N-CSRS 1 ncsrs.htm THE SARATOGA ADVANTAGE TRUST The Saratoga Advantage Trust



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

811-08542


The Saratoga Advantage Trust

(Exact name of registrant as specified in charter)


1101 Stewart Avenue, Suite 207, Garden City, NY 11530

(Address of principal executive offices)

(Zip code)


Emile R. Molineaux, Gemini Fund Services, LLC

450 Wireless Blvd., Hauppauge, NY 11788  

(Name and address of agent for service)


Registrant's telephone number, including area code:

516-542-3000


Date of fiscal year end:

8/31


Date of reporting period:2/28/07



Item 1.  Reports to Stockholders.


 

 

 

 

[newcoverabc001.jpg]




CLASS I SHARES






SEMI-ANNUAL REPORT

AS OF FEBRUARY 28, 2007













THIS REPORT IS AUTHORIZED FOR DISTRIBUTION ONLY TO SHAREHOLDERS

AND TO OTHERS WHO HAVE RECEIVED A COPY OF THE PROSPECTUS.

 

 

 

 

 

 

 

 

 

TABLE OF CONTENTS


Chairman’s Letter

Page

Investment Review

Page

Schedules of Investments

Page

Statements of Assets and Liabilities

Page

Statements of Operations

Page

Statements of Changes in Net Assets

Page

Notes to Financials

Page

Financial Highlights

Page

Supplemental Information

Page

Privacy Notice

Page

TRUSTEES AND OFFICERS


Bruce E. Ventimiglia

Trustee, Chairman, President & CEO

Patrick H. McCollough

Trustee

Udo W. Koopmann

Trustee

Floyd E. Seal

Trustee

Stephen H. Hamrick

Trustee

William B. Blundin

Trustee

Stephen Ventimiglia

Vice President & Secretary

Mark S. Marrone

Treasurer & Chief Financial Officer

Michael J. Wagner

Chief Compliance Officer  

Andrew B. Rogers

Assistant Secretary

Kevin E. Wolf

Assistant Treasurer


Investment Manager

Distributor

Saratoga Capital Management, LLC

Aquarius Fund Distributors, LLC

1101 Stewart Avenue, Suite 207

1005 South 107th Street

Garden City, New York 11530-4808

Omaha, Nebraska 68137


Transfer & Shareholder Servicing Agent

Custodian

Gemini Fund Services, LLC

The Bank of New York

4020 South 147th Street, Suite 2

1 Wall Street, 25th Floor

Omaha, Nebraska 68137

New York, New York 10286


Administrator & Fund Accounting Agent

Custody Administrator

Gemini Fund Services, LLC

Gemini Fund Services, LLC

450 Wireless Boulevard

450 Wireless Boulevard

Hauppauge, New York 11788

Hauppauge, New York 11788


 



THE SARATOGA ADVANTAGE TRUST


Semi-Annual Report to Shareholders


April 17, 2007


Dear Shareholder:


We are pleased to provide you with this semi-annual report on the investment strategies and performance of the portfolios in the Saratoga Advantage Trust (the “Trust”).  This report covers the six months from September 1, 2006 through February 28, 2007.  


ECONOMIC OVERVIEW


The Gross Domestic Product (GDP) grew at an annualized rate of 2.5% during the fourth quarter of 2006.  This followed the 2.0% annualized growth rate of the GDP during the third quarter of 2006.  As of December 2006 economic growth has been uninterrupted for the past 21 quarters. This is the fourth longest expansion since 1950, and it is just above the 20 quarter average duration of the 9 expansions that have occurred since 1950.  The unemployment level of 4.5% in February 2007 is down from its recent high of 6.3% in June of 2003, and it is hovering near its cycle low of 4.4% that occurred in October 2006. A 4.4% unemployment rate is the median level of the past unemployment cycle lows that have occurred since 1950.  According to the Bureau of Economic Analysis, “Profits before tax with inventory valuation adjustment is the best available measure of industry profits because estimates of the capital consumption adjustment by industry do not exist.  This measure reflects depreciation-accounting practices used for federal income tax returns.”  This measure of corporate profits and the Standard and Poor’s 500 index measure of earnings typically correlate closely with general economic cycles.  This expansion has both measures of earnings doing very well. As of December 2006 they were rising greater than 15% year-over-year; however this is down substantially from prior levels.  The current economic cycle is starting to grow old, and with earnings starting to decline from highs we turn to interest rates as a key harbinger of future economic growth.  Consequently, this far along in an economic cycle the Federal Reserve (Fed) usually has an increasing influence on upcoming economic activity.  


On March 21, 2007 the Federal Reserve’s Federal Open Market Committee released its statement in part as follows.  “The Federal Open Market Committee decided today to keep its target for the federal funds rate at 5-1/4 percent.  Recent indicators have been mixed and the adjustment in the housing sector is ongoing. Nevertheless, the economy seems likely to continue to expand at a moderate pace over coming quarters.  Recent readings on core inflation have been somewhat elevated. Although inflation pressures seem likely to moderate over time, the high level of resource utilization has the potential to sustain those pressures.  In these circumstances, the Committee's predominant policy concern remains the risk that inflation will fail to moderate as expected. Future policy adjustments will depend on the evolution of the outlook for both inflation and economic growth, as implied by incoming information.”


The Fed’s statement suggests to us that their upcoming policy decisions will be data dependant and not predictive; therefore, we will be vigilantly analyzing upcoming economy activity and the Fed’s actions.  


FIVE PRINCIPLES OF SOUND INVESTING


In light of recent stock market volatility, many investors are questioning what they should do with their investments going forward.  Let’s revisit some sound investment principles that can help you traverse both rising and falling markets.


1)

A well-designed asset allocation strategy can be the anchor for many successful investors. Establish an asset allocation strategy (for example, a strategy to diversify your assets amongst stock, bond and money market mutual funds) that you will be comfortable with in both advancing and declining markets.  A sensible asset allocation strategy should take into consideration your: investment objectives, tolerance for risk, income needs and investment time horizon.  Review your asset allocation strategy with your financial advisor.  If you have implemented an asset allocation strategy that you are comfortable with, then don’t let short-term stock and bond market fluctuations or investment manias change your long-term investment strategy – consider remaining anchored.  Remember, it is normal to lose money during various time periods when you invest in stocks and bonds; this is part of the price that investors pay to try to potentially earn higher rates of return over the long haul than they might earn if they place money in investments that don’t fluctuate in value.


2)

Many successful investors put professional money managers on their investment teams.  We are proud to be able to offer you the ability to access multiple investment asset classes through the Saratoga Advantage Trust’s portfolios.  The Trust’s portfolios are managed by some of the world’s leading institutional investment advisory firms.  These are the same investment advisory firms that manage money for some of the largest corporations, pension plans and foundations. Each of the advisors has been selected on the basis of their: research capabilities, long-term investment performance, organizational stability, investment philosophy, and other key factors.  The Trust’s diversity of portfolio structure is designed to give you the opportunity to more efficiently implement your asset allocation strategy to create a balanced portfolio in accordance with your investment goals and objectives.  For your serious, “core” assets, why not let full-time investment professionals purchase and sell securities on your behalf?


3)

Stay focused on your long-term investment goals.  Monitor your investment results on a regular basis to determine if your long-term investment objectives are being met.  When reviewing the performance of the portfolios of the Trust, and the performance of money managers in general, please remember that it is not unusual for managers’ returns to vary significantly from their benchmark indices over short-term measurement periods such as several quarters.  In fact, the more volatile the style of management the more likely it is to have significant deviations from the index it is being measured against over short-term measurement periods.   


4)

Consider adding money to your investment portfolio when it declines in value.  Of course, no one can tell you for sure when a market has reached bottom, and there is no guarantee that an investment will rise after a decline. It takes courage to be a successful investor.


5)

Be disciplined and patient with your investment strategy.  Successful investing requires both discipline and patience.


NEW ADVISOR


I am pleased to inform you that effective April 16, 2007 Loomis, Sayles & Company, L.P. is the new investment advisor of the Saratoga Advantage Trust’s Energy & Basic Materials Portfolio.  Loomis, Sayles & Company, L.P. was established in 1926, and is a well respected investment advisor with total assets under management of over $95 billion dollars.  Loomis, Sayles advises institutional, high net worth and mutual fund clients.  


COMPARING THE PORTFOLIOS’ PERFORMANCE TO BENCHMARKS


When reviewing the performance of the portfolios against their benchmarks, it is important to note that the Trust is designed to help investors to implement an asset allocation strategy to meet their individual needs as well as select individual investments within each asset category among the myriad of choices available.  Each Saratoga portfolio was formed to represent a single asset class, and each portfolio’s institutional money manager was selected based on their ability to manage money within that class.  Therefore, the Saratoga portfolios can help investors to properly implement their asset allocation decisions, and keep their investments within the risk parameters that they establish with their investment consultants. Without the intended asset class consistency of the Saratoga portfolios, even the most carefully crafted allocation strategy could be negated. Furthermore, the benchmarks do not necessarily provide precise standards by which to measure the portfolios against in that the characteristics of the benchmarks can vary widely at different points in time from the Saratoga portfolios (e.g., characteristics such as: average market capitalizations, price-to-earnings and price-to-book ratios, bond quality ratings and maturities, etc.).  In addition, the benchmarks can potentially have a survivor bias built into them (i.e., the performance of only funds that are still in existence may remain part of the benchmark’s performance while funds that do not exist anymore may be removed from the benchmark’s performance).  

 

ELECTRONIC DELIVERY AVAILABLE


This report can be delivered to you electronically. Electronic delivery can help simplify your record keeping.  With electronic delivery you’ll receive an email with a link to your Saratoga Advantage Trust quarterly statement, daily confirmations and/or semi-annual and annual reports each time one is available. You have the ability to choose which items you want delivered electronically.  Choose one item or all items. It’s up to you.  Please call our Customer Service Department toll-free at 1-888-672-4839 for instructions on how to establish electronic delivery.




AUTOMATED ACCOUNT UPDATES


I am pleased to inform you that you can get automated updates on your investments in the Saratoga Advantage Trust 24 hours a day, everyday, by calling toll-free 1-888-672-4839.  For additional information about the Trust, please call your financial advisor, visit our website at www.saratogacap.com or call 1-800-807-FUND.


Finally, following you will find specific information on the investment strategy and performance of each of the Trust’s portfolios.  Please speak with your financial advisor if you have any questions about your investment in the Saratoga Advantage Trust or your allocation of assets among the Trust’s portfolios.


We remain dedicated to serving your investment needs.  Thank you for investing with us.


Best wishes,

[shareholderletter22807002.gif]

Bruce E. Ventimiglia

Chairman, President and

Chief Executive Officer


Investors should consider the investment objectives, risks, charges and expenses of the Saratoga Funds carefully.  This and other information about the Saratoga Funds is contained in your prospectus, which should be read carefully.  You can obtain a copy of the prospectus by calling (800) 807-FUND. Past performance is not indicative of future results. Investments in stocks, bonds and mutual funds are not guaranteed and the principal value and investment return can fluctuate.  Consequently, investors may receive back less than invested.


The security holdings discussed may not be representative of the Funds’ current or future investments. Portfolio holdings are subject to change and should not be considered to be investment advice. The Funds of the Saratoga Advantage Trust are distributed by Aquarius Fund Distributors, LLC, member NASD.



0343-AFD-4/10/2007

 

 


INVESTMENT REVIEW


LARGE CAPITALIZATION VALUE PORTFOLIO


Advised by:

Oppenheimer Capital LLC

New York, New York


Objective: The Portfolio seeks total return consisting of capital appreciation and dividend income.


Total Aggregate Return for the Period Ended February 28, 2007

  

Large

Capitalization

Value Portfolio

(Class I)

Inception:     9/1/94 — 2/28/07*

 

  9.61%

Ten Year:

3/1/97 — 2/28/07*

 

  6.34%

Five Year:

3/1/02 — 2/28/07*

 

  6.21%

One Year:

3/1/06 — 2/28/07

 

12.67%

Six Months:

9/1/06 — 2/28/07

 

  9.26%


PORTFOLIO ADVISOR COMMENTARY



U.S. stock markets generally performed well in the six-month period ending February 28, 2007. Generally, mid- and small-capitalization stocks outperformed large capitalization stocks and growth-oriented issues beat value stocks. Short-term interest rates held steady during the six-month period while intermediate- and long-term yields declined slightly.


The Saratoga Large Capitalization Value Portfolio produced a positive return for the period. Stock selection decisions in the financials and telecommunication services sectors and the underweighting of consumer staples and energy stocks provided the greatest benefit to performance.  Stock selection in the consumer discretionary and information technology sectors detracted from the results as did the overweighting of health care.


During the period the Portfolio’s exposure in the telecommunications services and consumer discretionary sectors increased and weightings in financials, energy, materials and information technology companies was reduced. New positions in wireless phone companies Sprint Nextel (1.61%) and Verizon (1.01%) were established. Among consumer discretionary companies we added positions in adult education provider Apollo Group (1.13%) and in homebuilder Centex (2.27%). We eliminated positions in insurer XL Capital (0.00%), the diversified financial services firm of Marsh & McLennan (0.00%) and the mortgage banking company FreddieMac (0.00%).






 
 

*

Annualized performance for periods greater than one year.

Within the discussion above, the percentages shown next to specific securities are the percentages of the Portfolio represented by the security on 2/28/07.   The securities held in the portfolio are subject to change and any discussion of those securities should not be considered investment advice.

Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares.



INVESTMENT REVIEW


A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE

LARGE CAPITALIZATION VALUE PORTFOLIO VS. BENCHMARKS

[classilcvgraphpiepage002.gif]

SIGNIFICANT AREAS OF INVESTMENT

AS A PERCENTAGE OF NET ASSETS


Top 10 Portfolio Holdings*


  % of
Company Net Assets

JP Morgan Chase & Co.

3.91%

Pfizer, Inc.

3.58%

ConocoPhillips

3.06%

UnitedHealth Group, Inc.

2.93%

Countrywide Financial Corp.

2.83%

Capital One Financial Corp.

2.81%

Cisco Systems, Inc

2.80%

General Electric Co.

2.80%

ChevronTexaco Corp.

2.79%

Dell, Inc.

2.71%


                                                                                                    *Based on total net assets as of February 28, 2007


                                                                                                       Excludes short-term investments.



Portfolio Composition*

[piechart002.gif]




The Morningstar Large Value Average, as of February 28, 2007, consisted of 1,467 mutual funds comprised of large market capitalization value stocks.  Investors may not invest in the Average directly.

Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.



INVESTMENT REVIEW


LARGE CAPITALIZATION GROWTH PORTFOLIO


Advised by:

Loomis, Sayles & Co., L.P.

Boston, Massachusetts


Objective: The Portfolio seeks capital appreciation.


Total Aggregate Return for the Period Ended February 28, 2007

  

Large

Capitalization

Growth Portfolio

(Class I)

Inception:     9/1/94 — 2/28/07*

 

   5.70%

Ten Year:

3/1/97 — 2/28/07*

 

   2.42%

Five Year:

3/1/02 — 2/28/07*

 

   0.91%

One Year:

3/1/06 — 2/28/07

 

  -6.17%

Six Months:

9/1/06 — 2/28/07

 

 12.16%

 


PORTFOLIO ADVISOR COMMENTARY


For the six-month period ending February 28, 2007, the Saratoga Large Capitalization Growth Portfolio produced a positive return. Positive performance was partly due to strong stock selection in the financials and industrials sectors, as well as an overweight position in the financials sector.


CB Richard Ellis (4.50%) and Precision Castparts Corp. (4.31%) were the largest contributors to performance. CB Richard Ellis reported a strong quarter towards the end of 2006, beating consensus estimates as profits rose 62%.  Precision Castparts reported a better than expected quarter towards the end of 2006, beating estimates.


The largest detractors to performance during the period were Medco Health Solutions (0.00%) and Archer Daniels Midland (0.00%).  Medco’s shares came under pressure resulting from Wal-Mart’s aggressive pricing campaign of generic drugs. Shares of Archer Daniels fell during this period amid concerns that falling ethanol prices would shrink the company’s profits.  An estimated 20% of the company’s profits come from ethanol.


In the last half of 2006 and beginning of 2007, the trend toward better stock performance among larger capitalization, higher dividend yielding companies prevented us from gaining back some of the significant ground lost.  Although the Dow Jones Industrial Average lost more than 400 points in one day during the period, as investors were concerned over weakness in the Chinese stock market, in our opinion the stock markets in the U.S. remain healthy.  Additionally, we expect moderate domestic economic growth to help neutralize inflation concerns in the coming months, enabling the Federal Reserve Board to maintain a stable interest rate policy throughout 2007. In this environment, we believe stable, large capitalization companies with solid balance sheets, strong earnings growth and attractive valuations present solid return potential.  We will remain vigilant in identifying high-growth opportunities that are also likely to shine in a more subdued growth outlook.







 
 

*

Annualized performance for periods greater than one year.

Within the discussion above, the percentages shown next to specific securities are the percentages of the Portfolio represented by the security on 2/28/07.   The securities held in the portfolio are subject to change and any discussion of those securities should not be considered investment advice.


Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares.



INVESTMENT REVIEW


A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE

LARGE CAPITALIZATION GROWTH PORTFOLIO VS. BENCHMARKS

[classilcggraphpiepage002.gif]

SIGNIFICANT AREAS OF INVESTMENT

AS A PERCENTAGE OF NET ASSETS


Top 10 Portfolio Holdings*


    

  % of
Company Net Assets

Goldman Sachs Group, Inc.

4.94%

Google, Inc., Class A

4.79%

Cognizant Technology Solutions Corp.

4.75%

CB Richards Ellis Group, Inc.

4.50%

Gilead Sciences, Inc.

4.42%

Apple Computer, Inc.

4.34%

Precision Castparts Corp.

4.31%

Genentech, Inc.

4.16%

Alliance Data Systems Corp.

4.03%

Akamai Technologies, Inc.

3.85%


                                                                                                    *Based on total net assets as of February 28, 2007


                                                                                                                      Excludes short-term investments.



Portfolio Composition*

 

[piechart004.gif]



The Morningstar Large Growth Average, as of February 28, 2007 consisted of 1,774 mutual funds comprised of large market capitalization growth stocks.  Investors may not invest in the Average directly.


Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.



INVESTMENT REVIEW


MID CAPITALIZATION PORTFOLIO


Advised by:

Vaughan Nelson Investment Management, L.P.

Houston, Texas


Objective: The Portfolio seeks long-term capital appreciation.


Total Aggregate Return for the Period Ended February 28, 2007

  

Mid

Capitalization

Portfolio

(Class I)

Inception:

1/7/03 — 2/28/07*

 

 16.75%

One Year:

3/1/06 — 2/28/07

 

 10.84%

Six Months:

9/1/06 — 2/28/07

 

 14.16%


PORTFOLIO ADVISOR COMMENTARY


During the last six-month period ending February 28, 2007, the U.S. stock markets have generally continued to struggle with the question of whether the economy is closer to a recession or a soft landing.  Bulls continue to point to the strong job picture where the overall unemployment rate remained at extremely low levels and anecdotal reports show that even greater job growth was possible were it not for the lack of qualified workers as well as the specific strength in commercial construction.  On the other side, bears cite the growing spillover of the housing correction via the mortgage woes highlighting themselves in the subprime space and an overall slowing economic backdrop.  While the fight between the two sides raged throughout the period, the bears won out at the end of February when the market began a dramatic correction on the notion that the Chinese economy was starting to cool.  This decline was triggered by very little economic news and highlights the uneasiness of the market in knowing which way the underlying economy is currently headed.  We believe this struggle between the bulls and bears is likely to continue into the foreseeable future as the true impact of the Federal Reserve’s multiple rate hikes continues to be felt in the economy.


The Portfolio’s Consumer Discretionary, Industrial, Chemical and Information Technology positions contributed to the Portfolio’s positive performance.  Consumer Staples and Healthcare positions generally lagged the overall Portfolio’s performance, but lighter weightings in these sectors helped to reduce the overall burden to the Portfolio.


We believe that the market is looking into the later half of 2007 for signs of overall strength in the economy.  We continue to stress companies with favorable valuations and strong long-term growth prospects which we think will perform well in this environment.








 
 

*

Annualized performance for periods greater than one year.

Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares.



INVESTMENT REVIEW


A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE

MID CAPITALIZATION PORTFOLIO VS. BENCHMARKS

[classimidcapgraphpiepage002.gif]

SIGNIFICANT AREAS OF INVESTMENT

AS A PERCENTAGE OF NET ASSETS


Top 10 Portfolio Holdings*


         

  % of
Company Net Assets

Lennox International, Inc.

3.01%

Affiliated Managers Group, Inc.

2.75%

Black & Decker Corp.

2.58%

Cintas Corp.

2.42%

HNI Corp.

2.25%

Equifax, Inc.

2.23%

Omnicare, Inc.

2.18%

Southwestern Energy Co.

2.16%

Rockwell Automation, Inc.

2.03%

WESCO International, Inc.

2.03%


                                                                                                         *Based on total net assets as of February 28, 2007

                     

                                                                                            Excludes short-term investments.  


Portfolio Composition*

[piechart006.gif]




The Morningstar Mid Capitalization Blend Average as of February 28, 2007, consisted of 483 mutual funds comprised of mid market capitalization stocks.  Investors may not invest in the Average directly.

Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.



INVESTMENT REVIEW


SMALL CAPITALIZATION PORTFOLIO


Advised by:

Fox Asset Management LLC

Little Silver, New Jersey


Objective: The Portfolio seeks maximum capital appreciation.


Total Aggregate Return for the Period Ended February 28, 2007

  

Small

Capitalization

Portfolio

(Class I)

Inception:     9/1/94 — 2/28/07*

 

11.44%

Ten Year:

3/1/97 — 2/28/07*

 

11.75%

Five Year:

3/1/02 — 2/28/07*

 

12.71%

One Year:

3/1/06 — 2/28/07

 

10.49%

Six Months:

9/1/06 — 2/28/07

 

 9.05%


PORTFOLIO ADVISOR COMMENTARY


For the six months ended February 28, 2007, the Saratoga Advantage Trust Small Capitalization Portfolio produced positive performance.


Economic growth began to moderate during second half of 2006, principally driven by a slowdown in residential construction and continued softness in capital spending.  Gross Domestic Product (“GDP”) growth slowed to an annualized rate of roughly 2% from the 4% rate experienced during first half of 2006.  Consumer spending, which accounts for 70% of GDP, remained robust, as low unemployment (4.5%) and rising wages (+4%) kept consumers spending.  Energy prices moderated during the period, with both oil and natural gas prices stabilizing well-off their recent highs.  While inflation ticked up during the period, recent declines in commodity prices and housing should ease inflation pressures going forward.  We continue to expect the economy to expand at a more sustainable 2.0%-3.0% rate through 2007 and into 2008.


We continued to selectively increase our weighting in the financial services sector during the period; though our ongoing concerns over relative valuations and credit quality keep us underweight the benchmark.  We also raised our weighting in consumer staples, given some potentially attractive opportunities in that sector.  We lowered our weighting in the energy sector during the period to better balance our exposure to the underlying commodity prices and energy services.


For 2007, the market backdrop appears to be solid.  We believe corporate profit growth is poised to slow after four consecutive years of double-digit growth, stock valuations (low relative to history and interest rates) should act as an offset.  The supply/demand picture is also encouraging.  Companies continue to repurchase shares at a rapid pace, and private equity firms maintain their record rate of activity.  As always, we remain steadfast in our commitment to finding well-managed companies, with strong balance sheets and cash flow, selling at discount valuations.









 
 

*

Annualized performance for periods greater than one year.

Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares.



INVESTMENT REVIEW


A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE

SMALL CAPITALIZATION PORTFOLIO VS. BENCHMARKS

[classismcapgraphpiepage002.gif]

SIGNIFICANT AREAS OF INVESTMENT

AS A PERCENTAGE OF NET ASSETS


Top 10 Portfolio Holdings*


        

  % of
Company Net Assets

ON Semiconductor Corp.

3.13%

Church & Dwight Co., Inc.

3.02%

Piedmont Natural Gas Co., Inc.

2.89%

Albany International Corp., Class A

2.83%

Owens & Minor, Inc.

2.83%

Protective Life Corp.

2.80%

Tupperware Corp.

2.75%

AptarGroup, Inc

2.57%

BJ's Wholesale Club, Inc.

2.56%

K & F Industries Holdings, Inc.

2.53%


                                                                                                    *Based on total net assets as of February 28, 2007


                                                                              Excludes short-term investments.


Portfolio Composition*

[piechart008.gif]


The Morningstar Small Blend Average, as of February 28, 2007, consisted of 666 mutual funds comprised of small market capitalization stocks.  Investors may not invest in the Average directly.

Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.



INVESTMENT REVIEW


INTERNATIONAL EQUITY PORTFOLIO


Advised by:

Oppenheimer Capital LLC

New York, New York


Objective: The Portfolio seeks long-term capital appreciation.


Total Aggregate Return for the Period Ended February 28, 2007

  

International

Equity

Portfolio

(Class I)

Inception:     9/1/94 — 2/28/07*

 

   4.11%

Ten Year:

3/1/97 — 2/28/07*

 

   4.83%

Five Year:

3/1/02 — 2/28/07*

 

 11.74%

One Year:

3/1/06 — 2/28/07

 

 14.70%

Six Months:

9/1/06 — 2/28/07

 

    8.48%


PORTFOLIO ADVISOR COMMENTARY


Generally, global stocks rallied broadly in the six month period ended February 28, 2007 paced by especially strong market performance in the Pacific and Nordic regions and within the financial services and industrials sectors.


The Saratoga International Equity Portfolio delivered a positive six-month return for the period. Holdings in the industrials, materials and telecommunication services sectors contributed the strongest to performance. Average share prices for the Portfolio’s health care holdings declined in the period. Stock selection decisions in the consumer discretionary, financials and consumer staples sectors were the most significant detractors from performance. Stock selection in industrials and information technology and an underweighting of energy stocks contributed positively to the results.


During the period the Portfolio’s exposure in the financials and materials sector increased and active sector weights in information technology, health care and energy were reduced. Among financial services companies the Portfolio added to its banking exposure with new positions in South Korea’s Kookmin Bank (2.27%), Italy’s Intesa SanPaulo (2.00%), and the UK’s Barclays PLC (1.52%). In the materials sector we added Mexico’s Cemex (2.31%), the world’s third-largest producer of cement and concrete.  We sold off the Portfolio’s positions in computer chip maker Taiwan Semiconductor (0.00%) and oil company Petro Canada (0.00%). We reduced our weightings in the French computer aided design software company Dassault Systèmes (1.45%), the Japanese optics and electronics manufacturer Canon (1.85%) and in pharmaceutical companies Novartis (1.87%) and Roche (2.99%).






 
 

*

Annualized performance for periods greater than one year.

Within the discussion above, the percentages shown next to specific securities are the percentages of the Portfolio represented by the security on 2/28/07.   The securities held in the portfolio are subject to change and any discussion of those securities should not be considered investment advice.

Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares. The fund contains international securities that may provide the opportunity for greater return but also have special risks associated with foreign investing including fluctuations in currency, government regulation, differences in accounting standards and liquidity.



INVESTMENT REVIEW


A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE

INTERNATIONAL EQUITY PORTFOLIO VS. BENCHMARKS

[classiintequitygraphpiepa002.gif]


SIGNIFICANT AREAS OF INVESTMENT

AS A PERCENTAGE OF NET ASSETS


Top 10 Portfolio Holdings*


 

  % of
Company Net Assets

Lafarge SA

4.42%

Bóhler-Uddeholm AG, ADR

3.91%

BNP Paribas SA, ADR

3.58%

Credit Suisse Group, ADR

3.52%

Vodafone Group PLC

3.51%

SFK AB, ADR

3.47%

Sage Group PLC, ADR

3.47%

Nomura Holdings, Inc., ADR

3.29%

Sandvik AB, ADR

3.27%

Nestle SA, ADR

3.07%


                                                                                                        *Based on total net assets as of February 28, 2007


                                                                                   Excludes short-term investments.


Portfolio Composition*

 

[piechart010.gif]



MSCI EAFE® Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization index that is designed to measure developed market equity performance, excluding the U.S. & Canada. As of February 2007 the MSCI EAFE Index consisted of the following 21 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the United Kingdom. This unmanaged Index does not include fees and expenses, and investors may not invest in the Index directly.


Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.



INVESTMENT REVIEW


HEALTH & BIOTECHNOLOGY PORTFOLIO


Advised by:

Oak Associates, ltd.

Akron, Ohio


Objective: The Portfolio seeks long-term capital growth.


Total Aggregate Return for the Period Ended February 28, 2007

  

Health &

Biotechnology

Portfolio

(Class I)

Inception:    1/28/03 — 2/28/07*

 

 6.65%

One Year:

3/1/06 — 2/28/07

 

-1.78%

Six Months:

9/1/06 — 2/28/07

 

 6.79%


PORTFOLIO ADVISOR COMMENTARY


The healthy market rebound over the six month period ended February 28, 2007 boosted the health care sector, but the pharmaceutical stocks were outshined by the research tools stocks – an area of focus for the Portfolio.  The pharmaceuticals, and other areas within health care, were negatively impacted by the Democratic sweep in the November elections.  It is our experience that fears of regulation are usually greater than what actually transpires, and, therefore, this may represent a buying opportunity in select names.  One past example of this is the orthopedic stocks, which had sold off on various regulatory worries.  We wrote about this in the semi-annual commentary a year ago, saying, “We believe these concerns have been overblown, and the weakness in the stocks provided a buying opportunity.”  Orthopedic company Stryker (2.81%) was one of the best performing holdings for the Portfolio for the period.  We will continue to look for areas within health care that are out of favor due to short-term reasons.


One segment that we believe fits this theme right now is generic pharmaceuticals.  The group has been weak in part due to expectations for a flat 2007, coming off a strong year for patent expirations in 2006.  The market seems to be overlooking the long-term opportunity for the space, as well as a number of other potential positives, such as the possibility of regulation that addresses authorized generics, and the emergence of a regulatory pathway for biopharmaceutical generic drugs.  We have increased our investment in this area, and currently have positions in Teva Pharmaceutical (7.43%), Mylan Laboratories (2.88%), Watson Pharmaceuticals (2.85%), and Novartis (2.22%).


Given the sector’s profitability, growth, and valuation, we believe health care is attractive right now, especially given its decline in the recent stock market correction.



 

 

 


 
 

*

Annualized performance for periods greater than one year.

Within the discussion above, the percentages shown next to specific securities are the percentages of the Portfolio represented by the security on 2/28/07.   The securities held in the portfolio are subject to change and any discussion of those securities should not be considered investment advice.

Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares.



INVESTMENT REVIEW


A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE

HEALTH & BIOTECHNOLOGY PORTFOLIO VS. BENCHMARKS

[classihbigraphpiepage002.gif]

SIGNIFICANT AREAS OF INVESTMENT

AS A PERCENTAGE OF NET ASSETS


Top 10 Portfolio Holdings*


  % of
Company Net Assets

Teva Pharmaceutical Industries, Ltd.

7.43%

Medtronic, Inc.

6.58%

Invitrogen Corp.

6.17%

Amgen, Inc.

5.75%

Pfizer, Inc.

5.43%

Johnson & Johnson

5.05%

Waters Corp.

5.01%

AmerisourceBergen Corp.

4.68%

Eli Lilly & Co.

4.40%

Techne Corp.

4.32%


                                                                                                     *Based on total net assets as of February 28, 2007


                                                                                Excludes short-term investments.


Portfolio Composition*

 

[piechart012.gif]

 




The S&P Health Care Index is an unmanaged index, encompassing two main industry groups.  The first includes companies who manufacture health care equipment and supplies or provide health care related services, including distributors of health care products, providers of basic health care services, and owners and operators of health care facilities and organizations.  The second regroups companies primarily involved in the research, development, production and marketing of pharmaceuticals and biotechnology products.  Investors may not invest in the Index directly; unlike the portfolio’s returns, the Index does not reflect any fees or expenses.


Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.



INVESTMENT REVIEW


TECHNOLOGY & COMMUNICATIONS PORTFOLIO


Advised by:

Columbus Circle Investors

Stamford, Connecticut


Objective: The Portfolio seeks long-term growth of capital.


