization Value Equity Investments $ 42,215,504
Small Capitalization Growth Investments...... 123,571,918
International Equity Investments............. 75,564,710
International Fixed Income Investments....... 4,951,478
At August 31, 2003, the Funds listed below received cash collateral which was
invested into the State Street Navigator Securities Lending Trust Prime
Portfolio. The amount of the cash collateral was as follows:
Fund Value
----------------------------------------------------------
Small Capitalization Value Equity Investments $ 42,861,747
Small Capitalization Growth Investments...... 126,325,682
International Equity Investments............. 78,138,355
International Fixed Income Investments....... 5,104,400
In addition, Small Capitalization Growth Investments received securities
collateral amounting to $77,051, which is maintained in a segregated account by
the custodian.
Income earned by the Funds from securities for the year ended August 31, 2003 were
as follows:
Fund Value
- ------------------------------------------------------------------------------------
Small Capitalization Value Equity Investments.............................. $ 58,623
Small Capitalization Growth Investments.................................... 298,724
International Equity Investments........................................... 471,583
Emerging Markets Equity Investments........................................ 5,121
International Fixed Income Investments..................................... 7,103
67
Notes to Financial Statements
(continued)
9. Swap Contracts
Emerging Markets Equity Investments has entered into an index swap agreement
and security price swap agreements with Merrill Lynch International and Morgan
Stanley. The Fund will record the difference between a predetermined fixed
interest rate and the closing value on the MSCI Mexico Index, MSCI Thailand
Index, MSCI Brazil Index and the MSCI India Index. These differences are netted
out in a cash settlement on the expiration date, with the Fund receiving or
paying, as the case may be, only the net amount of the two differences. The
Fund is exposed to credit loss in the event of nonperformance by the swap
counterparty. As of August 31, 2003, the Fund entered into the following index
and security price swap agreements:
Swap Counterparty................................. Morgan Stanley
Effective Date.................................... August 29, 2002
Notional Amount (Resets Quarterly)................ $300,000
Payments Made by the Fund......................... Floating Factor (MSCI Brazil U.S. Dollar Gross
Dividends Reinvested Index)
Payments Received by the Fund..................... Floating Rate (LIBOR-3.00%)
Termination Date.................................. September 4, 2003
Unrealized Appreciation as of August 31, 2003..... $55,381
=======
Swap Counterparty................................. Morgan Stanley
Effective Date.................................... March 10, 2003
Notional Amount (Resets Quarterly)................ $600,000
Payments Made by the Fund......................... Floating Factor (MSCI Thailand U.S. Dollar Gross
Dividends Reinvested Index)
Payments Received by the Fund..................... Floating Rate (LIBOR-2.65%)
Termination Date.................................. March 15, 2004
Unrealized Appreciation as of August 31, 2003..... $155,752
========
Swap Counterparty................................. Morgan Stanley
Effective Date.................................... January 9, 2003
Notional Amount (Resets Quarterly)................ $400,000
Payments Made by the Fund......................... Floating Factor (MSCI Mexico U.S. Dollar Gross
Dividends Reinvested Index)
Payments Received by the Fund..................... Floating Rate (LIBOR-2.50%)
Termination Date.................................. January 14, 2004
Unrealized Appreciation as of August 31, 2003..... $7,531
======
Swap Counterparty................................. Merrill Lynch International
Effective Date.................................... January 17, 2003
Notional Amount (Resets Quarterly)................ $729,961
Payments Made by the Fund......................... Floating Factor (MSCI India Total Return Index)
Payments Received by the Fund..................... Floating Rate (LIBOR-2.00%)
Termination Date.................................. January 16, 2004
Unrealized Appreciation as of August 31, 2003..... $135,856
========
At August 31, 2003, Emerging Markets Equity Investments had total unrealized
appreciation of $354,520 from swap contracts.
