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SEASONS SERIES TRUST
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SEMIANNUAL REPORT
SEPTEMBER 30, 2000
[LOGO]
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DEAR INVESTOR:
The following semiannual report for the SEASONS SERIES TRUST, the underlying
investment for the SEASONS SELECT VARIABLE ANNUITY issued by Anchor National
Life Insurance Company, summarizes the economic and financial markets for the
six-month period ended September 30, 2000. The report also provides global and
domestic outlooks and insight from the SEASONS SELECT world-class portfolio
managers and management firms.
GLOBAL MARKET OVERVIEW
Global equity markets were generally negative during the period. Market activity
was affected by several factors: growing evidence of a U.S. and global economic
slowdown, rising global interest rates, rapidly rising oil prices and weaker
currencies around the globe. This was especially true in Europe where the
effects of these forces, including a significantly weaker euro (in dollar
terms), worsened the outlook on inflation for the euro-region. Returns were
lower in U.S. dollar terms as the dollar strengthened significantly throughout
the period. Forecasts for global growth potential remain positive however, and
select companies and regions have strong outlooks.
Goldman Sachs Asset Management
"WE CONTINUE TO BELIEVE IN THE PROSPECT OF STRONG LONG-TERM RETURNS FROM
INTERNATIONAL EQUITIES, DESPITE THE NEAR-TERM BACKDROP OF SLOWING GLOBAL
GROWTH. ALTHOUGH RECENT ECONOMIC DATA CONTINUES TO INDICATE A DAMPENING OF
GLOBAL DEMAND, WE VIEW THIS AS A RETURN TO TREND GROWTH FROM A HIGH BASE."
Putnam Investment Management
"WITHIN INTERNATIONAL EQUITY, WE BELIEVE THAT EUROPE WILL CONTINUE TO
EXPERIENCE STEADY ECONOMIC GROWTH. THE MARKETS OF FRANCE AND THE NETHERLANDS
ARE AMONG OUR FAVORITES. WE ARE LESS POSITIVE ON THE ECONOMIC OUTLOOK FOR
SPAIN AND IRELAND."
Lord, Abbett & Co.
"WE BELIEVE THAT INDICATIONS SUGGEST THAT THE EURO HAS REACHED ITS LOW AND
WILL LIKELY BEGIN TO APPRECIATE OVER THE NEXT YEAR. WE REMAIN CAUTIOUS
REGARDING THE STOCKS OF MOST JAPANESE AND FAR EAST COMPANIES, BECAUSE THEY
ARE, IN OUR OPINION, FULLY VALUED IN TERMS OF THEIR ECONOMIC AND CORPORATE
EARNINGS GROWTH PROSPECTS."
U.S. EQUITY MARKET OVERVIEW
The period began with a continuation of the sharp correction in technology
stocks that began early in the year. The sell-off gained momentum in April and
May as inflation, interest rate concerns and profit selling mounted, leaving the
Nasdaq Composite Index significantly off its early March high before bottoming
in late May. Economic data suggesting the U.S. economy was finally slowing from
its breakneck pace began appearing in early summer, a fact that helped put many
investors' fears of inflation and higher interest rates to rest and allowed
markets to recover some of the ground lost during the first three months of the
period. Still, the difficulties that have plagued technology and growth stocks
throughout the year continued to make their presence felt, and most major
indices closed the period in negative territory. In part, much of this
volatility is related to the impact of the Federal Reserve's tightening moves on
stock valuations, as well as the concern investors have about a slower growth
economy's impact on corporate earnings. Overall, the economy does seem to be
slowing, but appears to remain growing at a healthy rate, which bodes well for
equities in general.
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Janus Capital Corporation
"GOING FORWARD, WE BELIEVE THAT THE UNDERLYING GROWTH CHARACTERISTICS OF OUR
COMPANIES REMAIN EXCEEDINGLY ROBUST AND THAT WE ARE STILL IN THE EARLY INNINGS
WITH RESPECT TO PENETRATION OF THE MANY NEW AND ENHANCED SERVICES THAT ARE
DRIVING THIS GROWTH."
Marsico Capital Management
"IN OUR OPINION, THERE ARE A NUMBER OF VERY IMPORTANT MACROECONOMIC
UNDERPINNINGS THAT COLLECTIVELY CREATE A SOLID BACKDROP FOR EQUITY
PERFORMANCE. WE BELIEVE THAT THE U.S. IS MOVING INTO A MORE FAVORABLE INTEREST
RATE ENVIRONMENT. WE DO BELIEVE THERE IS INCREASING EVIDENCE THAT AN ECONOMIC
SLOWDOWN IS AT HAND IN THE U.S., WHICH SHOULD MITIGATE THE NEED TO FURTHER
TIGHTEN MONETARY POLICY."
Jennison Associates
"THE ECONOMY SHOULD STABILIZE AT LOWER BUT STILL HISTORICALLY HIGH LEVELS.
DESPITE THE PERSISTENT TUMULTUOUS VOLATILITY IN MANY SECTORS OF THE ECONOMY,
OPPORTUNITIES WILL ABOUND AS STOCK VALUATIONS COOL WITH THE ECONOMY."
Fred Alger Management
"ECONOMIC FORCES WHICH CAUSE A BULLISH OUTLOOK ARE: A SLOWING, BUT GROWING
ECONOMY, HIGH LEVELS OF PRODUCTIVITY LEADING TO VERY LOW INFLATION AND HIGH
PROFITABILITY, AND DROPPING INTEREST RATES, INCLUDING THE POSSIBILITY OF FED
RATE CUTS IN 2001."
SunAmerica Asset Management
"WE BELIEVE THAT THE PROSPECTS FOR THE REMAINDER OF 2000 ARE FAVORABLE FOR THE
U.S. MARKETPLACE. DESPITE RECENT MARKET TURBULENCE, WE ARE ENTERING WHAT HAS
HISTORICALLY PROVEN TO BE A SEASONALLY STRONG TIME OF YEAR FOR THE STOCK
MARKET. IN OUR OPINION CORPORATE PROFITS SHOULD CONTINUE TO BE STELLAR, WITH
YET ANOTHER YEAR OF DOUBLE-DIGIT EARNINGS GROWTH."
U.S. FIXED INCOME MARKET OVERVIEW
The U.S. bond market lost ground early in the period, only to rally
significantly during June, pushing all sectors well into positive territory.
Signs of economic strength and inflation marked the early part of the period,
which prompted interest rates to rise across all parts of the yield curve,
negatively affecting fixed-income investments. By the close of the period, all
sectors posted solid gains as a slowing economy convinced many investors that
the Federal Reserve's tightening cycle was nearly complete.
Putnam Investment Management
"WITHIN U.S. INVESTMENT-GRADE FIXED-INCOME MARKETS, WE EXPECT THE YIELD CURVE
TO REMAIN INVERTED (SHORT-TERM YIELDS GREATER THAN LONG-TERM YIELDS), WHICH
WILL CONTINUE TO AFFECT TECHNICAL CONDITIONS IN THE MARKET. OVER THE MEDIUM
TERM, WE BELIEVE INTEREST RATES WILL STABILIZE AT CURRENT LEVELS."
Wellington Management Company
"WE THINK THAT MODERATING ECONOMIC ACTIVITY AND AN EVENTUAL FALL IN OIL PRICES
SHOULD PUSH YIELDS A BIT LOWER. REDUCED TREASURY SUPPLY WILL ALSO CONTINUE TO
BE AN IMPORTANT POSITIVE FACTOR."