Total Aggregate Return for the Period Ended February 28, 2007

  

Technology &

Communications

Portfolio

(Class I)

Inception:

1/7/03 — 2/28/07*

 

  9.91%

One Year:

3/1/06 — 2/28/07

 

 -0.24%

Six Months:

9/1/06 — 2/28/07

 

 10.31%


PORTFOLIO ADVISOR COMMENTARY


For the six-month period ended February 28, 2007 the Saratoga Technology and Communications Portfolio produced a positive return.  The positive return was partly due to solid economic growth and spending by enterprises and consumers on video.  Gross Domestic Product (GDP) growth remained strong, corporate margins remain at record levels and the consumer continues to spend.  Video Downloading related stocks posted the best returns.  Riverbed (1.03%), First Solar (1.50%), Akamai (1.27%), and Apple (4.66%), were some of the largest contributors to Portfolio performance.  Among the worst hit stocks were semiconductor stocks Netlogic (0.95%), Microsemi (0.00%) and Sandisk (0.00%).  Semiconductor stocks suffered through an inventory correction due to excess supply.


While economic growth has slowed, we see a continuation of solid fundamentals into 2007, as pent up demand, caused by under-investment in technology, should drive spending.  Despite the weaker housing market, consumer spending has only slowed modestly due to solid employment and wage growth.  As always, the Saratoga Technology and Communications Portfolio will continue to focus on dynamic companies in attractive markets that should benefit from positive industry dynamics and dominant secular trends.  The emerging themes we remain focused on are Video, Internet Advertising, Next-Generation carrier data spending (Voice over IP, 3G, Bandwidth Optimization), and emerging consumer trends such as High Definition TVs, Music/Video Downloading and Location Based Services.  We believe the Portfolio is poised to capitalize on these themes, the resurgent IT spending environment, as well as emerging technologies.






 
 

*

Annualized performance for periods greater than one year.

Within the discussion above, the percentages shown next to specific securities are the percentages of the Portfolio represented by the security on 2/28/07.    The securities held in the portfolio are subject to change and any discussion of those securities should not be considered investment advice.


Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares.  



INVESTMENT REVIEW


A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE

TECHNOLOGY & COMMUNICATIONS PORTFOLIO VS. BENCHMARKS

[classitechcommgraphpiepag002.gif]


SIGNIFICANT AREAS OF INVESTMENT

AS A PERCENTAGE OF NET ASSETS


Top 10 Portfolio Holdings*


        

  % of
Company Net Assets

Apple Computer, Inc.

4.66%

Google, Inc.

4.56%

Cisco Systems, Inc

4.55%

Microsoft Corp.

4.18%

Qualcomm, Inc

3.83%

International Business Machines Corp.

3.42%

Lockheed Martin Corp.

3.21%

Hewlett - Packard Co.

3.11%

Adobe Systems, Inc.

2.92%

Shire Pharmaceuticals, ADR

2.81%


                                                                                                        *Based on total net assets as of February 28, 2007


                                                                                  Excludes short-term investments.


Portfolio Composition*

[piechart014.gif]




The Lipper Science and Technology Funds Index is an equal-weighted performance index, adjusted for capital gain distributions and income dividends, of the largest qualifying funds with this investment objective, and is compiled by Lipper, Inc. Investors may not invest in the Index directly.   


Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.



INVESTMENT REVIEW


ENERGY & BASIC MATERIALS PORTFOLIO


Advised by:

Integrity Money Management, Inc.

Minot, North Dakota


Objective: The Portfolio seeks long-term growth of capital.


Total Aggregate Return for the Period Ended February 28, 2007

  

Energy & Basic

Materials

Portfolio

(Class I)

Inception:

1/7/03 — 2/28/07*

 

21.99%

One Year:

3/1/06 — 2/28/07

 

 -0.28%

Six Months:

9/1/06 — 2/28/07

 

  0.61%


PORTFOLIO ADVISOR COMMENTARY


W idely followed energy indexes interrupted their upward trend with significant pullbacks in September and December 2006 and late February 2007. The six month period ended February 28, 2007 was marked by increased volatility in the energy markets, especially during September when crude and gasoline prices dropped sharply. Contributors to volatility were geopolitical issues such as Iran, new deep water discoveries in the Gulf of Mexico and fear of a potential China melt down in February 2007.


Prices increased significantly for rigs, related equipment, and for most oil field services. Suppliers to this market should be major beneficiaries, even if the price of crude oil were to drop significantly from recent all time highs. However, stock prices generally fluctuate in line with the price of crude oil.


The six months ending February 28, 2007 brought us concerns over high oil prices, inflation, and declining consumer confidence. However, recent market resilience hints that business and consumers will muddle through somehow, in spite of higher commodity and energy prices.


Some fear that the Federal Reserve (the “Fed”) might become overzealous in their approach. We don’t believe this will be the case (actually, a Fed Funds range of 5.5% - 6% would bring the rate in line with historic norms). Already, there is some evidence that the rate increases have taken hold, as illustrated by a cooled housing market, a pullback in commodities prices, and a slowing of consumer loans and consumer spending. While consumer spending may slow, the slack will likely be offset to some degree by increased business spending. Companies will probably expand capacity, as utilization rates are at multi-year highs. Employment remains strong and wage increases are on the rise. Fortunately, wage increases have been largely off set by increased productivity. Accordingly, we believe the current bull market in stocks still has a long way to go.






 
 

*

Annualized performance for periods greater than one year.

Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares.



INVESTMENT REVIEW


A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE

ENERGY & BASIC MATERIALS PORTFOLIO VS. BENCHMARKS

[classiebgraphpiepage002.gif]

SIGNIFICANT AREAS OF INVESTMENT

AS A PERCENTAGE OF NET ASSETS


Top 10 Portfolio Holdings*


  % of
Company Net Assets

Schlumberger, Ltd.

4.81%

Peabody Energy Corp.

4.79%

Suncor Energy, Inc.

4.76%

ConocoPhillips

4.59%

Bucyrus Int'l, Inc., Class A

4.31%

Chicago Bridge & Iron Co.

4.27%

Noble Corp.

4.16%

Halliburton Corp.

4.13%

Joy Global, Inc.

4.13%

Dril-Quip, Inc.

4.06%


                                                                                                        *Based on total net assets as of February 28, 2007


                                                                                  Excludes short-term investments.

 


Portfolio Composition*

 

[piechart016.gif]







The Lipper Natural Resources Funds Index is an equal-weighted performance index, adjusted for capital gain distributions and income dividends, of the largest qualifying funds with this investment objective, and is complied by Lipper, Inc.  Investors may not invest in the Index directly.  


Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.



INVESTMENT REVIEW


FINANCIAL SERVICES PORTFOLIO


Advised by:

Loomis, Sayles & Co., L.P.

Boston, Massachusetts


Objective: The Portfolio seeks long-term growth of capital.


Total Aggregate Return for the Period Ended February 28, 2007

  

Financial

Services

Portfolio

(Class I)

Inception:

1/7/03 — 2/28/07*

 

 13.89%

One Year:

3/1/06 — 2/28/07

 

   8.37%

Six Months:

9/1/06 — 2/28/07

 

  12.14%


PORTFOLIO ADVISOR COMMENTARY


For the period September 1, 2006 through February 28, 2007 the Saratoga Financial Services Portfolio had a positive return.  This performance can largely be attributed to the Portfolio’s overweight position in the capital markets industry combined with strong stock selection.  The top contributors to performance during this period were Goldman Sachs Group Inc.  (4.21%), Blackrock Inc. (3.04%) and CB Richard Ellis Group Inc. (2.02%).


Goldman Sachs was well positioned to profit from the market rebound beginning in late summer 2006.  The wave of initial public offering and merger and acquisition activity in the second half of the year greatly benefited Goldman Sachs, as evidenced by quarterly results that widely surpassed analysts’ expectations.  Shares of Blackrock outperformed during this period as investors gained confidence in management’s ability to smoothly integrate Merrill Lynch Investment Management.  CB Richard Ellis reported stellar earnings in October of 2006 that easily beat analysts’ expectations.  This was quickly followed by the announced acquisition of Trammell Crow Company which should add about $1 billion to revenues and improve both business mix and market share.


Nasdaq Stock Market (0.00%), Citigroup (3.45%), and Merrill Lynch (3.81%) were stocks that had a slightly negative impact on the Portfolio’s performance.  Shares of Nasdaq were sold after an unsuccessful hostile bid for the London Stock Exchange.  Citigroup underperformed after rising on speculation of a break-up or change in management.  Merrill Lynch performed well until the end of February 2007 when fears of exposure to sub-prime mortgages hit the stock.


In October of 2006, the Portfolio was realigned to include more defensive names in insurance and banks.  The continued exposure to capital markets has served the Portfolio well as increased investor confidence led to higher underwriting, trading and asset management activity.  Going forward, we believe concerns over sub-prime mortgages and consumer credit are overdone and we maintain the overweight position in this segment.






 
 

*

Annualized performance for periods greater than one year.

Within the discussion above, the percentages shown next to specific securities are the percentages of the Portfolio represented by the security on 2/28/07.    The securities held in the portfolio are subject to change and any discussion of those securities should not be considered investment advice.


Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares.



INVESTMENT REVIEW


A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE

FINANCIAL SERVICES PORTFOLIO VS. BENCHMARKS

[classifinancialgraphpiepa002.gif]


SIGNIFICANT AREAS OF INVESTMENT

AS A PERCENTAGE OF NET ASSETS


Top 10 Portfolio Holdings*


         

  % of
Company Net Assets

State Street Corp.

4.81%

Wells Fargo & Co.

4.58%

American International Group, Inc.

4.34%

Chubb Corp.

4.33%

Berkshire Hathaway, Inc., Class B

4.27%

Goldman Sachs Group, Inc.

4.21%

Lehman Brothers Holdings, Inc.

4.07%

American Express Co.

4.06%

Bank of America Corp.

3.83%

Merrill Lynch & Co., Inc.

3.81%


                                                                                                        *Based on total net assets as of February 28, 2007


                                                                                   Excludes short-term investments.


Portfolio Composition*

 

[piechart018.gif]


The Lipper Financial Services Sector Index, is an equal-weighted performance index, adjusted for capital gain distributions and income dividends, of the largest qualifying funds with this investment objective, and is compiled by Lipper, Inc.  Investors may not invest in the Index directly.  


Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.



INVESTMENT REVIEW


INVESTMENT QUALITY BOND PORTFOLIO


Advised by:

Fox Asset Management LLC

Little Silver, New Jersey


Objective: The Portfolio seeks current income and reasonable stability of principal.


Total Aggregate Return for the Period Ended February 28, 2007

  

Investment

Quality Bond

Portfolio

(Class I)

Inception:     9/1/94 — 2/28/07*

 

4.98%

Ten Year:

3/1/97 — 2/28/07*

 

4.82%

Five Year:

3/1/02 — 2/28/07*

 

3.45%

One Year:

3/1/06 — 2/28/07

 

4.07%

Six Months:

9/1/06 — 2/28/07

 

2.34%

PORTFOLIO ADVISOR COMMENTARY


For the six-month period ended February 28, 2007, the fixed income markets generally improved significantly.  Interest rates decreased meaningfully as inflation expectations declined, resulting in a marked improvement in the Portfolio’s return.


Going forward, we anticipate continued economic growth, albeit at a slightly slower rate than seen in the past few years, but not a recession that some have forecast based on the inverted yield curve.  Strength by the consumer (primarily fueled by a continued strong labor market) should be augmented by business investment and government spending, while overseas growth remains robust.


In this environment, we continue to manage the Portfolio with the same consistent, conservative philosophy.  We are reducing the extent of our barbell positioning by investing along the yield curve and we continue to invest in high-quality corporate bonds and inflation-indexed Treasuries.







 
 

*

Annualized performance for periods greater than one year.

Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares.



INVESTMENT REVIEW


A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE

INVESTMENT QUALITY BOND PORTFOLIO VS. BENCHMARKS

[classiiqbondgraphpiepage002.gif]

SIGNIFICANT AREAS OF INVESTMENT

AS A PERCENTAGE OF NET ASSETS


Top 10 Portfolio Holdings*


  % of
Company Net Assets

Federal National Mortgage, 4.125%, 4/15/2014

12.40%

U.S. Treasury Notes, 4.50%, 11/15/2015

9.68%

U.S. Treasury Notes - TIPS, 1.875%, 7/15/2013

8.41%

Federal National Mortgage, 2.65%, 6/30/2008

5.66%

J.P. Morgan Chase & Co., 3.80%, 10/2/2009

5.03%

Federal National Mortgage, 5.00%, 4/15/2015

4.58%

International Lease Finance Corp., 4.375%,

 

    11/1/09

4.45%

Federal National Mortgage, 5.375%, 8/15/2011

4.16%

U.S. Treasury Notes, 4.875%, 8/15/2016

3.32%

FleetBoston Financial Corp., 6.50%, 3/15/2008

3.28%


                                                                                            *Based on total net assets as of February 28, 2007


                                                                                               Excludes short-term investments.



Portfolio Composition*

 

[piechart020.gif]



The Lipper Short-Intermediate Investment Grade Debt Funds Index consists of the 30 largest mutual funds that invest at least 65% of their assets in investment grade debt issues (rated in the top four grades) with dollar-weighted average maturities of 1 to 5 years. Investors may not invest directly in the Index.

Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.



INVESTMENT REVIEW


MUNICIPAL BOND PORTFOLIO


Advised by:

Oppenheimer Capital LLC

New York, New York


Objective: The Portfolio seeks a high level of interest income that is excluded from federal income taxation to the extent consistent with prudent investment management and the preservation of capital.


Total Aggregate Return for the Period Ended February 28, 2007

  

Municipal

Bond Portfolio

(Class I)

Inception:

9/1/94 — 2/28/07*

 

4.43%

Ten Year:

3/1/97 — 2/28/07*

 

4.16%

Five Year:

3/1/02 — 2/28/07*

 

3.19%

One Year:

3/1/06 — 2/28/07

 

2.65%

Six Months:

9/1/06 — 2/28/07

 

1.62%


PORTFOLIO ADVISOR COMMENTARY


Generally, bonds performed well during the six months ended February 28, 2007 as indicators emerged that higher energy prices and weaker home sales would be two main contributing factors to a weakening economy. Generally, longer-term bonds outperformed those with shorter maturities, confirming investors’ confidence that inflation would begin to recede as the economy slowed.


Within this environment, the municipal yield curve flattened even further, but did not invert like the Treasury yield curve. In late February 2007, concerns over difficulties in the subprime mortgage market began to permeate the broader bond market, causing higher risk credits—which had become historically very rich—to lose some of their luster and underperform. Risk premiums, which had collapsed over the past few years, began to increase and may have sparked the beginning of a reassessment of riskier investments. In general, municipal bonds performed roughly in line with Treasury bonds during the six-month reporting period.


In the Saratoga Municipal Bond Portfolio, we continue to hold very high quality bonds with over 80% of the holdings rated AAA as of February 28, 2007.





 
 

*

Annualized performance for periods greater than one year.

Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares.



INVESTMENT REVIEW


A HYPOTHETICAL COMPARISON OF THE GROWTH OF $10,000 INVESTED IN THE

MUNICIPAL BOND PORTFOLIO VS. BENCHMARKS

[classimunibondgraphpiepag002.gif]

SIGNIFICANT AREAS OF INVESTMENT

AS A PERCENTAGE OF NET ASSETS


Top 10 Portfolio Holdings*

           

  % of
Company Net Assets

Alvord, CA Union School District, 5.90%,

6.41%

     2/1/2020

Marco Island, Florida Utilities System

5.79%

     Revenue,  5.25%, 10/1/2020

Wilmington, NC Water & Sewer System

5.76%

     Revenue, 5.00%, 6/1/2023

New Hampshire State Health & Education

5.75%

     Facilities, 5.50%, 8/1/2027

Snohomish County WA  School District,        

5.73%

     5.50%, 12/1/2019

MD State Energy Financing Admin., Solid

5.68%

     Waste Disposal, 6.30%, 12/1/2010

Texas State University System Revenue,

5.60%

     5.375%, 3/15/2017

Philadelphia PA, GO, 4.90%, 9/15/2020

5.53%

Mecklenburg County, NC Series B, 4.50%,

5.52%

     2/1/18

NY State Dormitory Authority, New York  

4.78%

    University, Revenue, 5.75%, 7/1/2013


                                                                                                *Based on total net assets as of February 28, 2007


                                                                                                   Excludes short-term investments.

 


Portfolio Composition*

[piechart021.jpg]

 

The Lipper General Municipal Debt Funds Index consists of the 30 largest mutual funds that invest at least 65% of their assets in municipal debt issues in the top four credit ratings. Investors may not invest directly in the Index.

Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of the fund shares.



INVESTMENT REVIEW


U.S. GOVERNMENT MONEY MARKET PORTFOLIO


Advised by:

Reich & Tang Asset Management, LLC

New York, New York


Objective: The U.S. Government Money Market Portfolio seeks to provide maximum current income to the extent consistent with the maintenance of liquidity and the preservation of capital.



7-Day

Compounded Yield¹

U.S. Government

Money Market Portfolio

(Class I)

2/28/07

4.12%


Total Aggregate Return for the Period Ended February 28, 2007

  

U.S. Government

Money Market Portfolio

(Class I)

Inception:

9/1/94 — 2/28/07*

 

3.24%

Ten Year:

3/1/97 — 2/28/07*

 

2.86%

Five Year:

3/1/02 — 2/28/07*

 

1.45%

One Year:

3/1/06 — 2/28/07

 

3.96%

Six Months:

9/1/06 — 2/28/07

 

2.02%

 

PORTFOLIO ADVISOR COMMENTARY


The Portfolio was invested primarily in U.S. Government Agency notes as of February 28, 2007.


The start of 2007 has revealed itself as a continuation of our most recent quarter end.  The market continues to anxiously await sufficient economic data and Federal Open Market Committee (FOMC) decisions/opinions to conclude whether or not our economy will continue to move in a healthy direction on its own or if it will need assistance from the FOMC.  This uncertainty continues to allow individual economic events/data, such as the indications of a slowdown in the housing market, and commentaries regarding the health of our economy by particular notables, such as former FOMC Chairman Mr. Alan Greenspan and current Chairman Mr. Ben Bernanke, to have momentary influences on our market.  The FOMC has left the Federal Funds Target Rate unchanged at 5.25% and has maintained a bias towards an increase in their target rate.   Just as well, the FOMC has maintained their belief that the greatest danger to the health of our economy is an increase in inflation.  In our view the current short-term rate market has priced in a belief that the FOMC will eventually communicate an opinion that inflationary pressures have balanced and that the there is no need to adjust the Federal Funds Target Rate in the foreseeable future.  In fact, there are some who continue to argue that the economy is on the brink of a period of downturn that will eventually require the FOMC to reduce their target rate within the next six months to a year.


Ultimately we believe the FOMC has little or no reason to raise their target rate in the near future.  The possibility of the FOMC easing within 2007 does exist, but we do not feel there is enough current data to make such a conclusion.  Therefore, we have begun to extend some of our maturities when the value presents itself, and we will continue to be cautious with any of our interest rate predictions and the duration of our purchases in order to try to take advantage of any opportunities in short term interest rates.


An investment in the U.S. Government Money Market Portfolio is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency.  Although the U.S. Government Money Market Portfolio seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in the Portfolio.


 
 

¹

The current 7-day yield more closely reflects the current earnings of the Portfolio than the total return quotation.  

*

Annualized performance for periods greater than one year.

Past performance is not predictive of future performance. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemptions of fund shares.





SCHEDULES OF INVESTMENTS

LARGE CAPITALIZATION VALUE PORTFOLIO (Unaudited)

February 28, 2007

              

Shares

    

  Value

 

Shares

   

  Value

  

Common Stocks - 97.81%

       

Home Builders - 2.27%

   
  

Aerospace & Defense - 2.05%

     

      22,900

 

Centex Corp.

 

 $        1,061,644

         20,650

 

Honeywell International, Inc.

  

 $           958,986

       
          

Hotels Restaurants & Leisure - 4.54%

  

Banks - 7.94%

     

      19,800

 

Carnival Corp. +

 

919,116

           9,150

 

Bank of America Corp.

  

              465,460

 

      12,500

 

McDonald's Corp.

 

              546,500

         30,200

 

Bank of New York, Inc. (The)

  

           1,226,724

 

      16,300

 

Royal Caribbean Cruises, Ltd. +

 

              660,639

         21,050

 

Wachovia Corp.

  

           1,165,538

     

           2,126,255

         24,700

 

Wells Fargo & Co. +

  

              857,090

       
     

           3,714,812

   

Insurance - 10.26%

   
        

      18,700

 

American International Group, Inc.

 

           1,254,770

  

Beverages  - 1.46%

     

        4,200

 

Fairfax Financial Holdings, Ltd. +

 

              814,464

         14,650

 

Coca-Cola Co. (The)

  

              683,862

 

      16,950

 

MBIA, Inc. +

 

           1,126,666

        

      17,650

 

RenaissanceRe Holdings, Ltd.

 

              905,092

  

Capital Markets  - 8.14%

     

        7,400

 

The Hartford Financial Services

   

         37,000

 

JP Morgan Chase & Co.

  

           1,827,800

   

   Group, Inc.

 

              699,744

         13,150

 

Merrill Lynch & Co., Inc.

  

           1,100,392

     

           4,800,736

         11,800

 

Morgan Stanley +

  

              884,056

       
     

           3,812,248

   

Leisure Products - 2.45%

   
        

      50,950

 

News Corp., Class A

 

           1,147,904

  

Conglomerates  - 2.80%

           

         37,500

 

General Electric Co.

  

           1,309,500

   

Machinery/Instruments - 2.29%

   
        

        7,600

 

Eaton Corp.

 

              615,676

  

Commercial Services  - 4.41%

     

        5,550

 

Parker Hannifin Corp.

 

              457,265

         11,200

 

Apollo Group, Inc. * +

  

              529,648

     

           1,072,941

         17,050

 

ChoicePoint, Inc. *

  

              662,904

       

         39,950

 

H&R Block, Inc.

  

              870,111

   

Oil & Gas - 7.88%

   
     

           2,062,663

 

      19,000

 

ChevronTexaco Corp.

 

           1,303,590

        

      21,900

 

ConocoPhillips

 

           1,432,698

  

Communications Equipment - 2.80%

    

      13,250

 

ExxonMobil Corp.

 

              949,760

         50,550

 

Cisco Systems, Inc. *

  

           1,311,267

     

           3,686,048

              
  

Computers - 2.71%

       

Pharmaceuticals - 6.70%

   

         55,550

 

Dell, Inc. *

  

           1,269,317

 

      15,300

 

Abbott Laboratories

 

              835,686

        

      67,200

 

Pfizer, Inc.

 

           1,677,312

  

Consumer Finance - 2.81%

     

      12,700

 

Wyeth

 

              621,284

         17,050

 

Capital One Financial Corp. +

  

           1,314,214

     

           3,134,282

              
  

Diversified Financials - 1.89%

           

         17,550

 

Citigroup, Inc.

  

              884,520

       
     

 

       
  

Forest Products & Paper - 0.99%

           

           7,750

 

Temple Inland, Inc.

  

              463,450

       
              
  

Health Care Products - 5.61%

           

         28,350

 

Aetna, Inc.

  

           1,255,055

       

         26,300

 

UnitedHealth Group, Inc.

  

           1,372,860

       
     

           2,627,915

       
              
              
  

See accompanying notes to financial statements.

        
              
              

SCHEDULES OF INVESTMENTS

LARGE CAPITALIZATION VALUE PORTFOLIO (Unaudited) (Continued)

   

February 28, 2007

           
              

Shares

    

  Value

       
  

Software - 2.00%

           

         31,050

 

McAfee, Inc. *

  

 $           935,226

       
              
  

Specialty Retail - 3.30%

           

         16,100

 

Home Depot, Inc.

  

              637,560

       

         32,900

 

The TJX Cos., Inc. +

  

              904,750

       
     

           1,542,310

       
              
  

Thrifts & Mortgage Finance  - 2.83%

          

         34,650

 

Countrywide Financial Corp.  

  

           1,326,402

       
              
  

Telecommunications  - 9.68%

           

         13,450

 

Alltel Corp.

  

              814,936

       

         32,900

 

AT&T, Inc.

  

           1,210,720

       

         37,200

 

Motorola, Inc.

  

              688,944

       

           8,300

 

NII Holdings, Inc. * +

  

              587,972

       

         39,150

 

Sprint Nextel Corp.

  

              754,812

       

         12,600

 

Verizon Communications, Inc.

  

              471,618

       
     

           4,529,002

       
              
  

Total Common Stocks (Cost $39,735,931)

 

      45,775,504

       
              
  

Short-Term Investments - 2.34%

          

1,094,964

 

Milestone Treasury Obligation Portfolio,

          
  

   Institutional Class,

           
  

   to yield 5.10%, 3/1/07

           
  

   (Cost $1,094,964)

  

        1,094,964

       
              
  

Collateral Received for Securities

          
  

Loaned - 16.10%

           

7,533,547

 

Bank of New York Institutional Cash

           
  

Reserve Fund, to yield 5.31%, 3/1/07

          
  

   (Cost $7,533,547)

  

        7,533,547

       
              

TOTAL INVESTMENTS

           

   (Cost $48,364,442) (a)

116.25%

 

 $   54,404,015

       
              

Liabilities in excess of other assets

-16.25%

 

         (7,603,670)

       
              

TOTAL NET ASSETS

100.00%

 

 $   46,800,345

       

 

             

Percentages indicated are based upon total net assets of $46,800,345

       
              

  *   Non -incoming producing security.

           

 +   All or a portion of the security is on loan.

           

ADR - American Depositary Receipt

           
              

 (a) Represents cost for financial reporting purposes.    Aggregate cost for federal

      

 tax purposes is $48,364,442 and differs from market value by net unrealized  

         

 appreciation (depreciation) of securities as follows:

            
                
  

Unrealized appreciation:

  

 $        6,844,741

         
  

Unrealized depreciation:

  

       (805,168.00)

         
  

Net unrealized appreciation:

  

 $        6,039,573

         
                
                
  

See accompanying notes to financial statements.

          





SCHEDULES OF INVESTMENTS

LARGE CAPITALIZATION GROWTH PORTFOLIO (Unaudited)

February 28, 2007

              

Shares

   

  Value

 

Shares

     

  Value

  

Common Stocks - 99.83%

     

Semiconductors - 2.77%

    
  

Apparel - 3.59%

   

         34,025

 

Nvidia Corp. * +

  

 $        1,054,774

      28,925

 

Coach, Inc. *

 

 $        1,365,260

         
        

Software - 5.40%

    
  

Biotechnology - 4.16%

   

         26,775

 

Adobe Systems, Inc. *

  

           1,050,919

      18,750

 

Genentech, Inc. *

 

           1,581,937

 

           9,370

 

Mastercard, Inc. +

  

           1,004,277

            

           2,055,196

  

Commercial Services - 7.64%

           

      25,680

 

Alliance Data Systems Corp. * +

 

           1,534,380

   

Tech Hardware & Equipment - 6.24%

   

      27,525

 

Monster Worldwide, Inc. * +

 

           1,372,396

 

         51,500

 

Cisco Systems, Inc. *

  

           1,335,910

    

           2,906,776

 

         25,750

 

Qualcomm, Inc.

  

           1,037,210

            

           2,373,120

  

Computers - 15.16%

           

      19,525

 

Apple Computer, Inc. *

 

           1,652,010

   

Total Common Stocks (Cost $31,924,340)

 

      37,978,664

      20,025

 

Cognizant Technology Solutions Corp. *

           1,806,255

         

      11,980

 

International Business Machines Corp.

 

           1,114,260

   

Short-Term Investments - 0.21%

  

      30,875

 

Network Appliance, Inc. * +

 

           1,193,935

 

         80,854

 

Milestone Treasury Obligation Portfolio,

  
    

           5,766,460

   

   Institutional Class,

    
        

   to yield 5.10%, 3/1/07

    
  

Diversified Financials - 17.72%

     

   (Cost $80,854)

  

              80,854

        8,800

 

BlackRock, Inc. +

 

           1,399,552

         

        2,186

 

Chicago Mercantile Exchange

 

           1,178,538

   

Collateral Received for Securities

   

        9,325

 

Goldman Sachs Group, Inc.

 

           1,879,920

   

Loaned - 24.41%

    

        6,535

 

IntercontinentalExchange, Inc. *

 

              985,805

 

    9,284,971

 

Bank of New York Institutional Cash

    

      17,300

 

Morgan Stanley

 

           1,296,116

   

Reserve Fund, to yield 5.31%, 3/1/07

   
    

           6,739,931

   

   (Cost $9,284,971)

  

        9,284,971

              
  

Internet - 8.64%

   

TOTAL INVESTMENTS

    

      28,400

 

Akamai Technologies, Inc. * +

 

           1,464,588

 

   (Cost $41,290,165) (a)

124.44%

 

 $   47,344,489

        4,050

 

Google, Inc., Class A *

 

           1,820,273

         
    

           3,284,861

 

Liabilities in excess of other assets

-24.44%

 

         (9,308,505)

              
  

Iron/Steel - 3.11%

   

TOTAL NET ASSETS

100.00%

 

 $   38,035,984

      11,550

 

Allegheny Technologies, Inc.

 

           1,183,298

 

 

       
      

 Percentages indicated are based upon total net assets of $38,035,984

  

Lodging - 2.69%

           

      11,850

 

Las Vegas Sands Corp. * +

 

           1,022,418

 

 *   Non-income producing securities.

    
      

 +   All or a portion of the security is on loan.

    
  

Media - 2.96%

           

      17,450

 

McGraw-Hill Cos., Inc. (The)

 

           1,127,445

 

 (a) Represents cost for financial reporting purposes.    Aggregate cost for federal

      

 tax purposes is $41,290,165 and differs from market value by net unrealized  

  

Metal Fabrication - 4.31%

   

 appreciation (depreciation) of securities as follows:

    

      18,025

 

Precision Castparts Corp.

 

           1,639,734

         
        

Unrealized appreciation:

  

 $        6,511,191

  

Pharmaceuticals - 4.42%

     

Unrealized depreciation:

  

            (456,867)

      23,500

 

Gilead Sciences, Inc. *

 

           1,681,660

   

Net unrealized appreciation:

  

 $        6,054,324

              
  

Real Estate - 4.50%

           

      51,405

 

CB Richard Ellis Group, Inc. * +

 

           1,712,815

         
              
  

Retailing - 6.53%

           

      35,485

 

CVS Corp. +

 

           1,114,584

         

      25,775

 

Nordstrom, Inc.

 

           1,368,395

         
    

           2,482,979

         
              
              
  

See accompanying notes to financial statements.

         





SCHEDULES OF INVESTMENTS

MID CAPITALIZATION PORTFOLIO (Unaudited)

February 28, 2007

             

Shares

   

  Value

 

Shares

    

  Value

  

Common Stocks - 99.98%

     

Electronics - Semiconductors/

    
  

Aerospace/Defense - 1.94%

     

   Components - 4.35%

    

        4,125

 

Alliant Techsystems, Inc. * +

 

 $         357,018

 

           6,250

 

Arrow Electronics, Inc. *

  

 $           239,500

      

           7,125

 

Avnet, Inc. * +

  

              260,561

  

Agriculture - 1.11%

   

           3,450

 

Mettler Toledo International, Inc. *

 

              297,942

        5,925

 

Archer-Daniels-Midland Co. +

 

            203,701

      

              798,003

             
  

Auto Parts & Equipment - 0.41%

     

Engineering & Construction - 1.72%

   

        1,325

 

Autoliv, Inc. +

 

              75,591

 

           6,550

 

McDermott International, Inc. *

  

              315,710

             
  

Banks - 8.83%

     

Financial Services - 5.46%

    

        5,775

 

BOK Financial Corp.

 

            289,500

 

           4,450

 

Affiliated Managers Group, Inc. * +

 

              505,075

        1,950

 

City National Corp.

 

            140,751

 

           4,050

 

Federated Investors, Inc.