68
Notes to Financial Statements
(continued)
10. Capital Loss Carryforward
At August 31, 2003, Small Capitalization Value Equity Investments, Small
Capitalization Growth Investments, International Equity Investments, Emerging
Markets Equity Investments and International Fixed Income Investments had, for
Federal income tax purposes, approximately the following unused capital loss
carryforwards available to offset future capital gains expiring on August 31 of
the years below. To the extent that these capital carryforward losses are used
to offset capital gains, it is probable that the gains so offset will not be
distributed.
Fund Total 2007 2009 2010 2011
- -----------------------------------------------------------------------------------------------------------
Small Capitalization Value Equity Investments $ 3,926,000 -- -- -- $ 3,926,000
Small Capitalization Growth Investments...... 462,051,000 -- -- $270,178,000 191,873,000
International Equity Investments............. 308,155,000 -- -- 223,516,000 84,639,000
Emerging Markets Equity Investments.......... 162,373,000 $83,792,000 $2,094,000 41,588,000 34,899,000
International Fixed Income Investments....... 2,653,000 -- 2,653,000 -- --
Small Capitalization Value Equity Investments, Small Capitalization Growth
Investments, International Equity Investments and Emerging Markets Equity
Investments had capital losses realized of $11,630,213, $243,280, $47,108,453
and $416,413, respectively, after October 31, 2002, which were deferred for tax
purposes to the first day of the following year.
11. Income Tax Information and Distributions to Shareholders
At August 31, 2003, the tax basis components of distributable earnings were:
Undistributed Accumulated Unrealized
Ordinary Capital Appreciation
Fund Income Loss (Depreciation)
- -----------------------------------------------------------------------------------------
Small Capitalization Value Equity Investments $3,120,268 $ (3,926,057) $47,542,808
Small Capitalization Growth Investments...... -- (462,051,491) 98,626,861
International Equity Investments............. 8,202,916 (308,154,938) 66,391,770
Emerging Markets Equity Investments.......... 822,007 (162,373,127) 40,823,787
International Fixed Income Investments....... 6,267,893 (2,653,370) (2,961,175)
The difference between book basis and tax basis unrealized appreciation and
depreciation is attributable primarily to losses recognized for books but
deferred for tax.
The tax character of distributions paid during the year ended August 31, 2003
was:
Long-Term
Ordinary Capital
Fund Income Gains Total
- ---------------------------------------------------------------------------------
Small Capitalization Value Equity Investments $12,971,233 $11,736,719 $24,707,952
International Equity Investments............. 1,584,789 -- 1,584,789
Emerging Markets Equity Investments.......... 1,744,393 -- 1,744,393
International Fixed Income Investments....... 4,474,320 -- 4,474,320
For the year ended August 31, 2003, Small Capitalization Growth Investments did
not make any distributions.
69
Notes to Financial Statements
(continued)
12. Shares of Beneficial Interest
At August 31, 2003, the Trust had an unlimited number of shares of beneficial
interest authorized with a par value of $0.001 per share. Transactions in
shares were as follows:
Year Ended Year Ended
August 31, 2003 August 31, 2002
--------------- ---------------
Small Capitalization Value Equity Investments
Shares sold.................................. 3,615,984 12,157,560
Shares issued on reinvestment................ 2,381,607 2,634,143
Shares reacquired............................ (14,981,108) (22,224,788)
----------- -----------
Net Decrease................................. (8,983,517) (7,433,085)
=========== ===========
Small Capitalization Growth Investments
Shares sold.................................. 8,074,273 15,068,395
Shares reacquired............................ (18,667,992) (23,810,311)
----------- -----------
Net Decrease................................. (10,593,719) (8,741,916)
=========== ===========