CONCLUSION
The recent volatility in the financial markets underscores the importance of a
diversified investment portfolio. With the SEASONS SELECT VARIABLE ANNUITY, you
have access to multiple asset classes or investment categories as well as the
experience of our highly regarded money managers.
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We would like to again thank you for trusting SEASONS SELECT to help you build
your retirement wealth. We appreciate the confidence you have placed in the
money management team involved in the SEASONS SELECT VARIABLE ANNUITY and stress
the importance of a long-term focus to help achieve long-term investment
success.
We appreciate the confidence you have placed in your SEASONS SELECT investment
and, as always, look forward to our continued relationship with you.
Sincerely,
/s/ Eli Broad
Eli Broad
CHAIRMAN AND CHIEF EXECUTIVE OFFICER
ANCHOR NATIONAL LIFE INSURANCE COMPANY
November 17, 2000
Investments in stocks and bonds are subject to risk, including stock market and
interest rate fluctuations. Investments in non-U.S. stocks and bonds are subject
to additional risks, including currency fluctuations, political and social
instability, differing securities regulations and accounting standards, and
limited public information. High-yield bonds tend to be subject to greater price
swings than higher-rated bonds and, of course, payment of interest and principal
is not assured. Investments in securities related to gold and other precious
metals and minerals are considered speculative and are impacted by a host of
worldwide economic, financial, and political factors. Mortgage-backed securities
are subject to prepayment, which can result in reinvestment of principal at
lower yields. Money market instruments generally offer stability and income, but
an investment in these securities is not guaranteed by the U.S. government or
any other entity. Past performance is no guarantee of future results.
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SEASONS SERIES TRUST
MULTI-MANAGED
GROWTH PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 66.0%
SHARES VALUE
<S> <C> <C>
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CONSUMER DISCRETIONARY -- 2.4%
APPAREL & TEXTILES -- 0.2%
Koala Corp.+ ........................... 13,000 $ 208,812
Oakley, Inc.+ .......................... 2,700 47,419
AUTOMOTIVE -- 0.7%
General Motors Corp., Class H+ ......... 21,100 784,498
SPX Corp.+ ............................. 700 99,356
RETAIL -- 1.5%
AnnTaylor Stores Corp.+ ................ 3,600 138,375
Gap, Inc. .............................. 16,680 335,685
Home Depot, Inc. ....................... 14,215 754,284
Sears, Roebuck & Co. ................... 1,000 32,420
Talbots, Inc. .......................... 1,800 119,250
Wal-Mart Stores, Inc. .................. 7,400 356,125
------------
2,876,224
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CONSUMER STAPLES -- 0.2%
HOUSEHOLD PRODUCTS -- 0.2%
Yankee Candle Co., Inc.+ ............... 8,700 175,087
------------
ENERGY -- 5.8%
ENERGY SERVICES -- 2.1%
Baker Hughes, Inc. ..................... 2,500 92,813
BJ Services Co.+ ....................... 4,100 250,612
Global Marine, Inc.+ ................... 7,900 243,912
Grant Prideco, Inc.+ ................... 6,000 131,625
Halliburton Co. ........................ 1,600 78,300
Nabors Industries, Inc.+ ............... 6,200 324,880
Precision Drilling Corp.+ .............. 6,500 231,563
R&B Falcon Corp.+ ...................... 8,200 228,575
Schlumberger Ltd. ...................... 1,500 123,469
Smith International, Inc.+ ............. 2,700 220,219
Transocean Sedco Forex, Inc. ........... 4,800 281,400
Weatherford International, Inc.+ ....... 4,900 210,700
ENERGY SOURCES -- 3.7%
Apache Corp. ........................... 7,700 455,262
Burlington Resources, Inc. ............. 1,000 36,813
Chevron Corp. .......................... 1,200 102,300
Devon Energy Corp. ..................... 6,300 378,945
Enron Corp. ............................ 29,170 2,556,021
Exxon Mobil Corp. ...................... 5,480 488,405
Kerr-McGee Corp. ....................... 4,000 265,000
</TABLE>
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<TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
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<S> <C> <C>
ENERGY (CONTINUED)
ENERGY SOURCES (CONTINUED)
Royal Dutch Petroleum Co. NY Shares .... 2,000 $ 119,875
------------
6,820,689
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FINANCE -- 3.3%
BANKS -- 1.2%
Bank of New York Co., Inc. ............. 2,000 112,125
Chase Manhattan Corp. .................. 2,400 110,850
Fifth Third Bancorp. ................... 12,920 696,065
Firstar Corp. .......................... 20,861 466,765
Summit Bancorp.......................... 1,350 46,575
FINANCIAL SERVICES -- 2.1%
American Express Co. ................... 15,660 951,345
Capital One Financial Corp. ............ 1,800 126,113
Citigroup, Inc. ........................ 4,333 234,253
E*TRADE Group, Inc.+ ................... 27,560 453,017
Fleet Boston Financial Corp. ........... 4,000 156,000
J.P. Morgan & Co., Inc. ................ 800 130,700
Mellon Financial Corp. ................. 1,500 69,563
Merrill Lynch & Co. .................... 1,600 105,600
Morgan Stanley, Dean Witter & Co. ...... 2,600 237,737
------------
3,896,708
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HEALTHCARE -- 5.9%
DRUGS -- 3.3%
Alkermes, Inc.+ ........................ 4,200 162,225
Allergan, Inc. ......................... 2,000 168,875
ALZA Corp.+ ............................ 7,600 657,400
Amgen, Inc.+ ........................... 2,000 139,656
Biogen, Inc.+ .......................... 2,000 122,000
Biovail Corp.+ ......................... 2,700 219,881
Cephalon, Inc.+ ........................ 4,400 213,400
Deltagen, Inc.+ ........................ 1,400 43,313
Elan Corp. PLC ADR+ .................... 4,700 257,325
Esperion Therapeutics, Inc.+ ........... 20,500 353,625
Genentech, Inc.+ ....................... 2,500 464,219
Lexicon Genetics, Inc.+ ................ 3,600 113,850
Merck & Co., Inc. ...................... 1,200 89,325
Millennium Pharmaceuticals, Inc.+ ...... 2,900 423,581
Pfizer, Inc. ........................... 6,000 269,625
Teva Pharmaceutical Industries, Ltd.