  

              144,869

        4,350

 

Marshall & Ilsley Corp.

 

            206,755

 

         35,300

 

Friedman Billings Ramsey Group, Inc. +

 

              239,334

        6,925

 

MB Financial, Inc.

 

            254,770

 

           1,100

 

Legg Mason, Inc.

  

              113,014

        4,450

 

People's Bank +

 

            197,536

      

           1,002,292

      10,650

 

Synovus Financial Corp.

 

            344,740

        

        2,200

 

Zions Bancorp

 

            187,836

   

Foods - 1.60%

    
    

         1,621,888

 

           8,050

 

Hormel Foods Corp.

  

              293,825

             
  

Building Materials - 3.00%

     

Hand/Machine Tools - 2.58%

    

      16,075

 

Lennox International, Inc.

 

            551,694

 

           5,625

 

Black & Decker Corp.

  

              474,019

             
  

Chemicals - 3.35%

     

Healthcare Products & Services - 5.13%

   

        4,550

 

FMC Corp.

 

            334,744

 

           4,850

 

Coventry Health Care, Inc. *

  

              263,937

      10,375

 

Valspar Corp.

 

            281,266

 

           8,625

 

Lincare Holdings, Inc.  *

  

              336,806

    

            616,010

 

           6,300

 

Pediatrix Medical Group, Inc.  *

  

              340,830

           

              941,573

  

Commercial  Services- 5.57%

          

        6,125

 

Apollo Group, Inc. * +

 

            289,651

   

Home Furnishings - 1.50%

    

      10,575

 

Equifax, Inc. +

 

            409,464

 

           3,125

 

Whirlpool Corp. +

  

              275,656

        8,925

 

RR Donnelley & Sons Co.

 

            322,907

        
    

         1,022,022

   

Household Products/Wares - 0.79%

   
      

           3,275

 

Scotts Miracle-Gro Co. (The) +

  

              144,460

  

Distribution/Wholesale - 5.84%

          

        3,300

 

CDW Corp.

 

            204,864

   

Insurance Multi-Line - 2.71%

    

        5,650

 

Watsco, Inc. +

 

            284,591

 

           9,125

 

HCC Insurance Holdings, Inc.

  

              286,069

        5,575

 

WESCO International, Inc. *

 

            372,020

 

           4,775

 

Protective Life Corp.

  

              212,058

        2,725

 

WW Grainger, Inc.

 

            210,234

      

              498,127

    

         1,071,709

        
        

Leisure Time - 1.04%

    
  

Drugs & Pharmaceuticals - 5.83%

   

           3,125

 

Brunswick Corp. +

  

              102,031

        6,250

 

Barr Pharmaceuticals, Inc. *

 

            331,250

 

           1,350

 

Harley-Davidson, Inc.

  

                88,965

      10,850

 

Endo Pharmaceuticals Holdings, Inc.  *

 

            338,629

      

              190,996

        9,650

 

Omnicare, Inc.

 

            400,861

        
    

         1,070,740

   

Machinery-Diversified - 3.68%

    
      

           7,500

 

Graco, Inc.

  

              303,825

  

Electrical Equipment &

   

           6,000

 

Rockwell Automation, Inc. +

  

              372,540

  

   Components - 1.52%

        

              676,365

        5,575

 

General Cable Corp. * +

 

            278,471

        
             
             
             
  

See accompanying notes to financial statements.

        
             
             

SCHEDULES OF INVESTMENTS

 

 

 

 

 

 

 

MID CAPITALIZATION PORTFOLIO (Unaudited) (Continued)

    

February 28, 2007

          
             

Shares

   

  Value

 

Shares

    

  Value

  

Manufacturing - 3.96%

          

        3,775

 

Parker Hannifin Corp.

 

 $         311,022

   

Short-Term Investments - 0.50%

   

        7,000

 

Pentair, Inc. +

 

            218,540

 

         92,588

 

Milestone Treasury Obligation Portfolio,

   

        2,950

 

Teleflex, Inc.

 

            197,414

   

   Institutional Class,

    
    

            726,976

   

   to yield 5.10%, 3/1/07

    
        

   (Cost $92,588)

  

 $           92,588

  

Office Furnishings - 2.25%

          

        8,275

 

HNI Corp. +

 

            413,750

   

Collateral Received for Securities

   
        

Loaned - 20.65%

    
  

Oil & Gas - 7.47%

   

3,789,999

 

Bank of New York Institutional Cash

   

        7,275

 

Denbury Resources, Inc. *

 

            209,811

   

Reserve Fund, to yield 5.31%, 3/1/07

   

        3,275

 

Grant Prideco, Inc. *

 

            142,168

   

   (Cost $3,789,999)

  

        3,789,999

        4,075

 

Oil States International, Inc. * +

 

            119,601

        

      10,175

 

Southwestern Energy Co. *

 

            396,825

 

TOTAL INVESTMENTS

    

        5,400

 

Tidewater, Inc.

 

            280,638

 

   (Cost $21,038,253) (a)

121.12%

 

 $   22,241,238

        3,325

 

Universal Compression Holdings, Inc. *

            222,609

        
    

         1,371,652

 

Liabilities in excess other assets

-21.12%

 

         (3,878,578)

             
  

Real Estate - 0.67%

   

TOTAL NET ASSETS

100.00%

 

 $   18,362,660

        3,675

 

CB Richard Ellis Group, Inc. *

 

            122,451

 

 

      
      

 Percentage indicated are based on net assets of $18,362,660

   
  

Retail - 9.73%

          

      11,650

 

Autonation, Inc. * +

 

            255,834

 

 *   Non-income producing securities.

    

        1,475

 

Autozone, Inc. *

 

            184,803

 

 +   All or a portion of the security is on loan.

    

        3,425

 

Barnes & Noble, Inc.

 

            140,220

        

        5,625

 

Bed Bath & Beyond, Inc. *

 

            224,381

 

 (a) Represents cost for financial reporting purposes.    Aggregate cost for federal

      12,750

 

Dollar General Corp. +

 

            215,220

 

 tax purposes is $21,038,253 and differs from market value by net unrealized  

        4,825

 

Men's Warehouse, Inc.

 

            213,651

 

 appreciation (depreciation) of securities as follows:

   

      11,300

 

Triarc Cos., Inc.

 

            203,739

        

      10,325

 

Williams-Sonoma, Inc. +

 

            348,572

   

Unrealized appreciation:

  

 $        1,510,001

    

         1,786,420

   

Unrealized depreciation:

  

            (307,016)

        

Net unrealized appreciation:

  

 $        1,202,985

  

Security Services - 1.75%

          

      14,225

 

Check Point Software

          
  

   Technologies, Ltd. * +

 

            321,201

        
             
  

Textiles - 2.42%

          

      11,000

 

Cintas Corp.

 

            444,180

        
             
  

Transportation - 0.51%

          

        2,100

 

Landstar System, Inc.

 

              93,849

        
             
  

Utilities - Electrical - 3.26%

          

        9,450

 

DPL, Inc.  +

 

            285,107

        

      11,850

 

MDU Resources Group, Inc.

 

            313,195

        
    

            598,302

        
             
  

Total Common Stocks (Cost $17,155,666)

    18,358,651

        
             
             
  

See accompanying notes to financial statements.

        





SCHEDULES OF INVESTMENTS

SMALL CAPITALIZATION PORTFOLIO (Unaudited)

February 28, 2007

                
                

Shares

    

  Value

 

 Shares

     

  Value

  

Common Stocks - 99.46%

       

Insurance - 5.12%

    
  

Aerospace/Defense - 2.53%

     

      13,700

 

IPC Holdings, Ltd.

  

 $           398,122

      17,600

 

K&F Industries Holdings, Inc. * +

  

 $           432,784

 

      10,800

 

Protective Life Corp.

  

              479,628

              

              877,750

  

Apparel - 1.52%

             

      10,800

 

Carter's, Inc. *

  

              259,524

   

Manufacturing - 8.59%

    
        

        8,100

 

A.O. Smith Corp.  

  

              313,227

  

Automotive Equipment &

     

      14,200

 

Albany International Corp., Class A

 

              485,640

  

   Manufacturing - 1.25%

     

        9,000

 

Clarcor, Inc.

  

              278,910

        2,900

 

BorgWarner, Inc. +

  

              213,556

 

        5,900

 

Teleflex, Inc.

  

              394,828

              

           1,472,605

  

Banks - 9.27%

             

        9,100

 

Boston Private Financial Holdings, Inc. +

 

              262,535

   

Medical Products - 7.03%

    

        7,100

 

First Midwest Bancorp, Inc.  +

  

              267,102

 

      14,700

 

Owens & Minor, Inc.

  

              484,659

      12,800

 

Hanmi Financial Corp.

  

              249,984

 

        8,400

 

PolyMedica Corp.  

  

              347,760

        7,500

 

Provident Bankshares Corp. +

  

              257,325

 

        8,200

 

West Pharmaceutical Services, Inc.

 

              371,132

      14,300

 

UCBH Holdings, Inc. +

  

              272,558

       

           1,203,551

      10,300

 

Umpqua Holdings Corp. +

  

              278,203

        
     

           1,587,707

   

Metal Fabrication/Hardware - 1.46%

   
        

      16,800

 

Mueller Water Products, Inc. +

 

              250,320

  

Chemicals - 2.43%

             

      17,800

 

RPM, Inc.

  

              416,520

   

Oil & Gas - 9.09%

    
        

        6,600

 

Cimarex Energy Co. +

  

              230,406

  

Collectibles - 2.42%

     

        7,200

 

Lone Star Technologies, Inc. *

 

              342,216

      10,500

 

RC2 Corp. * +

  

              414,960

 

      10,600

 

Oil States International, Inc. *

 

              311,110

        

      19,700

 

Piedmont Natural Gas Co., Inc. +  

 

              495,061

  

Containers & Packaging - 2.57%

     

      14,800

 

Pioneer Drilling Co. *

  

              178,488

        6,700

 

AptarGroup, Inc.

  

              440,860

       

           1,557,281

               
  

Cosmetics & Personal Care - 1.68%

      

REITS - 7.81%

    

        5,400

 

Chattem, Inc. * +

  

              288,198

 

      24,200

 

Highland Hospitality Corp. +

 

              397,122

        

      13,900

 

Senior Housing Properties Trust

 

              332,766

  

Electric - 2.04%

     

      16,000

 

Strategic Hotels & Resorts, Inc.

 

              336,480

      19,500

 

Pike Electric Corp. * +

  

              349,440

 

        9,600

 

Sunstone Hotel Investors, Inc. +

 

              272,064

              

           1,338,432

  

Electronic Components - 1.51%

             

      11,800

 

Technitrol, Inc.

  

              259,482

   

Restaurants - 3.14%

    
     

 

 

      13,000

 

Applebees International, Inc.

 

              332,280

  

Energy & Utilities - 1.62%

     

        4,400

 

CBRL Group, Inc. +

  

              205,304

        3,300

 

Questar Corp. +

  

              277,662

       

              537,584

               
  

Food - 2.25%

       

Retail - 6.19%

    

      26,600

 

Chiquita Brands International, Inc. +

  

              385,700

 

      13,600

 

BJ's Wholesale Club, Inc. *

  

              439,008

        

        7,800

 

Claires Stores, Inc. +

  

              250,692

  

Food Processing - 1.10%

     

      16,950

 

Stage Stores, Inc. +

  

              371,714

        6,400

 

Performance Food Group Co. * +

  

              188,608

       

           1,061,414

                
  

Household Products - 8.05%

       

Semiconductor - 3.64%

    

      10,800

 

Church & Dwight Co., Inc.

  

              517,860

 

      54,700

 

ON Semiconductor Corp. *  +

 

537,154

      34,100

 

Prestige Brands Holdings, Inc. *

  

              390,786

 

        2,300

 

Diodes, Inc. *

  

86,342

      20,100

 

Tupperware Corp. +

  

              470,541

       

623,496

     

           1,379,187

         
                
  

See accompanying notes to financial statements.

          
                
                

SCHEDULES OF INVESTMENTS

SMALL CAPITALIZATION PORTFOLIO (Unaudited) (Continued)

    

February 28, 2007

             
                

Shares

    

  Value

         
  

Telecommunications - 0.95%

             

      14,200

 

Aeroflex, Inc. * +

  

 $           162,306

         
                
  

Transportation - 6.21%

             

        7,600

 

Arkansas Best Corp.

  

              299,972

         

        9,000

 

Bristow Group, Inc. * +

  

              329,850

         

      11,100

 

OMI Corp.

  

              247,197

         

        4,300

 

YRC Worldwide, Inc. * +

  

              186,964

         
     

           1,063,983

         
                
  

Total Common Stocks (Cost $12,738,920)

 

      17,042,910

         
                
  

Short-Term Investments - 1.06%

            

182,027

 

Milestone Treasury Obligation Portfolio,

            
  

   Institutional Class,

             
  

   to yield 5.10%, 3/1/07

             
  

   (Cost $182,027)

  

            182,027

         
                
  

Collateral Received for Securities

            
  

Loaned - 29.63%

             

5,077,736

 

Bank of New York Institutional Cash

             
  

Reserve Fund, to yield 5.31%, 3/1/07

       

                -

   
  

   (Cost $5,077,736)

  

        5,077,736

         
                

TOTAL INVESTMENTS

             

   (Cost $17,998,683) (a)

130.15%

 

 $   22,302,673

         
                

Liabilities in excess of other assets

-30.15%

 

         (5,166,882)

         
                

TOTAL NET ASSETS

100.00%

 

 $   17,135,791

         

 

               

Percentages indicated are based upon total net assets of $17,135,791

         
                

 *   Non-income producing securities.

             

 +   All or a portion of the security is on loan.

             
                

 (a) Represents cost for financial reporting purposes.    Aggregate cost for federal

      

 tax purposes is $17,998,683 and differs from market value by net unrealized  

         

 appreciation (depreciation) of securities as follows:

            
                
  

Unrealized appreciation:

  

 $        4,440,152

         
  

Unrealized depreciation:

  

            (136,162)

         
  

Net unrealized appreciation:

  

 $        4,303,990

         
                
                
  

See accompanying notes to financial statements.

          





SCHEDULES OF INVESTMENTS

INTERNATIONAL EQUITY PORTFOLIO  (Unaudited)

February 28, 2007

               

Shares

   

  Value

 

Shares

     

  Value

  

Common Stocks - 98.01%

      

ITALY - 3.87%

    
  

AUSTRIA - 3.91%

      

Banks - 1.99%

    
  

Steel - 3.91%

    

           7,200

 

Intesa Sanpaulo, ADR *

  

 $           314,143

      33,500

 

Bóhler-Uddeholm AG, ADR

 

 $           615,653

         
         

Oil - 1.87%

    
  

BELGIUM - 1.96%

    

           4,800

 

Eni S.p.A., ADR

  

              293,904

  

Banks - 1.96%

            

        7,200

 

Fortis ADR

 

              309,293

   

TOTAL ITALY

  

              608,047

               
  

BRAZIL - 2.53%

      

JAPAN - 20.50%

    
  

Oil & Gas - 2.53%

      

Automobiles - 4.96%

    

        4,400

 

Petroleo Brasileiro SA, ADR

 

              397,760

 

         12,050

 

Honda Motor Co., Ltd., ADR

  

              447,417

       

           2,500

 

Toyota Motor Corp., ADR

  

              333,750

  

FRANCE - 12.35%

          

              781,167

  

Building Materials - 4.42%

            

      18,650

 

Lafarge SA

 

              696,018

   

Banking & Finance - 7.29%

    
       

         25,450

 

Mitsubishi UFJ Financial, ADR

  

              310,999

  

Commercial Banking - 3.58%

    

         24,000

 

Nomura Holdings, Inc., ADR

  

              517,440

      10,800

 

BNP Paribas SA, ADR

 

              563,091

 

           3,000

 

Shizuoka Bank, Ltd., ADR

  

              320,294

             

           1,148,733

  

Computer Software - 1.45%

            

        4,500

 

Dassault Systemes SA, ADR

 

              228,780

   

Leisure & Recreation - 1.96%

    
       

         49,200

 

Sega Sammy Holdings, Inc., ADR

  

              307,800

  

Insurance - 2.90%

            

      10,700

 

AXA SA, ADR

 

              456,783

   

Metal Processing - 2.54%

    
       

           4,600

 

NSK, Ltd., ADR

  

              400,658

  

TOTAL FRANCE

 

           1,944,672

         
         

Photo/Office Equipment - 1.85%

    
  

GERMANY - 10.62%

    

           5,400

 

Canon, Inc., ADR

  

              291,978

  

Apparel - 2.01%

            

      12,900

 

Adidas - Salomon AG, ADR

 

              315,586

   

Retail - 1.89%

    
       

         14,300

 

Aeon Co., Ltd., ADR

  

              298,105

  

Auto Parts & Equipment - 1.46%

            

        1,850

 

Continental AG

 

              230,202

   

TOTAL JAPAN

  

           3,228,441

              
  

Banking & Finance - 2.75%

     

MEXICO - 4.18%

    

        3,300

 

Deutsche Bank AG

 

              433,323

   

Building Materials - 2.31%

    
       

         10,700

 

Cemex SA de CV *

  

              363,586

  

Diversified Manufacturing - 1.61%

           

        2,400

 

Siemens AG, ADR

 

              253,536

   

 Media - 1.87%

    
       

         10,800

 

Grupo Televisa SA

  

              294,732

  

Electrical Utilities - 2.79%

           

        4,300

 

RWE Aktiengesellschaf SP, ADR

 

              439,639

   

TOTAL MEXICO

  

              658,318

              
  

TOTAL GERMANY

 

           1,672,286

         
               
              
  

See accompanying notes to financial statements.

         
               
               

SCHEDULES OF INVESTMENTS

 

 

 

 

 

 

 

INTERNATIONAL EQUITY PORTFOLIO (Unaudited) (Continued)

February 28, 2007

            
               

Shares

   

  Value

 

Shares

     

  Value

  

SOUTH KOREA - 2.27%

      

Short-Term Investments - 1.96%

   
  

Banks- 2.27%

    

       308,269

 

Milestone Treasury Obligation Portfolio,

   

        4,000

 

Kookmin Bank *

 

 $           357,360

   

   Institutional Class,

    
         

   to yield 5.10%, 3/1/07

    
  

SWEDEN - 9.50%

      

   (Cost $308,269)

 

   (Cost $0)

 $        308,269

  

Banks - 2.76%

           

      12,700

 

Swedbank AB, ADR

 

435,306

 

TOTAL INVESTMENTS

    
       

   (Cost $13,220,551) (a)

99.98%

 

 $   15,743,927

  

Metal Processing - 6.74%

           

32,800

 

Sandvik AB, ADR

 

514,212

 

Assets in excess of other liabilities

0.02%

 

                  3,773

29,400

 

SFK AB, ADR

 

546,808

         
    

1,061,020

 

TOTAL NET ASSETS

100.00%

 

 $   15,747,700

       

 

       
  

TOTAL SWEDEN

 

           1,496,326

 

 Percentage indicated are based upon total net assets of  $15,747,700

               
  

SWITZERLAND - 11.45%

    

* Non-incoming producing security.

    
  

Financial Services - 3.52%

            

        8,000

 

Credit Suisse Group, ADR

 

              554,000

 

ADR-American Depositary Receipt

    
               
  

Food & Food Services - 3.07%

    

 (a) Represents cost for financial reporting purposes.    Aggregate cost for federal

        5,200

 

Nestle SA, ADR

 

              483,295

 

 tax purposes is $13,220,551 and differs from market value by net unrealized  

       

 appreciation (depreciation) of securities as follows:

   
  

Pharmaceuticals - 4.86%

            

        5,300

 

Novartis AG, ADR

 

              293,779

   

Unrealized appreciation:

  

 $        2,727,233

        5,300

 

Roche Holding AG, ADR

 

              471,757

   

Unrealized depreciation:

  

            (203,857)

    

              765,536

   

Net unrealized appreciation:

  

 $        2,523,376

               
  

TOTAL SWITZERLAND

 

           1,802,831

         
               
  

UNITED KINGDOM - 14.89%

            
  

Banks - 2.97%

            

        4,100

 

Barclays PLC, ADR

 

              239,973

         

        2,600

 

HSBC Holdings PLC

 

              227,760

         
    

              467,733

         
  

Beverages - 1.51%

            

        3,000

 

Diaego PLC

 

              238,170

         
               
  

Food & Food Services - 1.66%

            

      10,300

 

Tesco PLC, ADR

 

              261,602

         
               
  

Software - 3.47%

            

      27,100

 

Sage Group PLC, ADR

 

              545,962

         
               
  

Telecommunications - 5.28%

            

        4,800

 

BT Group PLC, ADR

 

              278,784

         

      19,800

 

Vodafone Group PLC

 

              552,420

         
    

              831,204

         
               
  

TOTAL UNITED KINGDOM

 

           2,344,671

         
               
               
  

Total Common Stocks (Cost $12,912,282)

      15,435,658

         
               
              
  

See accompanying notes to financial statements.

         





SCHEDULES OF INVESTMENTS

HEALTH & BIOTECHNOLOGY PORTFOLIO (Unaudited)

February 28, 2007

              

Shares

   

  Value

 

Shares

     

  Value

  

Common Stocks - 98.34%

     

Short-Term Investments - 1.08%

   
  

Biotechnology - 17.46%

   

310,865

 

Milestone Treasury Obligation Portfolio,

   

      25,700

 

Amgen, Inc. *

 

 $        1,651,482

   

   Institutional Class,

    

      98,021

 

Cell Genesys, Inc. * +

 

              317,588

   

   to yield 5.10%, 3/1/07

    

      11,500

 

Genentech, Inc. * +

 

              970,255

   

   (Cost $310,865)

  

 $        310,865

      13,000

 

Genzyme Corp. *

 

              803,400

         

      20,000

 

Human Genome Sciences, Inc. * +

 

              220,000

   

Collateral Received for Securities

   

      33,000

 

MedImmune, Inc. * +

 

           1,053,030

   

Loaned - 26.56%

    
    

           5,015,755

 

7,627,512

 

Bank of New York Institutional Cash

    
        

Reserve Fund, to yield 5.31%, 3/1/07

   
  

Healthcare - Equipment

     

   (Cost $7,627,512)

  

        7,627,512

  

   & Supplies - 35.76%

           

      41,400

 

Affymetrix, Inc. * +

 

           1,065,222

 

TOTAL INVESTMENTS

    

        3,000

 

Applera Corp. - Applied Biosystems

 

                92,640

 

   (Cost $36,111,274) (a)

125.98%

 

 $   36,179,953

      15,000

 

Charles River Laboratories Int'l., Inc. *

 

              687,750

         

      21,000

 

Conceptus, Inc. *

 

              394,380

 

Liabilities in excess of other assets

-25.98%

 

         (7,459,802)

      28,000

 

Invitrogen Corp. * +

 

           1,771,000

         

      37,500

 

Medtronic, Inc. +

 

           1,888,500

 

TOTAL NET ASSETS

100.00%

 

 $   28,720,151

      17,400

 

Quest Diagnostics, Inc. +

 

              887,748

         

      13,000

 

Stryker Corp. +

 

              806,260

 

 

       

      22,000

 

Techne Corp. *  +

 

           1,239,040

 

 Percentages indicated are based on net assets of $28,720,151

   

      26,500

 

Waters Corp. * +

 

           1,437,890

         
    

         10,270,430

 

 *   Non-income producing securities.

    
      

 +   All or a portion of the security is on loan.

    
  

Healthcare - Providers

           
  

   & Service - 5.94%

   

 (a) Represents cost for financial reporting purposes.    Aggregate cost for federal

      25,500

 

AmerisourceBergen Corp.

 

           1,343,085

 

 tax purposes is $36,111,274 and differs from market value by net unrealized  

        9,000

 

IMS Health, Inc.

 

              259,920

 

 appreciation (depreciation) of securities as follows:

   

        2,000

 

UnitedHealth Group, Inc.

 

              104,400

         
    

           1,707,405

   

Unrealized appreciation:

  

 $        2,541,360

        

Unrealized depreciation:

  

         (2,472,681)

  

Pharmaceuticals - 39.16%

     

Net unrealized appreciation:

  

 $             68,679

      13,000

 

AstraZeneca PLC

 

              729,690

         

      53,156

 

Corcept Therapeutics, Inc. * +

 

                58,471

         

      24,000

 

Eli Lilly & Co.

 

           1,263,360

         

        4,000

 

GlaxoSmithKline PLC

 

              224,680

         

      23,000

 

Johnson & Johnson

 

           1,450,150

         

      44,000

 

King Pharmaceuticals, Inc. * +

 

              820,600

         

      20,000

 

Medicis Pharmaceutical Corp., Class A  +

              727,200

         

      39,000

 

Mylan Laboratories, Inc. +

 

              825,630

         

      11,500

 

Novartis, AG *

 

              637,445

         

      62,500

 

Pfizer, Inc.

 

           1,560,000

         

      60,000

 

Teva Pharmaceutical Industries, Ltd.  +

 

           2,133,600

         

      31,000

 

Watson Pharmaceuticals, Inc. * +

 

              817,160

         
    

         11,247,986

         
              
  

Total Common Stocks (Cost $28,172,897)

      28,241,576

         
              
              
  

See accompanying notes to financial statements.

         





SCHEDULES OF INVESTMENTS

 

TECHNOLOGY & COMMUNICATIONS PORTFOLIO (Unaudited)

 

February 28, 2007

 
               

Shares

    

  Value

 

Shares

     

  Value

  

Common Stocks - 99.52%

      

Energy - Alternate Sources - 1.50%

   
  

Advertising - 2.19%

    

        5,940

 

First Solar, Inc. * +

  

 $           283,635

        2,300

 

Focus Media Holding, Ltd. *

  

 $           184,230

         

        3,580

 

Lamar Advertising Co. *

  

              229,299

   

Media - 2.68%

    
     

              413,529

 

      12,950

 

Comcast Corp. * +

  

              333,074

       

        8,500

 

Time Warner, Inc.

  

              172,975

  

Aerospace/Defense - 3.21%

          

              506,049

        6,240

 

Lockheed Martin Corp.

  

              607,027

         
         

Semiconductors - 7.22%

    
  

Consumer Discretionary - 11.59%

    

        4,191

 

IPG Photonics Corp. *

  

                97,189

        2,953

 

Alliance Data Systems Corp. * +

  

              176,441

 

        4,000

 

MEMC Electronic Materials, Inc. *

 

              206,280

        3,560

 

Celgene Corp. * +

  

              189,748

 

        7,200

 

Netlogic Microsystems, Inc. * +

 

              179,568

        5,560

 

Genentech, Inc. *

  

              469,097

 

      38,900

 

ON Semiconductor Corp. * +

  

              381,998

        5,300

 

Hologic, Inc. * +

  

              291,765

 

      11,700

 

Silicon  Motion Technology Corp. *

 

              244,062

        2,760

 

Intuitive Surgical, Inc. * +

  

              306,636

 

        9,000

 

Sirf Technology Holdings, Inc. * +

 

              257,310

        8,250

 

Shire Pharmaceuticals, ADR

  

              531,878

       

           1,366,407

        5,700

 

St. Jude Medical, Inc. *

  

              226,005

         
     

           2,191,570

   

Telecommunication Services - 8.31%

  
       

        8,890

 

American Tower Corp. *

  

              344,399

  

Electronics - 5.03%

    

      13,300

 

Arris Group, Inc. *

  

              174,762

        4,400

 

Belden CDT, Inc. +

  

              204,028

 

        8,000

 

CommScope, Inc. * +

  

              307,760

        9,490

 

Thermo Electron Corp. *

  

              429,612

 

        9,251

 

NeuStar, Inc., Class A * +

  

              296,032

      12,000

 

Trimble Navigation, Ltd. * +

  

              317,520

 

        6,300

 

OpNext, Inc. *

  

              106,155

     

              951,160

 

      18,500

 

Sonus Networks, Inc. *

  

              142,265

       

        5,600

 

Telefonaktiebolaget LM Ericsson

 

              200,256

  

Information Technology - 57.79%

          

           1,571,629

      14,080

 

Adobe Systems, Inc. *

  

              552,640

         

        4,660

 

Akamai Technologies, Inc. * +

  

              240,316

   

Total Common Stocks (Cost $14,735,932)

      18,816,440

      10,410

 

Apple Computer, Inc. *

  

              880,790

         

      22,930

 

Applied Materials, Inc. * +

  

              425,810

   

Short-Term Investments - 0.93%

 

        9,600

 

ASM Lithography Holding N.V.

  

              235,968

 

    175,685

 

Milestone Treasury Obligation Portfolio,

 
  

   (New York Registered Shares) * +

      

   Institutional Class,

    

        6,100

 

Blue Coat Systems, Inc. * +

  

              197,213

   

   to yield 5.10%, 3/1/07

    

      12,070

 

Broadcom Corp., Class A * +

  

              411,466

   

   (Cost $175,685)

  

            175,685

      33,170

 

Cisco Systems, Inc. *

  

              860,430

         

        2,330

 

Cognizant Technology Solutions Corp. *

 

              210,166

         

        8,900

 

eBay, Inc. *

  

              285,334

   

Collateral Received for Securities

 

        2,400

 

Equinix, Inc. * +

  

              198,408

   

Loaned - 29.16%

    

        3,670

 

F5 Networks, Inc. *

  

              266,515

 

5,513,295

 

Bank of New York Institutional Cash

   

        5,470

 

Fiserv, Inc. *

  

              289,691

   

Reserve Fund, to yield 5.31%, 3/1/07

   

        1,920

 

Google, Inc. *

  

              862,944

   

   (Cost $5,513,295)

  

        5,513,295

      14,910

 

Hewlett-Packard Co.

  

              587,156

         

      11,430

 

Internap Network Services Corp. * +

  

              215,113

         

        6,950

 

International Business Machines Corp.

 

              646,420

         

      28,030

 

Microsoft Corp.

  

              789,605

         

      11,810

 

Network Appliance, Inc. * +

  

              456,693

         

        5,630

 

NII Holdings, Inc. * +

  

              398,829

         

      20,320

 

Oracle Corp. *

  

              333,858

         

      17,960

 

Qualcomm, Inc.

  

              723,429

         

        1,430

 

Research In Motion, Ltd. * +

  

              201,072

         

        6,130

 

RiverBed Technology, Inc. * +

  

              195,118

         

        9,000

 

Synopsys, Inc. *

  

              230,220

         

        9,100

 

VeriSign, Inc. * +

  

              230,230

         
     

         10,925,434

         
               
  

See accompanying notes to financial statements.

         
               
               

SCHEDULES OF INVESTMENTS

 

 

 

 

 

 

 

 

 

TECHNOLOGY & COMMUNICATIONS PORTFOLIO (Unaudited) (Continued)

 

February 28, 2007

            
               

TOTAL INVESTMENTS

            

   (Cost $20,424,912) (a)

129.61%

 

 $   24,505,420

         
               

Liabilities in excess of other assets

-29.61%

 

         (5,599,616)

         
               

TOTAL NET ASSETS

100.00%

 

 $   18,905,804

         
               

 Percentages indicated are based on net assets of $18,905,804

          
               

 *   Non-income producing securities.

            

 +   All or a portion of the security is on loan.    

            
               

ADR - American Depositary Receipt

            
               

 (a) Represents cost for financial reporting purposes.    Aggregate cost for federal

        

 tax purposes is $20,424,912 and differs from market value by net unrealized  

         

 appreciation (depreciation) of securities as follows:

           
               
  

Unrealized appreciation:

  

 $        4,263,396

         
  

Unrealized depreciation:

  

            (182,888)

         
  

Net unrealized appreciation:

  

 $        4,080,508

         
               
               

Schedule of Call Options Written

            
               

Contracts

    

  Value

         

           121

 

Applied Materials, Inc.

            
  

   Expiration July 2007, Exercise Price $19.00

           
               
  

(Proceeds $12,463)

  

 $           14,520

         
               
               
  

See accompanying notes to financial statements.