International Equity Investments
Shares sold.................................. 12,202,021 45,891,726
Shares issued on reinvestment................ 236,123 25,722
Shares reacquired............................ (21,504,389) (59,445,252)
----------- -----------
Net Decrease................................. (9,066,245) (13,527,804)
=========== ===========
Emerging Markets Equity Investments
Shares sold.................................. 6,880,913 12,890,253
Shares issued on reinvestment................ 340,040 291,830
Shares reacquired............................ (12,122,150) (26,136,633)
----------- -----------
Net Decrease................................. (4,901,197) (12,954,550)
=========== ===========
International Fixed Income Investments
Shares sold.................................. 2,998,104 3,184,162
Shares issued on reinvestment................ 548,064 775,681
Shares reacquired............................ (6,290,975) (9,306,030)
----------- -----------
Net Decrease................................. (2,744,807) (5,346,187)
=========== ===========
70
Financial Highlights
For a share of beneficial interest outstanding throughout each year ended
August 31, unless otherwise noted:
Small Capitalization Value Equity Investments
- ------------------------------------------------------------------------------------
2003 2002 2001(1) 2000 1999
------- ------- ------- ------- ------
Net Asset Value, Beginning of Year........ $11.56 $12.54 $10.72 $10.56 $11.11
------ ------ ------ ------ ------
Income (Loss) From Operations:
Net investment income................... 0.13 0.15 0.19 0.20 0.19
Net realized and unrealized gain (loss). 1.25 (0.48) 1.90 0.30 1.28
------ ------ ------ ------ ------
Total Income (Loss) From Operations....... 1.38 (0.33) 2.09 0.50 1.47
------ ------ ------ ------ ------
Less Distributions From:
Net investment income................... (0.05) (0.19) (0.13) (0.16) (0.20)
Net realized gains...................... (0.59) (0.46) (0.14) (0.18) (1.82)
------ ------ ------ ------ ------
Total Distributions....................... (0.64) (0.65) (0.27) (0.34) (2.02)
------ ------ ------ ------ ------
Net Asset Value, End of Year.............. $12.30 $11.56 $12.54 $10.72 $10.56
====== ====== ====== ====== ======
Total Return.............................. 13.12% (2.85)% 19.98% 5.09% 13.61%
Net Assets, End of Year (millions)........ $425 $503 $639 $852 $744
Ratios to Average Net Assets:
Expenses................................ 1.20% 1.13% 0.94% 0.91% 0.96%
Net investment income................... 1.00 0.94 1.70 2.12 1.70
Portfolio Turnover Rate................... 33% 54% 63% 72% 53%
Small Capitalization Growth Investments
- ------------------------------------------------------------------------------------
2003(1) 2002(1) 2001(1) 2000(1) 1999
------- ------- ------- ------- ------
Net Asset Value, Beginning of Year........ $ 9.01 $12.26 $24.36 $17.93 $12.83
------ ------ ------ ------ ------
Income (Loss) From Operations:
Net investment loss..................... (0.07) (0.09) (0.08) (0.11) (0.07)
Net realized and unrealized gain (loss). 2.89 (3.16) (7.71) 8.66 5.68
------ ------ ------ ------ ------
Total Income (Loss) From Operations....... 2.82 (3.25) (7.79) 8.55 5.61
------ ------ ------ ------ ------
Less Distributions From:
Net realized gains...................... -- -- (4.31) (2.12) (0.51)
------ ------ ------ ------ ------
Total Distributions....................... -- -- (4.31) (2.12) (0.51)
------ ------ ------ ------ ------
Net Asset Value, End of Year.............. $11.83 $ 9.01 $12.26 $24.36 $17.93
====== ====== ====== ====== ======
Total Return.............................. 31.30% (26.51)% (34.21)% 50.57% 44.32%
Net Assets, End of Year (millions)........ $497 $474 $752 $1,572 $1,109
Ratios to Average Net Assets:
Expenses................................ 1.27% 1.20% 1.06% 0.98% 0.93%
Net investment loss..................... (0.77) (0.79) (0.51) (0.50) (0.39)
Portfolio Turnover Rate................... 88% 91% 80% 110% 108%
- --------
(1) Per share amounts have been calculated using the monthly average shares
method.