ADR................................... 2,000 146,375
MEDICAL PRODUCTS -- 2.6%
Abgenix, Inc.+ ......................... 6,400 517,200
Genzyme Corp.+ ......................... 4,465 304,457
Johnson & Johnson....................... 2,000 187,875
MedImmune, Inc.+ ....................... 3,350 258,788
Medtronic, Inc. ........................ 18,909 979,723
Myriad Genetics, Inc.+ ................. 3,500 301,000
QLT PhotoTherapeutics, Inc.+ ........... 4,100 290,587
</TABLE>
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<TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
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<S> <C> <C>
HEALTHCARE (CONTINUED)
MEDICAL PRODUCTS (CONTINUED)
Schering-Plough Corp. .................. 5,000 $ 232,500
Visible Genetics, Inc.+ ................ 1,000 40,375
------------
6,957,180
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INDUSTRIAL & COMMERCIAL -- 3.1%
AEROSPACE & MILITARY TECHNOLOGY -- 0.4%
Boeing Co. ............................. 8,115 511,245
BUSINESS SERVICES -- 1.9%
General Electric Co. ................... 16,500 951,844
Global Industries Ltd.+ ................ 1,400 17,500
Mobile Mini, Inc.+ ..................... 7,000 134,750
Paychex, Inc. .......................... 7,500 393,750
Pierce Leahy Corp. ..................... 5,000 4,862
TMP Worldwide, Inc.+ ................... 5,430 437,115
Waste Connections, Inc.+ ............... 5,500 140,937
Waste Management, Inc. ................. 6,500 113,344
ELECTRICAL EQUIPMENT -- 0.2%
Emerson Electric Co. ................... 4,000 268,000
MULTI-INDUSTRY -- 0.3%
Tyco International Ltd. ................ 7,500 389,063
TRANSPORTATION -- 0.3%
Offshore Logistics, Inc.+ .............. 10,500 187,687
Oshkosh Truck Corp. .................... 3,000 116,250
RailWorks Corp.+ ....................... 14,100 48,469
------------
3,714,816
------------
INFORMATION & ENTERTAINMENT -- 7.7%
BROADCASTING & MEDIA -- 7.0%
AT&T Corp. -- Liberty Media Group, Class
A+ ................................... 105,716 1,902,888
Cablevision Systems Corp., Class A+ .... 7,225 479,108
Cinar Corp., Class B+ .................. 6,700 20,100
Comcast Corp., Class A+ ................ 33,140 1,356,669
DoubleClick, Inc.+ ..................... 5,770 184,640
EchoStar Communications Corp., Class
A+ ................................... 2,300 121,325
Infinity Broadcasting Corp., Class
A+ ................................... 9,486 313,038
Lamar Advertising Co.+ ................. 8,655 327,808
Netro Corp.+ ........................... 3,600 213,300
Pegasus Communications Corp.+ .......... 7,600 367,175
Spanish Broadcasting System, Inc., Class
A+ ................................... 6,500 76,375
The Walt Disney Co. .................... 12,045 460,721
Time Warner, Inc. ...................... 25,658 2,007,739
UnitedGlobalCom, Inc., Class A+ ........ 1,080 32,400
Verizon Communications.................. 732 35,456
VoiceStream Wireless Corp.+ ............ 3,255 377,783
ENTERTAINMENT PRODUCTS -- 0.5%
SONY Corp. ............................. 5,500 558,950
</TABLE>
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
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<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
LEISURE & TOURISM -- 0.2%
SkyWest, Inc. .......................... 4,100 $ 210,125
------------
9,045,600
------------
INFORMATION TECHNOLOGY -- 33.9%
COMMUNICATION EQUIPMENT -- 5.1%
Cisco Systems, Inc.+ ................... 23,875 1,319,094
Finisar Corp.+ ......................... 1,600 77,400
Juniper Networks, Inc.+ ................ 3,900 853,856
Lucent Technologies, Inc. .............. 3,200 97,800
Network Appliance, Inc.+ ............... 2,900 369,387
ONI Systems Corp.+ ..................... 5,225 450,983
Palm, Inc.+ ............................ 22,439 1,187,865
Sycamore Networks, Inc.+ ............... 3,600 388,800
Symbol Technologies, Inc. .............. 13,645 490,367
Turnstone Systems Inc.+ ................ 3,700 171,588
Tycom Ltd.+ ............................ 15,125 580,422
COMPUTER SERVICES -- 1.9%
BEA Systems, Inc.+ ..................... 9,200 716,450
i2 Technologies, Inc.+ ................. 6,550 1,225,259
Sun Microsystems, Inc.+ ................ 2,300 268,525
COMPUTERS & BUSINESS EQUIPMENT -- 3.5%
Brocade Communications Systems,
Inc.+ ................................ 2,200 519,200
Compaq Computer Corp. .................. 5,500 151,690
Dell Computer Corp.+ ................... 4,000 123,250
EMC Corp.+ ............................. 15,870 1,573,114
Gateway, Inc.+ ......................... 1,700 79,475
International Business Machines
Corp. ................................ 2,000 225,000
Redback Networks, Inc.+ ................ 3,800 622,962
VERITAS Software Corp.+ ................ 6,010 853,420
COMPUTER SOFTWARE -- 2.3%
CheckFree Corp.+ ....................... 1,000 41,891
Electronic Arts, Inc.+ ................. 17,500 864,062
Micromuse, Inc.+ ....................... 1,900 381,781
Microsoft Corp.+ ....................... 9,030 544,622
Oracle Corp.+ .......................... 4,700 370,125
Siebel Systems, Inc.+ .................. 5,000 556,563
ELECTRONICS -- 5.3%
Analog Devices, Inc.+ .................. 13,565 1,119,960
Applied Materials, Inc.+ ............... 8,010 475,093
ASM Lithography Holdings NV+ ........... 13,220 427,171
Bookham Technology PLC ADR+ ............ 900 38,588
Broadcom Corp., Class A+ ............... 2,700 658,125
Check Point System, Inc.+ .............. 2,200 346,500
Integrated Device Technology, Inc.+ .... 10,940 990,070
Intel Corp. ............................ 13,000 540,313
Linear Technology Corp. ................ 3,300 213,675
PerkinElmer, Inc. ...................... 2,000 208,750
PMC-Sierra, Inc.+ ...................... 1,200 258,300
Texas Instruments, Inc. ................ 22,085 1,042,136
</TABLE>
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
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<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
INTERNET CONTENT -- 2.6%
Amazon.com, Inc.+ ...................... 19,275 $ 740,883
Critical Path, Inc.+ ................... 1,100 66,825
eBay, Inc.+ ............................ 6,375 437,484
Exodus Communications, Inc.+ ........... 15,545 767,535
Stamps.com, Inc.+ ...................... 3,800 14,606
VeriSign, Inc.+ ........................ 4,825 977,364
Yahoo!, Inc.+ .......................... 500 45,500
INTERNET SOFTWARE -- 3.2%
America Online, Inc.+ .................. 1,000 53,750
Ariba, Inc.+ ........................... 3,900 558,736
Art Technology Group, Inc.+ ............ 2,500 236,875
Blue Martini Software, Inc.+ ........... 6,000 203,250
BroadVision, Inc.+ ..................... 1,700 43,456
Digex, Inc.+ ........................... 5,915 277,266
Inktomi Corp.+ ......................... 5,490 625,860
Macromedia, Inc.+ ...................... 700 56,569
Phone.com, Inc.+ ....................... 10,930 1,241,921
RealNetworks, Inc.+ .................... 3,600 143,100
Software.com, Inc.+ .................... 320 58,060
Vignette Corp.+ ........................ 900 26,887
WatchGuard Technologies, Inc.+ ......... 3,600 216,000
TELECOMMUNICATIONS -- 10.0%
Amdocs Ltd.+ ........................... 4,600 286,925
Avanex Corp.+ .......................... 4,335 466,825
China Mobile Hong Kong Ltd. ADR+ ....... 12,950 420,066
CIENA Corp.+ ........................... 4,000 491,250
Corning, Inc. .......................... 2,200 653,400
Cox Communications, Inc., Class A+ ..... 7,385 282,476
JDS Uniphase Corp.+ .................... 12,425 1,176,492
Level 3 Communications, Inc.+ .......... 9,805 756,211
McLeodUSA, Inc., Class A+ .............. 40,440 578,797
Nippon Telegraph & Telephone Corp.