          





SCHEDULES OF INVESTMENTS

ENERGY & BASIC MATERIALS PORTFOLIO (Unaudited)

February 28, 2007

              

Shares

   

  Value

 

Shares

     

  Value

  

Common Stocks - 91.81%

     

Oil - Integrated Domestic - 13.02%

    
  

Chemicals - 5.10%

   

           5,600

 

ChevronTexaco Corp.

  

 $           384,216

        3,000

 

Air Products and Chemicals, Inc.

 

 $           224,460

 

           7,328

 

ConocoPhillips

  

              479,398

        5,000

 

Praxair, Inc.

 

              308,450

 

           7,000

 

Suncor Energy, Inc.

  

              497,910

    

              532,910

       

           1,361,524

              
  

Coal - 10.96%

     

Total Common Stocks (Cost $7,000,955)

 

        9,599,549

      20,000

 

Alpha Natural Resources, Inc. *

 

              288,600

         

      10,000

 

Consol Energy, Inc.

 

              356,700

   

Short-Term Investments - 8.59%

   

      12,400

 

Peabody Energy Corp.

 

              500,960

 

       897,741

 

Milestone Treasury Obligation Portfolio,

   
    

           1,146,260

   

   Institutional Class,

    
        

   to yield 5.10%, 3/1/07

    
  

General Contractors - 4.26%

     

   (Cost $897,741)

  

            897,741

      15,000

 

Chicago Bridge & Iron Co.

 

              445,950

         
      

TOTAL INVESTMENTS

    
  

Machinery - Construction & Mining - 8.45%

 

   (Cost $7,898,696) (a)

100.40%

 

 $   10,497,290

        8,850

 

Bucyrus International, Inc., Class A

 

              450,907

         

        9,750

 

Joy Global, Inc.

 

              432,315

 

Liabilities in excess of other assets

-0.40%

 

              (41,762)

    

              883,222

         
      

TOTAL NET ASSETS

100.00%

 

 $   10,455,528

  

Oil Comp - Exploration & Production - 8.05%

 

 

       

        8,000

 

Anadarko Petroleum Corp.

 

              321,840

 

 Percentages indicated are based on net assets of $10,455,528

   

        3,800

 

Apache Corp.

 

              260,414

         

        6,000

 

Newfield Exploration Co. *

 

              259,320

 

 *  Non-income producing securities.

    
    

              841,574

         
      

 (a) Represents cost for financial reporting purposes.    Aggregate cost for federal

  

Oil & Gas - Drilling Services - 21.79%

  

 tax purposes is $7,898,696 and differs from market value by net unrealized  

        8,000

 

ENSCO International, Inc.

 

              400,880

 

 appreciation (depreciation) of securities as follows:

   

        4,500

 

GlobalSantaFe Corp.

 

              259,335

         

        8,000

 

Nabors Industries, Ltd. *

 

              239,680

   

Unrealized appreciation:

  

 $        3,023,970

        6,200

 

Noble Corp.

 

              435,364

   

Unrealized depreciation:

  

            (425,376)

      12,000

 

Pride International, Inc. *

 

              345,600

   

Net unrealized appreciation:

  

 $        2,598,594

      12,000

 

Rowan Cos., Inc.

 

              367,560

         

        3,000

 

Transocean, Inc. *

 

              230,040

         
    

           2,278,459

         
              
  

Oil & Gas - Equipment & Services - 20.18%

         

      11,000

 

Dril-Quip, Inc. *

 

              424,380

         

      14,000

 

Halliburton Corp.

 

              432,320

         

        7,000

 

Lone Star Technologies, Inc. *

 

              332,710

         

        6,000

 

National Oilwell Varco, Inc. *

 

              417,840

         

        8,000

 

Schlumberger, Ltd.

 

              502,400

         
    

           2,109,650

         
              
  

See accompanying notes to financial statements.

         





SCHEDULES OF INVESTMENTS

FINANCIAL SERVICES PORTFOLIO (Unaudited)

February 28, 2007

              

Shares

   

  Value

 

Shares

     

  Value

  

Common Stocks - 96.45%

     

Real Estate - 2.02%

    
  

Banks - 31.67%

   

           2,255

 

CB Richard Ellis Group, Inc. *

  

 $             75,137

        2,800

 

Bank of America Corp.

 

 $           142,436

        

        4,325

 

HSBC Holdings PLC

 

                75,520

   

Total Common Stocks (Cost $3,164,297)

 

        3,582,866

           975

 

M&T Bank Corp.

 

              116,922

         

        1,875

 

Mellon Financial Corp.

 

                81,431

   

Short-Term Investments - 3.94%

   

        1,890

 

PNC Financial Services Group, Inc.

 

              138,555

 

       146,644

 

Milestone Treasury Obligation Portfolio,

   

        2,725

 

State Street Corp.

 

              178,514

   

   Institutional Class,

    

        2,225

 

US Bancorp.

 

                79,344

   

   to yield 5.10%, 3/1/07

    

        2,070

 

Wachovia Corp.

 

              114,616

   

   (Cost $146,644)

  

            146,644

        4,900

 

Wells Fargo & Co.

 

              170,030

         

           925

 

Zions Bancorp.

 

                78,977

 

TOTAL INVESTMENTS

    
    

           1,176,345

 

   (Cost $3,310,941) (a)

100.39%

 

 $     3,729,510

              
  

Diversified Financials - 41.09%

   

Liabilities in excess of other assets

-0.39%

 

              (14,664)

        2,650

 

American Express Co.

 

              150,706

         

           710

 

Blackrock, Inc.

 

              112,918

 

TOTAL NET ASSETS

100.00%

 

 $     3,714,846

           215

 

Chicago Mercantile Exchange Hldg., Inc.

              115,913

 

 

       

        2,545

 

Citigroup, Inc.

 

              128,268

 

 Percentages indicated are based on net assets of $3,714,846

   

        5,325

 

E*Trade Financial Corp. *

 

              122,954

         

        1,700

 

Freddie Mac

 

              109,106

 

 *   Non-income producing securities.

    

           775

 

Goldman Sachs Group, Inc.

 

              156,240

         

        2,425

 

Lazard, Ltd., Class A

 

              124,863

 

 (a) Represents cost for financial reporting purposes.    Aggregate cost for federal

        2,065

 

Lehman Brothers Holdings, Inc.

 

              151,365

 

 tax purposes is $3,310,941 and differs from market value by net unrealized  

        8,175

 

Man Group, PLC

 

                87,955

 

 appreciation (depreciation) of securities as follows:

   

        1,693

 

Merrill Lynch & Co., Inc.

 

              141,670

         

        2,675

 

T. Rowe Price Group, Inc.

 

              124,548

   

Unrealized appreciation:

  

 $           477,379

    

           1,526,506

   

Unrealized depreciation:

  

              (58,810)

        

Net unrealized appreciation:

  

 $           418,569

  

Insurance - 21.67%

           

        2,550

 

Aflac, Inc.

 

              120,360

         

           875

 

AMBAC Financial Group, Inc.

 

                76,685

         

        2,402

 

American International Group, Inc.

 

              161,174

         

             45

 

Berkshire Hathaway, Inc., Class B *

 

              158,535

         

        3,150

 

Chubb Corp.

 

              160,808

         

        1,400

 

Prudential Financial, Inc.

 

              127,316

         
    

              804,878

         
              
  

See accompanying notes to financial statements.

         





SCHEDULES OF INVESTMENTS

INVESTMENT QUALITY BOND PORTFOLIO (Unaudited)

February 28, 2007

                

Principal

    

  Value

 

Principal

    

  Value

  

U.S. Government

       

Electric Utilities - 3.69%

    
  

   and Agencies - 54.07%

      

         215,000

 

Baltimore Gas & Electric Co.,

   
  

Federal National Mortgage

       

    6.625%, 3/15/08

  

 $           217,886

  

   Association - 29.38%

      

         100,000

 

Potomac Electric Power Co.,

   

         900,000

 

2.65%, 6/30/08

  

 $           873,527

   

   5.875%, 10/15/08

  

              100,895

         300,000

 

3.00%, 8/15/07 +

  

              296,959

 

         249,000

 

Virginia Electric & Power Co.,

   

         100,000

 

4.00%, 3/30/07

  

                99,887

   

   7.625%, 7/1/07

  

              250,790

      2,000,000

 

4.125%, 4/15/14  

  

           1,913,312

      

              569,571

         700,000

 

5.00%, 4/15/15 +

  

              707,174

        

         642,404

 

5.375%, 8/15/11

  

              642,416

   

Financial Services - 25.03%

   
     

           4,533,275

 

         350,000

 

Caterpillar Financial Services,

  
          

   3.67%, 10/4/07

  

              346,514

  

U.S. Treasury Notes - 16.28%

     

         100,000

 

Caterpillar Financial Services,

  

         200,000

 

4.00%, 2/15/14 +

  

              193,609

   

   5.125%, 10/15/07

  

                99,565

      1,500,000

 

4.50%, 11/15/15 +

  

           1,493,907

 

         500,000

 

Countrywide Home Loans, Inc.,

   

         300,000

 

5.125%, 5/15/16 +

  

              312,398

   

  4.125%, 9/15/09

  

              487,663

         500,000

 

4.875%, 8/15/16 +

  

              511,602

 

         150,000

 

General Electric Capital Corp.,

   
     

           2,511,516

   

   3.50%, 10/15/08

  

              145,164

        

           50,000

 

General Electric Capital Corp.,

   
  

U.S. Treasury Inflation

       

   3.20%, 2/15/09

  

                48,009

  

   Protection Securities - 8.41%

      

         400,000

 

Goldman Sachs Group, Inc.,

   

      1,318,416

 

1.875%, 7/15/13

  

           1,298,073

   

   6.65%, 5/15/09

  

              413,345

     

 

 

         100,000

 

Hartford Financial Services Group,

   
  

Total U.S. Government

        

   4.70%, 9/1/07

  

                99,656

  

   and Agencies (Cost $8,270,492)

  

        8,342,864

   

Household Finance Corp.:

    
         

           25,000

 

   6.50%, 4/15/07

  

                25,002

  

Corporate Notes and Bonds - 42.17%

     

           85,000

 

   5.85%, 5/15/07

  

                84,961

  

Aerospace Defense - 0.89%

      

           50,000

 

   6.00%, 10/15/07

  

                49,996

         132,000

 

Raytheon Co., 6.55%, 3/15/10

  

              137,680

 

           50,000

 

   8.00%, 11/15/07

  

                50,701

         

         150,000

 

   3.65%, 3/15/08

  

              146,616

  

Banks - 3.28%

      

         100,000

 

HSBC Finance Corp.,

    

         500,000

 

FleetBoston Financial Corp.,

        

   4.45%,  9/15/08

  

                98,517

  

 6.50%, 3/15/08

  

              506,201

 

         700,000

 

International Lease Finance Corp.

  
           

   4.375%, 11/1/09

  

              687,371

  

Chemicals - 0.64%

      

         800,000

 

J.P. Morgan Chase & Co.,

    

         100,000

 

Monsanto Co.,

        

   3.80%, 10/2/09

  

              776,250

  

   4.00%, 5/15/08

  

                98,583

 

         300,000

 

John Deere Capital Corp.

    
          

   5.40%, 4/7/10

  

              302,007

  

Commercial -MBS - 1.31%

           

           3,861,337

         200,000

 

Citigroup Commercial Mortgage Trust

            
  

   5.378%, 10/15/49

  

              201,894

   

Machinery-Construction & Mining - 0.68%

        

         100,000

 

Caterpillar, Inc.,  6.55%, 5/1/11

 

              105,436

  

Cosmetics & Toiletries - 0.98%

             

         150,000

 

Colgate-Palmolive Co.,

        

Oil/Gas - 2.05%

    
  

   7.84%, 5/15/07

  

              150,682

 

         100,000

 

Laclede Gas Co., 7.50%, 11/1/07

 

              101,335

         

         200,000

 

Ocean Energy, Inc., 7.25%, 10/1/11

 

              215,222

  

Diversified Manufacturing - 2.97%

          

              316,557

         454,000

 

Allied-Signal, 6.20%, 2/1/08

  

              457,144

        
           

Telecommunications - 0.65%

   
         

         100,000

 

Verizon Communications, Inc.,

  
          

   5.35%, 2/15/11

  

              100,688

                
           

Total Corporate Notes and Bonds

   
           

   (Cost $6,529,472)

  

        6,505,773

                
  

See accompanying notes to financial statements.

          
                
                

SCHEDULES OF INVESTMENTS

 

 

 

 

 

 

 

 

 

INVESTMENT QUALITY BOND PORTFOLIO (Unaudited) (Continued)

      

February 28, 2007

             
                

Shares

    

  Value

        
  

Short-Term Investments - 2.72%

            

         420,177

 

Milestone Treasury Obligation Portfolio,

            
  

   Institutional Class,

             
  

   to yield 5.10%, 3/1/07

             
  

   (Cost $420,177)

  

 $        420,177

        
                
  

Collateral Received for Securities

            
  

Loaned - 21.87%

             

3,374,316

 

Bank of New York Institutional Cash

            
  

Reserve Fund, to yield 5.31%, 3/1/07

            
  

   (Cost $3,374,316)

  

        3,374,316

        
                

TOTAL INVESTMENTS

             

   (Cost $18,594,457) (a)

120.83%

 

 $   18,643,130

        
                

Liabilities in excess of other assets

-20.83%

 

         (3,213,610)

        
                

TOTAL NET ASSETS

100.00%

 

 $   15,429,520

        

 

               

Percentages indicated are based upon total net assets of $15,429,520

        
                

 +   All or a portion of the security is on loan.

             
                

 (a) Represents cost for financial reporting purposes.    Aggregate cost for federal

        

 tax purposes is $18,594,457 and differs from market value by net unrealized  

        

 appreciation (depreciation) of securities as follows:

            
                
  

Unrealized appreciation:

  

 $           109,323

        
  

Unrealized depreciation:

  

              (60,650)

        
  

Net unrealized appreciation:

  

 $             48,673

        
                
                
  

See accompanying notes to financial statements.

            





SCHEDULES OF INVESTMENTS

MUNICIPAL BOND PORTFOLIO (Unaudited)

February 28, 2007

               

Principal

   

  Value

 

Principal

    

  Value

  

Municipal Bonds - 98.35%

      

NEW YORK - 8.20%

    
  

CALIFORNIA - 7.27%

      

General Obligation - 3.42%

    
  

Housing - 0.86%

   

       150,000

 

City of New York, 5.00%, 8/1/23, FSA

 

 $           160,302

      40,000

 

State Housing Financing Agency

            
  

   Revenue, Single Family Mortgage

       

Public Facilities - 4.78%

    
  

   Purchase Amount, Series A, Class I,

    

       200,000

 

New York State Dormitory Authority,

   
  

   5.30%, 8/1/18, FHA

 

 $             40,200

    

   New York University, Revenue, Series A

   
          

   5.75%, 7/1/13, AMBAC

  

              223,696

  

Education - 6.41%

      

TOTAL NEW YORK

  

              383,998

    250,000

 

Alvord California Union School District,

          
  

   Series A, 5.90%, 2/1/20, MBIA

 

              300,092

   

NORTH CAROLINA - 11.28%

    
  

TOTAL CALIFORNIA

 

              340,292

   

General Obligation - 5.52%

    
       

       250,000

 

Mecklenburg County, Series B,

    
  

COLORADO - 2.28%

      

   4.50%, 2/1/18

  

              258,343

  

Public Facilities - 2.28%

           

    100,000

 

Denver, CO City & County Excise Tax

       

Water/Sewer - 5.76%

    
  

   Revenue, Convention Center Project,

    

       250,000

 

Wilmington, NC Water & Sewer System

   
  

   5.50%, 9/1/17, FSA

 

              106,802

    

   Revenue, 5.00%, 6/1/23

  

              269,425

          

TOTAL NORTH CAROLINA

  

              527,768

  

FLORIDA - 5.79%

           
  

General Obligation - 5.79%

      

NORTH DAKOTA - 2.10%

    

    250,000

 

Marco Island Utilities System Revenue,

       

Housing - 2.10%

    
  

   5.25%, 10/1/20

 

              270,802

 

         97,000

 

State Housing Financing Agency Revenue,

   
          

   Series C, 5.50%, 7/1/18

  

                98,122

  

MARYLAND - 5.68%

           
  

Water/Sewer - 5.68%

      

OHIO - 2.15%

    

    260,000

 

State Energy Financing Administration,

     

Education - 2.15%

    
  

   Solid Waste Disposal, LO Revenue,

   

       100,000

 

Marysville Exempt Village School District,

   
  

   6.30%, 12/1/10

 

              265,652

    

   4.375%, 12/1/29, MBIA

  

              100,755

               
  

NEW HAMPSHIRE - 5.75%

       

PENNSYLVANIA - 5.53%

    
  

Health/Hospital - 5.75%

       

General Obligation - 5.53%

    

    250,000

 

State Health & Education Facilities

    

       250,000

 

Philadelphia, 4.90%, 9/15/20, FSA

  

              258,950

  

   Authority Revenue, Dartmouth-

            
  

   Hitchcock Obligation Group,

       

SOUTH CAROLINA - 4.06%

    
  

   5.50%, 8/1/27, FSA

 

              269,000

    

Power/Utility - 4.06%

    
       

       190,000

 

Piedmont Municipal Power Agency,

    
  

NEW JERSEY - 4.40%

       

   Unrefunded Portion,

    
  

Water/Sewer - 4.40%

       

   Electric, Series A, 5.00%, 1/1/18, FGIC

 

              190,190

    200,000

 

New Jersey Economic Development

            
  

  Authority, Water Facilities, Revenue,

       

SOUTH DAKOTA - 2.46%

    
  

   5.35%, 2/1/38, MBIA

 

              206,004

    

Power/Utility - 2.46%

    
       

       100,000

 

Heartland Consumers Power District

    
          

   Electric, Revenue, 6.00%, 1/1/17, FSA

 

              114,916

               
               
  

See accompanying notes to financial statements.

         
               
               

SCHEDULES OF INVESTMENTS

 

 

 

 

 

 

 

MUNICIPAL BOND PORTFOLIO (Unaudited) (Continued)

    

February 28, 2007

            
               

Principal

   

  Value

 

Shares

    

  Value

  

TEXAS - 17.88%

      

Short-Term Investments - 0.78%

   
  

Education - 5.60%

   

         36,742

 

Milestone Treasury Obligation Portfolio,

   

    250,000

 

State University System Revenue,

      

   Institutional Class,

    
  

   5.375%, 3/15/17, FSA

 

 $           262,325

    

   to yield 5.10%, 3/1/07

    
          

   (Cost $36,742)

  

 $           36,742

  

Housing - 4.45%

           

    200,000

 

State Veterans Housing Assistance, GO,

  

TOTAL INVESTMENTS

    
  

   Series B, 5.75%, 12/1/13, FHA

 

              208,404

 

   (Cost $4,539,176) (a)

99.13%

 

 $     4,640,718

               
  

Water/Sewer - 7.83%

   

Assets in excess of other liabilities

0.87%

 

                40,023

    200,000

 

Houston, TX Water & Sewer System

            
  

   Revenue, 5.50%, 12/1/17

 

              214,750

 

TOTAL NET ASSETS

100.00%

 

 $     4,680,741

    150,000

 

State Water Assistance

    

 

      
  

   Series A, 4.50%, 8/1/22

 

              151,886

 

Percentages indicated are based upon total net assets of $4,680,741

    

              366,636

         
  

TOTAL TEXAS

 

              837,365

 

AMBAC

 

Insured by AMBAC Indemnity Corporation

   
       

 FGIC

 

Insured by Financial Guaranty Insurance Corporation

  

UTAH - 3.45%

    

 FHA

 

Federal Housing Administration

    
  

Education - 3.45%

    

 FSA

 

Insured by Federal Security Assurance

   

    150,000

 

State Board Regents Revenue,

   

 GO

 

General Obligation

    
  

   5.25%, 12/1/14, AMBAC

 

              161,547

 

 LO

 

Limited Obligation

    
       

 MBIA

 

Insured by Municipal Bond Insurance Association

  

WASHINGTON - 5.73%

            
  

Education - 5.73%

    

 (a) Represents cost for financial reporting purposes.    Aggregate cost for federal

    250,000

 

Snohomish County School District,

   

 tax purposes is $4,539,176 and differs from market value by net unrealized  

  

   5.50%, 12/1/19, FGIC

 

              268,439

 

 appreciation (depreciation) of securities as follows:

   
               
  

WISCONSIN - 4.34%

      

Unrealized appreciation:

  

 $           101,542

  

Health/Hospital - 4.34%

       

Unrealized depreciation:

  

                         -

    200,000

 

State Health & Educational Facilities

      

Net unrealized appreciation:

  

 $           101,542

  

   Authority, Revenue, Waukesha

           
  

   Memorial Hospital, Series A,

           
  

   5.25%, 8/15/19, AMBAC

 

              203,374

         
               
  

Total Municipal Bonds (Cost $4,502,434)

        4,603,976

         
               
               
  

See accompanying notes to financial statements.

         




SCHEDULES OF INVESTMENTS

U.S. GOVERNMENT MONEY MARKET PORTFOLIO (Unaudited)

February 28, 2007

               

Principal

    

  Value

      
  

U.S. Government Agencies - 76.79%

      
  

Federal Home Loan Bank,

           
  

   Discount Notes - 12.91%

           

 $   1,500,000

 

To yield 5.21%, 3/9/07

  

 $        1,498,264

      

         685,000

 

To yield 5.20%, 5/9/07

  

              678,258

      
      

           2,176,522

      
               
  

Federal Home Loan Mortgage,

          
  

   Discount Notes - 24.20%

           

      4,086,000

 

To yield 5.21%, 3/9/07

  

           4,081,315

      
               
  

Federal National Mortgage

           
  

   Association, Discount Notes - 39.68%

        

      4,303,000

 

To yield 5.22%, 3/21/07

  

           4,290,665

      

      2,000,000

 

To yield 5.19%, 4/25/07

  

           1,984,325

      

         421,000

 

To yield 5.20%, 5/9/07

  

              416,856

      
     

           6,691,846

      
               
  

Total U.S. Government Agencies

          
  

   (Cost $12,949,683)

  

      12,949,683

      
               
  

Repurchase Agreement - 23.47%

        

      3,959,000

 

Bank of America, 5.30%, due 3/1/07 with

        
  

   a maturity value of $3,959,583 (Fully

          
  

   collateralized by U.S. government

          
  

   agencies and obligations)

           
  

   (Cost $3,959,000)

  

        3,959,000

      
               

TOTAL INVESTMENTS

           

   (Cost $16,908,683)

100.26%

 

 $   16,908,683

      
               

Liabilities in excess of other  assets

-0.26%

 

              (44,233)

      
               

TOTAL NET ASSETS

100.00%

 

 $   16,864,450

      

 

             

Percentages indicated are based upon total net assets of $16,864,450

      
               
               
  

See accompanying notes to financial statements.

      

 

STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)

 

                     

February 28, 2007

                 
                     
    

 Large  

 

 Large  

 

 

 

 

 

 

 

 

    

 Capitalization

 

 Capitalization

 

 Mid  

 

 Small  

 

 International

 

 Health &

    

 Value  

 

 Growth

 

 Capitalization

 

Capitalization

 

Equity

 

Biotechnology

    

 Portfolio

 

 Portfolio

 

 Portfolio

 

Portfolio

 

Portfolio

 

Portfolio

Assets:

                 

Investments, at cost

 

 $        48,364,442

 

 $        41,290,165

 

 $        21,038,253

 

 $        17,998,683

 

 $        13,220,551

 

 $        36,111,274

Investments, at value

 

 $        54,404,015

 

 $        47,344,489

 

 $        22,241,238

 

 $        22,302,673

 

 $        15,743,927

 

 $        36,179,953

Receivable for securities sold

 

                423,748

 

             1,087,745

 

                168,185

 

                  91,708

 

                            -

 

                219,785

Interest and dividends receivable

 

                116,805

 

                  13,882

 

                  47,270

 

                    6,442

 

                  39,184

 

                105,212

Receivable for fund shares sold

 

                    7,152

 

                    7,636

 

                       921

 

                    9,406

 

                    1,388

 

                       660

Prepaid expenses and other assets

 

                  21,310

 

                  27,825

 

                  19,919

 

                  18,869

 

                  22,210

 

                  30,938

 

Total Assets

 

        54,973,030

 

        48,481,577

 

        22,477,533

 

        22,429,098

 

        15,806,709

 

        36,536,548

                     

Liabilities:

                 

Securities lending collateral

 

             7,533,547

 

             9,284,971

 

             3,789,999

 

             5,077,736

 

                     -

 

             7,627,512

Payable for securities purchased

 

                485,010

 

                964,892

 

                197,788

 

                  68,459

 

                            -

 

                            -

Payable for fund shares redeemed

 

                  69,139

 

                  60,867

 

                  16,875

 

                105,338

 

                  15,287

 

                  13,432

Payable to manager  

 

                  24,407

 

                  20,089

 

                  10,892

 

                    8,870

 

                    9,454

 

                  28,962

Fund accounting fees payable

 

                    8,399

 

                    3,794

 

                    7,193

 

                    2,733

 

                    2,330

 

                  19,158

Transfer agent fees payable

 

                    8,129

 

                    6,758

 

                    1,951

 

                       567

 

                    1,410

 

                            -

Administration fees payable

 

                    6,856

 

                  11,101

 

                    7,795

 

                    2,358

 

                            -

 

                  11,100

Custody fees payable

 

                    6,000

 

                  19,733

 

                            -

 

                    4,012

 

                    6,156

 

                    8,257

Payable for distribution (12b-1) fees

 

                       923

 

                    3,864

 

                    3,382

 

                       701

 

                       799

 

                    7,599

Compliance officer fees payable

 

                       720

 

                    1,659

 

                    5,931

 

                       675

 

                            -

 

                    3,799

Accrued expenses and other liabilities

 

                  29,555

 

                  67,865

 

                  73,067

 

                  21,858

 

                  23,573

 

                  96,578

 

Total Liabilities

 

           8,172,685

 

        10,445,593

 

           4,114,873

 

           5,293,307

 

                59,009

 

           7,816,397

                     

Net Assets

 

 $     46,800,345

 

 $     38,035,984

 

 $     18,362,660

 

 $     17,135,791

 

 $     15,747,700

 

 $     28,720,151

                     

Net Assets:

                 

Par value of shares of beneficial interest

 

 $               21,543

 

 $               24,689

 

 $               18,720

 

 $               14,871

 

 $               11,273

 

 $               20,890

Paid in capital  

 

           42,096,412

 

           48,298,585

 

           18,158,369

 

           11,480,826

 

           17,684,892

 

         146,318,908

Undistributed net investment income (loss)

                126,509

 

              (241,796)

 

                (39,733)

 

                  24,468

 

                (53,350)

 

              (295,747)

Accumulated net realized gain

                 

   (loss) on investments

 

           (1,483,692)

 

         (16,099,818)

 

              (977,681)

 

             1,311,636

 

           (4,418,491)

 

       (117,392,846)

Net unrealized appreciation

                 

   (depreciation) on investments

 

             6,039,573

 

             6,054,324

 

             1,202,985

 

             4,303,990

 

             2,523,376

 

                  68,946

Net Assets

 

 $     46,800,345

 

 $     38,035,984

 

 $     18,362,660

 

 $     17,135,791

 

 $     15,747,700

 

 $     28,720,151

                     

Net Asset Value Per Share

                 
 

Class I

                 
 

Net Assets

 

 $        43,097,717

 

 $        35,939,598

 

 $        11,831,197

 

 $        16,210,658

 

 $        14,838,260

 

 $          2,121,806

 

Shares of beneficial interest outstanding

             1,969,603

 

             2,318,970

 

             1,185,569

 

             1,388,405

 

             1,056,902

 

                148,314

 

Net asset value/offering price (a)

 

 $                 21.88

 

 $                 15.50

 

 $                   9.98

 

 $                 11.68

 

 $                 14.04

 

 $                 14.31

                     
 

Class A

                 
 

Net Assets

 

 $               34,715

 

 $               20,166

 

 $          3,641,577

 

 $                 4,085

 

 $                 9,814

 

 $          9,617,404

 

Shares of beneficial interest outstanding

                    1,592

 

                    1,306

 

                374,694

 

                       351

 

                       696

 

                680,582

 

Net asset value (a)

 

 $                 21.81

 

 $                 15.44

 

 $                   9.72

 

 $                 11.62

 

 $                 14.10

 

 $                 14.13

 

Offering price per share

 

 $                 23.14

 

 $                 16.38

 

 $                 10.31

 

 $                 12.33

 

 $                 14.96

 

 $                 14.99

 

   (maximum sales charge of 5.75%)

                 
                     
 

Class B

                 
 

Net Assets

 

 $          1,764,716

 

 $             210,945

 

 $          1,981,704

 

 $             259,565

 

 $             189,807

 

 $        13,330,562

 

Shares of beneficial interest outstanding

                  86,650

 

                  14,784

 

                212,464

 

                  25,500

 

                  14,473

 

                988,750

 

Net asset value/offering price (b)

 

 $                 20.37

 

 $                 14.27

 

 $                   9.33

 

 $                 10.18

 

 $                 13.11

 

 $                 13.48

                     
 

Class C

                 
 

Net Assets

 

 $          1,903,197

 

 $          1,865,275

 

 $             908,182

 

 $             661,483

 

 $             709,819

 

 $          3,650,379

 

Shares of beneficial interest outstanding

                  93,476

 

                130,433

 

                  97,605

 

                  64,734

 

                  54,282

 

                270,516

 

Net asset value/offering price (b)

 

 $                 20.36

 

 $                 14.30

 

 $                   9.30

 

 $                 10.22

 

 $                 13.08

 

 $                 13.49

 

              

(a) Redemption price per share.   Each Portfolio, with the exception of the U.S. Government Money Market Portfolio, will impose a 2% redemption fee for any

 

redemptions of fund shares occurring within 30 days of purchase.

           

(b) Redemption price per Class B and C share varies based on length of time shares are held.   Each Portfolio, with the exception of the U.S. Government

 

Money Market Portfolio, will impose a 2% redemption fee for any redemptions of fund shares occurring within 30 days of purchase.

  
                     
 

See accompanying notes to financial statements.

              



STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) (Continued)

 

 

              

February 28, 2007

            
              
   

 

 

 

 

 

 

 Investment

 

 

 

 U.S.

