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SEASONS SERIES TRUST
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ANNUAL REPORT
MARCH 31, 1999
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DEAR INVESTOR:
We are pleased to provide you with the annual report dated March 31, 1999 for
the Seasons Series Trust, the underlying investment for both the Seasons
Variable Annuity and the Seasons Select Variable Annuity. It was an exciting 12
months in the financial markets as the Dow Jones Industrial Average* eclipsed
the 10,000 point barrier for the first time in history. Strong domestic growth
coupled with low inflation provided a very positive environment for financial
assets, as both stock and bond markets advanced. The highly competitive
performance of the underlying portfolios in your Seasons investment was in part
due to the substantial advances of sectors such as technology and communication.
Also, assets of both Seasons and Seasons Select Variable Annuity continued to
grow over the period as we focused our efforts to help you reach your long-term
investment goals.
To recap the past twelve months and provide some forecasts and insight, we
include commentary on the state of the economy and the financial markets. In
addition, the world-class management firms that handle the assets in the Seasons
Series Trust contributed their thoughts on both the equity and fixed-income
markets.
THE YEAR IN REVIEW AND OUTLOOK FOR 1999-2000
U.S. EQUITY MARKET
As concerns over Asia and many other emerging markets rippled into U.S. equity
markets in July and August, many of the period's early gains were wiped out.
This trend proved to be very short lived and markets rebounded sharply in the
fourth quarter of 1998. U. S. markets still had to digest the uncertainty of
devaluation in Brazil, rumors of China's imminent devaluation, the impeachment
of President Clinton, and moderate earnings growth. Yet, strong domestic
economic growth continued throughout the period. The advance in the U.S. economy
was largely driven by the consumer -- historically high levels of consumption
helped the economy grow at a robust rate of 4% over the past 12 months. Overall,
equity markets responded favorably, but the largest most liquid companies
dominated and led the advance throughout the period. The first quarter of 1999
saw many indices reach all-time highs. However, market performance remained
narrow, with five stocks accounting for one-half of the performance of the
Standard & Poor's 500 and 18 stocks contributing 100% of its performance.
Although there are signs of continued economic stability, the outlook for the
U.S. equity markets is varied. We feel that a long-term perspective will reward
investors.
Outlook from Janus Capital Corporation
"GOING FORWARD, WE REMAIN OPTIMISTIC ON THE OUTLOOK FOR CONTINUED ECONOMIC
GROWTH AND BENIGN INFLATION. HOWEVER, WE BELIEVE WE WILL SEE A CONTINUED
DIVERGENCE BETWEEN RAPIDLY GROWING SECTORS, SUCH AS TECHNOLOGY AND
TELECOMMUNICATIONS, AND THE SLOWER-GROWING INDUSTRIAL AND MANUFACTURING
SECTORS. IN THIS ENVIRONMENT, INVESTORS WILL CONTINUE TO PLACE A PREMIUM ON
COMPANIES ABLE TO GROW THEIR EARNINGS REGARDLESS OF THE BROADER ENVIRONMENT."
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1
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Outlook from SunAmerica Asset Management Corporation
"WE CONTINUE TO BELIEVE THAT THE CURRENT FAVORABLE ECONOMIC CONDITIONS ARE
LIKELY TO CONTINUE. WE REMAIN IN A MODERATE GROWTH, LOW INFLATIONARY
ENVIRONMENT. LOW INFLATION, THE KEY TO THE FINANCIAL MARKET'S SUCCESS, IS A
TREND THAT IS NOT GOING TO DISAPPEAR AS GLOBAL COMPETITION AND ENHANCED
PRODUCTIVITY SHOW NO SIGNS OF DIMINISHING. PERHAPS LATER THIS YEAR, AS WE SEE
MORE EVIDENCE OF A GLOBAL ECONOMIC RECOVERY, THE MARKET WILL BROADEN. IN THE
NEAR TERM, HOWEVER, YOU WILL PROBABLY SEE MORE OF THE SAME, NARROW
PERFORMANCE. VOLATILITY, OF COURSE, WILL CONTINUE."
Outlook from Putnam Investment Management, Inc.
"U.S. EQUITIES APPEAR VULNERABLE AS RISING INTEREST RATES AND LOFTY VALUATIONS
DIMINISH 1999'S OUTLOOK. WE ARE OVERWEIGHTING U.S. LARGE-CAP EQUITIES VERSUS
SMALL-CAP EQUITIES AND EUROPEAN EQUITIES VERSUS U.S. EQUITIES AND RECOMMEND AN
OVERWEIGHT ALLOCATION TO U.S. BONDS BASED ON THEIR FAVORABLE VALUE RELATIVE TO
EQUITIES."
Outlook from T. Rowe Price Associates, Inc.
"LOOKING FORWARD, WE BELIEVE THE DOMESTIC STOCK MARKET COULD EXPERIENCE
INCREASING VOLATILITY AS THE YEAR PROGRESSES, AND THAT RETURNS THIS YEAR WILL
BE MORE MODERATE THAN THOSE OF THE PAST FEW YEARS."
U.S. FIXED INCOME MARKET
Over the past 12 months, the global economy and financial markets have come full
circle. Last April, long-term Treasury yields were trending slowly upward on
expectations of stronger global growth and an end to the Asian financial crisis.
The global economic and financial trend reversed in May, as crises in emerging
markets caused a global credit crunch. This led to a sharp sell-off in stocks
and a global flight-to-quality. Large amounts of capital flooded into the
Treasury market, driving long-term yields to record lows early in the fourth
quarter. As the overall picture worsened, the Federal Reserve intervened and cut
short-term interest rates three times to avert a liquidity crisis. Overall, U.S.
fixed-income markets failed to significantly benefit from the three autumn rate
cuts as long-term interest rates cycled upward and ended the year nearly
unchanged. In the first quarter of 1999, U.S. bond yields moved sharply higher
in response to robust U.S. economic growth and speculation of a Fed rate hike.
The high-yield market rebounded from prior weakness to outperform all other
domestic fixed-income categories in recent months.
Outlook from Wellington Management Company, LLP
"THE YIELD-ENHANCING SECTORS -- CORPORATES AND MORTGAGES -- CONTINUE TO HOLD
VERY GOOD VALUE DESPITE THE RECENT NARROWING OF YIELD SPREADS. WE PLAN TO
MAINTAIN HEAVY EXPOSURE IN THESE SECTORS. RETURNS WILL BE ENHANCED BY THE
INCREMENTAL INCOME THAT WE EARN OVER TIME AND BY ANY NARROWING OF YIELD
SPREADS BETWEEN THESE SECTORS AND TREASURIES. AS YIELD SPREADS COMPRESS, WE
WILL MOVE BACK INTO THE TREASURY SECTOR FOR VALUE. IT IS ONLY A MATTER OF TIME
BEFORE INVESTORS REFOCUS ON THE LONG TERM FAVORABLE FORCES AFFECTING THIS
SECTOR."
Outlook from SunAmerica Asset Management Company
"ALTHOUGH INFLATION REMAINED UNDER CONTROL, WE CONTINUE TO WATCH WAGE
INFLATION AND ITS IMPACT ON CORPORATE EARNINGS. FOR THE FIRST TIME IN SEVERAL
QUARTERS, FOLLOWING 72-INTEREST RATE CUTS IN THE FOURTH QUARTER GLOBALLY; THE
WORD "RE-FLATION" STARTED TO REAPPEAR. LOOKING AHEAD TO THE NEXT SEVERAL
QUARTERS WE RECOGNIZE THE NEED TO WATCH FOR SIGNS OF INFLATION AND ITS EFFECT
ON THE LONG BOND."
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GLOBAL MARKET
Global markets were volatile in 1998. This was largely due to the continued
economic slump in Asia and pressure on corporate earnings. This volatility
peaked in August when the Russian financial crisis triggered a broad sell-off in
global equity markets. In response, the Federal Reserve joined other global
central banks and aggressively cut short-term interest rates. These cuts helped
infuse capital into market systems worldwide, restoring liquidity and calming
the worries of many market participants.
The first quarter of 1999 saw the introduction of the Euro, the devaluation of
the Brazilian currency, a rebound in Asian economies, and a powerful rally in
Japanese equities. Beyond Japan, Pacific Basin economies also continued to show
improvement as confidence in these regions returned.
Looking towards the remainder of 1999, Wellington Management Company, LLP
offers the following insights:
"THE U.S. CONSUMER HAS KEPT THE ECONOMY BOOMING AND G-7 CENTRAL BANKS HAVE
EASED MONETARY CONDITIONS. HOWEVER, THE TRUE WILD CARD IS JAPAN. IF THEY
SUCCEED IN THEIR COMMITMENT TO RE-INFLATE THE ECONOMY, GLOBAL LIQUIDITY WILL
BE BOOSTED AND U.S. AND JAPANESE INTEREST RATES WILL RISE TO DISCOUNT A HIGHER
NOMINAL GROWTH SCENARIO. IF THEY FAIL, OTHER NATIONS WILL BE FORCED TO LIQUEFY
THE GLOBAL SYSTEM BY KEEPING SHORT RATES LOW FOR LONGER THAN THEY WOULD LIKE
AND ANY HICCUP IN LATIN AMERICA OR EASTERN EUROPE WILL HAVE LARGER
REPERCUSSIONS ON U.S. GROWTH."
IN CONCLUSION
The overall backdrop for financial assets remains very positive, yet it is
prudent to keep in mind the possibility of short-term market volatility. By
investing with Seasons and Seasons Select, your assets are managed by some of
the top financial professionals around the globe. In addition, the
diversification available in these products can help shield your portfolio from
a certain amount of market volatility and help manage your risk. These products
are intended for those with a long-term perspective. We urge you to meet with
your investment representative regularly to remain focused on your investment
objectives. We strive to continue to provide you with the simplicity and
performance to help you meet your goals.
Again, we thank you for choosing Seasons or Seasons Select and appreciate the
confidence you have placed in our partnership with some of the top investment
professionals and money management firms in the country. We look forward to the
opportunity to continue to serve you.
Sincerely,
/s/ Eli Broad
Eli Broad
CHAIRMAN AND CHIEF EXECUTIVE OFFICER
ANCHOR NATIONAL LIFE INSURANCE COMPANY
May 20, 1999
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*Represents 30 of the largest industrial companies in the United States. The
index sometimes is used to represent the overall U.S. equity market.
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SEASONS SERIES TRUST
MULTI-MANAGED
GROWTH PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK -- 68.2% SHARES VALUE
<S> <C> <C>
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CONSUMER DISCRETIONARY -- 8.5%
APPAREL & TEXTILES -- 0.4%
Gerber Childrenswear, Inc.+ ............ 2,100 $ 13,256
Gucci Group NV ......................... 1,800 144,900
Oakley, Inc.+ .......................... 13,000 90,188
AUTOMOTIVE -- 0.8%
Autobytel, Inc.+ ....................... 700 29,313
DaimlerChrysler AG+ .................... 1,000 85,812
Federal-Mogul Corp. .................... 5,845 251,335
Ford Motor Co. ......................... 1,800 102,150
General Motors Corp. ................... 1,000 86,875
HOUSING -- 0.1%
Krause's Furniture, Inc.+ .............. 3,600 6,525
Mohawk Industries, Inc.+ ............... 2,300 69,000
RETAIL -- 7.2%
Abercrombie & Fitch Co.+ ............... 3,200 294,400
Action Performance Cos., Inc.+ ......... 6,500 195,812
Amazon.com, Inc.+ ...................... 12,195 2,099,827
Beyond.com Corp. ....................... 3,300 86,419
Claire's Stores, Inc. .................. 2,000 60,250
Costco Cos., Inc.+ ..................... 2,970 271,941
Dayton Hudson Corp. .................... 1,700 113,262
Dollar Tree Stores, Inc.+ .............. 720 22,275
eBay, Inc.+ ............................ 2,960 406,445
Gap, Inc. .............................. 6,150 413,972
Home Depot, Inc. ....................... 4,300 267,675
Mac-Gray Corp.+ ........................ 4,500 41,344
Restoration Hardware, Inc.+ ............ 600 13,200
Sothebys Holdings, Inc.+ ............... 3,400 110,075
Staples, Inc.+ ......................... 8,242 270,956
Sunglass Hut International, Inc.+ ...... 10,000 105,000
Ticketmaster Online-Citysearch,
Inc.+ ................................ 3,300 110,962
Wal-Mart Stores, Inc. .................. 1,500 138,281
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5,901,450
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CONSUMER STAPLES -- 0.2%
FOOD, BEVERAGE & TOBACCO -- 0.1%
Philip Morris Cos, Inc. ................ 2,200 77,413
HOUSEHOLD PRODUCTS -- 0.1%
Colgate-Palmolive Co. .................. 700 64,400
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141,813
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COMMON STOCK (CONTINUED) SHARES VALUE
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ENERGY -- 3.3%
ENERGY SERVICES -- 1.0%
BJ Services Co.+ ....................... 6,800 $ 159,375
Friede Goldman International, Inc.+ .... 6,300 100,800
Halliburton Co. ........................ 1,600 61,600
Offshore Logistics, Inc.+ .............. 7,200 83,700
Schlumberger Ltd. ...................... 1,000 60,187
Transocean Offshore, Inc. .............. 3,100 89,319
Weatherford International, Inc. ........ 5,600 146,300
ENERGY SOURCES -- 2.3%
Chevron Corp. .......................... 1,200 106,125
Diamond Offshore Drilling, Inc. ........ 3,800 120,175
Enron Corp. ............................ 14,585 937,086
Exxon Corp. ............................ 800 56,450
Mobil Corp. ............................ 1,500 132,000
Royal Dutch Petroleum Co. GDR .......... 1,400 72,800
Smith International, Inc.+ ............. 5,500 220,000
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2,345,917
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FINANCE -- 5.2%
BANKS -- 2.5%
Bank of New York Co., Inc. ............. 16,050 576,797
Chase Manhattan Corp. .................. 1,600 130,100
Fifth Third Bancorp .................... 3,510 231,441
First Union Corp. ...................... 1,300 69,469
Firstar Corp. .......................... 6,182 553,289
Hamilton Bancorp, Inc.+ ................ 1,600 41,400
Hibernia Corp., Class A ................ 2,500 32,812
Mellon Bank Corp. ...................... 1,000 70,375
Summit Bancorp. ........................ 1,350 52,650
FINANCIAL SERVICES -- 2.3%
American Express Co. ................... 2,665 313,137
Associates First Capital Corp., Class
A .................................... 1,800 81,000
Capital One Financial Corp. ............ 1,200 181,200
Citigroup, Inc. ........................ 1,500 95,812
Fannie Mae ............................. 1,000 69,250
Freddie Mac ............................ 1,000 57,125
HealthCare Financial Partners, Inc.+ ... 1,800 47,025
Household International, Inc. .......... 1,500 68,438
Merrill Lynch & Co., Inc. .............. 1,500 132,656
Morgan Stanley, Dean Witter & Co. ...... 2,900 289,819
PaineWebber Group, Inc. ................ 900 35,888
Providian Financial Corp. .............. 1,500 165,000
Raymond James Financial, Inc. .......... 1,300 25,675
INSURANCE -- 0.4%
Annuity & Life Re Holdings, Ltd.+ ...... 2,100 48,037
Progressive Corp. ...................... 1,250 179,375
Reliance Group Holdings, Inc. .......... 4,000 30,250
The Hartford Financial Services Group,
Inc. ................................. 800 45,450
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3,623,470
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</TABLE>
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
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<S> <C> <C>
HEALTHCARE -- 7.9%
DRUGS -- 3.7%
Abbott Laboratories, Inc. .............. 1,000 $ 46,813
Alkermes, Inc.+ ........................ 4,800 130,800
American Home Products Corp. ........... 1,200 78,300
Amgen, Inc.+ ........................... 1,800 134,775
Biogen, Inc.+ .......................... 1,200 137,175
Bristol-Myers Squibb Co. ............... 1,000 64,313
Centocor, Inc.+ ........................ 5,720 211,640
Eli Lilly & Co. ........................ 4,300 364,962
Merck & Co., Inc. ...................... 1,200 96,225
Pfizer, Inc. ........................... 6,200 860,250
Pharmacia & Upjohn, Inc. ............... 1,300 81,087
Sepracor, Inc.+ ........................ 2,240 251,440
Warner-Lambert Co. ..................... 2,000 132,375
HEALTH SERVICES -- 1.3%
Alternative Living Services, Inc.+ ..... 6,800 136,000
IMS Health, Inc. ....................... 17,350 574,719
Sunrise Assisted Living, Inc.+ ......... 3,500 159,469
MEDICAL PRODUCTS -- 2.9%
Genzyme Corp.+ ......................... 3,000 151,312
Guidant Corp. .......................... 4,320 261,360
Johnson & Johnson Co. .................. 1,600 149,900
MedImmune, Inc.+ ....................... 3,600 213,075
Medtronic, Inc. ........................ 11,627 834,237
Minimed, Inc.+ ......................... 2,685 272,863
Nanogen, Inc.+ ......................... 4,500 43,313
Schering-Plough Corp. .................. 2,000 110,625
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5,497,028
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INDUSTRIAL & COMMERCIAL -- 3.5%
AEROSPACE & MILITARY TECHNOLOGY -- 0.2%
Heico Corp. New ........................ 5,900 126,113
BUSINESS SERVICES -- 1.6%
Allied Waste Industries, Inc.+ ......... 5,500 79,406
D.R. Horton, Inc. ...................... 2,700 45,225
DSET Corp.+ ............................ 6,600 76,725
Exodus Communications, Inc.+ ........... 2,070 278,415
HA-LO Industries, Inc.+ ................ 3,450 42,478
Invitrogen Corp. ....................... 6,200 79,825
ITT Educational Services, Inc.+ ........ 1,600 60,100
META Group, Inc.+ ...................... 2,200 33,825
Paychex, Inc. .......................... 1,600 75,900
RCM Technologies, Inc.+ ................ 6,400 70,400
Sylvan Learning Systems, Inc.+ ......... 3,500 95,813
The Kroll O'Gara Co.+ .................. 4,800 130,200
Verticalnet, Inc.+ ..................... 800 83,100
MACHINERY -- 0.2%
United Technologies Corp. .............. 900 121,894
</TABLE>
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
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<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
MULTI-INDUSTRY -- 1.1%
Tyco International Ltd. ................ 10,610 $ 761,267
TRANSPORTATION -- 0.4%
Burlington Northern Santa Fe Corp. ..... 1,200 39,450
Southwest Airlines Co. ................. 8,325 251,831
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2,451,967
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INFORMATION & ENTERTAINMENT -- 8.9%
BROADCASTING & MEDIA -- 8.0%
Cablevision Systems Corp, Class A+ ..... 6,545 485,148
CBS Corp.+ ............................. 1,500 61,406
Cinar Films, Inc., Class B+ ............ 4,400 101,200
Clear Channel Communications, Inc.+ .... 3,800 254,838
Cox Communications, Inc, Class A+ ...... 4,090 309,306
Critical Path, Inc.+ ................... 900 69,300
DoubleClick, Inc.+ ..................... 2,820 513,416
Infinity Broadcasting Corp., Class
A+ ................................... 1,200 30,900
iVillage, Inc.+ ........................ 200 20,100
Jacor Communications, Inc.+ ............ 1,200 91,200
Lamar Advertising Co.+ ................. 5,465 185,468
MediaOne Group, Inc.+ .................. 10,825 687,387
Multex Systems, Inc.+ .................. 1,800 112,500
Outdoor Systems, Inc.+ ................. 8,500 255,000
Penton Media, Inc. ..................... 3,335 75,038
Snyder Communications, Inc.+ ........... 2,900 80,838
Time Warner, Inc. ...................... 20,778 1,476,537
United International Holdings, Inc.+ ... 7,950 345,825
USA Networks, Inc.+ .................... 4,150 148,622
Ziff-Davis, Inc.-ZDNET ................. 1,300 46,800
Ziff-Davis, Inc.-ZD+ ................... 9,800 210,700
ENTERTAINMENT PRODUCTS -- 0.0%
Mattel, Inc. ........................... 1,500 37,312
LEISURE & TOURISM -- 0.9%
Carnival Corp. Class A ................. 1,240 60,218
McDonald's Corp. ....................... 1,600 72,500
Outback Steakhouse, Inc.+ .............. 9,075 297,206
Penske Motorsports, Inc.+ .............. 1,500 52,875
Steiner Leisure Ltd.+ .................. 2,800 86,100
Travel Services International, Inc.+ ... 2,900 30,450
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6,198,190
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INFORMATION TECHNOLOGY -- 25.8%
COMMUNICATION EQUIPMENT -- 3.0%
Lucent Technologies, Inc. .............. 1,600 172,400
Nokia Corp., Class A ADR ............... 12,270 1,911,052
COMPUTERS & BUSINESS EQUIPMENT -- 3.7%
AVT Corp.+ ............................. 1,400 33,425
Cisco Systems, Inc.+ ................... 11,825 1,295,577
</TABLE>
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
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<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
COMPUTERS & BUSINESS
EQUIPMENT (CONTINUED)
Dell Computer Corp.+ ................... 4,000 $ 163,500
EMC Corp.+ ............................. 4,825 616,394
Hewlett-Packard Co. .................... 400 27,125
Honeywell, Inc. ........................ 400 30,325
International Business Machines
Corp. ................................ 1,500 265,875
Network Appliance, Inc.+ ............... 2,900 146,812
ELECTRONICS -- 3.1%
Conexant Systems, Inc.+ ................ 12,970 359,107
General Electric Co. ................... 3,500 387,187
Intel Corp. ............................ 2,000 238,250
Maxim Integrated Products, Inc.+ ....... 3,540 191,602
Motorola, Inc. ......................... 1,300 95,225
Nvidia Corp. ........................... 1,300 27,463
Pittway Corp., Class A ................. 7,225 191,463
Texas Instruments, Inc. ................ 3,780 375,165
Vitesse Semiconductor Corp.+ ........... 5,535 280,209
SOFTWARE -- 9.8%
America Online, Inc.+ .................. 7,271 1,061,566
AnswerThink Consulting Group+ .......... 4,100 114,800
At Home Corp., Series A+ ............... 1,280 201,600
Brightstar Information Corp.+ .......... 1,600 6,200
BroadVision, Inc.+ ..................... 3,400 203,150
Cambridge Technology Partners, Inc.+ ... 5,800 80,475
CIBER, Inc.+ ........................... 655 12,568
CMG Information Services, Inc.+ ........ 1,200 219,675
Entrust Technologies, Inc.+ ............ 4,600 155,250
Excite, Inc.+ .......................... 8,450 1,183,000
Fundtech Ltd+ .......................... 1,600 48,200
Infoseek Corp.+ ........................ 1,200 88,800
Inktomi Corp. .......................... 4,550 390,162
Legato Systems, Inc.+ .................. 4,600 237,475
Lycos, Inc.+ ........................... 600 51,638
Macromedia, Inc.+ ...................... 1,500 67,969
Micromuse, Inc.+ ....................... 4,200 193,200
Microsoft Corp.+ ....................... 14,250 1,277,156
Netgravity, Inc.+ ...................... 1,800 74,475
Network Solutions, Inc.+ ............... 1,500 158,625
Onyx Software Corp.+ ................... 1,500 58,688
Real Networks, Inc.+ ................... 1,100 134,406
Sapient Corp.+ ......................... 4,600 328,325
Spyglass, Inc.+ ........................ 5,700 51,300
Vignette Corp.+ ........................ 1,400 105,350
Yahoo!, Inc.+@ ......................... 1,900 319,912
TELECOMMUNICATIONS -- 6.2%
Comcast Corp. Class A .................. 19,475 1,225,708
EchoStar Communications Corp., Class
A+ ................................... 1,200 97,950
Frontier Corp. ......................... 3,500 181,562
GST Telecommunications, Inc.+ .......... 20,000 218,750
ICG Communications, Inc.+ .............. 2,300 46,000
</TABLE>
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
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<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
Intermedia Communications, Inc.+ ....... 6,100 $ 162,413
Level 3 Communications, Inc.+ .......... 13,995 1,019,011
Qwest Communications International,
Inc.+ ................................ 2,956 213,109
Saville Systems PLC ADR+ ............... 4,100 50,225
Sprint Corp.+ .......................... 9,555 423,406
USWeb Corp.+ ........................... 4,500 185,625
Verisign, Inc. ......................... 3,550 546,700
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18,002,580
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MATERIALS -- 0.6%
CHEMICALS -- 0.4%
du Pont (E.I.) de Nemours & Co. ........ 1,000 58,062
Monsanto Co. ........................... 4,865 223,486
FOREST PRODUCTS -- 0.1%
Georgia-Pacific Corp. .................. 1,000 74,250
METALS & MINERALS -- 0.1%
Martin Marietta Materials, Inc. ........ 700 39,944
-------------
395,742
-------------
UTILITIES -- 4.3%
ELECTRIC UTILITIES -- 0.3%
GPU, Inc. .............................. 1,000 37,313
Niagara Mohawk Holdings, Inc.+ ......... 7,000 94,062
PECO Energy Co. ........................ 2,000 92,500
TELEPHONE -- 4.0%
AT&T Corp. ............................. 4,925 393,076
AT&T Corp. -- Liberty Media Group, Class
A .................................... 24,339 1,280,840
Century Telephone Enterprises, Inc. .... 2,200 154,550
GTE Corp. .............................. 600 36,300
MCI WorldCom, Inc.+ .................... 5,000 442,813
SBC Communications, Inc. ............... 1,200 56,550
Telecom Italia SpA ADR ................. 25 2,609
Telecom Italia SpA ..................... 37,560 399,620
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2,990,233
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TOTAL COMMON STOCK (cost
$34,817,991) ......................... 47,548,390
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<CAPTION>
PREFERRED STOCK -- 0.0%
<S> <C> <C>
- -----------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 0.0%
SOFTWARE -- 0.0%
Concentric Network Corp. Delaware
13.50%(1) ............................ 5 5,608
TELECOMMUNICATIONS -- 0.0%
Viatel, Inc., Series A 10.00%(1)* ...... 2 431
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TOTAL PREFERRED STOCK (cost $4,770) .... 6,039
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</TABLE>
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<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 24.4% AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 0.7%
APPAREL & TEXTILES -- 0.0%
True Temper Sports, Inc. 10.88%
2008* ................................ $ 15,000 $ 13,912
AUTOMOTIVE -- 0.0%
Accuride Corp., Series B 9.25% 2008* ... 5,000 5,006
Delco Remy International, Inc. 8.63%
2007 ................................. 10,000 10,200
Federal Mogul Corp. 8.80% 2007 ......... 10,000 10,569
LDM Technologies, Inc. 10.75% 2007 ..... 5,000 5,119
Mark IV Industries, Inc. 7.75% 2006 .... 10,000 9,700
HOUSING -- 0.1%
Engle Homes, Inc., Series C 9.25%
2008 ................................. 5,000 4,875
Falcon Building Products, Inc. zero
coupon 2007(2) ....................... 10,000 5,912
Falcon Building Products, Inc. 9.50%
2007 ................................. 5,000 4,650
Nortek, Inc. 9.25% 2007 ................ 10,000 10,425
Standard Pacific Corp. 8.50% 2007 ...... 10,000 9,700
Toll Corp. 8.13% 2009 .................. 5,000 5,013
Webb Delaware Corp. 10.25% 2010 ........ 10,000 10,100
RETAIL -- 0.6%
Amazon.com, Inc. zero coupon 2008(2) ... 199,000 131,340
Amazon.com, Inc., convertible 4.75%
2009* ................................ 138,000 173,535
Disco SA 9.88% 2008 .................... 5,000 4,313
Duane Reade, Inc. 9.25% 2008 ........... 15,000 15,562
Fred Meyer, Inc. 7.38% 2005 ............ 25,000 25,777
J.C. Penney Co., Inc. 7.40% 2037 ....... 35,000 36,379
Stater Brothers Holdings, Inc. 9.00%
2004 ................................. 5,000 4,975
-------------
497,062
-------------
CONSUMER STAPLES -- 0.2%
FOOD, BEVERAGE & TOBACCO -- 0.2%
Aurora Foods, Inc., Series B 8.75%
2008 ................................. 5,000 5,200
B & G Foods Corp. 9.63% 2007 ........... 10,000 9,825
Delaware Monte Foods Co. zero coupon
2007(2) .............................. 3,000 2,231
Nash Finch Co. 8.50% 2008 .............. 10,000 8,850
Panamerican Beverages, Inc. 8.13%
2003 ................................. 30,000 29,177
Seagram Joseph E & Sons, Inc. 7.50%
2018 ................................. 35,000 35,254
HOUSEHOLD PRODUCTS -- 0.0%
Purina Mills, Inc. 9.00% 2010 .......... 5,000 4,013
Revlon Worldwide Corp. zero coupon
2001(2) .............................. 10,000 6,100
-------------
100,650
-------------
ENERGY -- 0.4%
ENERGY SERVICES -- 0.0%
Dailey International, Inc. 9.50%
2008 ................................. 10,000 4,000
Pride Petroleum Services, Inc. 9.38%
2007 ................................. 10,000 9,600
Tuboscope Vetco International, Inc.
7.50% 2008 ........................... 10,000 8,826
ENERGY SOURCES -- 0.4%
Abraxas Petroleum Corp. 11.50% 2004 .... 5,000 3,000
Calpine Corp. 8.75% 2007 ............... 10,000 10,207
Cross Timbers Oil Co., Class B 8.75%
2009 ................................. 5,000 4,750
Cross Timbers Oil Co. 9.25% 2007 ....... 5,000 4,850
Energy Corp. America 9.50% 2007 ........ 15,000 13,969
</TABLE>
- ----------------
10
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
ENERGY SOURCES (CONTINUED)
Enron Corp. 6.75% 2004 ................. $ 50,000 $ 50,319
Newfield Exploration Co. Series B 7.45%
2007 ................................. 40,000 37,515
Petroleos Mexicanos 9.38% 2008* ........ 35,000 35,919
Sonat, Inc. 6.88% 2005 ................. 65,000 66,108
Tesoro Petroleum Corp., Series B 9.00%
2008 ................................. 5,000 4,963
YPF Sociedad Anonima 10.00% 2028 ....... 50,000 54,956
-------------
308,982
-------------
FINANCE -- 4.3%
BANKS -- 1.0%
Banc One Corp. 8.00% 2027 .............. 18,000 20,187
Bank One Corp. 7.25% 2004 .............. 60,000 63,074
Bank One Columbus Corp. 7.38% 2002 ..... 25,000 25,983
Banponce Financial Corp. 6.75% 2001 .... 35,000 35,176
Credit National 7.00% 2005 ............. 40,000 40,503
First Republic Bancorp 7.75% 2012 ...... 25,000 24,894
First Union-Lehman Brothers Commercial
Mortgage Corp. 6.60% 2007 ............ 115,000 117,076
Korea Development Bank 7.13% 2001 ...... 15,000 14,705
National City Corp. 7.20% 2005 ......... 80,000 82,874
NBD Bank SA 8.25% 2024 ................. 25,000 29,210
NCNB Co. 9.38% 2009 .................... 32,000 39,195
Royal Bank Scotland Group PLC 6.40%
2009 ................................. 110,000 109,278
United States Bancorp 7.50% 2026 ....... 100,000 109,845
Werner Holding Delaware, Inc. 10.00%
2007 ................................. 5,000 5,025
Western Financial Savings Bank 8.88%
2007 ................................. 10,000 7,500
FINANCIAL SERVICES -- 2.5%
Aesop Funding Corp. 6.14% 2006* ........ 60,000 59,946
Aesop Funding II LLC 6.22% 2001* ....... 50,000 50,426
Allstate Financing II 7.83% 2045 ....... 24,000 24,937
American General Finance Corp. 6.25%
2002 ................................. 100,000 100,840
AMRESCO, Inc. 9.88% 2005 ............... 5,000 3,813
Arcadia Financial Ltd. 11.50% 2007 ..... 5,000 4,037
Asset Securitization Corp. 6.66%
2041 ................................. 50,000 50,846
Associates Corp. of North America 7.63%
2004 ................................. 60,000 64,430
ContiFinancial Corp. 8.13% 2008 ........ 10,000 6,450
CS First Boston Mortgage Securities
Corp. 7.24% 2029 ..................... 70,000 73,176
Dime Capital Trust I, Series A 9.33%
2027 ................................. 20,000 21,255
Equitable Cos., Inc. 7.00% 2028 ........ 60,000 60,099
Finova Capital Corp. 6.63% 2001 ........ 50,000 50,841
Finova Capital Corp., Series C 6.39%
2002 ................................. 40,000 40,336
Fleet Mortgage Group, Inc. 6.84%
2003 ................................. 30,000 30,981
Ford Motor Credit Corp. 7.02% 2000 ..... 50,000 51,187
G E Capital Mortgage Services, Inc.
6.25% 2023 ........................... 8,202 8,187
General Electric Capital Corp. 8.70%
2007 ................................. 50,000 58,421
General Motors Acceptance Corp. 7.63%
2003 ................................. 60,000 63,750
Liberty Financial Cos Inc. 6.75%
2008 ................................. 65,000 63,310
Morgan Stanley Capital I, Inc. 7.22%
2007* ................................ 60,000 62,483
Popular North America, Inc. 6.63%
2002 ................................. 35,000 34,981
Private Export Funding Corp. 6.31%
2004 ................................. 100,000 102,570
Private Export Funding Corp. 6.62%
2005 ................................. 120,000 123,595
Private Export Funding Corp. 7.03%
2003 ................................. 35,000 36,912
</TABLE>
----------------
11
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
Private Export Funding Corp. 7.30%
2002 ................................. $ 125,000 $ 131,347
Private Export Funding Corp. 7.90%
2000 ................................. 35,000 35,846
Sprint Capital Corp. 6.13% 2008 ........ 70,000 68,815
Tembec Finance Corp. 9.88% 2005 ........ 10,000 10,400
Tembec Industries, Inc. 8.63% 2009 ..... 5,000 5,069
Toyota Motor Credit Corp. 5.63% 2003 ... 70,000 69,207
U.S. West Capital Funding, Inc. 6.25%
2005 ................................. 90,000 91,144
U.S. West Capital Funding, Inc. 6.88%
2028 ................................. 45,000 45,033
INSURANCE -- 0.8%
AAG Holding, Inc. 6.88% 2008 ........... 60,000 57,971
Abbey National Plc 6.69% 2005 .......... 100,000 101,801
CIGNA Corp. 7.40% 2007 ................. 45,000 47,171
CIGNA Corp. 7.88% 2027 ................. 19,000 19,884
Conseco, Inc. 6.80% 2005 ............... 10,000 9,643
Conseco, Inc. 6.40% 2003 ............... 50,000 48,240
Florida Windstorm Underwriting
Associates, Inc. 7.13% 2019* ......... 140,000 140,451
Jackson National Life Insurance Co.
8.15% 2027* .......................... 22,000 23,849
Lumbermens Mutual Casualty Co. 8.30%
2037* ................................ 40,000 40,787
Metropolitan Life Insurance Co. 7.70%
2015* ................................ 60,000 63,289
RBF Finance Corp. 11.38% 2009 .......... 5,000 5,288
-------------
2,987,569
-------------
HEALTHCARE -- 0.4%
HEALTH SERVICES -- 0.1%
Beverly Enterprises, Inc. 9.00% 2006 ... 5,000 4,925
Columbia/HCA Healthcare Corp. 7.25%
2008 ................................. 10,000 9,131
HEALTHSOUTH Corp. 6.88% 2005* .......... 60,000 58,473
Tenet Healthcare Corp. 7.88% 2003 ...... 20,000 19,850
Tenet Healthcare Corp. 8.13%
2008*(3) ............................. 10,000 9,787
MEDICAL PRODUCTS -- 0.3%
Allegiance Corp. 7.00% 2026 ............ 120,000 121,091
Beckman Instruments, Inc. 7.10% 2003 ... 40,000 39,579
Beckman Instruments, Inc. 7.45% 2008 ... 5,000 4,907
Owens & Minor, Inc. 10.88% 2006 ........ 10,000 10,837
-------------
278,580
-------------
INDUSTRIAL & COMMERCIAL -- 0.7%
AEROSPACE & MILITARY TECHNOLOGY -- 0.1%
K & F Industries, Inc. 9.25% 2007 ...... 10,000 10,238
SCL Term Aereo Santiago SA 6.95%
2012 ................................. 100,000 97,623
United Industries Corp. 9.88% 2009* .... 5,000 5,125
BUSINESS SERVICES -- 0.3%
Allied Waste North America, Inc. 7.63%
2006 ................................. 10,000 9,750
Boise Cascade Office Products Co. 7.05%
2005 ................................. 115,000 110,433
Federal Express Corp. 6.72% 2022 ....... 79,976 79,114
Fisher Scientific International, Inc.
9.00% 2008 ........................... 5,000 5,050
Iron Mountain, Inc. 8.75% 2009 ......... 5,000 5,125
World Color Press, Inc. 8.38% 2008* .... 10,000 10,050
</TABLE>
- ----------------
12
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
ELECTRICAL EQUIPMENT -- 0.0%
Westinghouse Air Brake Co. 9.38%
2005* ................................ $ 5,000 $ 5,100
MACHINERY -- 0.1%
Cincinnati Milacron, Inc. 7.88% 2000 ... 40,000 40,321
Grove Worldwide LLC, Inc. 9.25%
2008*(3) ............................. 5,000 4,100
Johnstown America Industries, Inc.
11.75% 2005 .......................... 5,000 5,412
Numatics, Inc., Series B 9.63% 2008 .... 5,000 4,463
MULTI-INDUSTRY -- 0.0%
American Standard Inc. 7.63% 2010 ...... 5,000 4,900
TRANSPORTATION -- 0.2%
AMR Corp. 9.88% 2020 ................... 30,000 37,364
Continental Airlines, Inc. 6.47%
2004 ................................. 40,000 39,723
Continental Airlines, Inc. 6.65%
2019 ................................. 39,590 39,032
MTL, Inc. 10.00% 2006* ................. 5,000 4,950
-------------
517,873
-------------
INFORMATION & ENTERTAINMENT -- 0.6%
BROADCASTING & MEDIA -- 0.5%
Adelphia Communications Corp. 8.38%
2008 ................................. 5,000 5,125
Allbritton Communications Co. 8.88%
2008 ................................. 10,000 10,175
AMC Entertainment, Inc. 9.50% 2009 ..... 15,000 14,325
Benedek Communications Corp. zero coupon
2006(2) .............................. 10,000 7,600
Bresnan Communications Group zero coupon
2009*(2) ............................. 10,000 6,813
Century Communications Corp., Series B
zero coupon 2008 ..................... 20,000 9,300
Charter Communications Holdings 8.63%
2009* ................................ 10,000 10,263
Comcast Cable Communications Corp. 8.50%
2027 ................................. 15,000 17,691
Crown Castle International Corp. zero
coupon 2007 .......................... 15,000 10,594
Echostar DBS Corp. 9.38% 2009* ......... 15,000 15,562
Falcon Holding Group LP 8.38% 2010 ..... 10,000 10,100
Frontiervision Holdings LP zero coupon
2007* ................................ 10,000 8,600
Frontiervision Holdings LP zero coupon
2007(2) .............................. 5,000 4,356
Granite Broadcasting Corp. 8.88%
2008* ................................ 10,000 10,050
Jacor Communications Co. 9.75% 2006 .... 5,000 5,500
LIN Holdings Corp. zero coupon
2008*(2) ............................. 15,000 10,575
News America Holdings, Inc. 8.00%
2016 ................................. 65,000 69,966
Price Communications Wireless, Inc.
9.13% 2006 ........................... 10,000 10,425
RCN Corp. zero coupon 2008(2) .......... 15,000 9,225
Scholastic Corp. 7.00% 2003 ............ 35,000 35,540
Sullivan Graphics, Inc. 12.75% 2005 .... 10,000 10,300
TV Guide, Inc. 8.13% 2009* ............. 10,000 10,150
Viacom, Inc. 7.75% 2005 ................ 40,000 42,651
Young Broadcasting, Inc. 8.75% 2007 .... 5,000 5,150
ENTERTAINMENT PRODUCTS -- 0.0%
Bell Sports, Inc. 11.00% 2008 .......... 5,000 5,125
LEISURE & TOURISM -- 0.1%
Argosy Gaming Co. 13.25% 2004 .......... 10,000 11,300
Fitzgeralds Gaming Corp., Series B
12.25% 2004 .......................... 5,000 2,625
Loews Ciniplex Entertainment Corp. 8.88%
2008* ................................ 15,000 14,962
Station Casinos, Inc. 8.88% 2008* ...... 10,000 10,250
</TABLE>
----------------
13
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
LEISURE & TOURISM (CONTINUED)
Tricon Global Restaurants, Inc. 7.65%
2008 ................................. $ 5,000 $ 5,210
-------------
399,508
-------------
INFORMATION TECHNOLOGY -- 0.6%
COMMUNICATION EQUIPMENT -- 0.0%
L 3 Communications Corp. 8.00% 2008 .... 5,000 5,050
ELECTRONICS -- 0.0%
Advanced Micro Devices, Inc. 11.00%
2003 ................................. 10,000 10,300
Amphenol Corp. 9.88% 2007 .............. 5,000 5,194
SOFTWARE -- 0.0%
Concentric Network Corp. 12.75% 2007 ... 10,000 11,400
PSInet, Inc. 10.00% 2005 ............... 10,000 10,550
PSInet, Inc. 11.50% 2008* .............. 5,000 5,650
TELECOMMUNICATIONS -- 0.6%
AMSC Acquisition, Inc. 12.25% 2008 ..... 5,000 2,488
BTI Telecom Corp. 10.50% 2007 .......... 5,000 4,550
Compania De Telecomunicaciones 7.63%
2006 ................................. 30,000 28,688
Compania De Telecomunicaciones 8.38%
2006 ................................. 25,000 25,121
Covad Communications Group, Inc. 12.50%
2009* ................................ 5,000 5,000
E.Spire Communications Inc. zero coupon
2008*(2) ............................. 15,000 7,050
Emmis Communications Corp. 8.13%
2009* ................................ 5,000 5,050
Fairchild Semiconductor Corp. 10.13%
2007 ................................. 10,000 9,900
GCI, Inc. 9.75% 2007 ................... 10,000 10,100
Globalstar LP 10.75% 2004 .............. 5,000 3,000
GST Telecommunications, Inc. zero coupon
2008*(2)(3) .......................... 10,000 5,200
Hyperion Telecommunications, Inc. 12.25%
2004 ................................. 5,000 5,437
Intermedia Communications, Inc. zero
coupon 2009*(2) ...................... 15,000 9,469
Intermedia Communications, Inc. 8.88%
2007 ................................. 15,000 15,262
Iridium LLC 10.88% 2005 ................ 5,000 2,338
ITC Deltacom, Inc. 8.88% 2008 .......... 5,000 5,025
ITC Deltacom, Inc. 9.75% 2008 .......... 5,000 5,250
IXC Communications, Inc. 9.00% 2008 .... 10,000 10,400
KMC Telecom Holdings, Inc. zero coupon
2008(2) .............................. 10,000 5,450
Level 3 Communications, Inc. 9.13%
2008 ................................. 5,000 5,013
McleodUSA, Inc. 8.38% 2008 ............. 5,000 5,000
MJD Communications, Inc. 9.50% 2008* ... 10,000 10,100
Nextel Communications, Inc. zero coupon
2007(2) .............................. 25,000 17,750
Nextlink Communications, Inc. zero
coupon 2008(2) ....................... 15,000 9,600
NTL, Inc. zero coupon 2008*(2) ......... 15,000 10,256
Paging Network, Inc. 10.13% 2007 ....... 10,000 8,800
Qwest Communications International, Inc.
7.50% 2008* .......................... 5,000 5,205
Rogers Cantel, Inc. 8.30% 2007 ......... 5,000 5,225
Rogers Cantel, Inc. 9.38% 2008 ......... 5,000 5,475
Rsl Communications Plc 12.00% 2008 ..... 10,000 10,987
Tele-Communications, Inc. 7.25% 2005 ... 25,000 26,547
Tele-Communications, Inc. 8.00% 2005 ... 25,000 27,386
Tele-Communications, Inc. 9.25% 2002 ... 25,000 27,465
Telecommunications Techniques Co. LLC
9.75% 2008* .......................... 10,000 9,950
Time Warner Telecom, Inc. 9.75% 2008 ... 10,000 10,700
</TABLE>
- ----------------
14
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
Verio, Inc. 10.38% 2005 ................ $ 5,000 $ 5,350
Verio, Inc. 11.25% 2008* ............... 5,000 5,625
Viatel, Inc. 11.25% 2008*(3) ........... 5,000 5,062
-------------
424,418
-------------
MATERIALS -- 0.3%
CHEMICALS -- 0.1%
Acetex Corp. 9.75% 2003 ................ 10,000 9,588
Arco Chemical Co. 9.80% 2020 ........... 5,000 4,944
Huntsman Corp. 9.50% 2007* ............. 5,000 4,925
ICI Wilmington, Inc. 6.95% 2004 ........ 35,000 35,447
LaRoche Industries, Inc. 9.50% 2007 .... 5,000 3,625
Pioneer Americas Acquisition Corp. 9.25%
2007 ................................. 5,000 4,150
Scotts Co. 8.63% 2009* ................. 5,000 5,163
Sovereign Speciality Chemicals Corp.
9.50% 2007 ........................... 10,000 10,362
FOREST PRODUCTS -- 0.1%
American Pad & Paper Co. 13.00% 2005 ... 5,000 3,050
Boise Cascade Corp. 9.90% 2001 ......... 40,000 41,922
Container Corp. of America 10.75%
2002* ................................ 5,000 5,331
Gaylord Container Corp. 9.38% 2007 ..... 5,000 4,756
Grupo Industrial Durango SA de CV 12.63%
2003 ................................. 5,000 4,800
Pacifica Papers, Inc. 10.00% 2009* ..... 5,000 5,113
Packaging Corp of America 9.63%
2009* ................................ 5,000 5,125
Repap New Brunswick, Inc. 9.00% 2004 ... 5,000 4,825
METALS & MINERALS -- 0.1%
AK Steel Corp. 7.88% 2009 .............. 5,000 5,000
AK Steel Corp. 9.13% 2006 .............. 10,000 10,575
Armco, Inc. 8.88% 2008 ................. 10,000 10,275
Armco, Inc. 9.00% 2007 ................. 5,000 5,175
Bayou Steel Corp. 9.50% 2008 ........... 5,000 4,913
Consumers Packaging, Inc. 9.75% 2007 ... 5,000 5,138
Neenah Corp. 11.13% 2007* .............. 5,000 5,237
P L Coal Holdings Corp. 9.63% 2008 ..... 10,000 10,462
-------------
209,901
-------------
MUNICIPAL BONDS -- 0.5%
MUNICIPAL BONDS -- 0.5%
Allentown Pennsylvania 6.20% 2005 ...... 120,000 121,285
Fresno County California Pension
Obligation 6.07% 2003 ................ 50,000 50,523
Hudson County New Jersey Improvement
Authority Facility 6.55% 2002 ........ 45,000 46,022
Huntsville Alabama Solid Waste Disposal
Authority 5.95% 2003 ................. 50,000 49,708
Miami Florida Revenue 7.25% 2003 ....... 60,000 63,007
-------------
330,545
-------------
</TABLE>
----------------
15
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.1%
FOREIGN GOVERNMENT -- 0.1%
Republic of Columbia 10.88% 2004 ....... $ 62,000 $ 64,712
Republic of Lithuania 7.13% 2002*# ..... 19,000 17,860
-------------
82,572
-------------
REAL ESTATE -- 0.2%
REAL ESTATE COMPANIES -- 0.2%
Equity Office Properties Operating LP
6.38% 2003 ........................... 60,000 59,565
Post Apartment Homes LP 7.02% 2001 ..... 60,000 61,195
-------------
120,760
-------------
U.S. GOVERNMENT & AGENCIES -- 14.6%
U.S. GOVERNMENT & AGENCIES -- 14.6%
Federal Home Loan Mortgage Corp. 6.00%
2006 ................................. 14,110 14,141
Federal Home Loan Mortgage Corp. 6.00%
2013 ................................. 247,784 246,236
Federal Home Loan Mortgage Corp. 6.00%
2028 ................................. 99,445 96,741
Federal Home Loan Mortgage Corp. 6.50%
2022 ................................. 58,000 57,601
Federal Home Loan Mortgage Corp. 6.50%
2023 ................................. 20,000 20,050
Federal Home Loan Mortgage Corp. 6.55%
2022 ................................. 32,000 32,130
Federal Home Loan Mortgage Corp. 6.75%
2022 ................................. 105,000 105,945
Federal Home Loan Mortgage Corp. 7.00%
2023 ................................. 12,000 12,255
Federal Home Loan Mortgage Corp. 7.50%
2023 ................................. 14,657 15,065
Federal Home Loan Mortgage Corp. 7.50%
2028 ................................. 201,136 206,730
Federal Home Loan Mortgage Corp. 7.75%
2022 ................................. 44,650 46,045
Federal Home Loan Mortgage Corp. 8.50%
2019 ................................. 22,752 23,971
Federal National Mortgage Association
5.25% 2003 ........................... 590,000 585,575
Federal National Mortgage Association
5.63% 2001 ........................... 410,000 413,141
Federal National Mortgage Association
5.65% 2005 ........................... 10,985 10,984
Federal National Mortgage Association
5.75% 2008 ........................... 955,000 949,031
Federal National Mortgage Association
6.00% 2013 ........................... 294,418 292,210
Federal National Mortgage Association
6.00% 2028 ........................... 296,372 288,035
Federal National Mortgage Association
6.00% TBA ............................ 200,000 198,500
Federal National Mortgage Association
6.18% 2008 ........................... 19,861 19,933
Federal National Mortgage Association
6.30% 2008 ........................... 39,616 40,063
Federal National Mortgage Association
6.34% 2008 ........................... 19,649 19,921
Federal National Mortgage Association
6.36% 2008 ........................... 39,679 40,321
Federal National Mortgage Association
6.43% 2008 ........................... 19,765 20,151
Federal National Mortgage Association
6.50% 2013 ........................... 199,980 201,792
Federal National Mortgage Association
6.98% 2007 ........................... 98,076 102,949
Federal National Mortgage Association
7.00% 2006 ........................... 215 214
Federal National Mortgage Association
7.02% 2007 ........................... 18,857 19,799
Federal National Mortgage Association
7.04% 2007 ........................... 19,652 20,693
Federal National Mortgage Association
7.39% 2021 ........................... 25,549 26,900
Federal National Mortgage Association
7.75% 2021 ........................... 50,000 51,219
Federal National Mortgage Association
8.00% 2006 ........................... 13,020 13,504
Government National Mortgage Association
7.00% 2022 ........................... 11,211 11,407
Government National Mortgage Association
7.25% 2027 ........................... 98,903 101,143
Government National Mortgage Association
7.50% 2023 ........................... 24,431 25,210
Government National Mortgage Association
8.50% 2017 ........................... 25,556 27,114
Government National Mortgage Association
9.00% 2021 ........................... 9,529 10,228
Overseas Private Investment Corp. 6.99%
2009 ................................. 410,000 422,796
</TABLE>
- ----------------
16
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES (CONTINUED)
U.S. GOVERNMENT & AGENCIES (CONTINUED)
United States Treasury Bonds 5.25%
2028 ................................. $ 425,000 $ 396,381
United States Treasury Bonds 7.50%
2016 ................................. 340,000 399,235
United States Treasury Bonds 9.25%
2016 ................................. 500,000 679,140
United States Treasury Bonds 11.88%
2003 ................................. 80,000 101,162
United States Treasury Bonds 12.00%
2013 ................................. 1,910,000 2,781,437
United States Treasury Notes 4.75%
2008 ................................. 300,000 288,984
United States Treasury Notes 5.00%
2001 ................................. 620,000 620,099
United States Treasury Strip Bonds zero
coupon 2012 .......................... 275,000 129,992
-------------
10,186,173
-------------
UTILITIES -- 0.8%
ELECTRIC UTILITIES -- 0.3%
Atlantic City Electric Co. 6.38%
2005 ................................. 20,000 20,327
Cleveland Electric Illuminating Co.,
Series B 7.19% 2000 .................. 15,000 15,125
Pacificorp 6.38% 2008 .................. 100,000 101,628
Public Service Electric & Gas Co. 8.88%
2003 ................................. 11,000 12,238
UtiliCorp United, Inc. 6.88% 2004 ...... 40,000 41,224
WESCO Distribution, Inc., Series B 9.13%
2008 ................................. 10,000 10,338
GAS & PIPELINE UTILITIES -- 0.2%
HNG Internorth, Inc. 9.63% 2006 ........ 65,000 75,037
KN Energy, Inc. 6.65% 2005 ............. 50,000 51,007
TELEPHONE -- 0.3%
GTE Corp. 6.36% 2006 ................... 95,000 96,102
MCI Communications Corp. 6.13%
2002(4) .............................. 30,000 30,274
MGC Communications, Inc., Series B
13.00% 2004 .......................... 5,000 3,825
WorldCom, Inc. 7.55% 2004 .............. 85,000 90,589
-------------
547,714
-------------
TOTAL BONDS & NOTES (cost
$17,108,976) ......................... 16,992,307
-------------
<CAPTION>
WARRANTS -- 0.0%+ WARRANTS
<S> <C> <C>
- -----------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 0.0%
TELECOMMUNICATIONS -- 0.0%
KMC Telecom Holdings, Inc. 1/31/08*#
(cost $28) ........................... 10 25
-------------
<CAPTION>
OPTIONS -- 0.1%+ CONTRACTS
<S> <C> <C>
- -----------------------------------------------------------------------
CALL OPTIONS -- 0.1%
Philadelphia Utility Index $325 expiring
4/99 ................................. 14 1,487
Compaq Computer Corp. $32.50 expiring
4/99 ................................. 102 9,563
Microsoft Corp. $87.50 expiring 5/99 ... 28 22,225
PUT OPTIONS -- 0.0%
America Online, Inc. $120 expiring
4/99 ................................. 29 3,987
-------------
TOTAL OPTIONS (cost $75,843) ........... 37,262
-------------
TOTAL INVESTMENT SECURITIES (cost
$52,007,608) ......................... $ 64,584,023
-------------
</TABLE>
----------------
17
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 2.0% AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES -- 2.0%
Federal Home Loan Mortgage Corp. 4.82%
due 4/1/99 (cost $1,400,000).......... $ 1,400,000 $ 1,400,000
-------------
<CAPTION>
REPURCHASE AGREEMENTS -- 5.6%
<S> <C> <C>
- -----------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 5.6%
Lehman Brothers Holding, Inc. Joint
Repurchase Agreement Account (Note
3) ................................... 665,000 665,000
State Street Bank & Trust Co. Joint
Repurchase Agreement Account (Note
3) ................................... 3,241,000 3,241,000
-------------
TOTAL REPURCHASE AGREEMENTS (cost
$3,906,000) .......................... 3,906,000
-------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $57,313,608) 100.3% 69,890,023
Total Written Call Options -- 0.0 (38,237)
Liabilities in excess of other assets -- (0.3) (139,494)
----- -------------
NET ASSETS -- 100.0% $ 69,712,292
----- -------------
----- -------------
</TABLE>
- -------------
+ Non-income producing securities
# Fair valued security; see Note 2
* Resale restricted to qualified institutional buyers
@ The security or a portion thereof represents the underlying security for the
written options
(1) PIK ("Payment in Kind") payment made with additional securities in lieu of
cash
(2) Represents a zero coupon bond which will convert to an interest-bearing
security at a later date
(3) Bond issued as part of a unit which includes an equity component
(4) Variable rate security; rate as of March 31, 1999
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
TBA -- Securities purchased on a forward commitment basis with an approximate
principal amount and no definitive maturity date. The actual principal and
maturity date will be determined upon settlement date.