ADR .................................. 27 776,114
Nokia Corp. ADR......................... 66,170 2,634,393
Nortel Networks Corp. .................. 4,000 238,250
NTL, Inc.+ ............................. 5,420 251,014
QUALCOMM, Inc.+ ........................ 9,690 690,412
Sonus Networks, Inc.+ .................. 1,500 189,563
Sprint Corp. (PCS Group)+ .............. 10,705 375,344
Telefonaktiebolaget LM Ericsson AB
ADR................................... 37,450 554,728
Telefonaktiebolaget LM Ericsson AB,
Series B.............................. 16,202 246,864
Vodafone Group PLC...................... 1 3
Vodafone Group PLC ADR.................. 21,650 801,050
------------
38,897,871
------------
MATERIALS -- 0.1%
METALS & MINERALS -- 0.1%
Maverick Tube Corp.+ ................... 5,900 158,931
------------
</TABLE>
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
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<S> <C> <C>
UTILITIES -- 3.6%
ELECTRIC UTILITIES -- 1.8%
Calpine Corp.+ ......................... 3,700 $ 386,187
Dominion Resources, Inc.+ .............. 5,105 296,409
Duke Energy Corp. ...................... 15,720 1,347,990
PECO Energy Co. ........................ 2,000 121,125
GAS & PIPELINE UTILITIES -- 0.7%
Coastal Corp. .......................... 4,000 296,500
Dynegy, Inc., Class A................... 3,700 210,900
El Paso Energy Corp. ................... 4,600 283,475
TELEPHONE -- 1.1%
AT&T Corp. ............................. 1,500 44,063
SBC Communications, Inc. ............... 1,200 60,000
Telefonica SA........................... 19,298 382,876
Telefonos de Mexico SA ADR.............. 9,975 530,545
WinStar Communications, Inc.+ .......... 11,842 183,551
WorldCom, Inc.+ ........................ 3,000 91,125
------------
4,234,746
------------
TOTAL COMMON STOCK (cost $67,449,038)... 77,965,717
------------
<CAPTION>
PREFERRED STOCK -- 0.0%
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 0.0%
TELECOMMUNICATIONS -- 0.0%
Nextlink Communications, Inc., Series B
13.50% (4) (cost $3,674).............. 5 3,950
------------
<CAPTION>
BONDS & NOTES -- 23.8% PRINCIPAL
AMOUNT
----------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 0.5%
APPAREL & TEXTILES -- 0.0%
Levi Strauss & Co. 6.80% 2003........... $ 5,000 4,200
Levi Strauss & Co. 7.00% 2006........... 15,000 11,700
Westpoint Stevens, Inc. 7.88% 2008...... 20,000 16,500
AUTOMOTIVE -- 0.3%
Accuride Corp., Series B 9.25% 2008..... 5,000 4,150
Daimler Chrysler North America 7.75%
2005.................................. 220,000 224,587
Delco Remy International, Inc. 8.63%
2007.................................. 10,000 9,450
Delco Remy International, Inc. 10.63%
2006.................................. 5,000 4,950
Dura Operating Corp., Series B 9.00%
2009.................................. 10,000 8,600
Federal-Mogul Corp. 7.50% 2009.......... 40,000 15,200
Federal-Mogul Corp. 8.80% 2007.......... 10,000 3,800
LDM Technologies, Inc., Series B 10.75%
2007.................................. 5,000 3,250
Lear Corp. 7.96% 2005................... 5,000 4,791
Lear Corp., Series B 8.11% 2009......... 20,000 19,013
HOUSING -- 0.0%
Engle Homes, Inc., Series C 9.25%
2008.................................. 5,000 4,575
Henry Co., Series B 10.00% 2008......... 10,000 4,500
Mattress Disounters Corp. 12.63%
2007(1)............................... 10,000 9,250
</TABLE>
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BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY (CONTINUED)
HOUSING (CONTINUED)
Nortek, Inc., Series B 9.25% 2007....... $ 5,000 $ 4,737
Standard Pacific Corp. 8.50% 2007....... 10,000 9,425
Webb (Del E.) Corp. 10.25% 2010......... 5,000 4,725
RETAIL -- 0.2%
Albertsons, Inc. 8.70% 2030............. 75,000 77,332
Duane Reade, Inc. 9.25% 2008............ 25,000 22,000
Kroger Co. 7.38% 2005................... 25,000 24,649
Sealy Mattress Co., Series B zero coupon
2007(2)............................... 10,000 7,450
Stater Brothers Holdings, Inc. 10.75%
2006.................................. 15,000 13,200
Wal-Mart Stores, Inc. 7.55% 2030........ 110,000 113,497
------------
625,531
------------
CONSUMER STAPLES -- 0.2%
FOOD, BEVERAGE & TOBACCO -- 0.2%
Aurora Foods, Inc., Series B 8.75%
2008.................................. 10,000 7,650
B & G Foods, Inc. 9.63% 2007............ 10,000 7,200
Chiquita Brands International, Inc.
10.00% 2009........................... 15,000 9,000
CPC International, Inc., Series E 7.25%
2026.................................. 75,000 70,277
Del Monte Foods Co., Series B zero
coupon 2007(2)........................ 13,000 9,945
Nash Finch Co., Series B 8.50% 2008..... 20,000 14,400
New World Pasta Co. 9.25% 2009.......... 10,000 5,900
Panamerican Beverage, Inc. 8.13% 2003... 30,000 29,462
Seagram (Joseph E.) & Sons, Inc. 7.50%
2018.................................. 35,000 34,258
Whitman Corp. 6.38% 2009................ 65,000 58,156
------------
246,248
------------
ENERGY -- 0.5%
ENERGY SERVICES -- 0.0%
ICO, Inc., Series B 10.38% 2007......... 5,000 4,825
Key Energy Services, Inc., Series B
14.00% 2009........................... 5,000 5,688
Pride International, Inc. 10.00% 2009... 5,000 5,256
Pride Petroleum Services, Inc. 9.38%
2007.................................. 10,000 10,250
Tuboscope, Inc. 7.50% 2008.............. 10,000 8,787
ENERGY SOURCES -- 0.5%
Energy Corp. of America, Series A 9.50%
2007.................................. 15,000 11,400
Enron Corp. 6.75% 2004.................. 50,000 49,429
Enron Corp. 9.63% 2006.................. 65,000 71,116
Husky Oil Ltd. 7.55% 2016............... 70,000 65,271
Petroleos Mexicanos 9.38% 2008.......... 5,000 5,137
Petroleos Mexicanos, Series P 9.50%
2027.................................. 120,000 123,825
Plains Resources, Inc., Series B 10.25%
2006.................................. 5,000 5,138
Plains Resources, Inc., Series D 10.25%
2006.................................. 10,000 10,150
Tosco Corp. 8.13% 2030.................. 160,000 160,578
YPF Sociedad Anonima, Series C 10.00%
2028.................................. 50,000 55,195
------------
592,045
------------
</TABLE>
----------------
10
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
FINANCE -- 4.8%
BANKS -- 1.2%
Bank of America Corp. 9.38% 2009........ $ 32,000 $ 35,415
Bank of Scotland 7.70% 2010*............ 270,000 270,441
Credit National 7.00% 2005.............. 80,000 78,536
Deutsche Ausgleichsbank 7.00% 2005...... 290,000 293,092
First Republic Bancorp 7.75% 2012....... 25,000 21,013
First Union-Lehman Brothers Commercial
Mortgage Corp. 6.60% 2007............. 115,000 113,266
National Australia Bank Ltd. 8.60%
2010.................................. 280,000 299,210
National City Corp. 7.20% 2005.......... 80,000 79,412
NBD Bank NA 8.25% 2024.................. 25,000 26,588
Royal Bank Scotland Group PLC 6.40%
2009.................................. 110,000 102,232
U.S. Bancorp 7.50% 2026................. 100,000 100,208
Werner Holdings Co., Inc., Series A
10.00% 2007........................... 5,000 4,800
Western Financial Bank 8.88% 2007....... 10,000 9,150
FINANCIAL SERVICES -- 2.0%
Aesop Funding II LLC 6.14% 2006*........ 60,000 57,660
Aesop Funding II LLC 6.22% 2001*........ 8,333 8,331
Aesop Funding II LLC 6.40% 2003*........ 50,000 49,622
Allstate Financing II 7.83% 2045........ 24,000 21,605
American General Corp. 6.75% 2005....... 50,000 49,004
American General Finance Corp., Series E
6.25% 2002............................ 100,000 98,542
Asset Securitization Corp. 6.75% 2041... 50,000 48,937
AXA Finanical, Inc. 7.00% 2028.......... 60,000 53,872
Chase Credit Card Master Trust 6.19%
2005.................................. 60,000 59,477
Crown Castle International Corp. zero
coupon 2007(2)(5)..................... 15,000 11,700
CS First Boston Mortgage Securities
Corp. 7.24% 2029...................... 70,000 70,316
Dime Capital Trust I, Series A 9.33%
2027.................................. 20,000 18,389
DLJ Mortgage Acceptance Corp. 6.82%
2007*................................. 100,000 98,309
Fleet Mortgage Group, Inc., Series A
6.84% 2003............................ 30,000 29,995
GE Capital Mortgage Services, Inc. 6.25%
2023.................................. 1,126 1,119
General Electric Capital Corp. 8.70%
2007.................................. 50,000 54,664
General Motors Acceptance Corp. 7.63%
2003.................................. 60,000 60,928
Liberty Financial Cos., Inc. 6.75%
2008.................................. 65,000 59,824
Merrill Lynch Mortgage Investors, Inc.