   

 Technology &

 

 Energy & Basic  

 

 Financial  

 

 Quality  

 

Municipal

 

 Government

   

 Communications

 

Materials

 

Services

 

 Bond

 

Bond

 

Money Market

   

 Portfolio

 

Portfolio

 

Portfolio

 

 Portfolio

 

Portfolio

 

Portfolio

Assets:

            

Investments, at cost

 

 $        20,424,912

 

 $          7,898,696

 

 $          3,310,941

 

 $        18,594,457

 

 $          4,539,176

 

 $        16,908,683

Investments, at value

 

 $        24,505,420

 

 $        10,497,290

 

 $          3,729,510

 

 $        18,643,130

 

 $          4,640,718

 

 $        16,908,683

Receivable for securities sold

 

                224,766

 

                            -

 

                            -

 

                            -

 

                            -

 

                            -

Interest and dividends receivable

 

                  11,795

 

                  13,101

 

                    6,977

 

                198,848

 

                  51,007

 

                       583

Receivable for fund shares sold

 

                    3,630

 

                       176

 

                       259

 

                       939

 

                         38

 

                       310

Prepaid expenses and other assets

 

                  17,830

 

                  15,414

 

                  12,467

 

                  10,350

 

                    3,436

 

                  14,907

 

Total Assets

 

        24,763,441

 

        10,525,981

 

           3,749,213

 

        18,853,267

 

           4,695,199

 

        16,924,483

              

Liabilities:

            

Securities lending collateral

 

             5,513,295

 

                            -

 

                            -

 

             3,374,316

 

                    -

 

                    -

Payable for securities purchased

 

                180,404

 

                            -

 

                            -

 

                            -

 

                            -

 

                            -

Payable for fund shares redeemed

 

                  34,617

 

                  31,314

 

                            -

 

                    4,262

 

                       633

 

                  21,192

Custody fees payable

 

                  30,471

 

                    7,160

 

                  16,784

 

                    5,334

 

                    2,099

 

                    3,403

Payable to manager  

 

                  18,099

 

                  10,096

 

                       179

 

                    5,445

 

                    1,403

 

                    5,501

Call options written, at value (proceeds $12,463)

                  14,520

 

                            -

 

                            -

 

                            -

 

                            -

 

                            -

Payable for distribution (12b-1) fees

 

                  12,624

 

                    3,833

 

                    1,014

 

                            -

 

                       213

 

                            -

Administration fees payable

 

                    9,420

 

                    6,689

 

                    4,783

 

                            -

 

                    1,212

 

                    7,596

Fund accounting fees payable

 

                    7,077

 

                       427

 

                    1,025

 

                    4,057

 

                            -

 

                    4,465

Compliance officer fees payable

 

                    1,902

 

                         17

 

                            -

 

                    1,967

 

                       101

 

                            -

Transfer agent fees payable

 

                            -

 

                    3,534

 

                    3,601

 

                    4,886

 

                       547

 

                    3,069

Dividends payable

 

                            -

 

                            -

 

                            -

 

                       905

 

                       859

 

                    1,709

Accrued expenses and other liabilities

 

                  35,208

 

                    7,383

 

                    6,981

 

                  22,575

 

                    7,391

 

                  13,098

 

Total Liabilities

 

           5,857,637

 

                70,453

 

                34,367

 

           3,423,747

 

                14,458

 

                60,033

              

Net Assets

 

 $     18,905,804

 

 $     10,455,528

 

 $       3,714,846

 

 $     15,429,520

 

 $       4,680,741

 

 $     16,864,450

              

Net Assets:

            

Par value of shares of beneficial interest

 

 $               23,958

 

 $                 3,688

 

 $                 2,939

 

 $               15,766

 

 $                 4,586

 

 $             168,480

Paid in capital  

 

         274,549,593

 

             6,888,199

 

             3,154,729

 

           15,414,037

 

             4,555,736

 

           16,696,721

Undistributed net investment income (loss)

 

              (246,842)

 

                (93,443)

 

                (17,690)

 

                            -

 

                            -

 

                            -

Accumulated net realized gain

            

   (loss) on investments and options written

 

       (259,499,356)

 

             1,058,529

 

                156,925

 

                (48,956)

 

                  18,877

 

                     (751)

Net unrealized appreciation

            

   (depreciation) on investments and options

 

             4,078,451

 

             2,598,555

 

                417,943

 

                  48,673

 

                101,542

 

                            -

Net Assets

 

 $     18,905,804

 

 $     10,455,528

 

 $       3,714,846

 

 $     15,429,520

 

 $       4,680,741

 

 $     16,864,450

              

Net Asset Value Per Share

            
 

Class I

            
 

Net Assets

 

 $          2,151,282

 

 $          2,726,507

 

 $          1,843,313

 

 $        14,590,030

 

 $          4,245,089

 

 $        16,196,555

 

Shares of beneficial interest outstanding

 

                261,213

 

                  93,290

 

                142,543

 

             1,494,653

 

                417,035

 

           16,211,271

 

Net asset value/offering price (a)

 

 $                   8.24

 

 $                 29.23

 

 $                 12.93

 

 $                   9.76

 

 $                 10.18

 

 $                   1.00

              
 

Class A

            
 

Net Assets

 

 $          8,454,604

 

 $          4,576,074

 

 $             947,611

 

 $               13,733

 

 $                      10

 

 $               23,170

 

Shares of beneficial interest outstanding

 

             1,042,212

 

                159,194

 

                  74,777

 

                    1,406

 

                           1

 

                  23,171

 

Net asset value per share (a)

 

 $                   8.11

 

 $                 28.75

 

 $                 12.67

 

 $                   9.77

 

 $                 10.18

 

 $                   1.00

 

Offering price per share

 

 $                   8.60

 

 $                 30.50

 

 $                 13.44

 

 $                 10.37

 

 $                 10.80

 

 N/A    

 

   (maximum sales charge of 5.75%)

            
              
 

Class B

            
 

Net Assets

 

 $          7,572,885

 

 $          2,967,829

 

 $             821,625

 

 $               41,437

 

 $             118,820

 

 $             145,713

 

Shares of beneficial interest outstanding

 

                993,682

 

                108,489

 

                  68,103

 

                    4,242

 

                  11,640

 

                145,124

 

Net asset value/offering price (b)

 

 $                   7.62

 

 $                 27.36

 

 $                 12.06

 

 $                   9.77

 

 $                 10.21

 

 $                   1.00

              
 

Class C

            
 

Net Assets

 

 $             727,033

 

 $             185,118

 

 $             102,297

 

 $             784,320

 

 $             316,822

 

 $             499,012

 

Shares of beneficial interest outstanding

 

                  94,790

 

                    6,758

 

                    8,486

 

                  80,254

 

                  31,073

 

                498,493

 

Net asset value/offering price (b)

 

 $                   7.67

 

 $                 27.39

 

 $                 12.05

 

 $                   9.77

 

 $                 10.20

 

 $                   1.00

              

            

(a) Redemption price per share.   Each Portfolio, with the exception of the U.S. Government Money Market Portfolio, will impose a 2% redemption fee for any

 

redemptions of fund shares occurring within 30 days of purchase.

        

(b) Redemption price per Class B and C share varies based on length of time shares are held.   Each Portfolio, with the exception of the U.S. Government

 

Money Market Portfolio, will impose a 2% redemption fee for any redemptions of fund shares occurring within 30 days of purchase.

  
              
 

 See accompanying notes to financial statements.

          




STATEMENTS OF OPERATIONS (Unaudited)

 

              

For the Six Months Ended February 28, 2007

          
              
   

 Large  

 

 Large  

 

 

 

 

 

 

 

 

   

 Capitalization

 

 Capitalization

 

 Mid

 

 Small  

 

 International

 

 Health &  

   

 Value  

 

 Growth

 

 Capitalization

 

Capitalization

 

Equity

 

 Biotechnology

   

 Portfolio

 

 Portfolio

 

 Portfolio

 

Portfolio

 

Portfolio

 

 Portfolio

              

Investment Income:

            

Interest income

 

 $                 29,427

 

 $                   9,748

 

 $                 10,305

 

 $                   8,287

 

 $                   9,639

 

 $                 10,665

Dividend income

 

                  449,834

 

                    64,036

 

                  113,226

 

                  118,828

 

                    76,230

 

                  124,650

Securities lending income

 

                    52,124

 

                      2,226

 

                      1,651

 

                      4,634

 

                              -

 

                      5,640

Other Income

 

                              -

 

                      4,680

 

                      4,380

 

                      1,467

 

                      2,947

 

                      8,225

Less: Foreign withholding taxes

 

                              -

 

                              -

 

                          (74)

 

                              -

 

                     (4,509)

 

                     (3,615)

 

Total Investment Income

 

                531,385

 

                   80,690

 

                129,488

 

                133,216

 

                   84,307

 

                145,565

              

Operating Expenses:

            

Management fees

 

                  156,339

 

                  126,964

 

                    67,606

 

                    56,113

 

                    58,017

 

                  193,540

Distribution (12b-1) fees:

            

   Class A Shares

 

                           27

 

                           27

 

                      7,236

 

                             6

 

                           17

 

                    19,844

   Class B Shares

 

                    10,672

 

                      1,464

 

                    10,400

 

                      1,604

 

                         943

 

                    73,384

   Class C Shares

 

                      9,868

 

                      9,605

 

                      4,660

 

                      3,372

 

                      3,377

 

                    20,238

Transfer agent fees

 

                    51,931

 

                    39,066

 

                    18,028

 

                    18,002

 

                    16,943

 

                    30,966

Administration fees

 

                    29,350

 

                    31,305

 

                    14,312

 

                    10,399

 

                      9,207

 

                    23,724

Fund accounting fees

 

                    24,052

 

                    19,533

 

                      9,014

 

                    10,104

 

                    10,201

 

                    15,483

Professional fees

 

                    21,204

 

                    45,770

 

                    21,718

 

                      2,963

 

                    27,152

 

                    36,676

Registration fees

 

                    18,100

 

                              -

 

                      3,620

 

                              -

 

                              -

 

                              -

Printing and postage expense

 

                    15,331

 

                    10,156

 

                      3,881

 

                              -

 

                              -

 

                    11,977

Custodian fees

 

                      3,749

 

                    14,511

 

                              -

 

                              -

 

                      4,882

 

                         275

Compliance officer fees

 

                      2,203

 

                      5,347

 

                      3,005

 

                              -

 

                         898

 

                              -

Miscellaneous expenses

 

                    14,300

 

                    18,738

 

                      5,741

 

                      6,185

 

                      5,332

 

                    15,205

 

Total Operating Expenses

 

                357,126

 

                322,486

 

                169,221

 

                108,748

 

                136,969

 

                441,312

 

Less: Expenses waived and / or

            
 

   reimbursed

 

                              -

 

                              -

 

                              -

 

                              -

 

                              -

 

                              -

 

Net Operating Expenses

 

                357,126

 

                322,486

 

                169,221

 

                108,748

 

                136,969

 

                441,312

              

Net Investment Income (Loss)

 

                174,259

 

               (241,796)

 

                 (39,733)

 

                   24,468

 

                 (52,662)

 

               (295,747)

              

Realized and Unrealized

            

   Gain (Loss) on Investments:

            

Net realized gain (loss) from:

            
 

Investments

 

               2,190,618

 

                  312,119

 

                  771,459

 

               1,982,523

 

                  854,457

 

               1,775,900

 

Foreign currency transactions

 

                              -

 

                              -

 

                              -

 

                              -

 

                              -

 

                              -

Net realized gain (loss)

 

               2,190,618

 

                  312,119

 

                  771,459

 

               1,982,523

 

                  854,457

 

               1,775,900

              

Net change in unrealized appreciation

            

   (depreciation) from Investments

 

               1,885,840

 

               4,378,625

 

               1,638,486

 

                 (511,608)

 

                  481,544

 

                  520,067

 

Net Realized and Unrealized

            
 

   Gain (Loss) on Investments

 

             4,076,458

 

             4,690,744

 

             2,409,945

 

             1,470,915

 

             1,336,001

 

             2,295,967

              

Net Increase (Decrease) in

            

   Net Assets Resulting

            

   From Operations

 

 $          4,250,717

 

 $          4,448,948

 

 $          2,370,212

 

 $          1,495,383

 

 $          1,283,339

 

 $          2,000,220

              
              
              
 

See accompanying notes to financial statements.

          





STATEMENTS OF OPERATIONS (Unaudited) (Continued)

 

 

 

 

 

 

               

For the Six Months Ended February 28, 2007

          
               
    

 

 

 

 

 

 

 Investment

 

 

 

 U.S.

    

 Technology &  

 

 Energy &

 

 Financial  

 

 Quality  

 

Municipal

 

 Government

    

 Communications

 

 Basic Materials

 

Services

 

 Bond

 

Bond

 

Money Market

    

 Portfolio

 

 Portfolio

 

Portfolio

 

 Portfolio

 

Portfolio

 

Portfolio

               

Investment Income:

            

Interest income

 

 $                   7,542

 

 $                 16,628

 

 $                   2,321

 

 $               338,559

 

 $               120,827

 

 $               485,904

Dividend income

 

                    29,036

 

                    45,410

 

                    31,123

 

                              -

 

                              -

 

                              -

Securities lending income

 

                      8,758

 

                              -

 

                              -

 

                      2,518

 

                              -

 

                              -

Less: Foreign withholding taxes

 

                              -

 

                        (253)

 

                              -

 

                              -

 

                              -

 

                              -

 

Total Investment Income

 

                   45,336

 

                   61,785

 

                   33,444

 

                341,077

 

                120,827

 

                485,904

               

Operating Expenses:

            

Management fees

 

                  124,962

 

                    70,548

 

                    23,938

 

                    42,554

 

                    14,491

 

                    43,528

Distribution (12b-1) fees:

            

   Class A Shares

 

                    18,049

 

                      9,204

 

                      2,093

 

                           18

 

                             2

 

                           33

   Class B Shares

 

                    40,159

 

                    15,799

 

                      4,365

 

                         247

 

                         586

 

                         918

   Class C Shares

 

                      3,876

 

                      1,001

 

                         581

 

                      4,714

 

                      1,562

 

                      2,922

Custodian fees

 

                    24,681

 

                      3,551

 

                    17,097

 

                              -

 

                              -

 

                              -

Transfer agent fees

 

                    19,994

 

                    13,789

 

                      6,038

 

                    15,474

 

                      5,269

 

                    18,328

Professional fees

 

                    16,047

 

                      9,860

 

                         489

 

                    17,137

 

                      1,021

 

                      9,477

Administration fees

 

                    15,883

 

                    10,795

 

                      4,858

 

                      7,737

 

                      4,843

 

                    16,817

Registration fees

 

                    12,670

 

                      6,788

 

                      5,430

 

                    11,765

 

                      9,955

 

                    13,575

Fund accounting fees

 

                      9,997

 

                      5,644

 

                      1,915

 

                      7,737

 

                      2,635

 

                      9,164

Printing and postage expense

 

                              -

 

                      2,735

 

                      2,123

 

                      4,355

 

                              -

 

                              -

Compliance officer fees

 

                              -

 

                      1,846

 

                              -

 

                              -

 

                              -

 

                              -

Miscellaneous expenses

 

                      9,781

 

                      3,668

 

                      5,927

 

                      8,163

 

                      3,312

 

                      7,973

 

Total Operating Expenses

 

                296,099

 

                155,228

 

                   74,854

 

                119,901

 

                   43,676

 

                122,735

 

Less: Expenses waived and / or

            
 

   reimbursed

 

                     (3,921)

 

                              -

 

                   (23,720)

 

                     (6,594)

 

                     (4,617)

 

                     (8,159)

 

Net Operating Expenses

 

                292,178

 

                155,228

 

                   51,134

 

                113,307

 

                   39,059

 

                114,576

               

Net Investment Income (Loss)

 

               (246,842)

 

                 (93,443)

 

                 (17,690)

 

                227,770

 

                   81,768

 

                371,328

               

Realized and Unrealized

            

   Gain (Loss) on Investments:

            

Net realized gain (loss) from:

            
 

Investments

 

               2,265,817

 

               1,062,078

 

                  352,657

 

                     (2,866)

 

                    19,300

 

                              -

 

Options written

 

                    11,210

 

                              -

 

                              -

 

                              -

 

                              -

 

                              -

 

Foreign currency transactions

 

                              -

 

                              -

 

                         610

 

                              -

 

                              -

 

                              -

Net realized gain (loss)

 

               2,277,027

 

               1,062,078

 

                  353,267

 

                     (2,866)

 

                    19,300

 

                              -

               

Net change in unrealized appreciation

            

   (depreciation) from Investments

 

                   (90,415)

 

                 (937,720)

 

                    93,690

 

                  138,434

 

                   (20,807)

 

                              -

 

Net Realized and Unrealized

            
 

   Gain (Loss) on Investments

 

             2,186,612

 

                124,358

 

                446,957

 

                135,568

 

                   (1,507)

 

                              -

               

Net Increase (Decrease) in

            

   Net Assets Resulting

            

   From Operations

 

 $          1,939,770

 

 $               30,915

 

 $             429,267

 

 $             363,338

 

 $               80,261

 

 $             371,328

               
               
               
 

See accompanying notes to financial statements.

          





STATEMENTS OF CHANGES IN NET ASSETS

 

 

 

 

 

 

 

 

                 
                 
                 
    

 Large Capitalization Value

 

 Large Capitalization Growth

 

 Mid Capitalization

    

 Portfolio

 

 Portfolio

 

 Portfolio

    

 For the Six

    

 For the Six

    

 For the Six

  
    

 Months Ended

    

 Months Ended

    

 Months Ended

  
    

 February 28, 2007

 

 Year Ended

 

 February 28, 2007

 

 Year Ended

 

 February 28, 2007

 

 Year Ended

    

 (Unaudited)

 

 August 31, 2006

 

 (Unaudited)

 

 August 31, 2006

 

 (Unaudited)

 

 August 31, 2006

Operations:

              

Net investment income (loss)

 

 $           174,259

 

 $           210,534

 

 $         (241,796)

 

 $         (468,865)

 

 $           (39,733)

 

 $         (292,504)

Net realized gain (loss) on investments

 

           2,190,618

 

           4,978,070

 

              312,119

 

           3,019,448

 

              771,459

 

           5,237,704

Net change in unrealized appreciation

              

     (depreciation) on investments

 

           1,885,840

 

            (648,775)

 

           4,378,625

 

         (3,913,529)

 

           1,638,486

 

         (5,285,961)

Net increase (decrease) in net assets

              

   resulting from operations

 

        4,250,717

 

        4,539,829

 

        4,448,948

 

       (1,362,946)

 

        2,370,212

 

          (340,761)

                 

Distributions to Shareholders:

              

 Net Realized Gains:

              
 

Class I

 

                         -

 

                         -

 

                         -

 

                         -

 

         (2,431,957)

 

         (1,272,187)

 

Class A

 

                         -

 

                         -

 

                         -

 

                         -

 

            (773,514)

 

         (3,613,622)

 

Class B

 

                         -

 

                         -

 

                         -

 

                         -

 

            (465,082)

 

            (417,913)

 

Class C

 

                         -

 

                         -

 

                         -

 

                         -

 

            (209,097)

 

            (132,024)

Net Investment Income:

              
 

Class I

 

            (234,580)

 

              (44,381)

 

                         -

 

                         -

 

                         -

 

                         -

 

Class A

 

                     (48)

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

Class B

 

                (5,849)

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

Class C

 

                (5,480)

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

Total Dividends and Distributions

              

   to Shareholders

 

          (245,957)

 

            (44,381)

 

                         -

 

                         -

 

       (3,879,650)

 

       (5,435,746)

                 

Share Transactions of

              

Beneficial Interest:

              

Net proceeds from shares sold

              
 

Class I

 

           2,634,332

 

           5,929,863

 

           2,983,545

 

           8,719,907

 

           1,671,628

 

           3,856,344

 

Class A

 

                33,412

 

                  2,884

 

                13,685

 

                11,805

 

                35,908

 

                96,778

 

Class B

 

                82,475

 

                25,508

 

                       28

 

                83,033

 

                16,096

 

                45,162

 

Class C

 

                65,819

 

              266,132

 

              113,344

 

              869,517

 

                39,629

 

              133,766

Reinvestment of dividends

              

   and distributions

              
 

Class I

 

              227,133

 

                43,187

 

                         -

 

                         -

 

           2,411,347

 

           1,258,845

 

Class A

 

                       14

 

                         -

 

                         -

 

                         -

 

              725,466

 

              621,633

 

Class B

 

                  5,555

 

                         -

 

                         -

 

                         -

 

              442,524

 

              394,806

 

Class C

 

                  5,387

 

                         -

 

                         -

 

                         -

 

              208,253

 

              131,054

Redemption fee proceeds

              
 

Class I

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

Class A

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

Class B

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

Class C

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

Cost of shares redeemed

              
 

Class I

 

         (5,572,656)

 

       (10,124,772)

 

         (5,361,478)

 

       (10,889,239)

 

         (1,798,288)

 

         (1,876,146)

 

Class A

 

                (1,488)

 

                         -

 

                         -

 

                (5,143)

 

            (488,879)

 

       (18,560,487)

 

Class B

 

            (613,530)

 

         (1,000,934)

 

            (140,460)

 

            (183,274)

 

            (349,074)

 

         (1,001,833)

 

Class C

 

            (242,725)

 

            (556,588)

 

            (275,975)

 

         (1,147,402)

 

            (151,079)

 

            (143,724)

Net increase (decrease) in net assets

              

   from share transactions of

              

   beneficial interest

 

       (3,376,272)

 

       (5,414,720)

 

       (2,667,311)

 

       (2,540,796)

 

        2,763,531

 

    (15,043,802)

                 

Total Increase (Decrease) in Net Assets

 

            628,488

 

          (919,272)

 

        1,781,637

 

       (3,903,742)

 

        1,254,093

 

    (20,820,309)

                 

Net Assets:

              
 

Beginning of period

 

         46,171,857

 

         47,091,129

 

         36,254,347

 

         40,158,089

 

         17,108,567

 

         37,928,876

 

End of period*

 

 $   46,800,345

 

 $   46,171,857

 

 $   38,035,984

 

 $   36,254,347

 

 $   18,362,660

 

 $   17,108,567

* Includes undistributed net investment

              

      income (loss) at end of period

 

 $           126,509

 

 $           198,207

 

 $         (241,796)

 

 $                      -

 

 $           (39,733)

 

 $                      -

                 
 

See accompanying notes to financial statements.

            





STATEMENTS OF CHANGES IN NET ASSETS (Continued)

 

 

 

 

 

 

                   
                   
                   
    

 Small Capitalization

 

 International Equity

 

 Health & Biotechnology

    

 Portfolio

 

 Portfolio

 

 Portfolio

    

 For the Six

    

 For the Six

    

 For the Six

  
    

 Months Ended

    

 Months Ended

    

 Months Ended

  
    

 February 28, 2007

 

 Year Ended

 

 February 28, 2007

 

 Year Ended

 

 February 28, 2007

 

 Year Ended

    

 (Unaudited)

 

 August 31, 2006

 

 (Unaudited)

 

 August 31, 2006

 

 (Unaudited)

 

 August 31, 2006

Operations:

                

Net investment income (loss)

 

 $             24,468

 

 $         (106,461)

 

 $           (52,662)

 

 $             32,505

 

 $         (295,747)

 

 $         (939,009)

Net realized gain (loss) on investments

 

           1,982,523

 

           2,544,739

 

              854,457

 

           1,649,459

 

           1,775,900

 

            (794,076)

Net change in unrealized appreciation

                

     (depreciation) on investments

 

            (511,608)

 

         (1,252,689)

 

              481,544

 

              817,147

 

              520,067

 

         (1,358,478)

Net increase (decrease) in net assets

                

   resulting from operations

 

        1,495,383

 

        1,185,589

 

        1,283,339

 

        2,499,111

 

        2,000,220

 

       (3,091,563)

                   

Distributions to Shareholders:

                

 Net Realized Gains:

                
 

Class I

 

         (2,988,700)

 

         (3,711,951)

 

                         -

 

                         -

 

                         -

 

                         -

 

Class A

 

                   (571)

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

Class B

 

              (61,076)

 

              (96,357)

 

                         -

 

                         -

 

                         -

 

                         -

 

Class C

 

            (136,979)

 

            (182,393)

 

                         -

 

                         -

 

                         -

 

                         -

Net Investment Income:

                
 

Class I

 

                         -

 

                         -

 

              (32,923)

 

              (65,851)

 

                         -

 

                         -

 

Class A

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

Class B

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

Class C

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

Total Dividends and Distributions

                

   to Shareholders

 

       (3,187,326)

 

       (3,990,701)

 

            (32,923)

 

            (65,851)

 

                         -

 

                         -

                   

Share Transactions of

                

Beneficial Interest:

                

Net proceeds from shares sold

                
 

Class I

 

              931,640

 

           1,877,015

 

           2,279,825

 

           3,448,660

 

              349,742

 

           1,588,948

 

Class A

 

                  6,529

 

                  2,878

 

                11,028

 

                  7,358

 

              725,642

 

                74,790

 

Class B

 

                16,200

 

                25,026

 

                72,606

 

                  7,149

 

                11,090

 

                83,174

 

Class C

 

                32,944

 

                72,485

 

              139,436

 

              123,896

 

                34,891

 

                59,875

Reinvestment of dividends

                

   and distributions

                
 

Class I

 

           2,918,500

 

           3,660,898

 

                32,378

 

                62,999

 

                         -

 

                         -

 

Class A

 

                     571

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

Class B

 

                55,549

 

                88,649

 

                         -

 

                         -

 

                         -

 

                         -

 

Class C

 

              125,252

 

              173,097

 

                         -

 

                         -

 

                         -

 

                         -

Redemption fee proceeds

                
 

Class I

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

Class A

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

Class B

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

Class C

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

Cost of shares redeemed

                
 

Class I

 

         (2,237,609)

 

         (4,332,419)

 

         (2,163,447)

 

         (2,646,866)

 

            (628,668)

 

            (668,381)

 

Class A

 

                (5,647)

 

                         -

 

                (9,786)

 

                         -

 

         (1,832,881)

 

         (4,236,079)

 

Class B

 

            (142,687)

 

            (108,874)

 

              (49,243)

 

              (35,594)

 

         (3,141,128)

 

         (6,643,913)

 

Class C

 

              (95,374)

 

            (226,522)

 

            (126,938)

 

            (179,138)

 

            (907,364)

 

         (2,219,365)

Net increase (decrease) in net assets

                

   from share transactions of

                

   beneficial interest

 

        1,605,868

 

        1,232,233

 

            185,859

 

            788,464

 

       (5,388,676)

 

    (11,960,951)

                   

Total Increase (Decrease) in Net Assets

 

            (86,075)

 

       (1,572,879)

 

        1,436,275

 

        3,221,724

 

       (3,388,456)

 

    (15,052,514)

                   

Net Assets:

                
 

Beginning of period

 

         17,221,866

 

         18,794,745

 

         14,311,425

 

         11,089,701

 

         32,108,607

 

         47,161,121

 

End of period*

 

 $   17,135,791

 

 $   17,221,866

 

 $   15,747,700

 

 $   14,311,425

 

 $   28,720,151

 

 $   32,108,607

* Includes undistributed net investment

                

      income (loss) at end of period

 

 $             24,468

 

 $                      -

 

 $           (53,350)

 

 $             32,235

 

 $         (295,747)

 

 $                      -

                   
 

See accompanying notes to financial statements.

             





STATEMENTS OF CHANGES IN NET ASSETS (Continued)

 

                 
                 
                 
  

 

 Technology & Communications

 

 Energy & Basic Materials

 

 Financial Services

    

 Portfolio

 

 Portfolio

 

 Portfolio

    

 For the Six

    

 For the Six

    

 For the Six

  
    

 Months Ended

    

 Months Ended

    

 Months Ended

  
    

 February 28, 2007

 

 Year Ended

 

 February 28, 2007

 

 Year Ended

 

 February 28, 2007

 

 Year Ended

    

 (Unaudited)

 

 August 31, 2006

 

 (Unaudited)

 

 August 31, 2006

 

 (Unaudited)

 

 August 31, 2006

Operations:

              

Net investment income (loss)

 

 $         (246,842)

 

 $         (591,337)

 

 $           (93,443)

 

 $         (184,552)

 

 $           (17,690)

 

 $             (7,430)

Net realized gain (loss) on investments

 

           2,277,027

 

           4,151,585

 

           1,062,078

 

              589,440

 

              353,267

 

              420,470

Net change in unrealized appreciation

              

     (depreciation) on investments

 

              (90,415)

 

         (3,680,044)

 

            (937,720)

 

              325,197

 

                93,690

 

                20,091

Net increase (decrease) in net assets

              

   resulting from operations

 

        1,939,770

 

          (119,796)

 

              30,915

 

            730,085

 

            429,267

 

            433,131

                 

Distributions to Shareholders:

              

 Net Realized Gains:

              
 

Class I

 

                         -

 

                         -

 

              (99,840)

 

              (28,213)

 

            (280,541)

 

              (74,221)

 

Class A

 

                         -

 

                         -

 

            (141,718)

 

              (43,803)

 

            (149,886)

 

              (70,937)

 

Class B

 

                         -

 

                         -

 

            (103,451)

 

              (53,263)

 

            (132,903)

 

              (73,570)

 

Class C

 

                         -

 

                         -

 

                (6,514)

 

                (1,669)

 

              (19,017)

 

                (7,697)

Net Investment Income:

              
 

Class I

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

Class A

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

Class B

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

Class C

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

Total Dividends and Distributions

              

   to Shareholders

 

                         -

 

                         -

 

          (351,523)

 

          (126,948)

 

          (582,347)

 

          (226,425)

                 

Share Transactions of

              

Beneficial Interest:

              

Net proceeds from shares sold

              
 

Class I

 

              309,572

 

              934,404

 

              466,046

 

           2,283,388

 

              443,582

 

              664,111

 

Class A

 

                63,533

 

                96,450

 

              552,281

 

           3,294,936

 

                31,336

 

                27,011

 

Class B

 

                  9,647

 

                21,346

 

                  8,371

 

              348,059

 

                  4,954

 

                11,625

 

Class C

 

                10,306

 

                34,134

 

                11,239

 

              138,752

 

                  3,188

 

                41,179

Reinvestment of dividends

              

   and distributions

              
 

Class I

 

                         -

 

                         -

 

                99,064

 

                28,020

 

              273,713

 

                73,331

 

Class A

 

                         -

 

                         -

 

              127,776

 

                39,739

 

              136,053

 

                62,856

 

Class B

 

                         -

 

                         -

 

                93,851

 

                48,669

 

              130,394

 

                69,486

 

Class C

 

                         -

 

                         -

 

                  5,774

 

                  1,531

 

                19,017

 

                  7,697

Redemption fee proceeds

              
 

Class I

 

                         -

 

                         -

 

                     690

 

                         -

 

                         -

 

                         -

 

Class A

 

                         -

 

                         -

 

                  1,001

 

                         -

 

                         -

 

                         -

 

Class B

 

                         -

 

                         -

 

                     718

 

                         -

 

                         -

 

                         -

 

Class C

 

                         -

 

                         -

 

                       44

 

                         -

 

                         -

 

                         -

Cost of shares redeemed

              
 

Class I

 

            (276,906)

 

            (402,440)

 

         (1,436,569)

 

            (793,390)

 

            (265,003)

 

            (345,598)

 

Class A

 

         (1,462,149)

 

         (2,921,675)

 

         (1,216,361)

 

         (1,038,210)

 

            (235,838)

 

            (188,342)

 

Class B

 

         (1,304,585)

 

         (2,824,405)

 

            (550,524)

 

         (1,129,384)

 

            (173,770)

 

            (398,345)

 

Class C

 

            (133,236)

 

            (220,992)

 

              (48,769)

 

              (22,054)

 

              (31,359)

 

              (49,283)

Net increase (decrease) in net assets

              

   from share transactions of

              

   beneficial interest

 

       (2,783,818)

 

       (5,283,178)

 

       (1,885,368)

 

        3,200,056

 

            336,267

 

            (24,272)

                 

Total Increase (Decrease) in Net Assets

 

          (844,048)

 

       (5,402,974)

 

       (2,205,976)

 

        3,803,193

 

            183,187

 

            182,434

                 

Net Assets:

              
 

Beginning of period

 

         19,749,852

 

         25,152,826

 

         12,661,504

 

           8,858,311

 

           3,531,659

 

           3,349,225

 

End of period*

 

 $   18,905,804

 

 $   19,749,852

 

 $   10,455,528

 

 $   12,661,504

 

 $     3,714,846

 

 $     3,531,659

* Includes undistributed net investment

              

      income (loss) at end of period

 

 $         (246,842)

 

 $                      -

 

 $           (93,443)

 

 $                      -

 

 $           (17,690)

 

 $                      -

                 
 

See accompanying notes to financial statements.