71
Financial Highlights
(continued)
For a share of beneficial interest outstanding throughout each year ended
August 31, unless otherwise noted:
International Equity Investments
- ------------------------------------------------------------------------------------
2003(1) 2002(1) 2001(1) 2000 1999
------- ------- ------- ------- -------
Net Asset Value, Beginning of Year........ $6.93 $8.26 $13.50 $12.43 $10.69
----- ------ ------ ------ ------
Income (Loss) From Operations:
Net investment income................... 0.10 0.03 0.05 0.14 0.09
Net realized and unrealized gain (loss). 0.81 (1.36) (3.59) 2.19 2.39
----- ------ ------ ------ ------
Total Income (Loss) From Operations....... 0.91 (1.33) (3.54) 2.33 2.48
----- ------ ------ ------ ------
Less Distributions From:
Net investment income................... (0.02) (0.00)* (0.05) (0.11) (0.15)
Net realized gains...................... -- -- (1.65) (1.15) (0.59)
----- ------ ------ ------ ------
Total Distributions....................... (0.02) (0.00)* (1.70) (1.26) (0.74)
----- ------ ------ ------ ------
Net Asset Value, End of Year.............. $7.82 $6.93 $ 8.26 $13.50 $12.43
===== ====== ====== ====== ======
Total Return.............................. 13.21% (16.08)% (28.67)% 19.17% 24.06%
Net Assets, End of Year (millions)........ $533 $535 $749 $1,569 $1,385
Ratios to Average Net Assets:
Expenses................................ 1.14% 1.23% 1.03% 0.94% 0.82%
Net investment income................... 1.55 0.39 0.49 0.54 0.90
Portfolio Turnover Rate................... 110% 131% 64% 75% 45%
Emerging Markets Equity Investments
- ------------------------------------------------------------------------------------
2003(1) 2002(1) 2001(1) 2000(1) 1999(1)
------- ------- ------- ------- -------
Net Asset Value, Beginning of Year........ $5.22 $5.12 $7.35 $6.74 $4.37
----- ------ ------ ------ ------
Income (Loss) From Operations:
Net investment income (loss)............ 0.04 0.02 0.05 (0.02) 0.05
Net realized and unrealized gain (loss). 1.28 0.11 (2.28) 0.67 2.36
----- ------ ------ ------ ------
Total Income (Loss) From Operations....... 1.32 0.13 (2.23) 0.65 2.41
----- ------ ------ ------ ------
Less Distributions From:
Net investment income................... (0.06) (0.03) -- (0.04) (0.04)
----- ------ ------ ------ ------
Total Distributions....................... (0.06) (0.03) -- (0.04) (0.04)
----- ------ ------ ------ ------
Net Asset Value, End of Year.............. $6.48 $5.22 $5.12 $7.35 $6.74
===== ====== ====== ====== ======
Total Return.............................. 25.51% 2.62% (30.34)% 9.62% 55.37%
Net Assets, End of Year (millions)........ $196 $184 $246 $305 $318
Ratios to Average Net Assets:
Expenses................................ 1.79% 1.72% 1.69% 1.66% 1.72%
Net investment income (loss)............ 0.86 0.40 0.79 (0.24) 0.84
Portfolio Turnover Rate................... 88% 65% 83% 110% 135%
- --------
(1) Per share amounts have been calculated using the monthly average shares
method.
* Amount represents less than $0.01 per share.
72
Financial Highlights
(continued)
For a share of beneficial interest outstanding throughout each year ended
August 31, unless otherwise noted:
International Fixed Income Investments
- ---------------------------------------------------------------------------------------
2003(1) 2002(1) 2001(1) 2000(1) 1999(1)
------- ------- ------- ------- -------
Net Asset Value, Beginning of Year.......... $7.47 $7.19 $7.24 $8.10 $8.34
----- ----- ----- ----- -----
Income (Loss) From Operations:
Net investment income(2)................... 0.25 0.29 0.31 0.36 0.42
Net realized and unrealized gain (loss)(2). 0.51 0.29 (0.05) (0.84) (0.24)
----- ----- ----- ----- -----
Total Income (Loss) From Operations......... 0.76 0.58 0.26 (0.48) 0.18
----- ----- ----- ----- -----
Less Distributions From:
Net investment income...................... (0.30) (0.12) (0.00)* (0.06) (0.42)
Capital.................................... -- (0.18) (0.31) (0.32) (0.00)*
----- ----- ----- ----- -----
Total Distributions......................... (0.30) (0.30) (0.31) (0.38) (0.42)
----- ----- ----- ----- -----
Net Asset Value, End of Year................ $7.93 $7.47 $7.19 $7.24 $8.10
===== ===== ===== ===== =====
Total Return................................ 10.28% 8.39% 3.80% (6.13)% 2.30%
Net Assets, End of Year (millions).......... $112 $126 $160 $236 $236
Ratios to Average Net Assets:
Expenses................................... 1.04% 1.02% 0.94% 0.98% 0.94%
Net investment income(2)................... 3.21 4.04 4.26 4.70 4.85
Portfolio Turnover Rate..................... 288% 271% 293% 225% 204%
- --------
(1) Per share amounts have been calculated using the monthly average shares
method.