6.54% 2029............................ 100,000 96,495
Nomura Asset Securities Corp. 6.59%
2028.................................. 290,000 281,494
Norwest Financial, Inc. 7.60% 2005...... 255,000 260,016
Popular North America, Inc., Series D
6.63% 2002............................ 35,000 34,510
Principal Financial Group 8.20% 2009*... 120,000 120,563
Private Export Funding Corp. 6.62%
2005.................................. 120,000 120,669
Private Export Funding Corp., Series C
6.31% 2004............................ 100,000 99,363
Private Export Funding Corp., Series NN
7.30% 2002............................ 125,000 126,152
Private Export Funding Corp., Series YY
7.03% 2003............................ 35,000 35,514
RBF Finance Co. 11.38% 2009............. 20,000 23,025
Sprint Capital Corp. 6.13% 2008......... 70,000 63,231
Sun Canada Financial Co. 6.63% 2007*.... 65,000 62,309
Tembec Finance Corp. 9.88% 2005......... 5,000 5,050
Tembec Industries, Inc. 8.63% 2009...... 5,000 4,875
Toyota Motor Credit Corp. 5.63% 2003.... 70,000 67,722
U.S. West Capital Funding, Inc. 6.25%
2005.................................. 90,000 86,131
</TABLE>
----------------
11
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
INSURANCE -- 1.6%
AAG Holding Co., Inc. 6.88% 2008........ $ 100,000 $ 90,498
Abbey National PLC, Series E 6.69%
2005.................................. 100,000 98,128
Ace Capital Trust II 9.70% 2030......... 150,000 158,898
Allstate Corp. 7.88% 2005............... 157,000 162,056
American Financial Group, Inc. 7.13%
2009.................................. 25,000 21,776
Amerus Life Holdings, Inc. 6.95% 2005... 90,000 84,128
CIGNA Corp. 7.40% 2007.................. 45,000 43,719
CIGNA Corp. 7.88% 2027.................. 69,000 64,799
CIGNA Corp. 8.25% 2007.................. 30,000 30,571
Everest Reinsurance Holdings Co. 8.75%
2010.................................. 150,000 156,330
Farmers Insurance Exchange 8.50%
2004*................................. 140,000 143,637
Florida Windstorm Underwriting
Associates, Inc. 7.13% 2019*.......... 140,000 131,625
Jackson National Life Insurance Co.
8.15% 2027*........................... 22,000 21,062
Lumbermens Mutual Casualty Co. 8.30%
2037*................................. 40,000 31,890
Metropolitan Life Insurance Co. 7.70%
2015*................................. 60,000 58,133
Prudential Insurance Co. 6.88% 2003*.... 125,000 124,373
Reliastar Financial Corp. 8.00% 2006.... 85,000 87,056
Safeco Capital Trust I 8.07% 2037....... 110,000 92,861
St. Paul Cos., Inc. 8.13% 2010.......... 204,000 211,848
Travelers Property Casualty Corp. 7.75%
2026.................................. 120,000 116,733
------------
5,702,897
------------
HEALTHCARE -- 0.3%
DRUGS -- 0.0%
ALARIS Medical Systems, Inc. 9.75%
2006.................................. 20,000 14,600
Bergen Brunswig Corp. 7.38% 2003........ 15,000 13,932
Warner Chilcott, Inc. 12.63% 2008*...... 10,000 10,300
HEALTH SERVICES -- 0.1%
Beverly Enterprises, Inc. 9.00% 2006.... 15,000 14,062
Columbia/HCA Healthcare Corp. 7.25%
2008.................................. 10,000 9,300
Tenet Healthcare Corp. 7.88% 2003....... 20,000 19,750
Tenet Healthcare Corp., Series B 8.13%
2008.................................. 10,000 9,538
Triad Hospitals Holdings, Inc., Series B
11.00% 2009........................... 10,000 10,250
MEDICAL PRODUCTS -- 0.2%
ALARIS Medical, Inc. zero coupon
2008(2)............................... 10,000 2,600
Beckman Instruments, Inc. 7.10% 2003.... 40,000 38,801
Beckman Instruments, Inc. 7.45% 2008.... 5,000 4,631
Bio Rad Labs, Inc. 11.63% 2007.......... 7,000 7,315
Cardinal Health 7.00% 2026.............. 120,000 117,445
Conmed Corp. 9.00% 2008................. 20,000 16,800
Mediq, Inc./ PRN Life Support Services,
Inc. 11.00% 2008(3)................... 10,000 300
------------
289,624
------------
INDUSTRIAL & COMMERCIAL -- 1.1%
AEROSPACE & MILITARY TECHNOLOGY -- 0.3%
Dunlop Standard Aerospace Holdings PLC
11.88% 2009........................... 10,000 10,063
K & F Industries, Inc., Series B 9.25%
2007.................................. 20,000 19,200
Raytheon Co. 8.20% 2006*................ 110,000 113,635
SCL Term Aereo Santiago SA 6.95%
2012*................................. 180,000 165,425
</TABLE>
----------------
12
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
BUSINESS SERVICES -- 0.6%
Abitibi Consolidated, Inc. 8.30% 2005... $ 240,000 $ 245,839
Allied Waste North America, Inc., Series
B 7.63% 2006.......................... 10,000 8,950
Boise Cascade Office Products Corp.
7.05% 2005............................ 125,000 120,732
Federal Express Corp. 6.72% 2022........ 78,119 73,633
Fisher Scientific International, Inc.