            





STATEMENTS OF CHANGES IN NET ASSETS (Continued)

 

 

 

 

 

 

                
                
                
   

 Investment Quality Bond

 

 Municipal Bond

 

 U.S. Government Money Market

   

 Portfolio

 

 Portfolio

 

 Portfolio

   

 For the Six

   

 For the Six

   

 For the Six

  
   

 Months Ended

   

 Months Ended

   

 Months Ended

  
   

 February 28, 2007

 

 Year Ended

 

 February 28, 2007

 

 Year Ended

 

 February 28, 2007

 

 Year Ended

   

 (Unaudited)

 

 August 31, 2006

 

 (Unaudited)

 

 August 31, 2006

 

 (Unaudited)

 

 August 31, 2006

Operations:

             

Net investment income (loss)

 

 $           227,770

 

 $           434,628

 

 $             81,768

 

 $           176,849

 

 $           371,328

 

 $           603,350

Net realized gain (loss) on investments

 

                (2,866)

 

              (46,090)

 

                19,300

 

                  8,978

 

                         -

 

                         -

Net change in unrealized appreciation

             

     (depreciation) on investments

 

              138,434

 

            (207,701)

 

              (20,807)

 

            (127,526)

 

                         -

 

                         -

Net increase (decrease) in net assets

             

   resulting from operations

 

            363,338

 

            180,837

 

              80,261

 

              58,301

 

            371,328

 

            603,350

                

Distributions to Shareholders:

             

 Net Realized Gains:

             
 

Class I

 

                         -

 

              (78,353)

 

                (6,549)

 

              (14,551)

 

                         -

 

                         -

 

Class A

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

Class B

 

                         -

 

                   (440)

 

                   (157)

 

                   (182)

 

                         -

 

                         -

 

Class C

 

                         -

 

                (6,185)

 

                   (417)

 

                   (857)

 

                         -

 

                         -

Net Investment Income:

             
 

Class I

 

            (217,729)

 

            (411,039)

 

              (77,056)

 

            (168,034)

 

            (355,458)

 

            (577,846)

 

Class A

 

                   (103)

 

                         -

 

                     (17)

 

                         -

 

                   (310)

 

                         -

 

Class B

 

                   (495)

 

                (1,445)

 

                (1,281)

 

                (2,170)

 

                (3,721)

 

                (6,542)

 

Class C

 

                (9,443)

 

              (22,144)

 

                (3,418)

 

                (6,645)

 

              (11,839)

 

              (18,962)

Total Dividends and Distributions

             

   to Shareholders

 

          (227,770)

 

          (519,606)

 

            (88,895)

 

          (192,439)

 

          (371,328)

 

          (603,350)

                

Share Transactions of

             

Beneficial Interest:

             

Net proceeds from shares sold

             
 

Class I

 

           2,237,567

 

           4,194,011

 

              462,391

 

              804,963

 

           5,838,963

 

           9,599,377

 

Class A

 

                13,563

 

                       10

 

                         -

 

                       10

 

                23,160

 

                  1,353

 

Class B

 

                       10

 

                  4,648

 

                     822

 

                48,742

 

                  2,522

 

                74,167

 

Class C

 

                34,347

 

              192,624

 

                     690

 

                27,944

 

              131,315

 

              217,113

Reinvestment of dividends

             

   and distributions

             
 

Class I

 

              212,928

 

              476,294

 

                78,874

 

              171,522

 

              347,454

 

              558,064

 

Class A

 

                       12

 

                         -

 

                         -

 

                         -

 

                         1

 

                         1

 

Class B

 

                     389

 

                  1,605

 

                     758

 

                  1,352

 

                  3,573

 

                  6,312

 

Class C

 

                  9,358

 

                28,105

 

                  3,834

 

                  7,187

 

                11,841

 

                19,014

Redemption fee proceeds

             
 

Class I

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

Class A

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

Class B

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

Class C

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

Cost of shares redeemed

             
 

Class I

 

         (1,821,910)

 

         (4,693,888)

 

         (1,136,773)

 

         (2,040,164)

 

         (7,328,419)

 

       (10,922,900)

 

Class A

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

                (1,344)

 

Class B

 

              (13,540)

 

              (26,959)

 

                         -

 

                         -

 

              (53,961)

 

              (91,957)

 

Class C

 

            (283,012)

 

            (378,950)

 

                   (570)

 

              (44,324)

 

            (218,796)

 

            (303,626)

Net increase (decrease) in net assets

             

   from share transactions of

             

   beneficial interest

 

            389,712

 

          (202,500)

 

          (589,974)

 

       (1,022,768)

 

       (1,242,347)

 

          (844,426)

                

Contributions of Capital From Manager

 

                         -

 

                         -

 

                         -

 

                         -

 

                         -

 

                54,000

                

Total Increase (Decrease) in Net Assets

 

            525,280

 

          (541,269)

 

          (598,608)

 

       (1,156,906)

 

       (1,242,347)

 

          (790,426)

                

Net Assets:

             
 

Beginning of period

 

         14,904,240

 

         15,445,509

 

           5,279,349

 

           6,436,255

 

         18,106,797

 

         18,897,223

 

End of period*

 

 $   15,429,520

 

 $   14,904,240

 

 $     4,680,741

 

 $     5,279,349

 

 $   16,864,450

 

 $   18,106,797

 

* Includes undistributed net investment

             
 

      income (loss) at end of period

 

 $                      -

 

 $                      -

 

 $                      -

 

 $                      -

 

 $                      -

 

 $                      -

                
 

See accompanying notes to financial statements.

          






NOTES TO FINANCIAL STATEMENTS

Six Months Ended February 28, 2007 (Unaudited)


1.

ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES


      The Saratoga Advantage Trust (the “Trust”) was organized on April 8, 1994 as a Delaware Statutory Trust and is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company.  The Trust commenced investment operations on September 2, 1994.  The Trust consists of twelve portfolios: the Large Capitalization Value Portfolio; the Large Capitalization Growth Portfolio; the Mid Capitalization Portfolio; the Small Capitalization Portfolio; the International Equity Portfolio; the Health & Biotechnology Portfolio; the Technology & Communications Portfolio; the Energy & Basic Materials Portfolio; the Financial Services Portfolio; the Investment Quality Bond Portfolio; the Municipal Bond Portfolio and the U.S. Government Money Market Portfolio (collectively, the “Portfolios”).  Saratoga Capital Management, LLC (the “Manager”) serves as the Trust’s Manager. Each of the Portfolios is provided with the discretionary advisory services of an investment adviser identified, retained, supervised and compensated by the Manager.  The following serve as advisers (the “Advisers”) to their respective Portfolio(s): Oppenheimer Capital, LLC serves as Adviser to the Large Capitalization Value, Municipal Bond and International Equity; Loomis, Sayles & Co., L.P. serves as Adviser to Large Capitalization Growth and Financial Services; Vaughan Nelson Investment Management, L.P. serves as Adviser to Mid Capitalization effective April 17, 2006 (formerly advised by Caterpillar Investment Management, Ltd.); Integrity Money Management Inc. serves as Advisor to Energy & Basic Materials effective April 17, 2006 (formerly advised by Caterpillar Investment Management, Ltd.); Fox Asset Management, LLC serves as Adviser to Small Capitalization and Investment Quality Bond; Oak Associates, Ltd. serves as Adviser to Health & Biotechnology; Columbus Circle Investors serves as Adviser to Technology & Communications; and Reich & Tang Asset Management LLC serves as Adviser to U.S. Government Money Market.  Gemini Fund Services, LLC (the “Administrator”), serves the Trust as administrator, custody administrator, transfer agent and fund accounting agent, and is a wholly-owned subsidiary of NorthStar Financial Services Group, LLC.   Aquarius Fund Distributors, LLC (the “Distributor”) is the Trust’s Distributor, and is a wholly-owned subsidiary of NorthStar Financial Services Group, LLC.       

 

    The Health & Biotechnology Portfolio, the Technology & Communications Portfolio, the Energy & Basic Materials Portfolio and the Financial Services Portfolio are non-diversified portfolios.   The Large Capitalization Value Portfolio, the Large Capitalization Growth Portfolio, the Mid Capitalization Portfolio, the Small Capitalization Portfolio, the International Equity Portfolio, the Investment Quality Bond Portfolio, the Municipal Bond Portfolio and the U.S. Government Money Market Portfolio are diversified portfolios.    


Portfolio

 

Primary Objective

Large Capitalization Value

 

Total return consisting of capital appreciation and dividend income

Large Capitalization Growth

 

Capital appreciation

Mid Capitalization

 

Long-term capital appreciation

Small Capitalization

 

Maximum capital appreciation

International Equity

 

Long-term capital appreciation

Health & Biotechnology

 

Long-term capital growth

Technology & Communications

 

Long-term capital growth

Energy & Basic Materials

 

Long-term capital growth

Financial Services

 

Long-term capital growth

Investment Quality Bond

 

Current income and reasonable stability of principal

Municipal Bond

 

High level of interest income that is excluded from federal income taxation to the extent consistent with prudent investment management and the preservation of capital

U.S. Government Money Market

 

Maximum current income to the extent consistent with the maintenance of liquidity and the

preservation of capital


     Currently, each Portfolio offers Class A, Class B, Class C and Class I shares (the Trust has suspended sales of Class B shares with certain exceptions).   Each class represents an interest in the same assets of the applicable Portfolio, and the classes are identical except for differences in their sales charge structures and ongoing service and distribution charges.  In addition, Class B shares and all corresponding reinvested dividend shares automatically convert to Class I shares approximately eight years after issuance. All classes of shares have equal voting privileges except that each class has exclusive voting rights with respect to its service and/or distribution plans.   To discourage short-term trading and offset brokerage commissions, market impact and other costs associated with short-term trading, the Portfolios, excluding the U.S. Government Money Market Portfolio, charge a 2% fee on the value of shares that are redeemed within 30 days of purchase.   Such fees are paid directly to the Portfolio from which the redemption is made.   Please see the Trust’s prospectus for additional details.


     The following is a summary of significant accounting policies consistently followed by each Portfolio:


(a) Valuation of Investments


     Investment securities listed on a national securities exchange are valued at the last reported sale price on the valuation date; if there are no such reported sales, the securities are valued at the last quoted bid price.  Other securities traded over-the-counter and not part of the National Market System are valued at the last quoted bid price.  NASDAQ traded securities are valued at the NASDAQ Official Closing Price (NOCP).   Debt securities (other than short-term obligations) are valued each day by an independent pricing service approved by the Board of Trustees using methods which include current market quotations from a major market maker in the securities and trader-reviewed “matrix” prices.  Short-term debt securities having a remaining maturity of sixty days or less are valued at amortized cost or amortized value, which approximates market value.  U.S. Government Money Market values all of its securities on the basis of amortized cost, which approximates market value.   Options listed on a securities exchange or board of trade for which market quotations are readily available shall be valued at the last quoted sales price or, in the absence of a sale, at the last reported sales price that is within the spread between the closing bid and asked prices on the valuation date.   Options not listed on a securities exchange or board of trade for which over-the-counter market quotations are readily available shall be valued at the mean of the current bid and asked prices.   Futures are valued based on their daily settlement value.   Any securities or other assets for which market quotations are not readily available are valued at their fair value as determined in good faith under procedures established by the Board of Trustees.   There is no single standard for determining the fair value of such securities.   Rather, in determining the fair value of a security, the board-appointed Fair Valuation Committee shall take into account the relevant factors and surrounding circumstances, a few of may which include: (i) the nature and pricing history (if any) of the security; (ii) whether any dealer quotations for the security are available; and (iii) possible valuation methodologies that could be used to determine the fair value of a security.   The ability of issuers of debt securities held by the portfolios to meet their obligations may be affected by economic or political developments in a specific state, industry or region.   Investments in countries may involve certain considerations and risks not typically associated with domestic investments, including, but not limited to, the possibility of future political and economic developments and the level of governmental supervision and regulation of foreign securities markets.


NOTES TO FINANCIAL STATEMENTS

   Six Months Ended February 28, 2007 (Unaudited) (Continued)


In September of 2006, the Financial Accounting Standards Board (“FASB”) issued FASB Statement No. 157, “Fair Value Measurement” (“SFAS 157”), which defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements.  SFAS 157 is effective for fiscal years beginning after November 15, 2007, and interim periods within those fiscal years.  The Fund believes the adoption of SFAS 157 will have no material impact on its financial statements.   However, additional disclosures may be required about the inputs used to develop the measurements and the effect of certain of the measurements reported on the statement of changes in net assets for a fiscal period.


(b) Federal Income Tax


     It is each Portfolio’s policy to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its taxable income to shareholders.  Therefore, no federal income tax provision is required.


     Capital loss carry forwards, as of each Portfolio’s most recent tax year-end, available to offset future capital gains, if any, are as follows:


Portfolio

2009

2010

2011

2012


2014

 Total

Large Capitalization Value

$        ---

$   3,568,799

$          ---

$          ---

$         ---

$          3,568,799

Large Capitalization Growth

---

1,834,328

14,577,320

---

---

16,411,648

Mid Capitalization

---

---

---

---

---

---

Small Capitalization

---

---

---

---

---

---

International Equity

---

1,634,786

3,633,064

---

---

5,267,850

Health & Biotechnology

26,934,229

45,692,720

43,129,921

---

677,231

116,434,101

Technology & Communications

234,527,931

24,467,569

771,148

---

---

259,766,648

Energy & Basic Materials

---

---

---

---

---

---

Financial Services

---

---

---

---

---

---

Investment Quality Bond

---

---

---

---

---

---

Municipal Bond

---

---

---

---

---

---

U.S. Government Money Market

---

---

---

751

---

751


     On July 13, 2006, The Financial Accounting Standards Board (“FASB”) released FASB Interpretation No. 48 “Accounting for Uncertainty in Income Taxes” (“FIN 48”).  FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements.  FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing a portfolio’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority.  Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year.  Adoption of FIN 48 is required for fiscal years beginning after June 29, 2007 and is to be applied to all open tax years as of the effective date.  At this time management believes that the adoption of FIN 48 will have no impact on the financial statements of any portfolio.


      (c) Security Transactions and Other Income


     Security transactions are recorded on the trade date.  In determining the gain or loss from the sale of securities, the cost of securities sold is determined on the basis of identified cost.  Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis.  


     As a result of capital loss carry forward limitations, net operating losses, unrealized appreciation (depreciation) from acquired funds and other reclassifications as of the Portfolios’ most recent tax year-ends, paid in capital, undistributed net investment income (loss) and accumulated net realized gain (loss) on investments and foreign currency transactions were adjusted as follows:


     







Portfolio







Increase (Decrease) in Paid in Capital





Increase (Decrease) in Undistributed Net Investment Income (Loss)



Increase (Decrease) in Accumulated Net Realized Gain (Loss) & Investments and Foreign Currency Transactions

 

Increase (Decrease) in Unrealized Appreciation (Depreciation) on Investments and Foreign Currency Transactions

Large Capitalization Value

$                64

$                ---

$               (64)

$            ---

Large Capitalization Growth

(468,865)

468,865

---

---

Mid Capitalization

(78,800)

292,504

(213,704)

---

Small Capitalization

(48,552)

106,461

(57,909)

---

International Equity

(16,651)

---

16,651

---

Health & Biotechnology

(1,100,447)

939,009

161,438

---

Technology & Communications

(591,337)

591,337

---

---

Energy & Basic Materials

(190,264)

184,552

5,712

---

Financial Services

56,323

23,045

(79,368)

---

Investment Quality Bond

(12,329)

38,627

(26,298)

---

Municipal Bond

(7,693)

15,590

(7,897)

---

U.S. Government Money Market

---

---

---

---

Net assets were unaffected by the above reclassifications.





NOTES TO FINANCIAL STATEMENTS

    Six Months Ended February 28, 2007 (Unaudited) (Continued)


(d) Dividends and Distributions


     The following table summarizes each Portfolio’s dividend and capital gain declaration policy:


Portfolio


Income Dividends


Capital Gains

Large Capitalization Value

Annually

Annually

Large Capitalization Growth

Annually

Annually

Mid Capitalization

Annually

Annually

Small Capitalization

Annually

Annually

International Equity

Annually

Annually

Health & Biotechnology

Annually

Annually

Technology & Communications

Annually

Annually

Energy & Basic Materials

Annually

Annually

Financial Services

Annually

Annually

Investment Quality Bond

Daily – paid monthly

Annually

Municipal Bond

Daily – paid monthly

Annually

U.S. Government Money Market

Daily – paid monthly

Annually


     Each Portfolio records dividends and distributions to its shareholders on the ex-dividend date.  The amount of dividends and distributions from net investment income and net realized gains are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. These “book-tax” differences are either permanent or temporary in nature.  To the extent these differences are permanent in nature, such amounts are reclassified within the net asset accounts based on their federal tax-basis treatment; temporary differences do not require reclassification. To the extent dividends and distributions exceed current and accumulated earnings and profits for federal income tax purposes, they are reported as distributions of paid-in-surplus or tax return of capital.


(e) Allocation of Expenses


     Expenses specifically attributable to a particular Portfolio are borne by that Portfolio.  Other expenses are allocated to each Portfolio based on its net assets in relation to the total net assets of all the applicable Portfolios of the Trust or another reasonable basis.


(f) Repurchase Agreements


     The Trust, through its custodian, receives delivery of the underlying securities, the market value of which at the time of purchase is required to be in an amount at least equal to 101% of the resale price.  The Manager is responsible for determining that the amount of these underlying securities is maintained at a level such that their market value is at all times equal to 101% of the resale price.  In the event of default on the obligation to repurchase, the Trust has the right to liquidate the collateral and apply the proceeds toward satisfaction of the obligation.


(g) Other


     The preparation of the financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements.   Actual results could differ from those estimates.


     The accounting records 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.    In addition, certain of the Portfolios may enter into forward foreign currency contracts.   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.

MANAGEMENT FEE, ADMINISTRATION FEE AND OTHER TRANSACTIONS WITH AFFILIATES


     (a) The management fees are payable to the Manager monthly by each Portfolio and are computed daily at the following annual rates of each Portfolio's average daily net assets: 1.25% for Health & Biotechnology, Technology & Communications, Energy & Basic Materials and Financial Services; 0.75% for Mid Capitalization and International Equity; 0.65% for Large Capitalization Value, Large Capitalization Growth and Small Capitalization; 0.55% for Investment Quality Bond and Municipal Bond; and 0.475% for U.S. Government Money Market.


     For the six months ended February 28, 2007, the Manager waived $3,921 for Technology & Communications, $23,720 for Financial Services, $6,594 for Investment Quality Bond, $4,617 for Municipal Bond, and $4,286 for U.S. Government Money Market.  

       

(b) Gemini Fund Services, LLC (“GFS”) provides administrative, fund accounting, and transfer agency services to the Portfolios pursuant to agreements with the Trust, for which it receives from each Portfolio: (i) a minimum annual fee or basis points in decreasing amounts as assets reach certain breakpoints; and (ii) any related out-of-pocket expenses.  


GFS also provides certain custody administration services enumerated in the Trust’s Custody Agreement with Bank of New York.  Under the Custody Agreement, the Trust pays an asset-based custody fee in decreasing amounts as Trust assets reach certain breakpoints, as well as certain transaction fees and out-of-pocket expenses. GFS receives a portion of these fees for performing custody administration services.   The Custody fees listed in the Statement of Operations include the fees paid to GFS as Custody Administrator.   For the six months ended February 28, 2007, GFS received $30,211 from the Trust for custody administration services.





NOTES TO FINANCIAL STATEMENTS

   Six Months Ended February 28, 2007 (Unaudited) (Continued)


In addition, certain affiliates of GFS provide ancillary services to the Trust as follows:


Fund Compliance Services, LLC (“FCS”), an affiliate of GFS, provides a Chief Compliance Officer (“CCO”) to the Trust, as well related compliance services, pursuant to a consulting agreement between FCS and the Trust. Under the terms of such agreement, FCS receives from the Fund an annual fee, payable quarterly, and is reimbursed for out-of-pocket expenses.  For the six months ended February 28, 2007, the Trust incurred expenses of $13,299 for compliance services pursuant to the Trust’s Agreement with FCS.


GemCom, LLC (“GemCom”), an affiliate of GFS, provides EDGAR conversion and filing services as well as print management services for the Trust on an ad-hoc basis.  For EDGAR services, GemCom charges a per-page conversion fee and a flat filing fee.  Printing services prices vary according to available discounts.  For the six months ended February 28, 2007, the Trust paid GemCom $34,316 for EDGAR and printing services performed.  


Certain officers of GFS and FCS are also officers of the Trust.

  

     (c) The Portfolios have adopted a Plan of Distribution (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act with respect to the distribution of Class A, B and C shares of the Portfolios.  The Plan provides that each Portfolio will pay the Distributor or other entities a fee, which is accrued daily and paid monthly, at the annual rate of 0.40% of the average daily net assets of Class A shares and 1.00% of the average daily net assets of Class B and Class C shares.  Up to 0.25% of average daily net assets may be paid directly to the Manager for support services.  A portion of the fee pursuant to the Plan, equal to 0.25% of the average daily net assets, is currently characterized as a service fee.  A service fee is a payment made for personal service and/or the maintenance of shareholder accounts.    The aggregate of such service fee payments will not exceed 0.25% of average daily net assets.   For the six months ended February 28, 2007, the Distributor waived $3,873 in fees for the U.S. Government Money Market Portfolio.

   


    Class A shares are offered at net asset value plus a maximum sales load of 5.75%.   Class B shares are offered subject to a maximum contingent deferred sales charge (“CDSC”) of 5.00% and will automatically convert to Class I shares after eight years.   Class C shares are offered subject to a CDSC of 1.00% and, prior to January 1, 2003, had been subject to a maximum sales load of 1.00%.   Class I shares are offered at net asset value.


     For the six months ended February 28, 2007, the Distributor, Aquarius Fund Distributors, LLC (“AFD”) received sales charges on sales of the Portfolios’ Class A shares.   In addition, CDSCs were paid to the Manager for Class C shares.   The Distributor and the Manager have advised the Portfolios that the approximate amounts are as follows:


 


Distributor

Sales Charges



CDSCs


Portfolio

 


Class A


Class C

Large Capitalization Value

 

$        104

$   314

Large Capitalization Growth

 

41

758

Mid Capitalization

 

74

194

Small Capitalization

 

50

40

International Equity

 

86

78

Health & Biotechnology

 

597

58

Technology & Communications

 

226

58

Energy & Basic Materials

 

4,023

89

Financial Services

 

52

39

Investment Quality Bond

 

---

158

Municipal Bond

 

---

---

U.S. Government Money Market

 

---

19


(d) The Trust and the Manager have entered into an Excess Expense Agreement (the “Expense Agreement”).  In connection with the Expense Agreement, the Manager is currently voluntarily waiving all or a portion of its management fees and/or assuming certain other operating expenses of certain Portfolios in order to maintain the expense ratios of each class of the Portfolios at or below predetermined levels (each an “Expense Cap”).  The annual expense caps in effect at February 28, 2007 for each portfolio were:  2.40%, 3.00%, 3.00% and 2.00% for Class A, B, C and I shares respectively, of Large Capitalization Value, Large Capitalization Growth,  Mid Capitalization, and Small Capitalization; 2.70%, 3.30%, 3.30% and 2.30% for Class A, B, C and I shares, respectively, of International Equity; 1.80%, 2.40%, 2.40% and 1.40% for Class A, B, C and I shares, respectively, of Investment Quality Bond and Municipal Bond; 1.65%, 2.25%, 2.25% and 1.25% for Class A, B, C and I shares, respectively, of U.S. Government Money Market; 2.70%, 3.30%, 3.30% and 2.30% for Class A, B, C and I shares, respectively, of Health & Biotechnology, Technology & Communications, Energy & Basic Materials and Financial Services.  Under the terms of the Expense Agreement, expenses borne by the Manager for the Large Capitalization Value, Large Capitalization Growth, Small Capitalization, International Equity, Investment Quality Bond, Municipal Bond and U.S. Government Money Market Portfolios are subject to reimbursement by the portfolios for up to five years from the date the fee or expense was incurred and expenses borne by the Manager for the Mid Capitalization, Health & Biotechnology, Technology & Communications, Energy & Basic Materials and Financial Services Portfolios are subject to reimbursement by the portfolios for up to three years from the date the fee or expense was incurred.   Expenses borne by the Manager after December 31, 2002, for all of the portfolios of the Trust, are subject to reimbursement for up to three years from the date the fee or expense was incurred.   No reimbursement will be made if it would result in the portfolio exceeding its Expense Cap.   The Expense Agreement may be terminated by either party, without penalty, upon receipt of 60 days prior notice.  For the six months ended February 28, 2007, no reimbursement payments were made to the Manager under the terms of the Expense Agreement.   


(e) The following Portfolios in the Trust had portfolio trades executed with a certain broker pursuant to a commission recapture agreement under which, certain portfolio expenses could be paid by such broker or rebates could be given to each participating Portfolio.   For the six months ended February 28, 2007, the amount received by the participating Portfolios under this arrangement was as follows: Large Capitalization Growth, $4,680; Mid Capitalization, $4,380; Small Capitalization, $1,467; International Equity, $2,947; and Health & Biotechnology, $8,225.  






NOTES TO FINANCIAL STATEMENTS

   Six Months Ended February 28, 2007 (Unaudited) (Continued)


3.

INVESTMENT TRANSACTIONS


     (a) For the six months ended February 28, 2007, the cost of purchases and proceeds from sales of investment securities, other than short-term securities, for the Portfolios’ were as follows:

              

                   

           

Portfolio

 

Purchases

Sales

Large Capitalization Value

 

$10,929,375

$14,173,174

Large Capitalization Growth

 

18,777,544

20,775,904

Mid Capitalization

 

7,485,353

8,116,520

Small Capitalization

 

3,947,601

5,641,926

International Equity

 

5,540,597

5,522,032

Health & Biotechnology

 

4,526,385

9,854,530

Technology & Communications

 

15,252,455

18,173,151

Energy & Basic Materials

 

--

2,210,622

Financial Services

 

2,148,055

2,543,115

Investment Quality Bond

 

3,899,338

3,870,436

Municipal Bond

 

758,910

1,335,055


      (b) Certain Portfolios may enter into options contracts.  An option contract is a contract in which the writer of the option grants the buyer of the option the right to purchase from (call option), or sell to (put option), the writer a designated instrument at a specified price within a specified period of time.  Certain options, including options on indices, will require cash settlement by the Portfolio if the option is exercised.


      Premiums paid when put or call options are purchased by the Portfolio, represent investments, which are marked-to-market daily.  When a purchase option expires, the Portfolio will realize a loss in the amount of the premium paid.  When the Portfolio enters into a closing sales transaction, the Portfolio will realize a gain or loss depending on whether the proceeds from the closing sales transaction are greater or less than the premium paid for the option.  When the Portfolio exercises a put option, it will realize a gain or loss from the sale of the underlying security and the proceeds from such sale will be decreased by the premium originally paid.  When the Portfolio exercises a call option, the cost of the security, which the Portfolio purchases upon exercise, will be increased by the premium originally paid.


      Certain Portfolios may write covered call options.  This means that the Portfolio will own the security subject to the option or an option to purchase the same underlying security, having an exercise price equal to or less than the exercise price of the covered option, or will establish and maintain with its custodian for the term of the option, an account consisting of cash, U.S. government securities or other liquid securities having a value equal to the fluctuating market value of the securities on which the Portfolio holds a covered call position.  


      When a Portfolio writes a call option, an amount equal to the premium received by the Portfolio is recorded as a liability, the value of which is marked-to-market daily.  When a written option expires, the Portfolio realizes a gain equal to the amount of the premium received.  When the Portfolio enters into a closing purchase transaction, the Portfolio realizes a gain or loss depending upon whether the cost of the closing transaction is greater or less than the premium originally received, without regard to any unrealized gain or loss on the underlying security, and the liability related to such option is eliminated.  When a written call option is exercised the proceeds of the security sold will be increased by the premium originally received.


      The liability representing a Portfolio’s obligation under an exchange traded written option or investment in a purchased option is valued at the last sale price or, in the absence of a sale, the last available bid price.  


      The Portfolios may enter into options for hedging purposes.  The risk associated with purchasing options is limited to the premium originally paid.  The risk in writing a covered call option is that the Portfolio gives up the opportunity to participate in any increase in the price of the underlying security beyond the exercise price.


The number of options contracts written and the premiums received by the Technology & Communications Portfolio during the period ended February 28, 2007 were as follows:


 

Number of Contracts

Premiums Received

Options outstanding, beginning of period

-

-      

Options written

264

$           52,065

Options exercised

(90)

(16,919)

Options expired

-

-

Options closed

(53)

(22,683)

Options outstanding, end of period

121

   $           12,463
















NOTES TO FINANCIAL STATEMENTS

    Six Months Ended February 28, 2007 (Unaudited) (Continued)


4.    AUTHORIZED SHARES OF BENEFICIAL INTEREST AND PAR VALUE PER SHARE

         

     Each Portfolio has unlimited shares of beneficial interest authorized at $.01 par value per share.  For the periods indicated, transactions were as follows:


  

Class I Shares

 

Class A Shares

  

Six Months Ended    February 28, 2007

 

Year Ended    August 31, 2006

 

Six Months Ended    February 28, 2007

 

Year Ended    August 31, 2006

 

Large Capitalization Value

 

 

 

 

 

 

 

 

     Issued

122,574

 

306,753

 

1,513

 

148

 

     Redeemed

(256,549)

 

(527,002)

 

(70)

 

--

 

     Reinvested from Dividends

10,167

 

2,252

 

1

 

--

 

     Net Increase (Decrease) in Shares

(123,808)

 

(217,997)

 

1,444

 

148

 

Large Capitalization Growth

       
 

     Issued

197,304

 

554,053

 

892

 

722

 

     Redeemed

(347,121)

 

(704,219)

 

--

 

                           (308)

 

     Net Increase (Decrease) in Shares

(149,817)

 

(150,166)

 

892

 

414

 

Mid Capitalization

       
 

     Issued

152,964

 

330,761

 

3,503

 

8,480

 

     Redeemed

(168,065

 

(161,238)

 

(45,458)

 

(1,700,572)

 

     Reinvested from Dividends

252,497

 

113,409

 

77,923

 

56,822

 

     Net Increase (Decrease) in Shares

237,396

 

282,932

 

35,968

 

(1,635,270)

 

Small Capitalization

       
 

     Issued

74,221

 

139,812

 

492

 

226

 

     Redeemed

(178,944)

 

(318,866)

 

(417)

 

--

 

     Reinvested from Dividends

254,004

 

294,284

 

50

 

--

 

     Net Increase (Decrease) in Shares

149,281

 

115,230

 

125

 

226

 

International Equity

       
 

     Issued

170,229

 

282,228

 

830

 

606

 

     Redeemed

(157,413)

 

(221,547)

 

(740)

 

--

 

     Reinvested from Dividends

2,300

 

5,072

 

--

 

--

 

     Net Increase (Decrease) in Shares

15,116

65,753

90

606

 

Health & Biotechnology

       
 

     Issued

24,992

 

111,073

 

52,162

 

5,299

 

     Redeemed

(44,557)

 

(48,879)

 

(131,268)

 

(303,377)

 

     Net Increase (Decrease) in Shares

(19,565)

 

62,194

 

(79,106)

 

(298,078)

 

Technology & Communications

       
 

     Issued

38,532

 

117,429

 

7,950

 

12,194

 

     Redeemed

(33,581)

 

(51,864)

 

(181,673)

 

(372,139)

 

     Net Increase (Decrease) in Shares

4,951

 

65,565

 

(173,723)

 

(359,945)

 

Energy & Basic Materials

       
 

     Issued

16,206

 

73,060

 

18,970

 

108,821

 

     Redeemed

(47,543)

 

(26,111)

 

(42,615)

 

(35,315)

 

     Reinvested from Dividends

3,254

 

944

 

4,263

 

1,354

 

     Net Increase (Decrease) in Shares

(28,083)

 

47,893

 

(19,382)

 

74,860

 

Financial Services

       
 

     Issued

31,370

 

48,776

 

2,274

 

2,018

 

     Redeemed

(19,328)

 

(25,622)

 

(16,523)

 

(14,062)

 

     Reinvested from Dividends

20,974

 

5,615

 

10,629

 

4,869

 

     Net Increase (Decrease) in Shares

33,016

 

28,769

 

(3,620)

 

(7,175)

 

Investment Quality Bond

       
 

     Issued

230,754

 

434,042

 

1,404

 

1

 

     Redeemed

(187,806)

 

(484,714)

 

--

 

--

 

     Reinvested from Dividends

21,908

 

49,300

 

1

 

--

 

     Net Increase (Decrease) in Shares

64,856

 

(1,372)

 

1,405

 

1

 

Municipal Bond

       
 

     Issued

45,350

 

78,915

 

--

 

1

 

     Redeemed

(111,640)

 

(200,456)

 

--

 

--

 

     Reinvested from Dividends

7,735

 

16,846

 

--

 

--

 

     Net Increase (Decrease) in Shares

(58,555)

 

(104,695)

 

--

 

1

 

U.S. Government Money Market

       
 

     Issued

5,838,963

 

9,599,375

 

23,161

 

1,353

 

     Redeemed

(7,328,419)

 