- ----------------
18
<PAGE>
<TABLE>
<CAPTION>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
- --------------------------------------------------------------------------
GROSS
CONTRACT IN DELIVERY UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------
EUR 100,000 USD 116,741 07/22/99 $ 7,915
EUR 200,000 USD 236,064 07/22/99 18,413
EUR 400,000 USD 470,840 07/22/99 35,536
EUR 30,000 USD 35,313 07/22/99 2,665
*EUR 120,000 USD 140,280 07/22/99 9,689
EUR 80,000 USD 89,084 07/22/99 2,023
USD 108,593 EUR 100,000 08/07/99 373
EUR 80,000 USD 94,480 08/12/99 7,308
EUR 300,000 USD 354,300 08/12/99 27,404
EUR 120,000 USD 131,238 08/12/99 479
--------------
$ 111,805
--------------
<CAPTION>
GROSS
UNREALIZED
DEPRECIATION
- --------------------------------------------------------------------------
<S> <C> <C> <C> <C>
*USD 148,742 EUR 130,000 07/22/99 $ (7,268)
--------------
Net Unrealized Appreciation............................ $ 104,537
--------------
--------------
</TABLE>
- -------------
*Represents partially offsetting forward foreign currency contracts that to the
extent they are offset do not have additional market risk but have continued
counterparty settlement risk
EUR -- European Monetary
Unit
USD -- United States
Dollar
OPEN COVERED WRITTEN CALL OPTIONS
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------
EXPIRATION STRIKE
CALL OPTIONS CONTRACTS DATE PRICE VALUE
- ----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Yahoo!, Inc. (Proceeds April
$31,699)................. 19 1999 $ 155 $ (38,237)
---------
---------
</TABLE>
See Notes to Financial Statements
----------------
19
<PAGE>
- ----------------
SEASONS SERIES TRUST
MULTI-MANAGED MODERATE
GROWTH PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK -- 53.2% SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 6.7%
APPAREL & TEXTILES -- 0.3%
Gerber Childrenswear, Inc.+ .................................................... 1,700 $ 10,731
Gucci Group NV ................................................................. 1,800 144,900
Oakley, Inc.+ .................................................................. 12,200 84,638
AUTOMOTIVE -- 0.7%
Autobytel, Inc.+ ............................................................... 700 29,313
DaimlerChrysler AG+ ............................................................ 1,000 85,813
Federal-Mogul Corp. ............................................................ 4,400 189,200
Ford Motor Co. ................................................................. 1,800 102,150
General Motors Corp. ........................................................... 1,300 112,937
HOUSING -- 0.1%
Krause's Furniture, Inc.+ ...................................................... 3,300 5,981
Mohawk Industries, Inc.+ ....................................................... 2,300 69,000
RETAIL -- 5.6%
Abercrombie & Fitch Co.+ ....................................................... 3,000 276,000
Action Performance Cos., Inc.+ ................................................. 6,400 192,800
Amazon.com, Inc.+ .............................................................. 9,330 1,606,509
Beyond.com Corp.+ .............................................................. 3,200 83,800
Claire's Stores, Inc. .......................................................... 2,000 60,250
Costco Cos., Inc.+ ............................................................. 2,235 204,642
Dayton Hudson Corp. ............................................................ 1,600 106,600
Dollar Tree Stores, Inc.+ ...................................................... 545 16,861
eBay, Inc+ ..................................................................... 2,230 306,207
Gap, Inc. ...................................................................... 5,400 363,487
Home Depot, Inc. ............................................................... 4,300 267,675
Mac-Gray Corp.+ ................................................................ 4,200 38,588
Restoration Hardware, Inc.+ .................................................... 600 13,200
Sothebys Holdings, Inc.+ ....................................................... 3,200 103,600
Staples, Inc.+ ................................................................. 6,240 205,140
Sunglass Hut International, Inc.+ .............................................. 10,000 105,000
Ticketmaster Online Citysearch, Inc.+ .......................................... 3,100 104,238
Wal-Mart Stores, Inc. .......................................................... 1,500 138,281
------------
5,027,541
------------
CONSUMER STAPLES -- 0.2%
FOOD, BEVERAGE & TOBACCO -- 0.1%
Philip Morris Cos, Inc. ........................................................ 2,200 77,412
HOUSEHOLD PRODUCTS -- 0.1%
Colgate-Palmolive Co. .......................................................... 700 64,400
------------
141,812
------------
</TABLE>
- ----------------
20
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
ENERGY -- 2.7%
ENERGY SERVICES -- 0.9%
BJ Services Co.+ ............................................................... 6,400 $ 150,000
Friede Goldman International, Inc.+ ............................................ 4,900 78,400
Halliburton Co. ................................................................ 1,600 61,600
Offshore Logistics, Inc.+ ...................................................... 5,900 68,588
Schlumberger Ltd. .............................................................. 1,000 60,188
Transocean Offshore, Inc. ...................................................... 3,000 86,437
Weatherford International, Inc. ................................................ 5,300 138,462
ENERGY SOURCES -- 1.8%
Chevron Corp. .................................................................. 1,100 97,281
Diamond Offshore Drilling, Inc. ................................................ 3,600 113,850
Enron Corp. .................................................................... 11,400 732,450
Exxon Corp. .................................................................... 800 56,450
Mobil Corp. .................................................................... 1,500 132,000
Royal Dutch Petroleum Co. GDR .................................................. 1,300 67,600
Smith International, Inc.+ ..................................................... 5,000 200,000
------------
2,043,306
------------
FINANCE -- 4.1%
BANKS -- 1.8%
Bank of New York Co., Inc. ..................................................... 12,635 454,070
Chase Manhattan Corp. .......................................................... 1,200 97,575
Fifth Third Bancorp ............................................................ 2,660 175,394
First Union Corp. .............................................................. 1,300 69,469
Firstar Corp. .................................................................. 4,717 422,171
Hamilton Bancorp, Inc.+ ........................................................ 1,500 38,813
Hibernia Corp., Class A ........................................................ 2,300 30,188
Mellon Bank Corp. .............................................................. 800 56,300
Summit Bancorp. ................................................................ 1,300 50,700
FINANCIAL SERVICES -- 2.0%
American Express Co. ........................................................... 2,405 282,587
Associates First Capital Corp., Class A ........................................ 1,600 72,000
Capital One Financial Corp. .................................................... 1,200 181,200
Citigroup, Inc. ................................................................ 1,500 95,812
Fannie Mae ..................................................................... 1,000 69,250
Freddie Mac .................................................................... 1,000 57,125
HealthCare Financial Partners, Inc.+ ........................................... 1,700 44,413
Household International, Inc. .................................................. 1,500 68,438
Merrill Lynch & Co., Inc. ...................................................... 1,500 132,656
Morgan Stanley, Dean Witter & Co. .............................................. 2,700 269,831
PaineWebber Group, Inc. ........................................................ 900 35,888
Providian Financial Corp. ...................................................... 1,350 148,500
Raymond James Financial, Inc. .................................................. 1,200 23,700
INSURANCE -- 0.3%
Annuity & Life Re Holdings, Ltd.+ .............................................. 1,900 43,462
Progressive Corp. .............................................................. 950 136,325
Reliance Group Holdings, Inc. .................................................. 3,500 26,469
The Hartford Financial Services Group, Inc. .................................... 800 45,450
------------
3,127,786
------------
</TABLE>
----------------
21
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE -- 6.1%
DRUGS -- 2.9%
Abbott Laboratories, Inc. ...................................................... 1,000 $ 46,813
Alkermes, Inc.+ ................................................................ 4,800 130,800
American Home Products Corp. ................................................... 1,200 78,300
Amgen, Inc.+ ................................................................... 1,600 119,800
Biogen, Inc.+ .................................................................. 1,000 114,312
Bristol-Myers Squibb Co. ....................................................... 1,000 64,313
Centocor, Inc.+ ................................................................ 4,315 159,655
Eli Lilly & Co. ................................................................ 3,240 274,995
Merck & Co., Inc. .............................................................. 1,200 96,225
Pfizer, Inc. ................................................................... 5,080 704,850
Pharmacia & Upjohn, Inc. ....................................................... 1,300 81,087
Sepracor, Inc.+ ................................................................ 1,860 208,785
Warner-Lambert Co. ............................................................. 2,000 132,375
HEALTH SERVICES -- 1.0%
Alternative Living Services, Inc.+ ............................................. 6,800 136,000
IMS Health, Inc. ............................................................... 13,190 436,919
Sunrise Assisted Living, Inc.+ ................................................. 3,300 150,356
MEDICAL PRODUCTS -- 2.2%
Genzyme Corp.+ ................................................................. 3,000 151,312
Guidant Corp. .................................................................. 3,270 197,835
Johnson & Johnson Co. .......................................................... 1,400 131,162
MedImmune, Inc.+ ............................................................... 3,600 213,075
Medtronic, Inc. ................................................................ 8,801 631,472
Minimed, Inc. .................................................................. 2,025 205,791
Nanogen, Inc.+ ................................................................. 4,200 40,425
Schering-Plough Corp. .......................................................... 1,900 105,094
------------
4,611,751
------------
INDUSTRIAL & COMMERCIAL -- 2.8%
AEROSPACE & MILITARY TECHNOLOGY -- 0.2%
Heico Corp. New ................................................................ 5,700 121,838
BUSINESS SERVICES -- 1.4%
Allied Waste Industries, Inc.+ ................................................. 5,300 76,519
D.R. Horton, Inc. .............................................................. 2,700 45,225
DSET Corp.+ .................................................................... 6,300 73,238
Exodus Communications, Inc.+ ................................................... 1,560 209,820
HA-LO Industries, Inc.+ ........................................................ 3,150 38,784
Invitrogen Corp.+ .............................................................. 6,100 78,537
ITT Educational Services, Inc.+ ................................................ 1,500 56,344
META Group, Inc.+ .............................................................. 2,000 30,750
Paychex, Inc. .................................................................. 1,600 75,900
RCM Technologies, Inc.+ ........................................................ 6,100 67,100
Sylvan Learning Systems, Inc.+ ................................................. 3,500 95,812
The Kroll O'Gara Co.+ .......................................................... 4,600 124,775
Verticalnet, Inc.+ ............................................................. 700 72,713
MACHINERY -- 0.1%
United Technologies Corp. ...................................................... 800 108,350
</TABLE>
- ----------------
22
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
MULTI-INDUSTRY -- 0.8%
Tyco International Ltd. ........................................................ 8,394 $ 602,269
TRANSPORTATION -- 0.3%
Burlington Northern Santa Fe Corp. ............................................. 1,200 39,450
Southwest Airlines Co. ......................................................... 6,305 190,726
------------
2,108,150
------------
INFORMATION & ENTERTAINMENT -- 6.8%
BROADCASTING & MEDIA -- 6.0%
Cablevision Systems Corp, Class A+ ............................................. 5,545 411,023
CBS Corp.+ ..................................................................... 1,500 61,406
Cinar Films, Inc., Class B+ .................................................... 4,200 96,600
Clear Channel Communications, Inc.+ ............................................ 3,600 241,425
Cox Communications, Inc., Class A+ ............................................. 3,060 231,413
Critical Path, Inc. ............................................................ 800 61,600
DoubleClick, Inc.+ ............................................................. 2,260 411,461
Infinity Broadcasting Corp., Class A+ .......................................... 1,000 25,750
iVillage, Inc.+ ................................................................ 200 20,100
Jacor Communications, Inc.+ .................................................... 1,200 91,200
Lamar Advertising Co.+ ......................................................... 4,092 138,872
MediaOne Group, Inc.+ .......................................................... 8,650 549,275
Multex Systems, Inc. ........................................................... 1,800 112,500
Outdoor Systems, Inc.+ ......................................................... 6,414 192,420
Penton Media, Inc. ............................................................. 2,320 52,200
Snyder Communications, Inc.+ ................................................... 2,700 75,263
Time Warner, Inc. .............................................................. 16,254 1,155,050
United International Holdings, Inc.+ ........................................... 5,995 260,782
USA Networks, Inc.+ ............................................................ 3,600 128,925
Ziff-Davis, Inc.--ZDNET ........................................................ 1,300 46,800
Ziff-Davis, Inc.--ZD+ .......................................................... 9,800 210,700
ENTERTAINMENT PRODUCTS -- 0.1%
Mattel, Inc. ................................................................... 1,500 37,313
LEISURE & TOURISM -- 0.7%
Carnival Corp, Class A ......................................................... 1,120 54,390
McDonald's Corp. ............................................................... 1,400 63,438
Outback Steakhouse, Inc.+ ...................................................... 8,430 276,082
Penske Motorsports, Inc.+ ...................................................... 1,500 52,875
Steiner Leisure Ltd.+ .......................................................... 2,700 83,025
Travel Services International, Inc.+ ........................................... 2,600 27,300
------------
5,169,188
------------
INFORMATION TECHNOLOGY -- 20.0%
COMMUNICATION EQUIPMENT -- 2.1%
Lucent Technologies, Inc. ...................................................... 1,500 161,625
Nokia Corp., Class A ADR ....................................................... 9,250 1,440,688
COMPUTERS & BUSINESS EQUIPMENT -- 2.9%
AVT Corp.+ ..................................................................... 1,500 35,813
Cisco Systems, Inc.+ ........................................................... 9,315 1,020,575
Dell Computer Corp.+ ........................................................... 4,000 163,500
</TABLE>
----------------
23
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
COMPUTERS & BUSINESS EQUIPMENT (CONTINUED)
EMC Corp.+ ..................................................................... 4,250 $ 542,937
Hewlett-Packard Co. ............................................................ 300 20,344
Honeywell, Inc. ................................................................ 400 30,325
International Business Machines Corp. .......................................... 1,500 265,875
Network Appliance, Inc.+ ....................................................... 2,900 146,812
ELECTRONICS -- 2.4%
Conexant Systems, Inc.+ ........................................................ 9,765 270,368
General Electric Co. ........................................................... 3,500 387,188
Intel Corp. .................................................................... 1,960 233,485
Maxim Integrated Products, Inc.+ ............................................... 2,670 144,514
Motorola, Inc. ................................................................. 1,200 87,900
Nvidia Corp.+ .................................................................. 1,200 25,350
Pittway Corp., Class A ......................................................... 5,145 136,343
Texas Instruments, Inc. ........................................................ 3,105 308,171
Vitesse Semiconductor Corp.+ ................................................... 4,095 207,309
SOFTWARE -- 7.8%
America Online, Inc.+ .......................................................... 6,198 904,908
AnswerThink Consulting Group+ .................................................. 4,000 112,000
At Home Corp., Series A+ ....................................................... 1,065 167,737
Brightstar Information+ ........................................................ 1,400 5,425
BroadVision, Inc.+ ............................................................. 3,200 191,200
Cambridge Technology Partners, Inc.+ ........................................... 5,800 80,475
CIBER, Inc.+ ................................................................... 495 9,498
CMG Information Services, Inc.+ ................................................ 1,100 201,369
Entrust Technologies, Inc.+ .................................................... 4,300 145,125
Excite, Inc.+ .................................................................. 6,685 935,900
Fundtech Ltd+ .................................................................. 1,400 42,175
Infoseek Corp.+ ................................................................ 1,100 81,400
Inktomi Corp. .................................................................. 3,770 323,277
Legato Systems, Inc.+ .......................................................... 4,300 221,987
Lycos, Inc.+ ................................................................... 600 51,638
Macromedia, Inc.+ .............................................................. 1,500 67,969
Micromuse, Inc.+ ............................................................... 4,200 193,200
Microsoft Corp.+ ............................................................... 12,030 1,078,189
Netgravity, Inc.+ .............................................................. 1,800 74,475
Network Solutions, Inc+. ....................................................... 1,300 137,475
Onyx Software Corp.+ ........................................................... 1,500 58,688
Policy Management Systems Corp.+ ............................................... 5 153
Real Networks, Inc.+ ........................................................... 1,100 134,406
Sapient Corp.+ ................................................................. 3,475 248,028
Spyglass, Inc.+ ................................................................ 5,400 48,600
Vignette Corp.+ ................................................................ 1,300 97,825
Yahoo!, Inc.+@ ................................................................. 1,800 303,075
TELECOMMUNICATIONS -- 4.8%
Comcast Corp, Class A .......................................................... 15,720 989,377
EchoStar Communications Corp., Class A+ ........................................ 1,200 97,950
Frontier Corp. ................................................................. 3,500 181,563
GST Telecommunications, Inc+ ................................................... 18,000 196,875
ICG Communications, Inc.+ ...................................................... 2,000 40,000
Intermedia Communications, Inc.+ ............................................... 6,000 159,750
</TABLE>
- ----------------
24
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
Level 3 Communications, Inc.+ .................................................. 10,605 $ 772,176
Qwest Communications International, Inc.+ ...................................... 2,728 196,672
Saville Systems PLC ADR+ ....................................................... 3,900 47,775
Sprint Corp.+ .................................................................. 7,220 319,936
USWeb Corp.+ ................................................................... 4,300 177,375
Verisign, Inc.+ ................................................................ 2,950 454,300
------------
15,179,068
------------
MATERIALS -- 0.5%
CHEMICALS -- 0.3%
du Pont (E.I.) de Nemours & Co. ................................................ 900 52,256
Monsanto Co. ................................................................... 3,670 168,591
FOREST PRODUCTS -- 0.1%
Georgia-Pacific Corp. .......................................................... 1,000 74,250
METALS & MINERALS -- 0.1%
Martin Marietta Materials, Inc. ................................................ 600 34,237
------------
329,334
------------
UTILITIES -- 3.3%
ELECTRIC UTILITIES -- 0.3%
GPU, Inc. ...................................................................... 900 33,581
Niagara Mohawk Holdings, Inc.+ ................................................. 7,000 94,063
PECO Energy Co. ................................................................ 2,000 92,500
TELEPHONE -- 3.0%
AT&T Corp. ..................................................................... 4,701 375,198
AT&T Corp. -- Liberty Media Group, Class A ..................................... 18,910 995,139
Century Telephone Enterprises, Inc. ............................................ 2,100 147,525
GTE Corp. ...................................................................... 600 36,300
MCI WorldCom, Inc.+ ............................................................ 4,270 378,162
SBC Communications, Inc. ....................................................... 1,200 56,550
Telecom Italia SpA ............................................................. 28,310 301,204
Telecom Italia SpA ADR ......................................................... 15 1,565
------------
2,511,787
------------
TOTAL COMMON STOCK (cost $29,692,962) .......................................... 40,249,723
------------
<CAPTION>
PREFERRED STOCK -- 0.0%
<S> <C> <C>
- ----------------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 0.0%
SOFTWARE -- 0.0%
Concentric Network Corp. 13.50%(1) ............................................. 10 11,217
TELECOMMUNICATIONS -- 0.0%
Viatel, Inc., Series A 10.00%*(1) .............................................. 4 861
------------
12,078
------------
TOTAL PREFERRED STOCK (cost $9,539) ............................................ 12,078
------------
</TABLE>
----------------
25
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 38.6% AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 0.8%
APPAREL & TEXTILES -- 0.1%
True Temper Sports, Inc. 10.88% 2008* .......................................... $ 35,000 $ 32,463
AUTOMOTIVE -- 0.1%
Accuride Corp., Series B 9.25% 2008* ........................................... 10,000 10,013
Delco Remy International, Inc. 8.63% 2007 ...................................... 20,000 20,400
Federal-Mogul Corp. 8.80% 2007 ................................................. 20,000 21,138
LDM Technologies, Inc. 10.75% 2007 ............................................. 10,000 10,237
Mark IV Industries, Inc. 7.75% 2006 ............................................ 20,000 19,400
HOUSING -- 0.1%
Engle Homes, Inc., Series C 9.25% 2008 ......................................... 10,000 9,750
Falcon Building Products, Inc. zero coupon 2007(2) ............................. 20,000 11,825
Falcon Building Products, Inc. 9.50% 2007 ...................................... 10,000 9,300
Nortek, Inc. 8.88% 2008* ....................................................... 5,000 5,137
Nortek, Inc. 9.25% 2007 ........................................................ 10,000 10,425
Standard Pacific Corp. 8.50% 2007 .............................................. 15,000 14,550
Toll Corp. 8.13% 2009 .......................................................... 10,000 10,025
Webb Delaware Corp. 10.25% 2010 ................................................ 20,000 20,200
RETAIL -- 0.5%
Amazon.com, Inc., convertible 4.75% 2009* ...................................... 113,000 142,097
Amazon.com, Inc. zero coupon 2008(2) ........................................... 145,000 95,700
Disco SA 9.88% 2008 ............................................................ 15,000 12,938
Duane Reade, Inc. 9.25% 2008 ................................................... 30,000 31,125
Fred Meyer, Inc. 7.38% 2005 .................................................... 40,000 41,243
J.C. Penney Co., Inc. 7.40% 2037 ............................................... 70,000 72,757
Stater Brothers Holdings, Inc. 9.00% 2004 ...................................... 5,000 4,975
------------
605,698
------------
CONSUMER STAPLES -- 0.4%
FOOD, BEVERAGE & TOBACCO -- 0.4%
Aurora Foods, Inc. 9.88% 2007 .................................................. 5,000 5,381
Aurora Foods, Inc., Series B 8.75% 2008 ........................................ 5,000 5,200
B & G Foods Corp. 9.63% 2007 ................................................... 20,000 19,650
Delaware Monte Foods Co. zero coupon 2007(2) ................................... 10,000 7,437
Nash Finch Co. 8.50% 2008 ...................................................... 20,000 17,700
New World Pasta Co. 9.25% 2009* ................................................ 5,000 5,094
Panamerican Beverages, Inc. 8.13% 2003 ......................................... 60,000 58,354
Seagram Joseph E & Sons, Inc. 7.50% 2018 ....................................... 130,000 130,944
HOUSEHOLD PRODUCTS -- 0.0%
Purina Mills, Inc. 9.00% 2010 .................................................. 10,000 8,025
Revlon Consumer Products Corp. 9.00% 2006 ...................................... 5,000 5,000
Revlon Worldwide Corp. zero coupon 2001(2) ..................................... 15,000 9,150
------------
271,935
------------
ENERGY -- 0.8%
ENERGY SERVICES -- 0.1%
Dailey International, Inc. 9.50% 2008 .......................................... 20,000 8,000
Pride Petroleum Services, Inc. 9.38% 2007 ...................................... 20,000 19,200
Tuboscope Vetco International, Inc. 7.50% 2008 ................................. 20,000 17,652
</TABLE>
- ----------------
26
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
ENERGY SOURCES -- 0.7%
Abraxas Petroleum Corp. 11.50% 2004 ............................................ $ 10,000 $ 6,000
Calpine Corp. 8.75% 2007 ....................................................... 20,000 20,414
Cross Timbers Oil Co, Class B 8.75% 2009 ....................................... 5,000 4,750
Cross Timbers Oil Co. 9.25% 2007 ............................................... 15,000 14,550
Energy Corp. America 9.50% 2007 ................................................ 30,000 27,938
Enron Corp. 6.75% 2004 ......................................................... 100,000 100,639
Newfield Exploration Co. Series B 7.45% 2007 ................................... 100,000 93,788
Petroleos Mexicanos 9.38% 2008* ................................................ 60,000 61,575
Sonat, Inc. 6.88% 2005 ......................................................... 110,000 111,874
Tesoro Petroleum Corp., Series B 9.00% 2008 .................................... 10,000 9,925
YPF Sociedad Anonima 10.00% 2028 ............................................... 100,000 109,913
------------
606,218
------------
FINANCE -- 7.0%
BANKS -- 1.8%
Banc One Corp. 8.00% 2027 ...................................................... 34,000 38,131
Bank One Corp. 7.25% 2004 ...................................................... 110,000 115,635
Bank One Columbus Corp. 7.38% 2002 ............................................. 45,000 46,770
Banponce Financial Corp. 6.75% 2001 ............................................ 65,000 65,326
Credit National 7.00% 2005 ..................................................... 50,000 50,629
First Republic Bancorp 7.75% 2012 .............................................. 45,000 44,810
First Union-Lehman Brothers Commercial Mortgage Corp. 6.60% 2007 ............... 205,000 208,700
Korea Development Bank 7.13% 2001 .............................................. 20,000 19,606
National City Corp. 7.20% 2005 ................................................. 170,000 176,108
NBD Bank SA 8.25% 2024 ......................................................... 45,000 52,579
NCNB Co. 9.38% 2009 ............................................................ 48,000 58,792
Royal Bank Scotland Group PLC 6.40% 2009 ....................................... 240,000 238,426
United States Bancorp 7.50% 2026 ............................................... 195,000 214,198
Werner Holding Delaware, Inc. 10.00% 2007 ...................................... 10,000 10,050
Western Financial Savings Bank 8.88% 2007 ...................................... 20,000 15,000
FINANCIAL SERVICES -- 3.8%
Aesop Funding Corp. 6.14% 2006* ................................................ 100,000 99,910
Aesop Funding II LLC 6.22% 2001* ............................................... 100,000 100,853
Allstate Financing II 7.83% 2045 ............................................... 44,000 45,718
American General Finance Corp. 6.25% 2002 ...................................... 100,000 100,840
AMRESCO, Inc. 9.88% 2005 ....................................................... 10,000 7,625
Arcadia Financial Ltd. 11.50% 2007(3) .......................................... 10,000 8,075
Asset Securitization Corp. 6.66% 2041 .......................................... 75,000 76,269
Associates Corp. of North America 5.75% 2003 ................................... 45,000 44,709
Associates Corp. of North America 7.63% 2004 ................................... 110,000 118,121
ContiFinancial Corp. 8.13% 2008 ................................................ 20,000 12,900
CS First Boston Mortgage Securities Corp. 7.24% 2029 ........................... 100,000 104,537
Dime Capital Trust I, Series A 9.33% 2027 ...................................... 35,000 37,196
Equitable Cos., Inc. 7.00% 2028 ................................................ 110,000 110,182
Finova Capital Corp. 6.63% 2001 ................................................ 100,000 101,683
Finova Capital Corp., Series C 6.39% 2002 ...................................... 60,000 60,503
Fleet Mortgage Group, Inc. 6.84% 2003 .......................................... 50,000 51,635
Ford Motor Credit Co. 7.02% 2000 ............................................... 100,000 102,375
GE Capital Mortgage Services, Inc. 6.25% 2023 .................................. 16,404 16,373
</TABLE>
----------------
27
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
General Electric Capital Corp. Medium Term Note 8.70% 2007 ..................... $ 150,000 $ 175,264
General Motors Acceptance Corp. 7.63% 2003 ..................................... 105,000 111,563
Liberty Financial, Inc. 6.75% 2008 ............................................. 130,000 126,620
Morgan Stanley Capital I, Inc. 7.22% 2007* ..................................... 100,000 104,138
Popular North America, Inc. 6.63% 2002 ......................................... 50,000 49,973
Private Export Funding Corp. 6.31% 2004 ........................................ 100,000 102,570
Private Export Funding Corp. 6.62% 2005 ........................................ 220,000 226,591
Private Export Funding Corp. 7.03% 2003 ........................................ 45,000 47,458
Private Export Funding Corp. 7.30% 2002 ........................................ 225,000 236,426
Private Export Funding Corp. 7.90% 2000 ........................................ 55,000 56,329
Sprint Capital Corp. 6.13% 2008 ................................................ 135,000 132,714
Tembec Finance Corp. 9.88% 2005 ................................................ 20,000 20,800
Toyota Motor Credit Corp. 5.63% 2003 ........................................... 115,000 113,697
U.S. West Capital Funding, Inc. 6.25% 2005 ..................................... 130,000 131,652
U.S. West Capital Funding, Inc. 6.88% 2028 ..................................... 80,000 80,059
INSURANCE -- 1.4%
AAG Holding Company, Inc. 6.88% 2008 ........................................... 110,000 106,280
Abbey National PLC 6.69% 2005 .................................................. 180,000 183,242
CIGNA Corp. 7.40% 2007 ......................................................... 85,000 89,101
CIGNA Corp. 7.88% 2027 ......................................................... 34,000 35,581
Conseco, Inc. 6.40% 2003 ....................................................... 100,000 96,481
Conseco, Inc. 6.80% 2005 ....................................................... 20,000 19,286
Florida Windstorm Underwriting Associates, Inc. 7.13% 2019* .................... 270,000 270,869
Jackson National Life Insurance Co. 8.15% 2027* ................................ 40,000 43,362
Lumbermens Mutual Casualty Co. 8.30% 2037* ..................................... 70,000 71,377
Metropolitan Life Insurance Co. 7.70% 2015* .................................... 120,000 126,578
RBF Finance Corp. 11.38% 2009 .................................................. 15,000 15,863
------------
5,328,138
------------
HEALTHCARE -- 0.7%
HEALTH SERVICES -- 0.3%
Beverly Enterprises, Inc. 9.00% 2006 ........................................... 10,000 9,850
Columbia/HCA Healthcare Corp. 7.25% 2008 ....................................... 20,000 18,262
HEALTHSOUTH Corp. 6.88% 2005* .................................................. 100,000 97,455
Tenet Healthcare Corp. 7.88% 2003 .............................................. 40,000 39,700
Tenet Healthcare Corp. 8.13% 2008*(3) .......................................... 15,000 14,681
MEDICAL PRODUCTS -- 0.4%
Allegiance Corp. 7.00% 2026 .................................................... 220,000 222,000
Beckman Instruments, Inc. 7.10% 2003* .......................................... 70,000 69,264
Beckman Instruments, Inc. 7.45% 2008 ........................................... 10,000 9,813
Owens & Minor, Inc. 10.88% 2006 ................................................ 20,000 21,675
------------
502,700
------------
INDUSTRIAL & COMMERCIAL -- 1.3%
AEROSPACE & MILITARY TECHNOLOGY -- 0.3%
K & F Industries, Inc. 9.25% 2007 .............................................. 20,000 20,475
SCL Term Aereo Santiago SA 6.95% 2012 .......................................... 200,000 195,248
United Industries Corp. 9.88% 2009* ............................................ 5,000 5,125
</TABLE>
- ----------------
28
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
BUSINESS SERVICES -- 0.6%
Allied Waste North America, Inc. 7.63% 2006 .................................... $ 25,000 $ 24,375
Boise Cascade Office Products Co. 7.05% 2005 ................................... 210,000 201,661
Federal Express Corp. 6.72% 2022 ............................................... 149,956 148,337
Fisher Scientific International, Inc. 9.00% 2008 ............................... 15,000 15,150
Iron Mountain, Inc. 8.75% 2009 ................................................. 20,000 20,500
World Color Press, Inc. 8.38% 2008 ............................................. 20,000 20,100
ELECTRICAL EQUIPMENT -- 0.0%
Westinghouse Air Brake Co. 9.38% 2005 .......................................... 5,000 5,100
MACHINERY -- 0.1%
Cincinnati Milacron, Inc. 7.88% 2000 ........................................... 95,000 95,763
Grove Worldwide LLC, Inc. 9.25% 2008*(3) ....................................... 5,000 4,100
Johnstown America Industries, Inc. 11.75% 2005 ................................. 10,000 10,825
Numatics, Inc., Series B 9.63% 2008 ............................................ 10,000 8,925
MULTI-INDUSTRY -- 0.0%
American Standard, Inc. 7.63% 2010 ............................................. 5,000 4,900
TRANSPORTATION -- 0.3%
AMR Corp. 10.20% 2020 .......................................................... 50,000 63,675
Continental Airlines, Inc. 6.47% 2004 .......................................... 80,000 79,446
Continental Airlines, Inc. 6.65% 2019 .......................................... 74,231 73,186
MTL, Inc. 10.00% 2006* ......................................................... 10,000 9,900
------------
1,006,791
------------
INFORMATION & ENTERTAINMENT -- 1.0%
BROADCASTING & MEDIA -- 0.9%
Adelphia Communications Corp. 8.38% 2008 ....................................... 10,000 10,250
Allbritton Communications Co. 8.88% 2008 ....................................... 15,000 15,262
AMC Entertainment, Inc. 9.50% 2009 ............................................. 25,000 23,875
Benedek Communications Corp. zero coupon 2006(2) ............................... 25,000 19,000
Bresnan Communications Group zero coupon 2009*(2) .............................. 20,000 13,625
Century Communications Corp., Series B zero coupon 2008 ........................ 40,000 18,600
Charter Communications Holdings, Inc. 8.63% 2009* .............................. 30,000 30,787
Classic Cable, Inc. 9.88% 2008* ................................................ 5,000 5,325
Comcast Cable Communications Corp. 8.50% 2027 .................................. 35,000 41,280
Crown Castle International Corp. zero coupon 2007 .............................. 20,000 14,125
Echostar DBS Corp. 9.38% 2009* ................................................. 30,000 31,125
Falcon Holding Group LP 8.38% 2010 ............................................. 20,000 20,200
Frontiervision Holdings LP zero coupon 2007* ................................... 20,000 17,200
Frontiervision Holdings LP zero coupon 2007(2) ................................. 10,000 8,713
Granite Broadcasting Corp. 8.88% 2008* ......................................... 20,000 20,100
Jacor Communications Co. 9.75% 2006 ............................................ 10,000 11,000
LIN Holdings Corp. zero coupon 2008*(2) ........................................ 25,000 17,625
News America Holdings, Inc. 8.00% 2016 ......................................... 110,000 118,404
Price Communications Wireless, Inc. 9.13% 2006 ................................. 20,000 20,850
RCN Corp. zero coupon 2008(2) .................................................. 35,000 21,525
Scholastic Corp. 7.00% 2003 .................................................... 70,000 71,079
Sullivan Graphics, Inc. 12.75% 2005 ............................................ 15,000 15,450
TV Guide, Inc. 8.13% 2009* ..................................................... 20,000 20,300
Viacom, Inc. 7.75% 2005 ........................................................ 65,000 69,308
Young Broadcasting, Inc. 8.75% 2007 ............................................ 10,000 10,300
</TABLE>
----------------
29
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
ENTERTAINMENT PRODUCTS -- 0.0%
Bell Sports, Inc. 11.00% 2008 .................................................. $ 15,000 $ 15,375
LEISURE & TOURISM -- 0.1%
Argosy Gaming Co. 13.25% 2004 .................................................. 15,000 16,950
Fitzgeralds Gaming Corp., Series B 12.25% 2004 ................................. 5,000 2,625
Loews Ciniplex Entertainment Corp. 8.88% 2008* ................................. 30,000 29,925
Station Casinos, Inc. 8.88% 2008* .............................................. 20,000 20,500
Tricon Global Restaurants, Inc. 7.65% 2008 ..................................... 15,000 15,630
------------
766,313
------------
INFORMATION TECHNOLOGY -- 1.0%
COMMUNICATION EQUIPMENT -- 0.0%
L 3 Communications Corp. 8.00% 2008 ............................................ 10,000 10,100
ELECTRONICS -- 0.0%
Advanced Micro Devices, Inc. 11.00% 2003 ....................................... 20,000 20,600
Amphenol Corp. 9.88% 2007 ...................................................... 10,000 10,387
SOFTWARE -- 0.1%
Concentric Network Corp. 12.75% 2007 ........................................... 20,000 22,800
PSInet, Inc. 10.00% 2005 ....................................................... 20,000 21,100
PSInet, Inc. 11.50% 2008* ...................................................... 5,000 5,650
TELECOMMUNICATIONS -- 0.9%
AMSC Acquisition, Inc. 12.25% 2008 ............................................. 5,000 2,488
BTI Telecom Corp. 10.50% 2007 .................................................. 10,000 9,100
Compania De Telecomunicaciones 7.63% 2006 ...................................... 40,000 38,251
Compania De Telecomunicaciones 8.38% 2006 ...................................... 45,000 45,217
Covad Communications Group, Inc. 12.50% 2009* .................................. 10,000 10,000
E.Spire Communications, Inc. zero coupon 2008*(2) .............................. 30,000 14,100
Emmis Communications Corp. 8.13% 2009* ......................................... 5,000 5,050
Fairchild Semiconductor Corp. 10.13% 2007 ...................................... 20,000 19,800
GCI, Inc. 9.75% 2007 ........................................................... 25,000 25,250
Globalstar LP 10.75% 2004 ...................................................... 10,000 6,000
GST Telecommunications, Inc. zero coupon 2008*(2)(3) ........................... 20,000 10,400
Hyperion Telecommunications, Inc. 12.25% 2004 .................................. 10,000 10,875
Intermedia Communications, Inc. zero coupon 2009*(2) ........................... 20,000 12,625
Intermedia Communications, Inc. 8.88% 2007 ..................................... 25,000 25,437
Iridium LLC 10.88% 2005 ........................................................ 10,000 4,675
Iridium LLC 11.25% 2005 ........................................................ 5,000 1,900
ITC Deltacom, Inc. 8.88% 2008 .................................................. 5,000 5,025
ITC Deltacom, Inc. 9.75% 2008 .................................................. 5,000 5,250
IXC Communications, Inc. 9.00% 2008 ............................................ 20,000 20,800
KMC Telecom Holdings, Inc. zero coupon 2008(2) ................................. 20,000 10,900
Level 3 Communications, Inc. 9.13% 2008 ........................................ 10,000 10,025
McleodUSA, Inc. 8.38% 2008 ..................................................... 10,000 10,000
MJD Communications, Inc. 9.50% 2008* ........................................... 20,000 20,200
Nextel Communications, Inc. zero coupon 2007(2) ................................ 50,000 35,500
Nextlink Communications, Inc. zero coupon 2008(2) .............................. 30,000 19,200
NTL, Inc. zero coupon 2008*(2) ................................................. 35,000 23,931
Paging Network, Inc. 10.13% 2007 ............................................... 15,000 13,200
Qwest Communications International, Inc. 7.50% 2008* ........................... 10,000 10,411
</TABLE>
- ----------------
30
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
Rogers Cantel, Inc. 8.30% 2007 ................................................. $ 10,000 $ 10,450
Rogers Cantel, Inc. 9.38% 2008 ................................................. 5,000 5,475
RSL Communications PLC 12.00% 2008 ............................................. 20,000 21,975
Tele-Communications, Inc. 7.25% 2005 ........................................... 50,000 53,094
Tele-Communications, Inc. 8.00% 2005 ........................................... 35,000 38,340
Tele-Communications, Inc. 9.25% 2002 ........................................... 35,000 38,451
Telecommunications Techniques Co. LLC 9.75% 2008* .............................. 20,000 19,900
Time Warner Telecom, Inc. 9.75% 2008 ........................................... 20,000 21,400
Verio, Inc. 10.38% 2005 ........................................................ 10,000 10,700
Verio, Inc. 11.25% 2008* ....................................................... 10,000 11,250
Viatel, Inc. 11.25% 2008*(3) ................................................... 10,000 10,125
------------
757,407
------------
MATERIALS -- 0.5%
CHEMICALS -- 0.2%
Acetex Corp. 9.75% 2003 ........................................................ 20,000 19,175
Arco Chemical Co. 9.80% 2020 ................................................... 15,000 14,833
Huntsman Corp. 9.50% 2007* ..................................................... 15,000 14,775
ICI Wilmington, Inc. 6.95% 2004 ................................................ 65,000 65,830
LaRoche Industries, Inc. 9.50% 2007 ............................................ 5,000 3,625
Pioneer Americas Acquisition Corp. 9.25% 2007 .................................. 15,000 12,450
Scotts Co. 8.63% 2009* ......................................................... 5,000 5,162
Sovereign Speciality Chemicals Corp. 9.50% 2007 ................................ 15,000 15,544
FOREST PRODUCTS -- 0.2%
American Pad & Paper Co. 13.00% 2005 ........................................... 10,000 6,100
Boise Cascade Corp. 9.90% 2001 ................................................. 70,000 73,363
Container Corp. of America 10.75% 2002* ........................................ 5,000 5,331
Gaylord Container Corp. 9.38% 2007 ............................................. 10,000 9,513
Grupo Industrial Durango SA de CV 12.63% 2003 .................................. 10,000 9,600
Pacifica Papers, Inc. 10.00% 2009* ............................................. 15,000 15,337
Packaging Corp of America 9.63% 2009* .......................................... 10,000 10,251
Repap New Brunswick, Inc. 9.00% 2004 ........................................... 10,000 9,650
Tembec Industries, Inc. 8.63% 2009 ............................................. 5,000 5,069
METALS & MINERALS -- 0.1%
AK Steel Corp. 9.13% 2006 ...................................................... 20,000 21,150
AK Steel Corp. 7.88% 2009 ...................................................... 10,000 10,000
Armco, Inc. 8.88% 2008 ......................................................... 15,000 15,412
Armco, Inc. 9.00% 2007 ......................................................... 10,000 10,350
Bayou Steel Corp. 9.50% 2008 ................................................... 10,000 9,825
Consumers Packaging, Inc. 9.75% 2007 ........................................... 10,000 10,275
Neenah Corp. 11.13% 2007* ...................................................... 5,000 5,237
Neenah Corp., Class B 11.13% 2007 .............................................. 5,000 5,238
P L Coal Holdings Corp. 9.63% 2008 ............................................. 15,000 15,694
Weirton Steel Corp. 11.38% 2004 ................................................ 5,000 4,800
------------
403,589
------------
</TABLE>
----------------
31
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
MUNICIPAL BONDS -- 0.8%
MUNICIPAL BONDS -- 0.8%
Allentown Pennsylvania 6.20% 2005 .............................................. $ 225,000 $ 227,410
Hudson County New Jersey Improvement Authority Facility 6.55% 2002 ............. 85,000 86,930
Huntsville Alabama Solid Waste Disposal Authority 5.95% 2003 ................... 85,000 84,504
Miami Florida Revenue 7.25% 2003 ............................................... 110,000 115,512
Phoenix Arizona Civic Improvement Corp. 6.30% 2008 ............................. 100,000 99,642
------------
613,998
------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.2%
FOREIGN GOVERNMENT -- 0.2%
Republic of Columbia 10.88% 2004 ............................................... 113,000 117,944
Republic of Lithuania 7.13% 2002*# ............................................. 35,000 32,900
------------
150,844
------------
REAL ESTATE -- 0.3%
REAL ESTATE COMPANIES -- 0.3%
Equity Office Properties Operating LP 6.38% 2003 ............................... 100,000 99,274
Post Apartment Homes LP 7.02% 2001 ............................................. 110,000 112,191
------------
211,465
------------
U.S. GOVERNMENT & AGENCIES -- 22.5%
U.S. GOVERNMENT & AGENCIES -- 22.5%
Federal Home Loan Mortgage Corp. 6.00% 2006 .................................... 24,693 24,747
Federal Home Loan Mortgage Corp. 6.00% 2013 .................................... 489,269 486,211
Federal Home Loan Mortgage Corp. 6.00% 2028 .................................... 198,891 193,483
Federal Home Loan Mortgage Corp. 6.50% 2022 .................................... 122,000 121,161
Federal Home Loan Mortgage Corp. 6.50% 2023 .................................... 40,000 40,100
Federal Home Loan Mortgage Corp. 6.55% 2022 .................................... 32,000 32,130
Federal Home Loan Mortgage Corp. 6.75% 2022 .................................... 130,000 131,170
Federal Home Loan Mortgage Corp. 7.00% 2023 .................................... 25,000 25,531
Federal Home Loan Mortgage Corp. 7.50% 2023 .................................... 14,657 15,065
Federal Home Loan Mortgage Corp. 7.50% 2025 .................................... 358,823 368,802
Federal Home Loan Mortgage Corp. 7.75% 2022 .................................... 60,106 61,984
Federal Home Loan Mortgage Corp. 8.50% 2019 .................................... 42,253 44,517
Federal National Mortgage Association 5.25% 2003 ............................... 825,000 818,813
Federal National Mortgage Association 5.63% 2001 ............................... 320,000 322,451
Federal National Mortgage Association 5.65% 2005 ............................... 21,970 21,968
Federal National Mortgage Association 5.75% 2008 ............................... 760,000 755,250
Federal National Mortgage Association 6.00% 2014 ............................... 404,788 401,752
Federal National Mortgage Association 6.00% 2014 ............................... 185,670 184,278
Federal National Mortgage Association 6.00% 2028 ............................... 493,156 479,283
Federal National Mortgage Association 6.00% TBA ................................ 300,000 297,750
Federal National Mortgage Association 6.18% 2008 ............................... 19,861 19,933
Federal National Mortgage Association 6.27% 2007 ............................... 54,481 55,009
Federal National Mortgage Association 6.30% 2008 ............................... 39,616 40,063
Federal National Mortgage Association 6.34% 2008 ............................... 19,649 19,921
Federal National Mortgage Association 6.36% 2008 ............................... 128,957 131,043
Federal National Mortgage Association 6.39% 2006 ............................... 19,361 19,665
Federal National Mortgage Association 6.43% 2008 ............................... 19,765 20,151
Federal National Mortgage Association 6.50% 2013 ............................... 299,971 302,688
</TABLE>
- ----------------
32
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES (CONTINUED)
U.S. GOVERNMENT & AGENCIES (CONTINUED)
Federal National Mortgage Association 6.91% 2007 ............................... $ 246,266 $ 257,538
Federal National Mortgage Association 6.98% 2007 ............................... 19,615 20,590
Federal National Mortgage Association 7.00% 2006 ............................... 430 428
Federal National Mortgage Association 7.04% 2007 ............................... 54,042 56,905
Federal National Mortgage Association 7.28% 2006 ............................... 34,301 36,512
Federal National Mortgage Association 7.39% 2021 ............................... 42,581 44,833
Federal National Mortgage Association 7.75% 2021 ............................... 184,000 188,484
Federal National Mortgage Association 8.00% 2006 ............................... 52,081 54,018
Government National Mortgage Association 7.00% 2022 ............................ 16,997 17,295
Government National Mortgage Association 7.00% 2023 ............................ 14,014 14,254
Government National Mortgage Association 7.25% 2027 ............................ 195,020 199,437
Government National Mortgage Association 7.50% 2024 ............................ 55,533 57,285
Government National Mortgage Association 7.50% 2028 ............................ 235,196 242,474
Government National Mortgage Association 8.50% 2017 ............................ 46,853 49,708
Government National Mortgage Association 9.00% 2021 ............................ 14,102 15,138
Overseas Private Investment Corp. 6.99% 2009 ................................... 380,000 391,860
United States Treasury Bonds 5.25% 2028 ........................................ 350,000 326,431
United States Treasury Bonds 7.50% 2016 ........................................ 675,000 792,598
United States Treasury Bonds 8.50% 2020 ........................................ 150,000 196,055
United States Treasury Bonds 9.25% 2016 ........................................ 750,000 1,018,710
United States Treasury Bonds 11.88% 2003 ....................................... 440,000 556,393
United States Treasury Bonds 12.00% 2013 ....................................... 4,025,000 5,861,406
United States Treasury Notes 4.75% 2008 ........................................ 300,000 288,984
United States Treasury Notes 5.00% 2001 ........................................ 755,000 755,121
United States Treasury Strip Bonds zero coupon 2012 ............................ 260,000 122,902
------------
17,000,278
------------
UTILITIES -- 1.3%
ELECTRIC UTILITIES -- 0.5%
Atlantic City Electric Co. 6.38% 2005 .......................................... 45,000 45,735
Cleveland Electric Illuminating Co., Series B 7.19% 2000 ....................... 35,000 35,292
Pacificorp 6.38% 2008 .......................................................... 150,000 152,442
Public Service Electric & Gas Co. 8.88% 2003 ................................... 21,000 23,364
UtiliCorp United, Inc. 6.88% 2004 .............................................. 70,000 72,142
WESCO Distribution, Inc., Series B 9.13% 2008 .................................. 15,000 15,506
GAS & PIPELINE UTILITIES -- 0.3%
Internorth, Inc. 9.63% 2006 .................................................... 110,000 126,985
KN Energy, Inc. 6.65% 2005 ..................................................... 125,000 127,519
TELEPHONE -- 0.5%
GTE Corp. 6.36% 2006 ........................................................... 175,000 177,030
MCI Communications Corp. 6.13% 2002(4) ......................................... 45,000 45,410
MGC Communications, Inc., Series B 13.00% 2004 ................................. 5,000 3,825
WorldCom, Inc. 7.55% 2004 ...................................................... 165,000 175,851
------------
1,001,101
------------
TOTAL BONDS & NOTES (cost $29,395,344) ......................................... 29,226,475
------------
</TABLE>
----------------
33
<PAGE>
<TABLE>
<CAPTION>
WARRANTS -- 0.0%+ WARRANTS VALUE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 0.0%
TELECOMMUNICATIONS -- 0.0%
KMC Telecom Holdings, Inc. 1/31/08*# (cost $55) ................................ 20 $ 50
------------
<CAPTION>
OPTIONS -- 0.0%+ CONTRACTS
<S> <C> <C>
- ----------------------------------------------------------------------------------------------------------
CALL OPTIONS -- 0.0%
Philadelphia Utility Index $325 expiring 4/99 .................................. 14 1,488
Compaq Computer Corp. $32.50 expiring 4/99 ..................................... 102 9,563
Microsoft Corp. $87.50 expiring 5/99 ........................................... 28 22,225
PUT OPTIONS -- 0.0%
America Online, Inc. $120 expiring 4/99 ........................................ 29 3,987
------------
TOTAL OPTIONS (cost $75,843) ................................................... 37,263
------------
TOTAL INVESTMENT SECURITIES (cost $59,173,743) ................................. 69,525,589
------------
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 1.8% AMOUNT
<S> <C> <C>
- ----------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT & AGENCIES -- 1.8%
Federal Home Loan Mortgage Corp. 4.82% due 4/1/99 (cost $1,400,000) ............ $1,400,000 1,400,000
------------
<CAPTION>
REPURCHASE AGREEMENTS -- 6.8%
<S> <C> <C>
- ----------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 6.8%
Lehman Brothers Holding, Inc. Joint Repurchase Agreement Account (Note 3) ...... 1,485,000 1,485,000
State Street Bank & Trust Co. Joint Repurchase Agreement Account (Note 3) ...... 3,651,000 3,651,000
------------
TOTAL REPURCHASE AGREEMENTS (cost $5,136,000) .................................. 5,136,000
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $65,709,743) 100.4% 76,061,589
Total Written Call Options -- 0.0 (36,225)
Liabilities in excess of other assets -- (0.4) (331,357)
--------- -------------
NET ASSETS -- 100.0% $ 75,694,007
--------- -------------
--------- -------------
</TABLE>
- -------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyer
# Fair valued security, see Note 2
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
(1) PIK -- ("Payment in Kind") payment made with additional securities in lieu
of cash.
(2) Represents a zero coupon bond which will convert to an interest-bearing
security at a later date.
(3) Bond issued as part of a unit which includes an equity component.
(4) Variable rate security; rate as of March 31, 1999
@ The security or a portion thereof represents the underlying security for the
written options
TBA -- Securities purchased on a forward commitment basis with an approximate
principal amount and no definitive maturity date. The actual principal and
maturity date will be determined upon settlement date.
- ----------------
34
<PAGE>
<TABLE>
<CAPTION>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
- ----------------------------------------------------------
GROSS
CONTRACT IN DELIVERY UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
<S> <C> <C> <C>
- ----------------------------------------------------------
*EUR 100,000 USD 116,741 07/22/99 $ 7,915
EUR 200,000 USD 236,064 07/22/99 18,412
EUR 300,000 USD 353,130 07/22/99 26,652
EUR 25,000 USD 29,428 07/22/99 2,221
EUR 75,000 USD 87,675 07/22/99 6,055
EUR 85,000 USD 94,652 07/22/99 2,150
USD 108,593 EUR 100,000 08/12/99 373
EUR 60,000 USD 70,860 08/12/99 5,481
EUR 200,000 USD 236,200 08/12/99 18,269
EUR 65,000 USD 71,087 08/12/99 260
-------
87,788
-------
<CAPTION>
GROSS
UNREALIZED
DEPRECIATION
- ----------------------------------------------------------
<S> <C> <C> <C>
*USD 125,859 EUR 110,000 07/22/99 $ (6,150)
-------
Net Unrealized Appreciation.............. $ 81,638
-------
-------
</TABLE>
- -------------
*Represents partially offsetting forward foreign currency contracts that to the
extent they are offset do not have additional market risk but have continued
counterparty settlement risk.
<TABLE>
<S> <C> <C>
EUR -- European Monetary Unit
USD -- United States Dollar
</TABLE>
OPEN COVERED WRITTEN CALL OPTIONS
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
EXPIRATION STRIKE
CALL OPTIONS CONTRACTS DATE PRICE VALUE
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Yahoo!, Inc. (proceeds April
$30,031).................... 18 1999 $ 155 $ (36,225)
---------
---------
</TABLE>
See Notes to Financial Statements
----------------
35
<PAGE>
- ----------------
SEASONS SERIES TRUST
MULTI-MANAGED
INCOME/EQUITY PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK -- 29.2% SHARES VALUE
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 3.3%
APPAREL & TEXTILES -- 0.0%
Oakley, Inc.+ .................................................................... 3,800 $ 26,363
AUTOMOTIVE -- 0.5%
DaimlerChrysler AG+ .............................................................. 800 68,650
Federal-Mogul Corp. .............................................................. 2,315 99,545
Ford Motor Co. ................................................................... 1,500 85,125
General Motors Corp. ............................................................. 500 43,437
RETAIL -- 2.8%
Amazon.com, Inc.+ ................................................................ 4,965 854,911
Costco Cos., Inc.+ ............................................................... 1,180 108,044
Dayton Hudson Corp. .............................................................. 1,500 99,937
Dollar Tree Stores, Inc.+ ........................................................ 280 8,662
eBay, Inc.+ ...................................................................... 1,165 159,969
Gap, Inc. ........................................................................ 2,250 151,453
Home Depot, Inc. ................................................................. 1,700 105,825
Staples, Inc.+ ................................................................... 3,290 108,159
Wal-Mart Stores, Inc. ............................................................ 1,300 119,844
------------
2,039,924
------------
CONSUMER STAPLES -- 0.2%
FOOD, BEVERAGE & TOBACCO -- 0.1%
Philip Morris Cos, Inc. .......................................................... 1,600 56,300
HOUSEHOLD PRODUCTS -- 0.1%
Colgate-Palmolive Co. ............................................................ 500 46,000
------------
102,300
------------
ENERGY -- 1.4%
ENERGY SERVICES -- 0.2%
Halliburton Co. .................................................................. 1,200 46,200
Schlumberger Ltd. ................................................................ 800 48,150
ENERGY SOURCES -- 1.2%
Chevron Corp. .................................................................... 1,000 88,438
Enron Corp. ...................................................................... 7,125 457,781
Exxon Corp. ...................................................................... 500 35,281
Mobil Corp. ...................................................................... 1,500 132,000
Royal Dutch Petroleum Co. GDR .................................................... 1,000 52,000
------------
859,850
------------
FINANCE -- 3.2%
BANKS -- 1.4%
Bank of New York Co., Inc. ....................................................... 7,610 273,484
Chase Manhattan Corp. ............................................................ 1,400 113,837
</TABLE>
- ----------------
36
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
BANKS (CONTINUED)
Fifth Third Bancorp .............................................................. 1,400 $ 92,313
First Union Corp. ................................................................ 1,000 53,438
Firstar Corp. .................................................................... 2,502 223,929
Mellon Bank Corp. ................................................................ 800 56,300
Summit Bancorp. .................................................................. 1,200 46,800
FINANCIAL SERVICES -- 1.7%
American Express Co. ............................................................. 1,720 202,100
Associates First Capital Corp., Class A .......................................... 1,600 72,000
Capital One Financial Corp. ...................................................... 1,100 166,100
Citigroup, Inc. .................................................................. 1,400 89,425
Fannie Mae ....................................................................... 800 55,400
Freddie Mac ...................................................................... 700 39,988
Household International, Inc. .................................................... 1,000 45,625
Merrill Lynch & Co., Inc. ........................................................ 1,000 88,437
Morgan Stanley, Dean Witter & Co. ................................................ 1,000 99,937
PaineWebber Group, Inc. .......................................................... 900 35,888
Providian Financial Corp. ........................................................ 1,200 132,000
INSURANCE -- 0.1%
Progressive Corp. ................................................................ 500 71,750
The Hartford Financial Services Group, Inc. ...................................... 600 34,088
------------
1,992,839
------------
HEALTHCARE -- 3.9%
DRUGS -- 2.2%
Abbott Laboratories, Inc. ........................................................ 1,000 46,813
American Home Products Corp. ..................................................... 800 52,200
Amgen, Inc.+ ..................................................................... 1,400 104,825
Biogen, Inc.+ .................................................................... 1,000 114,312
Bristol-Myers Squibb Co. ......................................................... 800 51,450
Centocor, Inc.+ .................................................................. 2,250 83,250
Eli Lilly & Co. .................................................................. 1,700 144,287
Merck & Co., Inc. ................................................................ 600 48,113
Pfizer, Inc. ..................................................................... 3,340 463,425
Pharmacia & Upjohn, Inc. ......................................................... 1,300 81,088
Sepracor, Inc.+ .................................................................. 445 49,951
Warner-Lambert Co. ............................................................... 2,000 132,375
HEALTH SERVICES -- 0.4%
IMS Health, Inc. ................................................................. 6,885 228,066
MEDICAL PRODUCTS -- 1.3%
Genzyme Corp.+ ................................................................... 1,000 50,438
Guidant Corp. .................................................................... 1,725 104,362
Johnson & Johnson Co. ............................................................ 1,200 112,425
Medtronic, Inc. .................................................................. 4,641 332,992
Minimed, Inc.+ ................................................................... 1,060 107,722
Schering-Plough Corp. ............................................................ 1,800 99,562
------------
2,407,656
------------
</TABLE>
----------------
37
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL -- 1.1%
BUSINESS SERVICES -- 0.2%
Exodus Communications, Inc.+ ..................................................... 800 $ 107,600
MACHINERY -- 0.1%
United Technologies Corp. ........................................................ 700 94,806
MULTI-INDUSTRY -- 0.6%
Tyco International Ltd. .......................................................... 5,134 368,365
TRANSPORTATION -- 0.2%
Burlington Northern Santa Fe Corp. ............................................... 900 29,588
Southwest Airlines Co. ........................................................... 3,325 100,581
------------
700,940
------------
INFORMATION & ENTERTAINMENT -- 3.2%
BROADCASTING & MEDIA -- 3.0%
Cablevision Systems Corp, Class A+ ............................................... 1,435 106,369
CBS Corp.+ ....................................................................... 1,000 40,938
Clear Channel Communications, Inc.+ .............................................. 1,200 80,475
Cox Communications, Inc, Class A+ ................................................ 1,585 119,866
DoubleClick, Inc.+ ............................................................... 775 141,098
Lamar Advertising Co.,+ .......................................................... 2,136 72,491
MediaOne Group, Inc.+ ............................................................ 4,985 316,547
Outdoor Systems, Inc.+ ........................................................... 3,347 100,410
Penton Media, Inc. ............................................................... 1,145 25,763
Time Warner, Inc. ................................................................ 9,824 698,118
United International Holdings, Inc.+ ............................................. 3,130 136,155
USA Networks, Inc.+ .............................................................. 835 29,903
ENTERTAINMENT PRODUCTS -- 0.0%
Mattel, Inc. ..................................................................... 1,000 24,875
LEISURE & TOURISM -- 0.2%
Carnival Corp, Class A ........................................................... 960 46,620
McDonald's Corp. ................................................................. 1,000 45,312
------------
1,984,940
------------
INFORMATION TECHNOLOGY -- 10.3%
COMMUNICATION EQUIPMENT -- 1.5%
Lucent Technologies, Inc. ........................................................ 1,400 150,850
Nokia Corp., Class A ADR ......................................................... 4,850 755,388
COMPUTERS & BUSINESS EQUIPMENT -- 2.3%
Cisco Systems, Inc.+ ............................................................. 5,623 616,070
Dell Computer Corp.+ ............................................................. 3,600 147,150
EMC Corp.+ ....................................................................... 3,405 434,989
Hewlett-Packard Co. .............................................................. 200 13,562
Honeywell, Inc. .................................................................. 400 30,325
International Business Machines Corp. ............................................ 1,000 177,250
ELECTRONICS -- 1.9%
Conexant Systems, Inc.+ .......................................................... 5,110 141,483
General Electric Co. ............................................................. 3,500 387,187
Intel Corp. ...................................................................... 1,500 178,688
</TABLE>
- ----------------
38
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
ELECTRONICS (CONTINUED)
Maxim Integrated Products, Inc.+ ................................................. 1,390 $ 75,234
Motorola, Inc. ................................................................... 800 58,600
Pittway Corp., Class A ........................................................... 2,525 66,913
Texas Instruments, Inc. .......................................................... 1,910 189,567
Vitesse Semiconductor Corp.+ ..................................................... 2,110 106,819
SOFTWARE -- 2.8%
America Online, Inc.+ ............................................................ 1,690 246,740
At Home Corp., Series A+ ......................................................... 195 30,712
CIBER, Inc.+ ..................................................................... 260 4,989
Excite, Inc.+ .................................................................... 2,815 394,100
Inktomi Corp. .................................................................... 920 78,890
Microsoft Corp.+ ................................................................. 9,490 850,541
Sapient Corp.+ ................................................................... 1,800 128,475
TELECOMMUNICATIONS -- 1.8%
Comcast Corp, Class A ............................................................ 6,810 428,604
Level 3 Communications, Inc.+ .................................................... 5,615 408,842
Sprint Corp. ..................................................................... 3,775 167,280
Verisign, Inc. ................................................................... 815 125,510
------------
6,394,758
------------
MATERIALS -- 0.4%
CHEMICALS -- 0.2%
du Pont (E.I.) de Nemours & Co. .................................................. 800 46,450
Monsanto Co. ..................................................................... 1,880 86,362
FOREST PRODUCTS -- 0.2%
Georgia-Pacific Corp. ............................................................ 1,500 111,375
METALS & MINERALS -- 0.0%
Martin Marietta Materials, Inc. .................................................. 300 17,119
------------
261,306
------------
UTILITIES -- 2.2%
ELECTRIC UTILITIES -- 0.1%
GPU, Inc. ........................................................................ 800 29,850
PECO Energy Co. .................................................................. 1,000 46,250
TELEPHONE -- 2.1%
AT&T Corp. ....................................................................... 3,139 250,531
AT&T Corp. -- Liberty Media Group, Class A ....................................... 10,919 574,613
GTE Corp. ........................................................................ 500 30,250
MCI WorldCom, Inc.+ .............................................................. 3,000 265,687
SBC Communications, Inc. ......................................................... 800 37,700
Telecom Italia SpA ADR ........................................................... 10 1,044
Telecom Italia SpA ............................................................... 14,842 157,911
------------
1,393,836
------------
TOTAL COMMON STOCK (cost $13,466,058) ............................................ 18,138,349
------------
</TABLE>
----------------
39
<PAGE>
<TABLE>
<CAPTION>
PREFERRED STOCK -- 0.0% SHARES VALUE
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 0.0%
SOFTWARE -- 0.0%
Concentric Network Corp. 13.50%(1) ............................................... 10 $ 11,217
TELECOMMUNICATIONS -- 0.0%
Viatel, Inc., Series A 10.00%(1) ................................................. 4 861
------------
12,078
------------
TOTAL PREFERRED STOCK (cost $9,540) .............................................. 12,078
------------
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 64.4% AMOUNT
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 1.0%
APPAREL & TEXTILES -- 0.1%
True Temper Sports, Inc. 10.88% 2008* ............................................ $ 45,000 41,738
AUTOMOTIVE -- 0.2%
Accuride Corp., Series B 9.25% 2008* ............................................. 10,000 10,013
Delco Remy International, Inc. 8.63% 2007 ........................................ 25,000 25,500
Federal Mogul Corp. 8.80% 2007 ................................................... 30,000 31,707
LDM Technologies, Inc. 10.75% 2007 ............................................... 15,000 15,356
Mark IV Industries, Inc. 7.75% 2006 .............................................. 30,000 29,100
HOUSING -- 0.2%
Engle Homes, Inc., Series C 9.25% 2008 ........................................... 10,000 9,750
Falcon Building Products, Inc. zero coupon 2007(2) ............................... 25,000 14,781
Falcon Building Products, Inc. 9.50% 2007 ........................................ 10,000 9,300
Nortek, Inc. 8.88% 2008* ......................................................... 5,000 5,137
Nortek, Inc. 9.25% 2007 .......................................................... 20,000 20,850
Standard Pacific Corp. 8.50% 2007 ................................................ 20,000 19,400
Toll Corp. 8.13% 2009 ............................................................ 15,000 15,038
Webb Delaware Corp. 10.25% 2010 .................................................. 25,000 25,250
RETAIL -- 0.5%
Amazon.com, Inc. zero coupon 2008(2) ............................................. 69,000 45,540
Amazon.com, Inc., convertible 4.75% 2009* ........................................ 67,000 84,253
Disco SA 9.88% 2008 .............................................................. 20,000 17,250
Duane Reade, Inc. 9.25% 2008 ..................................................... 40,000 41,500
Fred Meyer, Inc. 7.38% 2005 ...................................................... 55,000 56,709
J.C. Penney Co., Inc. 7.40% 2037 ................................................. 90,000 93,545
Stater Brothers Holdings, Inc. 9.00% 2004 ........................................ 10,000 9,950
------------
621,667
------------
CONSUMER STAPLES -- 0.7%
FOOD, BEVERAGE & TOBACCO -- 0.6%
Aurora Foods, Inc. 9.88% 2007 .................................................... 10,000 10,762
Aurora Foods, Inc., Series B 8.75% 2008 .......................................... 5,000 5,200
B & G Foods Corp. 9.63% 2007 ..................................................... 20,000 19,650
Delaware Monte Foods Co. zero coupon 2007(2) ..................................... 16,000 11,900
Nash Finch Co. 8.50% 2008 ........................................................ 25,000 22,125
New World Pasta Co. 9.25% 2009* .................................................. 5,000 5,094
Panamerican Beverages, Inc. 8.13% 2003 ........................................... 70,000 68,079
Seagram Joseph E & Sons, Inc. 7.50% 2018 ......................................... 250,000 251,815
</TABLE>
- ----------------
40
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES (CONTINUED)
HOUSEHOLD PRODUCTS -- 0.1%
Purina Mills, Inc. 9.00% 2010 .................................................... $ 10,000 $ 8,025
Revlon Consumer Products Corp. 9.00% 2006 ........................................ 5,000 5,000
Revlon Worldwide Corp. zero coupon 2001 .......................................... 20,000 12,200
------------
419,850
------------
ENERGY -- 1.1%
ENERGY SERVICES -- 0.1%
Dailey International, Inc. 9.50% 2008 ............................................ 25,000 10,000
Pride Petroleum Services, Inc. 9.38% 2007 ........................................ 25,000 24,000
Tuboscope Vetco International, Inc. 7.50% 2008 ................................... 25,000 22,065
ENERGY SOURCES -- 1.0%
Abraxas Petroleum Corp. 11.50% 2004 .............................................. 15,000 9,000
Calpine Corp. 8.75% 2007 ......................................................... 25,000 25,517
Cross Timbers Oil Co, Class B 8.75% 2009 ......................................... 10,000 9,500
Cross Timbers Oil Co. 9.25% 2007 ................................................. 25,000 24,250
Energy Corp. America 9.50% 2007 .................................................. 40,000 37,250
Enron Corp. 6.75% 2004 ........................................................... 125,000 125,799
Newfield Exploration Co. Series B 7.45% 2007 ..................................... 80,000 75,030
Petroleos Mexicanos 9.38% 2008* .................................................. 75,000 76,969
Sonat, Inc. 6.88% 2005 ........................................................... 140,000 142,386
Tesoro Petroleum Corp., Series B 9.00% 2008 ...................................... 10,000 9,925
YPF Sociedad Anonima 10.00% 2028 ................................................. 100,000 109,913
------------
701,604
------------
FINANCE -- 10.1%
BANKS -- 2.6%
Banc One Corp. 8.00% 2027 ........................................................ 43,000 48,225
Bank One Corp. 7.25% 2004 ........................................................ 135,000 141,916
Bank One Columbus Corp. 7.38% 2002 ............................................... 40,000 41,573
Banponce Financial Corp. 6.75% 2001 .............................................. 95,000 95,477
Credit National 7.00% 2005 ....................................................... 60,000 60,754
First Republic Bancorp 7.75% 2012 ................................................ 50,000 49,789
First Union-Lehman Brothers Commercial Mortgage Corp. 6.60% 2007 ................. 250,000 254,512
Korea Development Bank 7.13% 2001 ................................................ 35,000 34,311
National City Corp. 7.20% 2005 ................................................... 200,000 207,186
NBD Bank SA 8.25% 2024 ........................................................... 50,000 58,421
NCNB Corp. 9.38% 2009 ............................................................ 68,000 83,289
Royal Bank Scotland Group PLC 6.40% 2009 ......................................... 300,000 298,032
United States Bancorp 7.50% 2026 ................................................. 210,000 230,674
Werner Holding Delaware, Inc. 10.00% 2007 ........................................ 10,000 10,050
Western Financial Savings Bank 8.88% 2007 ........................................ 25,000 18,750
FINANCIAL SERVICES -- 5.4%
Aesop Funding Corp. 6.14% 2006* .................................................. 120,000 119,892
Aesop Funding II LLC 6.22% 2001* ................................................. 120,000 121,024
Allstate Financing II 7.83% 2045 ................................................. 49,000 50,913
American General Finance Corp. 6.25% 2002 ........................................ 100,000 100,840
AMRESCO, Inc. 9.88% 2005* ........................................................ 10,000 7,625
Arcadia Financial Ltd. 11.50% 2007(3) ............................................ 10,000 8,075
</TABLE>
----------------
41
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
Asset Securitization Corp. 6.66% 2041 ............................................ $ 80,000 $ 81,354
Associates Corp. of North America 5.75% 2003 ..................................... 55,000 54,645
Associates Corp. of North America 7.63% 2004 ..................................... 130,000 139,598
ContiFinancial Corp. 8.13% 2008 .................................................. 30,000 19,350
CS First Boston Mortgage Securities Corp. 7.24% 2029 ............................. 110,000 114,991
Dime Capital Trust I, Series A 9.33% 2027 ........................................ 40,000 42,509
Equitable Cos., Inc. 7.00% 2028 .................................................. 130,000 130,214
Finova Capital Corp. 6.63% 2001 .................................................. 125,000 127,104
Finova Capital Corp., Series C 6.39% 2002 ........................................ 80,000 80,671
Fleet Mortgage Group, Inc. 6.84% 2003 ............................................ 50,000 51,635
Ford Motor Credit Corp. 7.02% 2000 ............................................... 125,000 127,969
GE Capital Mortgage Services, Inc. 6.25% 2023 .................................... 16,404 16,373
General Electric Capital Corp. 8.70% 2007 ........................................ 200,000 233,686
General Motors Acceptance Corp. 7.63% 2003 ....................................... 135,000 143,437
Liberty Financial Cos Inc. 6.75% 2008 ............................................ 125,000 121,750
Morgan Stanley Capital I, Inc. 7.22% 2007* ....................................... 120,000 124,965
Popular North America, Inc. 6.63% 2002 ........................................... 50,000 49,973
Private Export Funding Corp. 6.31% 2004 .......................................... 100,000 102,570
Private Export Funding Corp. 6.62% 2005 .......................................... 160,000 164,794
Private Export Funding Corp. 7.03% 2003 .......................................... 60,000 63,277
Private Export Funding Corp. 7.30% 2002 .......................................... 270,000 283,710
Private Export Funding Corp. 7.90% 2000 .......................................... 75,000 76,813
Sprint Capital Corp. 6.13% 2008 .................................................. 155,000 152,376
Tembec Finance Corp. 9.88% 2005 .................................................. 25,000 26,000
Toyota Motor Credit Corp. 5.63% 2003 ............................................. 125,000 123,584
U.S. West Capital Funding, Inc. 6.25% 2005 ....................................... 165,000 167,097
U.S. West Capital Funding, Inc. 6.88% 2028 ....................................... 100,000 100,073
INSURANCE -- 2.1%
AAG Holding, Inc. 6.88% 2008 ..................................................... 100,000 96,618
Abbey National Plc 6.69% 2005 .................................................... 250,000 254,502
CIGNA Corp. 7.40% 2007 ........................................................... 95,000 99,584
CIGNA Corp. 7.88% 2027 ........................................................... 37,000 38,720
Conseco Inc. 6.80% 2005 .......................................................... 35,000 33,750
Conseco, Inc. 6.40% 2003 ......................................................... 120,000 115,777
Florida Windstorm Underwriting Associates, Inc. 7.13% 2019* ...................... 340,000 341,095
Jackson National Life Insurance Co. 8.15% 2027* .................................. 44,000 47,699
Lumbermens Mutual Casualty Co. 8.30% 2037* ....................................... 80,000 81,574
Metropolitan Life Insurance Co. 7.70% 2015* ...................................... 140,000 147,675
RBF Finance Corp. 11.38% 2009 .................................................... 20,000 21,150
------------
6,239,990
------------
HEALTHCARE -- 0.9%
HEALTH SERVICES -- 0.3%
Beverly Enterprises, Inc. 9.00% 2006 ............................................. 10,000 9,850
Columbia/HCA Healthcare Corp. 7.25% 2008 ......................................... 25,000 22,827
HEALTHSOUTH Corp. 6.88% 2005*(3) ................................................. 120,000 116,946
Tenet Healthcare Corp. 7.88% 2003 ................................................ 50,000 49,625
Tenet Healthcare Corp. 8.13% 2008* ............................................... 20,000 19,575
</TABLE>
- ----------------
42
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
MEDICAL PRODUCTS -- 0.6%
Allegiance Corp. 7.00% 2026 ...................................................... $ 260,000 $ 262,364
Beckman Instruments, Inc. 7.10% 2003 ............................................. 75,000 74,211
Beckman Instruments, Inc. 7.45% 2008 ............................................. 10,000 9,813
Owens & Minor, Inc. 10.88% 2006 .................................................. 20,000 21,675
------------
586,886
------------
INDUSTRIAL & COMMERCIAL -- 1.9%
AEROSPACE & MILITARY TECHNOLOGY -- 0.4%
K & F Industries, Inc. 9.25% 2007 ................................................ 30,000 30,712
SCL Term Aereo Santiago SA 6.95% 2012 ............................................ 200,000 195,248
United Industries Corp. 9.88% 2009* .............................................. 5,000 5,125
BUSINESS SERVICES -- 0.9%
Allied Waste North America, Inc. 7.63% 2006 ...................................... 35,000 34,125
Boise Cascade Office Products Co. 7.05% 2005 ..................................... 255,000 244,874
Federal Express Corp. 6.72% 2022 ................................................. 189,945 187,896
Fisher Scientific International, Inc. 9.00% 2008 ................................. 20,000 20,200
Iron Mountain, Inc. 8.75% 2009 ................................................... 20,000 20,500
World Color Press, Inc. 8.38% 2008* .............................................. 25,000 25,125
ELECTRICAL EQUIPMENT -- 0.0%
Westinghouse Air Brake Co. 9.38% 2005 ............................................ 5,000 5,100
MACHINERY -- 0.2%
Cincinnati Milacron, Inc. 7.88% 2000 ............................................. 130,000 131,043
Grove Worldwide LLC, Inc. 9.25% 2008*(3) ......................................... 5,000 4,100
Johnstown America Industries, Inc. 11.75% 2005 ................................... 10,000 10,825
Numatics, Inc., Series B 9.63% 2008 .............................................. 10,000 8,925
MULTI-INDUSTRY -- 0.0%
American Standard, Inc. 7.63% 2010 ............................................... 10,000 9,800
TRANSPORTATION -- 0.4%
AMR Corp. 9.88% 2020 ............................................................. 70,000 87,182
Continental Airlines, Inc. 6.47% 2004 ............................................ 95,000 94,343
Continental Airlines, Inc. 6.65% 2019 ............................................ 69,282 68,307
MTL, Inc. 10.00% 2006* ........................................................... 15,000 14,850
------------
1,198,280
------------
INFORMATION & ENTERTAINMENT -- 1.6%
BROADCASTING & MEDIA -- 1.4%
Adelphia Communications Corp. 8.38% 2008 ......................................... 10,000 10,250
Allbritton Communications Co. 8.88% 2008 ......................................... 20,000 20,350
AMC Entertainment, Inc. 9.50% 2009 ............................................... 35,000 33,425
Benedek Communications Corp. zero coupon 2006(2) ................................. 30,000 22,800
Bresnan Communications Group zero coupon 2009*(2) ................................ 20,000 13,625
Century Communications Corp., Series B zero coupon 2008 .......................... 55,000 25,575
Charter Communications Holdings 8.63% 2009* ...................................... 40,000 41,050
Classic Cable, Inc. 9.88% 2008* .................................................. 10,000 10,650
Comcast Cable Communications Corp. 8.50% 2027 .................................... 50,000 58,971
Crown Castle International Corp. zero coupon 2007 ................................ 35,000 24,719
Echostar DBS Corp. 9.38% 2009* ................................................... 40,000 41,500
</TABLE>
----------------
43
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
BROADCASTING & MEDIA (CONTINUED)
Falcon Holding Group LP zero coupon 2010 ......................................... $ 10,000 $ 6,950
Falcon Holding Group LP 8.38% 2010 ............................................... 20,000 20,200
Frontiervision Holdings LP zero coupon 2007(2) ................................... 25,000 21,500
Frontiervision Holdings LP zero coupon 2007* ..................................... 15,000 13,069
Granite Broadcasting Corp. 8.88% 2008* ........................................... 20,000 20,100
Jacor Communications Co. 9.75% 2006 .............................................. 10,000 11,000
LIN Holdings Corp. zero coupon 2008*(2) .......................................... 40,000 28,200
News America Holdings, Inc. 8.00% 2016 ........................................... 125,000 134,550
Price Communications Wireless, Inc. 9.13% 2006 ................................... 25,000 26,062
RCN Corp. zero coupon 2008(2) .................................................... 45,000 27,675
Scholastic Corp. 7.00% 2003 ...................................................... 80,000 81,234
Sullivan Graphics, Inc. 12.75% 2005 .............................................. 25,000 25,750
TV Guide, Inc. 8.13% 2009* ....................................................... 25,000 25,375
Viacom, Inc. 7.75% 2005 .......................................................... 80,000 85,302
Young Broadcasting, Inc. 8.75% 2007 .............................................. 25,000 25,750
ENTERTAINMENT PRODUCTS -- 0.0%
Bell Sports, Inc. 11.00% 2008 .................................................... 25,000 25,625
LEISURE & TOURISM -- 0.2%
Argosy Gaming Co. 13.25% 2004 .................................................... 15,000 16,950
Fitzgeralds Gaming Corp., Series B 12.25% 2004 ................................... 5,000 2,625
Loews Ciniplex Entertainment Corp. 8.88% 2008* ................................... 40,000 39,900
Station Casinos, Inc. 8.88% 2008* ................................................ 25,000 25,625
Tricon Global Restaurants, Inc. 7.65% 2008 ....................................... 25,000 26,050
------------
992,407
------------
INFORMATION TECHNOLOGY -- 1.6%
COMMUNICATION EQUIPMENT -- 0.0%
L 3 Communications Corp. 8.00% 2008 .............................................. 15,000 15,150
ELECTRONICS -- 0.1%
Advanced Micro Devices, Inc. 11.00% 2003 ......................................... 25,000 25,750
Amphenol Corp. 9.88% 2007 ........................................................ 5,000 5,194
SOFTWARE -- 0.1%
Concentric Network Corp. 12.75% 2007 ............................................. 30,000 34,200
PSInet, Inc. 10.00% 2005 ......................................................... 20,000 21,100
PSInet, Inc. 11.50% 2008* ........................................................ 15,000 16,950
TELECOMMUNICATIONS -- 1.4%
AMSC Acquisition, Inc. 12.25% 2008 ............................................... 5,000 2,488
BTI Telecom Corp. 10.50% 2007 .................................................... 10,000 9,100
Compania De Telecomunicaciones 7.63% 2006 ........................................ 50,000 47,814
Compania De Telecomunicaciones 8.38% 2006 ........................................ 50,000 50,241
Covad Communications Group, Inc. 12.50% 2009* .................................... 15,000 15,000
E.Spire Communications Inc. zero coupon 2008*(2) ................................. 35,000 16,450
Emmis Communications Corp. 8.13% 2009* ........................................... 10,000 10,100
Fairchild Semiconductor Corp. 10.13% 2007 ........................................ 25,000 24,750
GCI, Inc. 9.75% 2007 ............................................................. 30,000 30,300
Globalstar LP 10.75% 2004 ........................................................ 15,000 9,000
GST Telecommunications, Inc. zero coupon 2008*(2)(3) ............................. 20,000 10,400
</TABLE>
- ----------------
44
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
Hyperion Telecommunications, Inc. 12.25% 2004 .................................... $ 20,000 $ 21,750
Intermedia Communications, Inc. zero coupon 2009*(2) ............................. 25,000 15,781
Intermedia Communications, Inc. 8.88% 2007 ....................................... 35,000 35,612
Iridium LLC 10.88% 2005 .......................................................... 10,000 4,675
Iridium LLC 11.25% 2005 .......................................................... 5,000 1,900
ITC Deltacom, Inc. 8.88% 2008 .................................................... 10,000 10,050
ITC Deltacom, Inc. 9.75% 2008 .................................................... 5,000 5,250
IXC Communications, Inc. 9.00% 2008 .............................................. 25,000 26,000
KMC Telecom Holdings, Inc. zero coupon 2008(2) ................................... 20,000 10,900
Level 3 Communications, Inc. 9.13% 2008 .......................................... 15,000 15,037
McleodUSA, Inc. 8.38% 2008 ....................................................... 15,000 15,000
MJD Communications, Inc. 9.50% 2008* ............................................. 25,000 25,250
Nextel Communications, Inc. zero coupon 2007(2) .................................. 70,000 49,700
Nextlink Communications, Inc. zero coupon 2008(2) ................................ 45,000 28,800
NTL Inc. zero coupon 2008*(2) .................................................... 50,000 34,125
Paging Network, Inc. 10.13% 2007 ................................................. 30,000 26,400
Qwest Communications International, Inc. 7.50% 2008* ............................. 10,000 10,411
Rogers Cantel, Inc. 8.30% 2007 ................................................... 15,000 15,675
Rogers Cantel, Inc. 9.38% 2008 ................................................... 10,000 10,950
RSL Communications PLC 12.00% 2008 ............................................... 25,000 27,469
Tele-Communications, Inc. 7.25% 2005 ............................................. 50,000 53,094
Tele-Communications, Inc. 8.00% 2005 ............................................. 50,000 54,771
Tele-Communications, Inc. 9.25% 2002 ............................................. 50,000 54,930
Telecommunications Techniques Co. LLC 9.75% 2008* ................................ 25,000 24,875
Time Warner Telecom, Inc. 9.75% 2008 ............................................. 25,000 26,750
Verio, Inc. 10.38% 2005 .......................................................... 20,000 21,400
Verio, Inc. 11.25% 2008* ......................................................... 10,000 11,250
Viatel, Inc. 11.25% 2008(3) ...................................................... 10,000 10,125
------------
991,917
------------
MATERIALS -- 0.8%
CHEMICALS -- 0.3%
Acetex Corp. 9.75% 2003 .......................................................... 25,000 23,969
Arco Chemical Co. 9.80% 2020 ..................................................... 15,000 14,833
Huntsman Corp. 9.50% 2007* ....................................................... 15,000 14,775
ICI Wilmington, Inc. 6.95% 2004 .................................................. 70,000 70,894
LaRoche Industries, Inc. 9.50% 2007 .............................................. 10,000 7,250
Pioneer Americas Acquisition Corp. 9.25% 2007 .................................... 15,000 12,450
Scotts Co. 8.63% 2009* ........................................................... 5,000 5,162
Sovereign Speciality Chemicals Corp. 9.50% 2007 .................................. 15,000 15,544
FOREST PRODUCTS -- 0.3%
American Pad & Paper Co. 13.00% 2005 ............................................. 10,000 6,100
Boise Cascade Corp. 9.90% 2001 ................................................... 90,000 94,324
Container Corp. of America 10.75% 2002* .......................................... 10,000 10,662
Gaylord Container Corp. 9.38% 2007 ............................................... 10,000 9,513
Grupo Industrial Durango SA de CV 12.63% 2003 .................................... 10,000 9,600
Pacifica Papers, Inc. 10.00% 2009* ............................................... 20,000 20,450
Packaging Corp of America 9.63% 2009* ............................................ 15,000 15,376
Repap New Brunswick, Inc. 9.00% 2004 ............................................. 10,000 9,650
</TABLE>
----------------
45
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS (CONTINUED)
FOREST PRODUCTS (CONTINUED)
Tembec Industries, Inc. 8.63% 2009 ............................................... $ 5,000 $ 5,069
METALS & MINERALS -- 0.2%
AK Steel Corp. 7.88% 2009 ........................................................ 10,000 10,000
AK Steel Corp. 9.13% 2006 ........................................................ 25,000 26,438
Armco, Inc. 8.88% 2008 ........................................................... 25,000 25,687
Armco, Inc. 9.00% 2007 ........................................................... 10,000 10,350
Bayou Steel Corp. 9.50% 2008 ..................................................... 15,000 14,738
Consumers Packaging, Inc. 9.75% 2007 ............................................. 10,000 10,275
Neenah Corp. 11.13% 2007* ........................................................ 5,000 5,237
Neenah Corp. 11.13% 2007 Class B ................................................. 5,000 5,238
P L Coal Holdings Corp. 9.63% 2008 ............................................... 30,000 31,387
Weirton Steel Corp. 11.38% 2004 .................................................. 5,000 4,800
------------
489,771
------------
MUNICIPAL BONDS -- 1.3%
MUNICIPAL BONDS -- 1.3%
Allentown Pennsylvania 6.20% 2005 ................................................ 280,000 282,999
Fresno County California Pension Obligation 6.07% 2003 ........................... 50,000 50,523
Hudson County New Jersey Improvement Authority Facility 6.55% 2002 ............... 135,000 138,064
Huntsville Alabama Solid Waste Disposal Authority 5.95% 2003 ..................... 100,000 99,417
Miami Florida Revenue 7.25% 2003 ................................................. 135,000 141,765
Phoenix Arizona Civic Improvement Corp. 6.30% 2008 ............................... 100,000 99,642
------------
812,410
------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.3%
FOREIGN GOVERNMENT -- 0.3%
Republic of Columbia 10.88% 2004 ................................................. 125,000 130,469
Republic of Lithuania 7.13% 2002*# ............................................... 43,000 40,420
------------
170,889
------------
REAL ESTATE -- 0.4%
REAL ESTATE COMPANIES -- 0.4%
Equity Office Properties Operating LP 6.38% 2003 ................................. 120,000 119,129
Post Apartment Homes LP 7.02% 2001 ............................................... 130,000 132,589
------------
251,718
------------
U.S. GOVERNMENT & AGENCIES -- 40.5%
U.S. GOVERNMENT & AGENCIES -- 40.5%
Federal Home Loan Mortgage Corp. 6.00% 2006 ...................................... 31,749 31,818
Federal Home Loan Mortgage Corp. 6.00% 2013 ...................................... 495,569 492,471
Federal Home Loan Mortgage Corp. 6.00% 2028 ...................................... 499,702 486,115
Federal Home Loan Mortgage Corp. 6.00% 2028 ...................................... 497,227 483,707
Federal Home Loan Mortgage Corp. 6.50% 2022 ...................................... 160,000 158,899
Federal Home Loan Mortgage Corp. 6.50% 2023 ...................................... 60,000 60,150
Federal Home Loan Mortgage Corp. 6.75% 2022 ...................................... 45,000 45,405
Federal Home Loan Mortgage Corp. 7.00% 2023 ...................................... 32,000 32,680
Federal Home Loan Mortgage Corp. 7.50% 2023 ...................................... 17,589 18,078
Federal Home Loan Mortgage Corp. 7.75% 2022 ...................................... 85,865 88,548
</TABLE>
- ----------------
46
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES (CONTINUED)
U.S. GOVERNMENT & AGENCIES (CONTINUED)
Federal Home Loan Mortgage Corp. 8.50% 2008 ...................................... $ 177,083 $ 183,475
Federal Home Loan Mortgage Corp. 8.50% 2019 ...................................... 45,503 47,942
Federal National Mortgage Association 5.25% 2003 ................................. 1,635,000 1,622,737
Federal National Mortgage Association 5.63% 2001 ................................. 710,000 715,439
Federal National Mortgage Association 5.65% 2005 ................................. 32,955 32,952
Federal National Mortgage Association 5.75% 2008 ................................. 1,715,000 1,704,281
Federal National Mortgage Association 6.00% 2014 ................................. 487,989 484,329
Federal National Mortgage Association 6.00% 2028 ................................. 559,911 544,160
Federal National Mortgage Association 6.00% 2028 ................................. 39,169 38,067
Federal National Mortgage Association 6.00% TBA .................................. 300,000 297,750
Federal National Mortgage Association 6.18% 2008 ................................. 24,826 24,916
Federal National Mortgage Association 6.27% 2007 ................................. 84,199 85,014
Federal National Mortgage Association 6.30% 2008 ................................. 44,558 45,062
Federal National Mortgage Association 6.34% 2008 ................................. 19,649 19,921
Federal National Mortgage Association 6.36% 2008 ................................. 128,957 131,043
Federal National Mortgage Association 6.39% 2006 ................................. 19,361 19,665
Federal National Mortgage Association 6.43% 2008 ................................. 24,707 25,189
Federal National Mortgage Association 6.50% 2013 ................................. 499,950 504,480
Federal National Mortgage Association 6.59% 2007 ................................. 98,666 101,548
Federal National Mortgage Association 6.91% 2007 ................................. 98,506 103,015
Federal National Mortgage Association 6.98% 2007 ................................. 147,113 154,424
Federal National Mortgage Association 7.00% 2006 ................................. 538 536
Federal National Mortgage Association 7.02% 2007 ................................. 18,857 19,799
Federal National Mortgage Association 7.04% 2007 ................................. 63,868 67,251
Federal National Mortgage Association 7.28% 2006 ................................. 39,201 41,727
Federal National Mortgage Association 7.39% 2021 ................................. 51,098 53,800
Federal National Mortgage Association 7.75% 2021 ................................. 200,000 204,874
Federal National Mortgage Association 8.00% 2006 ................................. 108,503 112,537
Government National Mortgage Association 7.00% 2022 .............................. 18,133 18,450
Government National Mortgage Association 7.00% 2023 .............................. 16,999 17,291
Government National Mortgage Association 7.25% 2027 .............................. 290,539 297,120
Government National Mortgage Association 7.50% 2022 .............................. 28,929 29,851
Government National Mortgage Association 7.50% 2024 .............................. 14,978 15,450
Government National Mortgage Association 7.50% 2027 .............................. 332,188 342,154
Government National Mortgage Association 8.50% 2017 .............................. 42,594 45,189
Government National Mortgage Association 8.50% 2017 .............................. 17,079 18,120
Government National Mortgage Association 9.00% 2021 .............................. 15,246 16,366
Overseas Private Investment Corp. 6.99% 2009 ..................................... 465,000 479,513
United States Treasury Bonds 5.25% 2028 .......................................... 800,000 746,128
United States Treasury Bonds 5.50% 2028 .......................................... 35,000 33,496
United States Treasury Bonds 7.50% 2016 .......................................... 700,000 821,954
United States Treasury Bonds 8.50% 2020 .......................................... 275,000 359,433
United States Treasury Bonds 9.25% 2016 .......................................... 1,050,000 1,426,194
United States Treasury Bonds 11.88% 2003 ......................................... 970,000 1,226,594
United States Treasury Bonds 12.00% 2013 ......................................... 4,660,000 6,786,125
United States Treasury Notes 4.63% 2000 .......................................... 200,000 198,782
United States Treasury Notes 4.75% 2008 .......................................... 800,000 770,624
United States Treasury Notes 5.00% 2001 .......................................... 1,400,000 1,400,224
United States Treasury Notes 5.63% 2008 .......................................... 200,000 203,594
United States Treasury Notes 5.75% 2000 .......................................... 150,000 151,641
United States Treasury Notes 6.63% 2001 .......................................... 225,000 232,630
</TABLE>
----------------
47
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES (CONTINUED)
U.S. GOVERNMENT & AGENCIES (CONTINUED)
United States Treasury Strip Bonds zero coupon 2012 .............................. $ 475,000 $ 224,533
------------
25,145,260
------------
UTILITIES -- 2.2%
ELECTRIC UTILITIES -- 0.8%
Atlantic City Electric Co. 6.38% 2005 ............................................ 60,000 60,980
Cleveland Electric Illuminating Co., Series B 7.19% 2000 ......................... 50,000 50,418
Pacificorp 6.38% 2008 ............................................................ 250,000 254,070
Public Service Electric & Gas Co. 8.88% 2003 ..................................... 35,000 38,939
UtiliCorp United, Inc. 6.88% 2004 ................................................ 80,000 82,448
WESCO Distribution, Inc., Series B 9.13% 2008 .................................... 20,000 20,675
GAS & PIPELINE UTILITIES -- 0.6%
HNG Internorth, Inc. 9.63% 2006 .................................................. 140,000 161,617
KN Energy, Inc. 6.65% 2005 ....................................................... 200,000 204,030
TELEPHONE -- 0.8%
GTE Corp. 6.36% 2006 ............................................................. 210,000 212,437
MCI Communications Corp. 6.13% 2002(4) ........................................... 60,000 60,547
MGC Communications, Inc., Series B 13.00% 2004 ................................... 5,000 3,825
WorldCom, Inc. 7.55% 2004 ........................................................ 200,000 213,152
------------
1,363,138
------------
TOTAL BONDS & NOTES (cost $40,191,251) ........................................... 39,985,787
------------
</TABLE>
<TABLE>
<CAPTION>
WARRANTS -- 0.0%+ WARRANTS
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 0.0%
TELECOMMUNICATIONS -- 0.0%
KMC Telecom Holdings, Inc. 1/31/08*# (cost $55) .................................. 20 50
------------
TOTAL INVESTMENT SECURITIES (cost $53,666,904) ................................... 58,136,264
------------
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 1.4% AMOUNT
<S> <C> <C>
- ------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT & AGENCIES -- 1.4%
Federal Home Loan Mortgage Corp. 4.82% due 4/1/99 (cost $900,000) ................ $ 900,000 900,000
------------
</TABLE>
- ------------------
48
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENTS -- 4.7% AMOUNT VALUE
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 4.7%
Lehman Brothers Holding, Inc. Joint Repurchase Agreement Account (Note 3) ........ $1,625,000 $ 1,625,000
State Street Bank & Trust Co. Joint Repurchase Agreement Account (Note 3) ........ 1,298,000 1,298,000
------------
TOTAL REPURCHASE AGREEMENTS (cost $2,923,000) .................................... 2,923,000
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $57,489,904) 99.7% 61,959,264
Other assets less liabilities -- 0.3 161,810
--------- ----------
NET ASSETS -- 100.0% $62,121,074
--------- ----------
--------- ----------
</TABLE>
- -------------
+ Non-income producing securities
# Fair Valued Security; see Note 2
* Resale restricted to qualified institutional buyers
(1) PIK ("Payment In Kind") payment made with additional securities in lieu of
cash
(2) Represents a zero coupon bond which will convert to an interest-bearing
security at a later date
(3) Bond issued as part of unit which includes an equity component
(4) Variable rate security; rate as of March 31, 1999
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
TBA -- Securities purchased on a forward commitment basis with an approximate
principal amount and no definitive maturity date. The actual principal and
maturity date will be determined upon settlement date.