9.00% 2008............................ 5,000 4,600
Iron Mountain, Inc. 8.13% 2008.......... 5,000 4,550
Iron Mountain, Inc. 8.75% 2009.......... 5,000 4,850
Neenah Corp., Series F 11.13% 2007...... 5,000 3,875
Owens & Minor, Inc. 10.88% 2006......... 10,000 10,350
Waste Management, Inc. 6.88% 2009....... 15,000 13,615
Waste Management, Inc. 7.00% 2006....... 60,000 56,212
Waste Management, Inc. 7.13% 2007....... 120,000 112,025
World Color Press, Inc. 8.38% 2008...... 5,000 4,863
MACHINERY -- 0.0%
Grove Worldwide, Inc. LLC 9.25% 2008.... 10,000 1,300
Numatics, Inc., Series B 9.63% 2008..... 5,000 3,950
Roller Bearing Co. of America, Inc.,
Series B 9.63% 2007................... 5,000 4,575
Westinghouse Air Brake Co., Series B2
9.38% 2005............................ 5,000 4,825
MULTI-INDUSTRY -- 0.2%
American Standard, Inc. 7.63% 2010...... 5,000 4,713
Prestolite Electric, Inc. 9.63% 2008.... 15,000 10,200
Tyco International Group SA 6.38%
2005.................................. 300,000 291,423
TRANSPORTATION -- 0.0%
AMR Corp. 9.88% 2020.................... 30,000 31,895
------------
1,325,298
------------
INFORMATION & ENTERTAINMENT -- 0.8%
BROADCASTING & MEDIA -- 0.4%
Adelphia Communications Corp. 9.38%
2009.................................. 10,000 9,100
Adelphia Communications Corp., Series B
8.38% 2008............................ 5,000 4,363
Allbritton Communications Co., Series B
8.88% 2008............................ 20,000 18,700
AMC Entertainment, Inc. 9.50% 2009...... 20,000 9,200
AMC Entertainment, Inc. 9.50% 2011...... 20,000 9,200
American Color Graphics, Inc. 12.75%
2005.................................. 10,000 9,900
Benedek Communications Corp. zero coupon
2006(2)............................... 25,000 21,875
Cablevision SA 13.75% 2009.............. 5,000 4,450
Century Communications Corp., Series B
zero coupon 2008(2)................... 20,000 8,100
Charter Communication Holdings LLC 8.63%
2009.................................. 30,000 26,925
Classic Cable, Inc. 10.50% 2010......... 25,000 21,375
Comcast Cable Communications Corp. 8.50%
2027.................................. 15,000 15,621
Echostar DBS Corp. 9.38% 2009........... 30,000 29,400
Frontiervision Holdings LP zero coupon
2007(2)............................... 10,000 8,738
Frontiervision Holdings LP, Series B
zero coupon 2007(2)................... 5,000 4,350
Granite Broadcasting Corp. 8.88% 2008... 10,000 7,000
LIN Holdings Corp. zero coupon
2008(2)............................... 30,000 21,600
News America Holdings, Inc. 8.00%
2016.................................. 135,000 130,087
Scholastic Corp. 7.00% 2003............. 35,000 34,560
Sun Media Corp. 9.50% 2007.............. 15,000 14,981
TCI Communications, Inc. 8.00% 2005..... 25,000 25,675
</TABLE>
----------------
13
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
BROADCASTING & MEDIA (CONTINUED)
Tele-Communications, Inc. 7.25% 2005.... $ 25,000 $ 24,909
Tele-Communications, Inc. 9.25% 2002.... 25,000 25,911
Viacom, Inc. 7.75% 2005................. 40,000 41,004
Young Broadcasting, Inc., Series B 8.75%
2007.................................. 15,000 14,231
ENTERTAINMENT PRODUCTS -- 0.0%
Bell Sports, Inc., Series B 11.00%
2008.................................. 15,000 15,150
True Temper Sports, Inc., Series B
10.88% 2008........................... 10,000 9,763
LEISURE & TOURISM -- 0.4%
Continental Airlines, Inc., Series A
6.65% 2017............................ 37,891 35,080
Continental Airlines, Inc., Series B
6.47% 2004............................ 36,439 35,464
John Q. Hammons Hotels, Inc. 8.88%
2004.................................. 15,000 13,950
Northwest Airlines Pass Through Trust
8.07% 2019............................ 360,000 367,164
Station Casinos, Inc. 8.88% 2008........ 20,000 19,175
Tricon Global Restaurants, Inc. 7.65%
2008.................................. 5,000 4,650
------------
1,041,651
------------
INFORMATION TECHNOLOGY -- 0.5%
COMMUNICATION EQUIPMENT -- 0.0%
Concentric Network Corp. 12.75% 2007.... 10,000 10,000
ELECTRONICS -- 0.1%
Amphenol Corp. 9.88% 2007............... 3,000 3,037
Eaton Corp. 7.65% 2029.................. 100,000 93,296
Fairchild Semiconductor Corp. 10.13%
2007.................................. 15,000 15,000
L-3 Communications Holdings, Inc.,
Series B 8.00% 2008................... 5,000 4,500
SCG Holdings & Semiconductor Co., Series
B 12.00% 2009......................... 10,000 10,500
INTERNET CONTENT -- 0.0%
Exodus Communications, Inc. 11.63%
2010*................................. 15,000 15,038
INTERNET SOFTWARE -- 0.0%
Covad Communications Group, Inc. 12.00%
2010.................................. 5,000 3,750
Covad Communications Group, Inc. 12.50%
2009.................................. 5,000 3,825
PSINet, Inc. 11.00% 2009................ 5,000 3,250
PSINet, Inc. 11.50% 2008................ 15,000 9,975
PSINet, Inc., Series B 10.00% 2005...... 10,000 6,500
TELECOMMUNICATIONS -- 0.4%
Adelphia Business Solutions, Inc.,
Series B zero coupon 2003(2).......... 10,000 8,125
Adelphia Business Solutions, Inc.,
Series B 12.25% 2004.................. 10,000 9,100
Alaska Communications Holdings, Inc.