(10,922,901)

 

--

 

(1,344)

 

     Reinvested from Dividends

347,454

 

558,064

 

--

 

1

 

     Net Increase (Decrease) in Shares

(1,142,002)

 

(765,462)

 

23,161

 

10

 

   

NOTES TO FINANCIAL STATEMENTS

 Six Months Ended February 28, 2007 (Unaudited) (Continued)


 

Class B Shares

 

Class C Shares

 

Six Months Ended    February 28, 2007

 

Year Ended    August 31, 2006

 

Six Months Ended    February 28, 2007

 

Year Ended    August 31, 2006

Large Capitalization Value

 

 

 

 

 

 

 

     Issued

3,170

 

1,429

 

4,057

 

14,763

     Redeemed

(29,811)

 

(55,573)

 

(11,839)

 

(31,322)

     Reinvested from Dividends

267

 

--

 

259

 

--

     Net Increase (Decrease) in Shares

(26,374)

 

(54,144)

 

(7,523)

 

(16,559)

Large Capitalization Growth

       

     Issued

2

 

5,402

 

7,869

 

57,713

     Redeemed

(9,738)

 

(12,466)

 

(19,383)

 

(77,672)

     Net Increase (Decrease) in Shares

(9,736)

 

(7,064)

 

(11,514)

 

19,959

Mid Capitalization

       

     Issued

1,528

 

3,796

 

3,807

 

11,922

     Redeemed

(35,289)

 

(89,245)

 

(15,381)

 

(12,408)

     Reinvested from Dividends

49,499

 

37,071

 

23,347

 

12,329

     Net Increase (Decrease) in Shares

15,738

 

(48,378)

 

11,773

 

11,843

Small Capitalization

       

     Issued

1,371

 

1,952

 

3,068

 

5,599

     Redeemed

(12,384)

 

(8,592)

 

(8,531)

 

(18,071)

     Reinvested from Dividends

5,533

 

7,873

 

12,426

 

15,318

     Net Increase (Decrease) in Shares

(5,480)

 

1,233

 

6,963

 

2,846

International Equity

       

     Issued

5,733

 

637

 

10,667

 

11,690

     Redeemed

(3,697)

 

(3,247)

 

(9,656)

 

(16,156)

     Net Increase (Decrease) in Shares

2,036

 

(2,610)

 

1,011

 

(4,466)

Health & Biotechnology

       

     Issued

829

 

6,102

 

2,609

 

4,381

     Redeemed

(234,536)

 

(496,284)

 

(67,610)

 

(165,169)

     Net Increase (Decrease) in Shares

(233,707)

 

(490,182)

 

(65,001)

 

(160,788)

Technology & Communications

       

     Issued

1,295

 

2,853

 

1,351

 

4,572

     Redeemed

(173,639)

 

(381,465)

 

(17,498)

 

(29,484)

     Net Increase (Decrease) in Shares

(172,344)

 

(378,612)

 

(16,147)

 

(24,912)

Energy & Basic Materials

       

     Issued

293

 

12,468

 

401

 

4,730

     Redeemed

(20,474)

 

(38,850)

 

(1,806)

 

(813)

     Reinvested from Dividends

3,287

 

1,727

 

202

 

54

     Net Increase (Decrease) in Shares

(16,894)

 

(24,655)

 

(1,203)

 

3,971

Financial Services

       

     Issued

348

 

901

 

244

 

3,188

     Redeemed

(12,852)

 

(30,563)

 

(2,440)

 

(3,863)

     Reinvested from Dividends

10,688

 

5,572

 

1,560

 

618

     Net Increase (Decrease) in Shares

(1,816)

 

(24,090)

 

(636)

 

(57)

Investment Quality Bond

       

     Issued

1

 

476

 

3,546

 

19,890

     Redeemed

(1,399)

 

(2,806)

 

(29,032)

 

(39,015)

     Reinvested from Dividends

40

 

166

 

961

 

2,905

     Net Increase (Decrease) in Shares

(1,358)

 

(2,164)

 

(24,525)

 

(16,220)

Municipal Bond

       

     Issued

80

 

4,746

 

67

 

2,767

     Redeemed

--

 

--

 

(56)

 

(4,333)

     Reinvested from Dividends

74

 

133

 

376

 

706

     Net Increase (Decrease) in Shares

154

 

4,879

 

387

 

(860)

U.S. Government Money Market

       

     Issued

2,522

 

74,167

 

131,315

 

217,113

     Redeemed

(53,961)

 

(91,957)

 

(218,796)

 

(303,626)

     Reinvested from Dividends

3,572

 

6,311

 

11,841

 

19,015

     Net Increase (Decrease) in Shares

(47,867)

 

(11,479)

 

(75,640)

 

(67,498)





NOTES TO FINANCIAL STATEMENTS

    Six Months Ended February 28, 2007 (Unaudited) (Continued)


5.   SECURITIES LENDING


     Under an agreement with the Bank of New York Co., Inc. (“BONY”), the Portfolios can lend their portfolio securities to brokers, dealers and other financial institutions approved by the Board of Trustees.    Loans are collateralized by cash, in an amount at least equal to the market value of the securities loaned, which is invested in highly liquid, short-term instruments such as repurchase agreements collateralized by U.S. Government securities and money market funds in accordance with the Portfolios’ security lending procedures.   A portion of the income generated by the investment in the collateral, net of any rebates paid by BONY to the borrowers, is remitted to BONY as lending agent, and the remainder is paid to the Portfolios.   Generally, in the event of a counter-party default, each Portfolio has the right to use the collateral to offset the losses incurred.   There would be a potential loss to a Portfolio in the event such Portfolio is delayed or prevented from exercising its right to dispose of the collateral.


    At February 28, 2007, the following portfolios had securities on loan:

     


Portfolio

 

 Market Value of Loaned Securities

        Market Value

        of Collateral

    

Large Capitalization Value

 

$7,338,367

$7,533,547

Large Capitalization Growth

 

8,998,333

9,284,971

Mid Capitalization

 

3,688,026

3,789,999

Small Capitalization

 

4,860,072

5,077,736

Health & Biotechnology

 

7,187,802

7,627,512

Technology & Communications

 

5,321,543

5,513,295

Investment Quality Bond

 

3,308,107

3,374,316


  At February 28, 2007, the percentage of total investment income derived from the investment of cash collateral retained by the lending agent, BONY, was as follows:



Portfolio

 

Percentage of Total Investment Income

Large Capitalization Value

 

9.81%

Large Capitalization Growth

 

2.93%

Mid Capitalization

 

1.32%

Small Capitalization

 

3.52%

Health & Biotechnology

 

4.11%

Technology & Communications

 

            19.32%

Investment Quality Bond

 

0.74%






NOTES TO FINANCIAL STATEMENTS

    Six Months Ended February 28, 2007 (Unaudited) (Continued)


6.   DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL


    The tax character of dividends paid during the period ended August 31, 2006 was as follows:



Portfolio


Ordinary Income


Tax Exempt Income

Long Term Capital Gains


Total

Large Capitalization Value

$          44,381

$             ---

$            ---

$       44,381

Large Capitalization Growth

---

---

---

---

Mid Capitalization

2,967,624

---

2,468,122

5,435,746

Small Capitalization

---

---

3,990,701

3,990,701

International Equity

65,851

---

---

65,851

Health & Biotechnology

---

---

---

---

Technology & Communications

---

---

---

---

Energy & Basic Materials

---

---

126,948

126,948

Financial Services

15,615

---

210,810

226,425

Investment Quality Bond

473,255

---

46,351

519,606

Municipal Bond

---

192,439

---

192,439

U.S. Government Money Market

603,350

---

---

603,350


    The tax character of dividends paid during the period ended August 31, 2005 was as follows:



Portfolio


Ordinary Income


Tax Exempt Income

Long Term Capital Gains


Total

Large Capitalization Value

$             ---

$             ---

$            ---

$           ---

Large Capitalization Growth

---

---

---

---

Mid Capitalization

---

---

4,003,386

4,003,386

Small Capitalization

---

---

23,300

23,300

International Equity

---

---

---

---

Health & Biotechnology

---

---

---

---

Technology & Communications

---

---

---

---

Energy & Basic Materials

---

---

126,948

126,948

Financial Services

15,615

---

210,810

226,425

Investment Quality Bond

457,959

---

275,013

732,972

Municipal Bond

41,504

190,431

26,094

258,029

U.S. Government Money Market

249,069

---

---

249,069


         As of each of the Portfolio’s tax year-end, the components of distributable earnings on a tax basis were as follows:





Portfolio



Capital Loss Carryforwards


Undistributed Long Term Capital Gains

 

Post October Loss Deferrals


Undistributed Ordinary Income


Undistributed Tax Exempt Income


Unrealized

Appreciation (Depreciation)




Total       

Large Capitalization Value

$  (3,568,799)

$        ---

$      ---

$    198,207

$        ---

$   4,048,222

$   677,630

Large Capitalization Growth

  (16,411,648)

---

---

---

---

1,675,410

(14,736,238)

Mid Capitalization

             ---

3,868,830

---

---

---

(435,501)

3,433,329

Small Capitalization

             ---

2,516,439

---

---

---

4,815,598

7,332,037

International Equity

(5,267,850)

---

---

32,235

---

2,036,734

(3,198,881)

Health & Biotechnology

(116,434,101)(a)

---

(321,183)

---

---

(575,143)

(117,330,427)

Technology & Communications

(259,766,648)(b)

---

---

---

---

4,125,899

(255,640,749)

Energy & Basic Materials

            ---

347,974

---

---

---

3,536,275

3,884,249

Financial Services

            ---

21,663

(1,050)

366,442

---

323,203

710,258

Investment Quality Bond

            ---

---

(46,090)

---

---

(89,761)

(135,851)

Municipal Bond

            ---

6,704

---

---

---

122,349

129,053

U.S. Government Money Market

        (751)

---

---

---

---

---

(751)



     The difference between book basis and tax basis distributable earnings, if any, is due primarily to different book and tax year-ends, the tax deferral of losses on wash sales and the tax deferral of losses incurred after October 31.    


 


                                      

(a)

Excludes loss carryforwards of $2,289,440 due to current year loss limitation rules.


(b)

Excludes loss carryforwards of $1,966,768 due to current year loss limitation rules.









FINANCIAL HIGHLIGHTS (For a share outstanding throughout each period)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
  

Large Cap Value Portfolio - Class I Shares

 
  

(Unaudited)

            
  

Six Months

            
  

Ended

 

Year Ended

 

Year Ended

 

Year Ended

 

Year Ended

 

Year Ended

 
  

February 28,

 

August 31,

 

August 31,

 

August 31,

 

August 31,

 

August 31,

 
  

2007(1)

 

2006(1)

 

2005(1)

 

2004(1)

 

2003(1)

 

2002

 

Net Asset Value, Beginning of Period

 $          20.13

 

 $          18.26

 

 $          16.49

 

 $          14.72

 

 $          13.02

 

 $          19.27

 

Income (Loss) from Investment Operations:

             
 

Net investment income (loss)

               0.09

 

               0.11

 

               0.03

 

 (0.00)

**

             (0.01)

 

               0.03

 
 

Net realized and unrealized gain (loss)

               1.78

 

               1.78

 

               1.74

 

               1.77

 

               1.71

 

             (4.63)

 
 

Total from investment operations

               1.87

 

               1.89

 

               1.77

 

               1.77

 

               1.70

 

             (4.60)

 

Dividends and Distributions:

             
 

Dividends from net investment income

             (0.12)

 

             (0.02)

 

                   -   

 

                   -   

 

                   -   

 

             (0.04)

 
 

Distributions from realized gains

                   -   

 

                   -   

 

                   -   

 

                   -   

 

                   -   

 

             (1.61)

 
 

Total dividends and distributions

             (0.12)

 

             (0.02)

 

                   -   

 

                   -   

 

                   -   

 

             (1.65)

 
               

Net Asset Value, End of Period

 $          21.88

 

 $          20.13

 

 $          18.26

 

 $          16.49

 

 $          14.72

 

 $          13.02

 
               

Total Return*

9.26%

 

10.36%

 

10.73%

 

12.02%

 

13.06%

 

(26.20)%

 

Ratios and Supplemental Data:

             
 

Net assets, end of period (000s)

 $        43,098

 

 $        42,149

 

 $        42,198

 

 $        56,345

 

 $        56,573

 

 $        57,694

 
 

Ratio of net operating expenses to

             
 

   average net assets (2)(3)

1.40%

 

1.52%

 

1.65%

 

1.73%

 

1.96%

 

1.42%

 
 

Ratio of net investment income (loss) to

             
 

   average net assets (2)(3)

0.81%

 

0.55%

 

0.15%

 

(0.01)%

 

(0.05)%

 

0.28%

 

 

Portfolio Turnover Rate

23%

 

49%

 

71%

 

92%

 

85%

 

84%

 
               
  

Large Cap Growth Portfolio - Class I Shares

 
  

(Unaudited)

            
  

Six Months

            
  

Ended

 

Year Ended

 

Year Ended

 

Year Ended

 

Year Ended

 

Year Ended

 
  

February 28,

 

August 31,

 

August 31,

 

August 31,

 

August 31,

 

August 31,

 
  

2007(1)

 

2006(1)

 

2005(1)

 

2004(1)

 

2003(1)

 

2002

 

Net Asset Value, Beginning of Period

 $          13.82

 

 $          14.34

 

 $          11.87

 

 $          12.75

 

 $          11.38

 

 $          15.12

 

Income (Loss) from Investment Operations:

             
 

Net investment income (loss)

             (0.09)

 

             (0.16)

 

             (0.14)

 

             (0.12)

 

             (0.12)

 

             (0.10)

 
 

Net realized and unrealized gain (loss)

               1.77

 

             (0.36)

 

               2.61

 

             (0.76)

 

               1.49

 

             (3.60)

 
 

Total from investment operations

               1.68

 

             (0.52)

 

               2.47

 

             (0.88)

 

               1.37

 

             (3.70)

 

Dividends and Distributions:

             
 

Dividends from net investment income

                   -   

 

                   -   

 

                   -   

 

                   -   

 

                   -   

 

                   -   

 
 

Distributions from realized gains

                   -   

 

                   -   

 

                   -   

 

                   -   

 

                   -   

 

             (0.04)

 
 

Total dividends and distributions

                   -   

 

                   -   

 

                   -   

 

                   -   

 

                   -   

 

             (0.04)

 
               

Net Asset Value, End of Period

 $          15.50

 

 $          13.82

 

 $          14.34

 

 $          11.87

 

 $          12.75

 

 $          11.38

 
               

Total Return*

12.16%

 

(3.63)%

 

20.81%

 

(6.90)%

 

12.04%

 

(24.78)%

 

Ratios and Supplemental Data:

             
 

Net assets, end of period (000s)

 $        35,940

 

 $        34,116

 

 $        37,560

 

 $        35,358

 

 $        41,240

 

 $        44,238

 
 

Ratio of net operating expenses to

             
 

   average net assets (2)(4)

1.59%

 

1.59%

 

1.74%

 

1.66%

 

2.00%

 

1.40%

 
 

Ratio of net investment income (loss) to

             
 

   average net assets (2)(4)

(1.18)%

 

(1.05)%

 

(1.04)%

 

(0.93)%

 

(1.07)%

 

(0.56)%

 

 

Portfolio Turnover Rate

49%

 

125%

 

147%

 

129%

 

60%

 

32%

 

(1) Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period.

    

(2) Annualized for periods less than one year.

             

(3) Before the application of any fees waived or reimbursed by Saratoga Capital Management, LLC or credits earned on custodian cash balances offsetting certain expenses, the ratios of net operating expenses to average daily net assets and of net investment income (loss) to average daily net assets would have been as follows for the Large Cap Value Portfolio: 1.40% and 0.81%, respectively, for the six months ended February 28, 2007; 1.52% and 0.55%, respectively, for the year ended August 31, 2006; 1.65% and 0.15%, respectively, for the year ended August 31, 2005; 1.73% and (0.01)%, respectively, for the year ended August 31, 2004; 1.96% and (0.05)%, respectively, for the year ended August 31, 2003; and 1.54% and 0.16%, respectively, for the year ended August 31, 2002.

 

(4) Before the application of any fees waived or reimbursed by Saratoga Capital Management, LLC or credits earned on custodian cash balances offsetting certain expenses, the ratios of net operating expenses to average daily net assets and of net investment income (loss) to average daily net assets would have been as follows for the Large Cap Growth Portfolio: 1.59% and (1.18%), respectively, for the six months ended February 28, 2007; 1.59% and (1.05%), respectively, for the year ended August 31, 2006; 1.74% and (1.04%), respectively, for the year ended August 31, 2005; 1.66% and (0.93%), respectively, for the year ended August 31, 2004; 2.01% and (1.08)%, respectively, for the year ended August 31, 2003; and 1.56% and (0.72)%, respectively, for the year ended August 31, 2002.

 
               

* Assumes reinvestment of all dividends and distributions.   Aggregate (not annualized) total return is shown for any period shorter than one year.   Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares.

** Per share amount represents less than $0.01 per share.

            





FINANCIAL HIGHLIGHTS (For a share outstanding throughout each period)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
  

Mid Capitalization Portfolio - Class I Shares

 
  

(Unaudited)

           
  

Six Months

         

January 6,

 
  

Ended

 

Year Ended

 

Year Ended

 

Year Ended

 

Period Ended

 

2003(2) to

 
  

February 28,

 

August 31,

 

August 31,

 

August 31,

 

August 31,

 

April 30,

 
  

2007(1)

 

2006(1)

 

2005(1)

 

2004(1)

 

2003(1)

 

2003(1)

 

Net Asset Value, Beginning of Period

 $          11.04

 

 $          12.96

 

 $          11.49

 

 $          10.40

 

 $            8.64

 

 $            8.61

 

Income (Loss) from Investment Operations:

            
 

Net investment income (loss)

             (0.01)

 

             (0.11)

 

             (0.10)

 

             (0.08)

 

             (0.02)

 

             (0.02)

 
 

Net realized and unrealized gain (loss)

               1.46

 

               0.04

 

               2.95

 

               1.17

 

               1.78

 

               0.05

 
 

Total from investment operations

               1.45

 

             (0.07)

 

               2.85

 

               1.09

 

               1.76

 

               0.03

 

Dividends and Distributions:

            
 

Dividends from net investment income

                   -   

 

                   -   

 

                   -   

 

                   -   

 

                   -   

 

                   -   

 
 

Distributions from realized gains

             (2.51)

 

             (1.85)

 

             (1.38)

 

                   -   

 

                   -   

 

                   -   

 
 

Total dividends and distributions

             (2.51)

 

             (1.85)

 

             (1.38)

 

                   -   

 

                   -   

 

                   -   

 
              

Net Asset Value, End of Period

 $            9.98

 

 $          11.04

 

 $          12.96

 

 $          11.49

 

 $          10.40

 

 $            8.64

 
              

Total Return*

14.16%

 

(0.62)%

 

25.46%

 

10.48%

 

20.37%

 

0.35%

 

Ratios and Supplemental Data:

            
 

Net assets, end of period (000s)

 $        11,831

 

 $        10,469

 

 $          8,622

 

 $          6,940

 

 $          2,235

 

 $             115

 
 

Ratio of net operating expenses to

            
 

   average net assets (3)(4)

1.63%

 

2.00%

 

1.89%

 

1.85%

 

1.89%

 

2.00%

 
 

Ratio of net investment income (loss) to

            
 

   average net assets (3)(4)

(0.19)%

 

(0.94)%

 

(0.79)%

 

(0.65)%

 

(0.63)%

 

(0.86)%

 

 

Portfolio Turnover Rate

42%

 

130%

 

75%

 

76%

 

19%

 

71%

 
              
  

Small Cap Portfolio - Class I Shares

 
  

(Unaudited)

           
  

Six Months

           
  

Ended

 

Year Ended

 

Year Ended

 

Year Ended

 

Year Ended

 

Year Ended

 
  

February 28,

 

August 31,

 

August 31,

 

August 31,

 

August 31,

 

August 31,

 
  

2007(1)

 

2006(1)

 

2005(1)

 

2004(1)

 

2003(1)

 

2002

 

Net Asset Value, Beginning of Period

 $          13.05

 

 $          15.63

 

 $          13.02

 

 $          11.32

 

 $          10.26

 

 $          12.04

 

Income (Loss) from Investment Operations:

            
 

Net investment income (loss)

               0.02

 

             (0.07)

 

             (0.10)

 

             (0.05)

 

             (0.06)

 

             (0.04)

 
 

Net realized and unrealized gain (loss)

               1.12

 

               0.99

 

               2.72

 

               1.97

 

               1.94

 

             (0.56)

 
 

Total from investment operations

               1.14

 

               0.92

 

               2.62

 

               1.92

 

               1.88

 

             (0.60)

 

Dividends and Distributions:

            
 

Dividends from net investment income

                   -   

 

                   -   

 

                   -   

 

                   -   

 

                   -   

 

                   -   

 
 

Distributions from realized gains

             (2.51)

 

             (3.50)

 

             (0.01)

 

             (0.22)

 

             (0.82)

 

             (1.18)

 
 

Total dividends and distributions

             (2.51)

 

             (3.50)

 

             (0.01)

 

             (0.22)

 

             (0.82)

 

             (1.18)

 
              

Net Asset Value, End of Period

 $          11.68

 

 $          13.05

 

 $          15.63

 

 $          13.02

 

 $          11.32

 

 $          10.26

 
              

Total Return*

9.05%

 

6.99%

 

20.16%

 

17.08%

 

20.00%

 

(5.43)%

 

Ratios and Supplemental Data:

            
 

Net assets, end of period (000s)

 $        16,211

 

 $        16,175

 

 $        17,564

 

 $        22,532

 

 $        23,838

 

 $        29,037

 
 

Ratio of net operating expenses to

            
 

   average net assets (3)(5)

1.20%

 

1.85%

 

1.85%

 

1.61%

 

1.96%

 

1.40%

 
 

Ratio of net investment income (loss) to

            
 

   average net assets (3)(5)

0.34%

 

(0.53)%

 

(0.66)%

 

(0.40)%

 

(0.62)%

 

(0.24)%

 

 

Portfolio Turnover Rate

23%

 

35%

 

17%

 

11%

 

20%

 

17%

 

(1) Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period.

   

(2) Commencement of offering.

            

(3) Annualized for periods less than one year.

            
              

(4) Before the application of any fees waived or reimbursed by Saratoga Capital Management, LLC or credits earned on custodian cash balances offsetting certain expenses, the ratios of net operating expenses to average daily net assets and of net investment income (loss) to average daily net assets would have been as follows for the Mid Cap Portfolio: 1.63% and (0.19)%, respectively, for the six months ended February 28, 2007; 2.03% and (0.97)%, respectively, for the year ended August 31, 2006; 1.89% and (0.79)%, respectively, for the year ended August 31, 2005; 1.85% and (0.65)%, respectively, for the year ended August 31, 2004; 1.89% and (0.63)%, respectively, for the period ended August 31, 2003; and 2.11% and (0.97)%, respectively, for the period ended April 30, 2003.

 

(5) Before the application of any fees waived or reimbursed by Saratoga Capital Management, LLC or credits earned on custodian cash balances offsetting certain expenses, the ratios of net operating expenses to average daily net assets and of net investment income (loss) to average daily net assets would have been as follows for the Small Cap Portfolio:  1.20% and 0.34%, respectively, for the six months ended February 28, 2007; 1.85% and (0.53)%, respectively, for the year ended August 31, 2006; 1.85% and (0.66)%, respectively, for the year ended August 31, 2005; 1.61% and (0.40)%, respectively, for the year ended August 31, 2004; 1.96% and (0.62)%, respectively, for the year ended August 31, 2003; and 1.59% and (0.43)%, respectively, for the year ended August 31, 2002.

 
              

* Assumes reinvestment of all dividends and distributions.   Aggregate (not annualized) total return is shown for any period shorter than one year.   Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares.





FINANCIAL HIGHLIGHTS (For a share outstanding throughout each period)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
  

International Equity Portfolio - Class I Shares

 
  

(Unaudited)

            
  

Six Months

            
  

Ended

 

Year Ended

 

Year Ended

 

Year Ended

 

Year Ended

 

Year Ended

 
  

February 28,

 

August 31,

 

August 31,

 

August 31,

 

August 31,

 

August 31,

 
  

2007(1)

 

2006(1)

 

2005(1)

 

2004(1)

 

2003(1)

 

2002

 

Net Asset Value, Beginning of Period

 $          12.97

 

 $          10.62

 

 $            8.76

 

 $            7.24

 

 $            7.08

 

 $            9.07

 

Income (Loss) from Investment Operations:

             
 

Net investment income (loss)

             (0.04)

 

               0.04

 

               0.06

 

                   -   

 

             (0.02)

 

             (0.01)

 
 

Net realized and unrealized gain (loss)

               1.14

 

               2.37

 

               1.80

 

               1.52

 

               0.18

 

             (1.98)

 
 

Total from investment operations

               1.10

 

               2.41

 

               1.86

 

               1.52

 

               0.16

 

             (1.99)

 

Dividends and Distributions:

             
 

Dividends from net investment income

             (0.03)

 

             (0.06)

 

                   -   

 

                   -   

 

                   -   

 

                   -   

 
 

Distributions from realized gains

                   -   

 

                   -   

 

                   -   

 

                   -   

 

                   -   

 

                   -   

 
 

Total dividends and distributions

             (0.03)

 

             (0.06)

 

                   -   

 

                   -   

 

                   -   

 

                   -   

 
               

Net Asset Value, End of Period

 $          14.04

 

 $          12.97

 

 $          10.62

 

 $            8.76

 

 $            7.24

 

 $            7.08

 
               

Total Return*

8.48%

 

22.75%

 

21.23%

 

20.99%

 

2.26%

 

(22.20)%

 

Ratios and Supplemental Data:

             
 

Net assets, end of period (000s)

 $        14,838

 

 $        13,507

 

 $        10,364

 

 $        10,854

 

 $        23,362

 

 $        13,489

 
 

Ratio of net operating expenses to

             
 

   average net assets (3)(4)

1.71%

 

1.91%

 

2.00%

 

2.30%

 

2.30%

 

1.60%

 
 

Ratio of net investment income (loss) to

             
 

   average net assets (3)(4)

(0.62)%

 

0.32%

 

0.63%

 

0.06%

 

(0.24)%

 

(0.06)%

 

 

Portfolio Turnover Rate

37%

 

69%

 

74%

 

183%

 

385%

 

24%

 
               
  

Health & Biotechnology Portfolio - Class I Shares

 
  

(Unaudited)

            
  

Six Months

         

January 27,

 
  

Ended

 

Year Ended

 

Year Ended

 

Year Ended

 

Period Ended

 

2003(2) to

 
  

February 28,

 

August 31,

 

August 31,

 

August 31,

 

August 31,

 

April 30,

 
  

2007(1)

 

2006(1)

 

2005(1)

 

2004(1)

 

2003(1)

 

2003(1)

 

Net Asset Value, Beginning of Period

 $          13.40

 

 $          14.42

 

 $          12.53

 

 $          11.41

 

 $          11.53

 

 $          11.00

 

Income (Loss) from Investment Operations:

             
 

Net investment income (loss)

             (0.09)

 

             (0.22)

 

             (0.13)

 

             (0.10)

 

             (0.03)

 

             (0.06)

 
 

Net realized and unrealized gain (loss)

               1.00

 

             (0.80)

 

               2.02

 

               1.22

 

             (0.09)

 

               0.59

 
 

Total from investment operations

               0.91

 

             (1.02)

 

               1.89

 

               1.12

 

             (0.12)

 

               0.53

 

Dividends and Distributions:

             
 

Dividends from net investment income

                   -   

 

                   -   

 

                   -   

 

                   -   

 

                   -   

 

                   -   

 
 

Distributions from realized gains

                   -   

 

                   -   

 

                   -   

 

                   -   

 

                   -   

 

                   -   

 
 

Total dividends and distributions

                   -   

 

                   -   

 

                   -   

 

                   -   

 

                   -   

 

                   -   

 
               

Net Asset Value, End of Period

 $          14.31

 

 $          13.40

 

 $          14.42

 

 $          12.53

 

 $          11.41

 

 $          11.53

 
               

Total Return*

6.79%

 

(7.07)%

 

15.08%

 

9.82%

 

(1.04)%

 

4.82%

 

Ratios and Supplemental Data:

             
 

Net assets, end of period (000s)

 $          2,122

 

 $          2,250

 

 $          1,524

 

 $             956

 

 $             247

 

 $               18

 
 

Ratio of net operating expenses to

             
 

   average net assets (3)(5)

2.12%

 

2.30%

 

2.30%

 

2.30%

 

2.30%

 

2.30%

 
 

Ratio of net investment income (loss) to

             
 

   average net assets (3)(5)

(1.18)%

 

(1.55)%

 

(0.99)%

 

(0.83)%

 

(0.75)%

 

(1.94)%

 

 

Portfolio Turnover Rate

15%

 

16%

 

111%

 

65%

 

10%

 

144%

 

(1) Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period.

    

(2) Commencement of offering.

             

(3) Annualized for periods less than one year.

             

(4) Before the application of any fees waived or reimbursed by Saratoga Capital Management, LLC or credits earned on custodian cash balances offsetting certain expenses, the ratios of net operating expenses to average daily net assets and of net investment income (loss) to average daily net assets would have been as follows for the International Equity Portfolio: 1.71% and (0.62)%, respectively, for the six months ended February 28, 2007; 1.91% and 0.32%, respectively, for the year ended August 31, 2006; 2.00% and 0.63%, respectively, for the year ended August 31, 2005; 2.44% and (0.08)%, respectively, for the year ended August 31, 2004; 2.50% and (0.44)%, respectively, for the year ended August 31, 2003; and 2.09% and (0.55)%, respectively, for the year ended August 31, 2002.

 
               

(5) Before the application of any fees waived or reimbursed by Saratoga Capital Management, LLC or credits earned on custodian cash balances offsetting certain expenses, the ratios of net operating expenses to average daily net assets and of net investment income (loss) to average daily net assets would have been as follows for the Health & Biotechnology Portfolio: 2.12% and (1.18)%, respectively, for the six months ended February 28, 2007; 2.38%, and (1.63)%, respectively, for the year ended August 31, 2006; 2.45% and (1.14)%, respectively, for the year ended August 31, 2005; 2.37% and (0.90)%, respectively, for the year ended August 31, 2004; 2.35% and (0.80)%, respectively, for the period ended August 31, 2003; and 2.30% and (1.94)%, respectively, for the period ended April 30, 2003.

 
               

* Assumes reinvestment of all dividends and distributions.   Aggregate (not annualized) total return is shown for any period shorter than one year.   Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares.