<TABLE>
<CAPTION>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
- ----------------------------------------------------------
GROSS
CONTRACT IN DELIVERY UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
<S> <C> <C> <C>
- ----------------------------------------------------------
*EUR 50,000 USD 58,731 07/22/99 $ 3,957
EUR 100,000 USD 118,032 07/22/99 9,206
EUR 10,000 USD 11,771 07/22/99 888
EUR 170,000 USD 200,107 07/22/99 15,103
EUR 45,000 USD 52,605 07/22/99 3,633
EUR 40,000 USD 44,542 07/22/99 1,012
EUR 30,000 USD 35,430 08/12/99 2,740
EUR 100,000 USD 118,100 08/12/99 9,135
EUR 60,000 USD 65,619 08/12/99 240
USD 81,444 EUR 75,000 08/12/99 280
-------
46,194
-------
<CAPTION>
GROSS
UNREALIZED
DEPRECIATION
- ----------------------------------------------------------
<S> <C> <C> <C>
*USD 62,929 EUR 55,000 07/22/99 (3,075)
-------
Net Unrealized Appreciation.............. $ 43,119
-------
-------
</TABLE>
- -------------
*Represents partially offsetting forward foreign currency contracts that to the
extent they are offset do not have additional market risk but have continued
counterparty settlement risk
EUR -- European Monetary Unit
USD -- United States Dollar
See Notes to Financial Statements
----------------
49
<PAGE>
- ----------------
SEASONS SERIES TRUST
MULTI-MANAGED INCOME
PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK -- 16.3% SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 1.8%
APPAREL & TEXTILES -- 0.0%
Oakley, Inc.+ ........................................ 1,900 $ 13,181
AUTOMOTIVE -- 0.3%
DaimlerChrysler AG+................................... 500 42,906
Federal-Mogul Corp. .................................. 850 36,550
Ford Motor Co. ....................................... 900 51,075
General Motors Corp. ................................. 500 43,438
RETAIL -- 1.5%
Amazon.com, Inc.+ .................................... 1,805 310,798
Costco Cos., Inc.+ ................................... 430 39,372
Dayton Hudson Corp. .................................. 480 31,980
Dollar Tree Stores, Inc.+ ............................ 105 3,248
eBay, Inc.+ .......................................... 425 58,358
Gap, Inc. ............................................ 1,500 100,969
Home Depot, Inc. ..................................... 1,000 62,250
Staples, Inc.+ ....................................... 1,205 39,614
Wal-Mart Stores, Inc. ................................ 1,000 92,188
-------------
925,927
-------------
CONSUMER STAPLES -- 0.2%
FOOD, BEVERAGE & TOBACCO -- 0.1%
Philip Morris Cos, Inc. .............................. 1,400 49,262
HOUSEHOLD PRODUCTS -- 0.1%
Colgate-Palmolive Co. ................................ 500 46,000
-------------
95,262
-------------
ENERGY -- 0.9%
ENERGY SERVICES -- 0.1%
Halliburton Co. ...................................... 700 26,950
Schlumberger Ltd. .................................... 300 18,056
ENERGY SOURCES -- 0.8%
Chevron Corp. ........................................ 500 44,219
Enron Corp. .......................................... 3,170 203,672
Exxon Corp. .......................................... 200 14,113
Mobil Corp. .......................................... 1,000 88,000
Royal Dutch Petroleum Co. GDR......................... 650 33,800
-------------
428,810
-------------
FINANCE -- 2.1%
BANKS -- 0.7%
Bank of New York Co., Inc. ........................... 3,055 109,789
Chase Manhattan Corp. ................................ 600 48,788
Fifth Third Bancorp................................... 515 33,958
First Union Corp. .................................... 400 21,375
Firstar Corp. ........................................ 905 80,997
</TABLE>
- ----------------
50
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
BANKS (CONTINUED)
Mellon Bank Corp. .................................... 400 $ 28,150
Summit Bancorp. ...................................... 600 23,400
FINANCIAL SERVICES -- 1.3%
American Express Co. ................................. 955 112,212
Associates First Capital Corp., Class A............... 800 36,000
Capital One Financial Corp. .......................... 600 90,600
Citigroup, Inc. ...................................... 600 38,325
Fannie Mae............................................ 600 41,550
Freddie Mac .......................................... 300 17,138
Household International, Inc. ........................ 1,000 45,625
Merrill Lynch & Co., Inc. ............................ 1,000 88,437
Morgan Stanley, Dean Witter & Co. .................... 1,000 99,937
PaineWebber Group, Inc. .............................. 900 35,888
Providian Financial Corp. ............................ 600 66,000
INSURANCE -- 0.1%
Progressive Corp. .................................... 180 25,830
The Hartford Financial Services Group, Inc. .......... 200 11,363
-------------
1,055,362
-------------
HEALTHCARE -- 2.4%
DRUGS -- 1.4%
Abbott Laboratories, Inc. ............................ 500 23,406
American Home Products Corp. ......................... 400 26,100
Amgen, Inc.+ ......................................... 600 44,925
Biogen, Inc.+ ........................................ 500 57,156
Bristol-Myers Squibb Co. ............................. 400 25,725
Centocor, Inc.+ ...................................... 825 30,525
Eli Lilly & Co. ...................................... 625 53,047
Merck & Co., Inc. .................................... 600 48,113
Pfizer, Inc. ......................................... 1,675 232,406
Pharmacia & Upjohn, Inc. ............................. 1,300 81,088
Sepracor, Inc.+ ...................................... 160 17,960
Warner-Lambert Co. ................................... 1,300 86,044
HEALTH SERVICES -- 0.2%
IMS Health, Inc. ..................................... 2,515 83,309
MEDICAL PRODUCTS -- 0.8%
Genzyme Corp.+ ....................................... 1,000 50,437
Guidant Corp. ........................................ 630 38,115
Johnson & Johnson Co. ................................ 800 74,950
Medtronic, Inc. ...................................... 1,697 121,760
Minimed, Inc.+ ....................................... 385 39,126
Schering-Plough Corp. ................................ 1,200 66,375
-------------
1,200,567
-------------
INDUSTRIAL & COMMERCIAL -- 0.5%
BUSINESS SERVICES -- 0.1%
Exodus Communications, Inc.+ ......................... 290 39,005
MACHINERY -- 0.1%
United Technologies Corp. ............................ 300 40,631
</TABLE>
----------------
51
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
MULTI-INDUSTRY -- 0.2%
Tyco International Ltd. .............................. 1,627 $ 116,737
TRANSPORTATION -- 0.1%
Burlington Northern Santa Fe Corp. ................... 450 14,794
Southwest Airlines Co. ............................... 1,215 36,754
-------------
247,921
-------------
INFORMATION & ENTERTAINMENT -- 1.8%
BROADCASTING & MEDIA -- 1.7%
Cablevision Systems Corp, Class A+ ................... 525 38,916
CBS Corp.+ ........................................... 700 28,656
Clear Channel Communications, Inc.+ .................. 900 60,356
Cox Communications, Inc, Class A+ .................... 570 43,106
DoubleClick, Inc.+ ................................... 280 50,978
Lamar Advertising Co.+ ............................... 774 26,268
MediaOne Group, Inc.+ ................................ 2,785 176,847
Outdoor Systems, Inc.+ ............................... 1,221 36,630
Penton Media, Inc. ................................... 360 8,100
Time Warner, Inc. .................................... 4,244 301,589
United International Holdings, Inc., Class A+ ........ 1,145 49,808
USA Networks, Inc.+ .................................. 305 10,923
ENTERTAINMENT PRODUCTS -- 0.0%
Mattel, Inc. ......................................... 1,000 24,875
LEISURE & TOURISM -- 0.1%
Carnival Corp......................................... 460 22,339
McDonald's Corp. ..................................... 600 27,187
-------------
906,578
-------------
INFORMATION TECHNOLOGY -- 5.3%
COMMUNICATION EQUIPMENT -- 0.7%
Lucent Technologies, Inc. ............................ 600 64,650
Nokia Corp., Class A ADR.............................. 1,785 278,014
COMPUTERS & BUSINESS EQUIPMENT -- 1.3%
Cisco Systems, Inc.+ ................................. 2,307 252,761
Dell Computer Corp.+ ................................. 1,800 73,575
EMC Corp.+ ........................................... 1,330 169,907
Hewlett-Packard Co. .................................. 200 13,563
Honeywell, Inc. ...................................... 200 15,163
International Business Machines Corp. ................ 750 132,937
ELECTRONICS -- 1.2%
Conexant Systems, Inc.+ .............................. 1,860 51,499
General Electric Co. ................................. 2,000 221,250
Intel Corp. .......................................... 900 107,212
Maxim Integrated Products, Inc.+ ..................... 485 26,251
Motorola, Inc. ....................................... 700 51,275
Pittway Corp., Class A................................ 810 21,465
Texas Instruments, Inc. .............................. 805 79,896
Vitesse Semiconductor Corp.+ ......................... 790 39,994
SOFTWARE -- 1.2%
America Online, Inc.+ ................................ 621 90,666
At Home Corp., Series A+ ............................. 70 11,025
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
SOFTWARE (CONTINUED)
CIBER, Inc.+ ......................................... 95 $ 1,823
Excite, Inc.+ ........................................ 1,025 143,500
Inktomi Corp. ........................................ 335 28,726
Microsoft Corp.+ ..................................... 3,260 292,177
Sapient Corp.+ ....................................... 660 47,108
TELECOMMUNICATIONS -- 0.9%
Comcast Corp, Class A................................. 3,120 196,365
Level 3 Communications, Inc.+ ........................ 2,050 149,265
Sprint (PCS) Corp.+ .................................. 1,360 60,265
Verisign, Inc. ....................................... 295 45,430
-------------
2,665,762
-------------
MATERIALS -- 0.2%
CHEMICALS -- 0.1%
du Pont (E.I.) de Nemours & Co. ...................... 300 17,419
Monsanto Co. ......................................... 680 31,237
FOREST PRODUCTS -- 0.1%
Georgia-Pacific Corp. ................................ 500 37,125
METALS & MINERALS -- 0.0%
Martin Marietta Materials, Inc. ...................... 200 11,413
-------------
97,194
-------------
UTILITIES -- 1.1%
ELECTRIC UTILITIES -- 0.1%
GPU, Inc. ............................................ 600 22,387
PECO Energy Co. ...................................... 700 32,375
TELEPHONE -- 1.0%
AT&T Corp. ........................................... 1,409 112,456
AT&T Corp. -- Liberty Media Group, Class A ........... 3,263 171,715
GTE Corp. ............................................ 300 18,150
MCI WorldCom, Inc.+ .................................. 1,440 127,530
SBC Communications, Inc. ............................. 400 18,850
Telecom Italia SpA GDR ............................... 5 522
Telecom Italia SpA ................................... 5,467 58,166
-------------
562,151
-------------
TOTAL COMMON STOCK (cost $6,194,615).................. 8,185,534
-------------
<CAPTION>
PREFERRED STOCK -- 0.0%
<S> <C> <C>
- -------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 0.0%
SOFTWARE -- 0.0%
Concentric Network Corp. 13.50%(1).................... 16 16,824
TELECOMMUNICATIONS -- 0.0%
Viatel, Inc., Series A 10.00%(1)...................... 4 861
-------------
17,685
-------------
TOTAL PREFERRED STOCK (cost $13,877).................. 17,685
-------------
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 80.0% AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 1.2%
APPAREL & TEXTILES -- 0.1%
True Temper Sports, Inc. 10.88% 2008.................. $ 50,000 $ 46,375
AUTOMOTIVE -- 0.3%
Accuride Corp., Series B 9.25% 2008................... 10,000 10,012
Delco Remy International, Inc. 8.63% 2007............. 25,000 25,500
Federal-Mogul Corp. 8.80% 2007........................ 30,000 31,707
LDM Technologies, Inc., Series B 10.75% 2007.......... 25,000 25,594
Mark IV Industries, Inc. 7.75% 2006................... 40,000 38,800
HOUSING -- 0.2%
Engle Homes, Inc., Series C 9.25% 2008................ 10,000 9,750
Falcon Building Products, Inc. zero coupon 2007(2).... 25,000 14,781
Falcon Building Products, Inc. 9.50% 2007............. 10,000 9,300
Nortek, Inc. 8.88% 2008* ............................. 5,000 5,138
Nortek, Inc., Series B 9.25% 2007..................... 25,000 26,062
Standard Pacific Corp. 8.50% 2007..................... 20,000 19,400
Toll Corp. 8.13% 2009................................. 15,000 15,038
Webb Delaware Corp. 10.25% 2010....................... 25,000 25,250
RETAIL -- 0.6%
Amazon.com, Inc. zero coupon 2008(2).................. 28,000 18,480
Amazon.com, Inc., convertible 4.75% 2009*............. 23,000 28,922
Disco SA 9.88% 2008................................... 20,000 17,250
Duane Reade, Inc. 9.25% 2008.......................... 45,000 46,688
Fred Meyer, Inc. 7.38% 2005........................... 55,000 56,709
J.C. Penney Co., Inc. 7.40% 2037...................... 105,000 109,136
Stater Brothers Holdings, Inc. 9.00% 2004............. 10,000 9,950
-------------
589,842
-------------
CONSUMER STAPLES -- 1.0%
FOOD, BEVERAGE & TOBACCO -- 0.9%
Aurora Foods, Inc. 9.88% 2007......................... 15,000 16,144
Aurora Foods, Inc., Series B 8.75% 2008............... 5,000 5,200
B & G Foods Corp. 9.63% 2007.......................... 25,000 24,562
Delaware Monte Foods Co., Series B zero coupon 2007... 26,000 19,337
Nash Finch Co. 8.50% 2008............................. 35,000 30,975
New World Pasta Co. 9.25% 2009*....................... 5,000 5,094
Panamerican Beverages, Inc. 8.13% 2003................ 80,000 77,805
Seagram Joseph E & Sons, Inc. 7.50% 2018.............. 300,000 302,178
HOUSEHOLD PRODUCTS -- 0.1%
Purina Mills Inc. 9.00% 2010.......................... 15,000 12,038
Revlon Consumer Products Corp. 9.00% 2006............. 15,000 15,000
Revlon Worldwide Corp., Series B zero coupon
2001(2) ............................................. 20,000 12,200
-------------
520,533
-------------
ENERGY -- 1.6%
ENERGY SERVICES -- 0.1%
Dailey International, Inc. 9.50% 2008................. 25,000 10,000
Pride Petroleum Services, Inc. 9.38% 2007............. 25,000 24,000
Tuboscope, Inc., 7.50% 2008........................... 30,000 26,478
</TABLE>
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<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
ENERGY SOURCES -- 1.5%
Abraxas Petroleum Corp. 11.50% 2004................... $ 15,000 $ 9,000
Calpine Corp. 8.75% 2007.............................. 30,000 30,621
Cross Timbers Oil Co., Series B 9.25% 2007............ 25,000 24,250
Cross Timbers Oil Co., Series B 8.75% 2009............ 15,000 14,250
Energy Corp. America, Series A 9.50% 2007............. 45,000 41,906
Enron Corp. 6.75% 2004................................ 125,000 125,799
Newfield Exploration Co. 7.45% 2007................... 120,000 112,546
Petroleos Mexicanos 9.38% 2008* ...................... 80,000 82,100
Sonat, Inc. 6.88% 2005................................ 135,000 137,300
Tesoro Petroleum Corp., Series B 9.00% 2008........... 10,000 9,925
YPF Sociedad Anonima 10.00% 2028...................... 150,000 164,869
-------------
813,044
-------------
FINANCE -- 13.3%
BANKS -- 3.4%
Banc One Corp. 8.00% 2027............................. 55,000 61,683
Bank One Corp. 7.25% 2004............................. 135,000 141,916
Bank One Columbus Corp. 7.38% 2002.................... 40,000 41,573
Banponce Financial Corp. 6.75% 2001................... 125,000 125,628
Credit National 7.00% 2005............................ 100,000 101,257
First Republic Bancorp 7.75% 2012..................... 55,000 54,767
First Union-Lehman Brothers Commercial Mortgage Corp.,
Class A 6.60% 2007................................... 245,000 249,422
Korea Development Bank 7.13% 2001..................... 30,000 29,410
National City Corp. 7.20% 2005........................ 200,000 207,186
NBD Bank SA 8.25% 2024................................ 55,000 64,263
NCNB Corp. 9.38% 2009................................. 80,000 97,987
Royal Bank Scotland Group PLC 6.40% 2009.............. 300,000 298,032
United States Bancorp 7.50% 2026...................... 210,000 230,674
Werner Holding Delaware, Inc. 10.00% 2007............. 10,000 10,050
Western Financial Savings Bank 8.88% 2007............. 30,000 22,500
FINANCIAL SERVICES -- 7.2%
Aesop Funding II LLC 6.14% 2006* ..................... 120,000 119,892
Aesop Funding II LLC 6.22% 2001*...................... 130,000 131,109
Allstate Financing II 7.83% 2045...................... 53,000 55,069
American General Finance Corp. 6.25% 2002............. 300,000 302,520
AMRESCO, Inc., Class A 9.88% 2005..................... 10,000 7,625
Arcadia Financial Ltd. 11.50% 2007(3)................. 10,000 8,075
Asset Securitization Corp., Class A 6.66% 2041........ 85,000 86,438
Associates Corp. of North America 5.75% 2003.......... 75,000 74,516
Associates Corp. of North America 7.63% 2004.......... 130,000 139,598
ContiFinancial Corp., Class A 8.13% 2008.............. 30,000 19,350
CS First Boston Mortgage Securities Corp. 7.24%
2029................................................. 110,000 114,991
Dime Capital Trust I, Series A 9.33% 2027............. 45,000 47,823
Equitable Cos., Inc. 7.00% 2028....................... 130,000 130,214
Finova Capital Corp. 6.63% 2001....................... 125,000 127,104
Finova Capital Corp., Series C 6.39% 2002............. 95,000 95,797
Fleet Mortgage Group, Inc. 6.84% 2003................. 50,000 51,635
Ford Motor Credit Corp. 7.02% 2000.................... 125,000 127,969
GE Capital Mortgage Services, Inc. 6.25% 2023......... 24,606 24,560
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
General Electric Capital Corp. 8.70% 2007............. $ 250,000 $ 292,107
General Motors Acceptance Corp. 7.63% 2003............ 130,000 138,125
Liberty Financial Companies, Inc. 6.75% 2008.......... 130,000 126,620
Morgan Stanley Capital I, Inc. 7.22% 2007*............ 130,000 135,379
Popular North America, Inc. 6.63% 2002................ 40,000 39,978
Private Export Funding Corp. 6.31% 2004............... 100,000 102,570
Private Export Funding Corp. 7.03% 2003............... 100,000 105,462
Private Export Funding Corp. 7.30% 2002............... 265,000 278,457
Private Export Funding Corp. 7.90% 2000............... 100,000 102,417
Sprint Capital Corp. 6.13% 2008....................... 180,000 176,953
Tembec Finance Corp. 9.88% 2005....................... 25,000 26,000
Toyota Motor Credit Corp. 5.63% 2003.................. 150,000 148,300
U.S. West Capital Funding, Inc. 6.25% 2005............ 165,000 167,097
U.S. West Capital Funding, Inc. 6.88% 2028............ 100,000 100,073
INSURANCE -- 2.7%
AAG Holding, Inc. 6.88% 2008.......................... 120,000 115,941
Abbey National PLC 6.69% 2005......................... 270,000 274,863
CIGNA Corp. 7.40% 2007................................ 95,000 99,584
CIGNA Corp. 7.88% 2027................................ 40,000 41,860
Conseco, Inc. 6.40% 2003.............................. 130,000 125,425
Conseco, Inc. 6.80% 2005.............................. 40,000 38,572
Florida Windstorm Underwriting Associates, Inc. 7.13%
2019................................................. 350,000 351,127
Jackson National Life Insurance Co. 8.15% 2027* ...... 49,000 53,119
Lumbermens Mutual Casualty Co. 8.30% 2037* ........... 85,000 86,672
Metropolitan Life Insurance Co. 7.70% 2015* .......... 140,000 147,675
RBF Finance Corp. 11.38% 2009......................... 25,000 26,437
-------------
6,701,446
-------------
HEALTHCARE -- 1.2%
HEALTH SERVICES -- 0.4%
Beverly Enterprises, Inc. 9.00% 2006.................. 10,000 9,850
Columbia/HCA Healthcare Corp. 7.00% 2007.............. 5,000 4,495
Columbia/HCA Healthcare Corp. 7.25% 2008.............. 25,000 22,827
HEALTHSOUTH Corp. 6.88% 2005(3)....................... 120,000 116,946
Tenet Healthcare Corp. 7.88% 2003..................... 50,000 49,625
Tenet Healthcare Corp. 8.13% 2008*(3)................. 20,000 19,575
MEDICAL PRODUCTS -- 0.8%
Allegiance Corp. 7.00% 2026........................... 270,000 272,454
Beckman Instruments, Inc 7.10% 2003 .................. 75,000 74,211
Beckman Instruments, Inc. 7.45% 2008.................. 25,000 24,534
Owens & Minor, Inc. 10.88% 2006....................... 20,000 21,675
-------------
616,192
-------------
INDUSTRIAL & COMMERCIAL -- 2.5%
AEROSPACE & MILITARY TECHNOLOGY -- 0.6%
K & F Industries, Inc., Series B 9.25% 2007........... 40,000 40,950
SCL Term Aereo Santiago SA 6.95% 2012................. 250,000 244,060
United Industries Corp. 9.88% 2009.................... 5,000 5,125
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
BUSINESS SERVICES -- 1.1%
Allied Waste North America, Inc. 7.63% 2006........... $ 40,000 $ 39,000
Boise Cascade Office Products Co. 7.05% 2005.......... 255,000 244,874
Federal Express Corp. 6.72% 2022...................... 179,948 178,007
Fisher Scientific International, Inc. 9.00% 2008...... 20,000 20,200
Iron Mountain, Inc. 8.75% 2009........................ 25,000 25,625
World Color Press, Inc. 8.38% 2008*................... 30,000 30,150
ELECTRICAL EQUIPMENT -- 0.0%
Westinghouse Air Brake Co. 9.38% 2005*................ 10,000 10,200
MACHINERY -- 0.3%
Cincinnati Milacron, Inc. 7.88% 2000.................. 135,000 136,084
Grove Worldwide LLC, Inc. 9.25% 2008*(3).............. 5,000 4,100
Johnstown America Industries, Inc. 11.75% 2005........ 10,000 10,825
Numatics, Inc., Series B 9.63% 2008................... 10,000 8,925
MULTI-INDUSTRY -- 0.0%
American Standard, Inc. 7.63% 2010.................... 15,000 14,700
TRANSPORTATION -- 0.5%
AMR Corp. 10.20% 2020................................. 50,000 63,675
Continental Airlines, Inc. 6.47% 2004................. 95,000 94,342
Continental Airlines, Inc. 6.65% 2019................. 74,231 73,186
MTL, Inc., Series B 10.00% 2006*...................... 15,000 14,850
-------------
1,258,878
-------------
INFORMATION & ENTERTAINMENT -- 2.2%
BROADCASTING & MEDIA -- 1.9%
Adelphia Communications Corp. 8.38% 2008.............. 15,000 15,375
Allbritton Communications Co., Series B 8.88% 2008.... 20,000 20,350
AMC Entertainment, Inc. 9.50% 2009.................... 40,000 38,200
Benedek Communications Corp. zero coupon 2006(2)...... 35,000 26,600
Bresnan Communications Group zero coupon 2009(2)* .... 25,000 17,031
Century Communications Corp., Series B zero coupon
2008(2).............................................. 65,000 30,225
Charter Communications Holdings 8.63% 2009* .......... 45,000 46,181
Classic Cable, Inc. 9.88% 2008*....................... 5,000 5,325
Comcast Cable Communications Corp. 8.50% 2027......... 80,000 94,354
Crown Castle International Corp. zero coupon
2007(2).............................................. 45,000 31,781
Echostar DBS Corp. 9.38% 2009*........................ 45,000 46,688
Falcon Holding Group LP, Series B zero coupon
2010(2).............................................. 10,000 6,950
Falcon Holding Group LP, Series B 8.38% 2010.......... 20,000 20,200
Frontiervision Holdings, LP zero coupon 2007(2)....... 30,000 25,800
Frontiervision Holdings, LP zero coupon 2007(2)* ..... 20,000 17,425
Granite Broadcasting Corp. 8.88% 2008* ............... 25,000 25,125
Jacor Communications, Inc. 9.75% 2006................. 10,000 11,000
LIN Holdings Corp. zero coupon 2008(2)* .............. 40,000 28,200
News America Holdings, Inc. 8.00% 2016................ 130,000 139,932
Price Communications Wireless, Inc., Series B 9.13%
2006................................................. 30,000 31,275
RCN Corp. zero coupon 2008(2)......................... 50,000 30,750
Scholastic Corp. 7.00% 2003........................... 85,000 86,311
Sullivan Graphics, Inc. 12.75% 2005................... 30,000 30,900
TV Guide, Inc. 8.13% 2009*............................ 25,000 25,375
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
BROADCASTING & MEDIA (CONTINUED)
Viacom, Inc. 7.75% 2005............................... $ 80,000 $ 85,302
Young Broadcasting, Inc. 8.75% 2007................... 30,000 30,900
ENTERTAINMENT PRODUCTS -- 0.0%
Bell Sports, Inc. 11.00% 2008......................... 25,000 25,625
LEISURE & TOURISM -- 0.3%
Argosy Gaming Co. 13.25% 2004......................... 15,000 16,950
Fitzgeralds Gaming Corp., Series B 12.25% 2004........ 5,000 2,625
Loews Ciniplex Entertainment Corp. 8.88% 2008* ....... 45,000 44,887
Station Casinos, Inc. 8.88% 2008...................... 30,000 30,750
Tricon Global Restaurants, Inc. 7.65% 2008............ 30,000 31,260
-------------
1,119,652
-------------
INFORMATION TECHNOLOGY -- 2.2%
COMMUNICATION EQUIPMENT -- 0.0%
L 3 Communications Corp. 8.00% 2008................... 20,000 20,200
ELECTRONICS -- 0.1%
Advanced Micro Devices, Inc. 11.00% 2003.............. 20,000 20,600
Amphenol Corp. 9.88% 2007............................. 5,000 5,194
SOFTWARE -- 0.2%
Concentric Network Corp. 12.75% 2007.................. 35,000 39,900
PSInet, Inc. 10.00% 2005.............................. 25,000 26,375
PSInet, Inc. 11.50% 2008* ............................ 15,000 16,950
TELECOMMUNICATIONS -- 1.9%
AMSC Acquisition, Inc. 12.25% 2008.................... 5,000 2,488
BTI Telecom Corp. 10.50% 2007......................... 10,000 9,100
Compania De Telecomunicaciones 7.63% 2006............. 50,000 47,814
Compania De Telecomunicaciones 8.38% 2006............. 60,000 60,289
Covad Communications Group, Inc. 12.50% 2009.......... 15,000 15,000
E.Spire Communications, Inc. zero coupon 2008(2)* .... 35,000 16,450
Emmis Communications Corp. 8.13% 2009................. 10,000 10,100
Fairchild Semiconductor Corp. 10.13% 2007............. 25,000 24,750
GCI, Inc. 9.75% 2007.................................. 35,000 35,350
Globalstar LP 10.75% 2004............................. 15,000 9,000
GST Telecommunications, Inc. zero coupon
2008*(2)(3) ......................................... 20,000 10,400
Hyperion Telecommunications, Inc. 12.25% 2004......... 25,000 27,187
Intermedia Communications, Inc. zero coupon
2009(2)* ............................................ 25,000 15,781
Intermedia Communications, Inc. 8.88% 2007............ 45,000 45,788
Iridium LLC 10.88% 2005............................... 10,000 4,675
Iridium LLC 11.25% 2005............................... 5,000 1,900
ITC Deltacom, Inc. 8.88% 2008......................... 10,000 10,050
ITC Deltacom, Inc. 9.75% 2008......................... 10,000 10,500
IXC Communications, Inc. 9.00% 2008................... 30,000 31,200
KMC Telecom Holdings, Inc. zero coupon 2008(2)........ 20,000 10,900
Level 3 Communications, Inc. 9.13% 2008............... 15,000 15,037
McleodUSA, Inc. 8.38% 2008............................ 15,000 15,000
MJD Communications, Inc. 9.50% 2008................... 30,000 30,300
Nextel Communications, Inc. zero coupon 2007(2)....... 75,000 53,250
</TABLE>
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58
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
Nextlink Communications, Inc. zero coupon 2008(2)..... $ 55,000 $ 35,200
NTL, Inc. zero coupon 2008(2)* ....................... 55,000 37,537
Paging Network, Inc. 10.13% 2007...................... 30,000 26,400
Qwest Communications International, Inc. 7.50%
2008*................................................ 10,000 10,411
Rogers Cantel, Inc. 8.30% 2007........................ 20,000 20,900
Rogers Cantel, Inc. 9.38% 2008........................ 10,000 10,950
RSL Communications Plc 12.00% 2008.................... 30,000 32,962
Tele-Communications, Inc. 7.25% 2005.................. 40,000 42,475
Tele-Communications, Inc. 8.00% 2005.................. 50,000 54,772
Tele-Communications, Inc. 9.25% 2002.................. 60,000 65,916
Telecommunications Techniques Co. LLC 9.75% 2008...... 25,000 24,875
Time Warner Telecom, Inc. 9.75% 2008.................. 35,000 37,450
Verio, Inc. 10.38% 2005............................... 20,000 21,400
Verio, Inc. 11.25% 2008*.............................. 10,000 11,250
Viatel, Inc. 11.25% 2008(3)........................... 10,000 10,125
-------------
1,084,151
-------------
MATERIALS -- 1.1%
CHEMICALS -- 0.4%
Acetex Corp. 9.75% 2003............................... 30,000 28,762
Arco Chemical Co. 9.80% 2020.......................... 20,000 19,778
Huntsman Corp. 9.50% 2007*............................ 15,000 14,775
ICI Wilmington, Inc. 6.95% 2004....................... 80,000 81,022
LaRoche Industries, Inc., Series B 9.50% 2007......... 10,000 7,250
Pioneer Americas Acquisition Corp., Series B 9.25%
2007................................................. 25,000 20,750
Scotts Co., Series B 8.63% 2009....................... 10,000 10,325
Sovereign Speciality Chemicals Corp., Series B 9.50%
2007................................................. 15,000 15,544
FOREST PRODUCTS -- 0.4%
American Pad & Paper Co., Series B 13.00% 2005........ 10,000 6,100
Boise Cascade Corp. 9.90% 2001........................ 80,000 83,843
Container Corp. of America, Series B 10.75% 2002...... 10,000 10,662
Gaylord Container Corp. 9.38% 2007.................... 10,000 9,513
Grupo Industrial Durango SA de CV 12.63% 2003......... 10,000 9,600
Pacifica Papers, Inc. 10.00% 2009* ................... 20,000 20,450
Packaging Corp of America 9.63% 2009*................. 10,000 10,251
Repap New Brunswick, Inc. 9.00% 2004.................. 10,000 9,650
Tembec Industries, Inc 8.63% 2009..................... 5,000 5,069
METALS & MINERALS -- 0.3%
AK Steel Corp. 7.88% 2009*............................ 10,000 10,000
AK Steel Corp. 9.13% 2006* ........................... 30,000 31,725
Armco, Inc. 8.88% 2008................................ 30,000 30,825
Armco, Inc. 9.00% 2007 ............................... 10,000 10,350
Bayou Steel Corp. 9.50% 2008.......................... 15,000 14,738
Consumers Packaging, Inc. 9.75% 2007* ................ 10,000 10,275
Neenah Corp., Series E 11.13% 2007* .................. 10,000 10,475
Neenah Corp., Series B 11.13% 2007.................... 10,000 10,475
P L Coal Holdings Corp. 9.63% 2008.................... 30,000 31,387
</TABLE>
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59
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS (CONTINUED)
METALS & MINERALS (CONTINUED)
Weirton Steel Corp. 11.38% 2004....................... $ 5,000 $ 4,800
-------------
528,394
-------------
MUNICIPAL BONDS -- 1.9%
MUNICIPAL BONDS -- 1.9%
Allentown Pennsylvania 6.20% 2005..................... 290,000 293,106
Fresno County California Pension Obligation 6.07%
2003................................................. 100,000 101,046
Hudson County New Jersey Improvement Authority
Facility 6.55% 2002.................................. 200,000 204,540
Huntsville Alabama Solid Waste Disposal Authority
5.95% 2003........................................... 105,000 104,388
Miami Florida Revenue 7.25% 2003...................... 130,000 136,514
Phoenix Arizona Civic Improvement Corp. 6.30% 2008.... 100,000 99,642
-------------
939,236
-------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.4%
FOREIGN GOVERNMENT -- 0.4%
Republic of Columbia 10.88% 2004...................... 145,000 151,344
Republic of Lithuania 7.13% 2002*#.................... 53,000 49,820
-------------
201,164
-------------
REAL ESTATE -- 0.5%
REAL ESTATE COMPANIES -- 0.5%
Equity Office Properties Operating LP 6.38% 2003...... 120,000 119,129
Post Apartment Homes LP 7.02% 2001.................... 130,000 132,589
-------------
251,718
-------------
U.S. GOVERNMENT & AGENCIES -- 48.1%
U.S. GOVERNMENT & AGENCIES -- 48.1%
Federal Home Loan Mortgage Corp. 6.00% 2013........... 394,830 392,362
Federal Home Loan Mortgage Corp. 6.00% 2028........... 499,702 486,115
Federal Home Loan Mortgage Corp. 6.50% 2022........... 160,000 158,899
Federal Home Loan Mortgage Corp. 6.50% 2023........... 96,000 96,240
Federal Home Loan Mortgage Corp. 7.00% 2023........... 45,000 45,956
Federal Home Loan Mortgage Corp. 7.50% 2023........... 29,314 30,130
Federal Home Loan Mortgage Corp. 7.50% 2027........... 398,220 409,294
Federal Home Loan Mortgage Corp. 7.50% 2028........... 321,817 330,767
Federal Home Loan Mortgage Corp. 7.75% 2022........... 120,211 123,968
Federal Home Loan Mortgage Corp. 8.50% 2008........... 190,259 197,128
Federal Home Loan Mortgage Corp. 8.50% 2019........... 52,004 54,790
Federal National Mortgage Association 5.25% 2003...... 510,000 506,175
Federal National Mortgage Association 5.63% 2001...... 515,000 518,945
Federal National Mortgage Association 5.65% 2005...... 43,940 43,937
Federal National Mortgage Association 5.75% 2008...... 740,000 735,375
Federal National Mortgage Association 6.00% 2014...... 494,155 490,449
Federal National Mortgage Association 6.00% 2028...... 1,000,331 972,191
Federal National Mortgage Association 6.00% TBA....... 200,000 198,500
Federal National Mortgage Association 6.18% 2008...... 24,826 24,916
Federal National Mortgage Association 6.27% 2007...... 84,199 85,014
Federal National Mortgage Association 6.30% 2008...... 44,558 45,061
</TABLE>
- ----------------
60
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES (CONTINUED)
U.S. GOVERNMENT & AGENCIES (CONTINUED)
Federal National Mortgage Association 6.34% 2008...... $ 19,649 $ 19,921
Federal National Mortgage Association 6.36% 2008...... 128,957 131,043
Federal National Mortgage Association 6.39% 2006...... 19,361 19,665
Federal National Mortgage Association 6.43% 2008...... 24,707 25,189
Federal National Mortgage Association 6.50% 2013...... 499,950 504,480
Federal National Mortgage Association 6.59% 2007...... 98,666 101,548
Federal National Mortgage Association 6.91% 2007...... 310,295 324,498
Federal National Mortgage Association 6.98% 2007...... 24,519 25,737
Federal National Mortgage Association 7.00% 2006...... 753 750
Federal National Mortgage Association 7.04% 2007...... 78,607 82,770
Federal National Mortgage Association 7.28% 2006...... 44,101 46,943
Federal National Mortgage Association 7.39% 2021...... 51,098 53,800
Federal National Mortgage Association 7.75% 2021...... 200,000 204,874
Federal National Mortgage Association 8.00% 2006...... 43,401 45,015
Government National Mortgage Association 7.00% 2023... 13,891 14,130
Government National Mortgage Association 7.00% 2023... 21,240 21,605
Government National Mortgage Association 7.00% 2023... 17,981 18,290
Government National Mortgage Association 7.25% 2027... 441,779 451,786
Government National Mortgage Association 7.50% 2022... 18,931 19,534
Government National Mortgage Association 7.50% 2023... 61,473 63,432
Government National Mortgage Association 7.50% 2027... 483,805 498,319
Government National Mortgage Association 8.50% 2017... 43,659 46,319
Government National Mortgage Association 8.50% 2017... 18,571 19,703
Government National Mortgage Association 9.00% 2021... 17,152 18,411
Overseas Private Investment Corp. 6.99% 2009.......... 145,000 149,525
United States Treasury Bonds 5.25% 2028............... 335,000 312,441
United States Treasury Bonds 5.50% 2028............... 35,000 33,496
United States Treasury Bonds 7.50% 2016............... 1,100,000 1,291,642
United States Treasury Bonds 8.13% 2021............... 120,000 152,363
United States Treasury Bonds 8.50% 2020............... 180,000 235,265
United States Treasury Bonds 9.25% 2016............... 1,000,000 1,358,280
United States Treasury Bonds 11.88% 2003.............. 860,000 1,087,496
United States Treasury Bonds 12.00% 2013.............. 6,050,000 8,810,313
United States Treasury Notes 4.63% 2000............... 175,000 173,934
United States Treasury Notes 4.75% 2004............... 250,000 246,173
United States Treasury Notes 4.75% 2008............... 475,000 457,558
United States Treasury Notes 5.00% 2001............... 520,000 520,083
United States Treasury Notes 5.63% 2008............... 200,000 203,594
United States Treasury Notes 5.75% 2000............... 150,000 151,641
United States Treasury Notes 6.63% 2001............... 100,000 103,391
United States Treasury Strip Bonds zero coupon 2012... 325,000 153,627
-------------
24,144,796
-------------
UTILITIES -- 2.8%
ELECTRIC UTILITIES -- 1.1%
Atlantic City Electric Co. 6.38% 2005................. 75,000 76,226
Cleveland Electric Illuminating Co., Series B 7.19%
2000................................................. 65,000 65,543
Pacificorp 6.38% 2008 ................................ 250,000 254,070
Public Service Electric & Gas Co. 8.88% 2003.......... 47,000 52,289
UtiliCorp United, Inc. 6.88% 2004..................... 90,000 92,754
</TABLE>
----------------
61
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
ELECTRIC UTILITIES (CONTINUED)
WESCO Distribution, Inc., Series B 9.13% 2008......... $ 20,000 $ 20,675
GAS & PIPELINE UTILITIES -- 0.7%
HNG Internorth, Inc. 9.63% 2006....................... 135,000 155,846
KN Energy, Inc. 6.65% 2005............................ 175,000 178,526
TELEPHONE -- 1.0%
GTE Corp. 6.36% 2006.................................. 220,000 222,552
MCI Communications Corp. 6.13% 2002................... 55,000 55,501
MGC Communications, Inc. 13.00% 2004.................. 5,000 3,825
WorldCom, Inc. 7.55% 2004............................. 230,000 245,125
-------------
1,422,932
-------------
TOTAL BONDS & NOTES (cost $40,393,159)................ 40,191,978
-------------
<CAPTION>
WARRANTS -- 0.0%+ WARRANTS
<S> <C> <C>
- -------------------------------------------------------------------------------------
INFORMATION TECHNOLOGY -- 0.0%
TELECOMMUNICATIONS -- 0.0%
KMC Telecom Holdings, Inc. 01/31/08*# (cost $55)...... 20 50
-------------
TOTAL INVESTMENT SECURITIES (cost $46,601,706)........ 48,395,247
-------------
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 0.6% AMOUNT
<S> <C> <C>
- -------------------------------------------------------------------------------------
U.S. GOVERNMENT & AGENCIES -- 0.6%
Federal Home Loan Mortgage Corp. 4.82% due 4/1/99
(cost $300,000)...................................... $ 300,000 300,000
-------------
<CAPTION>
REPURCHASE AGREEMENT -- 2.9%
<S> <C> <C>
- -------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 2.9%
Lehman Brothers Holding, Inc. Joint Repurchase
Agreement Account (Note 3)
(cost $1,440,000).................................... 1,440,000 1,440,000
-------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $48,341,706) 99.8% 50,135,247
Other assets less liabilities -- 0.2 114,711
------- -------------
NET ASSETS -- 100.0% $ 50,249,958
------- -------------
------- -------------
</TABLE>
- -------------
* Resale restricted to qualified institutional buyers
+ Non-income producing securities
# Fair valued security; see Note 2
(1) PIK ("Payment in Kind") payment made with additional securities in lieu of
cash
(2) Represents zero coupon bond which will convert to an interest-bearing
security at a later date.
(3) Bond issued as part of a unit which includes an equity component.
ADR-- American Depository Receipt
GDR-- Global Depository Receipt
TBA -- Securities purchased on a forward commitment basis with an approximate
principal amount and no definitive maturity date. The actual principal and
maturity date will be determined upon settlement date.
- ----------------
62
<PAGE>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
<TABLE>
<CAPTION>
- ---------------------------------------------------
IN GROSS
CONTRACT EXCHANGE DELIVERY UNREALIZED
TO DELIVER FOR DATE APPRECIATION
- ---------------------------------------------------
<S> <C> <C> <C>
EUR 25,000 USD 29,185 07/22/99 $ 1,979
EUR 25,000 USD 29,508 07/22/99 2,302
EUR 60,000 USD 70,626 07/22/99 5,330
EUR 3,000 USD 3,531 07/22/99 267
EUR 17,000 USD 19,873 07/22/99 1,373
*EUR 15,000 USD 16,703 07/22/99 379
USD 27,148 EUR 25,000 08/12/99 93
EUR 10,000 USD 11,810 08/12/99 913
EUR 40,000 USD 47,240 08/12/99 3,654
EUR 20,000 USD 21,873 08/12/99 80
-------
16,370
-------
<CAPTION>
GROSS
UNREALIZED
DEPRECIATION
- ---------------------------------------------------
<S> <C> <C> <C>
*USD 17,163 EUR 15,000 07/22/99 $ (839)
-------
Net Unrealized Appreciation........ $ 15,531
-------
-------
</TABLE>
- -------------
*Represents partially offsetting forward foreign currency contracts that to the
extent they are offset do not have additional market risk but have continued
counterparty settlement risk.
EUR -- European Monetary Unit
USD -- United States Dollar
See Notes to Financial Statements
----------------
63
<PAGE>
- ----------------
SEASONS SERIES TRUST
ASSET ALLOCATION:
DIVERSIFIED GROWTH
PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK -- 66.6% SHARES VALUE
<S> <C> <C>
- -------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 6.9%
APPAREL & TEXTILES -- 0.1%
Gucci Group NV........................................ 1,941 $ 156,250
AUTOMOTIVE -- 0.9%
Bayerische Motoren Werke AG........................... 105 68,913
Bayerische Motoren Werke AG NV Preferred Class N...... 39 24,922
DaimlerChrysler AG+................................... 2,130 185,627
Ford Motor Co. ....................................... 5,527 313,657
General Motors Corp. ................................. 3,045 264,534
Honda Motor Co., Ltd. ................................ 5,000 225,901
Volkswagen AG......................................... 360 24,017
HOUSING -- 0.3%
CRH PLC............................................... 21,166 365,943
RETAIL -- 5.6%
Albertsons, Inc. ..................................... 1,150 62,459
Amazon.com, Inc.+..................................... 700 120,531
Best Buy Co., Inc.+................................... 3,400 176,800
Coles Myer Ltd. ...................................... 22,883 124,173
Costco Cos., Inc. +................................... 7,000 640,937
CVS Corp. ............................................ 12,200 579,500
Dayton Hudson Corp. .................................. 2,295 152,904
Federated Department Stores, Inc.+.................... 5,015 201,227
Gap, Inc. ............................................ 3,400 228,863
Home Depot, Inc. ..................................... 8,500 529,125
Kmart Corp.+.......................................... 11,200 188,300
Koninklijke Ahold NV.................................. 6,547 251,302
Kroger Co.+........................................... 4,800 287,400
Laurus NV............................................. 3,965 96,461
Marks & Spencer PLC................................... 12,534 82,511
May Department Stores Co. ............................ 3,705 144,958
Penney (J.C.), Inc. .................................. 1,145 46,373
Rite Aid Corp. ....................................... 4,610 115,250
Safeway, Inc.+........................................ 8,200 420,762
Sears, Roebuck & Co. ................................. 3,260 147,311
TJX Cos., Inc. ....................................... 11,700 397,800
Vendex NV............................................. 3,084 74,528
Wal-Mart Stores, Inc. ................................ 10,900 1,004,844
Walgreen Co. ......................................... 15,800 446,350
-------------
8,150,433
-------------
</TABLE>
- ----------------
64
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES -- 3.3%
FOOD, BEVERAGE & TOBACCO -- 2.1%
Anglian Water PLC..................................... 9,069 $ 111,279
Anheuser-Busch Cos., Inc. ............................ 3,590 273,513
Bass PLC.............................................. 12,164 164,868
Coca Cola Femsa SA ADR+............................... 3,315 54,076
ConAgra, Inc. ........................................ 5,600 143,150
Diageo PLC+........................................... 25,835 290,097
General Mills, Inc. .................................. 880 66,495
Greencore Group PLC................................... 21,500 75,552
Groupe Danone......................................... 558 140,638
H.J. Heinz & Co. ..................................... 4,395 208,213
Kellogg Co. .......................................... 2,580 87,236
Nabisco Holdings Corp., Class A....................... 1,211 50,332
Nestle SA+............................................ 52 94,706
PepsiCo, Inc. ........................................ 1,300 50,944
Philip Morris Cos, Inc. .............................. 7,276 256,024
Quaker Oats Co. ...................................... 2,621 163,976
RJR Nabisco Holdings Corp. ........................... 4,550 113,750
Seagram Co., Ltd. .................................... 1,400 70,000
HOUSEHOLD PRODUCTS -- 1.2%
Clorox Co. ........................................... 2,300 269,531
Colgate-Palmolive Co. ................................ 2,540 233,680
Estee Lauder Cos., Inc., Class A...................... 3,000 283,500
Fort James Corp. ..................................... 1,625 51,492
Kimberly-Clark Corp. ................................. 3,025 145,011
Procter & Gamble Co. ................................. 2,450 239,947
Shiseido Co. Ltd. .................................... 16,000 221,594
-------------
3,859,604
-------------
ENERGY -- 3.4%
ENERGY SERVICES -- 0.4%
Bouygues SA........................................... 472 131,160
Halliburton Co. ...................................... 2,200 84,700
Schlumberger Ltd. .................................... 3,135 188,688
Tosco Corp. .......................................... 2,705 67,118
ENERGY SOURCES -- 3.0%
Atlantic Richfield Co. ............................... 3,645 266,085
BP Amoco PLC.......................................... 2,868 289,489
Burmah Castrol PLC.................................... 11,249 172,534
Chevron Corp. ........................................ 2,950 260,891
Conoco, Inc., Class A+................................ 6,955 170,832
ENI SpA............................................... 23,315 148,735
Enron Corp. .......................................... 2,425 155,806
Exxon Corp. .......................................... 11,550 814,997
Iberdrola SA.......................................... 6,738 99,956
Mobil Corp. .......................................... 3,465 304,920
Occidental Petroleum Corp. ........................... 4,100 73,800
Royal Dutch Petroleum Co. GDR......................... 2,500 130,000
Societe Nationale Elf Aquitaine SA.................... 3,060 416,225
Sonat, Inc. .......................................... 4,265 127,950
</TABLE>
----------------
65
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
ENERGY SOURCES (CONTINUED)
Texaco, Inc. ......................................... 2,800 $ 158,900
-------------
4,062,786
-------------
FINANCE -- 13.4%
BANKS -- 5.9%
Allied Irish Banks PLC................................ 12,894 223,066
Banca Popolare di Bergamo Credito Varesino SpA........ 2,288 58,137
Banca Popolare di Brescia............................. 2,127 65,775
Bank of Ireland....................................... 9,709 203,659
Bank of Nova Scotia Halifax........................... 8,840 187,694
Bank One Corp. ....................................... 7,941 437,251
BankAmerica Corp. .................................... 9,607 678,494
BankBoston Corp. ..................................... 5,140 222,626
Banque Nationale de Paris+............................ 3,865 336,830
Charter One Financial, Inc. .......................... 1,400 40,403
Chase Manhattan Corp. ................................ 2,952 240,034
Comerica, Inc. ....................................... 3,900 243,506
Commonwealth Bank of Australia........................ 9,301 152,699
Development Bank of Singapore Ltd. ................... 7,000 53,113
Fifth Third Bancorp................................... 3,000 197,813
First American Corp. ................................. 400 14,750
First Union Corp. .................................... 1,395 74,545
Firstar Corp. ........................................ 3,900 349,050
Huntington Bancshares, Inc. .......................... 1,000 30,938
Istituto Mobilare Italiano SpA........................ 8,494 138,221
Julius Baer Holdings AG............................... 70 227,525
Keppel Tatlee Bank.................................... 50,000 84,275
Lincoln National Corp. ............................... 775 76,628
MBNA Corp. ........................................... 11,100 265,012
Mercantile Bancorp, Inc. ............................. 2,355 111,863
National City Corp. .................................. 955 63,388
National Westminster Bank PLC......................... 13,489 309,247
Nordbanken AB+........................................ 6,282 35,950
Northern Trust Corp. ................................. 700 62,169
Overseas Union Bank Ltd. ............................. 8,000 28,265
PNC Bank Corp. ....................................... 4,180 232,251
Societe Generale Enterprises+......................... 2,114 406,865
Softbank Corp. ....................................... 2,100 235,511
Summit Bancorp. ...................................... 560 21,840
SunTrust Banks, Inc. ................................. 860 53,535
Svenska Handelsbank, Series A......................... 3,381 117,942
Synovus Financial Corp. .............................. 950 19,416
Takefuji Corp. ....................................... 900 69,164
U.S. Bancorp.......................................... 4,020 136,931
UBS AG+............................................... 1,309 412,263
FINANCIAL SERVICES -- 5.9%
Allied Zurich PLC+.................................... 21,058 283,884
American Express Co. ................................. 2,605 306,087
American General Corp. ............................... 6,535 460,717
Associates First Capital Corp., Class A............... 3,300 148,500
</TABLE>
- ----------------
66
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
Charles Schwab Corp. ................................. 2,400 $ 230,700
Citigroup, Inc. ...................................... 17,352 1,108,359
Compagnie Financiere Richemont AG+.................... 194 323,235
Credit Suisse Group................................... 485 90,663
Equitable Cos., Inc. ................................. 1,368 95,760
Fannie Mae............................................ 3,345 231,641
Freddie Mac........................................... 4,400 251,350
Fleet Financial Group, Inc. .......................... 3,500 131,688
ING Groep NV.......................................... 9,839 543,091
KeyCorp. ............................................. 2,971 90,058
Lehman Brothers Holdings, Inc. ....................... 1,500 89,625
Merrill Lynch & Co., Inc. ............................ 4,850 428,922
Morgan (J.P.) & Co., Inc. ............................ 1,948 240,335
Morgan Stanley, Dean Witter & Co. .................... 2,200 219,863
Nikko Securities Co. Ltd. ............................ 83,000 385,509
P & O Finance BV+..................................... 8,127 118,614
Promise Co. .......................................... 3,600 190,314
Providian Financial Corp. ............................ 3,800 418,000
Washington Mutual, Inc. .............................. 8,730 356,839
Wells Fargo & Co. .................................... 5,830 204,414
INSURANCE -- 1.6%
Aetna, Inc. .......................................... 745 61,835
Aflac, Inc. .......................................... 2,500 136,094
Allstate Corp. ....................................... 3,735 138,429
American International Group, Inc.(2) ................ 4,650 560,906
Aon Corp. ............................................ 3,260 206,195
AXA SA+............................................... 1,923 255,331
Chubb Corp. .......................................... 860 50,364
CIGNA Corp. .......................................... 3,695 309,687
Munchener Ruckvers.................................... 227 47,678
Munchener Ruckversicherungs AG+....................... 142 30,329
The Hartford Financial Services Group, Inc. .......... 1,130 64,198
-------------
15,727,858
-------------
HEALTHCARE -- 7.1%
DRUGS -- 4.9%
Allergan, Inc. ....................................... 1,500 131,813
Amgen, Inc.+.......................................... 3,100 232,113
Biogen, Inc.+......................................... 1,700 194,331
Bristol-Myers Squibb Co. ............................. 6,390 410,957
Eisai Co., Ltd. ...................................... 4,000 83,604
Eli Lilly & Co. ...................................... 4,200 356,475
Merck & Co., Inc. .................................... 11,270 903,713
Novartis AG........................................... 289 469,971
Pfizer, Inc. ......................................... 4,200 582,750
Pharmacia & Upjohn, Inc. ADR ......................... 4,407 277,416
Pharmacia & Upjohn, Inc. ............................. 14,500 904,437
Sankyo Co., Ltd. ..................................... 4,000 85,800
SmithKline Beecham PLC+............................... 10,272 148,345
Warner-Lambert Co. ................................... 11,100 734,681
</TABLE>
----------------
67
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
DRUGS (CONTINUED)
Yamanouchi Pharmaceutical Co., Ltd. .................. 9,000 $ 285,015
HEALTH SERVICES -- 0.3%
IMS Health, Inc. ..................................... 6,100 202,063
Quintiles Transnational Corp.+........................ 800 30,200
Tenet Healthcare Corp.+............................... 5,909 111,902
Wellpoint Health Networks, Inc., Class A+............. 250 18,953
MEDICAL PRODUCTS -- 1.9%
Akzo Nobel NV......................................... 8,128 301,442
American Home Products Corp. ......................... 8,980 585,945
Baxter International, Inc. ........................... 3,881 256,146
Cardinal Health, Inc, Class A......................... 3,200 211,200
Guidant Corp. ........................................ 2,600 157,300
Schering-Plough Corp. ................................ 12,500 691,406
-------------
8,367,978
-------------
INDUSTRIAL & COMMERCIAL -- 5.7%
AEROSPACE & MILITARY TECHNOLOGY -- 0.3%
Allied Signal, Inc. .................................. 3,810 187,404
Raytheon Co., Class A................................. 1,150 66,413
Raytheon Co., Class B................................. 2,410 141,286
BUSINESS SERVICES -- 1.5%
Benesse Corp.......................................... 100 8,082
Dai Nippon Printing Co. Ltd. ......................... 2,000 30,402
Electronic Data Systems Corp. ........................ 800 38,950
FDX Corp.+............................................ 1,800 167,062
Interpublic Group of Cos., Inc. ...................... 5,000 389,375
Owens-Illinois, Inc.+................................. 2,258 56,450
Solectron Corp.+...................................... 4,100 199,106
TNT Post Group NV+.................................... 5,051 152,373
Vedior NV+............................................ 3,966 91,983
Waste Management, Inc. ............................... 6,900 306,187
WPP Group PLC+........................................ 29,576 257,375
ELECTRICAL EQUIPMENT -- 0.3%
Emerson Electric Co. ................................. 4,010 212,279
Siebe PLC............................................. 33,240 146,374
MACHINERY -- 1.0%
Applied Materials, Inc.+.............................. 3,500 215,906
Bombardier, Inc., Class B+............................ 10,416 136,971
Cooper Industries, Inc. .............................. 1,875 79,922
Deere & Co. .......................................... 3,335 128,814
Illinois Tool Works, Inc. ............................ 100 6,188
United Technologies Corp. ............................ 4,045 547,845
MULTI-INDUSTRY -- 2.0%
Avery Dennison Corp. ................................. 1,425 81,938
Fomento Economico Mexicano SA, Class B ADR............ 2,856 88,357
Hutchison Whampoa Ltd. ............................... 8,000 62,972
Minnesota Mining & Manufacturing Co. ................. 1,800 127,350
</TABLE>
- ----------------
68
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
MULTI-INDUSTRY (CONTINUED)
Ogden Corp. .......................................... 850 $ 20,453
Sara Lee Corp. ....................................... 8,050 199,237
Securicor Group PLC................................... 23,774 210,148
Smiths Industries PLC................................. 12,699 185,958
Tomkins PLC........................................... 14,792 54,450
Tyco International Ltd. .............................. 12,100 868,175
Vivendi SA............................................ 1,992 490,862
TRANSPORTATION -- 0.6%
AMR Corp.+............................................ 1,000 58,563
British Airways PLC................................... 16,415 114,422
Burlington Northern Santa Fe Corp. ................... 6,775 222,728
Delta Air Lines, Inc. ................................ 2,315 160,892
Norfolk Southern Corp. ............................... 2,100 55,388
UAL Corp.+............................................ 1,400 108,850
-------------
6,677,490
-------------
INFORMATION & ENTERTAINMENT -- 3.8%
BROADCASTING & MEDIA -- 2.4%
Clear Channel Communications, Inc.+................... 900 60,356
EMI Group PLC+........................................ 28,719 205,289
Grupo Televisa SA de CV GDR+.......................... 4,245 133,187
McGraw-Hill Cos., Inc. ............................... 2,440 132,980
MediaOne Group, Inc.+................................. 4,663 296,100
News Corp. Ltd. ADR................................... 11,754 346,743
Television Francais................................... 241 45,315
Time Warner, Inc. .................................... 11,500 817,219
Times Mirror Co., Series A............................ 2,469 133,480
Tribune Co. .......................................... 1,000 65,438
Viacom, Inc, Class B+................................. 7,521 631,294
ENTERTAINMENT PRODUCTS -- 0.6%
Canon, Inc. .......................................... 8,400 207,845
Eastman Kodak Co. .................................... 2,962 189,198
Mattel, Inc. ......................................... 5,600 139,300
TDK Corp. ............................................ 2,000 161,973
LEISURE & TOURISM -- 0.8%
Carnival Corp, Class A................................ 7,500 364,219
Disney (Walt) Co. .................................... 1,300 40,463
Granada Group PLC..................................... 16,819 339,428
Tricon Global Restaurants, Inc.+...................... 2,800 196,700
-------------
4,506,527
-------------
INFORMATION TECHNOLOGY -- 15.6%
CELLULAR -- 0.1%
Telesp Celular Participacoes.......................... 5,788 121,186
COMMUNICATION EQUIPMENT -- 2.1%
3Com Corp.+........................................... 3,305 77,048
General Instrument Corp.+............................. 3,800 115,188
</TABLE>
----------------
69
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
COMMUNICATION EQUIPMENT (CONTINUED)
Lucent Technologies, Inc. ............................ 7,700 $ 829,675
Nokia Corp., Class A ADR.............................. 1,700 264,775
Nokia Corp., Class A+................................. 3,920 631,960
QUALCOMM, Inc.+....................................... 1,500 186,562
Tele Centro Sul Participacoes+........................ 2,602 120,180
Tellabs, Inc.+........................................ 2,300 224,825
COMPUTERS & BUSINESS EQUIPMENT -- 3.2%
Apple Computer, Inc.+................................. 3,050 109,609
Cisco Systems, Inc.+.................................. 3,200 350,600
Compaq Computer Corp. ................................ 6,181 195,860
Computer Sciences Corp.+.............................. 3,800 209,713
EMC Corp.+............................................ 4,400 562,100
Fujitsu Ltd. ......................................... 28,000 449,740
International Business Machines Corp. ................ 5,441 964,417
Micron Technology, Inc.+.............................. 2,700 130,275
NCR Corp.+............................................ 2,218 110,900
Pitney Bowes, Inc. ................................... 3,600 229,500
Ricoh Co. Ltd. ....................................... 8,000 83,571
Seagate Technology, Inc.+............................. 4,615 136,431
Xerox Corp. .......................................... 3,595 191,883
ELECTRONICS -- 3.3%
Advantest Corp.+ ..................................... 2,300 175,780
ASM Lithography Holdings NV+.......................... 1,656 74,520
Dixons Group PLC...................................... 8,826 186,669
General Electric Co. ................................. 13,175 1,457,484
Intel Corp. .......................................... 5,300 631,363
Matsushita Electric Industrial Co., Ltd.+............. 14,000 273,107
Motorola, Inc. ....................................... 4,035 295,564
Murata Manufacturing Co. Ltd. ........................ 1,000 53,203
Rohm Co. Ltd. ........................................ 1,000 119,495
Samsung Electronics Co., Ltd. GDR*.................... 4,018 164,135
ST Microelectronics NV+............................... 3,947 383,352
Toshiba Corp. ........................................ 16,000 109,311
SOFTWARE -- 2.1%
America Online, Inc.+................................. 3,000 438,000
Computer Associates International, Inc. .............. 3,684 131,012
Compuware Corp.+...................................... 3,100 74,013
Comverse Technology, Inc.+............................ 1,700 144,500
Microsoft Corp.+...................................... 14,000 1,254,750
Oracle Corp.+......................................... 4,150 109,456
Sun Microsystems, Inc.+............................... 2,900 362,319
TELECOMMUNICATIONS -- 4.8%
AirTouch Communications, Inc.+........................ 2,700 260,888
Ameritech Corp. ...................................... 3,990 230,921
BCE, Inc. ............................................ 9,427 416,861
British Telecommunications PLC+....................... 20,984 341,497
Cable & Wireless PLC+................................. 21,209 264,005
Cable Wireless Communications PLC..................... 7,065 79,845
Carso Global Telecom+................................. 5,272 27,335
</TABLE>
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70
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
China Telecom+........................................ 105,000 $ 174,785
Comcast Corp, Class A................................. 3,095 194,792
Ericsson (LM) Telecommunications Co., Series B........ 3,382 82,357
France Telecom SA+.................................... 1,746 141,401
Mannesmann AG......................................... 3,673 469,820
Nippon Telegraph & Telephone Corp. ADR................ 1 49,403
Nippon Telegraph & Telephone Corp.+................... 64 626,948
Northern Telecom Ltd. ................................ 2,260 140,403
Northern Telecom Ltd. ................................ 1 89
Orange PLC+........................................... 11,705 163,654
Sprint Corp.+ ........................................ 8,235 808,059
Sprint (PCS) Corp..................................... 2,600 115,213
Swisscom AG+.......................................... 943 369,165
Telefonica de Espana SA............................... 9,855 418,663
U.S. West, Inc. ...................................... 3,975 218,873
-------------
18,329,008
-------------
MATERIALS -- 1.7%
CHEMICALS -- 1.1%
Dow Chemical Co. ..................................... 1,670 155,623
du Pont (E.I.) de Nemours & Co. ...................... 5,180 300,764
Eastman Chemical Co. ................................. 2,040 85,808
Hoechst AG............................................ 11,912 517,126
Shin-Etsu Chemical Co. Ltd. .......................... 6,000 157,581
FOREST PRODUCTS -- 0.3%
Svenska Cellulosa AB, Class B......................... 623 13,540
Temple-Inland, Inc. .................................. 510 32,003
Weyerhaeuser Co. ..................................... 4,355 241,702
METALS & MINERALS -- 0.3%
Alcoa, Inc. .......................................... 1,910 78,668
Freeport-McMoRan Copper & Gold, Inc., Class A......... 2,425 24,856
Freeport-McMoRan Copper & Gold, Inc., Class B......... 1,675 18,216
Lafarge Corp. ........................................ 2,334 210,724
Pohang Iron & Steel Co., Ltd. ADR..................... 3,478 62,169
-------------
1,898,780
-------------
REAL ESTATE -- 0.2%
REAL ESTATE COMPANIES -- 0.1%
Cheung Kong Holdings Ltd. ............................ 8,000 60,907
REAL ESTATE INVESTMENT TRUSTS -- 0.1%
Equity Residential Properties Trust................... 1,834 75,652
Starwood Hotels & Resorts Worldwide, Inc. ............ 2,650 75,691
-------------
212,250
-------------
</TABLE>
----------------
71
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES -- 5.5%
ELECTRIC UTILITIES -- 1.9%
Compania Energetica de Minas Gerais ADR............... 3,800 $ 84,750
Consolidated Edison, Inc. ............................ 3,060 138,656
Duke Energy Corp. .................................... 4,225 230,791
Edison International.................................. 2,925 65,081
Entergy Corp. ........................................ 5,031 138,352
Korea Electric Power Corp. ADR........................ 9,596 121,749
Public Service Enterprise Group, Inc. ................ 1,735 66,255
Scottish Power PLC.................................... 18,882 165,229
Sempra Energy+........................................ 3,200 61,400
Southern Co. ......................................... 5,320 124,022
Telecom Italia SpA.................................... 66,809 710,814
Texas Utilities Co. .................................. 3,534 147,324
Tokyo Electric Power Co., Inc. ....................... 10,500 226,112
GAS & PIPELINE UTILITIES -- 0.2%
Hong Kong & China Gas Co. Ltd.+....................... 16,000 22,608
Williams Cos., Inc. .................................. 4,990 197,105
TELEPHONE -- 3.4%
AT&T Corp. ........................................... 8,503 678,646
AT&T Corp. -- Liberty Media Group, Class A............ 6,288 330,906
Bell Atlantic Corp. .................................. 6,195 320,204
DDI Corp. ............................................ 25 118,228
GTE Corp. ............................................ 3,354 202,917
MCI WorldCom, Inc.+................................... 9,800 867,912
OTE Greek Telecommunications.......................... 5,372 130,679
Portugal Telecom SA................................... 4,818 216,140
SBC Communications, Inc. ............................. 16,325 769,316
Telefonos de Mexico SA ADR............................ 3,911 256,171
Telesp Participacpoes SA.............................. 7,195 148,397
-------------
6,539,764
-------------
TOTAL COMMON STOCK (cost $69,641,222)................. 78,332,478
-------------
<CAPTION>
PREFERRED STOCK -- 0.0%
<S> <C> <C>
- -------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 0.0%
AUTOMOTIVE -- 0.0%
Volkswagen AG......................................... 608 24,389
RETAIL -- 0.0%
Kmart Financing I convertible 7.75%................... 790 47,795
-------------
TOTAL PREFERRED STOCK (cost $80,073).................. 72,184
-------------
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 15.3% AMOUNT
<S> <C> <C>
- -------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 0.2%
AUTOMOTIVE -- 0.1%
DaimlerChrysler AG 7.45% 2097......................... $ 25,000 26,634
Ford Motor Co. 6.63% 2028............................. 85,000 81,822
</TABLE>
- ----------------
72
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY (CONTINUED)
RETAIL -- 0.1%
Federated Department Stores Inc. 6.30% 2009........... $ 40,000 $ 39,434
Lowes Cos, Inc. 6.50% 2029............................ 95,000 91,015
-------------
238,905
-------------
CONSUMER STAPLES -- 0.2%
FOOD, BEVERAGE & TOBACCO -- 0.2%
Pepsi Bottling Group Inc. 7.00% 2029.................. 70,000 70,081
Philip Morris Cos, Inc. 6.80% 2003.................... 100,000 102,827
Philip Morris Cos, Inc. 7.50% 2004.................... 20,000 21,198
-------------
194,106
-------------
ENERGY -- 0.2%
ENERGY SERVICES -- 0.1%
Petroleum GOE Services ASA 7.50% 2007................. 100,000 103,153
ENERGY SOURCES -- 0.1%
Den Norske Stats 6.50% 2028*.......................... 40,000 37,363
Petro Canada 7.00% 2028............................... 45,000 43,504
-------------
184,020
-------------
FINANCE -- 2.9%
BANKS -- 0.5%
ABN-Amro Bank NV Chicago Branch 7.25% 2005............ 40,000 42,060
First Union-Lehman Brothers-Bank of America 6.28%
2007................................................. 110,067 111,039
Merita Bank Ltd. 6.50% 2006........................... 40,000 39,938
Nationsbank Corp. 6.88% 2005.......................... 45,000 46,454
Norwest Corp. 6.75% 2027.............................. 25,000 24,764
Popular, Inc. 6.40% 2000.............................. 100,000 100,334
St. Paul Bancorp 7.13% 2004........................... 100,000 99,572
Wilmington Trust Corp. 6.63% 2008..................... 105,000 104,489
FINANCIAL SERVICES -- 2.2%
Advanta Mortgage Loan Trust 6.69% 2017................ 25,000 25,330
Advanta Mortgage Loan Trust 7.05% 2021................ 20,789 21,148
AFC Capital Trust I 8.21% 2027........................ 20,000 21,506
American General Corp. 6.63% 2029..................... 75,000 72,393
AMRESCO Residential Securities Corp. 6.60% 2018....... 18,930 18,957
Associates Corp. of North America 6.50% 2002.......... 60,000 61,246
AT&T Capital Corp. 6.25% 2001......................... 50,000 50,438
CIT Group Inc. 5.50% 2001............................. 65,000 64,611
Citigroup Inc. 6.20% 2009............................. 100,000 99,089
Commercial Mortgage Acceptance Corp. 5.80% 2006....... 29,066 28,620
Commercial Mortgage Acceptance Corp. 6.53% 2007....... 15,000 15,292
Delta Funding Home Equity Loan Trust 6.64% 2012....... 130,680 130,453
Finova Capital Corp. 7.40% 2007....................... 50,000 52,586
Ford Motor Credit Co. 5.80% 2009...................... 90,000 86,455
Ford Motor Credit Co. 7.00% 2001...................... 60,000 61,744
Ford Motor Credit Co. 8.00% 2002...................... 40,000 42,490
GE Capital Mortgage Services, Inc. 7.65% 1999......... 25,000 25,845
General Motors Acceptance Corp. 5.75% 2003............ 30,000 29,756
</TABLE>
----------------
73
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
General Motors Acceptance Corp. 5.85% 2009............ $ 115,000 $ 110,718
General Motors Acceptance Corp. 6.63% 2002............ 40,000 40,941
GMAC Commercial Mortgage Security, Inc. 6.18% 2033.... 45,000 44,722
GMAC Commercial Mortgage Security, Inc. 6.15% 2035.... 43,583 43,644
GMAC Commercial Mortgage Security, Inc. 6.42% 2035.... 68,180 68,688
Green Tree Financial Corp. 6.24% 2016................. 90,000 90,646
Green Tree Recreational Equipment 6.18% 2019.......... 206,633 207,776
Green Tree Recreational Equipment 6.55% 2028.......... 24,451 24,627
Harley Davidson Eagle Motorcycle Trust 6.20% 2003..... 150,000 153,427
Heller Financial, Inc. 6.00% 2004..................... 90,000 89,581
Household Finance Corp. 6.50% 2008.................... 30,000 29,939
Independent National Mortgage Corp. zero coupon
2024................................................. 13,960 14,278
Lehman Brothers Holdings, Inc. 6.50% 2002............. 105,000 104,934
Merrill Lynch Mortgage Investors, Inc. 6.54% 2029..... 80,000 81,441
Money Store, Inc. 8.05% 2002.......................... 20,000 21,152
Morgan Stanley Capital I, Inc. 6.52% 2008............. 120,000 121,683
Morgan Stanley Capital I, Inc. 6.54% 2030............. 30,000 30,454
Morgan Stanley Capital I, Inc. 7.22% 2028............. 55,000 57,395
PaineWebber Group, Inc. 6.65% 2002.................... 135,000 136,006
PNC Mortgage Securities Corp. zero coupon 2027........ 12,521 12,621
PP&L Capital Funding Inc. 5.90% 2000.................. 40,000 40,059
Sears Roebuck Acceptance Corp. 6.50% 2028............. 50,000 45,690
Sprint Capital Corp. 5.70% 2003....................... 45,000 44,411
Sprint Capital Corp. 6.13% 2008....................... 20,000 19,661
TMS Trust 6.85% 2019.................................. 50,000 50,801
Toyota Motor Credit Corp. 5.63% 2003.................. 45,000 44,490
INSURANCE -- 0.2%
Hartford Life, Inc. 7.10% 2007........................ 75,000 78,346
Hartford Life, Inc. 7.65% 2027........................ 20,000 21,708
Provident Cos., Inc. 7.41% 2038....................... 50,000 49,212
TIG Holdings, Inc. 8.13% 2005......................... 40,000 42,023
-------------
3,397,683
-------------
FOREIGN BONDS -- 0.2%
FOREIGN GOVERNMENT -- 0.2%
Quebec Province of Canada 7.00% 2007.................. 60,000 62,915
Province of Ontario 5.50% 2008........................ 160,000 154,150
-------------
217,065
-------------
INDUSTRIAL & COMMERCIAL -- 0.7%
AEROSPACE & MILITARY TECHNOLOGY -- 0.3%
Boeing Co. 6.63% 2038................................. 80,000 76,029
Lockheed Martin Corp. 7.25% 2006...................... 115,000 120,101
Raytheon Co. 6.15% 2008............................... 190,000 187,089
BUSINESS SERVICES -- 0.1%
Hertz Corp. 7.00% 2028................................ 65,000 63,022
United States Filter Corp. New 6.50% 2003*(1)......... 55,000 53,528
</TABLE>
- ----------------
74
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
MULTI-INDUSTRY -- 0.0%
Tyco International Group SA 6.25% 2003(1)............. $ 25,000 $ 25,164
TRANSPORTATION -- 0.3%
Continental Airlines, Inc. 6.54% 2009................. 55,062 54,005
Continental Airlines, Inc. 6.80% 2009................. 26,812 26,364
CSX Corp. 7.95% 2027.................................. 195,000 213,361
-------------
818,663
-------------
INFORMATION & ENTERTAINMENT -- 0.1%
BROADCASTING & MEDIA -- 0.1%
News America Holdings, Inc. 7.70% 2025................ 65,000 67,836
LEISURE & TOURISM -- 0.0%
Disney Walt Co. 5.62% 2008............................ 65,000 62,857
-------------
130,693
-------------
INFORMATION TECHNOLOGY -- 0.3%
COMPUTERS & BUSINESS EQUIPMENT -- 0.1%
Apple Computer, Inc. 6.00% 2001....................... 40,000 48,700
TELECOMMUNICATIONS -- 0.2%
AirTouch Communications, Inc. 6.65% 2008.............. 40,000 41,093
TCI Communications, Inc. 8.65% 2004................... 215,000 242,361
-------------
332,154
-------------
MATERIALS -- 0.0%
CHEMICALS -- 0.0%
Monsanto Co. 6.60% 2028............................... 10,000 9,609
Union Carbide Corp. 6.25% 2003........................ 45,000 44,333
-------------
53,942
-------------
REAL ESTATE -- 0.0%
REAL ESTATE COMPANIES -- 0.0%
Equity Office Properties Operating LP 6.76% 2007 ..... 55,000 54,493
-------------
U.S. GOVERNMENT & AGENCIES -- 10.0%
U.S. GOVERNMENT & AGENCIES -- 10.0%
Federal Home Loan Mortgage Corp. 6.50% TBA............ 85,000 84,681
Federal Home Loan Mortgage Corp. 7.50% 2022........... 45,000 46,969
Federal Home Loan Mortgage Corp. 8.50% 2028........... 120,000 126,094
Federal National Mortgage Association 5.75% 2003...... 105,000 105,902
Federal National Mortgage Association 6.00% 2008...... 230,000 232,408
Federal National Mortgage Association 6.00% 2013...... 83,758 83,130
Federal National Mortgage Association 6.00% 2013...... 75,836 75,268
Federal National Mortgage Association 6.00% 2029...... 191,657 186,266
Federal National Mortgage Association 6.00% TBA....... 285,000 276,983
Federal National Mortgage Association 6.50% 2026...... 33,489 33,353
Federal National Mortgage Association 6.50% 2028...... 38,172 37,992
Federal National Mortgage Association 6.50% 2028...... 52,192 51,947
</TABLE>
----------------
75
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES (CONTINUED)
U.S. GOVERNMENT & AGENCIES (CONTINUED)
Federal National Mortgage Association 6.50% 2028...... $ 111,710 $ 111,187
Federal National Mortgage Association 6.50% 2028...... 44,537 44,328
Federal National Mortgage Association 6.50% 2028...... 58,540 58,266
Federal National Mortgage Association 6.50% 2028...... 269,012 267,751
Federal National Mortgage Association 6.50% 2028...... 57,943 57,671
Federal National Mortgage Association 6.50% 2028...... 56,951 56,684
Federal National Mortgage Association 6.50% 2029...... 301,044 299,632
Federal National Mortgage Association 6.50% 2029...... 159,867 159,117
Federal National Mortgage Association 6.50% 2029...... 178,342 177,505
Federal National Mortgage Association 6.50% 2029...... 395,039 393,186
Federal National Mortgage Association 7.00% 2011...... 20,822 21,271
Federal National Mortgage Association 7.00% 2011...... 105,392 107,664
Federal National Mortgage Association 7.00% 2012...... 264,546 270,250
Federal National Mortgage Association 7.00% 2023...... 11,167 10,706
Federal National Mortgage Association 7.50% 2008...... 184,999 190,503
Federal National Mortgage Association 8.00% TBA....... 183,000 190,320
Federal National Mortgage Association 8.50% 2016...... 15,000 15,760
Federal National Mortgage Association 8.50% 2019...... 35,000 36,903
Federal National Mortgage Association 8.50% 2025...... 170,795 179,761
Federal National Mortgage Association 9.00% 2026...... 17,486 18,552
Federal National Mortgage Association 9.00% 2026...... 25,984 27,567
Government National Mortgage Association 6.50% 2023... 112,800 112,659
Government National Mortgage Association 6.50% 2028... 67,279 66,985
Government National Mortgage Association 6.50% 2028... 172,450 171,694
Government National Mortgage Association 6.50% 2028... 126,456 125,902
Government National Mortgage Association 6.50% 2029... 194,999 194,145
Government National Mortgage Association 6.50% 2029... 129,654 129,086
Government National Mortgage Association 6.50% 2029... 39,908 39,733
Government National Mortgage Association 7.00% 2022... 171,760 174,766
Government National Mortgage Association 7.00% 2023... 66,853 68,002
Government National Mortgage Association 7.00% 2024... 149,642 152,168
Government National Mortgage Association 7.00% 2025... 33,425 33,969
Government National Mortgage Association 7.00% 2026... 163,732 166,239
Government National Mortgage Association 7.00% 2028... 87,124 88,457
Government National Mortgage Association 7.00% 2028... 103,684 105,272
Government National Mortgage Association 7.00% 2028... 38,020 38,602
Government National Mortgage Association 7.00% 2028... 125,713 127,638
Government National Mortgage Association 7.00% 2028... 30,610 31,079
Government National Mortgage Association 7.50% 2023... 44,283 45,694
Government National Mortgage Association 7.50% 2027... 70,000 72,909
Government National Mortgage Association 8.00% 2026... 31,497 32,816
Government National Mortgage Association 8.00% TBA.... 320,000 333,399
Government National Mortgage Association 9.00% 2016... 75,000 80,875
Government National Mortgage Association 9.50% 2029... 65,000 70,198
Government National Mortgage Association 10.00%
2029................................................. 100,000 108,250
United States Treasury Bonds 5.25% 2028............... 254,000 236,896
United States Treasury Bonds 5.25% 2029............... 520,000 491,561
United States Treasury Bonds 5.50% 2028............... 235,000 224,902
United States Treasury Bonds 6.13% 2027............... 635,000 659,009
United States Treasury Notes 4.50% 2000............... 1,120,000 1,111,779
United States Treasury Notes 4.63% 2000............... 1,280,000 1,272,205
</TABLE>
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76
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES (CONTINUED)
U.S. GOVERNMENT & AGENCIES (CONTINUED)
United States Treasury Notes 4.75% 2004............... $ 420,000 $ 413,570
United States Treasury Notes 4.75% 2008............... 575,000 553,886
United States Treasury Notes 5.00% 2001............... 25,000 25,004
United States Treasury Notes 5.63% 2008............... 215,000 218,863
-------------
11,813,789
-------------
UTILITIES -- 0.5%
ELECTRIC UTILITIES -- 0.3%
Arizona Public Services Co. 6.75% 2006................ 160,000 165,453
Nevada Power Co. 6.20% 2004........................... 75,000 74,651
Southern California Edison Co. 5.88% 2001............. 100,000 100,548
GAS & PIPELINE UTILITIES -- 0.2%
CMS Panhandle Holding Co. 6.13% 2004.................. 60,000 59,658
Coastal Corp. 6.50% 2008.............................. 50,000 49,988
Coastal Corp. 6.95% 2028.............................. 60,000 58,668
KN Energy, Inc. 6.45% 2003............................ 25,000 25,344
TELEPHONE -- 0.0%
Worldcom, Inc. 6.40% 2005............................. 70,000 71,013
-------------
605,323
-------------
TOTAL BONDS & NOTES (cost $18,207,912)................ 18,040,836
-------------
<CAPTION>
WARRANTS -- 0.0%+ WARRANTS
<S> <C> <C>
- -------------------------------------------------------------------------------------
FINANCE -- 0.0%
INSURANCE -- 0.0%
Allianz AG 1/15/00.................................... 1 8
-------------
REAL ESTATE -- 0.0%
REAL ESTATE COMPANIES -- 0.0%
Equity Office Properties Operating LP# 6/15/08........ 55 138
-------------
TOTAL WARRANTS (cost $440)............................ 146
-------------
TOTAL INVESTMENT SECURITIES (cost $87,929,647)........ $ 96,445,644
-------------
</TABLE>
----------------
77
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 1.9% AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES -- 1.9%
United States Treasury Bills 4.39% due 6/10/99 (cost
$2,191,135)@......................................... $ 2,210,000 $ 2,191,135
-------------
<CAPTION>
REPURCHASE AGREEMENT -- 16.6%
<S> <C> <C>
- -------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 16.6%
Agreement with Warburg Dillon Read, bearing interest
at 4.9% dated 03/31/99 to be repurchased 04/01/99 in
the amount of $19,548,660 and collateralized by
$16,014,000 of U.S. Treasury Bonds bearing interest
at 7.875% due 02/15/21 and having an approximate
value of $19,938,080 (cost $19,546,000)@............. 19,546,000 19,546,000
-------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $109,666,782) 100.4% 118,182,779
Liabilities in excess of other assets -- (0.4) (519,853)
------ -------------
NET ASSETS -- 100.0% $ 117,662,926
------ -------------
------ -------------
</TABLE>
- -------------
+ Non income producing security
# Fair valued securities; see Note 2
* Resale restricted to qualified institutional buyers
(1) Variable rate security; rate as of March 31, 1999
(2) Security represents an investment in an affiliated company, see Note 9
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
TBA -- Securities purchased on a forward commitment basis with an approximate
principal amount and no definitive maturity date. The actual principal and
maturity date will be determined upon settlement date.