(2) Effective September 1, 2001, the Fund adopted a change in the accounting
method that requires the Fund to amortize premiums and accrete all
discounts. Without the adoption of this change, for the year ended August
31, 2002, net investment income, net realized and unrealized gain per share
and the ratio of net investment income to average net assets would have
been $0.31, $0.27 and 4.42%. Per share information, ratios and supplemental
data for the periods prior to September 1, 2001 have not been restated to
reflect this change in presentation.
* Amount represents less than $0.01 per share.
73
Independent Auditors' Report
The Shareholders and Board of Trustees of
Consulting Group Capital Markets Funds:
We have audited the accompanying statements of assets and liabilities,
including the schedules of investments, of Small Capitalization Value Equity
Investments, Small Capitalization Growth Investments, International Equity
Investments, Emerging Markets Equity Investments and International Fixed Income
Investments ("Funds") of Consulting Group Capital Markets Funds ("Trust") as of
August 31, 2003, and the related statements of operations for the year then
ended, the statements of changes in net assets for each of the years in the
two-year period then ended, and the financial highlights for each of the years
in the five-year period then ended. These financial statements and financial
highlights are the responsibility of the Funds' 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 auditing standards generally
accepted in the United States of America. 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 August 31, 2003, by
correspondence with the custodian and brokers. As to securities purchased or
sold but not yet received or delivered, we performed other appropriate auditing
procedures. 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 the
Funds of the Trust as of August 31, 2003, and the results of their operations
for the year then ended, the changes in their net assets for each of the years
in the two-year period then ended, and the financial highlights for each of the
years in the five-year period then ended, in conformity with accounting
principles generally accepted in the United States of America.
/s/ KPMG LLP
New York, New York
October 13, 2003
74
Additional Information
(unaudited)
Information about Trustees and Officers
The business and affairs of the Consulting Group Capital Markets Funds
("Trust") are managed under the direction of the Board of Trustees. Information
pertaining to the Trustees and Officers of the Trust is set forth below. The
Statement of Additional Information includes additional information about
Trustees and is available, without charge, upon request by calling the Trust's
transfer agent, (Citicorp Trust Bank, fsb. at 1-800-451-2010).
Term of Number of
Office* Portfolios
and in Fund
Position(s) Length Complex
Held with of Time Principal Occupation(s) Overseen Other Trusteeships
Name, Address and Age Fund Served During Past 5 Years by Trustee Held by Trustee
- --------------------- ------------- ------- -------------------------- ---------- ----------------------
Non-Interested Trustees:
H. John Ellis Trustee Since Retired 28 None
858 East Crystal Downs Drive 1999
Frankfort, MI 49635
Age 76
Armon E. Kamesar Trustee Since Chairman, TEC 28 Inter Ocean
7328 Country Club Drive 1994 International; Trustee, Systems Inc.
LaJolla, CA 92037 U.S. Bankruptcy Court
Age 75
Stephen E. Kaufman Trustee Since Attorney 55 None
Stephen E. Kaufman PC Co. 1991
277 Park Avenue, 47th Floor
New York, NY 10172
Age 71
John J. Murphy Trustee Since President, Murphy Capital 28 Barclays International
123 Prospect Street 2002 Management Funds Group Ltd. and
Ridgewood, NJ 07450 affiliated companies.