FINANCIAL HIGHLIGHTS (For a share outstanding throughout each period)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
  

Technology & Communications Portfolio - Class I Shares

 
  

(Unaudited)

            
  

Six Months

         

January 6,

 
  

Ended

 

Year Ended

 

Year Ended

 

Year Ended

 

Period Ended

 

2003(2) to

 
  

February 28,

 

August 31,

 

August 31,

 

August 31,

 

August 31,

 

April 30,

 
  

2007(1)

 

2006(1)

 

2005(1)

 

2004(1)

 

2003(1)

 

2003(1)

 

Net Asset Value, Beginning of Period

 $            7.47

 

 $            7.55

 

 $            5.73

 

 $            6.70

 

 $            5.51

 

 $            5.57

 

Income (Loss) from Investment Operations:

             
 

Net investment income (loss)

             (0.07)

 

             (0.15)

 

             (0.11)

 

             (0.14)

 

             (0.04)

 

             (0.03)

 
 

Net realized and unrealized gain (loss)

               0.84

 

               0.07

 

               1.93

 

             (0.83)

 

               1.23

 

             (0.03)

 
 

Total from investment operations

               0.77

 

             (0.08)

 

               1.82

 

             (0.97)

 

               1.19

 

             (0.06)

 

Dividends and Distributions:

             
 

Dividends from net investment income

                   -   

 

                   -   

 

                   -   

 

                   -   

 

                   -   

 

                   -   

 
 

Distributions from realized gains

                   -   

 

                   -   

 

                   -   

 

                   -   

 

                   -   

 

                   -   

 
 

Total dividends and distributions

                   -   

 

                   -   

 

                   -   

 

                   -   

 

                   -   

 

                   -   

 
               

Net Asset Value, End of Period

 $            8.24

 

 $            7.47

 

 $            7.55

 

 $            5.73

 

 $            6.70

 

 $            5.51

 
               

Total Return*

10.31%

 

(1.06)%

 

31.76%

 

(14.48)%

 

21.60%

 

(1.08)%

 

Ratios and Supplemental Data:

             
 

Net assets, end of period (000s)

 $          2,151

 

 $          1,914

 

 $          1,440

 

 $             689

 

 $             190

 

 $               11

 
 

Ratio of net operating expenses to

             
 

   average net assets (3)(4)

2.30%

 

2.30%

 

2.30%

 

2.30%

 

2.30%

 

2.30%

 
 

Ratio of net investment income (loss) to

             
 

   average net assets (3)(4)

(1.84)%

 

(1.87)%

 

(1.54)%

 

(2.06)%

 

(2.17)%

 

(1.78)%

 

 

Portfolio Turnover Rate

77%

 

99%

 

70%

 

53%

 

21%

 

263%

 
               
  

Energy & Basic Materials Portfolio - Class I Shares

 
  

(Unaudited)

            
  

Six Months

         

January 6,

 
  

Ended

 

Year Ended

 

Year Ended

 

Year Ended

 

Period Ended

 

2003(2) to

 
  

February 28,

 

August 31,

 

August 31,

 

August 31,

 

August 31,

 

April 30,

 
  

2007(1)

 

2006(1)

 

2005(1)

 

2004(1)

 

2003(1)

 

2003(1)

 

Net Asset Value, Beginning of Period

 $          29.93

 

 $          27.43

 

 $          18.06

 

 $          14.55

 

 $          12.95

 

 $          13.38

 

Income (Loss) from Investment Operations:

             
 

Net investment income (loss)

             (0.17)

 

             (0.33)

 

             (0.25)

 

             (0.15)

 

             (0.02)

 

                   -   

 
 

Net realized and unrealized gain (loss)

               0.39

 

               3.19

 

               9.62

 

               3.66

 

               1.62

 

             (0.43)

 
 

Total from investment operations

               0.22

 

               2.86

 

               9.37

 

               3.51

 

               1.60

 

             (0.43)

 

Dividends and Distributions:

             
 

Dividends from net investment income

                   -   

 

                   -   

 

                   -   

 

                   -   

 

                   -   

 

                   -   

 
 

Distributions from realized gains

             (0.92)

 

             (0.36)

 

                   -   

 

                   -   

 

                   -   

 

                   -   

 
 

Total dividends and distributions

             (0.92)

 

             (0.36)

 

                   -   

 

                   -   

 

                   -   

 

                   -   

 
               

Net Asset Value, End of Period

 $          29.23

 

 $          29.93

 

 $          27.43

 

 $          18.06

 

 $          14.55

 

 $          12.95

 
               

Total Return*

0.61%

 

10.44%

 

51.88%

 

24.12%

 

12.36%

 

(3.21)%

 

Ratios and Supplemental Data:

             
 

Net assets, end of period (000s)

 $          2,727

 

 $          3,632

 

 $          2,015

 

 $          1,729

 

 $             297

 

 $                 3

 
 

Ratio of net operating expenses to

             
 

   average net assets (3)(5)

2.29%

 

2.30%

 

2.30%

 

2.30%

 

2.30%

 

2.30%

 
 

Ratio of net investment income (loss) to

             
 

   average net assets (3)(5)

(1.20)%

 

(1.09)%

 

(1.15)%

 

(0.80)%

 

0.12%

 

(0.48)%

 

 

Portfolio Turnover Rate

0%

 

34%

 

65%

 

88%

 

22%

 

705%

 

(1) Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period.

    

(2) Commencement of offering.

             

(3) Annualized for periods less than one year.

             
               

(4) Before the application of any fees waived or reimbursed by Saratoga Capital Management, LLC or credits earned on custodian cash balances offsetting certain expenses, the ratios of net operating expenses to average daily net assets and of net investment income (loss) to average daily net assets would have been as follows for the Technology & Communications Portfolio:  2.34% and (1.88)%, respectively, for the six months ended February 28, 2007; 2.73%, and (2.30)%, respectively, for the year ended August 31, 2006; 2.75% and (1.99)%, respectively, for the year ended August 31, 2005; 2.32% and (2.09)%, respectively, for the year ended August 31, 2004; 2.66% and (2.53)%, respectively, for the period ended August 31, 2003; and 2.68% and (2.16)%, respectively, for the period ended April 30, 2003.

 
               

(5) Before the application of any fees waived or reimbursed by Saratoga Capital Management, LLC or credits earned on custodian cash balances offsetting certain expenses, the ratios of net operating expenses to average daily net assets and of net investment income (loss) to average daily net assets would have been as follows for the Energy & Basic Materials Portfolio: 2.29% and (1.20)%, respectively, for the six months ended February 28, 2007; 2.41%, and (1.20)%, respectively, for the year ended August 31, 2006; 2.93% and (1.78)%, respectively, for the year ended August 31, 2005; 2.93% and (1.43)%, respectively, for the year ended August 31, 2004; 3.97% and (1.55)%, respectively, for the period ended August 31, 2003; and 4.16% and (2.32)%, respectively, for the period ended April 30, 2003.

 
               

* Assumes reinvestment of all dividends and distributions.   Aggregate (not annualized) total return is shown for any period shorter than one year.   Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares.





FINANCIAL HIGHLIGHTS (For a share outstanding throughout each period)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
  

Financial Services Portfolio - Class I Shares

 
  

(Unaudited)

            
  

Six Months

         

January 6,

 
  

Ended

 

Year Ended

 

Year Ended

 

Year Ended

 

Period Ended

 

2003(2) to

 
  

February 28,

 

August 31,

 

August 31,

 

August 31,

 

August 31,

 

April 30,

 
  

2007(1)

 

2006(1)

 

2005(1)

 

2004(1)

 

2003(1)

 

2003(1)

 

Net Asset Value, Beginning of Period

 $          13.50

 

 $          12.66

 

 $          11.69

 

 $          11.04

 

 $            9.97

 

 $            9.93

 

Income (Loss) from Investment Operations:

             
 

Net investment income (loss)

             (0.04)

 

               0.03

 

             (0.11)

 

             (0.11)

 

             (0.03)

 

                   -   

 
 

Net realized and unrealized gain (loss)

               1.70

 

               1.68

 

               1.77

 

               0.76

 

               1.10

 

               0.04

 
 

Total from investment operations

               1.66

 

               1.71

 

               1.66

 

               0.65

 

               1.07

 

               0.04

 

Dividends and Distributions:

             
 

Dividends from net investment income

                   -   

 

                   -   

 

                   -   

 

                   -   

 

                   -   

 

                   -   

 
 

Distributions from realized gains

             (2.23)

 

             (0.87)

 

             (0.69)

 

                   -   

 

                   -   

 

                   -   

 
 

Total dividends and distributions

             (2.23)

 

             (0.87)

 

             (0.69)

 

                   -   

 

                   -   

 

                   -   

 
               

Net Asset Value, End of Period

 $          12.93

 

 $          13.50

 

 $          12.66

 

 $          11.69

 

 $          11.04

 

 $            9.97

 
               

Total Return*

12.14%

 

13.74%

 

14.15%

 

5.89%

 

10.73%

 

0.40%

 

Ratios and Supplemental Data:

             
 

Net assets, end of period

 $   1,843,313

 

 $   1,478,451

 

 $   1,022,409

 

 $      774,250

 

 $      158,672

 

 $               10

 
 

Ratio of net operating expenses to

             
 

   average net assets (3)(4)

2.30%

 

2.30%

 

2.30%

 

2.30%

 

2.30%

 

2.30%

 
 

Ratio of net investment income (loss) to

             
 

   average net assets (3)(4)

(0.55)%

 

0.24%

 

(0.92)%

 

(0.87)%

 

(0.82)%

 

(0.48)%

 

 

Portfolio Turnover Rate

57%

 

159%

 

150%

 

199%

 

32%

 

67%

 
               
  

Investment Quality Bond Portfolio - Class I Shares

 
  

(Unaudited)

            
  

Six Months

            
  

Ended

 

Year Ended

 

Year Ended

 

Year Ended

 

Year Ended

 

Year Ended

 
  

February 28,

 

August 31,

 

August 31,

 

August 31,

 

August 31,

 

August 31,

 
  

2007(1)

 

2006(1)

 

2005(1)

 

2004(1)

 

2003(1)

 

2002

 

Net Asset Value, Beginning of Period

 $            9.68

 

 $            9.90

 

 $          10.17

 

 $          10.52

 

 $          10.71

 

 $          10.43

 

Income (Loss) from Investment Operations:

             
 

Net investment income (loss)

               0.14

 

               0.29

 

               0.27

 

               0.30

 

               0.30

 

               0.48

 
 

Net realized and unrealized gain (loss)

               0.08

 

             (0.16)

 

             (0.09)

 

               0.03

 

               0.05

 

               0.33

 
 

Total from investment operations

               0.22

 

               0.13

 

               0.18

 

               0.33

 

               0.35

 

               0.81

 

Dividends and Distributions:

             
 

Dividends from net investment income

             (0.14)

 

             (0.29)

 

             (0.27)

 

             (0.30)

 

             (0.30)

 

             (0.51)

 
 

Distributions from realized gains

                   -   

 

             (0.06)

 

             (0.18)

 

             (0.38)

 

             (0.24)

 

             (0.02)

 
 

Total dividends and distributions

             (0.14)

 

             (0.35)

 

             (0.45)

 

             (0.68)

 

             (0.54)

 

             (0.53)

 
               

Net Asset Value, End of Period

 $            9.76

 

 $            9.68

 

 $            9.90

 

 $          10.17

 

 $          10.52

 

 $          10.71

 
               

Total Return*

2.34%

 

1.31%

 

1.77%

 

3.37%

 

3.42%

 

8.07%

 

Ratios and Supplemental Data:

             
 

Net assets, end of period (000s)

 $        14,590

 

 $        13,835

 

 $        14,169

 

 $        17,449

 

 $        23,057

 

 $        30,847

 
 

Ratio of net operating expenses to

             
 

   average net assets (3)(5)

1.40%

 

1.40%

 

1.40%

 

1.40%

 

1.40%

 

1.24%

 
 

Ratio of net investment income (loss) to

             
 

   average net assets (3)(5)

3.01%

 

2.98%

 

2.69%

 

2.97%

 

2.88%

 

4.85%

 

 

Portfolio Turnover Rate

26%

 

35%

 

50%

 

33%

 

66%

 

46%

 

(1) Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period.

    

(2) Commencement of offering.

             

(3) Annualized for periods less than one year.

             
               

(4) Before the application of any fees waived or reimbursed by Saratoga Capital Management, LLC or credits earned on custodian cash balances offsetting certain expenses, the ratios of net operating expenses to average daily net assets and of net investment income (loss) to average daily net assets would have been as follows for the Financial Services Portfolio: 3.54% and (1.78)%, respectively, for the six months ended February 28, 2007; 3.37% and (0.83)%, respectively, for the year ended August 31, 2006; 3.70% and (2.32)%, respectively, for the year ended August 31, 2005; 3.13% and (1.69)%, respectively, for the year ended August 31, 2004; 2.30% and (0.82)%, respectively, for the period ended August 31, 2003; and 2.30% and (0.48)%, respectively, for the period ended April 30, 2003.

 

(5) Before the application of any fees waived or reimbursed by Saratoga Capital Management, LLC or credits earned on custodian cash balances offsetting certain expenses, the ratios of net operating expenses to average daily net assets and of net investment income (loss) to average daily net assets would have been as follows for the Investment Quality Bond Portfolio: 1.49% and 2.92%, respectively, for the six months ended February 28, 2007; 1.66% and 2.72%, respectively, for the year ended August 31, 2006; 1.78% and 2.31%, respectively, for the year ended August 31, 2005; 1.81% and 2.55%, respectively, for the year ended August 31, 2004; 1.70% and 2.58%, respectively, for the year ended August 31, 2003; and 1.46% and 4.63%, respectively, for the year ended August 31, 2002.

 
               

* Assumes reinvestment of all dividends and distributions.   Aggregate (not annualized) total return is shown for any period shorter than one year.   Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares.





FINANCIAL HIGHLIGHTS (For a share outstanding throughout each period)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
  

Municipal Bond Portfolio - Class I Shares

 
  

(Unaudited)

           
  

Six Months

           
  

Ended

 

Year Ended

 

Year Ended

 

Year Ended

 

Year Ended

 

Year Ended

 
  

February 28,

 

August 31,

 

August 31,

 

August 31,

 

August 31,

 

August 31,

 
  

2007(1)

 

2006(1)

 

2005(1)

 

2004(1)

 

2003(1)

 

2002

 

Net Asset Value, Beginning of Period

 $          10.19

 

 $          10.41

 

 $          10.50

 

 $          10.31

 

 $          10.63

 

 $          10.65

 

Income (Loss) from Investment Operations:

            
 

Net investment income (loss)

               0.16

 

               0.32

 

               0.31

 

               0.34

 

               0.35

 

               0.39

 
 

Net realized and unrealized gain (loss)

                   -   

 

             (0.19)

 

             (0.01)

 

               0.25

 

             (0.21)

 

               0.02

 
 

Total from investment operations

               0.16

 

               0.13

 

               0.30

 

               0.59

 

               0.14

 

               0.41

 

Dividends and Distributions:

            
 

Dividends from net investment income

             (0.16)

 

             (0.32)

 

             (0.31)

 

             (0.34)

 

             (0.35)

 

             (0.41)

 
 

Distributions from realized gains

             (0.01)

 

             (0.03)

 

             (0.08)

 

             (0.06)

 

             (0.11)

 

             (0.02)

 
 

Total dividends and distributions

             (0.17)

 

             (0.35)

 

             (0.39)

 

             (0.40)

 

             (0.46)

 

             (0.43)

 
              

Net Asset Value, End of Period

 $          10.18

 

 $          10.19

 

 $          10.41

 

 $          10.50

 

 $          10.31

 

 $          10.63

 
              

Total Return*

1.62%

 

1.30%

 

2.98%

 

5.86%

 

1.30%

 

4.01%

 

Ratios and Supplemental Data:

            
 

Net assets, end of period (000s)

 $          4,245

 

 $          4,849

 

 $          6,038

 

 $          7,892

 

 $          5,766

 

 $          9,681

 
 

Ratio of net operating expenses to

            
 

   average net assets (2)(3)

1.40%

 

1.40%

 

1.40%

 

1.40%

 

1.40%

 

1.27%

 
 

Ratio of net investment income (loss) to

            
 

   average net assets (2)(3)

3.18%

 

3.16%

 

3.02%

 

3.24%

 

3.30%

 

3.95%

 

 

Portfolio Turnover Rate

15%

 

19%

 

25%

 

29%

 

11%

 

48%

 
              
  

U.S. Government Money Market Portfolio - Class I Shares

 
  

(Unaudited)

           
  

Six Months

           
  

Ended

 

Year Ended

 

Year Ended

 

Year Ended

 

Year Ended

 

Year Ended

 
  

February 28,

 

August 31,

 

August 31,

 

August 31,

 

August 31,

 

August 31,

 
  

2007(1)

 

2006(1)

 

2005(1)

 

2004(1)

 

2003(1)

 

2002

 

Net Asset Value, Beginning of Period

 $            1.00

 

 $            1.00

 

 $            1.00

 

 $            1.00

 

 $            1.00

 

 $            1.00

 

Income (Loss) from Investment Operations:

            
 

Net investment income (loss)

               0.02

 

               0.03

 

               0.01

 

 (0.00)

**

 0.00

**

               0.01

 
 

Net realized and unrealized gain (loss)

                   -   

 

                   -   

 

                   -   

 

                   -   

 

                   -   

 

                   -   

 
 

Total from investment operations

               0.02

 

               0.03

 

               0.01

 

 (0.00)

**

 0.00

**

               0.01

 

Dividends and Distributions:

            
 

Dividends from net investment income

             (0.02)

 

             (0.03)

 

             (0.01)

 

                   -   

 

 (0.00)

**

             (0.01)

 
 

Distributions from realized gains

                   -   

 

                   -   

 

                   -   

 

 (0.00)

**

                   -   

 

                   -   

 
 

Total dividends and distributions

             (0.02)

 

             (0.03)

 

             (0.01)

 

 (0.00)

**

 (0.00)

 

             (0.01)

 
              

Net Asset Value, End of Period

 $            1.00

 

 $            1.00

 

 $            1.00

 

 $            1.00

 

 $            1.00

 

 $            1.00

 
              

Total Return*

2.02%

 

3.31%

 

1.28%

 

0.04%

 

0.12%

 

1.61%

 

Ratios and Supplemental Data:

            
 

Net assets, end of period (000s)

 $        16,197

 

 $        17,339

 

 $        18,052

 

 $        22,247

 

 $        28,979

 

 $        37,481

 
 

Ratio of net operating expenses to

            
 

   average net assets (2)(4)

1.25%

 

1.25%

 

1.25%

 

1.09%

 

1.23%

 

1.17%

 
 

Ratio of net investment income (loss) to

            
 

   average net assets (2)(4)

4.05%

 

3.28%

 

1.23%

 

0.00%

 

0.12%

 

1.21%

 

 

Portfolio Turnover Rate

N/A

 

N/A

 

 N/A

 

 N/A

 

 N/A

 

 N/A

 

(1) Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period.

   

(2) Annualized for periods less than one year.

            
              

(3) Before the application of any fees waived or reimbursed by Saratoga Capital Management, LLC or credits earned on custodian cash balances offsetting certain expenses, the ratios of net operating expenses to average daily net assets and of net investment income (loss) to average daily net assets would have been as follows for the Municipal Bond Portfolio: 1.58% and 3.01%, respectively, for the six months ended February 28, 2007; 2.16% and 2.40%, respectively, for the year ended August 31, 2006; 2.09% and 2.33%, respectively, for the year ended August 31, 2005; 1.90% and 2.73%, respectively, for the year ended August 31, 2004; 2.07% and 2.63%, respectively, for the year ended August 31, 2003; 2.40% and 2.82%, respectively, for the year ended August 31, 2002.

 

(4) Before the application of any fees waived or reimbursed by Saratoga Capital Management, LLC or credits earned on custodian cash balances offsetting certain expenses, the ratios of net operating expenses to average daily net assets and of net investment income (loss) to average daily net assets would have been as follows for the U.S. Government Money Market Portfolio: 1.30% and 4.00%, respectively, for the six months ended February 28, 2007; 1.63% and 2.89%, respectively, for the year ended August 31, 2006; 1.24% and 4.03%, respectively, for the year ended August 31, 2005; 1.74% and (0.65)%, respectively, for the year ended August 31, 2004; 1.72% and (0.37)%, respectively, for the year ended August 31, 2003; 1.48% and 0.90%, respectively, for the year ended August 31, 2002.

 
              

* Assumes reinvestment of all dividends and distributions.   Aggregate (not annualized) total return is shown for any period shorter than one year.   Total return does not reflect the deduction of taxes that a shareholder would pay on distributions or on the redemption of shares.

** Per share amount represents less than $0.01 per share.

           


SUPPLEMENTAL INFORMATION (Unaudited)

   

Shareholders of funds will pay ongoing expenses, such as advisory fees, distribution and services fees (12b-1 fees), and other fund expenses.    The following examples are intended to help the shareholder understand the ongoing cost (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.   Please note, the expenses shown in the tables are meant to highlight ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges (CDSCs) on redemptions.


This example is based on an investment of $1,000 invested at the beginning of the period and held for the six-month period from September 1, 2006 through

February 28, 2007.


Actual Expenses:  The first table provides information about actual account values and actual expenses.  The shareholder may use the information in this line, together with the amount invested, to estimate the expenses that would be paid over the period.  Simply divide account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid” to estimate the expenses paid on the account during the period.



     
 

Beginning Account Value – 9/1/2006*

Ending Account       Value – 2/28/2007

Expense Paid

9/1/2006-2/28/2007**

Expense Ratio

 [Annualized]

Actual Expenses – Table 1:

    

Large Capitalization Value – Class I

        $1,000.00

             $1,092.60

                  $7.26

   1.40%

Large Capitalization Value – Class A

1,000.00

1,089.80

7.82

1.51

Large Capitalization Value – Class B

1,000.00

1,087.00

12.42

2.40

Large Capitalization Value – Class C

1,000.00

1,087.00

12.42

2.40

Large Capitalization Growth – Class I

1,000.00

1,121.60

8.26

1.57

Large Capitalization Growth – Class A

1,000.00

1,119.60

6.62

1.26

Large Capitalization Growth – Class B

1,000.00

1,115.70

13.48

2.57

Large Capitalization Growth – Class C

1,000.00

1,116.30

13.49

2.57

Mid Capitalization – Class I

1,000.00

1,141.60

8.39

1.58

Mid Capitalization – Class A

1,000.00

1,139.50

10.50

1.98

Mid Capitalization – Class B

1,000.00

1,134.70

13.66

2.58

Mid Capitalization – Class C

1,000.00

1,134.90

13.66

2.58

Small Capitalization – Class I

1,000.00

1,089.60

6.11

1.18

Small Capitalization – Class A

1,000.00

1,087.30

4.50

0.87

Small Capitalization – Class B

1,000.00

1,084.80

11.32

2.19

Small Capitalization – Class C

1,000.00

1,084.50

11.32

2.19

International Equity – Class I

1,000.00

1,084.80

8.63

1.67

International Equity – Class A

1,000.00

1,083.80

5.99

1.16

International Equity – Class B

1,000.00

1,079.90

13.77

2.67

International Equity – Class C

1,000.00

1,079.30

13.77

2.67

Health & Biotechnology – Class I

1,000.00

1,067.20

10.61

2.07

Health & Biotechnology – Class A

1,000.00

1,064.80

12.59

2.46

Health & Biotechnology – Class B

1,000.00

1,062.30

15.70

3.07

Health & Biotechnology – Class C

1,000.00

1,062.20

15.70

3.07

Technology & Communications – Class I

1,000.00

1,103.10

11.99

2.30

Technology & Communications – Class A

1,000.00

1,100.40

14.06

2.70

Technology & Communications – Class B

1,000.00

1,098.00

17.17

3.30

Technology & Communications – Class C

1,000.00

1,097.30

17.16

3.30

Energy & Basic Materials – Class I

1,000.00

1,006.10

11.39

2.29

Energy & Basic Materials – Class A

1,000.00

1,004.50

13.42

2.70

Energy & Basic Materials – Class B

1,000.00

1,001.50

16.38

3.30

Energy & Basic Materials – Class C

1,000.00

1,001.10

16.37

3.30

Financial Services – Class I

1,000.00

1,121.40

12.10

2.30

Financial Services – Class A

1,000.00

1,118.60

14.18

2.70

Financial Services – Class B

1,000.00

1,115.30

17.31

3.30

Financial Services – Class C

1,000.00

1,115.40

17.31

3.30

Investment Quality Bond – Class I

1,000.00

1,023.40

7.02

1.40

Investment Quality Bond – Class A

1,000.00

1,017.20

10.90

2.18

Investment Quality Bond – Class B

1,000.00

1,019.40

12.02

2.40

Investment Quality Bond – Class C

1,000.00

1,018.30

12.01

2.40

Municipal Bond – Class I

1,000.00

1,016.20

7.00

1.40

Municipal Bond – Class A

1,000.00

1,000.50

12.35

2.49

Municipal Bond – Class B

1,000.00

1,011.20

11.97

2.40

Municipal Bond – Class C

1,000.00

1,011.20

11.97

2.40

U.S. Government Money Market – Class I

1,000.00

1,020.20

6.26

1.25

U.S. Government Money Market – Class A

1,000.00

1,013.40

9.93

1.99

U.S. Government Money Market – Class B

1,000.00

1,020.30

11.27

2.25

U.S. Government Money Market – Class C

1,000.00

1,020.30

11.27

2.25






SUPPLEMENTAL INFORMATION (Unaudited) (Continued)


Hypothetical Examples for Comparison Purposes:  The second table below provides information about hypothetical account values and hypothetical expenses based on the fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the fund’s actual return.  The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses paid for the period.  This information may be used to compare the ongoing costs of investing in the fund and other mutual funds.  To do so, a shareholder would compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other mutual funds.  


 

Beginning Account Value – 9/1/2006

Ending Account

Value – 2/28/2007

Expense Paid

9/1/2006-2/28/2007*

Expense Ratio

 [Annualized]

Hypothetical

[5% Return Before Expenses] – Table 2:

    

Large Capitalization Value – Class I

$1,000.00

$1,017.85

$7.00

   1.40%

Large Capitalization Value – Class A

1,000.00

1,017.31

 7.55

1.51

Large Capitalization Value – Class B

1,000.00

1,012.89

11.98

2.40

Large Capitalization Value – Class C

1,000.00

1,012.89

11.98

2.40

Large Capitalization Growth – Class I

1,000.00

1,017.01

7.85

1.57

Large Capitalization Growth – Class A

1,000.00

1,018.55

6.31

1.26

Large Capitalization Growth – Class B

1,000.00

1,012.05

12.82

2.57

Large Capitalization Growth – Class C

1,000.00

1,012.05

12.82

2.57

Mid Capitalization – Class I

1,000.00

1,016.96

7.90

1.58

Mid Capitalization – Class A

1,000.00

1,014.98

9.89

1.98

Mid Capitalization – Class B

1,000.00

1,012.00

12.87

2.58

Mid Capitalization – Class C

1,000.00

1,012.00

12.87

2.58

Small Capitalization – Class I

1,000.00

1,018.94

5.91

1.18

Small Capitalization – Class A

1,000.00

1,020.48

4.36

0.87

Small Capitalization – Class B

1,000.00

1,013.93

10.94

2.19

Small Capitalization – Class C

1,000.00

1,013.93

10.94

2.19

International Equity – Class I

1,000.00

1,016.51

8.35

1.67

International Equity – Class A

1,000.00

1,019.04

5.81

1.16

International Equity – Class B

1,000.00

1,011.55

13.32

2.67

International Equity – Class C

1,000.00

1,011.55

13.32

2.67

Health & Biotechnology – Class I

1,000.00

1,014.53

10.34

2.07

Health & Biotechnology – Class A

1,000.00

1,012.60

12.28

2.46

Health & Biotechnology – Class B

1,000.00

1,009.57

15.30

3.07

Health & Biotechnology – Class C

1,000.00

1,009.57

15.30

3.07

Technology & Communications – Class I

1,000.00

1,013.39

11.48

2.30

Technology & Communications – Class A

1,000.00

1,011.41

13.47

2.70

Technology & Communications – Class B

1,000.00

1,008.43

16.43

3.30

Technology & Communications – Class C

1,000.00

1,008.43

16.43

3.30

Energy & Basic Materials – Class I

1,000.00

1,013.44

11.43

2.29

Energy & Basic Materials – Class A

1,000.00

1,011.41

13.47

2.70

Energy & Basic Materials – Class B

1,000.00

1,008.43

16.43

3.30

Energy & Basic Materials – Class C

1,000.00

1,008.43

16.43

3.30

Financial Services – Class I

1,000.00

1,013.39

11.48

2.30

Financial Services – Class A

1,000.00

1,011.41

13.47

2.70

Financial Services – Class B

1,000.00

1,008.43

16.43

3.30

Financial Services – Class C

1,000.00

1,008.43

16.43

3.30

Investment Quality Bond – Class I

1,000.00

1,017.85

7.00

1.40

Investment Quality Bond – Class A

1,000.00

1,011.95

10.88

2.18

Investment Quality Bond – Class B

1,000.00

1,012.89

11.98

2.40

Investment Quality Bond – Class C

1,000.00

1,012.89

11.98

2.40

Municipal Bond – Class I

1,000.00

1,017.85

7.00

1.40

Municipal Bond – Class A

1,000.00

1,011.95

12.42

2.49

Municipal Bond – Class B

1,000.00

1,012.89

11.98

2.40

Municipal Bond – Class C

1,000.00

1,012.89

11.98

2.40

U.S. Government Money Market – Class I

1,000.00

1,018.60

6.26

1.25

U.S. Government Money Market – Class A

1,000.00

1,016.71

9.95

1.99

U.S. Government Money Market – Class B

1,000.00

1,013.64

11.23

2.25

U.S. Government Money Market – Class C

1,000.00

1,013.64

11.23

2.25

 

* Expenses are equal to the Portfolio’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the days in reporting period).






THE SARATOGA

ADVANTAGE TRUST


Privacy Policy for the Saratoga Advantage Trust


The Saratoga Advantage Trust (“Saratoga”) respects your right to privacy.   We also know that you expect us to conduct and process your business in an accurate and efficient manner.   To do so, we must collect and maintain certain non-public personal information about you.   This is the information we collect from you on applications or other forms, from your activities on our website, and from the transactions you make with us, our affiliates or third parties.  We do not disclose any non-public personal information about you or any of our former customers to anyone, except as permitted by law.   Specifically, so that we may continue to offer you investment products and services to help you meet your investing needs, and to effect transactions that you request or authorize, we may disclose the non-public personal information we collect to companies that perform services on our behalf, such as Saratoga’s transfer agent, or printers and mailers that assist us in the distribution of investor materials.   These companies are instructed to use this information only for the services for which we hired them and are not permitted to use or share this information for any other purpose.   To protect your non-public personal information internally, we permit access only by authorized employees and maintain physical, electronic and procedural safeguards to guard your non-public personal information.









How to Obtain Proxy Voting Information

Information regarding how the Portfolios voted proxies relating to portfolio securities during the period ended June 30, 2006 as well as a description of the policies and procedures that the Portfolios use to determine how to vote proxies is available without charge, upon request, by calling 1-888-672-4839 or by referring to the Security and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

 

How to Obtain 1st and 3rd Fiscal Quarter Portfolio Holdings

Each Portfolio files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q.  Form N-Q is available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC (1-800-SEC-0330).  The information on Form N-Q is available without charge, upon request, by calling 1-888-672-4839.








Item 2. Code of Ethics.    Not applicable for semi-annual reports.


Item 3. Audit Committee Financial Expert.   Not applicable for semi-annual reports.


Item 4. Principal Accountant Fees and Services.   Not applicable for semi-annual reports.


Item 5. Audit Committee of Listed Companies.  Not applicable to open-end investment companies.


Item 6.  Schedule of Investments.   See Item 1.


Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Funds.  Not applicable to

open-end investment companies.


Item 8. Portfolio Managers of Closed-End Management Investment Companies.   Not applicable to open-end investment companies.


Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.   Not applicable to open-end investment companies.

 

Item 10.   Submission of Matters to a Vote of Security Holders.   None.


Item 11.  Controls and Procedures.  


(a)

Based on an evaluation of the registrant’s disclosure controls and procedures as of February 28, 2007, the disclosure controls and procedures are reasonably designed to ensure that the information required in filings on Forms N-CSR is recorded, processed, summarized, and reported on a timely basis.


(b)

There were no significant changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.


Item 12.  Exhibits.  


(a)(1)   Not applicable.


(a)(2)   Certification(s) required by Section 302 of the Sarbanes-Oxley Act of 2002 (and Item 11(a)(2) of Form N-CSR) are filed herewith.


(a)(3)   Not applicable.


(b)   Certification(s) required by Section 906 of the Sarbanes-Oxley Act of 2002 (and Item 11(b) of Form N-CSR) are filed herewith.












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, thereunto duly authorized.


(Registrant)

The Saratoga Advantage Trust


By (Signature and Title)

*

/s/ Bruce E. Ventimiglia

Bruce E. Ventimiglia, President and Chief Executive Officer


Date

5/9/07



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 (Signature and Title)

*

/s/ Mark S. Marrone

Mark S. Marrone, Treasurer and Chief Financial Officer


Date

5/9/07


By (Signature and Title)

*

/s/ Bruce E. Ventimiglia

Bruce E. Ventimiglia, President and Chief Executive Officer

 

Date

5/9/07


* Print the name and title of each signing officer under his or her signature.