@ The security or a portion thereof has been segregated as collateral for the
following open futures contracts:
OPEN FUTURES CONTRACTS
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------
VALUE AS OF
NUMBER OF EXPIRATION VALUE AT MARCH 31, UNREALIZED
CONTRACTS DESCRIPTION DATE TRADE DATE 1999 DEPRECIATION
- --------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C> <C>
49 Long Standard & Poors 500 Index June 1999 $15,861,669 $15,842,925 $ (18,744)
-----------
-----------
</TABLE>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
<TABLE>
<CAPTION>
- ------------------------------------------------------
GROSS
CONTRACT IN DELIVERY UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
- ------------------------------------------------------
<S> <C> <C> <C>
GBP 640,000 USD1,042,188 07/14/99 $ 9,426
------
------
</TABLE>
GBP -- Great Britain Pound
USD -- United States Dollar
See Notes to Financial Statements
- ----------------
78
<PAGE>
- ------------------
SEASONS SERIES TRUST
STOCK PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK -- 94.7% SHARES VALUE
<S> <C> <C>
- -------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 6.8%
HOUSING -- 0.7%
Masco Corp. .......................................... 24,000 $ 678,000
RETAIL -- 6.1%
CVS Corp. ............................................ 11,114 527,915
Fred Meyer, Inc.+ .................................... 14,700 865,463
Home Depot, Inc. ..................................... 12,800 796,800
Koninklijke Ahold NV ................................. 6,800 261,014
Rite Aid Corp. ....................................... 12,600 315,000
Safeway, Inc.+ ....................................... 28,600 1,467,537
Saks, Inc.+ .......................................... 14,900 387,400
TAG Heuer International SA ADR+ ...................... 31,100 260,463
Wal-Mart Stores, Inc. ................................ 11,800 1,087,812
-------------
6,647,404
-------------
CONSUMER STAPLES -- 4.2%
FOOD, BEVERAGE & TOBACCO -- 2.4%
Coca-Cola Co. ........................................ 6,000 368,250
Compass Group PLC .................................... 16,200 187,530
PepsiCo, Inc. ........................................ 23,300 913,069
Philip Morris Cos, Inc. .............................. 24,300 855,056
HOUSEHOLD PRODUCTS -- 1.8%
Colgate-Palmolive Co. ................................ 2,800 257,600
Gillette Co. ......................................... 8,600 511,162
Kimberly-Clark Corp. ................................. 10,500 503,344
Procter & Gamble Co. ................................. 4,600 450,513
-------------
4,046,524
-------------
ENERGY -- 4.0%
ENERGY SERVICES -- 0.6%
Halliburton Co. ...................................... 15,700 604,450
ENERGY SOURCES -- 3.4%
Amerada Hess Corp. ................................... 2,800 140,875
Chevron Corp. ........................................ 9,700 857,844
Mobil Corp. .......................................... 10,600 932,800
Royal Dutch Petroleum Co. GDR ........................ 25,800 1,341,600
-------------
3,877,569
-------------
FINANCE -- 18.4%
BANKS -- 3.1%
Bank of New York Co., Inc. ........................... 28,300 1,017,031
BankAmerica Corp. .................................... 15,405 1,087,978
First Union Corp. .................................... 7,000 374,063
Mellon Bank Corp. .................................... 4,300 302,613
UBS AG+ .............................................. 700 220,461
</TABLE>
----------------
79
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES -- 9.9%
AMBAC, Inc. .......................................... 5,700 $ 307,800
American Express Co. ................................. 3,300 387,750
Associates First Capital Corp., Class A .............. 16,700 751,500
Citigroup, Inc. ...................................... 30,850 1,970,543
Fannie Mae ........................................... 18,800 1,301,900
Freddie Mac .......................................... 45,800 2,616,325
HSBC Holdings PLC+ ................................... 7,400 232,041
Morgan Stanley, Dean Witter & Co. .................... 4,300 429,731
Wells Fargo & Co. .................................... 47,500 1,665,469
INSURANCE -- 5.4%
Ace Ltd. ............................................. 30,300 944,981
Aetna, Inc. .......................................... 9,000 747,000
Fairfax Financial Holdings Ltd. Subscription
Receipts ............................................ 700 193,839
Fairfax Financial Holdings Ltd.+ ..................... 2,065 601,921
Mutual Risk Management Ltd. .......................... 23,200 887,400
PartnerRe Ltd. ....................................... 16,900 684,450
Travelers Property Casualty Corp., Class A ........... 9,300 332,475
UNUM Corp. ........................................... 17,000 808,563
-------------
17,865,834
-------------
HEALTHCARE -- 13.7%
DRUGS -- 9.2%
American Home Products Corp. ......................... 13,800 900,450
Biogen, Inc.+ ........................................ 4,400 502,975
Bristol-Myers Squibb Co. ............................. 24,600 1,582,087
Eli Lilly & Co. ...................................... 9,600 814,800
Genentech, Inc.+ ..................................... 9,400 833,075
Merck & Co., Inc. .................................... 18,000 1,443,375
Novartis AG .......................................... 228 370,773
Pfizer, Inc. ......................................... 10,800 1,498,500
Warner-Lambert Co. ................................... 14,500 959,719
HEALTH SERVICES -- 1.7%
Gehe AG .............................................. 2,500 114,072
HEALTHSOUTH Corp.+ ................................... 24,900 258,338
United HealthCare Corp. .............................. 24,700 1,299,837
MEDICAL PRODUCTS -- 2.8%
Guidant Corp. ........................................ 6,600 399,300
Johnson & Johnson Co. ................................ 10,500 983,719
Mckesson HBOC Inc. ................................... 4,204 277,464
Roche Holdings AG .................................... 38 464,560
Schering-Plough Corp. ................................ 10,000 553,125
-------------
13,256,169
-------------
INDUSTRIAL & COMMERCIAL -- 12.3%
AEROSPACE & MILITARY TECHNOLOGY -- 1.5%
AlliedSignal, Inc. ................................... 29,100 1,431,357
</TABLE>
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80
<PAGE>
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
BUSINESS SERVICES -- 4.0%
First Data Corp. ..................................... 13,700 $ 585,675
Gartner Group, Inc., Class A+ ........................ 16,600 374,537
Randstad Holding N.V. ................................ 6,300 283,374
Rentokil Initial PLC+ ................................ 73,100 448,476
Solectron Corp.+ ..................................... 8,000 388,500
Waste Management, Inc. ............................... 28,300 1,255,812
Wolters Kluwer NV+ ................................... 2,800 508,620
MACHINERY -- 1.1%
Danaher Corp. ........................................ 21,200 1,107,700
MULTI-INDUSTRY -- 5.7%
Berkshire Hathaway, Inc., Class A .................... 15 1,071,000
Hutchison Whampoa Ltd. ............................... 90,700 713,943
Sara Lee Corp. ....................................... 20,300 502,425
Teleflex, Inc. ....................................... 14,500 493,906
Tomkins PLC .......................................... 217,800 801,735
Tyco International Ltd. .............................. 27,546 1,976,425
-------------
11,943,485
-------------
INFORMATION & ENTERTAINMENT -- 8.2%
BROADCASTING & MEDIA -- 6.4%
CBS Corp.+ ........................................... 28,100 1,150,344
Clear Channel Communications, Inc.+ .................. 9,000 603,562
Cox Communications, Inc, Class A+ .................... 4,700 355,438
Fox Entertainment Group, Inc, Class A+ ............... 25,800 699,825
Infinity Broadcasting Corp., Class A ................. 17,700 455,775
Omnicom Group, Inc. .................................. 15,300 1,223,044
Time Warner, Inc. .................................... 9,000 639,562
Tribune Co. .......................................... 8,300 543,131
VNU NV ............................................... 13,700 534,754
ENTERTAINMENT PRODUCTS -- 0.4%
Hasbro, Inc. ......................................... 13,650 394,997
LEISURE & TOURISM -- 1.4%
Carnival Corp, Class A ............................... 6,600 320,512
Disney (Walt) Co. .................................... 7,700 239,663
McDonald's Corp. ..................................... 8,600 389,687
Mirage Resorts, Inc.+ ................................ 21,100 448,375
-------------
7,998,669
-------------
INFORMATION TECHNOLOGY -- 20.6%
COMMUNICATION EQUIPMENT -- 0.8%
Ascend Communications, Inc.+ ......................... 9,500 795,031
COMPUTERS & BUSINESS EQUIPMENT -- 3.8%
Automatic Data Processing, Inc. ...................... 15,200 628,900
Cisco Systems, Inc.+ ................................. 10,400 1,139,450
Dell Computer Corp.+ ................................. 11,000 449,625
EMC Corp.+ ........................................... 6,100 779,275
Hewlett-Packard Co. .................................. 10,100 684,907
</TABLE>
----------------
81
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
ELECTRONICS -- 6.4%
Altera Corp.+ ........................................ 9,200 $ 547,400
General Electric Co. ................................. 21,400 2,367,375
Getronics NV+ ........................................ 8,219 303,928
Intel Corp. .......................................... 12,000 1,429,500
Maxim Integrated Products, Inc.+ ..................... 19,200 1,039,200
Texas Instruments, Inc. .............................. 5,500 545,875
SOFTWARE -- 7.8%
America Online, Inc.+ ................................ 6,900 1,007,400
BMC Software, Inc.+ .................................. 24,800 919,150
Compuware Corp. + .................................... 19,400 463,175
Microsoft Corp.+ ..................................... 29,600 2,652,900
Networks Associates, Inc.+ ........................... 19,250 590,734
Parametric Technology Corp.+ ......................... 52,400 1,034,900
Softbank Corp.+ ...................................... 3,000 336,444
Sterling Commerce, Inc.+ ............................. 9,700 298,275
The Learning Co., Inc.+ .............................. 9,200 266,800
TELECOMMUNICATIONS -- 1.8%
AirTouch Communications, Inc.+ ....................... 7,000 676,375
Corning, Inc. ........................................ 9,900 594,000
Qwest Communications International, Inc.+ ............ 5,900 425,353
-------------
19,975,972
-------------
REAL ESTATE -- 1.4%
REAL ESTATE COMPANIES -- 0.4%
Security Capital US Realty+ .......................... 54,500 427,825
REAL ESTATE INVESTMENT TRUSTS -- 1.0%
Crescent Real Estate Equities Co. .................... 14,600 313,900
Starwood Hotels & Resorts Worldwide, Inc. ............ 22,800 651,225
-------------
1,392,950
-------------
UTILITIES -- 5.1%
TELEPHONE -- 5.1%
GTE Corp. ............................................ 5,200 314,600
MCI Worldcom, Inc.+ .................................. 30,307 2,684,064
SBC Communications, Inc. ............................. 12,100 570,212
Telecom Italia SpA ................................... 81,300 864,991
Telecomunicacoes de Brasileiras SA ADR+ .............. 6,100 491,812
-------------
4,925,679
-------------
TOTAL INVESTMENT SECURITIES (cost $77,041,760)........ 91,930,255
-------------
</TABLE>
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<PAGE>
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<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 6.3% AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES -- 5.3%
Abbey National North America 4.80% due 8/9/99......... $ 2,255,000 $ 2,215,995
Assets Securitization Corp. 4.88% due 4/14/99......... 485,000 484,145
AWB Ltd. 4.85% due 4/6/99............................. 235,000 234,842
Caisse des Depots et Consignations 5.10% due 4/1/99... 752,000 752,000
Coca-Cola Co. 4.81% due 4/23/99....................... 215,000 213,966
du Pont (E.I.) de Nemours & Co. 4.82% due 4/12/99..... 170,000 169,750
Equilon Enterprise 4.84% due 5/10/99.................. 545,000 542,142
Metlife Funding, Inc. 4.84% due 4/12/99............... 395,000 394,416
Metlife Funding, Inc. 4.84% due 4/21/99............... 140,000 139,623
-------------
TOTAL CORPORATE SHORT-TERM NOTES (cost $5,146,797).... 5,146,879
-------------
U.S. GOVERNMENT & AGENCIES -- 1.0%
Federal Home Loan Mortgage Corp. 4.75% due 4/14/99
(cost $912,865)...................................... 915,000 912,866
-------------
TOTAL SHORT-TERM SECURITIES (cost $6,059,662)......... 6,059,745
-------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $83,101,422) 101.0 % 97,990,000
Liabilities in excess of other assets
-- (1.0) (943,251)
------ -----------
NET ASSETS -- 100.0 % $97,046,749
------ -----------
------ -----------
</TABLE>
- -------------
+ Non-income producing securities
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
See Notes to Financial Statements
----------------
83
<PAGE>
- ----------------
SEASONS SERIES TRUST LARGE CAP
GROWTH PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK -- 95.7% SHARES VALUE
<S> <C> <C>
- -----------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 7.9%
AUTOMOTIVE -- 0.2%
Federal-Mogul Corp...................... 800 $ 34,400
RETAIL -- 7.7%
Amazon.com, Inc.+ ...................... 1,835 315,964
Costco Cos., Inc.+ ..................... 465 42,577
CVS Corp. .............................. 800 38,000
Dayton Hudson Corp. .................... 400 26,650
Dollar General Corp. ................... 200 6,800
eBay, Inc.+ ............................ 395 54,238
Gap, Inc. .............................. 500 33,656
Home Depot, Inc. ....................... 2,000 124,500
Kohl's Corp.+ .......................... 200 14,175
Kroger Co.+ ............................ 300 17,963
Safeway, Inc.+ ......................... 500 25,656
Staples, Inc.+ ......................... 1,695 55,723
TJX Cos., Inc. ......................... 300 10,200
Wal-Mart Stores, Inc. .................. 3,000 276,563
Walgreen Co. ........................... 3,400 96,050
-------------
1,173,115
-------------
CONSUMER STAPLES -- 9.1%
FOOD, BEVERAGE & TOBACCO -- 5.3%
Anheuser-Busch Cos., Inc. .............. 500 38,094
Bestfoods .............................. 300 14,100
Campbell Soup Co. ...................... 400 16,275
Coca-Cola Co. .......................... 3,700 227,087
Coca-Cola Enterprises, Inc. ............ 400 12,100
General Mills, Inc. .................... 200 15,113
H.J. Heinz & Co. ....................... 300 14,213
Hershey Foods Corp. .................... 100 5,600
Kellogg Co. ............................ 400 13,525
Nabisco Holdings Corp., Class A ........ 1,200 49,875
PepsiCo, Inc. .......................... 2,900 113,644
Philip Morris Cos, Inc. ................ 3,000 105,562
Quaker Oats Co. ........................ 100 6,256
Ralston-Ralston Purina Group ........... 2,400 64,050
Sysco Corp. ............................ 300 7,894
Unilever NV ............................ 500 33,219
UST, Inc. .............................. 200 5,225
Wrigley, (Wm) Jr. Co. .................. 600 54,262
HOUSEHOLD PRODUCTS -- 3.8%
Avon Products, Inc. .................... 2,000 94,125
Clorox Co. ............................. 300 35,156
Colgate-Palmolive Co. .................. 1,300 119,600
Fort James Corp. ....................... 200 6,338
Gillette Co. ........................... 1,500 89,156
Kimberly-Clark Corp. ................... 500 23,969
Newell Rubbermaid, Inc. ................ 200 9,500
</TABLE>
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84
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES (CONTINUED)
HOUSEHOLD PRODUCTS (CONTINUED)
Procter & Gamble Co. ................... 1,900 $ 186,081
-------------
1,360,019
-------------
ENERGY -- 2.4%
ENERGY SERVICES -- 0.6%
Schlumberger Ltd. ...................... 1,500 90,281
ENERGY SOURCES -- 1.8%
Atlantic Richfield Co. ................. 200 14,600
Enron Corp. ............................ 1,980 127,215
Exxon Corp. ............................ 500 35,281
Mobil Corp. ............................ 300 26,400
Royal Dutch Petroleum Co. GDR .......... 400 20,800
Texaco, Inc. ........................... 500 28,375
Unocal Corp. ........................... 300 11,044
-------------
353,996
-------------
FINANCE -- 9.9%
BANKS -- 4.4%
Bank of New York Co., Inc. ............. 2,210 79,422
Bank One Corp. ......................... 1,500 82,594
BankAmerica Corp. ...................... 900 63,562
Fifth Third Bancorp .................... 550 36,266
First Union Corp. ...................... 900 48,094
Firstar Corp. .......................... 1,135 101,582
MBNA Corp. ............................. 3,700 88,337
State Street Corp. ..................... 1,500 123,281
Synovus Financial Corp. ................ 200 4,088
U.S. Bancorp ........................... 700 23,844
FINANCIAL SERVICES -- 3.8%
AMBAC, Inc. ............................ 400 21,600
American Express Co. ................... 545 64,037
Charles Schwab Corp. ................... 400 38,450
CIT Group, Inc., Class A ............... 600 18,338
Citigroup, Inc. ........................ 1,100 70,262
Dun & Bradstreet Corp. ................. 200 7,125
Freddie Mac ............................ 2,400 137,100
Fannie Mae ............................. 1,400 96,950
Nationwide Financial Services, Inc.,
Class A .............................. 600 25,200
Providian Financial Corp. .............. 100 11,000
SLM Holding Corp. ...................... 100 4,175
Wells Fargo & Co. ...................... 2,300 80,644
INSURANCE -- 1.7%
Aetna, Inc. ............................ 700 58,100
American International Group, Inc.# .... 1,200 144,750
Equifax, Inc. .......................... 100 3,438
Hartford Life, Inc.,Class A ............ 400 22,000
Progressive Corp. ...................... 175 25,112
-------------
1,479,351
-------------
</TABLE>
----------------
85
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE -- 15.0%
DRUGS -- 9.8%
Abbott Laboratories, Inc. .............. 1,400 $ 65,537
ALZA Corp.+ ............................ 100 3,825
American Home Products Corp. ........... 2,900 189,225
Amgen, Inc.+ ........................... 500 37,437
Bristol-Myers Squibb Co. ............... 3,600 231,525
Centocor, Inc.+ ........................ 765 28,305
Eli Lilly & Co. ........................ 1,630 138,346
Merck & Co., Inc. ...................... 2,800 224,525
Pfizer, Inc. ........................... 2,925 405,844
Sepracor, Inc.+ ........................ 155 17,399
Warner-Lambert Co. ..................... 1,700 112,519
HEALTH SERVICES -- 0.6%
HCR Manor Care, Inc.+ .................. 100 2,281
IMS Health, Inc. ....................... 2,805 92,916
MEDICAL PRODUCTS -- 4.6%
Baxter International, Inc. ............. 300 19,800
Becton Dickinson & Co. ................. 200 7,663
Boston Scientific Corp.+ ............... 300 12,169
Cardinal Health, Inc., Class A ......... 200 13,200
Guidant Corp. .......................... 980 59,290
Johnson & Johnson Co. .................. 1,900 178,006
Mckesson HBOC, Inc. .................... 800 52,800
Medtronic, Inc. ........................ 2,430 174,352
Minimed, Inc.+ ......................... 415 42,174
Owens Corning Co. ...................... 100 3,181
Schering-Plough Corp. .................. 2,200 121,688
-------------
2,234,007
-------------
INDUSTRIAL & COMMERCIAL -- 4.2%
BUSINESS SERVICES -- 2.4%
Ecolab, Inc. ........................... 1,100 39,050
Exodus Communications, Inc.+ ........... 335 45,057
First Data Corp. ....................... 2,000 85,500
Interpublic Group of Cos., Inc. ........ 100 7,788
Outdoor Systems, Inc.+ ................. 1,530 45,900
Paychex, Inc. .......................... 200 9,488
Service Corp. International ............ 3,800 54,150
Solectron Corp.+ ....................... 200 9,712
Waste Management, Inc. ................. 1,500 66,562
ELECTRICAL EQUIPMENT -- 0.1%
Dover Corp. ............................ 200 6,575
MACHINERY -- 0.0%
Danaher Corp. .......................... 100 5,225
MULTI-INDUSTRY -- 1.4%
Avery Dennison Corp. ................... 100 5,750
Minnesota Mining & Manufacturing Co. ... 300 21,225
Perkin-Elmer Corp. ..................... 100 9,706
Sara Lee Corp. ......................... 800 19,800
Tyco International Ltd. ................ 2,035 146,012
</TABLE>
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86
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
TRANSPORTATION -- 0.3%
Southwest Airlines Co. ................. 1,610 $ 48,703
-------------
626,203
-------------
INFORMATION & ENTERTAINMENT -- 8.7%
BROADCASTING & MEDIA -- 7.5%
Belo A H Corp. ......................... 2,400 43,800
Cablevision Systems Corp., Class A+ .... 1,290 95,621
CBS Corp.+ ............................. 2,100 85,969
Central Newspapers, Inc., Class A ...... 1,000 31,125
Chancellor Media Corp.+ ................ 900 42,413
Cox Communications, Inc., Class A+ ..... 485 36,678
DoubleClick, Inc.+ ..................... 285 51,888
Infinity Broadcasting Corp., Class
A+ ................................... 1,900 48,925
Jacor Communications, Inc.+ ............ 500 38,000
Lamar Advertising Co.+ ................. 665 22,568
MediaOne Group, Inc.+ .................. 1,995 126,682
New York Times Co., Class A ............ 900 25,650
Omnicom Group, Inc. .................... 200 15,988
Time Warner, Inc. ...................... 4,045 287,448
Times Mirror Co., Series A ............. 100 5,406
Tribune Co. ............................ 300 19,631
United International Holdings, Inc.+ ... 1,065 46,328
USA Networks, Inc.+ .................... 255 9,132
Valassis Communications, Inc.+ ......... 1,600 82,800
ENTERTAINMENT PRODUCTS -- 0.3%
Hasbro, Inc. ........................... 1,650 47,747
LEISURE & TOURISM -- 0.9%
Disney (Walt) Co. ...................... 800 24,900
Galileo International, Inc. ............ 700 33,863
Marriott International, Inc., Class
A .................................... 1,300 43,712
McDonald's Corp. ....................... 400 18,125
Tricon Global Restaurants, Inc.+ ....... 200 14,050
-------------
1,298,449
-------------
INFORMATION TECHNOLOGY -- 31.4%
COMMUNICATION EQUIPMENT -- 3.6%
AirTouch Communications, Inc.+ ......... 500 48,312
Ascend Communications, Inc.+ ........... 200 16,738
General Instrument Corp.+ .............. 200 6,063
Lucent Technologies, Inc. .............. 1,500 161,625
Nokia Corp., Class A ADR ............... 1,800 280,350
Tellabs, Inc.+ ......................... 200 19,550
COMPUTERS & BUSINESS EQUIPMENT -- 7.4%
Automatic Data Processing, Inc. ........ 600 24,825
Cisco Systems, Inc.+ ................... 4,125 451,945
Dell Computer Corp.+ ................... 2,300 94,013
EMC Corp.+ ............................. 1,600 204,400
Gateway 2000, Inc.+ .................... 100 6,856
International Business Machines
Corp. ................................ 1,300 230,425
Pitney Bowes, Inc. ..................... 300 19,125
Tandy Corp. ............................ 1,200 76,575
</TABLE>
----------------
87
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
ELECTRONICS -- 6.4%
Conexant Systems, Inc.+ ................ 1,700 $ 47,069
General Electric Co. ................... 4,500 497,812
Intel Corp. ............................ 2,200 262,075
Maxim Integrated Products, Inc.+ ....... 475 25,709
Pittway Corp., Class A ................. 1,080 28,620
QUALCOMM, Inc.+ ........................ 100 12,438
Texas Instruments, Inc. ................ 440 43,670
Vitesse Semiconductor Corp.+ ........... 745 37,716
SOFTWARE -- 10.2%
America Online, Inc.+ .................. 2,065 301,490
At Home Corp., Series A+ ............... 175 27,562
BMC Software, Inc.+ .................... 200 7,413
CIBER, Inc.+ ........................... 95 1,823
Computer Associates International,
Inc. ................................. 500 17,781
Compuware Corp.+ ....................... 400 9,550
Excite, Inc.+ .......................... 980 137,200
Inktomi Corp.+ ......................... 240 20,580
Microsoft Corp.+ ....................... 8,350 748,369
Oracle Corp.+ .......................... 1,350 35,606
Parametric Technology Corp.+ ........... 300 5,925
PeopleSoft, Inc.+ ...................... 300 4,388
Sapient Corp.+ ......................... 665 47,464
Sterling Commerce, Inc.+ ............... 800 24,600
Sun Microsystems, Inc.+ ................ 1,000 124,937
TELECOMMUNICATIONS -- 3.8%
Ameritech Corp. ........................ 1,000 57,875
Comcast Corp., Class A ................. 2,500 157,344
Corning, Inc. .......................... 200 12,000
Gannett Co., Inc. ...................... 600 37,800
Level 3 Communications, Inc.+ .......... 2,075 151,086
Northern Telecom Ltd. .................. 600 37,275
Sprint Corp. ........................... 1,460 64,696
Verisign, Inc.+ ........................ 340 52,360
-------------
4,681,035
-------------
MATERIALS -- 0.4%
CHEMICALS -- 0.4%
du Pont (E.I.) de Nemours & Co. ........ 500 29,031
Monsanto Co. ........................... 630 28,941
METALS & MINERALS -- 0.0%
Freeport-McMoRan Copper & Gold, Inc.,
Class B .............................. 100 1,087
Sealed Air Corp.+ ...................... 100 4,919
-------------
63,978
-------------
UTILITIES -- 6.7%
ELECTRIC UTILITIES -- 0.6%
AES Corp.+ ............................. 2,600 96,850
TELEPHONE -- 6.1%
AT&T Corp. ............................. 1,625 129,695
AT&T Corp. -- Liberty Media Group, Class
A .................................... 6,114 321,749
</TABLE>
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88
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
TELEPHONE (CONTINUED)
Bell Atlantic Corp. .................... 400 $ 20,675
MCI WorldCom, Inc.+ .................... 3,370 298,456
SBC Communications, Inc. ............... 1,700 80,112
Telecom Italia SpA ADR ................. 5 522
Telecom Italia SpA ..................... 5,518 58,709
-------------
1,006,768
-------------
TOTAL INVESTMENT SECURITIES (cost
$13,292,425).......................... 14,276,921
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 2.2% AMOUNT
<S> <C> <C>
- -----------------------------------------------------------------------
U.S. GOVERNMENT & AGENCIES -- 2.2%
Federal Home Loan Mortgage Corp. 4.82%
due 04/01/99@......................... $ 300,000 300,000
United States Treasury Bills 4.40% due
05/20/99@............................. 30,000 29,820
-------------
TOTAL SHORT-TERM SECURITIES (cost
$329,820)............................. 329,820
-------------
<CAPTION>
REPURCHASE AGREEMENT -- 0.7%
<S> <C> <C>
- -----------------------------------------------------------------------
REPURCHASE AGREEMENT -- 0.7%
Agreement with State Street Bank & Trust
Co., bearing interest at 4.00% dated
03/31/99 to be repurchased 04/01/99 in
the amount of $104,012 and
collateralized by $105,000 of U.S.
Treasury Bonds, bearing interest at
6.25% due 08/15/23 and having an
approximate aggregate value of
$110,250
(cost $104,000)....................... 104,000 104,000
-------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $13,726,245) 98.6% 14,710,741
Other assets less liabilities -- 1.4 205,418
------ -----------
NET ASSETS -- 100.0% $14,916,159
------ -----------
------ -----------
</TABLE>
- -------------
+ Non-income producing security
# Security represents an investment in an affiliated company, see Note 9
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
@ The security or a portion thereof has been segregated as collateral for the
following open futures contracts:
<TABLE>
<CAPTION>
OPEN FUTURES CONTRACTS
- ------------------------------------------------------------------------------------------
VALUE AS OF
NUMBER OF EXPIRATION VALUE AT MARCH 31, UNREALIZED
CONTRACTS DESCRIPTION DATE TRADE DATE 1999 DEPRECIATION
- ------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C> <C>
2 Long Standard & Poors 500
Index June 1999 $ 131,990 $ 129,330 $ (2,660)
------
------
</TABLE>
See Notes to Financial Statements
----------------
89
<PAGE>
- ----------------
SEASONS SERIES TRUST LARGE CAP
COMPOSITE PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK -- 95.7% SHARES VALUE
<S> <C> <C>
- -----------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 7.7%
APPAREL & TEXTILES -- 0.1%
Fruit Of The Loom Ltd. ................. 100 $ 1,037
Nike, Inc., Class B .................... 100 5,769
AUTOMOTIVE -- 0.8%
Dana Corp. ............................. 100 3,800
Ford Motor Co. ......................... 500 28,375
General Motors Corp. ................... 550 47,781
Goodrich (B.F.) Co. .................... 100 3,431
Goodyear Tire & Rubber Co. ............. 100 4,981
PACCAR, Inc. ........................... 100 4,119
Tenneco, Inc. .......................... 100 2,794
TRW, Inc. .............................. 100 4,550
HOUSING -- 0.5%
Black & Decker Corp. ................... 100 5,544
Fortune Brands, Inc. ................... 100 3,869
Grainger (W. W.), Inc. ................. 100 4,306
Lowe's Companies, Inc. ................. 200 12,100
Masco Corp. ............................ 1,000 28,250
Maytag Corp. ........................... 100 6,037
RETAIL -- 6.3%
Albertsons, Inc. ....................... 200 10,862
American Stores Co. .................... 100 3,300
Circuit City Stores, Inc. .............. 100 7,662
Costco Cos., Inc.+ ..................... 100 9,156
CVS Corp. .............................. 500 23,750
Dayton Hudson Corp. .................... 1,200 79,950
Dollar General Corp. ................... 100 3,400
Federated Department Stores, Inc.+ ..... 100 4,013
Fred Meyer, Inc.+ ...................... 600 35,325
Gap, Inc. .............................. 800 53,850
Home Depot, Inc. ....................... 1,800 112,050
Kmart Corp. + .......................... 300 5,044
Kohl's Corp.+ .......................... 100 7,087
Koninklijke Ahold NV ................... 200 7,677
Kroger Co.+ ............................ 200 11,975
Limited, Inc. .......................... 100 3,963
May Department Stores Co. .............. 150 5,869
Nordstrom, Inc. ........................ 100 4,088
Penney (J.C.), Inc. .................... 100 4,050
Rite Aid Corp. ......................... 400 10,000
Safeway, Inc.+ ......................... 1,200 61,575
Saks, Inc.+ ............................ 600 15,600
Sears, Roebuck & Co. ................... 100 4,519
Staples, Inc.+ ......................... 300 9,862
TAG Heuer International SA ADR+ ........ 800 6,700
TAG Heuer International SA+ ............ 100 8,466
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY (CONTINUED)
RETAIL (CONTINUED)
TJX Cos., Inc. ......................... 200 $ 6,800
Toys R Us, Inc. + ...................... 200 3,763
Wal-Mart Stores, Inc. .................. 2,200 202,812
Walgreen Co. ........................... 600 16,950
Winn Dixie Stores, Inc. ................ 100 3,738
-------------
910,599
-------------
CONSUMER STAPLES -- 5.6%
FOOD, BEVERAGE & TOBACCO -- 3.9%
Anheuser-Busch Cos., Inc. .............. 1,200 91,425
Archer-Daniels-Midland Co. ............. 200 2,938
Bestfoods .............................. 200 9,400
Campbell Soup Co. ...................... 200 8,137
Coca-Cola Co. .......................... 1,400 85,925
Coca-Cola Enterprises, Inc. ............ 200 6,050
Compass Group PLC ...................... 600 6,946
ConAgra, Inc. .......................... 200 5,113
General Mills, Inc. .................... 100 7,556
H.J. Heinz & Co. ....................... 200 9,475
Hershey Foods Corp. .................... 100 5,600
Kellogg Co. ............................ 200 6,762
PepsiCo, Inc. .......................... 1,400 54,862
Philip Morris Companies, Inc. .......... 3,200 112,600
Pioneer Hi-Bred International, Inc. .... 100 3,763
Ralston-Ralston Purina Group ........... 100 2,669
RJR Nabisco Holdings Corp. ............. 200 5,000
Seagram Co., Ltd. ...................... 200 10,000
Sysco Corp. ............................ 200 5,262
Unilever NV ............................ 300 19,931
UST, Inc. .............................. 100 2,613
HOUSEHOLD PRODUCTS -- 1.7%
Alberto Culver Co. ..................... 200 4,675
Avon Products, Inc. .................... 200 9,413
Colgate-Palmolive Co. .................. 200 18,400
Fort James Corp. ....................... 100 3,169
Gillette Co. ........................... 800 47,550
Kimberly-Clark Corp. ................... 600 28,762
Newell Rubbermaid Inc. ................. 179 8,494
Procter & Gamble Co. ................... 800 78,350
-------------
660,840
-------------
ENERGY -- 5.8%
ENERGY SERVICES -- 1.2%
Baker Hughes, Inc. ..................... 200 4,863
Halliburton Co. ........................ 2,450 94,325
Schlumberger Ltd. ...................... 600 36,112
USX-Marathon Group, Inc. ............... 200 5,500
</TABLE>
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91
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
ENERGY SOURCES -- 4.6%
Amerada Hess Corp. ..................... 100 $ 5,031
Atlantic Richfield Co. ................. 100 7,300
Burlington Resources, Inc. ............. 100 3,994
Chevron Corp. .......................... 600 53,062
Enron Corp. ............................ 800 51,400
Exxon Corp. ............................ 1,200 84,675
Mobil Corp. ............................ 1,450 127,600
Occidental Petroleum Corp. ............. 200 3,600
Phillips Petroleum Co. ................. 200 9,450
Royal Dutch Petroleum Co. GDR .......... 3,350 174,200
Texaco, Inc. ........................... 300 17,025
Union Pacific Resources Group, Inc. .... 200 2,375
Unocal Corp. ........................... 200 7,363
-------------
687,875
-------------
FINANCE -- 17.6%
BANKS -- 5.7%
AmSouth Bancorp. ....................... 100 4,550
Bank of New York Co., Inc. ............. 1,900 68,281
Bank One Corp. ......................... 1,800 99,112
BankAmerica Corp. ...................... 1,300 91,812
BankBoston Corp. ....................... 100 4,331
BB&T Corp. ............................. 100 3,619
Chase Manhattan Corp. .................. 1,200 97,575
Comerica, Inc. ......................... 100 6,244
Fifth Third Bancorp .................... 100 6,594
First Union Corp. ...................... 700 37,406
Firstar Corp. .......................... 100 8,950
Huntington Bancshares, Inc. ............ 100 3,094
MBNA Corp. ............................. 400 9,550
Mellon Bank Corp. ...................... 900 63,337
Mercantile Bancorp, Inc. ............... 100 4,750
National City Corp. .................... 200 13,275
Northern Trust Corp. ................... 100 8,881
PNC Bank Corp. ......................... 200 11,112
Regions Financial Corp. ................ 100 3,463
Republic New York Corp. ................ 100 4,613
Southtrust Corp. ....................... 100 3,731
St. Paul Cos., Inc. .................... 200 6,213
SunTrust Banks, Inc. ................... 200 12,450
Synovus Financial Corp. ................ 100 2,044
U.S. Bancorp ........................... 2,350 80,047
UBS AG + ............................... 20 6,299
Union Planters Corp. ................... 100 4,394
Wachovia Corp. ......................... 100 8,119
FINANCIAL SERVICES -- 9.0%
AMBAC, Inc. ............................ 200 10,800
American Express Co. ................... 1,000 117,500
American General Corp. ................. 100 7,050
Associates First Capital Corp., Class
A .................................... 1,000 45,000
</TABLE>
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92
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
Bear Stearns Companies, Inc. ........... 105 $ 4,692
Capital One Financial Corp. ............ 500 75,500
Case Corp. ............................. 100 2,538
Charles Schwab Corp. ................... 200 19,225
Citigroup, Inc. ........................ 2,600 166,075
Countrywide Credit Industries, Inc. .... 100 3,750
Dun & Bradstreet Corp. ................. 100 3,563
Federal Home Loan Mortgage Corp. ....... 2,850 162,806
Federal National Mortgage
Association .......................... 2,000 138,500
Fleet Financial Group, Inc. ............ 200 7,525
Household International, Inc. .......... 300 13,687
HSBC Holdings PLC+ ..................... 200 6,271
KeyCorp. ............................... 300 9,094
Lehman Brothers Holdings, Inc. ......... 100 5,975
Merrill Lynch & Co., Inc. .............. 700 61,906
Morgan (J.P.) & Co., Inc. .............. 100 12,337
Morgan Stanley, Dean Witter & Co. ...... 900 89,944
Providian Financial Corp. .............. 100 11,000
SLM Holding Corp. ...................... 100 4,175
Washington Mutual, Inc. ................ 300 12,263
Wells Fargo & Co. ...................... 2,300 80,644
INSURANCE -- 2.9%
Ace Ltd. ............................... 1,000 31,187
Aetna, Inc. ............................ 400 33,200
Allstate Corp. ......................... 400 14,825
American International Group, Inc.# .... 600 72,375
Aon Corp. .............................. 100 6,325
Chubb Corp. ............................ 100 5,856
CIGNA Corp. ............................ 100 8,381
Cinergy Corp. .......................... 100 2,750
Conseco, Inc. .......................... 200 6,175
Equifax, Inc. .......................... 100 3,437
Fairfax Financial Holdings Ltd.+ ....... 80 23,319
Franklin Resources, Inc. ............... 100 2,813
Jefferson Pilot Corp. .................. 100 6,775
Marsh & McLennan Cos., Inc. ............ 100 7,419
MGIC Investment Corp. .................. 100 3,506
Mutual Risk Management Ltd. ............ 700 26,775
PartnerRe Ltd. ......................... 600 24,300
Provident Companies, Inc. .............. 100 3,456
SAFECO Corp. ........................... 100 4,044
The Hartford Financial Services Group,
Inc. ................................. 100 5,681
Torchmark, Inc. ........................ 100 3,163
Travelers Property Casualty Corp., Class
A .................................... 400 14,300
UNUM Corp. ............................. 700 33,294
-------------
2,089,022
-------------
</TABLE>
----------------
93
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE -- 13.1%
DRUGS -- 9.1%
Abbott Laboratories, Inc. .............. 700 $ 32,769
ALZA Corp.+ ............................ 100 3,825
American Home Products Corp. ........... 1,100 71,775
Amgen, Inc.+ ........................... 700 52,412
Biogen, Inc.+ .......................... 850 97,166
Bristol-Myers Squibb Co. ............... 1,900 122,194
Eli Lilly & Co. ........................ 800 67,900
Genentech, Inc.+ ....................... 300 26,587
Genzyme Corp.+ ......................... 1,000 50,437
Merck & Co., Inc. ...................... 2,600 208,487
Novartis AG ............................ 8 13,010
Pfizer, Inc. ........................... 1,600 222,000
Pharmacia & Upjohn, Inc. ............... 300 18,713
Warner-Lambert Co. ..................... 1,400 92,662
HEALTH SERVICES -- 0.7%
Columbia/HCA Healthcare Corp. .......... 400 7,575
Gehe AG ................................ 200 9,126
HEALTHSOUTH Corp.+ ..................... 1,100 11,412
IMS Health, Inc. ....................... 100 3,313
Tenet Healthcare Corp.+ ................ 200 3,788
United HealthCare Corp. ................ 900 47,362
MEDICAL PRODUCTS -- 3.3%
Bausch & Lomb, Inc. .................... 100 6,500
Baxter International, Inc. ............. 100 6,600
Becton Dickinson & Co. ................. 100 3,831
Biomet, Inc. ........................... 100 4,194
Boston Scientific Corp.+ ............... 200 8,113
Cardinal Health, Inc., Class A ......... 100 6,600
Guidant Corp. .......................... 400 24,200
Johnson & Johnson Co. .................. 1,900 178,006
Mckesson HBOC, Inc. .................... 300 19,800
Medtronic, Inc. ........................ 300 21,525
Roche Holdings AG ...................... 2 24,451
Schering-Plough Corp. .................. 1,500 82,969
-------------
1,549,302
-------------
INDUSTRIAL & COMMERCIAL -- 6.1%
AEROSPACE & MILITARY TECHNOLOGY -- 0.9%
AlliedSignal, Inc. ..................... 1,200 59,025
Boeing Co. ............................. 500 17,062
General Dynamics Corp. ................. 100 6,425
Lockheed Martin Corp. .................. 200 7,538
Raytheon Co., Class B .................. 200 11,725
Rockwell International Corp. ........... 100 4,244
BUSINESS SERVICES -- 1.8%
Browning-Ferris Industries, Inc. ....... 100 3,856
Cendant Corp.+ ......................... 400 6,300
Ecolab, Inc. ........................... 100 3,550
Electronic Data Systems Corp. .......... 200 9,738
</TABLE>
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94
<PAGE>
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
BUSINESS SERVICES (CONTINUED)
FDX Corp.+ ............................. 100 $ 9,281
First Data Corp. ....................... 600 25,650
Gartner Group, Inc., Class A+ .......... 600 13,537
Ikon Office Solutions, Inc. ............ 100 1,281
Interpublic Group of Companies, Inc. ... 100 7,788
Owens-Illinois, Inc.+ .................. 100 2,500
Paychex, Inc. .......................... 100 4,744
R.R. Donnelley & Sons Co. .............. 100 3,219
Randstad Holdings NV ................... 200 8,996
Rentokil Initial PLC ................... 2,200 13,497
Service Corp. International ............ 200 2,850
Solectron Corp.+ ....................... 400 19,425
Waste Management, Inc. ................. 1,200 53,250
Wolters Kluwer NV+ ..................... 100 18,165
ELECTRICAL EQUIPMENT -- 0.1%
Dover Corp. ............................ 100 3,288
Emerson Electric Co. ................... 200 10,587
MACHINERY -- 0.9%
Applied Materials, Inc.+ ............... 200 12,337
Caterpillar, Inc. ...................... 200 9,187
Cooper Industries, Inc. ................ 100 4,263
Danaher Corp. .......................... 800 41,800
Deere & Co. ............................ 200 7,725
Illinois Tool Works, Inc. .............. 100 6,187
Ingersoll-Rand Co. ..................... 100 4,963
United Technologies Corp. .............. 100 13,544
MULTI-INDUSTRY -- 2.1%
Avery Dennison Corp. ................... 100 5,750
Hutchison Whampoa Ltd. ................. 3,000 23,614
Minnesota Mining & Manufacturing Co. ... 200 14,150
Sara Lee Corp. ......................... 1,200 29,700
Teleflex, Inc. ......................... 500 17,031
Textron, Inc. .......................... 100 7,738
Tomkins PLC ............................ 7,700 28,344
Tyco International Ltd. ................ 1,700 121,975
TRANSPORTATION -- 0.3%
AMR Corp.+ ............................. 100 5,856
Burlington Northern Santa Fe Corp. ..... 300 9,862
CSX Corp. .............................. 100 3,894
Delta Air Lines, Inc. .................. 100 6,950
Norfolk Southern Corp. ................. 100 2,638
Southwest Airlines Co. ................. 200 6,050
Union Pacific Corp. .................... 100 5,344
-------------
716,423
-------------
</TABLE>
----------------
95
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT -- 7.2%
BROADCASTING & MEDIA -- 5.2%
CBS Corp.+ ............................. 3,050 $ 124,859
Clear Channel Communications, Inc.+ .... 1,450 97,241
Cox Communications, Inc, Class A+ ...... 200 15,125
Fox Entertainment Group, Inc., Class
A+ ................................... 900 24,412
Infinity Broadcasting Corp., Class A ... 800 20,600
Knight-Ridder, Inc. .................... 100 5,000
Loews Corp. ............................ 100 7,462
MediaOne Group, Inc.+ .................. 1,300 82,550
New York Times Co., Class A ............ 100 2,850
Omnicom Group, Inc. .................... 600 47,962
Placer Dome, Inc. ...................... 200 2,238
Time Warner, Inc. ...................... 1,750 124,359
Tribune Co. ............................ 400 26,175
VNU NV ................................. 500 19,517
Viacom, Inc., Class B+ ................. 100 8,394
ENTERTAINMENT PRODUCTS -- 0.2%
Eastman Kodak Co. ...................... 100 6,388
Hasbro, Inc. ........................... 600 17,362
Mattel, Inc. ........................... 100 2,488
Polaroid Corp. ......................... 100 2,006
LEISURE & TOURISM -- 1.8%
Carnival Corp, Class A ................. 500 24,281
Disney (Walt) Co. ...................... 1,100 34,238
Marriott International, Inc., Class
A .................................... 200 6,725
McDonald's Corp. ....................... 2,500 113,281
Mirage Resorts, Inc.+ .................. 1,000 21,250
Tricon Global Restaurants, Inc.+ ....... 100 7,025
Wendy's International, Inc. ............ 100 2,844
-------------
846,632
-------------
INFORMATION TECHNOLOGY -- 23.0%
COMMUNICATION EQUIPMENT -- 1.4%
3Com Corp. + ........................... 200 4,662
Andrew Corp.+ .......................... 100 1,231
Ascend Communications, Inc.+ ........... 400 33,475
Cabletron Systems, Inc.+ ............... 100 819
General Instrument Corp.+ .............. 100 3,031
Lucent Technologies, Inc. .............. 1,000 107,750
Tellabs, Inc.+ ......................... 100 9,775
Unisys Corp.+ .......................... 100 2,769
COMPUTERS & BUSINESS EQUIPMENT -- 7.1%
Apple Computer, Inc.+ .................. 100 3,594
Automatic Data Processing, Inc. ........ 800 33,100
Cisco Systems, Inc.+ ................... 1,800 197,212
Compaq Computer Corp. .................. 800 25,350
Computer Sciences Corp.+ ............... 100 5,519
Dell Computer Corp.+ ................... 2,600 106,275
EMC Corp.+ ............................. 1,150 146,913
Gateway 2000, Inc.+ .................... 100 6,856
</TABLE>
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96
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
COMPUTERS & BUSINESS
EQUIPMENT (CONTINUED)
Hewlett-Packard Co. .................... 900 $ 61,031
Honeywell, Inc. ........................ 600 45,488
International Business Machines
Corp. ................................ 950 168,387
Micron Technology, Inc.+ ............... 100 4,825
Pitney Bowes, Inc. ..................... 100 6,375
Seagate Technology, Inc.+ .............. 100 2,956
Silicon Graphics, Inc.+ ................ 100 1,669
Tandy Corp. ............................ 100 6,381
Xerox Corp. ............................ 300 16,013
ELECTRONICS -- 6.8%
Altera Corp.+ .......................... 300 17,850
AMP, Inc. .............................. 100 5,369
Eaton Corp. ............................ 100 7,150
General Electric Co. ................... 3,150 348,469
Getronics NV+ .......................... 300 11,093
Intel Corp. ............................ 1,800 214,425
LSI Logic Corp.+ ....................... 100 3,119
Maxim Integrated Products, Inc.+ ....... 600 32,475
Motorola, Inc. ......................... 1,000 73,250
National Semiconductor Corp.+ .......... 100 931
Scientific-Atlanta, Inc. ............... 100 2,725
Texas Instruments, Inc. ................ 900 89,325
SOFTWARE -- 5.9%
America Online, Inc.+ .................. 600 87,600
BMC Software, Inc. ..................... 900 33,356
Ceridian Corp.+ ........................ 200 7,313
Computer Associates International,
Inc. ................................. 300 10,669
Compuware Corp.+ ....................... 800 19,100
Microsoft Corp.+ ....................... 4,700 421,237
Networks Associates, Inc.+ ............. 700 21,481
Novell, Inc.+ .......................... 200 5,038
Oracle Corp.+ .......................... 700 18,463
Parametric Technology Corp.+ ........... 1,900 37,525
PeopleSoft, Inc.+ ...................... 200 2,925
Sterling Commerce, Inc.+ ............... 300 9,225
Sun Microsystems, Inc.+ ................ 200 24,987
The Learning Co., Inc.+ ................ 300 8,700
TELECOMMUNICATIONS -- 1.8%
AirTouch Communications, Inc.+ ......... 500 48,312
Ameritech Corp. ........................ 500 28,937
Comcast Corp, Class A .................. 200 12,588
Corning, Inc. .......................... 400 24,000
Frontier Corp. ......................... 100 5,188
Gannett Co., Inc. ...................... 200 12,600
Nextel Communications, Inc., Class
A+ ................................... 200 7,325
Northern Telecom Ltd. .................. 300 18,637
Qwest Communications International,
Inc.+ ................................ 200 14,419
Sprint Corp. ........................... 200 19,625
Sprint (PCS) Corp.+ .................... 200 8,862
</TABLE>
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97
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
U.S. West, Inc. ........................ 200 $ 11,013
-------------
2,726,762
-------------
MATERIALS -- 1.6%
CHEMICALS -- 0.7%
Air Products & Chemicals, Inc. ......... 100 3,425
Dow Chemical Co. ....................... 100 9,319
du Pont (E.I.) de Nemours & Co. ........ 500 29,031
Eastman Chemical Co. ................... 100 4,206
Monsanto Co. ........................... 300 13,781
Morton International, Inc. ............. 100 3,675
PPG Industries, Inc. ................... 100 5,125
Rohm & Haas Co. ........................ 100 3,356
Sherwin Williams Co. ................... 100 2,813
Sigma-Aldrich Corp. .................... 100 2,925
Union Carbide Corp. .................... 100 4,519
FOREST PRODUCTS -- 0.6%
Champion International Corp. ........... 100 4,106
Georgia-Pacific Corp. .................. 750 55,687
International Paper Co. ................ 200 8,438
Louisiana-Pacific Corp. ................ 100 1,863
Mead Corp. ............................. 100 3,075
Weyerhaeuser Co. ....................... 100 5,550
METALS & MINERALS -- 0.3%
Alcan Aluminium Ltd. ................... 100 2,581
Alcoa, Inc. ............................ 200 8,237
Allegheny Teldyne, Inc. ................ 100 1,894
Barrick Gold Corp.+ .................... 200 3,413
Bethlehem Steel Corp.+ ................. 100 825
Crown, Cork & Seal Co., Inc. ........... 100 2,856
Cyprus Amax Minerals Co. ............... 100 1,213
Inco Ltd. .............................. 100 1,331
Newmont Mining Corp. ................... 100 1,750
Phelps Dodge Corp. ..................... 100 4,925
Raychem Corp. .......................... 100 2,256
USX-US Steel Group, Inc. ............... 100 2,350
-------------
194,525
-------------
REAL ESTATE -- 0.4%
REAL ESTATE COMPANIES -- 0.1%
Security Capital US Realty+ ............ 1,600 12,560
REAL ESTATE INVESTMENT TRUSTS -- 0.3%
Crescent Real Estate Equities Co. ...... 500 10,750
Starwood Hotels & Resorts Worldwide,
Inc. ................................. 800 22,850
-------------
46,160
-------------
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
UTILITIES -- 7.6%
ELECTRIC UTILITIES -- 1.2%
AES Corp.+ ............................. 100 $ 3,725
Ameren Corp. ........................... 100 3,619
American Electric Power Co., Inc. ...... 100 3,969
Carolina Power & Light Co. ............. 100 3,781
Central & South West Corp. ............. 100 2,344
Consolidated Edison, Inc. .............. 100 4,531
Dominion Resources, Inc. ............... 100 3,694
DTE Energy Co. ......................... 100 3,844
Duke Energy Corp. ...................... 200 10,925
Edison International ................... 100 2,225
Entergy Corp. .......................... 100 2,750
FirstEnergy Corp. ...................... 200 5,587
FPL Group, Inc. ........................ 100 5,325
GPU, Inc. .............................. 100 3,731
Pacific Gas & Electric Corp. ........... 200 6,212
PacifiCorp ............................. 200 3,450
PECO Energy Co. ........................ 900 41,625
Public Service Enterprise Group,
Inc. ................................. 100 3,819
Sempra Energy .......................... 100 1,919
Southern Co. ........................... 400 9,325
Texas Utilities Co. .................... 100 4,169
Unicom Corp. ........................... 200 7,312
GAS & PIPELINE UTILITIES -- 0.1%
Coastal Corp. .......................... 100 3,300
Consolidated Natural Gas Co. ........... 100 4,869
Reliant Energy, Inc. ................... 100 2,606
Williams Companies, Inc. ............... 200 7,900
TELEPHONE -- 6.3%
Alltel Corp. ........................... 200 12,475
AT&T Corp. ............................. 1,905 152,043
Bell Atlantic Corp. .................... 1,750 90,453
BellSouth Corp. ........................ 900 36,056
Century Telephone Enterprises, Inc. .... 100 7,025
GTE Corp. .............................. 700 42,350
MCI WorldCom, Inc.+ .................... 2,850 252,403
SBC Communications, Inc. ............... 2,300 108,388
Telecom Italia SpA ..................... 2,600 27,663
Telecomunicacoes de Brasileiras ........ 200 16,125
-------------
901,537
-------------
TOTAL COMMON STOCK (cost $10,857,877)... 11,329,677
-------------
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 0.5% AMOUNT
<S> <C> <C>
- -----------------------------------------------------------------------
U.S. GOVERNMENT & AGENCIES -- 0.5%
U.S. GOVERNMENT & AGENCIES -- 0.5%
United States Treasury Bonds 5.25% 2029
(cost $57,199) ....................... $ 60,000 56,719
-------------
TOTAL INVESTMENT SECURITIES (cost
$10,915,076).......................... 11,386,396
-------------
</TABLE>
----------------
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<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 1.4% AMOUNT VALUE
- -----------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES -- 1.1%
Ciesco L.P. 4.81% due 4/19/99 (cost
$134,675)............................. $ 135,000 $ 134,675
-------------
U.S. GOVERNMENT & AGENCIES -- 0.3%
United States Treasury Bills 4.40% due
5/20/99 (cost $29,820)@............... 30,000 29,820
-------------
TOTAL SHORT-TERM SECURITIES (cost
$164,495)............................. 164,495
-------------
<CAPTION>
REPURCHASE AGREEMENTS -- 1.4%
<S> <C> <C>
- -----------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 1.4%
Agreement with State Street Bank & Trust
Co., bearing interest at 4.00% dated
03/31/99 to be repurchased 04/01/99 in
the amount of $114,013 and
collateralized by $110,000 of U.S.
Treasury Bonds, bearing interest at
6.375% due 08/15/27 and having an
approximate aggregate value of
$118,663@............................. 114,000 114,000
State Street Bank & Trust Co. Joint
Repurchase Agreement Account (Note
3).................................... 48,000 48,000
-------------
TOTAL REPURCHASE AGREEMENTS (cost
$162,000)............................. 162,000
-------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $11,241,571) 99.0% 11,712,891
Other assets less liabilities -- 1.0 120,908
----- -------------
NET ASSETS -- 100.0% $ 11,833,799
----- -------------
----- -------------
</TABLE>
+ Non-income producing security
# Security represents an investment in an affiliated company, see Note 9
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
@ The security or a portion thereof has been segregated as collateral for the
following open futures contracts:
OPEN FUTURES CONTRACTS
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------
VALUE AS OF
NUMBER OF EXPIRATION VALUE AT MARCH 31, UNREALIZED
CONTRACTS DESCRIPTION DATE TRADE DATE 1999 DEPRECIATION
- ---------------------------------------------------------------------------------
<C> <S> <C> <C> <C> <C>
Standard & Poors 500
2 Long Index June 1999 $ 131,988 $ 129,330 $ (2,658)
-----------
-----------
</TABLE>
See Notes to Financial Statements
- ----------------
100
<PAGE>
- ----------------
SEASONS SERIES TRUST
LARGE CAP VALUE PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK -- 96.5% SHARES VALUE
<S> <C> <C>
- -------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 6.6%
APPAREL & TEXTILES -- 0.2%
Fruit Of The Loom, Ltd. .............................. 100 $ 1,038
Liz Claiborne, Inc. .................................. 100 3,262
Nike, Inc., Class B................................... 200 11,537
V.F. Corp. ........................................... 100 4,719
AUTOMOTIVE -- 3.0%
AutoZone, Inc.+ ...................................... 100 3,038
Cummins Engine Co., Inc. ............................. 100 3,556
Dana Corp. ........................................... 200 7,600
Ford Motor Co. ....................................... 2,000 113,500
General Motors Corp. ................................. 1,900 165,062
Genuine Parts Co. .................................... 1,400 40,337
Goodrich (B.F.) Co. .................................. 100 3,431
Goodyear Tire & Rubber Co. ........................... 200 9,963
Navistar International Corp., Inc.+ .................. 100 4,019
PACCAR, Inc. ......................................... 100 4,119
Pep Boys-Manny, Moe & Jack............................ 100 1,525
Ryder System, Inc. ................................... 700 19,337
Tenneco, Inc. ........................................ 200 5,588
TRW, Inc. ............................................ 600 27,300
HOUSING -- 1.2%
Black & Decker Corp. ................................. 100 5,544
Briggs & Stratton Corp. .............................. 100 4,931
Centex Corp. ......................................... 100 3,338
Fortune Brands, Inc. ................................. 1,300 50,294
Grainger (W. W.), Inc. ............................... 100 4,306
Lowe's Companies, Inc. ............................... 300 18,150
Masco Corp. .......................................... 400 11,300
Maytag Corp. ......................................... 100 6,038
Stanley Works......................................... 700 17,937
Whirlpool Corp. ...................................... 700 38,062
RETAIL -- 2.2%
Albertsons, Inc. ..................................... 200 10,863
American Stores Co. .................................. 300 9,900
Circuit City Stores, Inc. ............................ 100 7,663
Consolidated Stores Corp.+ ........................... 100 3,031
Costco Cos., Inc.+ ................................... 200 18,312
Dillards, Inc. ....................................... 100 2,538
Federated Department Stores, Inc.+ ................... 200 8,025
Fred Meyer, Inc.+ .................................... 200 11,775
Harcourt General, Inc. ............................... 100 4,431
Kmart Corp.+ ......................................... 500 8,406
Limited, Inc. ........................................ 300 11,887
May Department Stores Co. ............................ 2,500 97,812
Nordstrom, Inc. ...................................... 200 8,175
Penney (J.C.), Inc. .................................. 1,000 40,500
</TABLE>
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<PAGE>
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY (CONTINUED)
RETAIL (CONTINUED)
Rite Aid Corp. ....................................... 300 $ 7,500
Sears, Roebuck & Co. ................................. 400 18,075
The Sports Authority, Inc.+ .......................... 600 4,388
Toys R Us, Inc.+ ..................................... 1,500 28,219
Winn Dixie Stores, Inc. .............................. 100 3,738
-------------
894,069
-------------
CONSUMER STAPLES -- 6.3%
FOOD, BEVERAGE & TOBACCO -- 4.6%
Anheuser-Busch Cos., Inc. ............................ 1,100 83,806
Archer-Daniels-Midland Co. ........................... 700 10,281
Brown-Forman Corp., Class B........................... 500 28,813
Campbell Soup Co. .................................... 500 20,344
ConAgra, Inc. ........................................ 500 12,781
Corn Products International, Inc.+ ................... 1,000 23,938
Flowers Industries, Inc. ............................. 1,200 29,550
General Mills, Inc. .................................. 1,000 75,562
H.J. Heinz & Co. ..................................... 600 28,425
Kellogg Co. .......................................... 1,000 33,813
McCormick & Co., Inc. ................................ 1,200 34,800
Philip Morris Cos., Inc. ............................. 1,500 52,781
Pioneer Hi-Bred International, Inc. .................. 200 7,525
Quaker Oats Co. ...................................... 800 50,050
RJR Nabisco Holdings Corp. ........................... 1,400 35,000
Seagram Co., Ltd. .................................... 400 20,000
SUPERVALU, Inc. ...................................... 200 4,125
Universal Corp. ...................................... 1,400 35,788
UST, Inc. ............................................ 1,500 39,187
HOUSEHOLD PRODUCTS -- 1.7%
Fort James Corp. ..................................... 800 25,350
International Flavors & Fragrances, Inc. ............. 1,500 56,344
Kimberly-Clark Corp. ................................. 2,200 105,462
Newell Rubbermaid, Inc. .............................. 558 26,489
Tupperware Corp. ..................................... 700 12,600
-------------
852,814
-------------
ENERGY -- 13.7%
ENERGY SERVICES -- 1.4%
Baker Hughes, Inc. ................................... 2,000 48,625
Halliburton Co. ...................................... 400 15,400
Santa Fe International Corp. ......................... 800 14,950
Schlumberger Ltd. .................................... 600 36,112
USX-Marathon Group, Inc. ............................. 2,600 71,500
ENERGY SOURCES -- 12.3%
Amerada Hess Corp. ................................... 1,000 50,313
Anadarko Petroleum Corp. ............................. 100 3,775
Apache Corp. ......................................... 100 2,606
Atlantic Richfield Co. ............................... 1,400 102,200
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
ENERGY SOURCES (CONTINUED)
BP Amoco PLC.......................................... 1,600 $ 161,500
Burlington Resources, Inc. ........................... 1,100 43,931
Chevron Corp. ........................................ 1,500 132,656
Conoco, Inc., Class A ................................ 200 4,913
Enron Corp. .......................................... 300 19,275
Equitable Resources, Inc. ............................ 2,000 52,125
Exxon Corp. .......................................... 3,700 261,081
Kerr-McGee Corp. ..................................... 100 3,281
Mobil Corp. .......................................... 1,500 132,000
Noble Drilling Corp.+ ................................ 500 8,656
Occidental Petroleum Corp. ........................... 700 12,600
Phillips Petroleum Co. ............................... 800 37,800
Royal Dutch Petroleum Co. GDR ........................ 3,200 166,400
Shell Transport & Trading Co. PLC..................... 2,600 105,625
Sonat, Inc. .......................................... 100 3,000
Sunoco, Inc. ......................................... 100 3,606
Texaco, Inc. ......................................... 2,200 124,850
Union Pacific Resources Group, Inc. .................. 5,900 70,063
Unocal Corp. ......................................... 3,800 139,888
YPF Sociedad Anonima ADR.............................. 1,300 41,031
-------------
1,869,762
-------------
FINANCE -- 21.8%
BANKS -- 8.8%
AmSouth Bancorp. ..................................... 100 4,550
Bank of New York Co., Inc. ........................... 800 28,750
Bank One Corp. ....................................... 2,000 110,125
BankAmerica Corp. .................................... 2,300 162,437
BankBoston Corp. ..................................... 1,500 64,969
BB&T Corp. ........................................... 300 10,856
Chase Manhattan Corp. ................................ 1,900 154,494
Comerica, Inc. ....................................... 200 12,488
Fifth Third Bancorp................................... 300 19,781
First Union Corp. .................................... 1,000 53,437
Golden West Financial Corp. .......................... 100 9,550
Huntington Bancshares, Inc. .......................... 300 9,281
Lincoln National Corp. ............................... 400 39,550
Mellon Bank Corp. .................................... 1,700 119,637
Mercantile Bancorp, Inc. ............................. 100 4,750
Mercantile Bankshares Corp. .......................... 1,800 66,600
National City Corp. .................................. 2,600 172,575
Northern Trust Corp. ................................. 100 8,881
PNC Bank Corp. ....................................... 300 16,669
Regions Financial Corp. .............................. 200 6,925
Republic New York Corp. .............................. 100 4,613
Southtrust Corp. ..................................... 100 3,731
St. Paul Cos., Inc. .................................. 1,800 55,912
Summit Bancorp. ...................................... 200 7,800
SunTrust Banks, Inc. ................................. 300 18,675
Union Planters Corp. ................................. 200 8,788
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
BANKS (CONTINUED)
Wachovia Corp. ....................................... 200 $ 16,238
FINANCIAL SERVICES -- 9.5%
American General Corp. ............................... 1,000 70,500
Associates First Capital Corp., Class A............... 3,300 148,500
Bear Stearns Cos., Inc. .............................. 105 4,692
Capital One Financial Corp. .......................... 100 15,100
Case Corp. ........................................... 100 2,538
CIT Group, Inc., Class A.............................. 500 15,281
Citigroup, Inc. ...................................... 5,600 357,700
Countrywide Credit Industries, Inc. .................. 100 3,750
Dow Jones & Co., Inc. ................................ 600 28,313
Dun & Bradstreet Corp. ............................... 800 28,500
Fannie Mae............................................ 2,400 166,200
Fleet Financial Group, Inc. .......................... 1,500 56,438
H&R Block, Inc. ...................................... 800 37,900
Heller Financial, Inc., Class A+ ..................... 800 18,800
Household International, Inc. ........................ 1,500 68,437
KeyCorp. ............................................. 500 15,156
Lehman Brothers Holdings, Inc. ....................... 100 5,975
Merrill Lynch & Co., Inc. ............................ 400 35,375
Morgan (J.P.) & Co., Inc. ............................ 700 86,362
Morgan Stanley, Dean Witter & Co. .................... 600 59,962
State Street Corp. ................................... 200 16,438
Washington Mutual, Inc. .............................. 600 24,525
Wells Fargo & Co. .................................... 900 31,556
INSURANCE -- 3.5%
Aetna, Inc. .......................................... 400 33,200
Allstate Corp. ....................................... 800 29,650
Aon Corp. ............................................ 100 6,325
Chubb Corp. .......................................... 700 40,994
CIGNA Corp. .......................................... 900 75,431
Cincinnati Financial Corp. ........................... 200 7,288
Conseco, Inc. ........................................ 800 24,700
Franklin Resources, Inc. ............................. 300 8,438
Jefferson Pilot Corp. ................................ 100 6,775
Marsh & McLennan Cos., Inc. .......................... 700 51,931
MBIA, Inc. ........................................... 400 23,200
MGIC Investment Corp. ................................ 200 7,013
Progressive Corp. .................................... 100 14,350
Provident Cos., Inc. ................................. 100 3,456
SAFECO Corp. ......................................... 1,200 48,525
The Hartford Financial Services Group, Inc. .......... 200 11,362
Torchmark, Inc. ...................................... 100 3,163
Transamerica Corp. ................................... 700 49,700
UNUM Corp. ........................................... 200 9,512
XL Capital Ltd........................................ 400 24,300
-------------
2,969,373
-------------
</TABLE>
- ----------------
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE -- 6.2%
DRUGS -- 3.0%
Abbott Laboratories, Inc. ............................ 400 $ 18,725
Allergan, Inc. ....................................... 100 8,787
American Home Products Corp. ......................... 2,200 143,550
Mallinckrodt, Inc. ................................... 100 2,663
Pharmacia & Upjohn, Inc. ............................. 3,800 237,025
HEALTH SERVICES -- 2.1%
Columbia/HCA Healthcare Corp. ........................ 4,600 87,112
HEALTHSOUTH Corp.+ ................................... 2,400 24,900
Humana, Inc.+ ........................................ 200 3,450
Shared Medical Systems Corp. ......................... 100 5,569
Tenet Healthcare Corp.+ .............................. 2,700 51,131
United HealthCare Corp. .............................. 500 26,313
Wellpoint Health Networks, Inc., Class A+ ............ 1,100 83,394
MEDICAL PRODUCTS -- 1.1%
Bausch & Lomb, Inc. .................................. 500 32,500
Baxter International, Inc. ........................... 1,400 92,400
Biomet, Inc. ......................................... 200 8,387
Smith & Nephew PLC.................................... 6,400 15,706
St. Jude Medical, Inc.+ .............................. 100 2,438
-------------
844,050
-------------
INDUSTRIAL & COMMERCIAL -- 9.4%
AEROSPACE & MILITARY TECHNOLOGY -- 1.5%
AlliedSignal, Inc. ................................... 1,400 68,862
Boeing Co. ........................................... 1,800 61,425
General Dynamics Corp. ............................... 100 6,425
ITT Industries, Inc. ................................. 100 3,538
Lockheed Martin Corp. ................................ 600 22,612
Northrop Grumman Corp. ............................... 200 11,975
Raytheon Co., Class B................................. 400 23,450
Rockwell International Corp. ......................... 200 8,488
BUSINESS SERVICES -- 3.0%
Armstrong World Industries, Inc. ..................... 700 31,631
Browning-Ferris Industries, Inc. ..................... 1,400 53,987
Cendant Corp.+ ....................................... 900 14,175
DeLuxe Corp. ......................................... 100 2,912
Electronic Data Systems Corp. ........................ 500 24,344
FDX Corp.+ ........................................... 100 9,281
First Data Corp. ..................................... 3,400 145,350
Ikon Office Solutions, Inc. .......................... 200 2,563
Laidlaw, Inc. ........................................ 300 1,744
Owens-Illinois, Inc.+ ................................ 100 2,500
Pall Corp. ........................................... 1,700 28,156
R.R. Donnelley & Sons Co. ............................ 800 25,750
Rowan Cos., Inc.+ .................................... 200 2,538
Service Corp. International........................... 300 4,275
Waste Management, Inc. ............................... 1,200 53,250
</TABLE>
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105
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
ELECTRICAL EQUIPMENT -- 0.2%
Hubbell, Inc., Class B................................ 600 $ 24,000
Johnson Controls, Inc. ............................... 100 6,238
Thomas & Betts Corp. ................................. 100 3,756
MACHINERY -- 1.6%
Aeroquip-Vickers, Inc. ............................... 100 5,731
Applied Materials, Inc.+ ............................. 400 24,675
Caterpillar, Inc. .................................... 400 18,375
Cooper Industries, Inc. .............................. 800 34,100
Deere & Co. .......................................... 800 30,900
Illinois Tool Works, Inc. ............................ 200 12,375
Ingersoll-Rand Co. ................................... 200 9,925
Milacron, Inc. ....................................... 400 6,300
New Holland NV. ...................................... 1,000 10,250
Parker Hannifin Corp. ................................ 100 3,425
Precision Castparts Corp. ............................ 700 28,175
Snap-On Tools Corp. .................................. 100 2,900
United Technologies Corp. ............................ 200 27,088
MULTI-INDUSTRY -- 0.8%
Crane Co. ............................................ 100 2,419
Minnesota Mining & Manufacturing Co. ................. 1,100 77,825
Textron, Inc. ........................................ 100 7,737
Thermo Electron Corp.+ ............................... 200 2,713
Tomkins PLC........................................... 6,500 23,927
TRANSPORTATION -- 2.3%
Alexander & Baldwin, Inc. ............................ 400 7,850
AMR Corp.+ ........................................... 200 11,713
Burlington Northern Santa Fe Corp. ................... 1,400 46,025
Canadian National Railway Co. ........................ 400 22,250
CSX Corp. ............................................ 1,200 46,725
Delta Air Lines, Inc. ................................ 200 13,900
Gatx Corp. ........................................... 400 13,175
Norfolk Southern Corp. ............................... 2,500 65,937
Union Pacific Corp. .................................. 1,500 80,156
-------------
1,279,796
-------------
INFORMATION & ENTERTAINMENT -- 5.0%
BROADCASTING & MEDIA -- 2.3%
CBS Corp.+ ........................................... 700 28,656
Clear Channel Communications, Inc.+ .................. 300 20,119
Knight-Ridder, Inc. .................................. 900 45,000
Loews Corp. .......................................... 100 7,462
McGraw-Hill Companies, Inc. .......................... 200 10,900
MediaOne Group, Inc.+ ................................ 600 38,100
New York Times Co., Class A........................... 200 5,700
News Corp. Ltd. ADR................................... 1,000 27,500
Placer Dome, Inc. .................................... 300 3,356
Readers Digest Association, Inc., Class A............. 800 25,150
Time Warner, Inc. .................................... 1,100 78,169
Tribune Co. .......................................... 100 6,544
</TABLE>
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106
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
BROADCASTING & MEDIA (CONTINUED)
Viacom, Inc., Class B+ ............................... 300 $ 25,181
ENTERTAINMENT PRODUCTS -- 1.2%
Brunswick Corp. ...................................... 1,500 28,594
Eastman Kodak Co. .................................... 1,900 121,362
Hasbro, Inc. ......................................... 150 4,341
Mattel, Inc. ......................................... 300 7,463
Polaroid Corp. ....................................... 100 2,006
LEISURE & TOURISM -- 1.5%
Carnival Corp, Class A................................ 600 29,138
Darden Restaurants, Inc. ............................. 100 2,063
Disney (Walt) Co. .................................... 2,100 65,362
Harrah's Entertainment, Inc.+ ........................ 100 1,906
Hilton Hotels Corp. .................................. 1,200 16,875
Marriott International, Inc., Class A................. 200 6,725
McDonald's Corp. ..................................... 1,400 63,437
Mirage Resorts, Inc.+ ................................ 300 6,375
USAirways Group, Inc.+ ............................... 100 4,881
Wendy's International, Inc. .......................... 200 5,688
-------------
688,053
-------------
INFORMATION TECHNOLOGY -- 6.0%
COMMUNICATION EQUIPMENT -- 0.1%
3Com Corp.+ .......................................... 300 6,994
Andrew Corp.+ ........................................ 100 1,231
Cabletron Systems, Inc.+ ............................. 200 1,638
Unisys Corp.+ ........................................ 300 8,306
COMPUTERS & BUSINESS EQUIPMENT -- 2.6%
Apple Computer, Inc.+ ................................ 200 7,188
Compaq Computer Corp. ................................ 1,700 53,869
Computer Sciences Corp.+ ............................. 200 11,037
Data General Corp.+ .................................. 100 1,013
Hewlett-Packard Co. .................................. 2,600 176,312
Honeywell, Inc. ...................................... 500 37,906
Micron Technology, Inc.+ ............................. 300 14,475
Seagate Technology, Inc.+ ............................ 300 8,869
Silicon Graphics, Inc.+ .............................. 200 3,338
Tandy Corp. .......................................... 100 6,381
Xerox Corp. .......................................... 700 37,362
ELECTRONICS -- 1.5%
Advanced Micro Devices, Inc.+ ........................ 100 1,550
AMP, Inc. ............................................ 200 10,737
Eaton Corp. .......................................... 100 7,150
Emerson Electric Co. ................................. 500 26,469
General Electric Co. ................................. 500 55,312
KLA-Tencor Corp.+ .................................... 100 4,856
LSI Logic Corp.+ ..................................... 200 6,238
Motorola, Inc. ....................................... 600 43,950
National Semiconductor Corp.+ ........................ 200 1,863
</TABLE>
----------------
107
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
ELECTRONICS (CONTINUED)
Scientific-Atlanta, Inc. ............................. 100 $ 2,725
Texas Instruments, Inc. .............................. 400 39,700
SOFTWARE -- 0.1%
Adobe Systems, Inc. .................................. 100 5,675
Novell, Inc.+ ........................................ 400 10,075
TELECOMMUNICATIONS -- 1.7%
BCE, Inc. ............................................ 800 35,450
Frontier Corp. ....................................... 200 10,375
Gannett Co., Inc. .................................... 900 56,700
Harris Corp. ......................................... 200 5,725
Nextel Communications, Inc., Class A+ ................ 300 10,988
Sprint Corp. ......................................... 400 39,250
Sprint (PCS) Corp.+................................... 400 17,725
U.S. West, Inc. ...................................... 1,000 55,062
-------------
823,494
-------------
MATERIALS -- 7.5%
CHEMICALS -- 4.0%
Air Products & Chemicals, Inc. ....................... 200 6,850
Ashland, Inc. ........................................ 1,400 57,312
Dow Chemical Co. ..................................... 900 83,869
du Pont (E.I.) de Nemours & Co. ...................... 2,000 116,125
Eastman Chemical Co. ................................. 100 4,206
Engelhard Corp. ...................................... 100 1,694
Great Lakes Chemical Corp. ........................... 1,000 36,750
Hercules, Inc. ....................................... 1,500 37,875
IMC Global, Inc. ..................................... 1,800 36,787
Imperial Chemical Industries, PLC..................... 500 17,906
Monsanto Co. ......................................... 600 27,562
Morton International, Inc. ........................... 200 7,350
Nalco Chemical Co. ................................... 800 21,250
PPG Industries, Inc. ................................. 800 41,000
Praxair, Inc. ........................................ 200 7,213
Rohm & Haas Co. ...................................... 200 6,713
Sherwin Williams Co. ................................. 200 5,625
Sigma-Aldrich Corp. .................................. 100 2,925
Union Carbide Corp. .................................. 200 9,038
Witco Corp. .......................................... 1,100 13,956
FOREST PRODUCTS -- 1.6%
American Greetings Corp., Class A..................... 100 2,538
Bowater, Inc. ........................................ 400 15,850
Champion International Corp. ......................... 100 4,106
Consolidated Papers, Inc. ............................ 1,000 23,500
Georgia-Pacific Corp. ................................ 400 29,700
Georgia-Pacific Timber Group.......................... 1,100 24,681
International Paper Co. .............................. 900 37,969
Louisiana-Pacific Corp. .............................. 200 3,725
Mead Corp. ........................................... 100 3,075
Union Camp Corp. ..................................... 900 60,412
</TABLE>
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108
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS (CONTINUED)
FOREST PRODUCTS (CONTINUED)
Westvaco Corp. ....................................... 100 $ 2,100
Weyerhaeuser Co. ..................................... 200 11,100
Willamette Industries, Inc. .......................... 100 3,775
METALS & MINERALS -- 1.9%
Alcan Aluminium Ltd. ................................. 200 5,163
Alcoa, Inc. .......................................... 2,100 86,494
Allegheny Teldyne, Inc. .............................. 300 5,681
Arch Chemicals, Inc.+ ................................ 400 6,700
Barrick Gold Corp. ................................... 400 6,825
Bethlehem Steel Corp.+ ............................... 200 1,650
Crown, Cork & Seal Co., Inc. ......................... 400 11,425
Cyprus Amax Minerals Co. ............................. 100 1,213
Fluor Corp. .......................................... 100 2,700
Homestake Mining Co. ................................. 200 1,725
Inco Ltd. ............................................ 1,500 19,969
Newmont Mining Corp. ................................. 1,300 22,750
Nucor Corp. .......................................... 100 4,406
Olin Corp. ........................................... 800 8,050
Phelps Dodge Corp. ................................... 600 29,550
Raychem Corp. ........................................ 100 2,256
Reynolds Metals Co. .................................. 900 43,481
USX-US Steel Group, Inc. ............................. 100 2,350
-------------
1,026,925
-------------
REAL ESTATE -- 0.9%
REAL ESTATE INVESTMENT TRUSTS -- 0.9%
Crescent Real Estate Equities Co. .................... 900 19,350
Rouse Co. ............................................ 600 13,313
Simon Property Group, Inc............................. 1,400 38,412
Starwood Hotels & Resorts Worldwide, Inc.@ ........... 1,600 45,700
Weingarten Realty Investors........................... 200 7,925
-------------
124,700
-------------
UTILITIES -- 13.1%
ELECTRIC UTILITIES -- 4.4%
AES Corp.+ ........................................... 200 7,450
Ameren Corp. ......................................... 100 3,619
American Electric Power Co., Inc. .................... 200 7,937
Carolina Power & Light Co. ........................... 100 3,781
Central & South West Corp. ........................... 1,300 30,469
Cinergy Corp. ........................................ 100 2,750
Consolidated Edison, Inc. ............................ 300 13,594
Dominion Resources, Inc. ............................. 200 7,388
DQE, Inc. ............................................ 700 26,862
DTE Energy Co. ....................................... 200 7,688
Duke Energy Corp. .................................... 1,000 54,625
Edison International.................................. 300 6,675
Entergy Corp. ........................................ 800 22,000
FirstEnergy Corp. .................................... 1,600 44,700
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
ELECTRIC UTILITIES (CONTINUED)
FPL Group, Inc. ...................................... 200 $ 10,650
GPU, Inc. ............................................ 1,300 48,506
New Century Energies, Inc. ........................... 100 3,406
Niagara Mohawk Holdings, Inc.......................... 100 1,344
Northern States Power Co. ............................ 100 2,319
PP&L Resources, Inc. ................................. 100 2,475
Pacific Gas & Electric Corp. ......................... 400 12,425
PacifiCorp............................................ 1,600 27,600
PECO Energy Co. ...................................... 500 23,125
Pinnacle West Capital Corp. .......................... 1,400 50,925
Public Service Enterprise Group, Inc. ................ 200 7,638
SCANA Corp. .......................................... 1,200 26,025
Sempra Energy ........................................ 300 5,756
Southern Co. ......................................... 3,300 76,931
TECO Energy, Inc. .................................... 600 11,925
Texas Utilities Co. .................................. 300 12,506
Unicom Corp. ......................................... 1,100 40,219
GAS & PIPELINE UTILITIES -- 1.0%
Baltimore Gas & Electric Co. ......................... 500 12,687
Coastal Corp. ........................................ 200 6,600
Columbia Energy Group, Inc. .......................... 100 5,225
Consolidated Natural Gas Co. ......................... 100 4,869
National Fuel Gas Co. ................................ 1,400 54,950
Reliant Energy, Inc. ................................. 1,200 31,275
Williams Cos., Inc. .................................. 500 19,750
TELEPHONE -- 7.7%
Alltel Corp. ......................................... 1,900 118,512
AT&T Corp. ........................................... 4,400 351,175
Bell Atlantic Corp. .................................. 3,400 175,737
BellSouth Corp. ...................................... 2,300 92,144
Century Telephone Enterprises, Inc. .................. 100 7,025
GTE Corp. ............................................ 2,000 121,000
SBC Communications, Inc. ............................. 3,200 150,800
Telecomunicacoes de Brasileiras....................... 300 24,188
-------------
1,779,250
-------------
TOTAL COMMON STOCK (cost $12,915,409)................. 13,152,286
-------------
<CAPTION>
RIGHTS -- 0.0%+ RIGHTS
<S> <C> <C>
- -------------------------------------------------------------------------------------
INDUSTRIAL & COMMERCIAL -- 0.0%
BUSINESS SERVICES -- 0.0%
Coast Federal Litigation Contingent (cost $1,475)..... 200 1,187
-------------
TOTAL INVESTMENT SECURITIES (cost $12,916,884)........ 13,153,473
-------------
</TABLE>
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<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 1.6% AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES -- 1.4%
Metlife Funding, Inc. 4.84% due 4/21/99 (cost
$184,503)............................................ $ 185,000 $ 184,503
-------------
U.S. GOVERNMENT & AGENCIES -- 0.2%
United States Treasury Bills 4.40% due 5/20/99 (cost
$29,820)@............................................ 30,000 29,820
-------------
TOTAL SHORT-TERM SECURITIES (cost $214,323)........... 214,323
-------------
<CAPTION>
REPURCHASE AGREEMENT -- 0.9%
<S> <C> <C>
- -------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 0.9%
Lehman Brothers Holdings, Inc. Joint Repurchase
Agreement Account (Note 3)
(cost $125,000)...................................... 125,000 125,000
-------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $13,256,207) 99.0% 13,492,796
Other assets less liabilities -- 1.0 132,351
------- -------------
NET ASSETS -- 100.0% $ 13,625,147
------- -------------
------- -------------
</TABLE>
- -------------
+ Non-income producing security
ADR -- American Depository Receipt
GDR -- Global Depository Receipt
@ The security or a portion thereof has been segregated as collateral for the
following open futures contracts:
OPEN FUTURES CONTRACTS
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------
VALUE AS OF
NUMBER OF EXPIRATION VALUE AT MARCH 31, UNREALIZED
CONTRACTS DESCRIPTION DATE TRADE DATE 1999 DEPRECIATION
- ------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C> <C>
1 Long Standard & Poors 500 Index June 1999 $ 65,995 $ 64,665 $ (1,330)
------
------
</TABLE>
See Notes to Financial Statements
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111
<PAGE>
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SEASONS SERIES TRUST MID CAP
GROWTH PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK -- 96.8% SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 13.2%
APPAREL & TEXTILES -- 1.9%
Cintas Corp. ..................................... 600 $ 39,225
Delta & Pine Land Co. ............................ 200 6,150
Fruit Of The Loom Ltd............................. 300 3,113
Gucci Group NV.................................... 1,600 128,800
Intimate Brands, Inc., Class A.................... 200 9,625
Jones Apparel Group, Inc.+ ....................... 800 22,350
Liz Claiborne, Inc. .............................. 100 3,262
Polo Ralph Lauren Corp., Class A+ ................ 300 5,962
Quiksilver, Inc.+ ................................ 600 25,350
Unifi, Inc. ...................................... 200 2,550