9.38% 2009............................ 10,000 9,212
AMSC Acquisition Co., Inc., Series B
12.25% 2008........................... 5,000 3,725
BTI Telecom Corp. 10.50% 2007........... 5,000 2,900
Clearnet Communications, Inc. zero
coupon 2009(2)........................ 5,000 3,963
Compania de Telecomunicaciones de Chile
7.63% 2006............................ 30,000 29,359
Compania de Telecomunicaciones de Chile
8.38% 2006............................ 25,000 25,188
e.Spire Communications, Inc. zero coupon
2008(2)............................... 15,000 4,575
GCI, Inc. 9.75% 2007.................... 30,000 28,200
GT Group Telecom, Inc. zero coupon
2010(2)............................... 20,000 8,600
Insight Midwest LP 9.75% 2009........... 10,000 10,075
ITC Deltacom, Inc. 8.88% 2008........... 5,000 4,275
ITC Deltacom, Inc. 9.75% 2008........... 10,000 8,400
</TABLE>
----------------
14
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
KMC Telecom Holdings, Inc. zero coupon
2008(2)............................... $ 15,000 $ 6,000
Level 3 Communications, Inc. 9.13%
2008.................................. 5,000 4,312
Level 3 Communications, Inc. 11.25%
2010.................................. 15,000 14,325
McLeodUSA, Inc. 8.13% 2009.............. 10,000 8,700
McLeodUSA, Inc. 8.38% 2008.............. 10,000 8,800
McLeodUSA, Inc. 9.25% 2007.............. 5,000 4,625
McLeodUSA, Inc. 9.50% 2008.............. 5,000 4,675
MJD Communications, Inc., Series B 9.50%
2008.................................. 5,000 4,350
Nextel Communications, Inc. zero coupon
2007(2)............................... 30,000 23,400
Nextel Communications, Inc. 9.38%
2009.................................. 15,000 14,700
NEXTLINK Communications, Inc. zero
coupon 2008(2)........................ 15,000 8,775
NTL Communications Corp., Series B zero
coupon 2008(2)........................ 30,000 19,050
RCN Corp. zero coupon 2008(2)........... 15,000 7,200
RCN Corp. 10.00% 2007................... 10,000 7,400
Rogers Cantel, Inc. 9.38% 2008.......... 5,000 5,175
RSL Communications PLC 12.00% 2008...... 10,000 2,650
Satelites Mexicanos SA de CV, Series B
10.13% 2004........................... 10,000 6,300
Telecommunications Techniques Co. LLC
9.75% 2008............................ 10,000 9,400
Time Warner Telecom, Inc. 9.75% 2008.... 10,000 9,275
------------
503,480
------------
MATERIALS -- 0.7%
CHEMICALS -- 0.3%
Acetex Corp. 9.75% 2003*................ 10,000 9,525
Avecia Group PLC 11.00% 2009............ 15,000 14,775
Georgia Gulf Corp. 10.38% 2007.......... 10,000 10,050
ICI Wilmington, Inc. 6.95% 2004......... 245,000 238,542
Lyondell Chemical Co. 9.80% 2020........ 5,000 4,875
Lyondell Chemical Co., Series B 9.88%
2007.................................. 30,000 29,287
Pioneer Americas Acquisition Corp.,
Series B 9.25% 2007................... 5,000 2,650
Praxair, Inc. 6.75% 2003................ 75,000 74,349
Texas Petrochemical Corp. 11.13% 2006... 10,000 8,550
Texas Petrochemical Corp., Series B
11.13% 2006........................... 10,000 8,300
FOREST PRODUCTS -- 0.2%
Boise Cascade Co., Series A 9.90%
2001.................................. 40,000 40,971
Doman Industries Ltd. 8.75% 2004........ 5,000 3,300
Doman Industries Ltd. 12.00% 2004....... 10,000 9,937
Gaylord Container Corp., Series B 9.38%
2007.................................. 15,000 10,050
Owens-Illinois, Inc. 7.50% 2010......... 5,000 4,227
Packaging Corp. of America 9.63% 2009... 5,000 5,063
Paperboard Industries International,
Inc. 8.38% 2007....................... 5,000 4,200
Sonoco Products Co. 7.00% 2004.......... 100,000 100,169
METALS & MINERALS -- 0.2%
AK Steel Corp. 7.88% 2009............... 20,000 17,900
Alcoa, Inc. 7.25% 2005.................. 85,000 86,522
Algoma Steel, Inc. 12.38% 2005.......... 15,000 10,650
BWay Corp., Series B 10.25% 2007........ 15,000 14,700
Consumers Packaging, Inc. 9.75% 2007.... 5,000 1,100
LTV Corp. 11.75% 2009................... 25,000 13,750
National Steel Corp. 9.88% 2009......... 15,000 8,850
</TABLE>
----------------
15
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
MATERIALS (CONTINUED)
METALS & MINERALS (CONTINUED)
P & L Coal Holdings Corp., Series B
9.63% 2008............................ $ 10,000 $ 9,700
Weirton Steel Corp. 11.38% 2004......... 15,000 12,300
------------
754,292
------------
MUNICIPAL BONDS -- 0.3%
MUNICIPAL BONDS -- 0.3%
Allentown Pennsylvania 6.20% 2005....... 120,000 117,016
Fresno County California Pension
Obligation 6.07% 2003................. 50,000 49,139
Hudson County New Jersey Improvement
Authority Facility 6.55% 2002......... 45,000 44,927
Huntsville Alabama Solid Waste Disposal
Authority 5.95% 2003.................. 50,000 49,021
Miami Florida Revenue 7.25% 2003........ 60,000 60,955
Southern California Public Power
Authority Project 6.93% 2017.......... 50,000 47,369
------------
368,427
------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.0%
FOREIGN GOVERNMENT -- 0.0%
Republic of Philippines 10.63% 2025..... 51,000 43,350
------------
REAL ESTATE -- 0.3%
REAL ESTATE COMPANIES -- 0.3%
E.O.P. Operating LP 6.38% 2003.......... 60,000 58,703
E.O.P. Operating LP 8.38% 2006.......... 130,000 134,312
Regency Centers LP 7.75% 2009........... 110,000 104,692
Susa Partnership LP 6.95% 2006.......... 40,000 37,872
------------
335,579
------------
U.S. GOVERNMENT & AGENCIES -- 12.8%
U.S. GOVERNMENT & AGENCIES -- 12.8%
Federal Home Loan Mortgage Corp. 6.00%
2006.................................. 6,181 6,114
Federal Home Loan Mortgage Corp. 6.00%
2013.................................. 208,816 201,441
Federal Home Loan Mortgage Corp. 6.00%
2028.................................. 85,099 79,541
Federal Home Loan Mortgage Corp. 6.50%
2022.................................. 58,000 55,245
Federal Home Loan Mortgage Corp. 6.50%
2023.................................. 20,000 18,725
Federal Home Loan Mortgage Corp. 6.55%
2022.................................. 32,000 31,030
Federal Home Loan Mortgage Corp. 6.75%
2022.................................. 105,000 102,653
Federal Home Loan Mortgage Corp. 7.00%
2023.................................. 12,000 11,640
Federal Home Loan Mortgage Corp. 7.50%
2023.................................. 11,878 11,941
Federal Home Loan Mortgage Corp. 7.50%
2028.................................. 143,791 143,926
Federal Home Loan Mortgage Corp. 7.75%
2022.................................. 47,238 47,444
Federal Home Loan Mortgage Corp. 8.50%
2019.................................. 15,556 16,030
Federal National Mortgage Association
5.25% 2003............................ 590,000 574,141
Federal National Mortgage Association
5.75% 2008............................ 955,000 900,832
Federal National Mortgage Association
6.00% 2028............................ 278,737 260,705
Federal National Mortgage Association
6.18% 2008............................ 19,524 18,769
Federal National Mortgage Association
6.30% 2008............................ 19,526 18,899
Federal National Mortgage Association
6.30% 2008............................ 19,436 18,843
Federal National Mortgage Association
6.34% 2008............................ 19,152 18,622
Federal National Mortgage Association
6.36% 2008............................ 38,979 38,078
Federal National Mortgage Association
6.43% 2008............................ 19,433 18,973
</TABLE>
----------------
16
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES (CONTINUED)
U.S. GOVERNMENT & AGENCIES (CONTINUED)
Federal National Mortgage Association
6.50% 2013............................ $ 163,396 $ 160,433
Federal National Mortgage Association
6.98% 2007............................ 93,005 93,585
Federal National Mortgage Association