Age 59
Interested Trustee:
R. Jay Gerken, CFA** Chairman, Since Managing Director of 218 None
Citigroup Asset Management President and 2002 Citigroup Global Markets
("CAM") Chief Inc. ("CGM"); Chairman,
399 Park Avenue, 4th Floor Executive President and Chief
New York, NY 10022 Officer Executive Officer of Smith
Age 52 Barney Fund Management
LLC ("SBFM"), Travelers
Investment Adviser, Inc.
("TIA") and Citi Fund
Management Inc. ("CFM")
75
Additional Information
(unaudited) (continued)
Term of Number of
Office* Portfolios
and in Fund
Position(s) Length Complex
Name, Address and Held with of Time Principal Occupation(s) Overseen Other Trusteeships
Age Fund Served During Past 5 Years by Trustee Held by Trustee
- --- -------------- ------- ---------------------------- ---------- ------------------
Officers:
Lewis E. Daidone CAM Senior Vice Since Managing Director of N/A N/A
President and 1994 CGM; Director and Senior
125 Broad Street, 11th Floor New Chief Vice President of SBFM
York, NY 10004 Age Administrative and TIA; Director of CFM;
46 Officer Chief Financial Officer of
certain mutual funds
affiliated with Citigroup
Inc. ("Citigroup") and
formerly Treasurer of the
mutual funds affiliated with
Citigroup
Paul M. Hatch Investment Since Executive Vice President N/A N/A
The Consulting Group Officer 2001 of CGM; Chief Operating
222 Delaware Avenue Officer of The Consulting
Wilmington, DE 19801 Group
Age 45
Leroy T. Pease Investment Since First Vice President of N/A N/A
The Consulting Group Officer 1996 CGM
222 Delaware Avenue
Wilmington, DE 19801
Age 43
Stephen M. Hagan Investment Since First Vice President of N/A N/A
The Consulting Group Officer 1997 CGM
222 Delaware Avenue
Wilmington, DE 19801
Age 35
Frances M. Guggino Controller Since Vice President of CGM N/A N/A
CAM 2002
125 Broad Street,
10th Floor
New York, NY 10004
Age 45
Christina T. Secretary Since Managing Director of N/A N/A
Sydor CAM 1994 CGM; General Counsel
300 First Stamford and Secretary of SBFM and
Place Stamford, CT TIA
06902 Age 52
76
Additional Information
(unaudited) (continued)
Term of Number of
Office* Portfolios
and in Fund
Position(s) Length Complex
Name, Address and Held with of Time Principal Occupation(s) Overseen Other Trusteeships
Age Fund Served During Past 5 Years by Trustee Held by Trustee
- --- ----------- ------- --------------------------- ---------- ------------------
Andrew Beagley Chief Anti- Since Director, CGM (since N/A N/A
CAM 399 Park Avenue Money 2002 2000); Director of
New York, NY Laundering Compliance, North
10022 Age 40 Compliance America, Citigroup Asset
Officer Management (since 2000);
Director of Compliance,
Europe, the Middle East
and Africa, Citigroup Asset
Management (from 1999
to 2000); Compliance
Officer, Salomon Brothers
Asset Management Ltd.,
Smith Barney Global
Capital Management Inc.,
Salomon Brothers Asset
Management Asia Pacific
Ltd. (from 1997 to 1999)
Robert I. Frenkel Chief Legal Since Managing Director and N/A N/A
CAM Officer 2003 General Counsel, Global
300 First Stamford Mutual Funds for CAM
Place and its predecessor (since
Stamford, CT 06902 1994)
Age 48
- --------
* Each Trustee and Officer serves until his or her successor has been duly
elected and qualified.
** Mr. Gerken is an "interested person" of the Trust as defined in the
Investment Company Act of 1940, as amended, because Mr. Gerken is an officer
of SBFM and certain of its affiliates.
77
Tax Information
(unaudited)
The following August 31, 2003 fiscal year end disclosures are of various tax
benefits that will be reported to shareholders at calendar year end.