Warnaco Group, Inc. Class A....................... 500 12,344
AUTOMOTIVE -- 1.1%
AutoZone, Inc.+ .................................. 1,200 36,450
Donaldson Co., Inc. .............................. 700 12,600
Federal-Mogul Corp. .............................. 300 12,900
General Motors Corp., Class H+ ................... 200 10,087
Goodrich (B.F.) Co. .............................. 200 6,863
Harley-Davidson, Inc. ............................ 1,300 74,750
Meritor Automotive, Inc........................... 300 4,650
HOUSING -- 1.8%
American Standard Cos., Inc.+ .................... 300 10,313
Black & Decker Corp. ............................. 100 5,544
Comfort Systems USA, Inc.+ ....................... 3,800 55,575
Ethan Allen Interiors, Inc. ...................... 100 4,156
Furniture Brands International, Inc.+ ............ 300 6,638
Hon Industries, Inc............................... 900 19,744
Leggett & Platt, Inc. ............................ 1,300 26,000
Lennar Corp. ..................................... 900 20,137
Masco Corp. ...................................... 900 25,425
Maytag Corp. ..................................... 300 18,112
Oakwood Homes Corp. .............................. 800 11,250
Pittston Brink's Group............................ 100 2,350
Rayovac Corp. .................................... 500 13,781
Stanley Works..................................... 200 5,125
Williams Sonoma, Inc+............................. 900 25,425
RETAIL -- 8.4%
Abercrombie & Fitch Co.+ ......................... 300 27,600
Amazon.com, Inc.+ ................................ 400 68,875
Barnes & Noble, Inc.+ ............................ 300 9,638
Bed Bath & Beyond, Inc.+ ......................... 2,700 98,550
Best Buy Co., Inc.+ .............................. 400 20,800
BJ's Wholesale Club, Inc.+ ....................... 1,000 26,437
Borders Group, Inc.+ ............................. 400 5,625
Circuit City Stores, Inc. ........................ 500 38,312
Consolidated Stores Corp.+ ....................... 1,000 30,312
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY (CONTINUED)
RETAIL (CONTINUED)
CVS Corp. ........................................ 500 $ 23,750
Dollar General Corp. ............................. 2,100 71,400
Dollar Tree Stores, Inc.+ ........................ 700 21,656
Duane Reade, Inc.+ ............................... 600 16,725
Family Dollar Stores, Inc. ....................... 600 13,800
Food Lion, Inc. .................................. 200 1,800
Fred Meyer, Inc.+ ................................ 100 5,888
Gap, Inc. ........................................ 700 47,119
General Nutrition Cos., Inc.+ .................... 300 4,200
Harcourt General, Inc. ........................... 500 22,156
Kohl's Corp.+ .................................... 1,100 77,962
Lands End, Inc.+ ................................. 600 20,775
Limited, Inc. .................................... 400 15,850
Linens' N Things, Inc.+ .......................... 500 22,687
Men's Wearhouse, Inc. ............................ 600 17,325
MSC Industrial Direct Co., Inc., Class A+ ........ 700 11,900
Nordstrom, Inc. .................................. 100 4,088
Office Depot, Inc.+ .............................. 2,000 73,625
OfficeMax, Inc.+ ................................. 200 1,725
Pier 1 Imports, Inc. ............................. 500 4,063
Rite Aid Corp. ................................... 500 12,500
Ross Stores, Inc. ................................ 300 13,144
Safeway, Inc.+ ................................... 500 25,656
Saks, Inc.+ ...................................... 400 10,400
Staples, Inc.+ ................................... 2,900 95,337
Starbucks Corp.+ ................................. 2,000 56,125
Tiffany & Co. .................................... 600 44,850
TJX Cos., Inc. ................................... 2,500 85,000
Venator Group, Inc.+ ............................. 200 1,413
Zale Corp.+ ...................................... 600 20,513
------------
1,836,187
------------
CONSUMER STAPLES -- 3.4%
FOOD, BEVERAGE & TOBACCO -- 2.4%
Dole Food, Inc. .................................. 100 2,975
Flowers Industries, Inc. ......................... 400 9,850
Hershey Foods Corp. .............................. 300 16,800
Interstate Bakeries Corp. ........................ 100 2,156
Keebler Foods Co.+ ............................... 100 3,650
McCormick & Co., Inc. ............................ 1,100 31,900
Pioneer Hi-Bred International, Inc. .............. 1,600 60,200
Quaker Oats Co. .................................. 400 25,025
Sodexho Marriott Services, Inc.+ ................. 100 2,206
Sysco Corp. ...................................... 1,600 42,100
Tootsie Roll Industries, Inc...................... 721 33,211
United Natural Foods, Inc.+ ...................... 2,400 56,100
US Foodservice, Inc.+ ............................ 100 4,650
UST, Inc. ........................................ 400 10,450
Whitman Corp. .................................... 100 1,719
Whole Foods Market, Inc.+ ........................ 700 24,063
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES (CONTINUED)
HOUSEHOLD PRODUCTS -- 1.0%
Blyth Industries, Inc.+ .......................... 100 $ 2,363
Clorox Co. ....................................... 400 46,875
Dial Corp......................................... 400 13,750
Estee Lauder Cos., Inc., Class A.................. 200 18,900
Mattel, Inc. ..................................... 700 17,412
Newell Rubbermaid, Inc. .......................... 836 39,733
Nu Skin Asia Pacific, Inc.+ ...................... 200 4,575
Tupperware Corp. ................................. 100 1,800
------------
472,463
------------
ENERGY -- 2.8%
ENERGY SERVICES -- 1.6%
Baker Hughes, Inc. ............................... 800 19,450
BJ Services Co.+ ................................. 900 21,094
ENSCO International, Inc. ........................ 600 7,987
Global Marine, Inc.+ ............................. 600 7,050
Jones Lang Lasalle, Inc. ......................... 800 24,000
Nabors Industries, Inc.+ ......................... 300 5,456
R & B Falcon Corp.+ .............................. 700 6,169
Santa Fe International Corp. ..................... 4,300 80,356
Tidewater, Inc. .................................. 100 2,588
Tosco Corp. ...................................... 500 12,406
Transocean Offshore, Inc. ........................ 300 8,644
Varco International, Inc.+ ....................... 200 2,225
Weatherford International, Inc.+ ................. 800 20,900
ENERGY SOURCES -- 1.2%
Anadarko Petroleum Corp. ......................... 400 15,100
Apache Corp. ..................................... 400 10,425
Devon Energy Corp. ............................... 300 8,269
Diamond Offshore Drilling, Inc. .................. 400 12,650
Enron Oil & Gas Co. .............................. 100 1,663
Kerr-McGee Corp. ................................. 184 6,037
National-Oilwell, Inc.+ .......................... 200 2,313
Noble Affiliates, Inc. ........................... 400 11,600
Noble Drilling Corp.+ ............................ 500 8,656
Pennzenergy Co. .................................. 200 2,100
Pennzoil Quaker State Co. ........................ 3,800 47,025
Smith International, Inc.+ ....................... 1,000 40,000
Sonat, Inc. ...................................... 100 3,000
------------
387,163
------------
FINANCE -- 12.9%
BANKS -- 2.1%
Bank of New York Co., Inc. ....................... 700 25,156
Charter One Financial, Inc. ...................... 600 17,316
City National Corp. .............................. 700 21,613
First American Corp. ............................. 500 18,438
Firstar Corp. .................................... 500 44,750
National Commerce Bancorp......................... 500 11,406
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
BANKS (CONTINUED)
Northern Trust Corp. ............................. 600 $ 53,287
Sovereign Bancorp, Inc. .......................... 200 2,450
State Street Corp. ............................... 300 24,656
Synovus Financial Corp. .......................... 600 12,263
Zions Bancorp..................................... 800 53,200
FINANCIAL SERVICES -- 7.6%
AMBAC, Inc. ...................................... 400 21,600
American General Corp. ........................... 1,100 77,550
AMRESCO, Inc.+ ................................... 200 1,538
Associates First Capital Corp., Class A........... 1,300 58,500
Capital One Financial Corp. ...................... 300 45,300
Charles Schwab Corp. ............................. 1,900 182,637
Concord EFS, Inc.+ ............................... 500 13,781
Countrywide Credit Industry, Inc. ................ 100 3,750
Dun & Bradstreet Corp. ........................... 300 10,688
FINOVA Group, Inc. ............................... 600 31,125
H&R Block, Inc. .................................. 400 18,950
Investment Technology Group, Inc.+ ............... 400 20,300
Jefferies Group, Inc. ............................ 1,400 66,412
JSB Financial, Inc................................ 400 20,050
Kansas City Southern Industries, Inc. ............ 900 51,300
Legg Mason, Inc. ................................. 2,600 87,587
NCO Group, Inc.+ ................................. 2,000 74,000
Price (T. Rowe) Associates, Inc. ................. 500 17,188
Providian Financial Corp. ........................ 900 99,000
Raymond James Financial, Inc. .................... 900 17,775
Security Capital Group, Inc., Class B+ ........... 1,500 20,062
SLM Holding Corp. ................................ 800 33,400
Starwood Financial Trust.......................... 200 9,750
The BISYS Group, Inc.+ ........................... 1,200 67,500
United States Trust Corp.......................... 200 14,838
INSURANCE -- 3.2%
Ace Ltd. ......................................... 3,200 99,800
Aflac, Inc. ...................................... 200 10,888
American Bankers Insurance Group, Inc. ........... 1,500 78,000
Conseco, Inc. .................................... 700 21,612
Equifax, Inc. .................................... 1,200 41,250
Everest Reinsurance Holdings, Inc. ............... 100 3,119
Franklin Resources, Inc. ......................... 800 22,500
Mercury General Corp. ............................ 400 13,950
MGIC Investment Corp. ............................ 600 21,038
Mutual Risk Management Ltd. ...................... 900 34,425
Progressive Corp. ................................ 400 57,400
Protective Life Corp. ............................ 700 26,512
UNUM Corp. ....................................... 100 4,756
XL Capital Ltd.................................... 200 12,150
------------
1,796,516
------------
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE -- 13.4%
DRUGS -- 4.1%
ALZA Corp.+ ...................................... 400 $ 15,300
Amgen, Inc.+ ..................................... 600 44,925
Bergen Brunswig Corp., Class A.................... 200 4,000
BioChem Pharma, Inc.+ ............................ 500 10,656
Biogen, Inc.+ .................................... 700 80,019
Centocor, Inc.+ .................................. 700 25,900
Elan Corp. PLC ADR+ .............................. 300 20,925
Forest Labs, Inc.+ ............................... 300 16,913
Gilead Sciences, Inc.+ ........................... 400 18,200
Guilford Pharmaceuticals, Inc.+ .................. 400 4,550
Human Genome Sciences, Inc.+ ..................... 1,800 62,437
Immunex Corp.+ ................................... 1,000 83,250
Incyte Pharmacuticals, Inc.+ ..................... 500 10,031
Millenium Pharmaceuticals, Inc.+ ................. 800 25,000
Mylan Laboratories, Inc. ......................... 600 16,463
PathoGenesis Corp.+ .............................. 300 3,994
Protein Design Labs, Inc.+ ....................... 500 7,531
Watson Pharmaceuticals, Inc.+ .................... 900 39,712
Zeneca Group PLC ADR.............................. 1,600 75,300
HEALTH SERVICES -- 3.7%
Chiron Corp.+ .................................... 400 8,775
Covance, Inc.+ ................................... 3,300 82,706
First Health Group Corp.+ ........................ 400 6,425
HCR Manor Care, Inc. ............................. 800 18,250
Health Management Associates, Inc., Class A+ ..... 2,400 29,250
Henry Schein, Inc.+ .............................. 400 10,100
Humana, Inc.+ .................................... 400 6,900
IDX Systems Corp.+ ............................... 400 5,800
IMS Health, Inc. ................................. 1,600 53,000
Lincare Holdings, Inc.+ .......................... 600 16,875
MedPartners, Inc.+ ............................... 800 3,800
Nielsen Media Research, Inc. ..................... 200 4,938
Omnicare, Inc. ................................... 1,100 20,969
Pacificare Health Systems, Inc., Class B+ ........ 300 20,475
Primark Corp...................................... 300 6,375
Quintiles Transnational Corp.+ ................... 800 30,200
Quorum Health Group, Inc.+ ....................... 300 3,000
ServiceMaster Co. ................................ 1,200 24,375
Shared Medical Systems Corp. ..................... 400 22,275
Stryker Corp...................................... 300 15,131
Sunrise Assisted Living, Inc.+ ................... 1,000 45,563
Sybron International Corp.+ ...................... 1,400 35,000
Total Renal Care Holdings, Inc.+ ................. 400 4,400
United HealthCare Corp. .......................... 200 10,525
Universal Health Services, Inc.+ ................. 400 17,300
Wellpoint Health Networks, Inc., Class A+ ........ 100 7,581
MEDICAL PRODUCTS -- 5.6%
Baxter International, Inc. ....................... 900 59,400
Beckman Coulter, Inc. ............................ 100 4,400
Becton Dickinson & Co. ........................... 1,200 45,975
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
MEDICAL PRODUCTS (CONTINUED)
Biomet, Inc. ..................................... 500 $ 20,969
Boston Scientific Corp.+ ......................... 600 24,337
Cardinal Health, Inc, Class A..................... 1,200 79,200
Dentsply International, Inc. ..................... 200 4,650
Dionex Corp.+ .................................... 400 15,100
Genzyme Corp.+ ................................... 1,700 85,744
Guidant Corp. .................................... 2,300 139,150
Hillenbrand Industries, Inc. ..................... 100 4,619
Mckesson Hboc Inc. ............................... 1,800 118,800
Medtronic, Inc. .................................. 700 50,225
Ocular Sciences, Inc.+ ........................... 2,600 74,587
Rexall Sundown, Inc.+ ............................ 200 3,838
Safeskin Corp.+................................... 300 2,231
St. Jude Medical, Inc.+ .......................... 200 4,875
Steris Corp.+ .................................... 900 23,962
VISX, Inc.+ ...................................... 200 21,513
------------
1,858,669
------------
INDUSTRIAL & COMMERCIAL -- 12.3%
AEROSPACE & MILITARY TECHNOLOGY -- 0.6%
Gilat Satellite Networks Ltd.+ ................... 700 42,000
Gulfstream Aerospace Corp.+ ...................... 600 26,025
Orbital Sciences Corp.+ .......................... 100 2,831
Sunbeam Corp. .................................... 300 1,669
Sundstrand Corp. ................................. 200 13,900
BUSINESS SERVICES -- 7.3%
Allied Waste Industries, Inc.+ ................... 1,200 17,325
Apollo Group, Inc., Class A+ ..................... 900 26,887
Comdisco, Inc. ................................... 100 1,788
Convergys Corp.+ ................................. 600 10,275
DeVry, Inc.+ ..................................... 1,000 29,000
Ecolab, Inc. ..................................... 1,100 39,050
First Data Corp. ................................. 1,200 51,300
Fiserv, Inc.+ .................................... 400 21,450
Gartner Group, Inc., Class A+ .................... 200 4,513
Getty Images, Inc.+ .............................. 2,900 60,900
Global Industries Ltd.+ .......................... 100 1,013
Hertz Corp., Class A.............................. 100 5,350
Ikon Office Solutions, Inc. ...................... 200 2,563
Interim Services, Inc.+ .......................... 400 6,000
Interpublic Group of Cos., Inc. .................. 900 70,087
Iron Mountain, Inc.+ ............................. 2,400 75,000
ITT Educational Services, Inc.+ .................. 600 22,537
Manpower, Inc. ................................... 300 7,013
Metzler Group, Inc.+ ............................. 700 21,962
Modis Professional Services, Inc.+ ............... 500 4,531
Owens-Illinois, Inc.+ ............................ 200 5,000
Paychex, Inc. .................................... 1,300 61,669
Pierce Leahy Corp. ............................... 2,600 64,675
Robert Half International, Inc.+ ................. 1,100 36,094
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
BUSINESS SERVICES (CONTINUED)
Rowan Cos., Inc.+ ................................ 400 $ 5,075
Select Appointments Holdings PLC ADR.............. 1,100 29,356
Solectron Corp.+ ................................. 1,000 48,562
Stewart Enterprises, Inc., Class A................ 5,300 85,131
Superior Services, Inc.+ ......................... 600 11,888
Sylvan Learning Systems, Inc.+ ................... 400 10,950
Total Systems Services, Inc. ..................... 100 1,875
US Filter Corp.+ ................................. 400 12,250
Valspar Corp. .................................... 800 25,250
Veritas DGC, Inc.+ ............................... 600 8,513
Viad Corp. ....................................... 400 11,125
Waste Management, Inc. ........................... 2,500 110,937
WestPoint Stevens, Inc.+ ......................... 100 2,769
ELECTRICAL EQUIPMENT -- 0.6%
Dover Corp. ...................................... 200 6,575
Littelfuse, Inc.+ ................................ 400 7,350
Roper Industries, Inc. ........................... 500 11,938
Thomas & Betts Corp. ............................. 100 3,756
UCAR International, Inc.+ ........................ 200 2,825
Waters Corp.+ .................................... 500 52,531
MACHINERY -- 1.1%
Applied Materials, Inc.+ ......................... 500 30,844
Cognex Corp.+ .................................... 500 11,844
Coltec Industries, Inc.+ ......................... 200 3,638
Cooper Cameron Corp.+ ............................ 700 23,712
Danaher Corp. .................................... 900 47,025
Howmet International, Inc. ....................... 100 1,431
Idex Corp. ....................................... 400 9,425
Lincoln Electric Holdings, Inc. .................. 900 16,762
Parker Hannifin Corp. ............................ 400 13,700
MULTI-INDUSTRY -- 1.4%
Avery Dennison Corp. ............................. 900 51,750
Lancaster Colony Corp. ........................... 500 13,312
Perkin-Elmer Corp. ............................... 1,100 106,769
Teleflex, Inc. ................................... 400 13,625
Thermo Electron Corp. ............................ 300 4,069
TRANSPORTATION -- 1.3%
Air Express International Corp. .................. 500 7,563
Atlas Air, Inc.+ ................................. 1,900 54,744
C.H. Robinson Worldwide, Inc. .................... 600 15,262
CNF Transportation, Inc. ......................... 100 3,781
Delta Air Lines, Inc. ............................ 300 20,850
Expeditors International of Washington, Inc. ..... 500 27,000
Ryanair Holdings PLC ADR+ ........................ 1,200 48,900
------------
1,707,069
------------
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT -- 8.8%
BROADCASTING & MEDIA -- 7.3%
ACNielson Corp.+ ................................. 700 $ 18,987
ADC Telecommunications, Inc.+ .................... 1,900 90,606
Cablevision Systems Corp, Class A+ ............... 100 7,413
Capstar Broadcasting Corp., ClassA+ .............. 200 4,588
Central Newspapers, Inc., Class A................. 500 15,562
Chancellor Media Corp.+ .......................... 700 32,987
Clear Channel Communications, Inc.+ .............. 600 40,237
Cox Communications, Inc, Class A+ ................ 500 37,812
Crown Castle International Corp. ................. 4,100 73,800
Emmis Broadcasting Corp., Class A+ ............... 400 20,000
Harte Hanks Communications Co. ................... 800 21,950
Hearst Argyle Television, Inc. ................... 200 4,925
Heftel Broadcasting Corp., Class A+ .............. 600 26,025
Jacor Communications, Inc.+ ...................... 500 38,000
Lamar Advertising Co.+ ........................... 600 20,362
McGraw-Hill Cos., Inc. ........................... 200 10,900
Meredith Corp. ................................... 900 28,294
New York Times Co., Class A....................... 200 5,700
Omnicom Group, Inc. .............................. 1,200 95,925
Outdoor Systems, Inc.+ ........................... 3,400 102,000
Primedia, Inc..................................... 300 4,200
Readers Digest Association, Inc., Class A......... 100 3,144
Scripps (E.W) Co., Class A........................ 1,100 48,675
Sinclair Broadcast Group, Inc.+ .................. 200 2,913
Snyder Communications, Inc.+ ..................... 300 8,363
TCA Cable Tv, Inc. ............................... 900 39,150
Times Mirror Co., Series A........................ 300 16,219
Tribune Co. ...................................... 300 19,631
TV Guide, Inc.+ .................................. 200 7,375
United States Cellular Corp.+ .................... 300 13,200
Univision Communications, Inc., Class A+ ......... 2,000 100,000
Valassis Communications, Inc. .................... 600 31,050
Westwood One, Inc.+ .............................. 400 11,400
Young & Rubicam, Inc. ............................ 100 4,075
Young Broadcasting, Inc., Class A+ ............... 100 4,563
ENTERTAINMENT PRODUCTS -- 0.0%
Callaway Golf Co. ................................ 200 2,037
International Game Technology, Inc. .............. 400 5,825
LEISURE & TOURISM -- 1.5%
Carnival Corp, Class A+........................... 700 33,994
CBRL Group, Inc................................... 200 3,600
Circus Circus Enterprises, Inc.+ ................. 100 1,756
CKE Restaurants, Inc. ............................ 100 1,975
Comair Holdings, Inc. ............................ 1,350 31,894
Galileo International, Inc. ...................... 300 14,513
Harrah's Entertainment, Inc.+ .................... 200 3,813
Hilton Hotels Corp. .............................. 400 5,625
Marriott International, Inc., Class A............. 1,200 40,350
Mirage Resorts, Inc.+ ............................ 400 8,500
Outback Steakhouse, Inc.+ ........................ 750 24,562
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
LEISURE & TOURISM (CONTINUED)
Park Place Entertainment Corp. ................... 900 $ 6,806
Promus Hotel Corp................................. 200 7,275
Tricon Global Restaurants, Inc.+ ................. 200 14,050
USAirways Group, Inc.+ ........................... 100 4,881
------------
1,221,487
------------
INFORMATION TECHNOLOGY -- 26.8%
COMMUNICATION EQUIPMENT -- 3.7%
3Com Corp. + ..................................... 1,000 23,313
American Tower Corp., Class A..................... 4,300 105,350
Andrew Corp.+ .................................... 400 4,925
Ascend Communications, Inc. + .................... 1,000 83,687
Cabletron Systems, Inc.+ ......................... 300 2,456
CIENA Corp.+ ..................................... 500 11,250
General Instrument Corp.+ ........................ 400 12,125
Global Tele-Systems Group, Inc.+ ................. 300 16,781
Level One Communications, Inc.+ .................. 500 24,313
Nokia Corp., Class A ADR.......................... 400 62,300
QUALCOMM, Inc.+ .................................. 200 24,875
RELTEC Corp.+ .................................... 200 5,888
Symbol Technologies, Inc. ........................ 1,000 45,000
Tellabs, Inc.+ ................................... 500 48,875
Uniphase Corp.+ .................................. 200 23,025
Varian Associates, Inc. .......................... 100 3,875
Whittman-Hart, Inc.+ ............................. 700 15,050
COMPUTERS & BUSINESS EQUIPMENT -- 3.2%
Adaptec, Inc.+ ................................... 300 6,844
Cadence Design Systems, Inc.+ .................... 2,000 51,500
Cisco Systems, Inc. + ............................ 500 54,781
CompUSA, Inc.+ ................................... 400 2,800
Computer Sciences Corp.+ ......................... 700 38,631
Diebold, Inc. .................................... 500 12,000
EMC Corp. + ...................................... 400 51,100
FORE Systems, Inc.+ .............................. 500 9,453
Gateway 2000, Inc.+ .............................. 700 47,994
Ingram Micro, Inc. ............................... 300 6,844
Lexmark International Group, Inc., Class A+ ...... 300 33,525
Micron Technology, Inc.+ ......................... 200 9,650
Miller (Herman), Inc. ............................ 500 9,125
Millipore Corp. .................................. 200 4,825
Network Appliance, Inc. + ........................ 900 45,562
Quantum Corp.+ ................................... 500 9,000
Seagate Technology, Inc. + ....................... 400 11,825
Storage Technology Corp.+ ........................ 400 11,150
Tandy Corp. ...................................... 400 25,525
Tech Data Corp.+ ................................. 200 4,587
Western Digital Corp.+ ........................... 200 1,588
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
ELECTRONICS -- 5.3%
Advanced Micro Devices, Inc.+ .................... 100 $ 1,550
Altera Corp.+ .................................... 1,000 59,500
American Power Conversion Corp.+ ................. 400 10,800
Analog Devices, Inc.+ ............................ 4,400 130,900
Catalina Marketing Corp.+ ........................ 300 25,762
Dallas Semiconductor Corp. ....................... 500 19,312
Flextronics International Ltd.+ .................. 1,200 61,200
KLA-Tencor Corp.+ ................................ 200 9,713
Lattice Semiconductor Corp.+ ..................... 200 9,113
Linear Technology Corp. .......................... 1,900 97,375
LSI Logic Corp.+ ................................. 300 9,356
Maxim Integrated Products, Inc.+ ................. 1,600 86,600
Microchip Technology, Inc.+ ...................... 400 13,850
Molex, Inc. ...................................... 200 5,875
Molex, Inc., Class A.............................. 700 18,113
National Semiconductor Corp.+ .................... 200 1,863
PMC-Sierra, Inc.+ ................................ 100 7,119
Sanmina Corp.+ ................................... 700 44,625
SCI Systems, Inc.+ ............................... 700 20,737
Scientific-Atlanta, Inc. ......................... 200 5,450
Thermo Instrument Systems, Inc.+ ................. 100 1,444
Vitesse Semiconductor Corp.+ ..................... 900 45,562
Xilinx, Inc.+ .................................... 1,400 56,787
SOFTWARE -- 10.8%
Adobe Systems, Inc. .............................. 600 34,050
Affiliated Computer Services Inc., Class A+ ...... 700 32,025
America Online, Inc.+ ............................ 1,070 156,220
At Home Corp., Series A+ ......................... 200 31,500
Atmel Corp.+ ..................................... 300 4,556
Autodesk, Inc. ................................... 200 8,088
Avant Corp.+ ..................................... 4,200 74,550
Axent Technologies, Inc.+ ........................ 600 14,438
Barra, Inc.+ ..................................... 700 17,237
BMC Software, Inc.+ .............................. 1,800 66,712
Cambridge Technology Partners, Inc.+ ............. 300 4,163
CDW Computer Centers, Inc.+ ...................... 200 13,800
Ceridian Corp.+ .................................. 600 21,937
Check Point Software Technologies, Ltd.+ ......... 100 4,300
CIBER, Inc.+ ..................................... 200 3,838
Citrix Systems, Inc. + ........................... 1,200 45,750
CMG Information Services, Inc.+ .................. 100 18,306
Compuware Corp. + ................................ 3,100 74,012
Comverse Technology, Inc.+ ....................... 600 51,000
DST Systems, Inc.+ ............................... 500 30,031
Electronic Arts, Inc.+ ........................... 800 38,000
I2 Technologies, Inc.+ ........................... 200 5,319
Intuit, Inc.+ .................................... 500 50,875
J.D. Edwards & Co.+ .............................. 200 2,388
Keane, Inc.+ ..................................... 700 14,919
Legato Systems, Inc.+ ............................ 100 5,163
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
SOFTWARE (CONTINUED)
Mercury Interactive Corp.+ ....................... 200 $ 7,125
Networks Associates, Inc.+ ....................... 1,200 36,825
Novell, Inc.+ .................................... 200 5,038
Oracle Corp.+ .................................... 750 19,781
Parametric Technology Corp.+ ..................... 1,200 23,700
PeopleSoft, Inc.+ ................................ 800 11,700
Platinum Technology, Inc.+ ....................... 400 10,200
Policy Management Systems Corp.+ ................. 1,600 49,000
Rational Software Corp.+ ......................... 1,700 45,581
Siebel Systems, Inc.+ ............................ 300 14,250
Sterling Commerce, Inc.+ ......................... 1,100 33,825
Sterling Software, Inc.+ ......................... 2,400 57,000
Suiza Foods Corp.+ ............................... 200 6,738
Sun Microsystems, Inc.+ .......................... 400 49,975
SunGard Data Systems, Inc.+ ...................... 1,100 44,000
Symantec Corp.+ .................................. 700 11,856
Synopsys, Inc.+ .................................. 600 32,250
Teradyne, Inc.+ .................................. 400 21,825
The Learning Co., Inc.+ .......................... 400 11,600
VERITAS Software Corp.+ .......................... 500 40,375
Visio Corp.+ ..................................... 600 16,875
Yahoo!, Inc.+ .................................... 700 117,862
TELECOMMUNICATIONS -- 3.8%
Advanced Fibre Communications, Inc.+ ............. 300 2,878
Corning, Inc. .................................... 1,100 66,000
EchoStar Communications Corp., Class A+ .......... 1,300 106,112
Ericsson (L.M.) Telecommunications Co., Class B
ADR.............................................. 600 14,288
Frontier Corp. ................................... 700 36,312
ICG Communications, Inc.+ ........................ 700 14,000
Intermedia Communications, Inc.+ ................. 3,700 98,512
Level 3 Communications, Inc.+ .................... 200 14,563
McLeodUSA, Inc., Class A+ ........................ 1,900 79,800
Nextel Communications, Inc., Class A+ ............ 800 29,300
NEXTLINK Communications, Inc., Class A+ .......... 300 16,800
Paging Network, Inc.+ ............................ 400 1,875
PanAmSat Corp.+ .................................. 200 6,225
Pixar, Inc. ...................................... 100 3,938
Qwest Communications International, Inc.+ ........ 300 21,628
True North Communications......................... 200 5,625
Viatel, Inc. ..................................... 100 2,850
------------
3,715,267
------------
MATERIALS -- 1.0%
CHEMICALS -- 0.5%
Cabot Corp. ...................................... 100 2,125
Crompton & Knowles Corp. ......................... 400 6,300
Cytec Industries, Inc.+ .......................... 200 4,463
Hercules, Inc. ................................... 200 5,050
Lilly Industrial, Inc. ........................... 700 10,806
Praxair, Inc. .................................... 200 7,212
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
MATERIALS (CONTINUED)
CHEMICALS (CONTINUED)
Sherwin Williams Co. ............................. 500 $ 14,062
Sigma-Aldrich Corp. .............................. 600 17,550
Witco Corp. ...................................... 100 1,269
FOREST PRODUCTS -- 0.0%
Reynolds & Reynolds Co., Class A.................. 100 1,900
Smurfit Stone Container Corp. .................... 200 3,863
METALS & MINERALS -- 0.5%
Fastenal Co. ..................................... 100 3,506
Freeport-McMoRan Copper & Gold, Inc., Class B+.... 800 8,700
Raychem Corp. .................................... 700 15,794
Sealed Air Corp.+ ................................ 700 34,431
USG Corp.+ ....................................... 100 5,138
------------
142,169
------------
REAL ESTATE -- 0.2%
REAL ESTATE COMPANIES -- 0.0%
Catellus Development Corp.+ ...................... 200 2,675
REAL ESTATE INVESTMENT TRUSTS -- 0.2%
Boston Properties, Inc. .......................... 300 9,487
Host Marriott Corp................................ 500 5,563
Meditrust Co. .................................... 600 7,462
Rouse Co. ........................................ 100 2,219
------------
27,406
------------
UTILITIES -- 2.0%
ELECTRIC UTILITIES -- 0.3%
AES Corp.+ ....................................... 1,100 40,975
GAS & PIPELINE UTILITIES -- 0.0%
KN Energy, Inc. .................................. 100 1,994
TELEPHONE -- 1.7%
Alltel Corp. ..................................... 400 24,950
AT&T Corp. ....................................... 2,120 111,565
Cincinnati Bell, Inc. ............................ 600 13,462
MCI WorldCom, Inc.+ .............................. 500 44,281
Telephone & Data Systems, Inc. ................... 100 5,638
Vodafone Group PLC ADR............................ 200 37,550
------------
280,415
------------
TOTAL INVESTMENT SECURITIES (cost $12,811,627).... 13,444,811
------------
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 0.2% AMOUNT
<S> <C> <C>
- ----------------------------------------------------------------------------
U.S. GOVERNMENT & AGENCIES -- 0.2%
United States Treasury Bills 4.40% due 5/20/99
(cost $29,820)@.................................. $ 30,000 29,820
------------
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
REPURCHASE AGREEMENTS -- 2.4% PRINCIPAL AMOUNT
- ----------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 2.4%
Lehman Brothers Holding, Inc. Joint Repurchase
Agreement Account (Note 3)....................... $ 215,000 $ 215,000
Agreement with State Street Bank & Trust Co.,
bearing interest at 4.00% dated 03/31/99 to be
repurchased 04/01/99 in the amount of $118,013
and collateralized by $100,000 of U.S. Treasury
Bonds, bearing interest at 11.125% due 08/15/03
and having an approximate aggregate value of
$123,875@........................................ 118,000 118,000
------------
TOTAL REPURCHASE AGREEMENTS (cost $333,000)....... 333,000
------------
TOTAL INVESTMENTS --
(cost $13,174,447) 99.4% 13,807,631
Other assets less liabilities -- 0.6 79,183
-------- ------------
NET ASSETS -- 100.0% $ 13,886,814
-------- ------------
-------- ------------
</TABLE>
- -------------
+ Non-income producing security
ADR -- American Depository Receipt
@ The security or a portion thereof has been segregated as collateral for the
following open futures contracts:
<TABLE>
<CAPTION>
OPEN FUTURES CONTRACTS
- ------------------------------------------------------------------------------------------
VALUE AS OF
NUMBER OF EXPIRATION VALUE AT MARCH 31, UNREALIZED
CONTRACTS DESCRIPTION DATE TRADE DATE 1999 DEPRECIATION
- ------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C> <C>
2 Long Standard & Poors 500
Index June 1999 $ 130,843 $ 129,330 $ (1,513)
------
------
</TABLE>
See Notes to Financial Statements
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<PAGE>
- ----------------
SEASONS SERIES TRUST
MID CAP VALUE PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK -- 90.0% SHARES VALUE
<S> <C> <C>
- -------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 10.7%
APPAREL & TEXTILES -- 1.5%
Liz Claiborne, Inc.................................... 200 $ 6,525
Mohawk Industries, Inc.+ ............................. 100 3,000
Nine West Group, Inc.+ ............................... 3,800 93,812
Reebok International Ltd.+@ .......................... 4,700 74,613
V.F. CORP. ........................................... 300 14,156
Warnaco Group, Inc. Class A .......................... 100 2,469
AUTOMOTIVE -- 2.6%
Autoliv AB ........................................... 300 11,269
Cooper Tire & Rubber ................................. 300 5,513
Cummins Engine Co., Inc. ............................. 100 3,556
Dana Corp. ........................................... 800 30,400
Federal-Mogul Corp. .................................. 1,900 81,700
Fleetwood Enterprises, Inc. .......................... 100 2,863
General Motors Corp., Class H+ ....................... 200 10,087
Genuine Parts Co. .................................... 600 17,287
Goodrich (B.F.) Co. .................................. 200 6,863
Lear Corp.+ .......................................... 2,100 89,644
Navistar International Corp., Inc. ................... 200 8,037
PACCAR, Inc. ......................................... 200 8,237
Pep Boys-Manny, Moe & Jack ........................... 200 3,050
Ryder System, Inc. ................................... 200 5,525
Tenneco, Inc. ........................................ 1,600 44,700
TRW, Inc. ............................................ 300 13,650
HOUSING -- 0.9%
Black & Decker Corp. ................................. 200 11,087
Centex Corp. ......................................... 200 6,675
Clayton Homes, Inc. .................................. 200 2,213
Fortune Brands, Inc.@ ................................ 600 23,212
Furniture Brands International, Inc.+ ................ 100 2,213
Grainger (W. W.), Inc. ............................... 200 8,612
Johns Manville Corp. ................................. 100 1,725
Leggett & Platt, Inc. ................................ 300 6,000
Lennar Corp. ......................................... 100 2,238
Masco Corp. .......................................... 500 14,125
Maytag Corp. ......................................... 100 6,037
Nucor Corp. .......................................... 300 13,219
Shaw Industries, Inc. ................................ 300 5,550
Stanley Works ........................................ 100 2,563
Whirlpool Corp. ...................................... 200 10,875
RETAIL -- 5.7%
The Neiman Marcus Group, Inc.+ ....................... 100 2,263
American Stores Co. .................................. 900 29,700
Best Buy Co., Inc.+ .................................. 200 10,400
BJ's Wholesale Club, Inc.+ ........................... 200 5,288
Borders Group, Inc.+ ................................. 100 1,406
</TABLE>
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COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY (CONTINUED)
RETAIL (CONTINUED)
Circuit City Stores, Inc. ............................ 200 $ 15,325
Consolidated Stores Corp.+ ........................... 2,700 81,844
Dillards, Inc. ....................................... 4,600 116,725
Federated Department Stores, Inc.+ ................... 2,000 80,250
Food Lion, Inc. ...................................... 1,000 9,000
Fred Meyer, Inc.+ .................................... 400 23,550
Hannaford Brothers Co. ............................... 100 4,544
Harcourt General, Inc. ............................... 100 4,431
Jostens, Inc. ........................................ 2,500 53,125
Kmart Corp.+ ......................................... 1,600 26,900
Limited, Inc. ........................................ 300 11,887
Miller (Herman), Inc. ................................ 900 16,425
MSC Industrial Direct Co., Inc., Class A+ ............ 100 1,700
Nordstrom, Inc. ...................................... 300 12,262
Office Depot, Inc.+ .................................. 100 3,681
OfficeMax, Inc.+ ..................................... 7,300 62,962
Payless ShoeSource, Inc.+ ............................ 100 4,650
Rite Aid Corp. ....................................... 500 12,500
Ross Stores, Inc. .................................... 800 35,050
Saks, Inc.+ .......................................... 200 5,200
Toys "R" Us, Inc.+ ................................... 5,100 95,944
Venator Group, Inc.+ ................................. 500 3,531
Winn Dixie Stores, Inc. .............................. 300 11,213
-------------
1,395,056
-------------
CONSUMER STAPLES -- 5.3%
FOOD, BEVERAGE & TOBACCO -- 5.2%
Archer-Daniels-Midland Co. ........................... 1,700 24,969
Brown-Forman Corp., Class B .......................... 100 5,763
Corn Products International, Inc.+ ................... 2,500 59,844
Dean Foods Company ................................... 1,700 60,562
Delaware Monte Foods Co. ............................. 2,000 26,375
Dole Food, Inc. ...................................... 200 5,950
Fleming Cos., Inc. ................................... 8,400 71,925
Hershey Foods Corp. .................................. 100 5,600
Hormel Foods Corp. ................................... 100 3,563
IBP, Inc. ............................................ 2,000 37,250
Interstate Bakeries Corp. ............................ 100 2,156
McCormick & Co., Inc. ................................ 200 5,800
Newell Rubbermaid, Inc. .............................. 436 20,733
Premark International, Inc. .......................... 100 3,294
Quaker Oats Co. ...................................... 100 6,256
RJR Nabisco Holdings Corp.@ .......................... 3,700 92,500
SUPERVALU, Inc. ...................................... 400 8,250
Tyson Foods, Inc., Class A ........................... 1,400 28,963
Universal Foods Corp. ................................ 3,000 61,875
US Foodservice, Inc.+ ................................ 100 4,650
UST, Inc. ............................................ 5,300 138,462
Whitman Corp. ........................................ 300 5,156
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES (CONTINUED)
HOUSEHOLD PRODUCTS -- 0.1%
Alberto Culver Co. ................................... 100 $ 2,337
International Flavors & Fragrances, Inc. ............. 300 11,269
-------------
693,502
-------------
ENERGY -- 5.4%
ENERGY SERVICES -- 1.6%
Baker Hughes, Inc. ................................... 400 9,725
BJ Services Co.+ ..................................... 200 4,687
ENSCO International, Inc. ............................ 200 2,662
Nabors Industries, Inc.+ ............................. 100 1,819
Tidewater, Inc. ...................................... 100 2,588
Tosco Corp. .......................................... 5,100 126,544
Transocean Offshore, Inc. ............................ 100 2,881
USX-Marathon Group, Inc. ............................. 2,000 55,000
ENERGY SOURCES -- 3.8%
Amerada Hess Corp. ................................... 2,000 100,625
Apache Corp. ......................................... 300 7,819
Burlington Resources, Inc. ........................... 600 23,962
Enron Oil & Gas Co. .................................. 300 4,988
Kerr-McGee Corp. ..................................... 1,800 59,062
Midamerica Energy Holdings Co. ....................... 400 11,200
Murphy Oil Corp. ..................................... 100 4,150
Noble Affiliates, Inc. ............................... 200 5,800
Noble Drilling Corp.+ ................................ 100 1,731
Occidental Petroleum Corp. ........................... 4,300 77,400
Ocean Energy, Inc. ................................... 200 1,363
Pennzoil Quaker State Co. ............................ 200 2,475
Sonat, Inc. .......................................... 300 9,000
Sunoco, Inc. ......................................... 300 10,819
Ultramar Diamond Shamrock Corp.+ ..................... 2,800 60,550
Union Pacific Resources Group, Inc. .................. 900 10,688
Unocal Corp. ......................................... 800 29,450
Valero Energy Corp. .................................. 3,100 77,112
-------------
704,100
-------------
FINANCE -- 19.1%
BANKS -- 6.8%
AmSouth Bancorp. ..................................... 400 18,200
Associated Banc-Corp. ................................ 200 6,388
Astoria Financial Corp. .............................. 200 10,000
Bank United Corp., Class A ........................... 100 4,088
BB&T Corp. ........................................... 900 32,569
CCB Financial Corp. .................................. 100 5,406
Centura Banks, Inc. .................................. 100 5,819
Charter One Financial, Inc. .......................... 500 14,430
City National Corp. .................................. 100 3,088
Colonial Bancgroup, Inc. ............................. 200 2,400
Comerica, Inc. ....................................... 500 31,219
Commerce Bancshares, Inc. ............................ 200 7,700
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
BANKS (CONTINUED)
Cullen/Frost Bankers, Inc. ........................... 1,500 $ 71,906
Dime Bancorp, Inc. ................................... 300 6,956
First American Corp. ................................. 300 11,062
First Security Corp. ................................. 600 11,587
First Tennessee National Corp. ....................... 500 18,312
First Virginia Banks, Inc. ........................... 100 4,569
Firstar Corp. ........................................ 400 35,800
Firstmerit Corp. ..................................... 200 5,150
Golden State Bancorp, Inc.+ .......................... 400 8,900
Golden West Financial Corp. .......................... 200 19,100
Greenpoint Financial Corp. ........................... 300 10,425
Hibernia Corp., Class A .............................. 600 7,875
Huntington Bancshares, Inc. .......................... 700 21,656
Lincoln National Corp. ............................... 300 29,662
Marshall & Ilsley Corp. .............................. 300 16,631
Mercantile Bancorp, Inc. ............................. 500 23,750
Mercantile Bankshares Corp. .......................... 200 7,400
North Fork Bancorp., Inc. ............................ 500 10,562
Northern Trust Corp. ................................. 200 17,762
Old Kent Financial Corp. ............................. 200 8,450
Popular, Inc. ........................................ 400 12,350
Regions Financial Corp. .............................. 800 27,700
Republic New York Corp. .............................. 3,600 166,050
Southtrust Corp. ..................................... 500 18,656
Sovereign Bancorp, Inc. .............................. 3,500 42,875
Summit Bancorp. ...................................... 600 23,400
Synovus Financial Corp. .............................. 200 4,088
TCF Financial Corp. .................................. 300 7,800
Trustmark Corp. ...................................... 100 1,969
Union Planters Corp. ................................. 500 21,969
Unionbancal Corp. .................................... 1,400 47,687
United States Trust Corp. ............................ 100 7,419
Valley National Bancorp .............................. 100 2,519
Washington Federal, Inc. ............................. 110 2,310
Wilmington Trust Corp. ............................... 100 5,713
Zions Bancorp ........................................ 100 6,650
FINANCIAL SERVICES -- 5.1%
Allmerica Financial Corp. ............................ 1,200 66,075
AMBAC, Inc. .......................................... 200 10,800
AMRESCO, Inc.+ ....................................... 100 769
Bear Stearns Cos., Inc. .............................. 315 14,077
Case Corp. ........................................... 300 7,612
CIT Group, Inc., Class A ............................. 100 3,056
Compass Bancshares, Inc. ............................. 300 10,350
Countrywide Credit Industries, Inc. .................. 300 11,250
Donaldson, Lufkin & Jenrette, Inc. ................... 100 6,975
Dow Jones & Co., Inc. ................................ 100 4,719
Dun & Bradstreet Corp. ............................... 1,700 60,562
Edwards (A.G.), Inc. ................................. 300 9,806
FINOVA Group, Inc. ................................... 100 5,188
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
Fulton Financial Corp. ............................... 200 $ 4,588
Heller Financial, Inc., Class A+ ..................... 100 2,350
IndyMac Mortgage Holdings, Inc. ...................... 200 2,175
Keystone Financial, Inc. ............................. 200 6,450
Legg Mason, Inc. ..................................... 200 6,737
Lehman Brothers Holdings, Inc. ....................... 400 23,900
Leucadia National Corp. .............................. 100 3,025
Nationwide Financial Services, Inc., Class A ......... 100 4,200
Pacific Century Financial Corp. ...................... 5,800 121,075
PaineWebber Group, Inc. .............................. 400 15,950
Peoples Heritage Financial Group, Inc. ............... 400 7,200
Provident Financial Group, Inc. ...................... 100 3,838
Raymond James Financial, Inc. ........................ 200 3,950
ReliaStar Financial Corp. ............................ 700 29,837
S&P Mid-Cap Depository Receipts ...................... 1,488 102,579
United Asset Management Corp. ........................ 200 4,525
Waddell & Reed Financial, Inc.+ ...................... 200 4,100
Waddell & Reed Financial, Inc., Class B .............. 5,900 117,262
INSURANCE -- 7.2%
20th Century Industries .............................. 200 3,250
Ace Ltd. ............................................. 1,700 53,019
Aetna, Inc. .......................................... 1,700 141,100
Aflac, Inc. .......................................... 700 38,106
American Bankers Insurance Group, Inc. ............... 100 5,200
American Financial Group, Inc. ....................... 100 3,519
Cincinnati Financial Corp. ........................... 600 21,862
CMAC Investment Corp. ................................ 2,100 81,900
CNA Financial Corp.+ ................................. 2,700 104,794
Conseco, Inc. ........................................ 600 18,525
Erie Indemnity Co. ................................... 200 5,500
Everest Reinsurance Holdings, Inc. ................... 2,600 81,087
Financial Security Assured Holdings Ltd. ............. 100 4,963
Fremont General Corp. ................................ 200 3,813
Hartford Life, Inc., Class A ......................... 100 5,500
Horace Mann Educators Corp. .......................... 1,200 27,825
Jefferson Pilot Corp. ................................ 300 20,325
MBIA, Inc. ........................................... 300 17,400
Mercury General Corp. ................................ 600 20,925
Mony Group, Inc. ..................................... 2,100 52,237
Ohio Casualty Corp. .................................. 100 3,900
Old Republic International Corp. ..................... 500 9,125
Orion Capital Corp. .................................. 100 3,125
PMI Group, Inc. ...................................... 100 4,638
Protective Life Corp. ................................ 200 7,575
Provident Cos., Inc. ................................. 300 10,369
Reliance Group Holdings, Inc. ........................ 100 756
SAFECO Corp. ......................................... 500 20,219
Torchmark, Inc. ...................................... 1,300 41,112
Transamerica Corp. ................................... 400 28,400
Transatlantic Holdings, Inc. ......................... 700 52,500
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
INSURANCE (CONTINUED)
Unitrin Inc. ......................................... 200 $ 6,250
UNUM Corp. ........................................... 400 19,025
XL Capital Ltd ....................................... 400 24,300
-------------
2,505,101
-------------
HEALTHCARE -- 6.4%
DRUGS -- 0.6%
Allergan, Inc. ....................................... 200 17,575
Bergen Brunswig Corp., Class A ....................... 200 4,000
ICN Pharmaceuticals, Inc. ............................ 200 5,038
Mallinckrodt, Inc. ................................... 300 7,987
Mylan Laboratories, Inc. ............................. 1,500 41,156
HEALTH SERVICES -- 4.2%
Cardinal Health, Inc., Class A ....................... 200 13,200
Foundation Health Systems, Inc.+ ..................... 200 2,438
HCR Manor Care, Inc. ................................. 200 4,563
Humana, Inc.+ ........................................ 4,200 72,450
IMS Health, Inc. ..................................... 400 13,250
Integrated Health Services, Inc.+ .................... 100 550
MedPartners, Inc.+ ................................... 12,400 58,900
Omnicare, Inc. ....................................... 100 1,906
Pacificare Health Systems, Inc., Class B+ ............ 100 6,825
Quest Diagnostics, Inc.+ ............................. 4,800 106,800
Sierra Health Services, Inc. ......................... 2,400 31,200
Tenet Healthcare Corp.+ .............................. 5,100 96,581
Total Renal Care Holdings, Inc.+ ..................... 6,700 73,700
Trigon Healthcare, Inc.+ ............................. 2,000 68,500
Wellpoint Health Networks, Inc., Class A+ ............ 100 7,581
MEDICAL PRODUCTS -- 1.6%
Acuson Corp.+ ........................................ 4,200 62,737
Bard (C.R.), Inc. .................................... 200 10,087
Bausch & Lomb, Inc. .................................. 100 6,500
Dentsply International, Inc. ......................... 100 2,325
EG & G, Inc. ......................................... 100 2,638
Genzyme Corp.+ ....................................... 200 10,088
Owens Corning Co. .................................... 200 6,363
Polymer Group, Inc. .................................. 6,500 60,125
St. Jude Medical, Inc.+ .............................. 2,000 48,750
-------------
843,813
-------------
INDUSTRIAL & COMMERCIAL -- 10.0%
AEROSPACE & MILITARY TECHNOLOGY -- 1.4%
Cordant Technologies, Inc. ........................... 100 3,981
General Dynamics Corp. ............................... 400 25,700
Harsco Corp. ......................................... 100 2,519
ITT Industries, Inc. ................................. 300 10,613
Litton Industries, Inc. .............................. 100 5,750
Northrop Grumman Corp.+ .............................. 1,700 101,787
</TABLE>
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COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
AEROSPACE & MILITARY TECHNOLOGY (CONTINUED)
Orbital Sciences Corp.+ .............................. 1,000 $ 28,313
BUSINESS SERVICES -- 4.1%
Allied Waste Industries, Inc.+ ....................... 3,800 54,862
Armstrong World Industries, Inc. ..................... 100 4,519
Ball Corp. ........................................... 1,800 84,487
Browning-Ferris Industries, Inc. ..................... 2,200 84,837
Comdisco, Inc. ....................................... 200 3,575
Convergys Corp.+ ..................................... 200 3,425
DeLuxe Corp. ......................................... 300 8,738
FDX Corp.+ ........................................... 500 46,406
Fiserv, Inc.+ ........................................ 100 5,363
Ikon Office Solutions, Inc. .......................... 300 3,844
Inacom Corp. ......................................... 4,600 35,650
National Service Industries, Inc. .................... 100 3,406
Owens-Illinois, Inc.+ ................................ 300 7,500
Pall Corp. ........................................... 400 6,625
Prologis Trust ....................................... 300 6,150
R.R. Donnelley & Sons Co. ............................ 300 9,656
RH Donnelley Corp. ................................... 100 1,544
Rowan Cos., Inc.+ .................................... 100 1,269
Sabre Group Holdings, Inc. ........................... 100 4,538
Safety Kleen Corp. New ............................... 5,500 72,875
Stewart Enterprises, Inc., Class A ................... 100 1,606
Timken Co ............................................ 100 1,625
Trinity Industries, Inc. ............................. 100 2,938
United States Industries, Inc.+ ...................... 300 4,931
United States Office Products Co. .................... 100 400
Unova, Inc. .......................................... 3,300 43,519
US Filter Corp.+ ..................................... 300 9,187
Waste Management, Inc. ............................... 600 26,625
York International Corp. ............................. 100 3,531
ELECTRICAL EQUIPMENT -- 1.1%
AGCO Corp. ........................................... 100 656
Dover Corp. .......................................... 600 19,725
Harnischfeger Industries, Inc. ....................... 100 569
Hubbell, Inc., Class B ............................... 200 8,000
Johnson Controls, Inc. ............................... 300 18,713
Thomas & Betts Corp. ................................. 200 7,513
UCAR International, Inc.+ ............................ 6,500 91,812
MACHINERY -- 1.6%
Aeroquip-Vickers, Inc. ............................... 100 5,731
Coflexip SA ADR ...................................... 800 27,600
Coltec Industries, Inc.+ ............................. 3,500 63,656
Cooper Industries, Inc. .............................. 300 12,788
Danaher Corp. ........................................ 100 5,225
Ingersoll-Rand Co. ................................... 500 24,812
Mettler Toledo International, Inc. ................... 600 14,850
Parker Hannifin Corp. ................................ 400 13,700
Pentair, Inc. ........................................ 100 3,375
</TABLE>
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COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
MACHINERY (CONTINUED)
Snap-On Tools Corp. .................................. 1,200 $ 34,800
MULTI-INDUSTRY -- 0.7%
Canadian Pacific Ltd. ................................ 3,800 73,862
Crane Co. ............................................ 100 2,419
Lancaster Colony Corp. ............................... 100 2,663
Ogden Corp. .......................................... 100 2,406
Teleflex, Inc. ....................................... 100 3,406
Thermo Electron Corp. ................................ 300 4,069
TRANSPORTATION -- 1.1%
Airborne Freight Corp. ............................... 200 6,225
CNF Transportation, Inc. ............................. 200 7,562
Delta Air Lines, Inc. ................................ 500 34,750
GATX Corp. ........................................... 200 6,588
Newport News Shipbuilding, Inc. ...................... 1,600 50,700
Southwest Airlines Co. ............................... 1,100 33,275
The St. Joe Co. ...................................... 100 2,425
UAL Corp.+ ........................................... 100 7,775
-------------
1,313,944
-------------
INFORMATION & ENTERTAINMENT -- 4.4%
BROADCASTING & MEDIA -- 2.7%
ACNielson Corp.+ ..................................... 200 5,425
Belo A. H. Corp. ..................................... 3,000 54,750
Cablevision Systems Corp., Class A+ .................. 300 22,237
Capstar Broadcasting Corp., ClassA+ .................. 100 2,294
Central Newspapers, Inc., Class A .................... 100 3,113
Harte Hanks Communications Co. ....................... 100 2,744
King World Productions, Inc.+ ........................ 200 6,112
Knight-Ridder, Inc. .................................. 300 15,000
Loews Corp. .......................................... 1,400 104,475
McGraw-Hill Cos., Inc. ............................... 600 32,700
New York Times Co., Class A .......................... 2,300 65,550
Primedia, Inc. ....................................... 100 1,400
Readers Digest Association, Inc., Class A ............ 300 9,431
Scripps (E.W) Co., Class A ........................... 100 4,425
Sinclair Broadcast Group, Inc.+ ...................... 100 1,456
TCA Cable Tv, Inc. ................................... 100 4,350
Tribune Co. .......................................... 100 6,544
USA Networks, Inc.+ .................................. 300 10,744
ENTERTAINMENT PRODUCTS -- 0.6%
Brunswick Corp. ...................................... 300 5,719
Callaway Golf Co. .................................... 200 2,037
Hasbro, Inc. ......................................... 2,400 69,450
Polaroid Corp. ....................................... 100 2,006
LEISURE & TOURISM -- 1.1%
Brinker International, Inc.+ ......................... 200 5,162
CBRL Group, Inc. ..................................... 100 1,800
Circus Circus Enterprises, Inc.+ ..................... 200 3,513
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
LEISURE & TOURISM (CONTINUED)
CKE Restaurants, Inc. ................................ 100 $ 1,975
Continental Airlines, Inc., Class B+ ................. 200 7,600
Darden Restaurants, Inc. ............................. 400 8,250
Harrah's Entertainment, Inc.+ ........................ 200 3,813
Hilton Hotels Corp. .................................. 400 5,625
Mirage Resorts, Inc.+ ................................ 400 8,500
Northwest Airlines Corp., Class A+ ................... 100 2,781
Park Place Entertainment Corp. ....................... 300 2,269
Promus Hotel Corp. ................................... 100 3,638
Tricon Global Restaurants, Inc.+ ..................... 1,000 70,250
USAirways Group, Inc.+ ............................... 200 9,762
Wendy's International, Inc. .......................... 300 8,531
-------------
575,431
-------------
INFORMATION TECHNOLOGY -- 7.9%
COMMUNICATION EQUIPMENT -- 1.3%
3Com Corp.+ .......................................... 500 11,656
Cabletron Systems, Inc.+ ............................. 7,200 58,950
Comsat Corp. ......................................... 200 5,788
General Instrument Corp.+ ............................ 200 6,062
Unisys Corp. ......................................... 800 22,150
Varian Associates, Inc. .............................. 1,700 65,875
COMPUTERS & BUSINESS EQUIPMENT -- 2.9%
Adaptec, Inc.+ ....................................... 200 4,563
Apple Computer, Inc.+ ................................ 400 14,375
Arrow Electronics, Inc.+ ............................. 300 4,500
Avnet, Inc. .......................................... 3,400 124,525
CompUSA, Inc.+ ....................................... 100 700
Diebold, Inc. ........................................ 200 4,800
Honeywell, Inc. ...................................... 800 60,650
Iomega Corp.+ ........................................ 900 4,612
Micron Technology, Inc.+ ............................. 500 24,125
NCR Corp.+ ........................................... 400 20,000
Plantronics, Inc. New ................................ 600 37,537
Quantum Corp.+ ....................................... 3,000 54,000
Seagate Technology, Inc.+ ............................ 500 14,781
Silicon Graphics, Inc.+ .............................. 600 10,012
Tech Data Corp.+ ..................................... 100 2,294
Western Digital Corp.+ ............................... 200 1,588
ELECTRONICS -- 1.9%
Advanced Micro Devices, Inc.+ ........................ 400 6,200
AMP, Inc. ............................................ 700 37,581
BEC Energy ........................................... 200 7,350
Conectiv, Inc. ....................................... 300 5,813
Eaton Corp. .......................................... 200 14,300
KLA-Tencor Corp.+ .................................... 200 9,713
LSI Logic Corp.+ ..................................... 300 9,356
Molex, Inc. .......................................... 200 5,875
National Semiconductor Corp.+ ........................ 400 3,725
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
ELECTRONICS (CONTINUED)
Pittway Corp., Class A ............................... 100 $ 2,650
Scientific-Atlanta, Inc. ............................. 100 2,725
Tektronix, Inc. ...................................... 200 5,050
Vishay Intertechnology, Inc.+ ........................ 8,900 129,606
SOFTWARE -- 1.0%
Adobe Systems, Inc. .................................. 1,600 90,800
Atmel Corp.+ ......................................... 200 3,038
Novell, Inc.+ ........................................ 1,100 27,706
Sterling Software, Inc.+ ............................. 200 4,750
Teradyne, Inc.+ ...................................... 100 5,456
TELECOMMUNICATIONS -- 0.8%
Frontier Corp. ....................................... 100 5,188
Harris Corp. ......................................... 300 8,588
Level 3 Communications, Inc.+ ........................ 1,000 72,812
McLeodUSA, Inc., Class A+ ............................ 100 4,200
Nextel Communications, Inc., Class A+ ................ 300 10,987
PanAmSat Corp.+ ...................................... 100 3,113
-------------
1,030,125
-------------
MATERIALS -- 7.1%
CHEMICALS -- 2.2%
Air Products & Chemicals, Inc. ....................... 700 23,975
Ashland, Inc. ........................................ 200 8,187
Cabot Corp. .......................................... 100 2,125
Crompton & Knowles Corp. ............................. 3,100 48,825
Eastman Chemical Co. ................................. 300 12,619
Engelhard Corp. ...................................... 300 5,081
FMC Corp.+ ........................................... 100 4,938
Grace W R & Co. ...................................... 200 2,425
Great Lakes Chemical Corp. ........................... 200 7,350
Hercules, Inc. ....................................... 200 5,050
IMC Global, Inc. ..................................... 2,800 57,225
Lubrizol Corp. ....................................... 200 4,500
Lyondell Petrochemical Co. ........................... 100 1,369
Millenium Chemicals, Inc. ............................ 300 5,962
Morton International, Inc. ........................... 400 14,700
Nalco Chemical Co. ................................... 300 7,969
Praxair, Inc. ........................................ 400 14,425
R.P.M., Inc. ......................................... 300 3,994
Rohm & Haas Co. ...................................... 400 13,425
Sherwin Williams Co. ................................. 500 14,062
Sigma-Aldrich Corp. .................................. 300 8,775
Solutia, Inc. ........................................ 400 6,950
Union Carbide Corp. .................................. 400 18,075
Witco Corp. .......................................... 200 2,538
FOREST PRODUCTS -- 3.3%
American Greetings Corp., Class A .................... 300 7,612
Bemis Co., Inc. ...................................... 100 3,106
Boise Cascade Corp. .................................. 200 6,450
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS (CONTINUED)
FOREST PRODUCTS (CONTINUED)
Bowater, Inc. ........................................ 200 $ 7,925
Buckeye Technologies, Inc. ........................... 3,000 42,000
Champion International Corp. ......................... 300 12,319
Consolidated Papers, Inc. ............................ 100 2,350
Georgia-Pacific Corp.@ ............................... 600 44,550
Georgia-Pacific Timber Group ......................... 6,000 134,625
Louisiana-Pacific Corp. .............................. 400 7,450
Mead Corp. ........................................... 400 12,300
Reynolds & Reynolds Co., Class A ..................... 100 1,900
Smurfit Stone Container Corp. ........................ 300 5,794
Sonoco Products Co. .................................. 300 6,900
Temple-Inland, Inc. .................................. 200 12,550
Union Camp Corp. ..................................... 200 13,425
Unisource Worldwide, Inc. ............................ 7,800 55,575
Westvaco Corp. ....................................... 400 8,400
Weyerhaeuser Co. ..................................... 600 33,300
Willamette Industries, Inc. .......................... 400 15,100
METALS & MINERALS -- 1.6%
Allegheny Teldyne, Inc. .............................. 500 9,469
Arch Chemicals, Inc. ................................. 1,450 24,287
Crown, Cork & Seal Co., Inc. ......................... 400 11,425
Cyprus Amax Minerals Co. ............................. 400 4,850
Fluor Corp. .......................................... 300 8,100
Homestake Mining Co. ................................. 800 6,900
Ispat International NV+ .............................. 8,200 60,987
Kennametal, Inc. ..................................... 100 1,750
Lafarge Corp. ........................................ 100 2,800
Martin Marietta Materials, Inc. ...................... 100 5,706
Newmont Mining Corp. ................................. 500 8,750
Olin Corp. ........................................... 100 1,006
Phelps Dodge Corp. ................................... 200 9,850
Raychem Corp. ........................................ 200 4,513
Reynolds Metals Co. .................................. 200 9,662
Southdown, Inc. ...................................... 100 5,369
USG Corp.+ ........................................... 100 5,138
USX-US Steel Group, Inc. ............................. 300 7,050
Vulcan Materials Co. ................................. 300 12,394
Worthington Industries, Inc. ......................... 300 3,525
-------------
931,706
-------------
REAL ESTATE -- 2.2%
REAL ESTATE INVESTMENT TRUSTS -- 2.2%
AMB Property Corp. ................................... 200 4,150
Apartment Investment & Management Co., Class A ....... 200 7,250
Archstone Communities Trust .......................... 300 6,037
Arden Realty Group, Inc. ............................. 200 4,450
Avalonbay Communities, Inc. .......................... 300 9,487
CarrAmerica Realty Corp. ............................. 200 4,413
Cornerstone Properties, Inc. ......................... 300 4,388
Crescent Real Estate Equities Co. .................... 400 8,600
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
REAL ESTATE (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
Duke Realty Investments, Inc. ........................ 300 $ 6,450
Equity Office Properties Trust ....................... 900 22,894
Equity Residential Properties Trust .................. 400 16,500
Healthcare Realty Trust .............................. 2,500 47,500
Highwoods Properties, Inc. ........................... 200 4,712
Host Marriott Corp. .................................. 100 1,113
HRPT Properties Trust ................................ 500 6,750
Kimco Realty Corp. ................................... 200 7,375
Liberty Property Trust ............................... 200 4,150
Mack-Cali Realty Corp. ............................... 200 5,875
Patriot American Hospitality, Inc. ................... 300 1,538
Post Properties, Inc. ................................ 100 3,600
Public Storage, Inc. ................................. 200 5,000
Rouse Co. ............................................ 200 4,437
Simon Property Group, Inc. ........................... 600 16,462
Spieker Properties, Inc. ............................. 200 7,050
Starwood Hotels & Resorts Worldwide, Inc. ............ 2,300 65,694
Vornado Realty Trust ................................. 200 6,900
-------------
282,775
-------------
UTILITIES -- 11.5%
ELECTRIC UTILITIES -- 8.6%
Allegheny Energy, Inc. ............................... 400 11,800
Ameren Corp. ......................................... 400 14,475
American Electric Power Co., Inc. .................... 700 27,781
Carolina Power & Light Co. ........................... 500 18,906
Central & South West Corp. ........................... 700 16,406
Cinergy Corp. ........................................ 500 13,750
Citizens Utilities Co., Class B ...................... 700 5,425
CMP Group, Inc. ...................................... 7,400 135,975
CMS Energy Corp. ..................................... 300 12,019
Consolidated Edison, Inc. ............................ 800 36,250
Dominion Resources, Inc. ............................. 700 25,856
DPL, Inc. ............................................ 500 8,250
DQE, Inc. ............................................ 300 11,512
DTE Energy Co. ....................................... 500 19,219
Energy East Corp. .................................... 200 10,513
Entergy Corp. ........................................ 800 22,000
Firstenergy Corp. .................................... 2,600 72,637
Florida Progress Corp. ............................... 300 11,325
GPU, Inc. ............................................ 400 14,925
Illinova Corp. ....................................... 2,500 52,969
Interstate Energy Corp. .............................. 200 5,300
Ipalco Enterprises ................................... 1,400 30,712
Kansas City Power & Light Co. ........................ 200 4,925
Keyspan Energy ....................................... 400 10,050
LG & E Energy Corp. .................................. 400 8,325
Montana Power Co. .................................... 200 14,712
New Century Energies, Inc. ........................... 400 13,625
New England Electric Systems ......................... 200 9,700
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
ELECTRIC UTILITIES (CONTINUED)
Niagara Mohawk Holdings, Inc. ........................ 5,600 $ 75,250
NIPSCO Industries, Inc. .............................. 500 13,500
Northeast Utilities+ ................................. 5,400 74,925
Northern States Power Co. ............................ 600 13,912
Oge Energy Corp. ..................................... 200 4,513
P P & L Resources, Inc. .............................. 500 12,375
PacifiCorp ........................................... 1,100 18,975
PECO Energy Co. ...................................... 700 32,375
Pinnacle West Capital Corp. .......................... 300 10,913
Potomac Electric Power Co. ........................... 400 9,275
Public Service Enterprise Group, Inc. ................ 800 30,550
Puget Sound Energy, Inc. ............................. 200 4,613
SCANA Corp. .......................................... 2,400 52,050
Sempra Energy + ...................................... 700 13,431
Sierra Pacific Resources Co. ......................... 600 21,112
TECO Energy, Inc. .................................... 500 9,938
Texas Utilities Co. .................................. 900 37,519
Unicom Corp. ......................................... 700 25,594
UtiliCorp United, Inc. ............................... 450 10,238
Western Resources, Inc. .............................. 300 8,006
Wisconsin Energy Corp. ............................... 400 10,450
GAS & PIPELINE UTILITIES -- 2.3%
American Water Works, Inc. ........................... 200 5,813
Baltimore Gas & Electric Co.+ ........................ 500 12,687
Coastal Corp. ........................................ 600 19,800
Columbia Gas Systems, Inc. ........................... 300 15,675
Consolidated Natural Gas Co. ......................... 400 19,475
Dynegy, Inc. ......................................... 5,800 81,562
Eastern Enterprises .................................. 1,200 43,650
El Paso Energy Corp. ................................. 400 13,075
KN Energy, Inc. ...................................... 300 5,981
MCN Corp. ............................................ 200 3,213
National Fuel Gas Co. ................................ 100 3,925
Nicor, Inc. .......................................... 100 3,594
Pioneer Natural Resources Co. ........................ 300 2,325
Questar Corp. ........................................ 200 3,388
Reliant Energy, Inc. ................................. 800 20,850
Southwest Gas Corp. .................................. 1,600 44,000
TELEPHONE -- 0.6%
Alltel Corp. ......................................... 500 31,187
AT&T Corp. ........................................... 312 16,419
Century Telephone Enterprises, Inc. .................. 300 21,075
Telephone & Data Systems, Inc. ....................... 100 5,638
-------------
1,502,188
-------------
TOTAL INVESTMENT SECURITIES (cost $11,847,098)........ 11,777,741
-------------
</TABLE>
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<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 0.1% AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES -- 0.1%
United States Treasury Bills 4.40% due 5/20/99 (cost
$19,880)@............................................ $ 20,000 $ 19,880
-------------
<CAPTION>
REPURCHASE AGREEMENTS -- 9.9%
<S> <C> <C>
- -------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 9.9%
Agreement with State Street Bank & Trust Co., bearing
interest at 4.00% dated 03/31/99 to be repurchased
04/01/99 in the amount of $220,024 and collateralized
by $215,000 of U.S. Treasury Bonds, bearing interest
at 6.25% due 08/15/23 and having an approximate
aggregate value of $225,750 ......................... 220,000 220,000
Agreement with State Street Bank & Trust Co., bearing
interest at 4.85% dated 03/31/99 to be repurchased
04/01/99 in the amount of $1,073,145 and
collateralized by $850,000 of U.S. Treasury Bonds,
bearing interest at 8.00% due 11/15/21 and having an
approximate aggregate value of $1,095,438 ........... 1,073,000 1,073,000
-------------
TOTAL REPURCHASE AGREEMENTS (cost $1,293,000)......... 1,293,000
-------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $13,159,978) 100.0 % 13,090,621
Liabilities in excess of other assets
-- 0.0 (2,898)
------ -----------
NET ASSETS -- 100.0 % $13,087,723
------ -----------
------ -----------
</TABLE>
- -------------
+ Non-income producing security
ADR -- American Depository Receipt
@ The security or a portion thereof has been segregated as collateral for the
following open futures contracts:
<TABLE>
<CAPTION>
OPEN FUTURES CONTRACTS
- ------------------------------------------------------------------------------------------
VALUE AS OF
NUMBER OF EXPIRATION VALUE AT MARCH 31, UNREALIZED
CONTRACTS DESCRIPTION DATE TRADE DATE 1999 DEPRECIATION
- ------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C> <C>
2 Long Standard & Poors 500
Index June 1999 $ 130,843 $ 129,330 $ (1,513)
------
------
</TABLE>
See Notes to Financial Statements
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138
<PAGE>
- ----------------
SEASONS SERIES TRUST SMALL CAP
PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK -- 92.0% SHARES VALUE
<S> <C> <C>
- -------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 11.9%
APPAREL & TEXTILES -- 2.5%
Albany International Corp., Class A .................. 100 $ 1,875
American Eagle Outfitters, Inc.+ ..................... 100 7,169
Authentic Fitness Corp. .............................. 200 3,087
Burlington Industries, Inc.+ ......................... 200 1,325
Collins & Aikman Corp.+ .............................. 500 2,375
Donna Karan International, Inc.+ ..................... 200 1,525
G & K Services, Inc., Class A ........................ 500 23,094
Goody's Family Clothing, Inc.+ ....................... 200 2,787
Kellwood Co. ......................................... 200 4,412
Kenneth Cole Productions, Inc.+ ...................... 1,100 29,012
Nautica Enterprises, Inc.+ ........................... 300 3,394
Nine West Group, Inc.+ ............................... 100 2,469
North Face, Inc.+ .................................... 100 1,250
Oakley, Inc.+ ........................................ 100 694
Oshkosh B Gosh, Inc. ................................. 100 1,769
Oxford Industries, Inc. .............................. 100 2,438
Phillips Van Heusen Corp. ............................ 300 2,081
Quiksilver, Inc.+ .................................... 1,400 59,150
Russell Corp. ........................................ 200 4,025
St. John Knits, Inc .................................. 100 2,638
Stride Rite Corp. .................................... 400 4,900
Tarrant Apparel Group, Inc.+ ......................... 1,500 63,000
Texas Industries, Inc. ............................... 100 2,481
Timberland Co.+ ...................................... 600 37,837
Vans, Inc.+ .......................................... 1,700 11,900
Wolverine World Wide, Inc. ........................... 300 2,850
AUTOMOTIVE -- 1.0%
Aftermarket Technology Corp.+ ........................ 200 1,363
Apogee Enterprises, Inc. ............................. 300 3,563
Arvin Industries, Inc. ............................... 200 6,737
Bandag, Inc. ......................................... 100 2,813
Borg-Warner Automotive, Inc. ......................... 100 4,781
Coachmen Industries, Inc. ............................ 100 2,050
CSK Auto Corp.+ ...................................... 100 2,994
Delco Remy International, Inc.+ ...................... 200 1,825
Detroit Diesel Corp. ................................. 100 2,250
Dollar Thrifty Automotive Group, Inc.+ ............... 200 3,450
Donaldson Co., Inc. .................................. 300 5,400
Federal Signal Corp. ................................. 300 6,262
Group 1 Automotive, Inc.+ ............................ 100 2,456
Hayes Lemmerz International, Inc.+ ................... 100 2,350
Keystone Automotive Industries, Inc.+ ................ 100 1,625
Mark IV Industries, Inc. ............................. 200 2,613
Mascotech, Inc. ...................................... 300 4,650
Midas, Inc. .......................................... 100 3,338
Modine Manufacturing Co. ............................. 100 2,806
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CONSUMER DISCRETIONARY (CONTINUED)
AUTOMOTIVE (CONTINUED)
O'Reilly Automotive, Inc.+ ........................... 100 $ 4,475
OEA, Inc. ............................................ 200 1,650
Penske Motorsports, Inc.+ ............................ 400 14,100
Polaris Industries, Inc. ............................. 100 3,175
Skyline Corp. ........................................ 100 2,775
SPX Corp.+ ........................................... 200 10,087
Stoneridge, Inc.+ .................................... 100 1,388
Superior Industries International, Inc. .............. 100 2,325
Tower Automotive, Inc.+ .............................. 300 5,587
Winnebago Indiana, Inc. .............................. 200 2,800
HOUSING -- 2.1%
American Homestar Corp.+ ............................. 200 1,463
Bassett Furniture Industries, Inc. ................... 100 2,213
Briggs & Stratton Corp. .............................. 100 4,931
Champion Enterprises, Inc.+ .......................... 300 5,812
Comfort Systems USA, Inc.+ ........................... 300 4,387
Cost Plus, Inc.+ ..................................... 1,350 39,656
Crossmann Communities, Inc.+ ......................... 900 17,944
Fairfield Communities, Inc.+ ......................... 400 3,575
Fedders USA, Inc. .................................... 300 1,519
Foster Wheeler Corp. ................................. 300 3,637
Garden Ridge Corp.+ .................................. 200 1,363
Genlyte Group, Inc.+ ................................. 100 1,600
Griffon Corp.+ ....................................... 300 2,063
Group Maintenance America Corp.+ ..................... 100 1,138
Hughes Supply, Inc. .................................. 100 2,275
Juno Lighting, Inc. .................................. 200 4,487
Kaufman & Broad Home Corp. ........................... 200 4,512
La-Z-Boy, Inc. ....................................... 400 7,600
Libbey, Inc. ......................................... 200 6,200
Meadowcraft, Inc.+ ................................... 1,400 8,400
Mikasa, Inc. ......................................... 200 1,475
National Presto Industries, Inc. ..................... 100 3,544
NCI Building Systems, Inc.+ .......................... 100 2,350
NVR, Inc.+ ........................................... 100 4,212
Oakwood Homes Corp. .................................. 200 2,813
Oneida Ltd. .......................................... 100 1,700
Palm Harbor Homes, Inc.+ ............................. 100 2,175
Rayovac Corp.+ ....................................... 100 2,756
Regal-Beloit Corp. ................................... 200 3,612
Regis Corp. .......................................... 150 3,994
Ryland Group, Inc. ................................... 100 2,531
SLI, Inc.+ ........................................... 900 18,900
Standard Pacific Corp. ............................... 200 2,575
Sunrise Assisted Living, Inc.+ ....................... 1,000 45,562
Tecumseh Products Co.+ ............................... 100 5,094
Toll Brothers, Inc.+ ................................. 200 3,625
Toro Co. ............................................. 100 3,138
United States Home Corp.+ ............................ 100 3,262
Virco Manufacturing Co. .............................. 100 1,388
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CONSUMER DISCRETIONARY (CONTINUED)
RETAIL -- 6.3%
Action Performance Cos., Inc.+ ....................... 3,100 $ 93,387
Ames Department Stores, Inc.+ ........................ 1,900 70,537
AnnTaylor Stores Corp.+ .............................. 100 4,419
Barnett, Inc.+ ....................................... 100 875
Beyond.com Corp.+ .................................... 600 15,712
Brylane, Inc.+ ....................................... 100 2,425
Burlington Coat Factory Warehouse, Inc.+ ............. 200 2,350
Caseys General Stores, Inc. .......................... 400 5,900
Childrens Place Retail Stores, Inc.+ ................. 100 2,694
Claire's Stores, Inc. ................................ 800 24,100
Coinmach Laundry Corp.+ .............................. 100 1,025
Coldwater Creek, Inc.+ ............................... 100 1,150
Cybershop International, Inc.+ ....................... 700 10,150
Duane Reade, Inc.+ ................................... 100 2,788
Eagle Hardware & Garden, Inc.+ ....................... 200 7,637
Finlay Enterprises, Inc.+ ............................ 100 1,081
Footstar, Inc.+ ...................................... 100 3,200
Fred's, Inc. ......................................... 100 1,100
Genesis Direct, Inc.+ ................................ 200 856
Guitar Center, Inc.+ ................................. 100 2,044
Hancock Fabrics, Inc. ................................ 200 1,263
Handleman Co.+ ....................................... 300 4,012
Heilig-Meyers Co. .................................... 500 2,594
Hollywood Entertainment Corp.+ ....................... 100 1,863
Homebase, Inc.+ ...................................... 400 1,775
Ingles Markets, Inc. ................................. 200 2,300
Jostens, Inc. ........................................ 200 4,250
Just For Feet, Inc.+ ................................. 200 2,500
K & G Mens Center, Inc.+ ............................. 100 994
Lands End, Inc.+ ..................................... 100 3,463
Linens' N Things, Inc.+ .............................. 300 13,612
Longs Drug Stores Corp. .............................. 200 6,087
Mac-Gray Corp.+ ...................................... 13,000 119,437
Men's Wearhouse, Inc.+ ............................... 100 2,888
Michaels Stores, Inc.+ ............................... 200 4,937
Microage, Inc.+ ...................................... 200 1,075
Musicland Stores, Inc.+ .............................. 300 2,644
Pacific Sunwear of California+ ....................... 2,800 97,300
Petco Animal Supplies, Inc.+ ......................... 200 2,000
PetSmart, Inc.+ ...................................... 600 4,819
Ruddick Corp. ........................................ 200 3,900
Shoe Carnival, Inc.+ ................................. 1,200 15,000
ShopKo Stores, Inc.+ ................................. 200 5,975
Smart + Final, Inc. .................................. 200 1,875
Sothebys Holdings, Inc.+ ............................. 200 6,475
Spiegel, Inc., Class A+ .............................. 300 1,838
Stage Stores, Inc.+ .................................. 2,900 21,025
Stein Mart Inc.+ ..................................... 100 1,000
Sunglass Hut International, Inc.+ .................... 300 3,150
Syms Corp.+ .......................................... 200 1,488
The Buckle, Inc. ..................................... 100 2,250
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CONSUMER DISCRETIONARY (CONTINUED)
RETAIL (CONTINUED)
The Sports Authority, Inc.+ .......................... 300 $ 2,194
Ticketmaster Online-Citysearch, Inc. ................. 2,000 67,250
Trans World Airlines, Inc.+ .......................... 400 2,075
Value City Department Stores, Inc. ................... 200 1,950
West Marine, Inc.+ ................................... 100 888
Wet Seal, Inc.+ ...................................... 100 3,687
Wild Oats Markets, Inc.+ ............................. 800 21,700
Zale Corp.+ .......................................... 200 6,837
-------------
1,334,506
-------------
CONSUMER STAPLES -- 1.8%
FOOD, BEVERAGE & TOBACCO -- 1.6%
Agribrands International, Inc.+ ...................... 100 3,288
American Italian Pasta Co., Class A+ ................. 100 2,500
Beringer Wine Estates Holdings, Inc., Class B+ ....... 100 3,638
Boston Beer, Inc.+ ................................... 200 1,550
Canadaigua Wines Inc., Class A+ ...................... 100 5,037
Chiquita Brands International, Inc. .................. 300 3,056
Coors Adolph Co. ..................................... 200 10,800
Corn Products International, Inc.+ ................... 200 4,787
Dreyer's Grand Ice Cream, Inc. ....................... 900 11,644
EarthShell Corp.+ .................................... 200 1,950
Fleming Cos., Inc. ................................... 300 2,569
General Cigar Holdings, Inc., Class A+ ............... 100 931
Great Atlantic & Pacific Tea, Inc. ................... 200 6,000
Hain Food Group, Inc.+ ............................... 100 1,650
Horizon Organic Holding Corp.+ ....................... 1,100 16,225
International Multifoods Corp. ....................... 100 2,331
Ionics, Inc.+ ........................................ 100 3,013
Lance, Inc. .......................................... 100 1,625
Northland Cranberries, Inc. .......................... 1,500 10,875
Performance Food Group Co.+ .......................... 100 2,625
Pilgrims Pride Corp. ................................. 100 1,644
Ralcorp Holdings, Inc.+ .............................. 200 3,800
Richfood Holdings, Inc. .............................. 300 6,469
Schweitzer Mauduit International, Inc. ............... 200 2,300
Smithfield Foods, Inc.+ .............................. 1,300 29,494
Smucker J M Co. ...................................... 200 4,462
Tejon Ranch Co. ...................................... 100 1,656
United Natural Foods, Inc.+ .......................... 500 11,687
United Water Resources, Inc. ......................... 100 2,075
Universal Corp. ...................................... 300 7,669
Universal Foods Corp. ................................ 300 6,187
Vlasic Foods International, Inc.+ .................... 200 2,588
HOUSEHOLD PRODUCTS -- 0.2%
Carter Wallace, Inc. ................................. 100 1,812
Central Garden & Pet Co.+ ............................ 100 1,687
Chattem, Inc.+ ....................................... 100 3,125
Church & Dwight, Inc. ................................ 100 4,075
Clarcor, Inc. ........................................ 200 3,412
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CONSUMER STAPLES (CONTINUED)
HOUSEHOLD PRODUCTS (CONTINUED)
CSS Industries, Inc.+ ................................ 100 $ 2,225
French Fragrances, Inc.+ ............................. 100 575
Gibson Greetings, Inc.+ .............................. 200 1,463
Playtex Products, Inc.+ .............................. 100 1,513
Samsonite Corp.+ ..................................... 100 613
Scott Technologies, Inc.+ ............................ 200 3,475
-------------
200,100
-------------
ENERGY -- 2.2%
ENERGY SERVICES -- 0.5%
Avista Corp. ......................................... 200 3,250
Friede Goldman International, Inc.+ .................. 100 1,600
Friedman, Billings, Ramsey Group, Inc.+ .............. 200 1,338
Hanover Compressor Co.+ .............................. 100 2,650
Inhale Therapeutic Systems, Inc.+ .................... 100 2,712
Key Energy Services+ ................................. 300 1,406
Marine Drilling Co., Inc.+ ........................... 400 4,400
Maverick Tube Corp.+ ................................. 200 1,413
Offshore Logistics, Inc.+ ............................ 200 2,325
Patterson Energy, Inc.+ .............................. 400 2,225
Pride International, Inc.+ ........................... 400 3,300
RPC, Inc. ............................................ 300 1,931
Tuboscope, Inc.+ ..................................... 200 1,800
Vintage Petroleum, Inc. .............................. 2,500 22,500
ENERGY SOURCES -- 1.7%
Arch Coal, Inc. ...................................... 200 2,650
Atmos Energy Corp. ................................... 200 4,813
Barrett Resources Corp.+ ............................. 300 7,519
Belco Oil & Gas Corp.+ ............................... 200 1,188
Benton Oil & Gas Co.+ ................................ 500 1,813
Berry Petroleum Co.+ ................................. 200 2,200
Tom Brown, Inc.+ ..................................... 200 2,425
Core Laboratories N.V.+ .............................. 2,200 38,637
Devon Energy Corp. ................................... 200 5,512
Edge Petroleum Corp.+ ................................ 1,700 9,137
Equitable Resources, Inc. ............................ 200 5,213
Ethyl Corp. .......................................... 200 850
Evergreen Resources, Inc.+ ........................... 900 18,000
Exco Resources, Inc.+ ................................ 1,700 10,625
Frontier Oil Corp.+ .................................. 300 1,500
Harken Energy Corp.+ ................................. 6,900 11,212
Hecla Mining Co.+ .................................... 500 1,375
Helmerich & Payne, Inc. .............................. 400 9,075
Houston Exploration Co. .............................. 100 1,738
Lone Star Technologies, Inc.+ ........................ 100 1,250
Meridian Resource Corp.+ ............................. 500 1,688
Newfield Exploration Co.+ ............................ 200 4,525
Ocean Energy, Inc.+ .................................. 500 3,406
Penn Virginia Corp. .................................. 100 1,756
Pogo Producing Co. ................................... 300 3,900
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ENERGY (CONTINUED)
ENERGY SOURCES (CONTINUED)
Range Resources Corp. ................................ 500 $ 1,750
Santa Fe Energy Resources, Inc.+ ..................... 400 2,925
Semco Energy, Inc. ................................... 200 3,075
Snyder Oil Corp. ..................................... 300 4,444
Stone Energy Corp.+ .................................. 900 28,800
Tesoro Petroleum Corp.+ .............................. 300 3,300
-------------
249,151
-------------
FINANCE -- 7.9%
BANKS -- 4.5%
Amcore Financial, Inc. ............................... 200 4,137
Area Bancshares Corp New ............................. 100 2,338
Bancfirst Ohio Corp. ................................. 100 2,500
Bancorpsouth, Inc. ................................... 400 6,400
Bancwest Corp. ....................................... 100 4,250
Banknorth Group, Inc. ................................ 100 2,825
Bankunited Financial Corp.+ .......................... 200 1,425
Brookline Bancorp, Inc. .............................. 200 2,275
Centennial Bancorp ................................... 200 2,500
Century South Bank, Inc. ............................. 100 2,562
Citizens Banking Corp.+ .............................. 200 7,200
City Holding Co. ..................................... 100 2,950
CNB Bancshares, Inc. ................................. 200 8,050
Columbia Banking Systems, Inc.+ ...................... 200 3,000
Commerce Bancorp, Inc.+ .............................. 200 8,250
Commercial Federal Corp. ............................. 400 9,275
Commonwealth Bancorp, Inc.+ .......................... 100 1,519
Community First Bank ................................. 200 4,000
Community Trust Bancorp, Inc. ........................ 110 2,310
Cullen/Frost Bankers, Inc. ........................... 200 9,587
CVB Financial Corp.+ ................................. 200 3,850
Dime Community Bancorp, Inc.+ ........................ 100 2,294
F & M National Corp.+ ................................ 200 4,800
Farmers Capital Bank Corp. ........................... 100 3,300
First Bancorp Puerto Rico ............................ 100 2,406
First Commonwealth Financial Corp.+ .................. 300 6,375
First Financial Bancorp .............................. 200 4,350
First Indiana Corp. .................................. 200 3,800
First Liberty Financial Corp. ........................ 200 4,237
First Midwest Bancorp, Inc. .......................... 200 7,600
First United Bancshares, Inc.+ ....................... 100 1,388
First Washington Bancorp, Inc. ....................... 100 1,944
First Western Bancorp, Inc. .......................... 100 3,150
Firstfed Financial Corp.+ ............................ 200 3,212
GBC Bancorp .......................................... 100 1,500
Gold Banc Corporation, Inc. .......................... 100 1,488
Greater Bay Bancorp .................................. 100 2,900
Greenpoint Financial Corp. ........................... 124 4,309
Hamilton Bancorp, Inc.+ .............................. 100 2,587
Hancock Holding Co. .................................. 100 4,600
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FINANCE (CONTINUED)
BANKS (CONTINUED)
HUBCO, Inc. .......................................... 300 $ 10,069
Imperial Bancorp ..................................... 108 1,850
Independence Community Bank Corp.+ ................... 500 6,437
Independent Bank Corp. ............................... 200 2,737
Independent Energy Holdings PLC+ ..................... 1,200 11,850
International Bancshares Corp. ....................... 100 4,300
Long Beach Financial Corp.+ .......................... 200 1,925
MAF Bancorp, Inc. .................................... 200 4,450
Mississippi Valley Bankshares, Inc. .................. 100 3,212
National Bancorp Alaska, Inc.+ ....................... 100 2,812
NBT Bancorp, Inc. .................................... 200 4,175
Netbank, Inc.+ ....................................... 700 47,600
Old National Bancorp ................................. 100 4,569
One Valley Bancorp West Virginia, Inc. ............... 300 10,462
Oriental Financial Group, Inc. ....................... 100 2,794
Park National Corp. .................................. 100 9,600
PBOC Holdings, Inc.+ ................................. 200 1,800
Peoples Bancorp, Inc. ................................ 200 1,975
Peoples Holding Co. .................................. 100 3,262
PFF Bancorp, Inc.+ ................................... 200 3,500
Pinnacle Banc Group, Inc. ............................ 100 2,925
Premier Bancshares, Inc. ............................. 200 3,950
Prime Bancshares, Inc. ............................... 100 1,419
Provident Bankshares Corp. ........................... 200 5,225
Queens County Bancorp, Inc. .......................... 200 5,400
Republic Bancorp, Inc. ............................... 200 2,600
Republic Bancshares, Inc.+ ........................... 100 2,138
Republic Security Financial Corp. .................... 500 4,625
Resource Bancshares Mortgage Group, Inc. ............. 200 2,575
Riggs National Corp. ................................. 100 1,688
Roslyn Bancorp Inc. .................................. 710 11,981
S & T Bancorp, Inc. .................................. 100 1,913
Silicon Valley Bancshares, Inc.+ ..................... 100 2,069
Sky Financial Group, Inc. ............................ 300 8,119
Southwest Bancorp.+ .................................. 200 2,463
St. Paul Bancorp, Inc. ............................... 200 4,331
Staten Island Bancorp, Inc. .......................... 400 6,875
Susquehanna Bancshares, Inc. ......................... 100 1,838
Telebanc Financial Corp.+ ............................ 1,100 87,725
Texas Regional Bancshares, Inc. ...................... 100 2,700
Triangle Bancorp, Inc. ............................... 100 1,669
Trustco Bank Corp. ................................... 200 5,000
United Bankshares, Inc. .............................. 300 6,862
Washington Trust Bancorp, Inc. ....................... 100 1,713
Wesbanco, Inc. ....................................... 200 6,025
Westamerica Bancorp. ................................. 200 6,325
Westcorp, Inc. ....................................... 200 1,550
Western Bancorp ...................................... 200 6,187
Westernbank of Puerto Rico ........................... 300 4,781
Whitney Holding Corp. ................................ 100 3,691
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FINANCE (CONTINUED)
FINANCIAL SERVICES -- 2.1%
Advanta Corp.+ ....................................... 200 $ 2,213
Affiliated Managers Group, Inc.+ ..................... 100 2,600
Alfa Corp. ........................................... 100 1,613
Americredit Corp.+ ................................... 500 6,562
Ameritrade Holding Corp.+ ............................ 100 6,175
Arcadia Financial Ltd.+ .............................. 400 1,900
Carolina First Corp.+ ................................ 100 2,200
Cash America International, Inc. ..................... 100 1,288
Cathay Bancorp, Inc. ................................. 100 3,762
Centurybusiness Services, Inc.+ ...................... 300 3,281
Charter Municipal Mortgage Acceptance Co. ............ 100 1,338
Chicago Title Corp. .................................. 100 3,637
Chittenden Corp. ..................................... 200 5,325
Conning Corp. ........................................ 200 2,988
ContiFinancial Corp.+ ................................ 200 1,425
Counsel Corp+ ........................................ 1,400 9,275
Delta Financial Corp.+ ............................... 100 563
Doral Financial Corp. ................................ 100 1,838
E*TRADE Group, Inc.+ ................................. 600 34,987
Eaton Vance Corp. .................................... 200 4,025
Enhance Financial Services Group, Inc. ............... 100 2,275
Everen Capital Corp.+ ................................ 100 1,956
Financial Federal Corp.+ ............................. 100 1,900
First Financial Holdings, Inc. ....................... 200 3,600
First Sentinel Bancorp, Inc. ......................... 300 2,400
First Sierra Financial, Inc.+ ........................ 100 900
Grand Premier Financial, Inc.+ ....................... 200 2,263
Hambrecht & Quist Group, Inc.+ ....................... 100 3,469
Insignia Financial Group, Inc.+ ...................... 100 1,406
Jefferies Group, Inc.+ ............................... 100 4,744
LandAmerica Financial Group, Inc. .................... 100 2,900
Laser Mortgage Management, Inc. ...................... 300 1,631
M.D.C. Holdings, Inc. ................................ 100 1,438
Metris Cos., Inc. .................................... 100 4,037
Morgan Keegan, Inc. .................................. 100 1,656
Multex Systems, Inc.+ ................................ 400 25,000
NOVA Corp.+ .......................................... 400 10,500
Ocwen Asset Investment Corp.+ ........................ 200 738
Pacific Capital Bancorp New .......................... 100 2,306
Phoenix Investment Partners Ltd. ..................... 400 3,450
Pioneer Group, Inc. .................................. 200 2,963
PMA Capital Corp. .................................... 200 4,025
Pulte Corp. .......................................... 200 4,162
Richmond County Financial Corp. ...................... 100 1,481
Security Capital Group, Inc., Class B+ ............... 300 4,012
SEI Corp. ............................................ 100 9,250
Shoreline Financial Corp. ............................ 100 2,575
Southwest Securities Group, Inc. ..................... 100 2,825
Student Loan Corp. ................................... 100 3,737
The BISYS Group, Inc.+ ............................... 100 5,625
UMB Financial Corp. .................................. 100 3,875
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FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
Unicapital Corp.+ .................................... 400 $ 2,550
UST Corp. ............................................ 300 6,553
Vermont Financial Services Corp. ..................... 100 2,825
Webster Financial Corp. .............................. 300 8,662
WSFS Financial Corp. ................................. 100 1,463
INSURANCE -- 1.3%
Acceptance Insurance Co. ............................. 200 2,700
American Heritage Life Investment Corp. .............. 100 2,331
Amerin Corp.+ ........................................ 200 4,062
AmerUs Life Holdings, Inc., Class A .................. 100 2,400
Argonaut Group, Inc. ................................. 100 2,569
ARM Financial Group, Inc. ............................ 200 2,987
W.R. Berkley Corp. ................................... 200 4,900
Capital Re Corp. ..................................... 100 1,725
Chartwell Re Corp. ................................... 100 1,725
Choicepoint, Inc.+ ................................... 100 4,987
CMAC Investment Corp. ................................ 100 3,900
CNA Surety Corp. ..................................... 200 2,475
Commerce Group, Inc. ................................. 100 2,456
Crawford & Co., Class B .............................. 300 3,131
E.W. Blanch Holdings, Inc. ........................... 100 5,250
Executive Risk, Inc. ................................. 100 7,100
FBL Financial Group, Inc. ............................ 300 5,325
Fidelity National Financial, Inc. .................... 100 1,500
First American Financial Corp. ....................... 300 4,744
FPIC Insurance Group, Inc.+ .......................... 100 4,150
Frontier Insurance Group, Inc. ....................... 200 2,375
Arthur J. Gallagher & Co. ............................ 100 4,600
HCC Insurance Holdings, Inc. ......................... 300 5,775
Highlands Insurance Group, Inc.+ ..................... 200 2,113
Hilb, Rogal & Hamilton Co. ........................... 200 3,387
Irwin Financial Corp. ................................ 100 2,006
Jefferson Savings Bancorp, Inc. ...................... 200 2,275
Liberty Corp. ........................................ 100 5,244
Life USA Holdings, Inc. .............................. 200 2,138
Medical Assurance, Inc.+ ............................. 200 5,600
MMI Cos, Inc. ........................................ 100 1,538
NAC Reinsurance Corp.+ ............................... 100 5,369
Presidential Life Corp. .............................. 200 3,587
Reinsurance Group America, Inc. ...................... 300 12,769
SCPIE Holdings, Inc. ................................. 100 2,719
Selective Insurance Group, Inc. ...................... 100 1,763
TIG Holdings, Inc.+ .................................. 200 3,262
UICI+ ................................................ 200 4,500
Vesta Insurance Group, Inc. .......................... 200 1,038
-------------
887,806
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HEALTHCARE -- 7.3%
DRUGS -- 3.5%
Alaris Med, Inc.+ .................................... 400 $ 1,263
Algos Pharmaceutical Corp.+ .......................... 100 2,463
Alkermes, Inc.+ ...................................... 2,100 57,225
Alpharma, Inc., Class A .............................. 100 3,925
Amerisource Health Corp., Class A+ ................... 200 6,837
Bindley Western Industries, Inc. ..................... 200 5,712
Bio Technology General Corp.+ ........................ 200 1,194
Cell Genesys, Inc.+ .................................. 200 988
Cephalon, Inc.+ ...................................... 200 1,750
COR Therapeutics, Inc.+ .............................. 200 1,988
Coulter Pharmaceutical, Inc.+ ........................ 100 2,175
Dura Pharmaceuticals, Inc.+ .......................... 300 4,237
Enzo Biochem, Inc.+ .................................. 200 1,875
Fuisz Technologies Ltd.+ ............................. 200 1,313
GelTex Pharmaceuticals, Inc.+ ........................ 5,100 71,719
Gensia, Inc.+ ........................................ 300 844
Gilead Sciences, Inc.+ ............................... 200 9,100
Human Genome Sciences, Inc.+ ......................... 200 6,937
ICOS Corp.+ .......................................... 1,400 47,250
IDEC Pharmaceuticals Corp.+ .......................... 100 5,137
Imclone Systems, Inc.+ ............................... 200 3,375
Immune Response Corp.+ ............................... 200 1,763
Incyte Pharmacuticals, Inc.+ ......................... 100 2,006
Isis Pharmaceuticals+ ................................ 200 1,800
IVAX Corp.+ .......................................... 500 5,906
Jones Pharma, Inc. ................................... 100 3,475
Kendle International, Inc.+ .......................... 100 2,013
Ligand Pharmaceuticals, Inc.+ ........................ 300 2,456
Liposome, Inc.+ ...................................... 200 2,687
Macrochem Corp.+ ..................................... 200 1,875
Medicis Pharmaceutical Corp., Class A+ ............... 150 4,500
Millenium Pharmaceuticals, Inc.+ ..................... 200 6,250
NBTY, Inc.+ .......................................... 200 975
Neurogen Corp. ....................................... 100 1,069
Nexstar Pharmaceuticals, Inc. ........................ 100 1,706
Organogenesis, Inc. .................................. 200 2,313
Owens & Minor, Inc. .................................. 200 2,025
PAREXAL International Corp.+ ......................... 200 4,137
PathoGenesis Corp.+ .................................. 100 1,331
Perrigo Co.+ ......................................... 300 2,175
Pharmaceutical Product Development, Inc.+ ............ 100 3,356
Pharmerica, Inc.+ .................................... 7,100 35,500
Protein Design Labs, Inc.+ ........................... 200 3,012
Regeneron Pharmaceuticals, Inc.+ ..................... 200 1,325
ResMed, Inc.+ ........................................ 100 2,825
Roberts Pharmaceutical Corp.+ ........................ 200 4,150
Schein Pharmaceutical, Inc.+ ......................... 100 1,300
Scios, Inc.+ ......................................... 300 2,719
Sepracor, Inc.+ ...................................... 200 22,450
Serologicals Corp.+ .................................. 100 1,356
Sugen, Inc.+ ......................................... 100 1,919
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HEALTHCARE (CONTINUED)
DRUGS (CONTINUED)
Transkaryotic Therapies, Inc.+ ....................... 100 $ 3,175
Twinlab Corp.+ ....................................... 1,300 12,187
US Bioscience, Inc.+ ................................. 100 1,088
Vertex Pharmaceuticals, Inc.+ ........................ 100 2,525
Vivus, Inc.+ ......................................... 400 1,600
Weider Nutrition International, Inc., Class A ........ 200 950
Zonagen, Inc.+ ....................................... 100 2,150
HEALTH SERVICES -- 2.2%
ABR Information Services, Inc.+ ...................... 100 1,738
Alternative Living Services, Inc.+ ................... 1,300 26,000
American Homepatient, Inc.+ .......................... 300 394
AmeriPath, Inc.+ ..................................... 100 900
Apria Healthcare Group, Inc.+ ........................ 300 3,562
Bally Total Fitness Holding Corp.+ ................... 200 4,775
Brookdale Living Communities, Inc.+ .................. 100 1,725
Capital Senior Living Corp.+ ......................... 100 706
Cerner Corp.+ ........................................ 200 3,212
ChiRex Inc.+ ......................................... 100 2,450
Covance, Inc.+ ....................................... 300 7,519
Coventry Helath Care, Inc.+ .......................... 400 3,000
Curative Health Services, Inc.+ ...................... 100 1,150
Dendrite International, Inc.+ ........................ 100 2,231
Diagnostic Products Corp. ............................ 100 2,425
Express Scripts, Inc., Class A+ ...................... 900 77,344
Hanger Orthopedic Group, Inc.+ ....................... 200 2,700
Healthcare Services Group, Inc.+ ..................... 1,800 17,100
Henry Schein, Inc.+ .................................. 100 2,525
IDEXX Laboratories, Inc.+ ............................ 200 4,787
IDX Systems Corp.+ ................................... 100 1,450
Invacare Corp. ....................................... 100 2,431
Labone, Inc. ......................................... 100 1,050
Magellan Health Services, Inc.+ ...................... 300 1,256
Mariner Post-Acute Network, Inc.+ .................... 600 1,313
Matria Healthcare, Inc.+ ............................. 3,100 8,331
Medaphis Corp.+ ...................................... 600 1,463
Mid Atlantic Medical Services, Inc.+ ................. 300 3,000
National Healthcare Corp.+ ........................... 100 813
Nielsen Media Research, Inc. ......................... 400 9,875
NovaCare, Inc.+ ...................................... 600 1,050
Orthodontic Centers of America, Inc.+ ................ 300 4,725
Oxford Health Plans, Inc.+ ........................... 400 6,250
Patterson Dental Co.+ ................................ 200 8,650
Pediatrix Medical Group, Inc.+ ....................... 100 2,812
PhyCor, Inc.+ ........................................ 300 1,425
Priority Healthcare Corp., Class B+ .................. 100 4,525
Quest Diagnostics, Inc.+ ............................. 200 4,450
Renal Care Group, Inc.+ .............................. 300 5,887
Sierra Health Services, Inc.+ ........................ 200 2,600
Sun Healthcare Group, Inc.+ .......................... 700 700
Vencor, Inc.+ ........................................ 600 788
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HEALTHCARE (CONTINUED)
HEALTH SERVICES (CONTINUED)
Veterinary Centers of America, Inc.+ ................. 100 $ 1,413
MEDICAL PRODUCTS -- 1.6%
ADAC Laboratories+ ................................... 100 1,363
Advanced Tissue Sciences, Inc.+ ...................... 400 863
Affymetrix, Inc.+ .................................... 100 3,481
Agouron Pharmaceuticals, Inc.+ ....................... 200 11,312
Airgas, Inc.+ ........................................ 500 4,187
Arrow International, Inc. ............................ 800 17,250
ATS Medical, Inc.+ ................................... 2,000 15,000
Ballard Medical Products ............................. 200 4,875
Coherent, Inc.+ ...................................... 100 1,375
CONMED Corp.+ ........................................ 100 3,100
Cooper Cos, Inc.+ .................................... 100 1,538
Datascope Corp.+ ..................................... 100 2,700
Dionex Corp.+ ........................................ 300 11,325
Haemonetics Corp.+ ................................... 200 3,137
Herbalife International, Inc., Class A+ .............. 100 1,231
Hologic, Inc.+ ....................................... 100 906
Lam Research Corp.+ .................................. 200 5,800
MedImmune, Inc.+ ..................................... 300 17,756
Mentor Corp. ......................................... 200 2,937
Miravant Med Technologies+ ........................... 100 688
Novoste Corp.+ ....................................... 100 2,400
Ocular Sciences, Inc.+ ............................... 100 2,869
Orthofix International N.V.+ ......................... 800 12,000
PSS World Medical, Inc.+ ............................. 500 4,406
Respironics, Inc.+ ................................... 200 2,638
SangStat Medical Corp.+ .............................. 100 1,238
Sola International, Inc.+ ............................ 100 1,206
Techne Corp.+ ........................................ 100 2,887
Theragenics Corp.+ ................................... 1,800 12,600
Thermo Cardiosystems, Inc.+ .......................... 200 1,600
ThermoLase, Corp.+ ................................... 300 863
Trex Med Corp.+ ...................................... 200 1,250
VISX, Inc.+ .......................................... 100 10,756
Vital Signs, Inc. .................................... 100 1,800
Wesley Jessen VisionCare, Inc.+ ...................... 100 2,756
Xomed Surgical Products, Inc.+ ....................... 100 3,925
Zila, Inc.+ .......................................... 400 1,513
-------------
811,387
-------------
INDUSTRIAL & COMMERCIAL -- 17.7%
AEROSPACE & MILITARY TECHNOLOGY -- 1.4%
AAR Corp. ............................................ 100 1,781
Banner Aerospace, Inc.+ .............................. 200 1,475
BE Aerospace, Inc.+ .................................. 200 2,950
Fairchild Corp., Class A+ ............................ 200 2,038
Gencorp, Inc.+ ....................................... 300 5,400
Heico Corp., Class A ................................. 1,300 27,787
Heico Corp. .......................................... 100 2,400
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INDUSTRIAL & COMMERCIAL (CONTINUED)
AEROSPACE & MILITARY TECHNOLOGY (CONTINUED)
Kaman Corp. .......................................... 100 $ 1,281
Kellstrom Industries, Inc.+ .......................... 100 1,588
Orbital Sciences Corp.+ .............................. 3,500 99,094
REMEC, Inc.+ ......................................... 200 4,175
Sturm Ruger & Co., Inc. .............................. 200 2,000
BUSINESS SERVICES -- 11.2%
Aaron Rents, Inc. .................................... 200 3,125
Abacus Direct Corp.+ ................................. 400 32,800
ABM Industries, Inc. ................................. 200 6,100
ADVO, Inc.+ .......................................... 200 3,862
AHL Services, Inc.+ .................................. 100 2,050
Alternative Resources Corp.+ ......................... 200 1,275
Amerco+ .............................................. 100 2,150
Analysts International Corp. ......................... 200 2,300
APAC Teleservices, Inc.+ ............................. 300 1,003
Armor Holdings, Inc.+ ................................ 3,000 41,062
Aviation Sales Co.+ .................................. 100 4,450
Aviron+ .............................................. 100 2,025
Avis Rental A Car, Inc.+ ............................. 200 5,537
BA Merchants Services, Inc., Class A+ ................ 100 2,038
Ball Corp. ........................................... 100 4,694
Banta Corp. .......................................... 100 1,900
Billing Information Concepts Corp.+ .................. 300 3,562
Borg Warner Security Corp.+ .......................... 200 3,350
Bowne & Co., Inc. .................................... 300 3,506
Brady Corp., Class A+ ................................ 100 2,094
Budget Group, Inc., Class A+ ......................... 200 2,450
Building One Services Corp.+ ......................... 200 3,437
Butler International, Inc.+ .......................... 800 14,700
Catalytica Inc.+ ..................................... 300 3,300
CDI Corp.+ ........................................... 100 2,406
Complete Busines Solutions, Inc.+ .................... 100 1,963
Computer Learning Ctenters, Inc.+ .................... 200 1,063
Consolidated Graphics, Inc.+ ......................... 100 5,775
Copart, Inc.+ ........................................ 100 2,075
Cornell Corrections, Inc.+ ........................... 1,100 19,250
Corporate Express, Inc.+ ............................. 700 3,631
CSG Systems International, Inc.+ ..................... 300 11,831
D.R. Horton, Inc. .................................... 300 5,025
Dal-Tile International, Inc.+ ........................ 300 2,719
Davox Corp.+ ......................................... 100 619
DeVry, Inc.+ ......................................... 300 8,700
Dispatch Management Services Corp.+ .................. 400 1,125
Education Management Corp.+ .......................... 100 3,075
Edutrek International, Inc., Class A+ ................ 100 688
Electro Rent Corp.+ .................................. 100 913
Electronics for Imaging, Inc.+ ....................... 300 11,700
Exodus Communications, Inc.+ ......................... 100 13,450
F.Y.I., Inc.+ ........................................ 100 3,200
First Consulting Group, Inc.+ ........................ 100 1,113
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INDUSTRIAL & COMMERCIAL (CONTINUED)
BUSINESS SERVICES (CONTINUED)
Fisher Scientific International, Inc.+ ............... 200 $ 3,475
Getty Images, Inc.+ .................................. 200 4,200
Giant Cement Holding, Inc.+ .......................... 100 1,719
Global DirectMail Corp.+ ............................. 100 1,675
HA-LO Industries, Inc.+ .............................. 150 1,847
Hagler Bailly, Inc.+ ................................. 100 800
Hooper Holmes, Inc. .................................. 2,600 40,625
HSB Group, Inc. ...................................... 200 7,425
Hunt Corp. ........................................... 200 1,975
Hypercom Corp.+ ...................................... 100 638
Imco Recycling, Inc. ................................. 200 2,575
Inacom Corp.+ ........................................ 328 2,542
Industri-Matematik International Corp.+ .............. 300 609
Information Resources, Inc.+ ......................... 300 1,931
Intelligroup, Inc.+ .................................. 100 644
Intergraph Corp.+ .................................... 100 675
Interim Services, Inc.+ .............................. 300 4,500
Invitrogen Corp.+ .................................... 1,200 15,450
Iron Mountain, Inc.+ ................................. 1,100 34,375
ITT Educational Services, Inc.+ ...................... 3,100 116,444
Jacobs Engineering Group, Inc.+ ...................... 100 3,944
Labor Ready, Inc.+ ................................... 1,100 28,669
Landauer, Inc......................................... 100 2,413
Lason, Inc.+ ......................................... 100 5,625
Learning Tree International, Inc.+ ................... 200 2,000
M A R C, Inc. ........................................ 1,100 11,550
Maximus, Inc.+ ....................................... 100 2,912
Maxxim Medical, Inc.+ ................................ 1,200 22,650
McGrath Rentcorp ..................................... 1,100 20,075
Medquist, Inc.+ ...................................... 4,100 123,000
Memberworks, Inc.+ ................................... 100 3,625
Merrill Corp. ........................................ 200 2,675
Metamor Worldwide, Inc.+ ............................. 100 1,400
Metzler Group, Inc.+ ................................. 100 3,137
MindSpring Enterprises, Inc.+ ........................ 100 8,606
National Data Corp. .................................. 200 8,400
Newpark Resources, Inc.+ ............................. 600 4,350
NFO Worldwide, Inc.+ ................................. 1,500 15,000
Nichols Research Corp.+ .............................. 100 1,888
Norrell Corp. ........................................ 700 9,144
Novacare Employee Services, Inc.+ .................... 300 2,344
Oceaneering International, Inc.+ ..................... 100 1,513
Olsten Corp. ......................................... 300 1,856
Open Market, Inc.+ ................................... 200 2,588
Paxar Corp.+ ......................................... 300 2,231
Pcorder Common, Inc., Class A+ ....................... 500 28,312
Personnel Group Of America, Inc.+ .................... 300 2,156
Pierce Leahy Corp.+ .................................. 100 2,488
Pre-Paid Legal Services, Inc.+ ....................... 100 2,450
Profit Recovery Group International, Inc.+ ........... 100 3,950
Prologis Trust ....................................... 110 2,255
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COMMON STOCK (CONTINUED) SHARES VALUE
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INDUSTRIAL & COMMERCIAL (CONTINUED)
BUSINESS SERVICES (CONTINUED)
QuadraMed Corp.+ ..................................... 200 $ 1,525
Quintiles Transnational Corp.+ ....................... 117 4,402
RCM Technologies, Inc.+ .............................. 6,000 66,000
Rent-A-Center, Inc.+ ................................. 100 2,875
Rent Way, Inc. ....................................... 100 2,400
Rental Service Corp. ................................. 100 1,750
Romac International, Inc.+ ........................... 300 2,550
Safety Kleen Corp.+ .................................. 100 1,325
Seitel Inc.+ ......................................... 1,800 25,087
Sensormatic Electronics Corp.+ ....................... 300 2,850
Service Experts, Inc.+ ............................... 200 2,700
SFX Entertainment, Inc., Class A+ .................... 200 12,912
SOS Staffing Services, Inc.+ ......................... 100 766
Specialty Equipment Cos, Inc.+ ....................... 100 2,762
Staffmark, Inc.+ ..................................... 200 1,575
Strategic Distribution, Inc.+ ........................ 3,500 7,000
Strayer Education, Inc. .............................. 100 3,700
Superior Consultant, Inc.+ ........................... 100 3,412
Superior Services, Inc.+ ............................. 200 3,962
Sylvan Learning Systems, Inc.+ ....................... 200 5,475
Technology Solutions Co.+ ............................ 400 2,850
TeleTech Holdings, Inc.+ ............................. 2,900 19,031
Tetra Tech, Inc.+ .................................... 200 4,212
The Kroll O'Gara Co.+ ................................ 5,800 157,325
TMP Worldwide, Inc.+ ................................. 100 6,481
Tredegar Industries, Inc. ............................ 200 6,187
Triumph Group, Inc. New+ ............................. 100 2,350
Ultratech Stepper, Inc.+ ............................. 100 1,413
Unifirst Corp. ....................................... 100 2,113
United Rentals, Inc.+ ................................ 200 5,700
United States Of America Floral Products, Inc.+ ...... 1,400 8,837
UNOVA, Inc.+ ......................................... 200 2,638
UTI Energy Corp.+ .................................... 200 2,125
Valhi, Inc. .......................................... 200 2,275
Varlen Corp. ......................................... 200 4,400
Veritas DGC, Inc.+ ................................... 100 1,419
Verticalnet, Inc.+ ................................... 100 10,387
Wabash National Corp. ................................ 200 2,325
Wackenhut Corp.+ ..................................... 100 2,225
Watts Industries, Inc., Class A ...................... 200 2,712
WD-40 Co. ............................................ 100 2,900
Wellman, Inc ......................................... 300 2,663
World Access, Inc.+ .................................. 200 1,625
World Color Press, Inc.+ ............................. 200 4,250
CONSUMER PRODUCTS -- 0.0%
Forest City Enterprises, Inc.+ ....................... 100 2,419
ELECTRICAL EQUIPMENT -- 1.3%
C&D Technologies, Inc. ............................... 100 2,487
C-Cube Microsystems, Inc.+ ........................... 200 3,962
Cohu, Inc. ........................................... 100 2,325
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INDUSTRIAL & COMMERCIAL (CONTINUED)
ELECTRICAL EQUIPMENT (CONTINUED)
Credence Systems Corp.+ .............................. 200 $ 4,287
Cubic Corp. .......................................... 100 1,575
Etec Systems, Inc.+ .................................. 100 2,944
Genrad, Inc.+ ........................................ 100 1,438
Gentex Corp.+ ........................................ 500 10,781
Hadco Corp.+ ......................................... 100 3,150
HMT Technology Corp.+ ................................ 300 1,050
Hussmann International, Inc. ......................... 200 2,937
In Focus System, Inc.+ ............................... 1,200 10,500
Integrated Device Technology, Inc.+ .................. 500 2,703
ITI Technologies, Inc.+ .............................. 100 3,000
Jabil Circuit, Inc.+ ................................. 200 8,100
Kemet Corp.+ ......................................... 300 3,450
LeCroy Corp.+ ........................................ 1,400 21,700
Littelfuse, Inc.+ .................................... 100 1,838
Oak Industries, Inc.+ ................................ 100 3,175
Roper Industries, Inc. ............................... 200 4,775
AO Smith Corp. ....................................... 200 3,800
Spectra Physics Lasers, Inc.+ ........................ 100 713
Technitrol, Inc. ..................................... 1,300 29,981
Tennant Co. .......................................... 100 3,425
Thermedics, Inc.+ .................................... 200 1,413
Thermoquest Corp.+ ................................... 100 1,213
Trimble Navigation Ltd.+ ............................. 200 1,950
Watsco, Inc. ......................................... 200 2,925
Westinghouse Air Brake Co.+ .......................... 200 4,175
MACHINERY -- 1.6%
Allied Products Corp.+ ............................... 200 600
Applied Power, Inc., Class A ......................... 300 8,175
AptarGroup, Inc. ..................................... 200 5,200
Astec Industries, Inc.+ .............................. 100 3,088
Blount International, Inc., Class A .................. 200 5,775
Chart Industries, Inc. ............................... 200 1,313
Cognex Corp.+ ........................................ 200 4,737
Columbus Mckinnon Corp.+ ............................. 100 2,013
Commercial Intertech Corp. ........................... 200 2,225
Dril Quip, Inc.+ ..................................... 100 2,206
DT Industries, Inc. .................................. 100 706
Flow International Corp.+ ............................ 1,500 14,812
Flowserve Corp. ...................................... 300 4,669
Gardner Denver Machinery, Inc. ....................... 200 3,175
Gerber Scientific, Inc. .............................. 100 2,019
Gleason Corp. ........................................ 100 1,694
Graco, Inc. .......................................... 100 2,206
Helix Technology Corp. ............................... 200 3,075
Idex Corp. ........................................... 200 4,712
JLG Industries, Inc. ................................. 1,000 13,625
Kaydon Corp. ......................................... 200 5,787
Ladish, Inc.+ ........................................ 200 1,375
Lawson Products, Inc. ................................ 100 2,050
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INDUSTRIAL & COMMERCIAL (CONTINUED)
MACHINERY (CONTINUED)
Lincoln Electric Holdings, Inc. ...................... 200 $ 3,725
Manitowoc, Inc. ...................................... 100 4,187
Mathews International Corp., Class A ................. 1,400 38,325
Mettler Toledo International, Inc.+ .................. 200 4,950
Milacron, Inc. ....................................... 200 3,150
Miller Industries, Inc.+ ............................. 400 1,900
Morrison Knudsen Corp.+ .............................. 100 994
Nordson Corp. ........................................ 100 5,575
Park Ohio Holdings Corp.+ ............................ 700 9,800
Precision Castparts Corp. ............................ 100 4,025
Standex International Corp. .......................... 100 2,188
Starrett L S Co. ..................................... 100 2,700
Terex Corp., Class A+ ................................ 200 4,825
MULTI-INDUSTRY -- 0.1%
Chemed Corp. ......................................... 100 2,575
Crescent Operating, Inc.+ ............................ 200 725
Justin Industries, Inc. .............................. 200 2,200
Walter Industries, Inc.+ ............................. 300 3,375
TRANSPORTATION -- 2.1%
Air Express International Corp. ...................... 200 3,025
Alexander & Baldwin, Inc. ............................ 300 5,887
American Freightways Corp.+ .......................... 200 2,575
Atlas Air, Inc.+ ..................................... 100 2,881
Avondale Industries, Inc.+ ........................... 100 2,950
C.H. Robinson Worldwide, Inc. ........................ 300 7,631
Circle International Group, Inc. ..................... 100 1,456
Consolidated Freightways Corp.+ ...................... 100 1,175
Covenant Transport, Inc., Class A+ ................... 100 1,488
Eagle USA Airfreight, Inc.+ .......................... 100 3,250
Expeditors International of Washington, Inc. ......... 200 10,800
Greif Brothers Corp., Class A+ ....................... 100 2,200
Gulfmark Offshore, Inc.+ ............................. 100 1,194
Heartland Express, Inc.+ ............................. 200 3,037
JB Hunt Transport Services, Inc. ..................... 100 2,100
Hvide Marine, Inc., Class A+ ......................... 200 863
Interpool, Inc. ...................................... 200 2,700
Kitty Hawk, Inc.+ .................................... 200 1,588
M.S. Carriers, Inc.+ ................................. 100 2,644
Motivepower Industries, Inc.+ ........................ 1,200 30,150
Newport News Shipbuilding, Inc. ...................... 300 9,506
Oshkosh Truck Corp., Class B ......................... 3,000 97,500
Overseas Shipholding Group, Inc. ..................... 100 1,138
Roadway Express, Inc. ................................ 200 3,412
Rollins Truck Leasing Corp. .......................... 200 1,888
Standard Products Co. ................................ 200 3,250
Swift Transportation Co., Inc.+ ...................... 100 2,587
USFreightways Corp. .................................. 200 6,575
Werner Enterprises, Inc. ............................. 200 3,150
Wisconsin Central Transportation Corp.+ .............. 400 5,300
XTRA Corp. ........................................... 100 3,831
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COMMON STOCK (CONTINUED) SHARES VALUE
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INDUSTRIAL & COMMERCIAL (CONTINUED)
TRANSPORTATION (CONTINUED)
Yellow Corp.+ ........................................ 100 $ 1,738
-------------
1,963,977
-------------
INFORMATION & ENTERTAINMENT -- 5.5%
BROADCASTING & MEDIA -- 3.0%
Ackerley Communications, Inc. ........................ 200 3,388
Actel Corp.+ ......................................... 100 1,644
Acxiom Corp.+ ........................................ 300 7,950
Adelphia Communications Corp., Class A+ .............. 100 6,300
American Media, Inc., Class A+ ....................... 100 550
Ascent Entertainment Group, Inc.+ .................... 200 2,188
Big Flower Holdings, Inc.+ ........................... 100 3,113
Brightpoint, Inc.+ ................................... 200 1,181
Caribiner International, Inc.+ ....................... 2,600 23,725
Carmike Cinemas, Inc., Class A+ ...................... 100 1,806
Century Communications Corp., Class A+ ............... 200 9,287
Cnet, Inc.+ .......................................... 100 9,212
Cox Radio, Inc., Class A+ ............................ 100 5,125
DoubleClick, Inc.+ ................................... 100 18,206
Emmis Broadcasting Corp., Class A+ ................... 100 5,000
GC Cos, Inc.+ ........................................ 100 3,144
Houghton Mifflin Co. ................................. 100 4,687
Mastech Corp.+ ....................................... 900 11,700
On Command Corp.+ .................................... 200 1,825
Playboy Enterprises, Inc., Class B+ .................. 100 2,250
RCN Corp.+ ........................................... 200 6,712
Scholastic Corp.+ .................................... 100 4,887
United International Holdings, Inc., Class A+ ........ 200 8,700
United States Satellite Broadcasting Co., Class A+ ... 100 1,713
Valassis Communications, Inc.+ ....................... 200 10,350
Vanguard Cellular Systems, Inc., Class A+ ............ 200 5,462
Wavephore, Inc.+ ..................................... 200 1,613
Western Wireless Corp., Class A+ ..................... 400 14,500
Westwood One, Inc.+ .................................. 200 5,700
Wiley (John) & Sons, Inc., Class A+ .................. 100 4,200
Xircom Inc.+ ......................................... 200 5,025
Young Broadcasting, Inc., Class A+ ................... 100 4,563
Ziff-Davis, Inc.--ZDNET .............................. 300 10,800
Ziff-Davis, Inc.--ZD+ ................................ 6,000 129,000
ENTERTAINMENT PRODUCTS -- 0.8%
Activision, Inc.+ .................................... 1,700 21,037
Championship Auto Racing Team+ ....................... 1,200 34,950
Charming Shoppes, Inc.+ .............................. 800 3,100
Cymer, Inc.+ ......................................... 200 3,975
Department 56, Inc.+ ................................. 100 3,044
Florida Panthers Holdings, Inc., Class A+ ............ 200 1,550
Harman International Industries, Inc.+ ............... 100 3,675
International Speedway Corp., Class B ................ 100 5,275
K2, Inc. ............................................. 200 1,575
Kimball International, Inc., Class B ................. 100 1,488
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INFORMATION & ENTERTAINMENT (CONTINUED)
ENTERTAINMENT PRODUCTS (CONTINUED)
Midway Games, Inc.+ .................................. 200 $ 1,738
Photronics, Inc.+ .................................... 100 1,862
LEISURE & TOURISM -- 1.7%
Advantica Restaurant Group, Inc.+ .................... 400 2,000
Alaska Air Group, Inc.+ .............................. 100 4,750
Ambassadors International, Inc.+ ..................... 100 1,619
America West Holding Corp., Class B+ ................. 200 3,812
American Skiing Co.+ ................................. 300 1,256
Applebee's International, Inc. ....................... 100 2,481
Atlantic Coast Airlines Holdings, Inc.+ .............. 100 2,813
Avado Brands, Inc. ................................... 300 1,781
Aztar Corp.+ ......................................... 400 1,925
Bob Evans Farms, Inc. ................................ 300 6,000
Buffets, Inc.+ ....................................... 400 3,950
CEC Entertainment Inc.+ .............................. 200 7,175
Cheesecake Factory, Inc.+ ............................ 100 2,375
Choice Hotels, Inc.+ ................................. 200 2,813
Coach USA, Inc.+ ..................................... 100 2,750
Dave & Buster's, Inc.+ ............................... 100 2,050
Extended Stay America, Inc.+ ......................... 500 5,094
Family Golf Centers, Inc.+ ........................... 1,700 12,644
Foodmaker, Inc.+ ..................................... 300 7,650
Gaylord Entertainment Co., Class A ................... 100 2,425
Homestead Village Properties, Inc.+ .................. 300 731
IHOP Corp.+ .......................................... 100 3,925
Lone Star Steakhouse & Saloon, Inc.+ ................. 300 3,075
Luby's Cafeterias, Inc. .............................. 200 3,375
Marcus Corp. ......................................... 200 2,400
Midwest Express Holdings, Inc.+ ...................... 100 2,937
Papa John's International, Inc.+ ..................... 100 4,412
Premier Parks, Inc.+ ................................. 400 14,900
Preview Travel, Inc.+ ................................ 100 1,900
Prime Hospitality Corp.+ ............................. 200 1,988
Project America, Inc. ................................ 100 2,300
Rainforest Cafe, Inc.+ ............................... 300 1,509
Red Roof Inn's, Inc.+ ................................ 300 4,725
Ruby Tuesday, Inc. ................................... 200 3,475
Ryan's Family Steak Houses, Inc.+ .................... 200 2,413
Skywest, Inc. ........................................ 100 2,887
Sonic Corp.+ ......................................... 100 2,694
Speedway Motorsports, Inc.+ .......................... 100 4,125
Station Casinos, Inc.+ ............................... 200 2,550
Steiner Leisure Ltd.+ ................................ 500 15,375
Steinway Musical Instruments, Inc.+ .................. 100 2,219
Suburban Lodges of America, Inc.+ .................... 200 1,381
Sunterra Corp.+ ...................................... 100 975
TransWorld Entertainment Corp. ....................... 200 2,200
Travel Services International, Inc.+ ................. 2,300 24,150
Vail Resorts, Inc.+ .................................. 100 1,588
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INFORMATION & ENTERTAINMENT (CONTINUED)
LEISURE & TOURISM (CONTINUED)
Vistana, Inc.+ ....................................... 100 $ 1,400
-------------
611,747
-------------
INFORMATION TECHNOLOGY -- 29.2%
COMMUNICATION EQUIPMENT -- 1.7%
Adtran, Inc.+ ........................................ 200 3,288
Aliant Communications, Inc. .......................... 200 8,187
American Mobile Satellite Corp.+ ..................... 300 2,250
Anicom, Inc.+ ........................................ 200 1,750
Antec Corp.+ ......................................... 200 4,300
Associated Group, Inc., Class A+ ..................... 200 9,912
Belden, Inc. ......................................... 200 3,412
Cable Design Technologies Corp.+ ..................... 200 2,200
California Microwave+ ................................ 100 1,075
CellStar Corp.+ ...................................... 4,500 46,687
Commscope, Inc.+ ..................................... 300 6,281
Digital Microwave Corp.+ ............................. 300 2,513
International Telecomm Systems, Inc.+ ................ 100 1,238
LCC International, Inc.+ ............................. 200 825
Level One Communications, Inc.+ ...................... 200 9,725
Metromedia Fiber Network, Inc., Class A+ ............. 100 5,181
Network Equipment Technologies, Inc.+ ................ 200 1,788
P-COM, Inc.+ ......................................... 200 1,525
PairGain Technologies, Inc.+ ......................... 3,800 37,050
PictureTel Corp.+ .................................... 300 2,100
Premiere Technologies, Inc.+ ......................... 300 3,412
Premisys Communications, Inc.+ ....................... 200 1,725
Renaissance Worldwide, Inc.+ ......................... 1,200 7,425
Rohn Industries, Inc.+ ............................... 400 888
Tekelec, Inc.+ ....................................... 300 2,194
Transaction Network Services, Inc.+ .................. 100 1,638
Visual Networks, Inc.+ ............................... 200 7,475
West TeleServices Corp.+ ............................. 200 1,700
Whittman-Hart, Inc.+ ................................. 200 4,300
Xylan Corp.+ ......................................... 200 7,362
COMPUTERS & BUSINESS EQUIPMENT -- 4.4%
Anacomp, Inc.+ ....................................... 100 1,606
Artesyn Technologies, Inc.+ .......................... 1,900 23,512
AVT Corp.+ ........................................... 100 2,388
Daisytek International Corp.+ ........................ 100 1,663
Data General Corp.+ .................................. 300 3,037
Evans & Sutherland Computer Corp.+ ................... 100 1,200
Franklin Electric, Inc.+ ............................. 100 6,500
General Binding Corp. ................................ 100 2,594
GTECH Holdings Corp.+ ................................ 200 4,875
Henry (Jack) & Associates, Inc. ...................... 100 3,675
Hutchinson Technology, Inc.+ ......................... 100 2,488
Identix, Inc.+ ....................................... 2,100 13,912
Interface, Inc ....................................... 400 3,850
Knoll, Inc.+ ......................................... 100 2,463
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INFORMATION TECHNOLOGY (CONTINUED)
COMPUTERS & BUSINESS EQUIPMENT (CONTINUED)
Komag Inc.+ .......................................... 300 $ 1,313
Mail-Well, Inc.+ ..................................... 200 2,675
Micro Warehouse, Inc.+ ............................... 200 3,225
Micros Systems, Inc.+ ................................ 1,700 56,100
Microtouch Systems, Inc.+ ............................ 1,100 13,062
MMC Networks, Inc.+ .................................. 100 1,600
National Computer Systems, Inc. ...................... 100 2,450
Network Appliance, Inc.+ ............................. 2,900 146,812
Plantronics, Inc.+ ................................... 2,200 137,637
Pomeroy Computer Resources, Inc.+ .................... 100 1,300
Sandisk Corp.+ ....................................... 200 5,300
SCB Computer Technology, Inc.+ ....................... 2,300 10,494
Sequent Computer Systems, Inc.+ ...................... 1,900 17,219
SMART Modular Technologies, Inc.+ .................... 200 2,987
Splash Technology Holdings, Inc.+ .................... 200 1,213
Standard Register Co. ................................ 100 2,969
Systems & Computer Technology Corp.+ ................. 300 3,000
Tava Technologies, Inc.+ ............................. 2,000 10,000
Zebra Technologies Corp., Class A+ ................... 100 2,375
ELECTRONICS -- 2.2%
American Tower Corp., Class A+ ....................... 600 14,700
American Xtal Technology, Inc.+ ...................... 1,000 22,500
Ametek Aerospace Products, Inc. ...................... 100 1,825
Amkor Technology, Inc., Class A+ ..................... 200 1,575
Ampex Corp., Class A+ ................................ 3,300 8,869
Amphenol Corp., Class A+ ............................. 100 3,825
Analogic Corp. ....................................... 600 19,762
Applied Micro Circuits Corp.+ ........................ 200 8,550
Avid Technology, Inc.+ ............................... 200 3,488
Bacou USA, Inc,+ ..................................... 100 1,313
Baldor Electric Co. .................................. 300 6,038
BMC Industries, Inc. ................................. 300 1,331
Burr-Brown Corp.+ .................................... 200 4,700
Catalina Marketing Corp.+ ............................ 100 8,587
Checkpoint Systems, Inc.+ ............................ 300 2,494
Cirrus Logic, Inc.+ .................................. 300 1,913
Cypress Semiconductor Corp.+ ......................... 600 5,400
Dallas Semiconductor Corp. ........................... 200 7,725
DII Group, Inc.+ ..................................... 200 5,850
General Semiconductor, Inc.+ ......................... 300 2,175
Integrated Process Equipment Corp.+ .................. 200 1,800
International Rectifier Corp.+ ....................... 400 2,800
Kent Electronics Corp.+ .............................. 200 1,988
Kulicke & Soffa Industries, Inc.+ .................... 100 2,525
Lattice Semiconductor Corp.+ ......................... 200 9,112
Marshall Industries+ ................................. 200 2,700
Memc Electronic Materials, Inc.+ ..................... 200 1,100
Methode Electronics, Inc., Class A ................... 100 1,113
Micrel, Inc.+ ........................................ 100 5,006
Microchip Technology, Inc.+ .......................... 300 10,387
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INFORMATION TECHNOLOGY (CONTINUED)
ELECTRONICS (CONTINUED)
Micron Electronics, Inc.+ ............................ 200 $ 2,350
Novellus Systems, Inc.+ .............................. 200 11,025
Park Electrochemical Corp. ........................... 100 2,350
PMC-Sierra, Inc.+ .................................... 200 14,237
PRI Automation, Inc.+ ................................ 100 2,100
Rambus, Inc.+ ........................................ 100 6,437
Read-Rite Corp.+ ..................................... 200 1,319
SDL, Inc.+ ........................................... 100 9,075
Semtech Corp.+ ....................................... 100 3,188
Silicon Valley Group, Inc.+ .......................... 100 1,231
Siliconix, Inc.+ ..................................... 100 2,100
SIPEX Corp.+ ......................................... 100 1,306
Unitrode Corp.+ ...................................... 300 4,256
Vishay Intertechnology, Inc.+ ........................ 400 5,825
VLSI Technology, Inc.+ ............................... 300 5,813
SOFTWARE -- 16.2%
3Dfx Interactive, Inc.+ .............................. 200 2,500
Acclaim Entertainment, Inc.+ ......................... 200 1,788
Advent Software, Inc.+ ............................... 100 5,000
American Management Systems, Inc.+ ................... 200 6,825
AnswerThink Consulting Group+ ........................ 4,100 114,800
Applied Graphics Technologies, Inc.+ ................. 100 750
Aris Corp.+ .......................................... 100 838
Aspect Development, Inc.+ ............................ 100 2,325
Aspen Technology, Inc.+ .............................. 100 1,419
Autobytel, Inc.+ ..................................... 200 8,375
Autoweb.com, Inc.+ ................................... 2,500 89,062
Avant Corp.+ ......................................... 200 3,550
Axent Technologies, Inc.+ ............................ 100 2,406
Barra, Inc.+ ......................................... 100 2,463
BEA Systems, Inc.+ ................................... 200 3,125
Bell & Howell Co.+ ................................... 100 2,931
Best Software, Inc.+ ................................. 800 10,800
Black Box Corp.+ ..................................... 100 3,100
BMC Software, Inc.+ .................................. 135 5,003
Brightstar Information Corp.+ ........................ 2,000 7,750
BroadVision, Inc.+ ................................... 100 5,975
Caere Corp.+ ......................................... 1,700 17,850
Cambridge Technology Partners, Inc.+ ................. 300 4,162
CCC Information Services Group, Inc.+ ................ 200 2,325
CheckFree Holdings Corp.+ ............................ 1,200 51,075
CHS Electronics, Inc.+ ............................... 200 638
CIBER, Inc.+ ......................................... 800 15,350
Clarify, Inc.+ ....................................... 100 2,669
CMG Information Services, Inc.+ ...................... 1,000 183,062
Cognicase, Inc.+ ..................................... 800 13,800
Compucom Systems, Inc.+ .............................. 300 881
Computer Horizons Corp.+ ............................. 900 9,844
Concentric Network Corp.+ ............................ 100 7,475
Concord Communications, Inc.+ ........................ 100 5,700
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INFORMATION TECHNOLOGY (CONTINUED)
SOFTWARE (CONTINUED)
Critical Path, Inc.+ ................................. 200 $ 15,400
Cylink Corp.+ ........................................ 200 800
Data Transmission Network Corp.+ ..................... 100 2,388
Datastream Systems, Inc.+ ............................ 200 1,725
DBT Online, Inc.+ .................................... 100 2,488
Diamond Multimedia Systems, Inc.+ .................... 300 1,838
Documentum, Inc.+ .................................... 100 1,731
Earthlink Network, Inc.+ ............................. 100 6,000
Entrust Technologies, Inc.+ .......................... 5,000 168,750
Excite, Inc.+ ........................................ 200 28,000
H T E, Inc.+ ......................................... 200 613
HNC Software, Inc.+ .................................. 200 6,550
Hyperion Solutions Corp.+ ............................ 200 2,900
Imation Corp.+ ....................................... 300 4,950
Imrglobal Corp.+ ..................................... 2,400 42,600
Indus International, Inc.+ ........................... 300 1,331
Informix Corp.+ ...................................... 1,000 7,375
Infoseek Corp.+ ...................................... 100 7,400
Input/Output, Inc.+ .................................. 400 2,525
Insight Enterprises, Inc.+ ........................... 150 3,712
Integrated Systems, Inc., Class A+ ................... 100 1,281
International Network Services+ ...................... 100 6,994
iVillage, Inc.+ ...................................... 100 10,050
Kronos, Inc.+ ........................................ 150 3,675
Landmark Systems Corp.+ .............................. 2,500 22,656
Legato Systems, Inc.+ ................................ 2,700 139,387
Lycos, Inc.+ ......................................... 200 17,212
Macromedia, Inc.+ .................................... 200 9,062
Manhattan Associates, Inc.+ .......................... 100 1,063
Manugistics Group, Inc.+ ............................. 200 1,325
Medical Manager Corp.+ ............................... 100 2,313
Mentor Graphics Corp.+ ............................... 400 5,400
Mercury Interactive Corp.+ ........................... 600 21,375
Metro Information Services, Inc.+ .................... 100 1,819
Micromuse, Inc.+ ..................................... 900 41,400
Mobius Management Systems, Inc.+ ..................... 900 18,900
National Instruments Corp.+ .......................... 100 2,850
Natural Microsystems Corp.+ .......................... 200 988
Network Solutions, Inc., Class A+ .................... 800 84,600
New Era of Networks, Inc.+ ........................... 100 6,775
Objective Systems Integrators, Inc.+ ................. 200 681
Pegasystems, Inc.+ ................................... 100 525
Peregrine Systems, Inc.+ ............................. 100 3,363
Phoenix Technology Ltd.+ ............................. 1,000 8,500
Platinum Software Corp.+ ............................. 300 2,213
Progress Software Corp.+ ............................. 100 3,413
PSINet, Inc.+ ........................................ 200 8,512
Pxre Corp. ........................................... 200 3,600
QAD, Inc.+ ........................................... 200 788
QRS Corp.+ ........................................... 100 6,256
Radisys Corp.+ ....................................... 1,500 46,594
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INFORMATION TECHNOLOGY (CONTINUED)
SOFTWARE (CONTINUED)
Rational Software Corp.+ ............................. 500 $ 13,406
Remedy Corp.+ ........................................ 200 2,800
S3, Inc.+ ............................................ 200 1,500
Safeguard Scientifics, Inc.+ ......................... 100 6,781
Sapient Corp.+ ....................................... 100 7,137
Schawk, Inc., Class A ................................ 200 1,950
Security Dynamics Technologies, Inc.+ ................ 300 5,587
Security First Tech Corp.+ ........................... 1,900 139,650
Smallworld PLC+ ...................................... 700 4,200
Software AG Systems, Inc. New+ ....................... 200 1,675
SS&C Technologies, Inc.+ ............................. 100 1,238
Structural Dynamics Research Corp. ................... 200 3,812
Sybase, Inc.+ ........................................ 600 4,762
Sykes Enterprises, Inc.+ ............................. 100 3,231
Symantec Corp.+ ...................................... 300 5,081
System Software Associates Inc.+ ..................... 300 675
THQ, Inc.+ ........................................... 500 10,187
Transaction Systems Architects, Inc., Class A+ ....... 200 7,200
Tyler Corp.+ ......................................... 300 1,313
Vantive Corp.+ ....................................... 100 1,206
Viasoft, Inc.+ ....................................... 200 825
Vignette Corp.+ ...................................... 1,000 75,250
Visio Corp.+ ......................................... 100 2,813
Wackenhut Corrections Corp.+ ......................... 100 1,931
Wallace Computer Services, Inc. ...................... 200 3,962
Wang Laboratories, Inc.+ ............................. 200 3,925
Wind River Systems, Inc.+ ............................ 100 1,781
Yahoo!, Inc.+ ........................................ 600 101,025
TELECOMMUNICATIONS -- 4.7%
Allen Telecom, Inc.+ ................................. 300 1,819
Aspect Telecommunications Corp.+ ..................... 400 2,650
Boston Communications Group+ ......................... 800 7,800
Cellullar Communications of Puerto Rico+ ............. 100 2,700
Commnet Cellular, Inc.+ .............................. 100 1,606
DSP Communications, Inc.+ ............................ 200 3,175
Dycom Industries, Inc.+ .............................. 100 4,350
E-Spire Communications, Inc.+ ........................ 400 5,500
EchoStar Communications Corp., Class A+ .............. 100 8,162
FVC.com, Inc.+ ....................................... 800 10,200
General Communication, Inc., Class A+ ................ 400 1,825
Geotel Communications Corp.+ ......................... 100 4,587
GST Telecommunications, Inc+ ......................... 15,000 164,062
ICG Communications, Inc.+ ............................ 200 4,000
IDT Corp.+ ........................................... 100 1,800
Inter-Tel, Inc. ...................................... 200 3,113
Interdigital Communications Corp.+ ................... 400 1,725
ITC DeltaCom, Inc.+ .................................. 400 8,725
Itron, Inc.+ ......................................... 100 938
IXC Communications, Inc.+ ............................ 200 9,175
Jones Intercable, Inc., Class A+ ..................... 100 3,944
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INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
Lee Enterprises, Inc. ................................ 200 $ 5,800
McClatchy Co., Class A ............................... 200 6,712
Media General Inc., Class A .......................... 100 4,650
NTL, Inc.+ ........................................... 400 32,550
Pagemart Wireless, Inc., Class A+ .................... 400 1,950
Powertel, Inc.+ ...................................... 100 1,425
Primus Telecommunications Group, Inc.+ ............... 200 2,025
Qwest Communications International, Inc.+ ............ 2,000 144,187
Skytel Communications, Inc.+ ......................... 400 6,650
SportsLine USA, Inc.+ ................................ 100 4,563
STAR Telecommunications, Inc.+ ....................... 100 963
USWeb Corp.+ ......................................... 1,500 61,875
-------------
3,257,034
-------------
MATERIALS -- 3.1%
CHEMICALS -- 1.1%
Albemarle Corp. ...................................... 200 4,187
Amcol International Corp. ............................ 200 2,000
Cambrex Corp. ........................................ 100 2,212
Carbide/Graphite Group, Inc.+ ........................ 100 1,088
Castle A M Co. ....................................... 200 2,412
ChemFirst, Inc. ...................................... 200 4,700
Dexter Corp. ......................................... 100 3,150
Eco Soil Systems, Inc.+ .............................. 1,800 12,487
Elcor Chemical Corp. ................................. 100 3,519
Ferro Corp. .......................................... 100 2,475
Foamex International, Inc.+ .......................... 100 563
Fuller (H.B.) Co. .................................... 100 5,894
General Cable Corp.+ ................................. 200 2,112
General Chemical Group, Inc. ......................... 100 1,313
Geon Co. ............................................. 100 2,275
Georgia Gulf Corp. ................................... 100 1,119
Hanna (M.A). Co. ..................................... 400 5,125
Hexcel Corp.+ ........................................ 200 1,413
Lilly Industrial, Inc., Class A ...................... 200 3,087
Macdermid, Inc. ...................................... 100 3,394
NL Industries, Inc. .................................. 200 1,800
OM Group, Inc. ....................................... 1,100 36,300
Penford Corp. ........................................ 100 1,488
Scotts Co., Class A+ ................................. 100 3,737
Silgan Holdings, Inc.+ ............................... 100 1,669
Synetic, Inc.+ ....................................... 100 5,587
Terra Industries, Inc. ............................... 300 1,369
FOREST PRODUCTS -- 0.6%
Caraustar Industries, Inc. ........................... 200 4,600
Chesapeake Corp. ..................................... 100 2,712
Day Runner, Inc.+ .................................... 100 1,213
Gaylord Container Corp., Class A+ .................... 400 3,000
Glatfelter P H Co. ................................... 300 3,356
Harland John H Co. ................................... 100 1,294
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MATERIALS (CONTINUED)
FOREST PRODUCTS (CONTINUED)
Hollinger International Inc., Class A ................ 300 $ 4,069
Ivex Packaging Corp.+ ................................ 200 3,037
Longview Fibre Co. ................................... 200 2,313
New England Business Service, Inc. ................... 100 2,869
Potlatch Corp. ....................................... 200 6,787
Rayonier, Inc. ....................................... 200 8,012
Republic Group, Inc. ................................. 100 1,506
Rock-Tenn Co., Class A ............................... 100 1,538
Shorewood Packaging Corp.+ ........................... 100 1,963
Unisource Worldwide, Inc. ............................ 500 3,562
United Stationers, Inc.+ ............................. 200 3,050
Universal Forest Products, Inc. ...................... 200 4,100
Wausau-Mosinee Paper Corp. ........................... 400 5,600
METALS & MINERALS -- 1.4%
A. Schulman, Inc. .................................... 300 4,087
Agribiotech, Inc. New+ ............................... 100 625
AK Steel Holding Corp. ............................... 300 6,769
Aquarion Co. ......................................... 150 4,125
Armco, Inc.+ ......................................... 700 3,106
ASARCO, Inc. ......................................... 300 4,125
Battle Mountain Gold Co. ............................. 1,100 3,025
Bethlehem Steel Corp.+ ............................... 900 7,425
Birmingham Steel Corp. ............................... 300 1,181
Carpenter Technology Corp. ........................... 200 5,187
Chase Industries, Inc.+ .............................. 200 1,525
Commercial Metals Co. ................................ 100 2,000
Earthgrains Co. ...................................... 200 4,437
Florida Rock Industries, Inc. ........................ 100 3,413
Getchell Gold Corp.+ ................................. 200 5,237
Global Industrial Technologies, Inc.+ ................ 200 2,100
Granite Construction, Inc. ........................... 100 2,338
Lone Star Industries, Inc. ........................... 200 6,200
LTV Corp.+ ........................................... 700 3,762
McWhorter Technologies, Inc.+ ........................ 100 1,363
Metals USA, Inc.+ .................................... 200 1,750
Minerals Technologies, Inc. .......................... 100 4,800
Mueller Industries, Inc.+ ............................ 200 4,475
National Steel Corp., Class B+ ....................... 200 1,650
NS Group, Inc.+ ...................................... 300 1,669
Roanoke Electric Steel Corp. ......................... 200 2,225
Rogers Corp.+ ........................................ 100 2,475
Rouge Industries, Inc., Class A ...................... 100 875
RTI International Metals, Inc.+ ...................... 100 938
Ryerson Tull, Inc. ................................... 261 3,833
Southern Peru Copper Corp. ........................... 300 3,019
Steel Dynamics, Inc.+ ................................ 300 4,969
Stillwater Mining Co.+ ............................... 1,700 44,837
Tremont Corp. ........................................ 100 1,763
Valmont Industries, Inc. ............................. 200 2,775
Wolverine Tube, Inc.+ ................................ 100 2,113
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MATERIALS (CONTINUED)
METALS & MINERALS (CONTINUED)
Wyman-Gordon Co.+ .................................... 200 $ 1,850
Zoltek Cos., Inc.+ ................................... 100 750
-------------
339,852
-------------
REAL ESTATE -- 3.1%
REAL ESTATE COMPANIES -- 0.1%
Cadiz, Inc.+ ......................................... 100 800
Capstead Mortgage Corp. .............................. 300 1,613
Grubb & Ellis Co.+ ................................... 200 1,325
Jones Lang Lasalle, Inc. ............................. 100 3,000
Trammell Crow Co.+ ................................... 200 3,700
REAL ESTATE INVESTMENT TRUSTS -- 3.0%
American Health Properties, Inc. ..................... 200 3,638
Amli Residential Properties Trust .................... 200 4,125
Associated Estates Realty Corp. ...................... 300 3,131
Berkshire Realty Company, Inc. ....................... 100 1,119
Boykin Lodging Co. ................................... 200 2,400
Bradley Real Estate, Inc. ............................ 200 3,625
Brandywine Realty Trust .............................. 300 4,875
BRE Properties, Inc. ................................. 200 4,525
Burnham Pacific Properties, Inc. ..................... 100 1,050
Camden Property Trust ................................ 200 4,950
Capital Automotive REIT .............................. 200 2,488
CBL & Associates Properties, Inc. .................... 100 2,325
CenterPoint Properties Corp. ......................... 200 6,250
Chateau Communities, Inc. ............................ 100 2,750
Chelsea GCA Realty, Inc. ............................. 100 2,788
Colonial Properties Trust ............................ 100 2,550
Commercial Net Lease Realty, Inc. .................... 100 1,119
Cornerstone Realty Income Trust, Inc. ................ 100 1,063
Cousins Properties, Inc. ............................. 200 5,787
CRIIMI Mae, Inc. ..................................... 400 1,075
Developers Diversified Realty ........................ 500 7,156
Entertainment Properties Trust ....................... 200 3,450
Equity Inns, Inc. .................................... 300 2,550
Federal Realty Investment Trust ...................... 200 4,237
FelCor Lodging Trust, Inc. ........................... 300 6,956
First Industrial Realty Trust, Inc. .................. 300 7,181
First Union Real Estate Equity+ ...................... 400 1,750
Franchise Finance Corp. America ...................... 400 8,425
Gables Residential Trust ............................. 100 2,206
General Growth Properties, Inc. ...................... 200 6,487
Genesco, Inc.+ ....................................... 200 1,850
Glenborough Realty Trust, Inc. ....................... 200 3,400
Glimcher Realty Trust ................................ 300 4,312
Great Lakes REIT, Inc. ............................... 200 2,900
Health Care Property Investments, Inc. ............... 200 5,750
Health Care REIT, Inc.+ .............................. 100 2,150
Healthcare Realty Trust .............................. 1,100 20,900
Hospitality Properties Trust ......................... 200 5,412
IRT Property Co. ..................................... 400 3,525
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REAL ESTATE (CONTINUED)
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
Irvine Apartment Communities, Inc. ................... 100 $ 3,288
JDN Realty Corp. ..................................... 100 1,988
Kilroy Realty Corp. .................................. 100 2,050
Koger Equity, Inc. ................................... 300 4,031
Lasalle Hotel Properties ............................. 100 1,325
LNR Property Corp. ................................... 200 3,950
Manufactured Home Communities, Inc. .................. 200 4,800
Meristar Hospitality Corp. ........................... 200 3,638
MGI Properties, Inc. ................................. 100 2,738
Mills Corp. .......................................... 200 3,588
National Golf Properties, Inc. ....................... 200 4,400
National Health Investments, Inc. .................... 200 4,300
Nationwide Health Properties, Inc. ................... 200 3,800
New Plan Excel Realty Trust, Inc. .................... 400 7,675
Omega Healthcare Investors ........................... 200 4,587
Parkway Properties, Inc. ............................. 100 2,819
Pennsylvania Real Estate Investment Trust ............ 200 3,737
Prentiss Properties Trust ............................ 300 5,587
Prime Retail, Inc. ................................... 500 4,375
Prison Realty Corp. .................................. 500 8,719
PS Business Parks, Inc. California ................... 100 2,194
Realty Income Corp. .................................. 200 4,200
Reckson Associates Realty Corp. ...................... 300 6,169
Redwood Trust, Inc. .................................. 100 1,600
Regency Realty Corp. ................................. 200 3,750
RFS Hotel Investors, Inc. ............................ 300 3,469
Shurgard Storage Centers, Inc., Class A .............. 100 2,525
SL Green Realty Corp. ................................ 200 3,762
Smith Charles E Residential .......................... 100 3,081
Sovran Self Storage, Inc. ............................ 100 2,331
Storage USA, Inc. .................................... 200 5,675
Summit Properties, Inc. .............................. 200 3,338
Sun Communities, Inc. ................................ 100 3,175
Taubman Centers, Inc. ................................ 300 3,675
The Macerich Co. ..................................... 100 2,269
Tower Realty Trust, Inc.+ ............................ 200 3,787
TriNet Corporate Realty Trust, Inc. .................. 200 5,075
United Dominion Realty Trust, Inc. ................... 400 4,100
United States Restaurant Properties, Inc. ............ 100 1,931
Urban Shopping Centers, Inc. ......................... 100 2,869
Ventas, Inc. ......................................... 200 1,200
Washington Real Estate Investment Trust .............. 300 4,894
Weeks Corp. .......................................... 100 2,856
Weingarten Realty Investors, Inc. .................... 100 3,962
Westfield America, Inc. .............................. 300 5,231
-------------
341,181
-------------
UTILITIES -- 2.3%
ELECTRIC UTILITIES -- 1.0%
Calpine Corp.+ ....................................... 100 3,644
Central Hudson Gas & Electric Corp. .................. 100 3,581
Cleco Corp. .......................................... 200 5,900
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UTILITIES (CONTINUED)
ELECTRIC UTILITIES (CONTINUED)
CMP Group, Inc. ...................................... 300 $ 5,512
Commonwealth Energy Systems+ ......................... 200 7,700
Eastern Utilities Associates+ ........................ 100 2,831
El Paso Electric Co.+ ................................ 200 1,525
Empire District Electric Co. ......................... 200 4,563
Hawaiian Electric, Inc. .............................. 200 7,012
Idacorp, Inc. ........................................ 200 5,875
Indiana Energy, Inc. ................................. 300 5,681
Intergrated Electrical Services, Inc. ................ 100 1,600
MagneTek, Inc.+ ...................................... 300 2,513
Minnesota Power & Light Co. .......................... 300 5,925
Nevada Power Co. ..................................... 400 9,900
Omni Energy Services Corp.+ .......................... 100 403
Public Service Co. of New Mexico ..................... 200 3,400
Public Service Co. of North Carolina, Inc. ........... 200 5,675
Rochester Gas & Electric Corp. ....................... 100 2,563
Sierra Pacific Resources Co. ......................... 200 7,037
Sigcorp, Inc. ........................................ 100 2,738
TNP Enterprises, Inc. ................................ 100 2,875
Unisource Energy Corp.+ .............................. 300 3,319
United Illuminating Co. .............................. 100 4,194
GAS & PIPELINE UTILITIES -- 1.1%
AGL Resources, Inc. .................................. 400 7,025
California Water Service Group ....................... 200 4,825
Colonial Gas Co. ..................................... 100 3,450
Connecticut Energy Corp. ............................. 100 2,425
Eastern Enterprises .................................. 200 7,275
Energen Corp. ........................................ 300 4,481
Etown Corp. .......................................... 100 4,031
Laclede Gas Co. ...................................... 200 4,187
Louis Dreyfus Natural Gas Corp. ...................... 200 2,900
MDU Resources Group, Inc. ............................ 200 4,575
Mitchell Energy & Development Corp., Class A+ ........ 200 2,488
New Jersey Resources Corp. ........................... 200 7,112
North Carolina Natural Gas Corp. ..................... 100 3,038
Northwest Natural Gas Co. ............................ 200 4,375
Northwestern Corp. ................................... 100 2,594
Oneok, Inc. .......................................... 200 4,950
Peoples Energy Corp. ................................. 100 3,231
Philadelphia Suburban Corp.+ ......................... 200 4,537
Piedmont Natural Gas, Inc. ........................... 100 3,500
Southern Union Co. ................................... 100 1,888
Southwest Gas Corp. .................................. 100 2,750
Southwestern Energy Co. .............................. 300 2,119
Transmontaigne, Inc.+ ................................ 1,500 18,187
UGI Corp. ............................................ 100 1,669
Washington Gas Light Co. ............................. 200 4,525
Western Gas Resources, Inc. .......................... 300 2,250
WICOR, Inc. .......................................... 300 6,075
WPS Resources Corp. .................................. 100 2,950
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
TELEPHONE -- 0.2%
Commonwealth Telephone Enterprises, Inc+ ............. 100 $ 3,681
North Pittsburgh Systems, Inc. ....................... 200 2,750
Omnipoint Corp.+ ..................................... 200 2,887
Tel-Save Holdings, Inc.+ ............................. 200 2,088
US LEC Corp., Class A+ ............................... 100 1,713
Winstar Communications, Inc.+ ........................ 300 10,903
-------------
253,400
-------------
TOTAL INVESTMENT SECURITIES (cost $10,332,976)........ 10,250,141
-------------
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 0.2% AMOUNT
<S> <C> <C>
- -------------------------------------------------------------------------------------
U.S. GOVERNMENT & AGENCIES -- 0.2%
United States Treasury Bills 4.45% due 5/20/99 (cost
$19,880)@ ........................................... $ 20,000 19,880
-------------
<CAPTION>
REPURCHASE AGREEMENTS -- 8.3%
<S> <C> <C>
- -------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 8.3%
Agreement with State Street Bank & Trust Co., bearing
interest at 4.0% dated 03/31/99 to be repurchased
04/01/99 in the amount of $118,013 and collateralized
by $110,000 of U.S. Treasury Bonds bearing interest
at 6.75% due 08/15/26 and having an approximate value
of $123,750 (cost $118,000)@ ........................ 118,000 118,000
Agreement with State Street Bank & Trust Co., bearing
interest at 4.0% dated 03/31/99 to be repurchased
04/01/99 in the amount of $128,014 and collateralized
by $130,000 of U.S. Treasury Notes bearing interest
at 5.50% due 03/31/03 and having an approximate value
of $131,300 (cost $128,000) ......................... 128,000 128,000
State Street Bank & Trust Co. Joint Repurchase
Agreement Account (Note 3) .......................... 678,000 678,000