The Funds listed below designate for Federal income tax purposes the
following amounts as long term capital gain distributions paid:
Small Capitalization Value Equity Investments................................ $11,736,719
The following percentages of ordinary income distributions have been designated as
qualifying for the dividends received deduction available to corporate shareholders.
Small Capitalization Value Equity Investments................................ 27.16%
The total foreign sourced income received by International Equity Investments and Emerging
Markets Equity Investments, respectively, were $0.2022 per share (or a total amount of
$13,778,822) and $0.1551 per share (or a total amount of $4,691,378). The total amounts of
foreign taxes paid, respectively, were $0.0225 per share (or a total amount of $1,535,805)
and $0.0236 per share (or a total amount of $714,232).
The above figures may differ from those cited elsewhere in this report due to
differences in the calculations of income and capital gain for Securities and
Exchange Commission (book) purposes and Internal Revenue Service (tax) purposes.
78
WWW.SMITHBARNEY.COM
[LOGO]
SMITHBARNEY
citigroup
(C)2003 Citigroup Global Markets Inc. Member NASD, SIPC. Smith Barney
and Consulting Group are divisions of Citigroup Global Markets Inc.
Smith Barney is a service mark of Citigroup Global Markets Inc. and its
affiliates and is used and registered throughout the world. CITIGROUP
and the Umbrella Device are trademarks and service marks of Citicorp or
its affiliates and are used and registered throughout the world.
This report is submitted for the general information of the
shareholders of Consulting Group Capital Markets Funds. It is not
authorized for distribution to prospective investors unless accompanied
or preceded by a current Prospectus for the Trust which contains
information concerning the Trust's Investment policies, charges
and expenses as well as other pertinent information.
TK 2120B, 8/03 Consulting Group Capital Markets Funds . 222 Delaware
Avenue . Wilmington, Delaware . 19801
ITEM 2. CODE OF ETHICS.
The registrant has adopted a code of ethics that applies to the
registrant's principal executive officer, principal financial officer,
principal accounting officer or controller.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Board of Trustees of the registrant has determined that Armon
Kamesar, the Chairman of the Board's Audit Committee, possesses the
technical attributes identified in Instruction 2(b) of Item 3 to Form
N-CSR to qualify as an "audit committee financial expert," and has
designated Mr. Kamesar as the Audit Committee's financial expert. Mr.
Kamesar is an "independent" Trustee pursuant to paragraph (a)(2) of
Item 3 to Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. [RESERVED]
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. [RESERVED]
ITEM 9. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive officer and principal
financial officer have concluded that the registrant's disclosure
controls and procedures (as defined in Rule 30a- 3(c) under the
Investment Company Act of 1940, as amended (the "1940 Act")) are
effective as of a date within 90 days of the filing date of this
report that includes the disclosure required by this paragraph,
based on their evaluation of the disclosure controls and procedures
required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under
the Securities Exchange Act of 1934.
(b) There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940
Act) that occurred during the registrant's last fiscal half-year
(the registrant's second fiscal half-year in the case of an annual
report) that have materially affected, or are likely to materially
affect the registrant's internal control over financial reporting.
ITEM 10. EXHIBITS.
(a) Code of Ethics attached hereto.
Exhibit 99.CODE ETH
(b) Attached hereto.
Exhibit 99.CERT Certifications pursuant to section 302 of the
Sarbanes-Oxley Act of 2002
Exhibit 99.906CERT Certifications pursuant to Section 906 of the
Sarbanes-Oxley Act of 2002
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this Report to be
signed on its behalf by the undersigned, there unto duly authorized.
Consulting Group Capital Markets Funds
By: /s/ R. Jay Gerken
--------------------------
R. Jay Gerken
Chief Executive Officer of
Consulting Group Capital Markets Funds
Date: November 4, 2003
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ R. Jay Gerken
--------------------------
(R. Jay Gerken)
Chief Executive Officer of
Consulting Group Capital Markets Funds
Date: November 4, 2003
By: /s/ Lewis E. Daidone
--------------------------
(Lewis E. Daidone)
Chief Administrative Officer of
Consulting Group Capital Markets Funds
Date: November 4, 2003