-------------
TOTAL REPURCHASE AGREEMENTS (cost $924,000)........... 924,000
-------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $11,276,856) 100.5 % 11,194,021
Liabilities in excess of other assets
-- (0.5) (54,394)
------ -----------
NET ASSETS -- 100.0 % $11,139,627
------ -----------
------ -----------
</TABLE>
- -------------
+ Non-income producing security
@ The security or a portion thereof has been segregated as collateral for the
following open futures contracts:
<TABLE>
<CAPTION>
OPEN FUTURES CONTRACTS
- ----------------------------------------------------------------------------------------------
VALUE AS OF
NUMBER OF EXPIRATION VALUE AT MARCH 31, UNREALIZED
CONTRACTS DESCRIPTION DATE TRADE DATE 1999 DEPRECIATION
- ----------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C> <C>
2 Long Standard & Poors 500 Index June 1999 $ 130,840 $ 129,330 $ (1,510)
------
------
</TABLE>
See Notes to Financial Statements
- ----------------
168
<PAGE>
- ----------------
SEASONS SERIES TRUST INTERNATIONAL
EQUITY PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 1999
<TABLE>
<CAPTION>
COMMON STOCK -- 92.1% SHARES VALUE
<S> <C> <C>
- -----------------------------------------------------------------------------------------------------------
AUSTRALIA -- 3.2%
Amcor Ltd. (Finance).............................................................. 646 $ 3,236
AMP Ltd. (Finance)+............................................................... 833 9,123
Australia & New Zealand Banking Group Ltd. (Finance).............................. 3,400 24,687
Australian Gas Light Co., Ltd. (Utilities)........................................ 330 2,354
Biota Holdings Ltd (Healthcare)................................................... 10,000 29,000
Brambles Industries Ltd. (Industrial & Commercial)................................ 788 20,031
Broken Hill Proprietary Co., Ltd. (Materials)..................................... 2,830 24,138
Coca-Cola Amatil Ltd. (Consumer Staples).......................................... 1,007 4,368
Coles Myer Ltd. (Consumer Discretionary).......................................... 1,008 5,470
CSR Ltd. (Materials).............................................................. 1,274 2,762
Fosters Brewing Group Ltd. (Consumer Staples)..................................... 6,278 18,477
General Property Trust (Real Estate).............................................. 1,654 2,895
Lend Lease Corp., Ltd. (Finance).................................................. 1,545 19,684
National Australia Bank Ltd. (Finance)............................................ 953 17,314
News Corp., Ltd. (Information & Entertainment).................................... 3,006 22,250
Novogen Ltd. (Healthcare)......................................................... 35,000 62,147
Pacific Dunlop Ltd. (Consumer Discretionary)...................................... 1,412 2,462
Polartechnics Ltd. (Healthcare)................................................... 35,000 67,696
Rio Tintro, Ltd. (Materials)...................................................... 303 4,234
TABCORP Holdings Ltd. (Information & Entertainment)............................... 1,200 9,132
Telstra Corp. (Information Technology)+........................................... 5,342 27,965
Western Mining Corp., Ltd. (Materials)+........................................... 1,073 3,416
Westpac Banking Corp., Ltd. (Finance)............................................. 4,771 34,794
Woolworths Ltd. (Consumer Discretionary)+......................................... 5,400 17,293
------------
434,928
------------
AUSTRIA -- 0.1%
Bank Austria AG (Finance)......................................................... 90 5,362
Generali Holding Vienna AG (Finance).............................................. 10 2,119
Oesterreichische Elektrizit Irtschafts AG (Utilities)............................. 20 3,194
------------
10,675
------------
BELGIUM -- 0.6%
Delhaize Le-Lion SA (Consumer Discretionary)+..................................... 43 3,989
Electrabel SA (Utilities)......................................................... 38 13,641
Fortis (B) (Finance).............................................................. 498 18,415
Groupe Bruxelles Lambert SA (Industrial & Commercial)............................. 16 2,924
Kredietbank NV (Finance).......................................................... 208 13,888
Petrofina SA (Energy)............................................................. 17 9,319
Solvay SA (Materials)............................................................. 67 4,115
Tractebel Invest International BV (Finance)....................................... 57 8,998
UCB SA (Healthcare)............................................................... 110 4,937
------------
80,226
------------
</TABLE>
----------------
169
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
CANADA -- 1.3%
Ballard Power Systems, Inc (Energy)............................................... 6,000 $ 184,631
------------
DENMARK -- 0.6%
D/S 1912 (Industrial & Commercial)................................................ 1 7,488
D/S Svendborg (Industrial & Commercial)........................................... 1 10,614
Danisco A/S (Consumer Staples).................................................... 48 2,199
ISS International Service Systems A/S, Class B (Industrial & Commercial).......... 764 49,705
Novo-Nordisk A/S, Class B (Healthcare)............................................ 54 6,046
Tele Danmark A/S (Utilities)...................................................... 76 7,537
------------
83,589
------------
FINLAND -- 2.1%
Merita Ltd. (Finance)+............................................................ 800 4,290
Nokia (AB) OY, Series K (Information Technology).................................. 100 16,111
Nokia Corp., Class A ADR (Information Technology)+................................ 851 137,193
Raisio Group PLC (Industrial & Commercial)........................................ 12,000 111,455
Sampo Corp. (Industrial & Commercial)............................................. 100 3,136
Sonera Group Oyj (Utilities)...................................................... 400 6,661
Tieto Corp (Information Technology)............................................... 100 4,125
UPM-Kymmene OY (Materials)........................................................ 300 8,304
------------
291,275
------------
FRANCE -- 8.4%
Accor SA (Information & Entertainment)............................................ 30 7,461
Alcatel Alsthom, Inc. (Information Technology).................................... 144 16,582
Alstom (Industrial & Commercial).................................................. 1,113 33,094
AXA SA (Finance)+@................................................................ 908 120,562
Banque Nationale de Paris (Finance)+.............................................. 160 13,944
Bouygues SA (Energy).............................................................. 23 6,391
Canal Plus (Information & Entertainment).......................................... 25 7,339
Cap Gemini SA (Industrial & Commercial)........................................... 53 8,888
Carrefour SA (Real Estate)........................................................ 58 44,777
Compagnie de St. Gobain (Finance)................................................. 69 10,967
Compagnie Financiere de Paribas SA (Finance)...................................... 103 11,516
Credit Local de France (Finance)+................................................. 563 78,832
Establissements Economiques du Casino Guichard-Perrachon SA (Real Estate)......... 56 4,977
France Telecom SA (Information Technology)@....................................... 702 56,852
Groupe Danone (Consumer Staples).................................................. 54 13,610
L' Oreal (Consumer Staples)@...................................................... 47 29,780
L'Air Liquide SA (Industrial & Commercial)........................................ 63 9,400
Lafarge SA (Materials)............................................................ 69 6,230
Legrand SA (Industrial & Commercial).............................................. 24 5,047
Michelin SA, Class B (Consumer Discretionary)..................................... 124 5,571
Moet Henessy Louis Vuitton (Consumer Staples)..................................... 65 16,130
Pernod-Ricard (Consumer Staples).................................................. 51 3,245
Peugeot SA (Consumer Discretionary)............................................... 41 5,905
Pinault-Printemps-Redoute SA (Consumer Discretionary)............................. 85 13,584
Promodes (Consumer Discretionary)................................................. 11 6,732
Rhone-Poulenc SA (Materials)...................................................... 1,733 78,513
Sanofi SA (Healthcare)............................................................ 81 13,663
</TABLE>
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170
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
FRANCE (CONTINUED)
Schneider SA (Industrial & Commercial)+........................................... 112 $ 6,206
SEITA (Consumer Staples).......................................................... 981 66,771
Societe Generale Enterprises (Finance)+........................................... 461 88,725
Societe Nationale Elf Aquitaine SA (Energy)....................................... 992 134,933
Sodexho Alliance SA (Information & Entertainment)................................. 24 3,931
Suez Lyonnaise des Eaux (Industrial & Commercial)................................. 105 19,459
Thomson CSF (Industrial & Commercial)............................................. 143 4,376
Total SA, Class B (Energy)........................................................ 462 56,997
Valeo SA (Consumer Discretionary)................................................. 60 4,703
Vivendi SA (Industrial & Commercial)@............................................. 539 132,819
------------
1,148,512
------------
GERMANY -- 9.5%
Allianz AG (Finance).............................................................. 150 45,737
AMB Aachener & Muenchner Beteiligungs AG (Finance)................................ 50 6,001
BASF AG (Materials)............................................................... 450 16,494
Bayer AG (Materials).............................................................. 500 18,760
DaimlerChrysler AG (Consumer Discretionary)+...................................... 650 56,647
Deutsche Bank AG (Information Technology)+........................................ 400 20,609
Deutsche Lufthansa AG (Information Technology).................................... 300 6,569
Deutsche Telekom AG (Information Technology)@..................................... 1,500 61,226
Dresdner Bank AG (Finance)........................................................ 300 12,034
Drillisch AG (Information Technology)............................................. 400 55,446
DePfa Deutsche Pfandbriefbank AG (Finance)........................................ 1,500 132,913
Gehe AG (Healthcare).............................................................. 1,300 59,317
HypoVereinsbank AG (Finance)...................................................... 300 17,970
Mannesmann AG (Information Technology)............................................ 1,156 147,866
Merck KGAA (Healthcare)........................................................... 150 5,190
Metro AG (Consumer Discretionary)................................................. 200 12,536
Mobil Com AG (Energy)............................................................. 250 65,686
Munchener Ruckversicherungs AG (Finance)+......................................... 100 20,219
RWE AG (Materials)................................................................ 300 13,299
SAP AG (Information Technology)................................................... 550 157,889
Schering AG (Healthcare).......................................................... 50 5,831
Siemens AG (Multi-industry)@...................................................... 400 26,772
SKW Trostberg AG (Materials)...................................................... 3,000 63,253
Thyssen Krupp AG (Industrial & Commercial)........................................ 1,000 19,787
VEBA AG (Utilities)............................................................... 1,600 84,251
Viag AG (Industrial & Commercial)@................................................ 50 27,621
Volkswagen AG (Consumer Discretionary)............................................ 250 16,678
Vossloh AG (Consumer Staples)..................................................... 2,500 65,686
W.E.T Automotive Systems, AG (Consumer Discretionary)............................. 1,250 60,550
------------
1,302,837
------------
HONG KONG -- 1.6%
Cheung Kong Holdings Ltd. (Real Estate)........................................... 9,000 68,520
China Telecom (HongKong) Ltd. (Information Technology)+........................... 22,000 36,622
CLP Holdings Ltd. (Utilities)..................................................... 6,000 28,802
Hang Seng Bank Ltd. (Finance)..................................................... 1,400 12,872
Hong Kong & China Gas Co., Ltd. (Utilities)+...................................... 3,000 4,239
</TABLE>
----------------
171
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
HONG KONG (CONTINUED)
Hong Kong Telecommunications Ltd. (Information Technology)........................ 8,400 $ 16,584
Hutchison Whampoa Ltd. (Industrial & Commercial).................................. 3,000 23,614
New World Development Co., Ltd. (Finance)......................................... 2,000 3,936
Sun Hung Kai Properties Ltd. (Finance)+........................................... 2,000 14,969
Swire Pacific Ltd., Class A (Industrial & Commercial)............................. 1,000 4,645
------------
214,803
------------
IRELAND -- 0.8%
Allied Irish Banks PLC (Finance).................................................. 617 10,674
Bank of Ireland (Finance)......................................................... 4,089 85,772
CRH PLC (Consumer Discretionary).................................................. 298 5,152
Irish Life PLC (Finance).......................................................... 277 2,696
Kerry Group, Class A (Consumer Staples)+.......................................... 159 2,123
------------
106,417
------------
ITALY -- 3.0%
Alitalia SpA (Industrial & Commercial)............................................ 1,565 5,330
Assicurazione Generali SpA (Finance).............................................. 746 29,925
Banca Commerciale Italiana (Finance)+............................................. 1,597 13,123
Banca Intesa SpA (Finance)........................................................ 1,196 7,061
Edison SpA (Utilities)............................................................ 370 3,412
ENI SpA (Energy)@................................................................. 5,690 36,299
Fiat SpA (Consumer Discretionary)................................................. 3,267 10,809
Istituto Mobilare Italiano SpA (Finance).......................................... 1,093 17,786
Istituto Nazionale Delle Assicurazioni SpA (Finance).............................. 3,704 11,214
Italgas SpA (Utilities)........................................................... 848 4,126
Mediaset SpA (Information & Entertainment)........................................ 1,036 9,757
Mondadori Editore SpA (Information & Entertainment)............................... 1,016 15,215
Montedison SpA (Materials)........................................................ 4,213 4,373
Olivetti SpA (Industrial & Commercial)............................................ 2,615 8,200
Pirelli SpA (Industrial & Commercial)............................................. 2,215 6,323
Seat Pagine Gialle SpA (Information & Entertainment)+............................. 37,050 29,645
Telecom Italia Mobile SpA (Utilities)@............................................ 14,742 99,305
Telecom Italia SpA (Utilities).................................................... 2,673 28,439
Uni Credito Italiano SpA (Finance)................................................ 14,217 76,861
------------
417,203
------------
JAPAN -- 16.8%
Aderans Company Ltd. (Consumer Discretionary)..................................... 1,100 45,053
Ajinomoto Co., Inc. (Consumer Staples)............................................ 1,000 11,907
Asahi Bank Ltd. (Finance)......................................................... 3,000 15,834
Asahi Breweries Ltd. (Consumer Staples)........................................... 1,000 13,090
Bank of Tokyo-Mitsubishi Ltd. (Finance)........................................... 4,000 55,128
Bridgestone Corp. (Consumer Discretionary)........................................ 1,000 25,504
Canon, Inc. (Information & Entertainment)......................................... 4,000 98,974
Circle K Japan Co. (Consumer Discretionary)....................................... 1,400 69,755
Dai Nippon Printing Co., Ltd. (Industrial & Commercial)........................... 1,000 15,201
Daiwa House Industry Co., Ltd. (Consumer Discretionary)........................... 1,000 11,417
Denso Corp. (Consumer Discretionary).............................................. 1,000 19,634
East Japan Railway Co. (Industrial & Commercial).................................. 3 17,836
</TABLE>
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172
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
JAPAN (CONTINUED)
Fanuc Ltd. (Information Technology)............................................... 300 $ 12,262
Fuji Bank Ltd. (Finance).......................................................... 3,000 17,760
Fuji Photo Film Co., Ltd. (Information & Entertainment)........................... 3,000 113,499
Fujitsu Ltd. (Information Technology)............................................. 1,000 16,062
Hitachi Ltd. (Industrial & Commercial)+........................................... 3,000 22,218
Honda Motor Co., Ltd. (Consumer Discretionary).................................... 1,000 45,180
Industrial Bank of Japan Ltd. (Finance)........................................... 3,000 20,268
Ito En Ltd. (Consumer Staples).................................................... 600 30,402
Jusco Co., Ltd. (Consumer Discretionary).......................................... 1,000 17,396
Kansai Electric Power Co., Inc. (Utilities)....................................... 900 18,203
KAO Corp. (Consumer Staples)...................................................... 4,000 88,333
Kinki Nippon Railway Co., Ltd. (Industrial & Commercial).......................... 2,000 10,708
Kirin Brewery Co., Ltd. (Consumer Staples)........................................ 5,000 58,607
Kokuyo Co., Ltd. (Materials)...................................................... 3,000 49,504
Marui Co., Ltd. (Consumer Discretionary).......................................... 1,000 17,016
Matsushita Electric Industrial Co., Ltd. (Information Technology)+................ 2,000 39,015
Mitsubishi Corp. (Industrial & Commercial)........................................ 2,000 13,090
Mitsubishi Estate Co., Ltd. (Real Estate)......................................... 1,000 10,176
Mitsubishi Heavy Industries Ltd. (Industrial & Commercial)........................ 3,000 13,554
Mitsubishi Trust & Banking Corp (Finance)......................................... 2,000 20,741
Mitsui Marine & Fire Co., Ltd. (Finance).......................................... 11,000 55,736
NEC Corp. (Industrial & Commercial)............................................... 2,000 24,068
NGK Insulators Ltd. (Industrial & Commercial)..................................... 6,000 67,795
Nintendo Co., Ltd. (Information Technology)....................................... 500 43,153
Nippon Express Co., Ltd. (Industrial & Commercial)................................ 2,000 11,840
Nippon Steel Corp. (Materials).................................................... 7,000 14,365
NTT Mobile Communication Network, Inc. (Information Technology)................... 1 49,403
Nippon Telegraph & Telephone Corp. (Information Technology)@...................... 9 88,164
Nissan Motor Co., Ltd. (Consumer Discretionary)................................... 3,000 11,654
Nomura Securities Co., Ltd. (Finance)............................................. 2,000 20,943
Rohm Co., Ltd. (Information Technology)........................................... 1,000 119,495
Sankyo Co., Ltd. (Healthcare)..................................................... 4,000 85,800
Sekisui House Ltd. (Consumer Discretionary)....................................... 1,000 10,641
Sharp Corp. (Information Technology).............................................. 1,000 10,556
Shin-Etsu Chemical Co., Ltd. (Materials).......................................... 1,000 26,264
Shiseido Co., Ltd. (Consumer Staples)............................................. 1,000 13,850
SMC Corp. (Consumer Discretionary)................................................ 300 26,855
Sony Corp. (Information & Entertainment).......................................... 300 27,741
Sumitomo Bank Ltd. (Finance)...................................................... 3,000 40,611
Sumitomo Corp. (Industrial & Commercial).......................................... 2,000 13,123
Sumitomo Electric Industries Ltd. (Industrial & Commercial)....................... 1,000 11,857
Takeda Chemical Industries Ltd. (Healthcare)...................................... 1,000 38,762
Takefuji Corp. (Finance).......................................................... 900 69,163
TDK Corp. (Information & Entertainment)........................................... 1,000 80,986
Tohoku Electric Power Co., Inc. (Utilities)....................................... 600 9,126
Tokai Bank Ltd. (Finance)......................................................... 2,000 12,904
Tokio Marine & Fire Insurance Co., Ltd. (Finance)................................. 2,000 22,818
Tokyo Electric Power Co., Inc. (Utilities)........................................ 1,100 23,688
Toppan Forms Company Ltd. (Industrial & Commercial)............................... 4,000 67,897
Toppan Printing Co., Ltd. (Industrial & Commercial)............................... 1,000 13,098
Toray Industries, Inc. (Materials)................................................ 2,000 10,387
Toyoda Auto Loom Works, Ltd. (Industrial & Commercial)............................ 1,000 18,283
</TABLE>
----------------
173
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
JAPAN (CONTINUED)
Toyota Motor Corp. (Consumer Discretionary)....................................... 2,000 $ 57,932
Yamanouchi Pharmaceutical Co., Ltd. (Healthcare).................................. 2,000 63,337
------------
2,295,622
------------
NETHERLANDS -- 5.7%
ABN Amro Holdings NV (Finance)@................................................... 1,014 21,160
AEGON NV (Finance)................................................................ 400 36,568
Akzo Nobel NV (Healthcare)........................................................ 215 7,974
Benckiser NV (Consumer Staples)................................................... 1,251 70,270
Elsevier NV (Information & Entertainment)......................................... 486 7,252
Equant NV (Industrial & Commercial)+.............................................. 790 60,135
Fortis (Nl) NV (Finance).......................................................... 1,328 51,046
Heineken NV (Consumer Staples).................................................... 227 11,462
ING Groep NV (Finance)............................................................ 647 35,713
Koninklijke Ahold NV (Consumer Discretionary)..................................... 417 16,006
Philips Electronics NV (Information & Entertainment).............................. 258 21,048
Royal Dutch Petroleum Co. (Energy)@............................................... 1,462 77,854
Royal Koninklijke KPN NV (Utilities).............................................. 335 13,348
SGS Thomson Microelectronics NV (Information Technology).......................... 557 55,377
TNT Post Group NV (Industrial & Commercial)+...................................... 2,887 87,092
Unilever NV (Consumer Staples).................................................... 441 30,684
VNU NV (Information & Entertainment).............................................. 2,255 88,019
Wolters Kluwer NV (Industrial & Commercial)+...................................... 500 90,825
------------
781,833
------------
NEW ZEALAND -- 0.0%
Telecommunications Corp. of New Zealand Ltd. ADR (Information Technology)......... 1,248 6,087
------------
NORWAY -- 0.1%
Christiania Bank Og Kreditkasse (Finance)......................................... 550 2,151
Norsk Hydro ASA, Class B (Materials).............................................. 200 8,157
Orkla SA (Consumer Staples)....................................................... 150 2,302
Unified Storebrand AS (Finance)................................................... 300 2,214
------------
14,824
------------
PORTUGAL -- 0.5%
Banco Comercial Portugues SA (Finance)+........................................... 200 6,055
Banco Espirito Santo e Comercial de Lisboa (Finance).............................. 100 2,697
Brisa-Auto Estradas de Portugal SA (Industrial & Commercial)...................... 100 4,638
Electricidad de Portugal SA (Utilities)........................................... 2,007 39,669
Jeronimo Martins SGPS SA (Consumer Discretionary)................................. 100 3,568
Portugal Telecom SA (Utilities)................................................... 200 8,972
------------
65,599
------------
SINGAPORE -- 0.3%
City Developments Ltd. (Real Estate).............................................. 1,000 5,213
Development Bank of Singapore Ltd. (Finance)...................................... 1,000 7,588
Keppel Corp., Ltd. (Industrial & Commercial)...................................... 1,000 2,699
Overseas Chinese Banking Corp., Ltd. (Finance).................................... 1,000 6,777
</TABLE>
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174
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
SINGAPORE (CONTINUED)
Singapore Telecommunications Ltd. (Information Technology)+....................... 5,000 $ 7,124
United Overseas Bank Ltd. alien shares (Finance).................................. 1,000 6,255
------------
35,656
------------
SPAIN -- 2.5%
Autopistas Concesionaria Espana SA (Industrial & Commercial)...................... 196 2,515
Banco Bilbao Vizcaya SA (Finance)................................................. 1,371 20,457
Banco Central Hispanoamericano SA (Finance)....................................... 670 8,411
Banco Santander SA (Finance)...................................................... 4,833 99,288
Corporation Bancaria de Espana SA (Finance)....................................... 361 8,689
Dragados & Construcciones SA (Consumer Discretionary)............................. 61 2,005
Endesa SA (Utilities)............................................................. 2,275 57,511
Fomento de Construcciones y Contratas SA (Industrial & Commercial)................ 53 3,266
Gas Natural SDG, SA (Utilities)................................................... 100 9,245
Iberdrola SA (Energy)............................................................. 653 9,687
Repsol SA (Energy)................................................................ 217 11,192
Sociedad General de Aguas de Barcelona SA (Industrial & Commercial)............... 44 2,650
Tabacalera SA (Consumer Staples).................................................. 159 3,227
Telefonica de Espana SA (Information Technology).................................. 2,389 101,490
TelePizza SA (Information & Entertainment)+....................................... 227 1,735
Union Electrica-Fenosa SA (Utilities)............................................. 157 2,348
------------
343,716
------------
SWEDEN -- 1.0%
ABB AB, Class A (Industrial & Commercial)+........................................ 600 7,452
Astra AB, Class B (Healthcare).................................................... 200 4,542
Electrolux AB (Consumer Discretionary)............................................ 300 5,954
Ericsson L.M. Telecommunications Co., Class B (Information Technology)............ 4,219 102,739
Hennes & Mauritz AB, Class B (Consumer Discretionary)............................. 200 15,098
------------
135,785
------------
SWITZERLAND -- 8.3%
Adecco SA (Industrial & Commercial)............................................... 57 28,993
Astra AB, Class A (Healthcare).................................................... 1,000 22,952
Credit Suisse Group (Finance)@.................................................... 200 37,387
ForeningsSparbanken AB, Class A (Finance)......................................... 3,854 90,801
Nestle SA (Consumer Staples)+@.................................................... 83 151,165
NetCom Systems AB, Series B (Utilities)+.......................................... 100 3,409
Novartis AG (Healthcare)@......................................................... 104 169,125
Roche Holdings AG (Healthcare).................................................... 1 17,881
Roche Holdings AG Genusschein (Healthcare)@....................................... 5 61,126
Saurer AG Arbon (Industrial & Commercial)......................................... 150 75,180
Schweizerische Rueckversicherungs-Gesellschaft (Finance)+......................... 10 22,182
Securitas AB, Series B (Industrial & Commercial).................................. 6,229 98,596
Sembcorp Industries Ltd. (Industrial & Commercial)+............................... 2,000 2,189
Singapore Airlines Ltd. (Industrial & Commercial)................................. 2,000 14,480
Singapore Press Holdings (Information & Entertainment)............................ 2,000 22,126
Singapore Technologies Engineering Ltd. (Industrial & Commercial)................. 3,000 2,711
Skandia Forsakrings AB (Finance).................................................. 5,221 97,262
Skandinaviska Enskilda Banken, Series A (Finance)................................. 500 6,118
</TABLE>
----------------
175
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
SWITZERLAND (CONTINUED)
Svenska Cellulosa AB, Class B (Materials)......................................... 200 $ 4,347
Svenska Handelsbank, Series A (Finance)........................................... 100 3,488
Swisscom AG (Information Technology)+............................................. 50 19,574
UBS AG (Finance)+@................................................................ 483 152,118
Volvo AB, Class B (Consumer Discretionary)........................................ 300 7,872
Zurich Allied AG (Finance)+....................................................... 30 19,242
------------
1,130,324
------------
UNITED KINGDOM -- 23.0%
Abbey National PLC (Finance)...................................................... 1,141 23,598
Allied Zurich PLC (Finance)+...................................................... 1,295 17,458
Ashtead Group PLC (Finance)....................................................... 45,000 152,054
Associated British Foods PLC (Consumer Staples)................................... 1,047 7,362
BAA PLC (Information & Entertainment)............................................. 1,039 11,575
Barclays PLC (Finance)............................................................ 1,205 34,707
Bass PLC (Consumer Staples)....................................................... 807 10,938
BG PLC (Utilities)................................................................ 3,275 19,273
Blue Circle Industries PLC (Materials)............................................ 1,319 7,581
BOC Group PLC (Materials)......................................................... 612 8,517
Boots Co. PLC (Consumer Discretionary)............................................ 874 12,671
British Aerospace PLC (Industrial & Commercial)................................... 1,734 11,590
British America Tobacco PLC (Consumer Staples)+................................... 676 5,643
British Petroleum Co. PLC (Energy)................................................ 6,777 114,557
British Sky Broadcasting Group PLC (Information & Entertainment).................. 1,662 14,369
British Telecommunications PLC (Information Technology)........................... 10,663 173,531
Cable & Wireless PLC (Information Technology)..................................... 1,880 23,402
Cadbury Schweppes PLC (Consumer Staples).......................................... 916 13,162
Carlton Communications PLC (Information & Entertainment).......................... 5,533 54,581
Centrica PLC (Utilities)+......................................................... 2,978 5,241
CGU PLC (Finance)................................................................. 1,140 17,927
Compass Group PLC (Consumer Staples).............................................. 752 8,705
Diageo PLC (Consumer Staples)..................................................... 2,772 31,126
General Electric Co. PLC (Information Technology)+................................ 2,234 20,072
GKN PLC (Information Technology).................................................. 794 11,960
Glaxo Wellcome PLC (Healthcare)................................................... 6,016 201,736
Granada Group PLC (Information & Entertainment)................................... 822 16,589
Great Universal Stores PLC (Consumer Discretionary)............................... 3,301 34,695
Halifax Corp. (Information Technology)............................................ 6,478 79,486
Hays PLC (Industrial & Commercial)................................................ 18,028 182,205
HSBC Holdings PLC (Finance)....................................................... 1,373 43,846
HSBC Holdings PLC (75P) (Finance)................................................. 735 23,698
Imperial Chemical Industries PLC (Materials)...................................... 526 4,713
Jarvis PLC (Industrial & Commercial).............................................. 15,000 134,649
Kingfisher PLC (Consumer Discretionary)........................................... 1,266 15,922
Land Securities PLC (Real Estate)................................................. 664 8,791
Legal & General Group Ltd. PLC (Finance).......................................... 837 9,905
Lloyds TSB Group PLC (Finance).................................................... 6,675 100,547
Lucas Varity PLC (Consumer Discretionary)......................................... 1,742 8,051
Marks & Spencer PLC (Consumer Discretionary)...................................... 2,567 16,898
Mayflower Corp. PLC (Consumer Discretionary)...................................... 50,000 142,076
Misys PLC (Information Technology)................................................ 7,172 72,717
</TABLE>
- ----------------
176
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED) SHARES VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
UNITED KINGDOM (CONTINUED)
National Grid Co. (Utilities)..................................................... 1,460 $ 10,672
NXT PLC (Industrial & Commercial)................................................. 18,000 137,168
Pearson PLC (Information & Entertainment)......................................... 573 13,118
Pilkington PLC (Materials)........................................................ 110,000 147,404
Prudential Corp. PLC (Finance).................................................... 1,550 20,208
Railtrack Group PLC (Industrial & Commercial)+.................................... 189 4,321
Rentokil Initial PLC (Industrial & Commercial).................................... 15,483 94,990
Reuters Group PLC (Information & Entertainment)................................... 1,243 18,222
Rio Tinto PLC (Materials)+........................................................ 1,037 14,315
Rolls-Royce PLC (Consumer Discretionary).......................................... 1,228 5,204
Royal Bank of Scotland Group PLC (Finance)........................................ 371 8,092
Sainsbury (J.) PLC (Consumer Discretionary)+...................................... 6,412 39,752
Scottish Power PLC (Utilities).................................................... 1,165 10,194
Select Appointment Holdings PLC (Industrial & Commercial)......................... 3,423 45,980
Siebe PLC (Industrial & Commercial)............................................... 2,551 11,233
SmithKline Beecham PLC (Healthcare)............................................... 4,000 57,767
Stagecoach Holdings PLC (Industrial & Commercial)................................. 7,783 28,461
Tesco PLC (Consumer Discretionary)................................................ 5,691 15,092
Trifast PLC (Industrial & Commercial)............................................. 15,000 157,414
Unilever NV PLC (Consumer Staples)................................................ 2,567 23,789
Vodafone Group PLC (Information Technology)....................................... 14,748 273,822
Zeneca Group PLC (Healthcare)..................................................... 2,265 107,292
------------
3,152,634
------------
UNITED STATES -- 2.7%
Cheap Tickets, Inc. (Information & Entertainment)................................. 5,000 168,125
Netbank, Inc. (Finance)........................................................... 3,000 204,000
------------
372,125
------------
TOTAL COMMON STOCK (cost $12,163,303)............................................. 12,609,301
------------
<CAPTION>
PREFERRED STOCK -- 0.8%
<S> <C> <C>
- -----------------------------------------------------------------------------------------------------------
AUSTRALIA -- 0.1%
News Corp., Ltd. 5.00% (Information & Entertainment).............................. 1,408 9,679
------------
GERMANY -- 0.7%
Henkel KGaA 1.22% (Finance)....................................................... 1,106 81,318
SAP AG (Information Technology)................................................... 50 16,111
------------
97,429
------------
TOTAL PREFERRED STOCK (cost $124,560)............................................. 107,108
------------
TOTAL INVESTMENT SECURITIES (cost $12,287,863).................................... 12,716,409
------------
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 0.1% AMOUNT
<S> <C> <C>
- -----------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT & AGENCIES -- 0.1%
United States Treasury Bills 4.40% due 5/20/99 (cost $19,880)@.................... $ 20,000 19,880
</TABLE>
----------------
177
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
REPURCHASE AGREEMENT -- 5.1% AMOUNT VALUE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 5.1%
Agreement with State Street Bank & Trust Co., bearing interest at 4.00% dated
03/31/99 to be repurchased 04/01/99 in the amount of $700,078 and collateralized
by $580,000 of U.S. Treasury Bonds, bearing interest at 10.75% due 05/15/03 and
having an approximate aggregate value of $719,200 (cost $700,000)................ $ 700,000 $ 700,000
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $13,007,743) 98.1% 13,436,289
Other assets less liabilities -- 1.9 257,145
----- ----------
NET ASSETS -- 100.0% $13,693,434
----- ----------
----- ----------
</TABLE>
+ Non-income producing security
ADR -- American Depository Receipt
@ The security or a portion thereof has been segregated as collateral for the
following open futures contracts:
<TABLE>
<CAPTION>
OPEN FUTURES CONTRACTS
- -------------------------------------------------------------------------------------
VALUE AS OF
NUMBER OF EXPIRATION VALUE AT MARCH 31, UNREALIZED
CONTRACTS DESCRIPTION DATE TRADE DATE 1999 APPRECIATION
- -------------------------------------------------------------------------------------
<C> <S> <C> <C> <C> <C>
2 Long Nikkei 300 Index June 1999 $ 39,618 $ 42,506 $ 2,888
1 Long Dax Index June 1999 129,853 131,333 1,480
------
Net Unrealized Appreciation........................................... $ 4,368
------
------
</TABLE>
<TABLE>
<CAPTION>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
- ------------------------------------------------------------------------
GROSS
CONTRACT IN DELIVERY UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
<S> <C> <C> <C>
- ------------------------------------------------------------------------
*EUR 54,333 USD 61,000 04/26/99 $ 2,165
*EUR 55,184 USD 61,000 04/26/99 1,244
*EUR 56,437 USD 62,000 04/26/99 887
*EUR 40,514 USD 44,338 04/26/99 467
JPY 6,977,000 USD 61,657 05/12/99 2,393
JPY 14,240,940 USD 123,000 05/12/99 2,034
JPY 2,838,451 USD 24,516 05/12/99 405
CHF 174,000 USD 123,763 05/20/99 5,289
*EUR 54,285 USD 61,000 05/20/99 2,139
*EUR 55,298 USD 61,000 05/20/99 1,043
-------
$ 18,066
-------
<CAPTION>
GROSS
UNREALIZED
DEPRECIATION
- ------------------------------------------------------------------------
<S> <C> <C> <C>
*USD 185,714 EUR 163,000 04/26/99 $ (9,208)
*USD 151,500 EUR 138,482 04/26/99 (1,566)
SGD 65,000 USD 37,725 04/27/99 (9)
JPY 4,374,610 USD 36,487 05/12/99 (673)
JPY 15,658,214 USD 128,000 05/12/99 (5,005)
*USD 151,500 EUR 138,229 05/20/99 (1,619)
HKD 573,359 USD 72,757 12/08/99 (436)
HKD 227,487 USD 28,251 12/08/99 (151)
-------
(18,667)
-------
Net Unrealized Depreciation............................ $ (601)
-------
-------
</TABLE>
- -------------
*Represents partially offsetting forward foreign currency contracts that to the
extent they are offset do not have additional market risk but have continued
counterparty settlement risk
<TABLE>
<S> <C> <C> <C>
CHF -- Swiss Franc JPY -- Japanese Yen
EUR -- European Monetary Unit SGD -- Singapore Dollar
HKD -- Hong Kong Dollar USD -- United States Dollar
</TABLE>
See Notes to Financial Statements
- ----------------
178
<PAGE>
- ----------------
SEASONS SERIES TRUST DIVERSIFIED
FIXED INCOME PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES -- 88.1% AMOUNT VALUE
<S> <C> <C>
- -------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 2.7%
HOUSING -- 0.4%
MMI Products, Inc. 11.25% 2007 ....................... $ 50,000 $ 53,125
RETAIL -- 2.3%
CVS Corp. 5.50% 2004 ................................. 200,000 199,484
Jitney Jungle Stores America, Inc. 10.38% 2007 ....... 50,000 50,750
Shop At Home, Inc. 11.00% 2005 ....................... 50,000 52,625
Travelcenters of America, Inc. 10.25% 2007 ........... 50,000 52,125
-------------
408,109
-------------
CONSUMER STAPLES -- 2.0%
FOOD, BEVERAGE & TOBACCO -- 1.6%
Diageo Capital PLC 6.13% 2005 ........................ 200,000 199,938
Specialty Foods Corp. 11.13% 2002 .................... 50,000 47,312
HOUSEHOLD PRODUCTS -- 0.4%
Revlon Consumer Products Corp. 9.00% 2006 ............ 50,000 50,000
-------------
297,250
-------------
ENERGY -- 0.2%
ENERGY SERVICES -- 0.62%
Parker Drilling Co. 9.75% 2006 ....................... 30,000 24,900
-------------
FINANCE -- 4.2%
FINANCIAL SERVICES -- 3.9%
Ford Motor Credit Co., Inc. 5.75% 2004 ............... 200,000 198,062
J. P. Morgan & Co., Inc. 5.75% 2004 .................. 200,000 197,394
Toyota Motor Credit Corp. 5.63% 2003 ................. 200,000 197,734
INSURANCE -- 0.3%
RBF Finance Corp. 11.38% 2009 ........................ 50,000 52,875
-------------
646,065
-------------
HEALTHCARE -- 0.3%
Tenet Healthcare Corp. 8.00% 2005 .................... 50,000 49,375
-------------
INDUSTRIAL & COMMERCIAL -- 1.5%
BUSINESS SERVICES -- 0.7%
Allied Waste North America, Inc. 7.88% 2009 .......... 50,000 49,000
Protection One, Inc. 8.13% 2009 ...................... 50,000 50,938
MACHINERY -- 0.3%
Applied Power, Inc. 8.75% 2009 ....................... 50,000 50,500
</TABLE>
----------------
179
<PAGE>
<TABLE>
<CAPTION>
PRINCIPAL
BONDS & NOTES (CONTINUED) AMOUNT VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
TRANSPORTATION -- 0.5%
Statia Terminals International NV 11.75% 2003 ........ $ 75,000 $ 79,875
-------------
230,313
-------------
INFORMATION & ENTERTAINMENT -- 3.3%
BROADCASTING & MEDIA -- 1.4%
Carmike Cinemas, Inc. 9.38% 2009 ..................... 50,000 50,750
Comcast Cellular Holdings, Inc. 9.50% 2007 ........... 50,000 57,250
Echostar DBS Corp. 9.38% 2009 ........................ 50,000 51,875
Mediacom LLC/Capital Corp. 7.88% 2011 ................ 50,000 48,875
LEISURE & TOURISM -- 1.9%
Continental Airlines 6.32% 2008 ...................... 200,000 198,778
ITT Corp. 6.25% 2000 ................................. 50,000 48,684
Mohegan Tribal Gaming Authority 8.13% 2006 ........... 50,000 51,062
-------------
507,274
-------------
INFORMATION TECHNOLOGY -- 1.4%
TELECOMMUNICATIONS -- 1.4%
Flag Ltd. 8.25% 2008 ................................. 50,000 48,500
L-3 Communications Corp. 10.38% 2007 ................. 50,000 55,125
Nextel Communications, Inc. 9.75% 2004 ............... 50,000 51,750
RSL Communications PLC 10.50% 2008 ................... 50,000 53,250
-------------
208,625
-------------
MATERIALS -- 0.3%
METALS & MATERIALS -- 0.3%
California Steel Industries, Inc. 8.50% 2009 ......... 50,000 50,625
-------------
U.S. GOVERNMENT & AGENCIES -- 72.2%
Federal Home Loan Banks 5.13% 2002 ................... 750,000 745,665
Federal Home Loan Banks 5.38% 2001 ................... 550,000 551,513
Federal Home Loan Mortgage Corp. 5.75% 2009 .......... 50,000 49,586
Federal Home Loan Mortgage Corp. 7.50% 2026 .......... 379,487 390,041
Federal Home Loan Mortgage Corp. 7.50% 2028 .......... 292,960 301,107
Federal National Mortgage Association 5.13% 2004 ..... 1,500,000 1,473,045
Federal National Mortgage Association 5.38% 2002 ..... 200,000 200,346
Federal National Mortgage Association 6.00% 2028 ..... 1,407,680 1,368,181
United States Treasury Bonds 6.25% 2023 .............. 1,000,000 1,045,000
United States Treasury Bonds 7.50% 2001 .............. 200,000 211,562
United States Treasury Bonds 9.00% 2018 .............. 700,000 949,263
United States Treasury Bonds 12.00% 2013 ............. 300,000 436,875
United States Treasury Notes 4.75% 2008 .............. 500,000 481,640
United States Treasury Notes 6.25% 2002 .............. 550,000 566,670
United States Treasury Notes 6.50% 2005 .............. 1,800,000 1,906,308
United States Treasury Notes 6.88% 2006 .............. 300,000 325,686
-------------
11,002,488
-------------
TOTAL BONDS & NOTES (cost $13,594,601)................ 13,425,024
-------------
</TABLE>
- ----------------
180
<PAGE>
<TABLE>
<CAPTION>
PREFERRED STOCK -- 0.3% SHARES VALUE
- -------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 0.3%
TELECOMMUNICATIONS -- 0.3%
Global Crossing Holdings Ltd. 10.50% (cost
$39,550) ............................................ 350 $ 40,513
-------------
TOTAL INVESTMENT SECURITIES (cost $13,634,151)........ 13,465,537
-------------
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 3.3% AMOUNT
<S> <C> <C>
- -------------------------------------------------------------------------------------
U.S. GOVERNMENT & AGENCIES -- 3.3%
Federal Home Loan Mortgage Corp. 4.77% due 4/30/99
(cost $498,079)...................................... $ 500,000 498,079
-------------
REPURCHASE AGREEMENTS -- 7.5%
- -------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 7.5%
Agreement with State Street Bank & Trust Co., bearing
interest at 4.00% dated 03/31/99 to be repurchased
04/01/99 in the amount of $550,061 and collateralized
by $435,000 of U.S. Treasury Bonds, bearing interest
at 10.75% due 08/15/05 and having an approximate
aggregate value of $561,694.......................... 550,000 550,000
Lehman Brothers Holding, Inc. Joint Repurchase
Agreement Account (Note 3)........................... 145,000 145,000
State Street Bank & Trust Co. Joint Repurchase
Agreement Account (Note 3)........................... 449,000 449,000
-------------
TOTAL REPURCHASE AGREEMENTS (cost $1,144,000)......... 1,144,000
-------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS -- (cost $15,276,230) 99.2 % 15,107,616
Other assets less liabilities -- 0.8 121,302
------ -----------
NET ASSETS -- 100.0 % $15,228,918
------ -----------
------ -----------
</TABLE>
See Notes to Financial Statements
----------------
181
<PAGE>
- ------------------
SEASONS SERIES TRUST
CASH MANAGEMENT PORTFOLIO INVESTMENT PORTFOLIO -- MARCH 31, 1999
<TABLE>
<CAPTION>
PRINCIPAL
SHORT-TERM SECURITIES -- 88.4% AMOUNT VALUE
<S> <C> <C>
- -------------------------------------------------------------------------------------
COMMERCIAL PAPER -- 39.2%
du Pont (E.I.) de Nemours & Co. 4.81% due 7/19/99..... $ 100,000 $ 98,550
Equitable Life Assurance Society of the U.S. 4.84% due
4/8/99............................................... 100,000 99,906
Minnesota Mining & Manufacturing Co. 4.80% due
7/19/99.............................................. 100,000 98,550
Monsanto Co. 4.86% due 6/14/99........................ 100,000 99,009
Sharp Electronics 4.88% due 5/27/99................... 100,000 99,241
Southland Corp. 4.86% due 6/1/99...................... 100,000 99,188
Volkswagen Of America, Inc. 4.85% due 9/10/99......... 100,000 97,844
Wisconsin Electric Power Co 4.83% due 4/12/99......... 100,000 99,852
-------------
TOTAL COMMERCIAL PAPER (cost $792,085)................ 792,140
-------------
FEDERAL AGENCY OBLIGATIONS -- 49.2%
Federal Home Loan Mortgage Corp. 4.70% due 6/11/99.... 500,000 495,355
Federal Home Loan Mortgage Corp. 4.73% due 4/27/99.... 500,000 498,292
-------------
TOTAL FEDERAL AGENCY OBLIGATIONS (cost $993,657)...... 993,647
-------------
TOTAL SHORT-TERM SECURITIES (cost $1,785,742)......... 1,785,787
-------------
<CAPTION>
REPURCHASE AGREEMENT -- 11.5%
<S> <C> <C>
- -------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 11.5%
State Street Bank & Trust Co. Joint Repurchase
Agreement Account (Note 3)
(cost $233,000)...................................... 233,000 233,000
-------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS -- (cost $2,018,742) 99.9 % 2,018,787
Other assets less liabilities -- 0.1 2,273
------ -----------
NET ASSETS -- 100.0 % $ 2,021,060
------ -----------
------ -----------
</TABLE>
- -------------
See Notes to Financial Statements
- ----------------
182
<PAGE>
(This page has been left blank intentionally.)
----------------
183
<PAGE>
- ----------------
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 1999
<TABLE>
<CAPTION>
MULTI- ASSET
MULTI- MANAGED MULTI- MULTI- ALLOCATION:
MANAGED MODERATE MANAGED MANAGED DIVERSIFIED
GROWTH GROWTH INCOME/EQUITY INCOME GROWTH
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------
ASSETS:
Investment securities, at
value*................. $64,584,023 $69,525,589 $58,136,264 $ 48,395,247 $ 96,445,644
Short-term securities*... 1,400,000 1,400,000 900,000 300,000 2,191,135
Repurchase agreements
(cost equals market)... 3,906,000 5,136,000 2,923,000 1,440,000 19,546,000
Cash..................... 49,390 33,669 67,419 -- 1,329,390
Foreign currency*........ 17 12 6 2 2,725
Receivables for --
Sales of investments... 430,118 351,794 226,045 112,704 1,359,315
Dividends and accrued
interest............. 252,865 429,601 574,164 580,669 346,165
Fund shares sold....... 75,969 56,416 152,084 96,093 172,796
Foreign currency
contracts............ 74,739 62,537 39,961 14,850 1,141,712
Unrealized appreciation
on forward foreign
currency contracts..... 111,805 87,788 46,194 16,370 9,426
Deferred organizational
expenses............... 9,782 9,782 9,782 9,782 9,782
Prepaid expenses......... 449 482 395 313 739
Due from Adviser......... -- -- -- -- --
-----------------------------------------------------------------------
70,895,157 77,093,670 63,075,314 50,966,030 122,554,829
-----------------------------------------------------------------------
LIABILITIES:
Payables for --
Purchases of
investments.......... 960,648 1,187,730 818,849 620,054 3,302,418
Foreign currency
contracts............ 74,395 62,249 39,777 14,782 1,138,636
Management fees........ 52,194 53,357 41,270 31,705 81,134
Fund shares redeemed... 2,352 6,223 2,312 2,224 5,982
Other accrued expenses... 47,771 47,729 45,387 39,740 87,962
Written call options at
value (proceeds $31,699
and $30,031 on Multi-
Managed Growth and
Multi-Managed Moderate
Growth Portfolios,
respectively).......... 38,237 36,225 -- -- --
Unrealized depreciation
on forward foreign
currency contracts..... 7,268 6,150 3,075 839 --
Due to Adviser........... -- -- 3,570 586 1,371
Due to Custodian......... -- -- -- 6,142 --
Variation margin on
futures contracts...... -- -- -- -- 274,400
-----------------------------------------------------------------------
1,182,865 1,399,663 954,240 716,072 4,891,903
-----------------------------------------------------------------------
NET ASSETS............... $69,712,292 $75,694,007 $62,121,074 $ 50,249,958 $ 117,662,926
-----------------------------------------------------------------------
-----------------------------------------------------------------------
Shares of beneficial
interest outstanding
(unlimited shares
authorized)............ 4,051,813 4,882,057 4,659,038 4,163,272 9,312,669
Net asset value per
share.................. $17.21 $15.50 $13.33 $12.07 $12.63
-----------------------------------------------------------------------
-----------------------------------------------------------------------
COMPOSITION OF NET
ASSETS:
Capital paid in.......... $48,963,242 $58,541,686 $54,396,111 $ 47,021,966 $ 105,737,944
Accumulated undistributed
net investment income
(loss)................. (66,517) 181,553 342,608 416,796 107,905
Accumulated undistributed
net realized gain
(loss) on
investments............ 8,141,154 6,543,478 2,869,876 1,002,124 3,311,469
Unrealized appreciation
(depreciation) on
investments............ 12,576,415 10,351,846 4,469,360 1,793,541 8,515,997
Unrealized foreign
exchange gain (loss) on
other assets and
liabilities............ 104,536 81,638 43,119 15,531 8,355
Unrealized appreciation
(depreciation) on
futures contracts and
written options
contracts.............. (6,538) (6,194) -- -- (18,744)
-----------------------------------------------------------------------
$69,712,292 $75,694,007 $62,121,074 $ 50,249,958 $ 117,662,926
-----------------------------------------------------------------------
-----------------------------------------------------------------------
- ---------------
* Cost
Investment securities... $52,007,608 $59,173,743 $53,666,904 $ 46,601,706 $ 87,929,647
-----------------------------------------------------------------------
-----------------------------------------------------------------------
Short-term securities... $ 1,400,000 $ 1,400,000 $ 900,000 $ 300,000 $ 2,191,135
-----------------------------------------------------------------------
-----------------------------------------------------------------------
Foreign currency........ $ 17 $ 12 $ 6 $ 2 $ 2,725
-----------------------------------------------------------------------
-----------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements
- ----------------
184
<PAGE>
<TABLE>
<CAPTION>
LARGE CAP LARGE CAP LARGE CAP MID CAP MID CAP
STOCK GROWTH COMPOSITE VALUE GROWTH VALUE SMALL CAP
<S> <C> <C> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investment securities, at
value*................. $ 91,930,255 $ 14,276,921 $ 11,386,396 $ 13,153,473 $ 13,444,811 $ 11,777,741 $ 10,250,141
Short-term securities*... 6,059,745 329,820 164,495 214,323 29,820 19,880 19,880
Repurchase agreements
(cost equals market)... -- 104,000 162,000 125,000 333,000 1,293,000 924,000
Cash..................... 350 177,009 19,752 112,364 95,592 94,433 1,911
Foreign currency*........ -- -- -- -- -- -- --
Receivables for --
Sales of investments... 381,862 49,549 54,227 54,301 30,324 19,982 10,550
Dividends and accrued
interest............. 90,108 11,106 9,881 22,568 5,508 17,282 6,221
Fund shares sold....... 137,826 62,250 60,000 9,250 53,750 -- 41,000
Foreign currency
contracts............ 240,968 -- -- -- -- -- --
Unrealized appreciation
on forward foreign
currency contracts..... -- -- -- -- -- -- --
Deferred organizational
expenses............... 9,782 -- -- -- -- -- --
Prepaid expenses......... 604 -- -- -- -- -- --
Due from Adviser......... -- 10,213 10,213 10,213 10,213 10,213 10,213
------------------------------------------------------------------------------------------------------
98,851,500 15,020,868 11,866,964 13,701,492 14,003,018 13,232,531 11,263,916
------------------------------------------------------------------------------------------------------
LIABILITIES:
Payables for --
Purchases of
investments.......... 1,434,714 73,393 4,815 46,882 85,253 114,129 96,282
Foreign currency
contracts............ 241,342 -- -- -- -- -- --
Management fees........ 67,141 9,589 7,886 9,117 9,630 9,455 7,815
Fund shares redeemed... 4,835 33 -- 13 9 -- 7
Other accrued expenses... 56,719 19,454 18,213 19,213 19,072 18,984 17,945
Written call options at
value (proceeds $31,699
and $30,031 on Multi-
Managed Growth and
Multi-Managed Moderate
Growth Portfolios,
respectively).......... -- -- -- -- -- -- --
Unrealized depreciation
on forward foreign
currency contracts..... -- -- -- -- -- -- --
Due to Adviser........... -- -- -- -- -- -- --
Due to Custodian......... -- -- -- -- -- -- --
Variation margin on
futures contracts...... -- 2,240 2,251 1,120 2,240 2,240 2,240
------------------------------------------------------------------------------------------------------
1,804,751 104,709 33,165 76,345 116,204 144,808 124,289
------------------------------------------------------------------------------------------------------
NET ASSETS............... $ 97,046,749 $ 14,916,159 $ 11,833,799 $ 13,625,147 $ 13,886,814 $ 13,087,723 $ 11,139,627
------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------
Shares of beneficial
interest outstanding
(unlimited shares
authorized)............ 5,986,095 1,384,899 1,133,254 1,334,385 1,327,515 1,311,417 1,123,815
Net asset value per
share.................. $16.21 $10.77 $10.44 $10.21 $10.46 $9.98 $9.91
------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------
COMPOSITION OF NET
ASSETS:
Capital paid in.......... $ 79,537,865 $ 13,892,113 $ 11,337,610 $ 13,345,739 $ 13,273,533 $ 13,106,505 $ 11,225,642
Accumulated undistributed
net investment income
(loss)................. (33,385) 10,519 14,504 35,706 3,724 36,305 11,306
Accumulated undistributed
net realized gain
(loss) on
investments............ 2,653,223 31,691 13,023 8,442 (22,114) 15,784 (12,976)
Unrealized appreciation
(depreciation) on
investments............ 14,888,578 984,496 471,320 236,589 633,184 (69,357) (82,835)
Unrealized foreign
exchange gain (loss) on
other assets and
liabilities............ 468 -- -- 1 -- (1) --
Unrealized appreciation
(depreciation) on
futures contracts and
written options
contracts.............. -- (2,660) (2,658) (1,330) (1,513) (1,513) (1,510)
------------------------------------------------------------------------------------------------------
$ 97,046,749 $ 14,916,159 $ 11,833,799 $ 13,625,147 $ 13,886,814 $ 13,087,723 $ 11,139,627
------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------
- ---------------
* Cost
Investment securities... $ 77,041,760 $ 13,292,425 $ 10,915,076 $ 12,916,884 $ 12,811,627 $ 11,847,098 $ 10,332,976
------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------
Short-term securities... $ 6,059,662 $ 329,820 $ 164,495 $ 214,323 $ 29,820 $ 19,880 $ 19,880
------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------
Foreign currency........ $ -- $ -- $ -- $ -- $ -- $ -- $ --
------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------
<CAPTION>
INTERNATIONAL DIVERSIFIED CASH
EQUITY FIXED INCOME MANAGEMENT
<S> <C> <C> <C>
- ----------------------------------------------------------------------
ASSETS:
Investment securities, at
value*................. $12,716,409 $13,465,537 $ --
Short-term securities*... 19,880 498,079 1,785,787
Repurchase agreements
(cost equals market)... 700,000 1,144,000 233,000
Cash..................... 95,334 2,302 904
Foreign currency*........ 161,441 -- --
Receivables for --
Sales of investments... 42,050 -- --
Dividends and accrued
interest............. 25,749 179,513 31
Fund shares sold....... 32,250 58,000 6,250
Foreign currency
contracts............ 22,027 -- --
Unrealized appreciation
on forward foreign
currency contracts..... 18,066 -- --
Deferred organizational
expenses............... -- -- --
Prepaid expenses......... -- -- --
Due from Adviser......... 31,023 9,831 12,057
---------------------------------------------
13,864,229 15,357,262 2,038,029
---------------------------------------------
LIABILITIES:
Payables for --
Purchases of
investments.......... 75,432 100,312 --
Foreign currency
contracts............ 22,014 -- --
Management fees........ 11,243 8,903 938
Fund shares redeemed... 8 -- 150
Other accrued expenses... 43,247 19,129 15,881
Written call options at
value (proceeds $31,699
and $30,031 on Multi-
Managed Growth and
Multi-Managed Moderate
Growth Portfolios,
respectively).......... -- -- --
Unrealized depreciation
on forward foreign
currency contracts..... 18,667 -- --
Due to Adviser........... -- -- --
Due to Custodian......... -- -- --
Variation margin on
futures contracts...... 184 -- --
---------------------------------------------
170,795 128,344 16,969
---------------------------------------------
NET ASSETS............... $13,693,434 $15,228,918 $2,021,060
---------------------------------------------
---------------------------------------------
Shares of beneficial
interest outstanding
(unlimited shares
authorized)............ 1,324,357 1,532,016 200,965
Net asset value per
share.................. $10.34 $9.94 $10.06
---------------------------------------------
---------------------------------------------
COMPOSITION OF NET
ASSETS:
Capital paid in.......... $13,239,770 $15,311,706 $2,003,082
Accumulated undistributed
net investment income
(loss)................. 16,773 103,236 17,971
Accumulated undistributed
net realized gain
(loss) on
investments............ 6,671 (17,410) (38)
Unrealized appreciation
(depreciation) on
investments............ 428,546 (168,614) 45
Unrealized foreign
exchange gain (loss) on
other assets and
liabilities............ (2,694) -- --
Unrealized appreciation
(depreciation) on
futures contracts and
written options
contracts.............. 4,368 -- --
---------------------------------------------
$13,693,434 $15,228,918 $2,021,060
---------------------------------------------
---------------------------------------------
- ---------------
* Cost
Investment securities... $12,287,863 $13,634,151 $ --
---------------------------------------------
---------------------------------------------
Short-term securities... $ 19,880 $ 498,079 $1,785,742
---------------------------------------------
---------------------------------------------
Foreign currency........ $ 163,910 $ -- $ --
---------------------------------------------
---------------------------------------------
</TABLE>
See Notes to Financial Statements
----------------
185
<PAGE>
- ----------------
SEASONS SERIES TRUST
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED MARCH 31, 1999
<TABLE>
<CAPTION>
MULTI- ASSET
MULTI- MANAGED MULTI- MULTI- ALLOCATION:
MANAGED MODERATE MANAGED MANAGED DIVERSIFIED
GROWTH GROWTH INCOME/EQUITY INCOME GROWTH
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------
INCOME:
Interest............... $ 981,360 $ 1,553,914 $1,892,603 $ 1,810,679 $1,104,865
Dividends.............. 162,028 140,242 84,077 40,647 847,139
----------------------------------------------------------------------
Total income*........ 1,143,388 1,694,156 1,976,680 1,851,326 1,952,004
----------------------------------------------------------------------
EXPENSES:
Management fees........ 463,084 474,482 368,615 256,218 686,471
Custodian fees......... 94,866 97,113 84,196 68,911 254,060
Auditing fees.......... 20,341 20,279 19,554 18,657 22,431
Reports to investors... 7,356 8,676 6,796 5,912 12,863
Legal fees............. 3,249 3,396 2,999 2,614 3,893
Organization expense... 3,212 3,212 3,212 3,212 3,212
Trustees' fees......... 997 1,058 842 635 1,571
Other expenses......... 458 480 396 328 698
----------------------------------------------------------------------
Total expenses before
reimbursement and
custody credits.... 593,563 608,696 486,610 356,487 985,199
Expenses reimbursed
by the investment
adviser............ -- -- -- (2,279) (6,931)
Custody credits
earned on cash
balances........... (2,102) (1,921) (1,618) (1,491) (1,054)
----------------------------------------------------------------------
Net investment
income/(loss).......... 551,927 1,087,381 1,491,688 1,498,609 974,790
----------------------------------------------------------------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON
INVESTMENTS AND FOREIGN
CURRENCIES:
Net realized gain
(loss) on
investments.......... 8,073,088 6,446,394 3,106,513 1,151,510 3,420,641
Net realized gain
(loss) on futures and
options contracts.... 74,019 82,903 -- -- --
Net realized foreign
exchange gain (loss)
on other assets and
liabilities.......... (13,722) 12,096 31,373 40,761 (83,520)
Change in unrealized
appreciation/depreciation
on investments....... 9,169,197 7,517,760 2,861,759 981,991 5,055,824
Change in unrealized
appreciation/depreciation
on futures and
written options
contracts............ (6,538) (6,194) -- -- (18,744)
Change in unrealized
foreign exchange gain
(loss) on other
assets and
liabilities.......... 94,446 72,607 36,636 10,790 (7,818)
----------------------------------------------------------------------
Net realized and
unrealized gain
(loss) on investments
and foreign
currencies........... 17,390,490 14,125,566 6,036,281 2,185,052 8,366,383
----------------------------------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ $17,942,417 $15,212,947 $7,527,969 $ 3,683,661 $9,341,173
----------------------------------------------------------------------
----------------------------------------------------------------------
- ---------------
* Net of foreign
withholding taxes on
interest and dividends
of..................... $ 2,885 $ 1,800 $ 1,539 $ -- $ 31,652
----------------------------------------------------------------------
----------------------------------------------------------------------
</TABLE>
+ Commenced operations February 8, 1999
See Notes to Financial Statements
- ----------------
186
<PAGE>
<TABLE>
<CAPTION>
LARGE CAP LARGE CAP LARGE CAP MID CAP MID CAP
STOCK GROWTH+ COMPOSITE+ VALUE+ GROWTH+ VALUE+ SMALL CAP+
<S> <C> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------
INCOME:
Interest............... $ 212,544 $ 7,695 $ 9,588 $ 8,048 $ 8,402 $ 16,101 $ 10,101
Dividends.............. 655,022 17,643 16,856 41,427 10,250 34,861 12,151
-------------------------------------------------------------------------------------------
Total income*........ 867,566 25,338 26,444 49,475 18,652 50,962 22,252
-------------------------------------------------------------------------------------------
EXPENSES:
Management fees........ 577,953 15,604 12,969 15,063 15,925 15,724 12,982
Custodian fees......... 117,913 6,516 4,919 6,347 5,847 5,676 4,647
Auditing fees.......... 21,439 8,060 8,060 8,060 8,060 8,060 8,060
Reports to investors... 9,706 4,160 4,160 4,160 4,160 4,160 4,160
Legal fees............. 2,430 780 780 780 780 780 780
Organization expense... 3,212 6,618 6,618 6,618 6,618 6,618 6,618
Trustees' fees......... 1,322 104 104 104 104 104 104
Other expenses......... 587 260 260 260 260 261 260
-------------------------------------------------------------------------------------------
Total expenses before
reimbursement and
custody credits.... 734,562 42,102 37,870 41,392 41,754 41,383 37,611
Expenses reimbursed
by the investment
adviser............ -- (19,982) (19,982) (19,982) (19,982) (19,982) (19,982)
Custody credits
earned on cash
balances........... (280) (665) (56) (698) (226) (126) (65)
-------------------------------------------------------------------------------------------
Net investment
income/(loss).......... 133,284 3,883 8,612 28,763 (2,894) 29,687 4,688
-------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON
INVESTMENTS AND FOREIGN
CURRENCIES:
Net realized gain
(loss) on
investments.......... 3,246,206 17,328 (1,338) (5,921) (35,075) 5,683 (23,074)
Net realized gain
(loss) on futures and
options contracts.... -- 14,363 14,361 14,363 12,961 10,101 10,098
Net realized foreign
exchange gain (loss)
on other assets and
liabilities.......... (26,929) 18 (726) 325 -- -- --
Change in unrealized
appreciation/depreciation
on investments....... 7,653,212 984,496 471,320 236,589 633,184 (69,357) (82,835)
Change in unrealized
appreciation/depreciation
on futures and
written options
contracts............ -- (2,660) (2,658) (1,330) (1,513) (1,513) (1,510)
Change in unrealized
foreign exchange gain
(loss) on other
assets and
liabilities.......... 588 -- -- 1 -- (1) --
-------------------------------------------------------------------------------------------
Net realized and
unrealized gain
(loss) on investments
and foreign
currencies........... 10,873,077 1,013,545 480,959 244,027 609,557 (55,087) (97,321)
-------------------------------------------------------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ $ 11,006,361 $1,017,428 $489,571 $272,790 $606,663 $(25,400) $(92,633)
-------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------
- ---------------
* Net of foreign
withholding taxes on
interest and dividends
of..................... $ 12,549 $ 272 $ 24 $ 255 $ 87 $ 65 $ 1
-------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------
<CAPTION>
INTERNATIONAL DIVERSIFIED CASH
EQUITY+ FIXED INCOME+ MANAGEMENT+
<S> <C> <C> <C>
- ------------------------------------------------------------------------
INCOME:
Interest............... $ 16,482 $117,935 $ 13,781
Dividends.............. 34,495 -- --
----------------------------------------------
Total income*........ 50,977 117,935 13,781
----------------------------------------------
EXPENSES:
Management fees........ 18,659 14,922 1,571
Custodian fees......... 28,364 5,792 2,519
Auditing fees.......... 8,060 8,060 8,060
Reports to investors... 4,160 4,160 4,160
Legal fees............. 780 780 780
Organization expense... 6,618 6,618 6,618
Trustees' fees......... 104 104 104
Other expenses......... 260 260 260
----------------------------------------------
Total expenses before
reimbursement and
custody credits.... 67,005 40,696 24,072
Expenses reimbursed
by the investment
adviser............ (42,647) (19,342) (21,642)
Custody credits
earned on cash
balances........... (101) (37) (2)
----------------------------------------------
Net investment
income/(loss).......... 26,720 96,618 11,353
----------------------------------------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON
INVESTMENTS AND FOREIGN
CURRENCIES:
Net realized gain
(loss) on
investments.......... 10,335 (17,410) (38)
Net realized gain
(loss) on futures and
options contracts.... (3,664) -- --
Net realized foreign
exchange gain (loss)
on other assets and
liabilities.......... (16,565) -- --
Change in unrealized
appreciation/depreciation
on investments....... 428,546 (168,614) 45
Change in unrealized
appreciation/depreciation
on futures and
written options
contracts............ 4,368 -- --
Change in unrealized
foreign exchange gain
(loss) on other
assets and
liabilities.......... (2,694) -- --
----------------------------------------------
Net realized and
unrealized gain
(loss) on investments
and foreign
currencies........... 420,326 (186,024) 7
----------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ $447,046 $(89,406) $ 11,360
----------------------------------------------
----------------------------------------------
- ---------------
* Net of foreign
withholding taxes on
interest and dividends
of..................... $ 2,190 $ -- $ --
----------------------------------------------
----------------------------------------------
</TABLE>
+ Commenced operations February 8, 1999
See Notes to Financial Statements
----------------
187
<PAGE>
- ----------------
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED MARCH 31, 1999
<TABLE>
<CAPTION>
MULTI- ASSET
MULTI- MANAGED MULTI- MULTI- ALLOCATION:
MANAGED MODERATE MANAGED MANAGED DIVERSIFIED
GROWTH GROWTH INCOME/EQUITY INCOME GROWTH
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------
OPERATIONS:
Net investment
income/(loss).......... $ 551,927 $ 1,087,381 $ 1,491,688 $ 1,498,609 $ 974,790
Net realized gain (loss)
on investments......... 8,073,088 6,446,394 3,106,513 1,151,510 3,420,641
Net realized gain (loss)
on futures and options
contracts.............. 74,019 82,903 -- -- --
Net realized foreign
exchange gain (loss) on
other assets and
liabilities............ (13,722) 12,096 31,373 40,761 (83,520)
Change in unrealized
appreciation/depreciation
on investments......... 9,169,197 7,517,760 2,861,759 981,991 5,055,824
Change in unrealized
appreciation/depreciation
on futures and written
options contracts...... (6,538) (6,194) -- -- (18,744)
Change in unrealized
foreign exchange
gain/loss on other
assets and
liabilities............ 94,446 72,607 36,636 10,790 (7,818)
-----------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations........ 17,942,417 15,212,947 7,527,969 3,683,661 9,341,173
-----------------------------------------------------------------------
DIVIDENDS AND
DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net
investment income.... (690,000) (1,030,000) (1,350,000) (1,300,000) (960,000)
Distributions from net
realized gain on
investments.......... (125,000) (80,000) (395,000) (235,000) (25,000)
-----------------------------------------------------------------------
Total dividends and
distributions to
shareholders........... (815,000) (1,110,000) (1,745,000) (1,535,000) (985,000)
-----------------------------------------------------------------------
CAPITAL SHARE
TRANSACTIONS:
Proceeds from shares
sold................... 29,841,859 36,479,107 34,877,027 32,657,535 66,314,211
Proceeds from shares
issued for reinvestment
of dividends and
distributions.......... 815,000 1,110,000 1,745,000 1,535,000 985,000
Cost of shares
repurchased............ (10,552,545) (8,620,211) (6,240,664) (4,469,021) (8,376,862)
-----------------------------------------------------------------------
Net increase in net
assets resulting from
capital share
transactions........... 20,104,314 28,968,896 30,381,363 29,723,514 58,922,349
-----------------------------------------------------------------------
TOTAL INCREASE IN NET
ASSETS................. 37,231,731 43,071,843 36,164,332 31,872,175 67,278,522
NET ASSETS:
Beginning of period...... 32,480,561 32,622,164 25,956,742 18,377,783 50,384,404
-----------------------------------------------------------------------
End of period............ $69,712,292 $75,694,007 $62,121,074 $ 50,249,958 $ 117,662,926
-----------------------------------------------------------------------
-----------------------------------------------------------------------
- ---------------
Accumulated undistributed
net investment
income................. $ (66,517) $ 181,553 $ 342,608 $ 416,796 $ 107,905
-----------------------------------------------------------------------
-----------------------------------------------------------------------
Shares issued and
repurchased:
Sold..................... 2,192,641 2,797,970 2,814,915 2,783,026 5,638,376
Issued in reinvestment of
dividends and
distributions.......... 59,600 85,233 142,064 131,749 85,106
Repurchased.............. (728,602) (637,843) (500,292) (378,699) (712,489)
-----------------------------------------------------------------------
Net increase............. 1,523,639 2,245,360 2,456,687 2,536,076 5,010,993
-----------------------------------------------------------------------
-----------------------------------------------------------------------
</TABLE>
+ Commenced operations February 8, 1999
See Notes to Financial Statements
- ----------------
188
<PAGE>
<TABLE>
<CAPTION>
LARGE CAP LARGE CAP LARGE CAP MID CAP MID CAP
STOCK GROWTH+ COMPOSITE+ VALUE+ GROWTH+ VALUE+ SMALL CAP+
<S> <C> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net investment
income/(loss).......... $ 133,284 $ 3,883 $ 8,612 $ 28,763 $ (2,894) $ 29,687 $ 4,688
Net realized gain (loss)
on investments......... 3,246,206 17,328 (1,338) (5,921) (35,075) 5,683 (23,074)
Net realized gain (loss)
on futures and options
contracts.............. -- 14,363 14,361 14,363 12,961 10,101 10,098
Net realized foreign
exchange gain (loss) on
other assets and
liabilities............ (26,929) 18 (726) 325 -- -- --
Change in unrealized
appreciation/depreciation
on investments......... 7,653,212 984,496 471,320 236,589 633,184 (69,357) (82,835)
Change in unrealized
appreciation/depreciation
on futures and written
options contracts...... -- (2,660) (2,658) (1,330) (1,513) (1,513) (1,510)
Change in unrealized
foreign exchange
gain/loss on other
assets and
liabilities............ 588 -- -- 1 -- (1) --
-------------------------------------------------------------------------------------------------------
Net increase (decrease)
in net assets resulting
from operations........ 11,006,361 1,017,428 489,571 272,790 606,663 (25,400) (92,633)
-------------------------------------------------------------------------------------------------------
DIVIDENDS AND
DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net
investment income.... (135,000) -- -- -- -- -- --
Distributions from net
realized gain on
investments.......... (1,560,000) -- -- -- -- -- --
-------------------------------------------------------------------------------------------------------
Total dividends and
distributions to
shareholders........... (1,695,000) -- -- -- -- -- --
-------------------------------------------------------------------------------------------------------
CAPITAL SHARE
TRANSACTIONS:
Proceeds from shares
sold................... 53,243,989 13,899,428 11,344,468 13,352,560 13,280,414 13,113,224 11,232,399
Proceeds from shares
issued for reinvestment
of dividends and
distributions.......... 1,695,000 -- -- -- -- -- --
Cost of shares
repurchased............ (9,288,291) (697) (240) (203) (263) (101) (139)
-------------------------------------------------------------------------------------------------------
Net increase in net
assets resulting from
capital share
transactions........... 45,650,698 13,898,731 11,344,228 13,352,357 13,280,151 13,113,123 11,232,260
-------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET
ASSETS................. 54,962,059 14,916,159 11,833,799 13,625,147 13,886,814 13,087,723 11,139,627
NET ASSETS:
Beginning of period...... 42,084,690 -- -- -- -- -- --
-------------------------------------------------------------------------------------------------------
End of period............ $ 97,046,749 $ 14,916,159 $11,833,799 $ 13,625,147 $ 13,886,814 $ 13,087,723 $11,139,627
-------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------
- ---------------
Accumulated undistributed
net investment
income................. $ (33,385) $ 10,519 $ 14,504 $ 35,706 $ 3,724 $ 36,305 $ 11,306
-------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------
Shares issued and
repurchased:
Sold..................... 3,621,737 1,384,964 1,133,277 1,334,405 1,327,541 1,311,427 1,123,829
Issued in reinvestment of
dividends and
distributions.......... 117,352 -- -- -- -- -- --
Repurchased.............. (624,293) (65) (23) (20) (26) (10) (14)
-------------------------------------------------------------------------------------------------------
Net increase............. 3,114,796 1,384,899 1,133,254 1,334,385 1,327,515 1,311,417 1,123,815
-------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------
<CAPTION>
INTERNATIONAL DIVERSIFIED CASH
EQUITY+ INCOME+ MANAGEMENT+
<S> <C> <C> <C>
- ----------------------------------------------------------------------
OPERATIONS:
Net investment
income/(loss).......... $ 26,720 $ 96,618 $ 11,353
Net realized gain (loss)
on investments......... 10,335 (17,410) (38)
Net realized gain (loss)
on futures and options
contracts.............. (3,664) -- --
Net realized foreign
exchange gain (loss) on
other assets and
liabilities............ (16,565) -- --
Change in unrealized
appreciation/depreciation
on investments......... 428,546 (168,614) 45
Change in unrealized
appreciation/depreciation
on futures and written
options contracts...... 4,368 -- --
Change in unrealized
foreign exchange
gain/loss on other
assets and
liabilities............ (2,694) -- --
---------------------------------------------
Net increase (decrease)
in net assets resulting
from operations........ 447,046 (89,406) 11,360
---------------------------------------------
DIVIDENDS AND
DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net
investment income.... -- -- --
Distributions from net
realized gain on
investments.......... -- -- --
---------------------------------------------
Total dividends and
distributions to
shareholders........... -- -- --
---------------------------------------------
CAPITAL SHARE
TRANSACTIONS:
Proceeds from shares
sold................... 13,246,545 15,318,454 2,009,850
Proceeds from shares
issued for reinvestment
of dividends and
distributions.......... -- -- --
Cost of shares
repurchased............ (157) (130) (150)
---------------------------------------------
Net increase in net
assets resulting from
capital share
transactions........... 13,246,388 15,318,324 2,009,700
---------------------------------------------
TOTAL INCREASE IN NET
ASSETS................. 13,693,434 15,228,918 2,021,060
NET ASSETS:
Beginning of period...... -- -- --
---------------------------------------------
End of period............ $13,693,434 $ 15,228,918 $2,021,060
---------------------------------------------
---------------------------------------------
- ---------------
Accumulated undistributed
net investment
income................. $ 16,773 $ 103,236 $ 17,971
---------------------------------------------
---------------------------------------------
Shares issued and
repurchased:
Sold..................... 1,324,372 1,532,029 200,980
Issued in reinvestment of
dividends and
distributions.......... -- -- --
Repurchased.............. (15) (13) (15)
---------------------------------------------
Net increase............. 1,324,357 1,532,016 200,965
---------------------------------------------
---------------------------------------------
</TABLE>
+ Commenced operations February 8, 1999
See Notes to Financial Statements
----------------
189
<PAGE>
- ----------------
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED MARCH 31, 1998#
<TABLE>
<CAPTION>
MULTI- MULTI- ASSET
MULTI- MANAGED MANAGED MULTI- ALLOCATION:
MANAGED MODERATE INCOME/ MANAGED DIVERSIFIED
GROWTH GROWTH EQUITY INCOME GROWTH STOCK
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income............................. $ 233,996 $ 375,550 $ 467,248 $ 466,369 $ 504,309 $ 51,271
Net realized gain on investments.................. 450,946 353,817 281,459 189,755 426,906 1,303,958
Net realized foreign exchange gain (loss) on
other assets and liabilities.................... 18,930 26,437 23,750 26,463 795 (13,405)
Net unrealized appreciation/depreciation on
investments..................................... 3,407,218 2,834,086 1,607,601 811,550 3,460,173 7,235,366
Net unrealized foreign exchange gain (loss) on
other assets and liabilities.................... 10,090 9,031 6,483 4,741 16,173 (120)
------------------------------------------------------------------------------
Net increase in net assets resulting from
operations...................................... 4,121,180 3,598,921 2,386,541 1,498,878 4,408,356 8,577,070
------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income............ (145,000) (240,000) (295,000) (310,000) (350,000) (50,000)
Distributions from net realized gain on
investments................................... (360,000) (315,000) (155,000) (115,000) (495,000) (335,000)
------------------------------------------------------------------------------
Total dividends and distributions to
shareholders.................................... (505,000) (555,000) (450,000) (425,000) (845,000) (385,000)
------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold......................... 35,042,648 36,053,150 30,442,119 24,213,091 58,480,233 47,040,730
Proceeds from shares issued for reinvestment of
dividends and distributions..................... 505,000 555,000 450,000 425,000 845,000 385,000
Cost of shares repurchased........................ (6,683,267) (7,029,907) (6,871,918) (7,334,186) (12,504,185) (13,533,110)
------------------------------------------------------------------------------
Net increase in net assets resulting from capital
share transactions.............................. 28,864,381 29,578,243 24,020,201 17,303,905 46,821,048 33,892,620
------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS...................... 32,480,561 32,622,164 25,956,742 18,377,783 50,384,404 42,084,690
NET ASSETS:
Beginning of period............................... -- -- -- -- -- --
------------------------------------------------------------------------------
End of period..................................... $32,480,561 $32,622,164 $25,956,742 $18,377,783 $ 50,384,404 $42,084,690
------------------------------------------------------------------------------
------------------------------------------------------------------------------
- ---------------
Accumulated undistributed (distributions in excess
of) net investment income....................... $ 103,862 $ 152,216 $ 181,493 $ 170,487 $ 169,315 $ (7,952)
------------------------------------------------------------------------------
------------------------------------------------------------------------------
Shares issued and repurchased:
Sold.............................................. 3,051,992 3,193,790 2,768,731 2,243,277 5,347,715 3,890,293
Issued in reinvestment of dividends and
distributions................................... 43,395 48,593 40,581 39,192 77,457 30,323
Repurchased....................................... (567,213) (605,686) (606,962) (655,273) (1,123,496) (1,049,317)
------------------------------------------------------------------------------
Net increase...................................... 2,528,174 2,636,697 2,202,350 1,627,196 4,301,676 2,871,299
------------------------------------------------------------------------------
------------------------------------------------------------------------------
</TABLE>
# Commenced operations April 15, 1997
See Notes to Financial Statements
- ----------------
190
<PAGE>
- ----------------
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
1. DESCRIPTION OF BUSINESS AND BASIS OF PRESENTATION: Seasons Series Trust
("the Trust"), organized as a Massachusetts business trust on October 10, 1995,
is an open-end, management investment company. Shares of the Trust are issued
and redeemed only in connection with investments in and payments under variable
annuity contracts. Shares of the Portfolios are held by Variable Annuity Account
Five (the "Account"), a separate account of Anchor National Life Insurance
Company (the "Life Company"), organized under the laws of the state of Arizona.
The Trust currently consists of fifteen separate series or portfolios (each, a
"Portfolio" and collectively, the "Portfolios"), each of which represents a
separate managed portfolio of securities with its own investment objective. The
Board of Trustees may establish additional Portfolios in the future. Six of the
Portfolios, which we call the "Seasons Portfolios," are available through the
Seasons Variable Annuity Contract. The other nine Portfolios, which we call the
"Seasons Select Portfolios," are available in addition to the Seasons
Portfolios, through the Seasons Select Variable Annuity Contract. All shares may
be purchased or redeemed by the Account at net asset value without any sales or
redemption charge.
The investment objectives for each portfolio are as follows:
SEASONS PORTFOLIOS
The MULTI-MANAGED GROWTH PORTFOLIO seeks long-term growth of capital.
The MULTI-MANAGED MODERATE GROWTH PORTFOLIO seeks long-term growth of capital,
with capital preservation as a secondary objective.
The MULTI-MANAGED INCOME/EQUITY PORTFOLIO seeks conservation of principal while
maintaining some potential for long-term growth of capital.
The MULTI-MANAGED INCOME PORTFOLIO seeks capital preservation.
The ASSET ALLOCATION: DIVERSIFIED GROWTH PORTFOLIO seeks capital appreciation.
The STOCK PORTFOLIO seeks long-term capital appreciation with a secondary
objective of increasing dividend income.
SEASONS SELECT PORTFOLIOS
The LARGE CAP GROWTH PORTFOLIO seeks long-term growth of capital by investing
primarily in equity securities of large companies selected through a growth
strategy.
The LARGE CAP COMPOSITE PORTFOLIO seeks long-term growth of capital and growth
of dividend income by investing primarily in equity securities of large
companies that offer the potential for long-term growth of capital or dividends.
The LARGE CAP VALUE PORTFOLIO seeks long-term growth of capital by investing
primarily in equity securities of large companies selected through a value
strategy.
The MID CAP GROWTH PORTFOLIO seeks long-term growth of capital by investing
primarily in equity securities of medium-sized companies selected through a
growth strategy.
The MID CAP VALUE PORTFOLIO seeks long-term growth of capital by investing
primarily in equity securities of medium-sized companies selected through a
value strategy.
The SMALL CAP PORTFOLIO seeks long-term growth of capital by investing primarily
in equity securities of small companies.
The INTERNATIONAL EQUITY PORTFOLIO seeks long-term growth of capital by
investing primarily in equity securities of issuers in at least three countries
other than the U.S.
The DIVERSIFIED FIXED INCOME PORTFOLIO seeks relatively high current income and
secondarily capital appreciation by investing primarily in fixed income
securities.
The CASH MANAGEMENT PORTFOLIO seek high current yield while preserving capital
by investing in a diversified selection of money market instruments.
Each Portfolio, except for the Asset Allocation: Diversified Growth, Stock,
Diversified Fixed Income and Cash Management Portfolios, is organized as a
"non-diversified" Portfolio of the Trust (as such term is defined under the
Investment Company Act of 1940, as amended), subject, however, to certain tax
diversification requirements.
Each of the Seasons Multi-Managed Growth, Multi-Managed Moderate Growth,
Multi-Managed Income/Equity and Multi-Managed Income Portfolios ("Multi-Managed
Seasons Portfolio(s)") allocates all of its assets among three or four distinct
Managed Components, each managed by a separate Manager ("Manager" or
collectively "Managers"). The three Managers of
----------------
191
<PAGE>
the Multi-Managed Seasons Portfolios are SunAmerica Asset Management Corp.
("SunAmerica"), Janus Capital Corporation ("Janus"), and Wellington Management
Corporation, LLP ("WMC"). New share purchase and redemption requests in each
Multi-Managed Seasons Portfolio will be allocated among the Managed Components
of such portfolio as described in the chart below.
<TABLE>
<CAPTION>
SUNAMERICA
AGGRESSIVE SUNAMERICA WMC/ FIXED
GROWTH JANUS GROWTH BALANCED INCOME
PORTFOLIO COMPONENT COMPONENT COMPONENT COMPONENT
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
Multi-Managed Growth....................................... 20% 40% 20% 20%
Multi-Managed Moderate Growth.............................. 18% 28% 18% 36%
Multi-Manage Income/Equity................................. 0% 18% 28% 54%
Multi-Managed Income....................................... 0% 8% 17% 75%
</TABLE>
Differences in investment returns among the Managed Components may cause the
actual percentages to vary over the course of a calendar quarter from the
targets listed in the chart. Accordingly, the assets of each Seasons
Multi-Managed Portfolio will be reallocated or "rebalanced" among the managed
components on at least a quarterly basis to restore the target allocations for
such Portfolio.
Each Seasons Select Portfolio except the Cash Management Portfolio (referred
to hereinafter as the "Multi-Managed Seasons Select Portfolio(s)" is managed by
several separate managers each of which advises a separate portion of the
Portfolio. Each Multi-Managed Seasons Select Portfolio will allocate one portion
of its portfolio to a passively-managed strategy that seeks to replicate a
relevant index, or the relevant subset of an index. New share purchase and
redemption requests in each Multi-Managed Seasons Select Portfolio will be
allocated equally among the Managers, unless SunAmerica determines, subject to
the review of the Trustees, that a different allocation of assets would be in
the best interest of the Portfolio and its shareholders.
2. SIGNIFICANT ACCOUNTING POLICIES: The preparation of financial statements in
accordance with generally accepted accounting principles requires management to
make estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual results could differ from these estimates.
In the opinion of management of the Trust, the accompanying financial statements
contain all normal and recurring adjustments necessary for the fair presentation
of the financial position of the Trust at March 31, 1999, and the results of its
operations, the changes in its net assets and its financial highlights for the
periods then ended. The following is a summary of the significant accounting
policies consistently followed by the Trust in the preparation of its financial
statements.
SECURITY VALUATIONS: Stocks are stated at value based upon closing sales
prices reported on recognized securities exchanges or, for listed securities
having no sales reported and for unlisted securities, upon last-reported bid
prices. Nonconvertible bonds, debentures, other long-term debt securities, and
short-term securities with original or remaining maturities in excess of 60 days
are valued at prices obtained for the day of valuation from a bond pricing
service of a major dealer in bonds when such prices are available; however, in
circumstances where the investment adviser deems it appropriate to do so, an
over-the-counter or exchange quotation at the mean of representative bid or
asked prices may be used. Securities traded primarily on securities exchanges
outside the United States are valued at the last sale price on such exchanges on
the day of valuation, or if there is no sale on the day of valuation, at the
last reported bid price. If a security's price is available from more than one
foreign exchange, a portfolio uses the exchange that is the primary market for
the security. Developing markets securities involve risks not typically
associated with investing in securities of issuers in more developed markets.
These investments are subject to various risk factors including market, credit,
exchange rate and sovereign risk. The markets in which these securities trade
can be volatile and at times illiquid. Options traded on national securities
exchanges are valued as of the close of the exchange on which they are traded.
Options traded on commodities exchanges are valued at their last sale price as
of the close of such exchange. Futures contracts are valued at the last sale
price established each day by the board of trade or exchange on which they are
traded. Short-term securities with 60 days or less to maturity are amortized to
maturity based on their cost to the Trust if acquired within 60 days of maturity
or, if already held by the Trust on the 60th day, are amortized to maturity
based on the value determined on the 61st day. Securities for which quotations
are not readily available are valued at fair value as determined in good faith
under the direction of the Trust's Trustees.
FOREIGN CURRENCY TRANSLATION: The books and records of the Trust are
maintained in U.S. dollars. Assets and liabilities denominated in foreign
currencies and commitments under forward foreign currency contracts are
translated into U.S. dollars at the mean of the quoted bid and asked prices of
such currencies against the U.S. dollar.
- ----------------
192
<PAGE>
The Trust does not isolate that portion of the results of operations arising
as a result of changes in the foreign exchange rates from the changes in the
market prices of securities held at fiscal year-end. Similarly, the Trust does
not isolate the effect of changes in foreign exchange rates from the changes in
the market prices of portfolio securities sold during the year.
Realized foreign exchange gain and losses on other assets and liabilities and
change in unrealized foreign exchange gain and losses on other assets and
liabilities include realized foreign exchange gains and losses from currency
gains or losses between the trade and settlement dates of securities
transactions, the difference between the amounts of interest, dividends and
foreign withholding taxes recorded on the Trust's books and the U.S. dollar
equivalent amounts actually received or paid and changes in the unrealized
foreign exchange gains and losses relating to the other assets and liabilities
arising as a result of changes in the exchange rate.
SECURITIES TRANSACTIONS, INVESTMENT INCOME, EXPENSES, DIVIDENDS AND
DISTRIBUTIONS TO SHAREHOLDERS: Securities transactions are recorded on a trade
date basis. Interest income is accrued daily except when collection is not
expected. Dividend income and distributions to shareholders are recorded on the
ex-dividend date except for certain dividends from foreign securities, which are
recorded as soon as the Trust is informed after the ex-dividend date. The Trust
amortizes premiums and accretes discounts on fixed income securities, as well as
those original issue discounts for which amortization is required for federal
income tax purposes; gains and losses realized upon the sale of such securities
are based on their identified cost. Portfolios, which earn foreign income and
capital gains, may be subject to foreign withholding taxes at various rates.
Common expenses incurred by the Trust are allocated among the Portfolios based
upon relative net assets or other appropriate allocation methods. In all other
respects, expenses are charged to each Portfolio as incurred on a specific
identification basis.
Dividends from net investment income and capital gain distributions, if any,
are paid annually.
The Portfolios record dividends and distributions to their shareholders on the
ex-dividend date. The amount of dividends and distributions from net investment
income and net realized capital gains are determined and presented in accordance
with federal income tax regulations, which may differ from generally accepted
accounting principles. These "book/tax" differences are either considered
temporary or permanent in nature. To the extent these differences are permanent
in nature, such amounts are reclassified within the capital accounts based on
their federal tax-basis treatment; temporary differences do not require
reclassification. Dividends and distributions which exceed net investment income
and net realized capital gains for financial reporting purposes but not for tax
purposes are reported as dividends in excess of net investment income or
distributions in excess of net realized capital gains. To the extent
distributions exceed current and accumulated earnings and profits for federal
income tax purposes, they are reported as distributions of paid-in capital. Net
investment income/loss, net realized gain/loss, and net assets are not affected.
For the period ended March 31, 1999, the reclassification arising from
"book/tax" differences resulted in increases (decreases) to the components of
net assets as follows:
<TABLE>
<CAPTION>
ACCUMULATED ACCUMULATED
UNDISTRIBUTED UNDISTRIBUTED
NET INVESTMENT NET REALIZED PAID-IN
INCOME/(LOSS) GAIN/(LOSS) CAPITAL
<S> <C> <C> <C>
----------------------------------------
Multi-Managed Growth.................................................. (32,306) 35,518 (3,212)
Multi-Managed Moderate Growth......................................... (28,044) 31,256 (3,212)
Multi-Managed Income/Equity........................................... 19,427 (16,215) (3,212)
Multi-Managed Income.................................................. 47,700 (44,488) (3,212)
Asset Allocation: Diversified Growth.................................. (76,200) 79,412 (3,212)
Stock................................................................. (23,717) 26,929 (3,212)
Large Cap Growth...................................................... 6,636 (18) (6,618)
Large Cap Composite................................................... 5,892 726 (6,618)
Large Cap Value....................................................... 6,943 (325) (6,618)
Mid Cap Growth........................................................ 6,618 -- (6,618)
Mid Cap Value......................................................... 6,618 -- (6,618)
Small Cap............................................................. 6,618 -- (6,618)
International Equity.................................................. (9,947) 16,565 (6,618)
Diversified Fixed Income.............................................. 6,618 -- (6,618)
Cash Management....................................................... 6,618 -- (6,618)
</TABLE>
----------------
193
<PAGE>
ORGANIZATIONAL EXPENSES: Costs incurred by the Adviser in connection with the
organization and registration of the Seasons Portfolios of the Trust amounted to
$91,410. These organizational expenses are amortized on a straight line basis by
each applicable Seasons Portfolio over the period of benefit not to exceed 60
months from the date the respective Portfolio commenced operations. Organization
expenses incurred by the Seasons Select Portfolios were expensed as incurred.
3. OPERATING POLICIES
REPURCHASE AGREEMENTS: The Trust's custodian takes possession of the
collateral pledged for investments in repurchase agreements ("repo" or
collectively "repos"). The underlying collateral is valued daily on a
mark-to-market basis to assure that the value, including accrued interest, is at
least equal to the repurchase price. In the event of default of the obligation
to repurchase, the Trust has the right to liquidate the collateral and apply the
proceeds in satisfaction of the obligation. If the seller defaults and the value
of the collateral declines or if bankruptcy proceedings are commenced with
respect to the seller of the security, realization of the collateral by the
Trust may be delayed or limited.
Pursuant to exemptive relief granted by the Securities and Exchange
Commission, the Portfolios are permitted to participate in joint repo
transactions with other affiliated investment companies.
At March 31, 1999, the Multi-Managed Growth, Multi-Managed Moderate Growth,
Multi-Managed Income/Equity, Large-Cap Composite, Small-Cap, Diversified Fixed
Income and Cash Management Portfolios had a 1.3%, 1.5%, 0.5%, 0.0%, 0.3%, 0.2%
and 0.1% undivided interest, respectively, representing $3,241,000, $3,651,000,
$1,298,000, $48,000, $678,000, $449,000 and $233,000, respectively, in principal
amount, in a joint repo with State Street Bank & Trust Co., which is dated March
31, 1999, bears interest at the rate of 4.82% per annum, has a principal amount
of $240,396,000 and a repurchase price of $240,428,186, matures April 1, 1999,
and is collateralized by $34,340,000 of U.S. Treasury Bonds (bearing interest at
the rate of 7.50% per annum and maturing November 15, 2016), $17,710,000 of U.S.
Treasury Bonds (bearing interest at the rate of 12.75% per annum and maturing
November 15, 2010), $24,910,000 of U.S. Treasury Notes (bearing interest at the
rate of 5.50% per annum and maturing May 31, 2000), $49,820,000 of U.S. Treasury
Notes (bearing interest at the rate of 5.625% per annum and maturing November
30, 1999), $50,000,000 of U.S. Treasury Notes (bearing interest at a rate of
6.00% per annum and maturing August 15, 2000) and $49,760,000 of U.S. Treasury
Notes (bearing interest at a rate of 6.375% per annum and maturing May 15,
1999), which together have an approximate value of $245,219,239.
At March 31, 1999, the Multi-Managed Growth, Multi-Managed Moderate Growth,
Multi-Managed Income/Equity, Multi-Managed Income, Large-Cap Value, Mid-Cap
Growth and Diversified Fixed Income Portfolios had a 0.8%, 1.8%, 2.0%, 1.8%,
0.2%, 0.3% and 0.2% undivided interest, respectively, representing $665,000,
$1,485,000, $1,625,000, $1,440,000, $125,000, $215,000 and $145,000,
respectively, in principal amount, in a joint repo with Lehman Brothers Holding,
Inc., which is dated March 31, 1999, bears interest at the rate of 4.93% per
annum, has a principal amount of $81,160,000 and a repurchase price of
$81,171,114, matures April 1, 1999, and is collateralized by $225,000,000 of
U.S. Treasury Strip Bonds (maturing November 15, 2015), $7,285,000 of U.S.
Treasury Strip Bonds (maturing February 15, 2019), which together have an
approximate value of $85,189,409.
FORWARD FOREIGN CURRENCY CONTRACTS: Certain portfolios may enter into forward
foreign currency contracts ("forward contracts") to attempt to protect
securities and related receivables and payables against changes in future
foreign exchange rates or to enhance return. A forward contract is an agreement
between two parties to buy or sell currency at a set price on a future date. The
market value of the contract will fluctuate with changes in currency exchange
rates. The contract is marked-to-market daily using the forward rate and the
change in market value is recorded by the Portfolio as unrealized gain or loss.
On settlement date, the Portfolio records either realized gains or losses when
the contract is closed equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed. Risks may
arise upon entering into these contracts from the potential inability of
counterparties to meet the terms of their contracts and from unanticipated
movements in the value of a foreign currency relative to the U.S. dollar.
Forward contracts involve elements of risk in excess of the amounts reflected in
the Statement of Assets and Liabilities. The Trust bears the risk of an
unfavorable change in the foreign exchange rate underlying the forward contract.
FUTURES CONTRACTS: A futures contract is an agreement between two parties to
buy and sell a financial instrument at a set price on a future date. Upon
entering into such a contract the Trust is required to pledge to the broker an
amount of cash or U.S. government securities equal to the minimum "initial
margin" requirements of the exchange on which the futures contract is traded.
The contract amount reflects the extent of a Portfolio's exposure in these
financial instruments. A Portfolio's participation in the futures markets
involves certain risks, including imperfect correlation between movements in the
price of futures contracts and movements in the price of the securities hedged
or used for cover. The Trust's activities in the futures contracts are conducted
through regulated exchanges which do not result in counterparty credit risks.
Pursuant to a contract,
- ----------------
194
<PAGE>
the Portfolios agree to receive from or pay to the broker an amount of cash
equal to the daily fluctuation in value of the contract. Such receipts or
payments are known as 'variation margin" and are recorded by the Portfolios as
unrealized appreciation or depreciation. When a contract is closed, the
Portfolios record a realized gain or loss equal to the difference between the
value of the contract at the time it was opened and the value at the time it was
closed.
OPTIONS: An option is a contract conveying a right to buy or sell a financial
instrument at a specified price during a stipulated period. The premium paid by
a Portfolio for the purchase of a call or a put option is included in the
Portfolio's Statement of Assets and Liabilities as an investment and
subsequently marked to market to reflect the current market value of the option.
When a Portfolio writes a call or put option, an amount equal to the premium
received by the portfolio is included in the portfolio's Statement of Assets and
liabilities as a liability and is subsequently marked to market to reflect the
current market value of the option written. If an option which the Portfolio has
written either expires on its stipulated expiration date, or if the Portfolio
enters into a closing purchase transaction, the Portfolio realizes a gain (or
loss if the cost of a closing purchase transaction exceeds the premium received
when the option was written) without regard to any unrealized gain or loss on
the underlying security, and the liability related to such options is
extinguished. If a call option, which the Portfolio has written, is exercised,
the portfolio realizes a capital gain or loss from the sale of the underlying
security and the proceeds from such sale are increased by the premium originally
received. If a put option which the portfolio has written is exercised, the
amount of the premium originally received reduces the cost of the security which
the Portfolio purchased upon exercise of the option.
During the fiscal year ended March 31, 1999, transactions in written option
contracts were as follows:
<TABLE>
<CAPTION>
MULTI-MANAGED MODERATE
MULTI-MANAGED GROWTH GROWTH
------------------------- -------------------------
CONTRACTS AMOUNT CONTRACTS AMOUNT
------------- ---------- ------------- ----------
<S> <C> <C> <C> <C>
Written option contracts as of 3/31/98.................................... -- $ -- -- $ --
Options written during the year........................................... (188) (224,486) (181) (219,322)
Written options assigned during the year.................................. 21 10,549 20 10,015
Written options closed during the year.................................... 148 118,327 143 115,995
Net realized gain on written options closed............................... -- 63,911 -- 63,281
--- ---------- --- ----------
Written option contracts as of 3/31/99.................................... (19) $ (31,699) (18) $ (30,031)
--- ---------- --- ----------
--- ---------- --- ----------
</TABLE>
4. PORTFOLIO SECURITIES: The Trust intends to comply with the requirements of
the Internal Revenue Code applicable to regulated investment companies and
distribute all of its taxable income, including any net realized gains on
investments, to its shareholders. Therefore, no federal tax provision is
required.
The amounts of aggregate unrealized gain (loss) and the cost of investment
securities for tax purposes, including short-term securities and repurchase
agreements at March 31, 1999, were as follows:
<TABLE>
<CAPTION>
AGGREGATE AGGREGATE
UNREALIZED UNREALIZED COST OF
GAIN LOSS GAIN/(LOSS) NET INVESTMENTS
<S> <C> <C> <C> <C>
------------------------------------------------------------
Multi-Managed Growth.......................................... 13,464,281 1,155,386 12,308,895 57,581,128
Multi-Managed Moderate Growth................................. 11,544,473 1,227,400 10,317,073 65,744,516
Multi-Managed Income/Equity................................... 5,035,065 626,706 4,408,359 57,550,905
Multi-Managed Income.......................................... 2,362,888 589,614 1,773,274 48,361,973
Asset Allocation: Diversified Growth.......................... 9,995,093 2,038,193 7,956,900 110,225,879
Stock**....................................................... 17,386,012 2,497,437 14,888,575 83,101,424
Large Cap Growth.............................................. 1,302,864 318,368 984,496 13,726,245
Large Cap Composite........................................... 792,714 327,800 464,914 11,247,977
Large Cap Value............................................... 720,315 488,660 231,655 13,261,141
Mid Cap Growth*............................................... 1,277,295 651,699 625,596 13,182,035
Mid Cap Value................................................. 579,345 656,929 (77,584) 13,168,205
Small Cap*.................................................... 941,607 1,034,030 (92,423) 11,286,444
International Equity**........................................ 882,084 457,117 424,967 13,011,322
Diversified Fixed Income*..................................... 16,953 185,567 (168,614) 15,276,230
Cash Management*.............................................. 55 10 45 2,018,742
</TABLE>
- ------------
* Post 10/31/99 Capital Loss Deferrals: Mid Cap Growth $16,039; Small Cap
$4,898; Diversified Fixed Income $17,410; Cash Management $38.
** Post 10/31/99 Currency Loss Deferrals; Stock $17,947; International Equity
$16,570.
----------------
195
<PAGE>
4. MANAGEMENT OF THE TRUST: The Trust, on behalf of each Portfolio, entered
into an Investment Advisory and Management Agreement (the "Management
Agreement") with SunAmerica to handle the Trust's day-to-day affairs, to provide
investment advisory services, office space, and other facilities for the
management of the affairs of the Trust, and to pay the compensation of certain
officers of the Trust who are affiliated persons of SunAmerica. Pursuant to the
Management Agreement entered into between SunAmerica (the "Adviser") and the
Trust, on behalf of each Portfolio, each Portfolio pays the Adviser a fee equal
to the following percentage of average daily net assets:
<TABLE>
<CAPTION>
MANAGEMENT
ASSETS FEES
<S> <C> <C>
--------------------------------
Multi-Managed Growth >0 0.89%
Multi-Managed Moderate Growth >0 0.85%
Multi-Managed Income/Equity >0 0.81%
Multi-Managed Income >0 0.77%
Asset Allocation: Diversified Growth >0 0.85%
Stock >0 0.85%
Large Cap Growth, Large Cap Composite, 0-$250 million 0.80%
Large Cap Value >$250 million 0.75%
>$500 million 0.70%
Mid Cap Growth, Mid Cap Value, 0-$250 million 0.85%
Small Cap >$250 million 0.80%
>$500 million 0.75%
International Equity > 0 1.00%
Diversified Fixed Income 0-$200 million 0.70%
>$200 million 0.65%
>$400 million 0.60%
Cash Management 0-$100 million 0.55%
>$100 million 0.50%
>$200 million 0.45%
</TABLE>
The Management Agreement authorizes SunAmerica to retain one or more
subadvisers to make the investment decisions for the Portfolios, and to place
the purchase and sale orders for portfolio transactions. The organizations below
serve as Subadvisers (with the exception of SunAmerica, which acts as Adviser,)
to the Portfolios pursuant to Subadvisory Agreements with SunAmerica. Each of
the Subadvisers is independent of SunAmerica and discharges its responsibilities
subject to the policies of the Trustees and the oversight and supervision of
SunAmerica, which pays the Subadvisers' fees. All Subadvisory fees
- ----------------
196
<PAGE>
are payable by the Adviser to the respective Subadviser and do not increase
Portfolio expenses. Portfolio management is allocated among the following
managers:
<TABLE>
<S> <C>
Multi-Managed Growth Janus Capital Corporation
SunAmerica
Wellington Management Company, LLP
Multi-Managed Moderate Growth Janus Capital Corporation
SunAmerica
Wellington Management Company, LLP
Multi-Managed Income/Equity Janus Capital Corporation
SunAmerica
Wellington Management Company, LLP
Multi-Managed Income Janus Capital Corporation
SunAmerica
Wellington Management Company, LLP
Asset Allocation: Diversified Growth Putnam Investment Management, Inc.
Stock T. Rowe Price Associates, Inc.
Large Cap Growth Bankers Trust Company
Goldman Sachs Asset Management
Janus Capital Corporation
Large Cap Composite Bankers Trust Company
SunAmerica
T. Rowe Price Associates, Inc.
Large Cap Value Bankers Trust Company
T. Rowe Price Associates, Inc.
Wellington Management Company, LLP
Mid Cap Growth Bankers Trust Company
T. Rowe Price Associates, Inc.
Wellington Management Company, LLP
Mid Cap Value Bankers Trust Company
Goldman Sachs Asset Management
Lord, Abbett & Co.
Small Cap Bankers Trust Company
Lord, Abbett & Co.
SunAmerica
International Equity Bankers Trust Company
Goldman Sachs Asset Management International
Lord, Abbett & Co.
Diversified Fixed Income Bankers Trust Company
SunAmerica
Wellington Management Company, LLP
Cash Management SunAmerica
</TABLE>
SunAmerica has agreed to waive fees or reimburse expenses, if necessary, to
keep annual operating expenses at or below the following percentages of each of
the Portfolio's average net assets: Multi-Managed Growth 1.29%, Multi-Managed
Moderate Growth 1.21%, Multi-Managed Income/Equity 1.14%, Multi-Managed Income
1.06%, Asset Allocation: Diversified Growth 1.21%, Stock 1.21%, Large Cap Growth
1.10%, Large Cap Composite 1.10%, Large Cap Value 1.10%, Mid Cap Growth 1.15%,
Mid Cap Value 1.15%, Small Cap 1.15%, International Equity 1.30%, Diversified
Fixed Income 1.00% and Cash Management 0.85%. SunAmerica also may voluntarily
waive or reimburse additional amounts to increase the investment return to a
Portfolio's investors. SunAmerica may terminate all such waivers and/or
reimbursements at any time. Further, any waivers or reimbursements made by
SunAmerica with respect to a Portfolio are subject to recoupment from that
Portfolio within the following two years, provided that the Portfolio is able to
effect such payments to SunAmerica and remain in compliance with the foregoing
expense limitations.
----------------
197
<PAGE>
At March 31, 1999, the amounts repaid to the Adviser which are included in the
management fee along with the remaining balance subject to recoupment are as
follows:
<TABLE>
<CAPTION>
BALANCE
AMOUNT SUBJECT TO
RECOUPED RECOUPMENT
<S> <C> <C>
-------------------------
Multi-Managed Growth................................................................... $ 23,646 $ --
Multi-Managed Moderate Growth.......................................................... 29,927 --
Multi-Managed Income/Equity............................................................ 24,016 12,574
Multi-Managed Income................................................................... -- 45,769
Asset Allocation: Diversified Growth................................................... -- 84,655
Stock.................................................................................. 10,325 --
Large Cap Growth....................................................................... -- 19,982
Large Cap Composite.................................................................... -- 19,982
Large Cap Value........................................................................ -- 19,982
Mid Cap Growth......................................................................... -- 19,982
Mid Cap Value.......................................................................... -- 19,982
Small Cap.............................................................................. -- 19,982
International Equity................................................................... -- 42,647
Diversified Fixed Income............................................................... -- 19,342
Cash Management........................................................................ -- 21,642
</TABLE>
8. PURCHASES AND SALES OF SECURITIES: Information with respect to purchases and
sales of long-term securities for the fiscal year ended March 31, 1999, was as
follows:
<TABLE>
<CAPTION>
ASSET
MULTI- MANAGED MULTI- MANAGED ALLOCATION:
MULTI- MANAGED MODERATE INCOME/ MULTI- MANAGED DIVERSIFIED
GROWTH GROWTH EQUITY INCOME GROWTH
<S> <C> <C> <C> <C> <C>
--------------------------------------------------------------------------
Purchases of portfolio securities (excluding
U.S. government securities)................ $ 63,866,331 $ 61,391,481 $ 32,259,713 $ 21,587,158 $ 114,411,720
Sales of portfolio securities (excluding
U.S. government securities)................ 52,235,387 45,060,594 18,632,450 8,998,684 80,365,985
Purchases of U.S. government securities...... 9,417,811 5,529,791 22,327,800 21,483,525 39,458,828
Sales of U.S. government securities.......... 4,308,660 14,005,344 7,203,065 4,445,547 33,006,072
</TABLE>
<TABLE>
<CAPTION>
LARGE CAP LARGE CAP LARGE CAP MID CAP
STOCK GROWTH COMPOSITE VALUE GROWTH
<S> <C> <C> <C> <C> <C>
-------------------------------------------------------------------------
Purchases of portfolio securities (excluding
U.S. government securities)................. $ 74,302,772 $ 13,848,542 $ 11,403,785 $ 13,312,643 $ 13,282,547
Sales of portfolio securities (excluding
U.S. government securities)................. 33,002,000 573,445 544,580 389,852 435,855
Purchases of U.S. government securities....... -- -- 57,197 -- --
Sales of U.S. government securities........... -- -- -- -- --
</TABLE>
<TABLE>
<CAPTION>
MID CAP INTERNATIONAL DIVERSIFIED CASH
VALUE SMALL CAP EQUITY FIXED INCOME MANAGEMENT
<S> <C> <C> <C> <C> <C>
------------------------------------------------------------------------
Purchases of portfolio securities (excluding
U.S. government securities).................. $ 12,313,258 $ 10,572,808 $ 12,831,930 $ 2,202,632 --
Sales of portfolio securities (excluding
U.S. government securities).................. 466,559 195,408 554,639 197,985 --
Purchases of U.S. government securities........ -- -- -- 13,562,558 --
Sales of U.S. government securities............ -- -- -- 2,338,922 --
</TABLE>
- ----------------
198
<PAGE>
9. TRANSACTIONS WITH AFFILIATES: The following Portfolios incurred brokerage
commissions with an affiliated broker:
<TABLE>
<CAPTION>
SUNAMERICA FSC SECURITIES B.T. ALEX GOLDMAN
SECURITIES INC. CORP. BROWN INC. SACHS
<S> <C> <C> <C> <C>
--------------------------------------------------------------
Asset Allocation: Diversified Growth........................... $ 6,024 $ 23 $ -- $ --
Large Cap Growth............................................... -- -- 21 28
Large Cap Composite............................................ -- -- 6 --
Large Cap Value................................................ -- -- 74 --
Mid Cap Growth................................................. -- -- 108 --
Mid Cap Value.................................................. -- -- -- 262
</TABLE>
As disclosed in the investment portfolios, certain Portfolios own common stock
issued by American International Group ("AIG"). Effective January 1, 1999,
SAAMCo, the investment adviser, became a wholly owned subsidiary of AIG. During
the fiscal year ended March 31, 1999, transactions in shares of common stock of
AIG were as follows:
<TABLE>
<CAPTION>
MARKET VALUE COST OF COST OF MARKET VALUE REALIZED INCOME
3/31/98 PURCHASES SALES 3/31/99 GAIN/(LOSS) EARNED
<S> <C> <C> <C> <C> <C> <C>
---------------------------------------------------------------------------
Asset Allocation: Diversified Growth............ $ 125,937 $ 317,034 $ 40,770 $ 560,906 $ 3,539 $ 944
Large Cap Growth................................ -- 182,209 70,162 144,750 9,901 95
Large Cap Composite............................. -- 59,974 -- 72,375 -- 34
</TABLE>
----------------
199
<PAGE>
- ----------------
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH
PERIOD
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DIVIDENDS
DECLARED DIVIDENDS NET
NET ASSET NET REALIZED & FROM NET FROM NET ASSET
VALUE NET UNREALIZED TOTAL FROM INVEST- REALIZED VALUE
PERIOD BEGINNING INVESTMENT GAIN(LOSS) ON INVESTMENT MENT GAIN ON END OF TOTAL
ENDED OF PERIOD INCOME(*/**) INVESTMENTS OPERATIONS INCOME INVESTMENTS PERIOD RETURN(***)
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Multi-Managed Growth Portfolio
4/15/97-
3/31/98 $10.00 $0.18 $2.95 $3.13 $(0.08) $(0.20) $12.85 31.55%
3/31/99 12.85 0.16 4.41 4.57 (0.18) (0.03) 17.21 35.98
Multi-Managed Moderate Growth Portfolio
4/15/97-
3/31/98 10.00 0.27 2.40 2.67 (0.13) (0.17) 12.37 26.86
3/31/99 12.37 0.28 3.10 3.38 (0.23) (0.02) 15.50 27.73
Multi-Managed Income/Equity Portfolio
4/15/97-
3/31/98 10.00 0.41 1.68 2.09 (0.20) (0.10) 11.79 21.10
3/31/99 11.79 0.43 1.57 2.00 (0.36) (0.10) 13.33 17.27
Multi-Managed Income Portfolio
4/15/97-
3/31/98 10.00 0.51 1.15 1.66 (0.27) (0.10) 11.29 16.81
3/31/99 11.29 0.53 0.72 1.25 (0.40) (0.07) 12.07 11.19
Asset Allocation: Diversified Growth Portfolio
4/15/97-
3/31/98 10.00 0.23 1.76 1.99 (0.12) (0.16) 11.71 20.09
3/31/99 11.71 0.14 0.90 1.04 (0.12) -- 12.63 9.02
Stock Portfolio
4/15/97-
3/31/98 10.00 0.03 4.80 4.83 (0.02) (0.15) 14.66 48.59
3/31/99 14.66 0.03 1.84 1.87 (0.02) (0.30) 16.21 13.05
<CAPTION>
- --------
RATIO OF
NET
NET INVESTMENT
ASSETS RATIO OF INCOME TO
END OF EXPENSES TO AVERAGE
PERIOD PERIOD AVERAGE NET NET PORTFOLIO
ENDED (000'S) ASSETS(+) ASSETS(+) TURNOVER
- --------
----------------------------------------------
<S> <C> <C> <C> <C>
Multi-Managed Growth Portfolio
4/15/97-
3/31/98 $ 32,481 1.29%(#) 1.52%(#) 114%
3/31/99 69,712 1.19 1.11 124
Multi-Managed Moderate Growth
Portfolio
4/15/97-
3/31/98 32,622 1.21(#) 2.36(#) 101
3/31/99 75,694 1.16 2.08 105
Multi-Managed Income/Equity
Portfolio
4/15/97-
3/31/98 25,957 1.14(#) 3.72(#) 46
3/31/99 62,121 1.14 3.51 65
Multi-Managed Income Portfolio
4/15/97-
3/31/98 18,378 1.06(#) 4.69(#) 47
3/31/99 50,250 1.06 4.50 43
Asset Allocation: Diversified Growth
Portfolio
4/15/97-
3/31/98 50,384 1.21(#) 2.06(#) 166
3/31/99 117,663 1.21 1.21 149
Stock Portfolio
4/15/97-
3/31/98 42,085 1.21(#) 0.24(#) 46
3/31/99 97,047 1.10 0.20 52
</TABLE>
- ----------------------------------
* Calculated based upon average shares outstanding
** After fee waivers and expense reimbursements by the investment adviser
*** Total return is not annualized and does not reflect expenses that apply to
the separate accounts of Anchor National Life Insurance Company. If such
expenses had been included, total return would have been lower.
# Annualized
+ The investment adviser waived a portion of or all fees and assumed a portion
of or all expenses for the Portfolios. If all fees and expenses had been
incurred by the Portfolios, the ratio of expenses to average net assets and
the ratio of net investment income to average net assets would have been as
follows:
<TABLE>
<CAPTION>
NET INVESTMENT
EXPENSES INCOME
---------------------- ----------------------
3/31/98 3/31/99 3/31/98 3/31/99
-------- ----------- -------- -----------
Multi-Managed Growth
Portfolio.............. 1.44% 1.19% 1.37% 1.11%
<S> <C> <C> <C> <C>
Multi-Managed Moderate
Growth Portfolio....... 1.40 1.16 2.17 2.08
Multi-Managed
Income/Equity
Portfolio.............. 1.43 1.14 3.43 3.51
Multi-Managed Income
Portfolio.............. 1.50 1.07 4.25 4.49
Asset Allocation:
Diversified Growth
Portfolio.............. 1.53 1.22 1.74 1.20
Stock Portfolio.......... 1.26 1.10 0.19 0.20
</TABLE>
See Notes to Financial Statements
- ----------------
200
<PAGE>
- ----------------
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH
PERIOD
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
DIVIDENDS
DECLARED DIVIDENDS NET
NET ASSET NET REALIZED & FROM NET FROM NET ASSET
VALUE NET UNREALIZED TOTAL FROM INVEST- REALIZED VALUE
PERIOD BEGINNING INVESTMENT GAIN(LOSS) ON INVESTMENT MENT GAIN ON END OF TOTAL
ENDED OF PERIOD INCOME(*/**) INVESTMENTS OPERATIONS INCOME INVESTMENTS PERIOD RETURN(***)
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Large Cap Growth Portfolio
2/8/99-
3/31/99 $10.00 $-- 0.77 $0.77 -- -- $10.77 7.70%
Large Cap Composite Portfolio
2/8/99-
3/31/99 10.00 0.01 0.43 0.44 -- -- 10.44 4.40
Large Cap Value Portfolio
2/8/99-
3/31/99 10.00 0.02 0.19 0.21 -- -- 10.21 2.10
Mid Cap Growth Portfolio
2/8/99-
3/31/99 10.00 -- 0.46 0.46 -- -- 10.46 4.60
Mid Cap Value Portfolio
2/8/99-
3/31/99 10.00 0.02 (0.04) (0.02) -- -- 9.98 (0.20)
Small Cap Portfolio
2/8/99-
3/31/99 10.00 -- (0.09) (0.09) -- -- 9.91 (0.90)
International Equity Portfolio
2/8/99-
3/31/99 10.00 0.02 0.32 0.34 -- -- 10.34 3.40
Diversified Fixed Income Portfolio
2/8/99-
3/31/99 10.00 0.06 (0.12) (0.06) -- -- 9.94 (0.60)
Cash Management Portfolio
2/8/99-
3/31/99 10.00 0.06 -- 0.06 -- -- 10.06 0.60
<CAPTION>
- -------- ------------------------------------
RATIO OF
NET
INVESTMENT
NET INCOME TO
ASSETS RATIO OF AVERAGE
END OF EXPENSES TO NET
PERIOD PERIOD AVERAGE NET ASSETS(#/ PORTFOLIO
ENDED (000'S) ASSETS(#/+) +) TURNOVER
- --------
------------------------------------
<S> <C> <C> <C> <C>
Large Cap Growth Portfolio
2/8/99-
3/31/99 $ 14,916 1.10% 0.20% 6%
Large Cap Composite Portfolio
2/8/99-
3/31/99 11,834 1.10 0.55 8
Large Cap Value Portfolio
2/8/99-
3/31/99 13,625 1.10 1.53 5
Mid Cap Growth Portfolio
2/8/99-
3/31/99 13,887 1.15 (0.15) 5
Mid Cap Value Portfolio
2/8/99-
3/31/99 13,088 1.15 1.60 6
Small Cap Portfolio
2/8/99-
3/31/99 11,140 1.15 0.31 3
International Equity Portfolio
2/8/99-
3/31/99 13,693 1.30 1.43 7
Diversified Fixed Income Portfolio
2/8/99-
3/31/99 15,229 1.00 4.53 30
Cash Management Portfolio
2/8/99-
3/31/99 2,021 0.85 3.97 --
</TABLE>
- ----------------------------------
* Calculated based upon average shares outstanding
** After fee waivers and expense reimbursements by the investment adviser
*** Total return is not annualized and does not reflect expenses that apply to
the separate accounts of Anchor National Life Insurance Company. If such
expenses had been included, total return would have been lower.
# Annualized
+ During the period February 8, 1999 (commencement of operations) through
March 31, 1999, the investment adviser waived a portion of or all fees and
assumed a portion of or all expenses for the Portfolios. If all fees and
expenses had been incurred by the Portfolios, the ratio of expenses to
average net assets and the ratio of net investment income to average net
assets would have been as follows:
<TABLE>
<CAPTION>
NET INVESTMENT
EXPENSES # INCOME (LOSS)#
---------- --------------
<S> <C> <C>
Large Cap Growth.............. 2.12% (0.82)%
Large Cap Composite........... 2.33 (0.68)
Large Cap Value............... 2.16 0.47
Mid Cap Growth................ 2.22 (1.22)
Mid Cap Value................. 2.23 0.52
Small Cap..................... 2.46 (1.00)
International Equity.......... 3.59 (0.86)
Diversified Fixed Income...... 1.91 3.62
Cash Management............... 8.41 (3.59)
</TABLE>
See Notes to Financial Statements
----------------
201
<PAGE>
SEASONS SERIES TRUST
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Shareholders of Seasons Series Trust
In our opinion, the accompanying statement of assets and liabilities, including
the investment portfolios, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Multi-Managed Growth Portfolio,
Multi-Managed Moderate Growth Portfolio, Multi-Managed Income/ Equity Portfolio,
Multi-Managed Income Portfolio, Asset Allocation: Diversified Growth Portfolio,
Stock Portfolio, Large-Cap Growth Portfolio, Large-Cap Composite Portfolio,
Large-Cap Value Portfolio, Mid-Cap Growth Portfolio, Mid-Cap Value Portfolio,
Small Cap Portfolio, International Equity Portfolio, Diversified Fixed Income
Portfolio and Cash Management Portfolio (constituting the fifteen portfolios of
Seasons Series Trust, hereafter referred to as the "Trust") at March 31, 1999,
and the results of each of their operations, the changes in each of their net
assets and the financial highlights for each of the periods presented, in
conformity with generally accepted accounting principles. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Trust's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with generally accepted auditing standards which require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at March
31, 1999 by correspondence with the custodian and brokers, provide a reasonable
basis for the opinion expressed above.
PricewaterhouseCoopers LLP
1177 Avenue of the Americas
New York, New York
May 19, 1999
- ----------------
202
<PAGE>
- ----------------
SEASONS SERIES TRUST
SHAREHOLDERS TAX INFORMATION (UNAUDITED)
Certain tax information regarding the Seasons Series Trust is required to be
provided to the shareholders based upon each Portfolio's income and
distributions for the year ended March 31, 1999.
During the year ended March 31, 1999 the Portfolios paid the following dividends
per share along with the percentage of ordinary income dividends that qualified
for the 70% dividends received deduction for corporations:
<TABLE>
<CAPTION>
QUALIFYING % FOR
NET NET NET THE
TOTAL INVESTMENT SHORT-TERM LONG-TERM 70% DIVIDENDS
DIVIDENDS INCOME CAPITAL GAINS CAPITAL GAINS RECEIVED DEDUCTION
------------- ------------- --------------- --------------- -------------------
<S> <C> <C> <C> <C> <C>
Multi-Managed Growth Portfolio................. $ .21 $ .18 $ .03 $ -- 3.35%
Multi-Managed Moderate Growth Portfolio........ .25 .23 .02 -- 2.72
Multi-Manage Income/Equity Portfolio........... .46 .36 .05 .05 2.35
Multi-Managed Income Portfolio................. .47 .40 .04 .03 1.65
Asset Allocation: Diversified Growth
Portfolio.................................... .12 .12 -- -- 16.32
Stock Portfolio................................ .32 .02 .20 .10 14.64
Large Cap Growth Portfolio..................... -- -- -- -- --
Large Cap Composite Portfolio.................. -- -- -- -- --
Large Cap Value Portfolio...................... -- -- -- -- --
Mid Cap Growth Portfolio....................... -- -- -- -- --
Small Cap Growth Portfolio..................... -- -- -- -- --
International Equity Portfolio................. -- -- -- -- --
Diversified Fixed Income Portfolio............. -- -- -- -- --
Cash Management Portfolio...................... -- -- -- -- --
</TABLE>
----------------
203
<PAGE>
INDIVIDUAL PORTFOLIO REVIEWS
To help you better understand the investment management of your
SEASONS AND SEASONS SELECT VARIABLE ANNUITY, we have included on
the following pages investment comments regarding the 15 investment
portfolios of the Seasons Series Trust, the underlying investments
of your SEASONS AND SEASONS SELECT VARIABLE ANNUITY. Each SEASONS
STRATEGY invests in a different allocation of these underlying
portfolios (not all portfolios are included in each STRATEGY):
1. Multi-Managed Growth Portfolio
2. Multi-Managed Moderate Growth Portfolio
3. Multi-Managed Income/Equity Portfolio
4. Multi-Managed Income Portfolio
5. Asset Allocation: Diversified Growth Portfolio
6. Stock Portfolio
SEASONS SELECT PORTFOLIOS
7. Large Cap Growth Portfolio
8. Large Cap Composite Portfolio
9. Large Cap Value Portfolio
10. Mid Cap Growth Portfolio
11. Mid Cap Value Portfolio
12. Small Cap Portfolio
13. International Equity Portfolio
14. Diversified Fixed Income Portfolio
15. Cash Management Portfolio
Asset allocations for each STRATEGY, as shown in your SEASONS
prospectus, represent a "neutral asset allocation mix"; actual
allocations may vary based on performance and the money managers'
evaluation of market conditions. For more information on the
composition of the SEASONS STRATEGIES as well as their underlying
portfolios, please refer to your SEASONS prospectus.
Seasons Select Portfolios are two-thirds actively managed,
one-third passively managed. The one-third passive management is
designed to replicate the performance of the appropriate index.
Each of the remaining thirds is actively managed by experts who
bring their knowledge and experience to the security selection and
asset allocation processes.
In the following pages, we have also included graphs that compare
the portfolio's performance with certain market indices. These
graphs show the hypothetical growth of a $10,000 investment in the
Seasons Series Trust portfolio versus the same $10,000 investment
in comparable market indices, from the portfolio's inception date
through March 31, 1999. Descriptions of these market indices are
provided next to the individual graphs.
PLEASE NOTE THAT THE GRAPHS AND TABLES THAT ACCOMPANY THE FOLLOWING
INVESTMENT COMMENTS SHOW THE PERFORMANCE OF THE PORTFOLIOS AT THE
SEASONS SERIES TRUST LEVEL AND INCLUDE ALL TRUST EXPENSES, BUT NO
INSURANCE COMPANY EXPENSES ASSOCIATED WITH THE VARIABLE ANNUITY AND
NO CONTINGENT DEFERRED SALES CHARGE. ALL DIVIDENDS ARE ASSUMED TO
BE REINVESTED. NO EXPENSES ARE DEDUCTED FROM THE PERFORMANCE OF THE
INDICES.
- ----------------
204
<PAGE>
MULTI-MANAGED GROWTH PORTFOLIO
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: Long-term growth of capital
PORTFOLIO MANAGERS: SunAmerica Asset Management Corp.
Janus Capital Corporation
Wellington Management Company, LLP
Managed Components: Aggressive Growth, Growth, Balanced, and Fixed Income
</TABLE>
GROWTH OF A $10,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MULTI-MANAGED BLENDED S&P 500 LEHMAN BROTHERS
<S> <C> <C> <C> <C>
Growth Portfolio Benchmark Index Index Aggregate Index
4/15/97 $10,000 $10,000 $10,000 $10,000
4/97 $10,180 $10,357 $10,618 $10,106
6/97 $10,990 $11,317 $11,769 $10,324
9/97 $12,100 $12,193 $12,652 $10,667
12/97 $11,947 $12,393 $13,016 $10,981
3/98 $13,155 $13,573 $14,831 $11,150
6/98 13,810 $13,763 $15,321 $11,411
9/98 12,950 $12,675 $13,797 $11,893
12/98 15,705 $14,450 $16,735 $11,934
3/99 17,887 $14,640 $17,569 $11,874
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------
MULTI-MANAGED GROWTH PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 3/31/99
- ----------------------------------
<S> <C>
1-Year 35.98%
Since Inception (4/15/97) 34.51%
- ----------------------------------
</TABLE>
The Blended Benchmark Index consists of 51% Standard & Poor's Composite Index of
500 Stocks (S&P 500 Index), 27% Lehman Brothers Aggregate Index, 20% Russell
2000 Index, and 2% Treasury Bills. The S&P 500 Index tracks the performance of
500 stocks representing a sampling of the largest foreign and domestic stocks
traded publicly in the United States. The Lehman Brothers Aggregate Index
provides a broad view of the performance of the U.S. fixed income market. The
Russell 2000 Index comprises the smallest 2000 companies in the Russell 3000
Index and is widely recognized as representative of small-cap growth stocks.
Treasury bills are short-term securities with maturities of one year or less
issued by the U.S. government.
PERFORMANCE REVIEW
The Portfolio returned 35.98% over the 12-month period ended March 31, 1999,
versus a return of 7.86% for its blended benchmark return and well ahead of the
18.46% for the S&P 500 Index.
A strong year for large-cap U.S. growth and technology stocks contained in both
the Growth and Balanced components of the Portfolio had a significantly positive
impact on overall performance. Two standout performers for the Growth component
were Internet pioneers AMERICA ONLINE and AMAZON.COM. Other strong contributors
in the Growth component's technology holdings were NOKIA in the wireless
equipment market, as well as TIME WARNER and COMCAST in the cable sector.
In the Balanced component, the dominant investment themes were both quality and
growth. During the period, SunAmerica Asset Management increased exposure to
select healthcare and technology positions, which aided overall performance.
Recent portfolio increases have been in the telecommunications and media
sectors, as SunAmerica Asset Management believes these two industries are going
to benefit from synergistic opportunities in the near future.
Performance of small-cap stocks was highly concentrated in particular industry
groups and was dominated by the market leaders in these sectors. The Aggressive
Growth component, which focuses on these smaller company stocks, was subject to
this focused market leadership and lagged the overall market. Despite mixed
stock performance in consumer cyclicals, healthcare, and financial sectors, the
Portfolio experienced very strong gains in the technology sector, especially
among the Fund's Internet positions.
In the Fixed Income component, Wellington was able to deliver strong performance
despite their high-yield bond exposure and underweight position in Treasuries.
These strategies hurt performance during the flight-to-quality in the summer and
early fall as investors poured money into U.S. Treasuries. However, positions in
high-yield securities provided strong relative performance over the past two
quarters. Overall, Wellington was able to outperform the Lehman Brothers
Government/Corporate Bond Index benchmark for the 1-year period due to holdings
in longer-maturity bonds, which appreciated when interest rates fell.
The Multi-Managed Growth Portfolio team believes that a moderate growth, low
inflationary environment will continue. A solid economic backdrop, liquidity,
and moderate corporate earnings growth will be the driving force behind equity
market advancement. However, volatility may continue. The dynamics of this
period continue to change, but the basic underpinnings of the market remain
intact. One area of concern, based on current valuations, is Internet stocks,
where the management team remains cautious.
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<PAGE>
MULTI-MANAGED MODERATE GROWTH PORTFOLIO
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: Long-term growth, with capital preservation as a secondary objective
PORTFOLIO MANAGERS: SunAmerica Asset Management Corp.
Janus Capital Corporation
Wellington Management Company, LLP
Managed Components: Aggressive Growth, Growth, Balanced, and Fixed Income
</TABLE>
GROWTH OF A $10,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MULTI-MANAGED MODERATE BLENDED S&P 500 LEHMAN BROTHERS
<S> <C> <C> <C> <C>
Growth Portfolio Benchmark Index Index Aggregate Index
4/15/97 $10,000 $10,000 $10,000 $10,000
4/97 $10,160 $10,291 $10,618 $10,106
6/97 $10,890 $11,099 $11,769 $10,324
9/97 $11,830 $11,871 $12,652 $10,667
12/97 $11,753 $12,083 $13,016 $10,981
3/98 $12,686 $13,016 $14,831 $11,150
6/98 $13,199 $13,201 $15,321 $11,411
9/98 $12,645 $12,469 $13,797 $11,893
12/98 $14,699 $13,827 $16,735 $11,934
3/99 $16,204 $13,925 $17,569 $11,874
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------
MULTI-MANAGED MODERATE GROWTH PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 3/31/99
- ----------------------------------
<S> <C>
1-Year 27.73%
Since Inception (4/15/97) 27.90%
- ----------------------------------
</TABLE>
The Blended Benchmark Index consists of 37.9% Standard & Poor's Composite Index
of 500 Stocks (S&P 500 Index), 42.3% Lehman Brothers Aggregate Index, 18.0%
Russell 2000 Index, and 1.8% Treasury Bills. The S&P 500 Index tracks the
performance of 500 stocks representing a sampling of the largest foreign and
domestic stocks traded publicly in the United States. The Lehman Brothers
Aggregate Index provides a broad view of the performance of the U.S. fixed
income market. The Russell 2000 Index comprises the smallest 2000 companies in
the Russell 3000 Index and is widely recognized as representative of small-cap
growth stocks. Treasury bills are short-term securities with maturities of one
year or less issued by the U.S. government.
PERFORMANCE REVIEW
The Portfolio returned 27.73% over the 12-month period ended March 31, 1999,
versus a return of 6.99% for its blended benchmark return and ahead of the
18.46% return for the S&P 500 index.
The Aggressive Growth component, which focuses on smaller-company stocks,
experienced choppy performance where only a select group of stocks had positive
performance -- making stock selection very important. Many holdings declined in
value as a select few advanced. The Portfolio experienced very strong gains in
the technology sector, especially among its Internet positions. Along with these
gains, the recent rebound of oil services stocks and the communications services
sector, aided overall performance. Market leadership was concentrated in
large-cap growth and technology stocks. Holdings of these firms in both the
Growth and Balanced components had a significantly positive impact on the
Portfolio's performance. Two standout performers for the Growth component were
Internet pioneers AMERICA ONLINE and AMAZON.COM. In the Balanced component, the
dominant investment theme was quality and growth. During the period, SunAmerica
Asset Management increased exposure to select healthcare and technology
positions, as prospects for both remain positive.
In the Fixed Income component, strong performance was delivered despite the
high-yield bond exposure and underweighted position in Treasuries. High-yield
bonds underperformed all other fixed-income classes during the first six months
of the period as investors flocked to high-quality issues. Positions in
government bonds, although underweighted, provided strong overall performance.
Wellington was able to outperform the Lehman Brothers Government/Corporate Bond
Index benchmark for the one-year period due to holdings in longer-duration bonds
when interest rates fell.
SunAmerica Asset Management's strategy for the remainder of 1999 is to continue
to find companies with above average revenue and earnings growth. The
Multi-Managed Moderate Growth Portfolio team believes that we will remain in a
moderate growth, low inflationary environment. A solid economic backdrop,
liquidity, and moderate corporate earnings growth will continue to be the
driving force of the market and higher prices may follow. Markets may be
volatile. Strong fundamentals have been the foundation for the market advance,
although we are cautious with current valuations of some Internet stocks.
- ----------------
206
<PAGE>
MULTI-MANAGED INCOME/EQUITY PORTFOLIO
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: Capital preservation, while maintaining some potential for long-term growth
PORTFOLIO MANAGERS: SunAmerica Asset Management Corp.
Janus Capital Corporation
Wellington Management Company, LLP
Managed Components: Growth, Balanced, and Fixed Income
</TABLE>
GROWTH OF A $10,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MULTI-MANAGED BLENDED S&P 500 LEHMAN BROTHERS
<S> <C> <C> <C> <C>
Income/Equity Portfolio Benchmark Index Index Aggregate Index
4/15/97 $10,000 $10,000 $10,000 $10,000
4/97 $10,180 $10,275 $10,618 $10,106
6/97 $10,590 $10,787 $11,769 $10,324
9/97 $11,200 $11,295 $12,652 $10,667
12/97 $11,411 $11,625 $13,016 $10,981
3/98 $12,110 $12,277 $14,831 $11,150
6/98 $12,531 $12,602 $15,321 $11,411
9/98 $12,592 $12,542 $13,797 $11,893
12/98 $13,594 $13,429 $16,735 $11,934
3/99 $14,201 $13,614 $17,569 $11,874
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------
MULTI-MANAGED INCOME/EQUITY PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 3/31/99
- ----------------------------------
<S> <C>
1-Year 17.27%
Since Inception (4/15/97) 19.58%
- ----------------------------------
</TABLE>
The Blended Benchmark Index consists of 33.4% Standard & Poor's Composite Index
of 500 Stocks (S&P 500 Index), 63.8% Lehman Brothers Aggregate Index, and 2.8%
Treasury Bills. The S&P 500 Index tracks the performance of 500 stocks
representing a sampling of the largest foreign and domestic stocks traded
publicly in the United States. The Lehman Brothers Aggregate Index provides a
broad view of the performance of the U.S. fixed income market. Treasury bills
are short-term securities with maturities of one year or less issued by the U.S.
government.
PERFORMANCE REVIEW
The Portfolio returned 17.27% over the 12-month period ended March 31, 1999,
versus a return of 10.89% for its blended benchmark, 18.46% for the S&P 500
Index, and 6.50% for the Lehman Brothers Aggregate Bond Index.
The Growth and Balanced components had a significantly positive impact on the
overall performance of the Portfolio. With the strength found in large-cap
domestic growth and technology stocks, Internet pioneers AMERICA ONLINE and
AMAZON.COM contributed stellar results. The Balanced component remained focused
on quality and growth. In turn, SunAmerica Asset Management increased exposure
to select healthcare and technology positions.
Fixed Income assets reported positive results over the past 12 months. Because
bond prices move in the opposite direction of interest rates, Wellington
benefited from a slightly long duration during the decline in rates throughout
the summer. Treasury yields fell as a flight-to-quality stemmed from uncertainty
in global markets; because of this, government bonds ended the period as the
strongest performing fixed-income asset class. Positions in high-yield bonds
performed poorly as investors indiscriminately sold them during the second and
third quarters of 1998. This trend reversed and the high-yield sector assumed
fixed-income market leadership in recent months.
The Multi-Managed Income/Equity Portfolio team believes that we remain in a
moderate growth, low inflationary environment. A solid economic backdrop,
liquidity, and moderate corporate earnings growth will continue to be the
driving force of the market and higher prices are ahead. Volatility, however,
should continue. The dynamics of this period continue to change, but the basic
foundation of this market remains intact.
----------------
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<PAGE>
MULTI-MANAGED INCOME PORTFOLIO
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: Capital preservation
PORTFOLIO MANAGERS: SunAmerica Asset Management Corp.
Janus Capital Corporation
Wellington Management Company, LLP
Managed Components: Growth, Balanced, and Fixed Income
</TABLE>
GROWTH OF A $10,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MULTI-MANAGED BLENDED S&P 500 LEHMAN BROTHERS
<S> <C> <C> <C> <C>
Income Portfolio Benchmark Index Index Aggregate Index
4/15/97 $10,000 $10,000 $10,000 $10,000
4/97 $10,160 $10,193 $10,618 $10,106
6/97 $10,510 $10,563 $11,769 $10,324
9/97 $10,980 $10,989 $12,652 $10,667
12/97 $11,236 $11,312 $13,016 $10,981
3/98 $11,681 $11,724 $14,831 $11,150
6/98 $12,012 $12,017 $15,321 $11,411
9/98 $12,260 $12,232 $13,797 $11,893
12/98 $12,762 $12,697 $16,735 $11,934
3/99 $12,988 $12,758 $17,569 $11,874
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------
MULTI-MANAGED INCOME PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 3/31/99
- ----------------------------------
<S> <C>
1-Year 11.19%
Since Inception (4/15/97) 14.26%
- ----------------------------------
</TABLE>
The Blended Benchmark Index consists of 17.35% Standard & Poor's Composite Index
of 500 Stocks (S&P 500 Index), 80.95% Lehman Brothers Aggregate Index, and 1.70%
Treasury Bills. The S&P 500 Index tracks the performance of 500 stocks
representing a sampling of the largest foreign and domestic stocks traded
publicly in the United States. The Lehman Brothers Aggregate Index provides a
broad view of the performance of the U.S. fixed income market. Treasury bills
are short-term securities with maturities of one year or less issued by the U.S.
government.
PERFORMANCE REVIEW
The Portfolio returned 11.19% over the 12-month period through March 31, 1999,
versus a return of 8.82% for its blended benchmark. In comparison, the Lehman
Brothers Aggregate Index gained 6.50% for the period. With over 75% of the
portfolio's assets in bonds, the Fixed Income component was the driving force
behind portfolio performance.
Despite the Fixed Income component's high yield exposure and the underweight
position in Treasuries which hurt the performance during the flight-to-quality
in the summer and early fall, the component was able to provide competitive
performance for the one-year period due to a slightly longer duration stance
while rates fell. As of March 31, 1999 the Fixed Income component's effective
duration was 5.57 years, vs. the 5.55 years effective duration of the Lehman
Brothers Government/Corporate Bond Index. The Fixed Income component was
invested as follows on March 31, 1999: 37% in US Treasuries and Agencies, 30% in
investment-grade corporate issues, 20% in mortgage-backed securities, 10% in
high yield, 0% in non-U.S.$ denominated securities, and 3% in cash and
equivalents. Although there are no non-dollar bonds in the Fixed Income
component as of March 31, 1999, the volatile world financial conditions are
likely to provide some good entry points in the near future.
A strong year for U.S. large-cap growth and technology stocks contained in both
the Growth and Balanced components had a positive impact on the portfolio's
performance. Two standout performers for the Growth component were Internet
pioneers AMERICA ONLINE and AMAZON.COM. Other strong contributors in the Growth
component's technology holdings were NOKIA in the wireless equipment market as
well as TIME WARNER and COMCAST in the cable sector. Regarding the Balanced
component, the dominant investment theme was quality and growth. During the
period, SunAmerica Asset Management increased their exposure to select
healthcare and technology positions.
- ----------------
208
<PAGE>
ASSET ALLOCATION: DIVERSIFIED GROWTH PORTFOLIO
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: Capital appreciation
PORTFOLIO MANAGER: Putnam Investment Management, Inc.
</TABLE>
GROWTH OF A $10,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
ASSET ALLOCATION: BLENDED S&P 500 LEHMAN BROTHERS
<S> <C> <C> <C> <C>
Diversified Growth Portfolio Benchmark Index Index Aggregate Index
4/15/97 $10,000 $10,000 $10,000 $10,000
4/97 $10,180 $10,470 $10,618 $10,106
6/97 $10,900 $11,453 $11,769 $10,324
9/97 $11,610 $12,033 $12,652 $10,667
12/97 $11,240 $12,122 $13,016 $10,981
3/98 $12,009 $13,527 $14,831 $11,150
6/98 $12,234 $13,891 $15,321 $11,411
9/98 $11,035 $12,796 $13,797 $11,893
12/98 $12,750 $14,946 $16,735 $11,934
3/99 $13,092 $15,422 $17,569 $11,874
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------
ASSET ALLOCATION: DIVERSIFIED GROWTH PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 3/31/99
- ----------------------------------
<S> <C>
1-Year 9.02%
Since Inception (4/15/97) 14.72%
- ----------------------------------
</TABLE>
The Blended Benchmark Index consists of 60% Standard & Poor's Composite Index of
500 Stocks (S&P 500 Index), 20% Lehman Brothers Aggregate Index, and 20% Morgan
Stanley Capital International Europe, Australia and Far East (MSCI EAFE) Index.
The S&P 500 Index tracks the performance of 500 stocks representing a sampling
of the largest foreign and domestic stocks traded publicly in the United States.
The Lehman Brothers Aggregate Index provides a broad view of the performance of
the U.S. fixed income market. The MSCI EAFE Index represents the foreign stocks
of 19 countries in Europe, Australia and the Far East.
PERFORMANCE REVIEW
For the 12-months ended March 31, 1999, the Seasons Series Trust Asset
Allocation: Diversified Growth Portfolio returned 9.02%, lagging its blended
benchmark, which rose 13.94%. The primary reason for the underperformance was
the Portfolio's large holdings of U.S. VALUE equities, which did not perform as
well as U.S. GROWTH equities. The disparity between value and growth in 1998 was
one of the largest on record as large-cap growth stocks dominated market
performance. The Portfolio now includes a large-cap growth component, which
should aid performance moving forward.
Putnam's models now favor bonds relative to equities. According to Putnam, U.S.
equities appear vulnerable as rising interest rates and lofty valuations
diminish the outlook for 1999. Putnam is over-weighting U.S. large-cap equities
versus small-cap equities and over-weighting European equities versus U.S.
equities. They are also moving towards an overweighted allocation in U.S. bonds
based on their favorable value relative to equities.
----------------
209
<PAGE>
STOCK PORTFOLIO
<TABLE>
<S> <C>
INVESTMENT OBJECTIVE: Long-term capital appreciation with a secondary goal to increase dividend income
through investments in growth-oriented companies
PORTFOLIO MANAGER: T. Rowe Price Associates, Inc.
</TABLE>
GROWTH OF A $10,000 INVESTMENT
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
STOCK PORTFOLIO S&P 500 INDEX
<S> <C> <C>
4/15/97 $10,000 $10,000
4/97 $10,440 $10,618
6/97 $11,700 $11,769
9/97 $12,540 $12,652
12/97 $12,893 $13,016
3/98 $14,859 $14,831
6/98 $15,052 $15,321
9/98 $13,359 $13,797
12/98 $16,404 $16,735
3/99 $16,798 $17,569
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------
STOCK PORTFOLIO
AVERAGE ANNUAL TOTAL RETURNS AS OF 3/31/99
- ----------------------------------
<S> <C>
1-Year 13.05%
Since Inception (4/15/97) 30.27%
- ----------------------------------
</TABLE>
The Standard & Poor's Composite Index of 500 Stocks (S&P 500 Index) tracks the
performance of 500 stocks representing a sampling of the largest foreign and
domestic stocks traded publicly in the United States.
PERFORMANCE REVIEW
The Seasons Series Trust Stock Portfolio gained 13.05% during the 12-month
period ending March 31, 1999, trailing the S&P 500 Index, which returned 18.46%.
Over the past year, the strong performance of the S&P 500 Index was driven by a
handful of the largest stocks in the Index, particularly technology stocks.
Although the Portfolio enjoyed stellar results with stocks such as MCI WORLDCOM,
MICROSOFT, AMERICA ONLINE, and WAL-MART, diversification in stocks other than
the largest growth stocks restrained performance during the period. The
performance of financial stocks was mixed over the past year, as many firms were
impacted by concerns about the global economy and financial markets worldwide.
Key holdings such as CITIGROUP and WELLS FARGO hurt performance. However, T.
Rowe Price was able to add MORGAN STANLEY DEAN WITTER to the portfolio near its
1998 low and benefited from the firm's powerful rebound. Internationally, an
over-weighting in Europe and an under-weighting in Japan, where we continue to
be cautious, hurt results relative to the bellwether international index -- MSCI
EAFE.
Looking forward, T. Rowe Price believes the domestic stock market could
experience increasing volatility as the year progresses, and that returns this
year will be more in line with historical averages.
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210
<PAGE>
LARGE CAP GROWTH PORTFOLIO
PERFORMANCE REVIEW
From its inception date of February 8, 1999 through March 31, 1999, the Large
Cap Growth Portfolio returned 7.70% versus the S&P 500/BARRA Growth Index return
of 5.56%.
The strongest industry sectors during the reporting period were technology,
telecommunications, and cable industries. As an example, NOKIA, the wireless
communications company, performed well, supported by continued growth of
cellular subscribers on a worldwide basis and by new product introductions in
handsets and in base station infrastructure equipment. Internet positions, such
as AMAZON.COM, @HOME, and AMERICA ONLINE, also performed well. In the cable
area, UNITED INTERNATIONAL HOLDINGS, which owns a number of cable systems in
Europe, Latin America, and Australia, experienced the most dramatic price move.
Detractors from performance were found in the consumer staples and financial
sector. Positions in consumer staples will be held as they maintain strong
business franchises, dominant market positions, and sustainable growth rates.
The Portfolio will hold financial stocks because the management team believes
that the sector should benefit from the strong performance of the U.S. economy.
LARGE CAP COMPOSITE PORTFOLIO
PERFORMANCE REVIEW
From its inception date of February 8, 1999 through March 31, 1999, the Large
Cap Composite Portfolio returned 4.40% versus the S&P 500 Index return of 4.01%.
Technology and financial companies were two of the strongest sectors during the
reporting period. Representative companies in these sectors include IBM, MCI
WORLDCOM, and CITIGROUP.
Given the potential for a slowdown in economic growth during the second half of
the year, there is a possibility of a correction in the small group of stocks
that have powered a significant portion of the performance of large-cap stocks
as a whole. Many of the stocks in the Portfolio are attractively priced, and the
management team believes these holdings could benefit from the type of economic
environment forecasted in the coming months.
----------------
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<PAGE>
LARGE CAP VALUE PORTFOLIO
PERFORMANCE REVIEW
From its inception date of February 8, 1999 through March 31, 1999, the Large
Cap Value Portfolio returned 2.10% versus the S&P 500/BARRA Value Index return
of 2.26%.
Some of the strongest contributors during the reporting period were
energy-related companies, with BAKER HUGHES, UNOCAL and UNION PACIFIC RESOURCES
among the top performers. Outside of energy, other stocks showing notable
strength were FIRST DATA, CITIGROUP, and GENERAL MOTORS. Some of the weaker
performers included OLIN, R.R. DONNELLEY, SOUTHERN COMPANY, and TENET
HEALTHCARE.
Value portfolios, in general, have been hampered for some time now as market
participants continue to bid up prices of high-flying technology stocks, and in
particular Internet-related stocks. At some point there may be a correction in
many of these shares, and value portfolios should provide a measure of
protection for conservative long-term investors. At times like this it helps to
keep in mind that the primary objective of value portfolios is to generate
appealing returns over time through a combination of capital appreciation and
dividend income.
Fundamentally, the portfolio management team continues to focus on the core
business characteristics that provide a foundation for long-term growth, such as
strength of franchise, quality of management, and free cash flow, along with
favorable demographic trends. The portfolio managers continue to be enthusiastic
about the business fundamentals of the companies they own as well as current
themes, such as cable, telecommunications, pharmaceuticals, and the Internet.
Looking ahead, the narrow character of the stock market's advance i.e.,
performance being led by a relatively small number of companies, and the modest
rise in interest rates seen over the last quarter are cause for concern. But the
resilience of the U.S. economy, coupled with the absence of inflation, and the
outstanding opportunities from many of the companies in which the managers have
invested, supports a positive outlook for the Portfolio.
MID CAP GROWTH PORTFOLIO
PERFORMANCE REVIEW
From its inception date of February 8, 1999 through March 31, 1999, the Mid Cap
Growth Portfolio returned 4.60% versus the Russell Midcap Growth Index return of
7.17%.
Among industry categories, technology and consumer cyclicals produced some of
the best results, while most industrial and utility areas saw price declines.
Some of the top contributors to the Portfolio included: ECHOSTAR COMMUNICATION,
CHARLES SCHWAB, CIRCUIT CITY STORES, INTERMEDIA COMMUNICATIONS and SANTA FE
INTERNATIONAL. Some of the largest detractors to performance were found in the
computer services and software sector, NETWORK ASSOCIATES and COMPUWARE.
The U.S. economy continues to provide a positive backdrop for the equity market
and the portfolio managers continue to seek companies that have the best
prospects for capital appreciation over the long term.
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212
<PAGE>
MID CAP VALUE PORTFOLIO
PERFORMANCE REVIEW
From its inception date of February 8, 1999 through March 31, 1999, the Mid Cap
Value Portfolio returned -0.20% versus the Russell Midcap Value Index return of
2.60%.
Energy related stocks were among the strongest performers during the reporting
period, for example, VALERO ENERGY CORP and KERR MCGEE provided strong results.
The stocks of companies in healthcare services and electric utilities were weak
during the period.
Currently, mid-cap stocks are selling at very attractive prices (based on
price-to-earnings ratios) relative to large-cap holdings. This creates strong
investment opportunities for the portfolio management team. They remain focused
on the long term and believe that once short-term issues are resolved and cycles
turn, or corporate actions become evident and acknowledged by the broader Wall
Street community, value investments will generate solid returns for investors.
SMALL CAP PORTFOLIO
PERFORMANCE REVIEW
From its inception date of February 8, 1999 through March 31, 1999, the Small
Cap Portfolio returned -0.90%, beating the benchmark Russell 2000 Index return
of -3.38%.
Despite strong performance in January, small-cap stocks retreated in February
and suffered from unusually high price volatility in March. Anticipated earnings
disappointments also hurt small-company stock prices. As a result, investors
continued to look for superior, earnings-driven, large-company stocks for growth
potential.
Areas of emphasis in the Portfolio include technology, the "new media" companies
of the Internet, telecommunications services, consumer cyclicals, oil services,
and a small position in healthcare.
Looking ahead, the managers believe that a solid U.S. economy and an anticipated
global economic expansion provide a favorable background for earnings growth
among smaller companies. This could create a very attractive environment for
small-cap stocks. The managers are closely watching valuation and volatility
levels and expect that bottom-up stock picking and diversification will be the
key to generating performance for the Portfolio.
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<PAGE>
INTERNATIONAL EQUITY PORTFOLIO
PERFORMANCE REVIEW
From its inception date of February 8, 1999 through March 31, 1999, the
International Equity Portfolio returned 3.40% versus the MSCI EAFE Index return
of 2.71%.
International markets displayed mixed results during the reporting period. Japan
and the Far Eastern emerging markets rose significantly during the first quarter
of 1999. Near the end of the quarter, this global recovery spread to South
America as well. Japan's impressive gains can be attributed to improved investor
sentiment after authorities gave their financial support to the restructuring of
the banking sector. In addition, strong gains were generated in positions in
Germany, as well as many U.K. holdings. Overall, performance was weaker in
European and Canadian companies, where markets contracted over the period.
Ongoing corporate cost cutting programs, recent weakness in the Euro (which
makes European exports more attractive), and a pace of economic growth exceeding
2% may also help to support stronger performance in the European equity markets.
Prospects for Japan are mixed, and the portfolio management team remains
cautious due to concerns of continuing economic recession.
DIVERSIFIED FIXED INCOME PORTFOLIO
PERFORMANCE REVIEW
From its inception date of February 8, 1999 through March 31, 1999, the
Diversified Fixed Income Portfolio returned -0.6% during the reporting period
versus the Lehman Brothers Govt/Corporate Bond Index return of -0.46%.
Interest rates rose modestly during the reporting period, which had a slightly
negative effect on the return of U.S. Treasury issues. High yield securities,
representing a relatively small portion of the Portfolio, helped to offset this
interest rate movement and provided a positive return.
A couple of sectors -- corporate bonds and mortgages -- continue to provide very
good value despite the recent narrowing of yield spreads over Treasuries.
Returns should be enhanced by the incremental income that can be earned over
time (due to the yield spread over Treasuries) and by any narrowing of yield
spreads between these sectors and Treasuries (providing an appreciation in the
market price of the bonds). As yield spreads contract, Treasury positions may be
increased, given the attractive relative valuations.
CASH MANAGEMENT PORTFOLIO
PERFORMANCE REVIEW
From its inception date of February 8, 1999 through March 31, 1999, the Cash
Management Portfolio returned 0.60% during the reporting period versus the
Lipper Money Market Instrument Average return of 0.63%.
Projected slower growth, specifically in consumer spending, along with a
continued inflation-friendly environment, should enable the Federal Reserve to
refrain from raising short-term interest rates in the foreseeable future. The
portfolio manager expects to maintain the average days to maturity equal to or
slightly longer than industry averages, unless signs of inflation begin to
emerge.
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214
<PAGE>
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SEASONS SERIES TRUST
SHAREHOLDER INFORMATION (UNAUDITED)
SUPPLEMENTAL PROXY INFORMATION: A Special Meeting of the Shareholders of the
Seasons Series Trust Portfolio's was held on December 30, 1998. Each of the
applicable Portfolios voted in favor of adopting the following proposals,
therefore, the results are aggregated for the Portfolio unless otherwise
specified.
1. To elect a slate of four members to the Board of Trustees to hold office
until their successors are duly elected and qualified.
<TABLE>
<CAPTION>
VOTES IN VOTES
FAVOR OF ABSTAINED
------------ ----------
<S> <C> <C>
James K. Hunt............................................................. 14,087,333 325,539
Monica C. Lozano.......................................................... 14,087,333 325,539
Allan L. Sher............................................................. 14,087,333 325,539
William M. Wardlaw........................................................ 14,087,333 325,539
</TABLE>
2. To approve a new investment advisory and management agreement between Seasons
Series Trust, on behalf of each separate investment Portfolio thereof and
SunAmerica Asset Management Corp. ("SAAMCo"), the terms of which are
identical in all material respects to the existing investment advisory and
management agreement.
<TABLE>
<CAPTION>
VOTES IN VOTES VOTES
FAVOR OF AGAINST ABSTAINED
- ------------ --------- ----------
<S> <C> <C>
13,642,196 243,993 526,679
</TABLE>
3. To approve a new subadvisory agreement, the terms of which are identical in
all material respects to the existing subadvisory agreement between:
(a) SAAMCo and Janus Capital Corporation (Multi-Managed Growth, Multi-Managed
Moderate Growth, Multi-Managed Income/Equity and Multi-Managed Income
Portfolios Only).
<TABLE>
<CAPTION>
VOTES IN VOTES VOTES
FAVOR OF AGAINST ABSTAINED
- ------------ --------- ----------
<S> <C> <C>
13,510,552 238,824 663,494
</TABLE>
(b) SAAMCo and Wellington Management Company, LLP (Multi-Managed Growth,
Multi-Managed Moderate Growth, Multi-Managed Income/Equity and
Multi-Managed Income Portfolios Only).
<TABLE>
<CAPTION>
VOTES IN VOTES VOTES
FAVOR OF AGAINST ABSTAINED
- ------------ --------- ----------
<S> <C> <C>
13,384,266 341,063 687,539
</TABLE>
(c) SAAMCo and T. Rowe Price Associates, Inc. (Stock Portfolio Only).
<TABLE>
<CAPTION>
VOTES IN VOTES VOTES
FAVOR OF AGAINST ABSTAINED
- ------------ --------- ----------
<S> <C> <C>
13,441,457 249,047 722,366
</TABLE>
(d) SAAMCo and Putnam Investment Management, Inc. (Asset Allocation:
Diversified Growth Portfolio Only).
<TABLE>
<CAPTION>
VOTES IN VOTES VOTES
FAVOR OF AGAINST ABSTAINED
- ------------ --------- ----------
<S> <C> <C>
13,421,588 297,263 694,019
</TABLE>
4. To approve changing the fundamental investment restriction relating to:
(a) the ability to engage in borrowing transactions.
<TABLE>
<CAPTION>
VOTES IN VOTES VOTES
FAVOR OF AGAINST ABSTAINED
- ------------ --------- ----------
<S> <C> <C>
12,911,134 744,207 757,531
</TABLE>
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215
<PAGE>
(b) the ability to engage in lending transactions.
<TABLE>
<CAPTION>
VOTES IN VOTES VOTES
FAVOR OF AGAINST ABSTAINED
- ------------ --------- ----------
<S> <C> <C>
13,004,822 759,833 648,214
</TABLE>
5. To ratify the selection of independent accountants.
<TABLE>
<CAPTION>
VOTES IN VOTES VOTES
FAVOR OF AGAINST ABSTAINED
- ------------ --------- ----------
<S> <C> <C>
13,562,704 268,499 581,665
</TABLE>
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216
<PAGE>
J-1906-AR (R 5/99)