7.02% 2007............................ 18,506 18,650
Federal National Mortgage Association
7.04% 2007............................ 19,351 19,486
Federal National Mortgage Association
7.39% 2021............................ 23,190 23,519
Federal National Mortgage Association
7.50% 2030............................ 172,776 172,344
Federal National Mortgage Association
7.50% 2030............................ 172,503 172,072
Federal National Mortgage Association
7.75% 2021............................ 50,000 50,047
Federal National Mortgage Association
8.00% 2006............................ 7,904 7,990
Government National Mortgage Association
7.00% 2022............................ 6,667 6,594
Government National Mortgage Association
7.25% 2027............................ 89,235 88,719
Government National Mortgage Association
7.50% 2023............................ 18,015 18,122
Government National Mortgage Association
7.50% 2028............................ 100,000 100,312
Government National Mortgage Association
7.50% 2029............................ 347,044 348,019
Government National Mortgage Association
7.50% 2029............................ 27,400 27,476
Government National Mortgage Association
8.50% 2017............................ 17,320 17,927
Government National Mortgage Association
9.00% 2021............................ 5,803 6,050
Overseas Private Investment Corp.,
Series 96-A 6.99% 2009................ 364,443 365,106
United States Treasury Bonds 5.25%
2028.................................. 425,000 380,906
United States Treasury Bonds 6.13%
2029.................................. 700,000 714,987
United States Treasury Bonds 9.00%
2018.................................. 2,050,000 2,688,698
United States Treasury Bonds 9.25%
2016.................................. 415,000 543,455
United States Treasury Bonds 11.88%
2003.................................. 510,000 593,273
United States Treasury Bonds 12.00%
2013.................................. 2,100,000 2,860,599
United States Treasury Notes 4.75%
2008.................................. 300,000 277,641
United States Treasury Notes 5.50%
2009.................................. 600,000 583,218
United States Treasury Notes 5.88%
2004.................................. 2,000,000 1,997,820
United States Treasury Strip Bonds zero
coupon 2012........................... 275,000 138,647
------------
15,069,287
------------
UTILITIES -- 1.0%
ELECTRIC UTILITIES -- 0.5%
Conectiv, Inc. 6.38% 2005............... 20,000 19,796
Hydro-Quebec 9.40% 2021................. 290,000 346,217
Public Service Electric & Gas Co.,
Series A 8.88% 2003................... 11,000 11,533
ScottishPower PLC, Series H 6.38%
2008.................................. 100,000 92,522
UtiliCorp United, Inc. 6.88% 2004....... 40,000 39,026
WESCO Distribution, Inc., Series B 9.13%
2008.................................. 10,000 9,325
Western Resources, Inc. 6.88% 2004...... 15,000 13,390
Western Resources, Inc. 7.13% 2009...... 10,000 7,945
GAS & PIPELINE UTILITIES -- 0.0%
Azurix Corp. 10.75% 2010*............... 15,000 13,800
TELEPHONE -- 0.5%
Alestra SA DE RL DE CV 12.13% 2006...... 20,000 19,450
Deutsche Telekom International Finance
Bv 7.75% 2005......................... 160,000 162,779
Deutsche Telekom International Finance
Bv 8.25% 2030......................... 160,000 164,181
GTE Corp. 6.36% 2006.................... 95,000 90,835
Intermedia Communications, Inc., Series
B zero coupon 2009(2)................. 15,000 10,050
Intermedia Communications, Inc., Series
B 8.88% 2007.......................... 15,000 14,400
Intermedia Communications, Inc., Series
B 9.50% 2009.......................... 10,000 9,700
</TABLE>
----------------
17
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
TELEPHONE (CONTINUED)
MCI Communications Corp. 6.13%
2002(6)............................... $ 30,000 $ 29,621
MCI WorldCom, Inc. 7.55% 2004........... 85,000 85,799
Viatel, Inc. 11.25% 2008................ 10,000 5,100
------------
1,145,469
------------
TOTAL BONDS & NOTES (cost
$28,366,479).......................... 28,043,178
------------
<CAPTION>
WARRANTS -- 0.0%+
WARRANTS
----------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 0.0%
HOUSING -- 0.0%
Mattress Discounters Holding Corp.
7/15/07* ............................. 10 100
------------
INFORMATION TECHNOLOGY -- 0.0%
TELECOMMUNICATIONS -- 0.0%
GT Group Telecom, Inc. 2/1/10* ......... 20 1,600
KMC Telecom Holdings, Inc. 1/31/08*# ... 10 25
------------
1,625
------------
TOTAL WARRANTS (cost $1,143) ........... 1,725
------------
<CAPTION>
OPTIONS -- 0.0%+
CONTRACTS
----------------------------------------------------------------------
<S> <C> <C>
PUT OPTIONS -- 0.0%
Network Appliance, Inc. $125 expires
11/00 (cost $28,743) ................. 2,000 26,500
------------
TOTAL INVESTMENT SECURITIES (cost
$95,849,077).......................... 106,041,070
------------
<CAPTION>
SHORT-TERM SECURITIES -- 6.3% PRINCIPAL
AMOUNT
----------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES -- 0.1%
Ford Motor Credit Co. 7.02% due
10/10/00.............................. $ 50,000 50,003
Popular, Inc., Series C 6.75% due
8/9/01................................ 35,000 34,876
Post Apartment Homes LP 7.02% due
4/2/01................................ 60,000 60,009
------------
144,888
------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.3%
Government of France 7.00% due
10/12/00 ............................. 330,000 291,730
------------
U.S. GOVERNMENT & AGENCIES -- 5.9%
Federal National Mortgage Association
5.63% due 3/15/01 .................... 410,000 407,503
Federal National Mortgage Association
Discount Notes 6.51% due 10/2/00 ..... 5,800,000 5,798,982
United States Treasury Notes 5.00% due
2/28/01 .............................. 620,000 616,708
United States Treasury Notes 5.75% due
6/30/01 .............................. 163,000 162,286
------------
6,985,479
------------
TOTAL SHORT-TERM SECURITIES (cost
$7,450,937) .......................... 7,422,097
------------
</TABLE>
----------------
18
<PAGE>
<TABLE>
<CAPTION>
REPURCHASE AGREEMENTS -- 5.6% PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 5.6%
Paribas Corp. Joint Repurchase Agreement
Account (Note 3) ..................... $ 2,400,000 $ 2,400,000
State Street Bank & Trust Co. Joint
Repurchase Agreement Account (Note
3) ................................... 4,229,000 4,229,000
------------
TOTAL REPURCHASE AGREEMENTS (cost
$6,629,000) .......................... 6,629,000
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $109,929,014) 101.7% 120,092,167
Liabilities in excess of other assets -- (1.7) (1,958,781)
---------- ------------
NET ASSETS -- 100.0% $118,133,386
========== ============
</TABLE>
-------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
# Fair valued security; see Note 2
(1) Bond issued as part of a unit which includes an equity component
(2) Represents a zero coupon bond which will convert to an interest-bearing
security at a later date
(3) Bond in default
(4) PIK -- ("Payment in Kind") payment made with additional securities in lieu
of cash
(5) Security represents an investment in an affiliated company; see Note 7
(6) Variable rate security; rate as of September 30, 2000
ADR -- American Depository Receipt
----------------
19
<PAGE>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
<TABLE>
-------------------------------------------------------------
GROSS
CONTRACT IN DELIVERY UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
-------------------------------------------------------------
<S> <C> <C> <C>
EUR 150,000 USD 144,150 10/05/00 $ 11,547
EUR* 300,000 USD 285,176 01/26/01 18,539
EUR* 250,000 USD 242,953 01/26/01 20,755
EUR 65,000 USD 59,948 01/26/01 2,177
EUR 200,000 USD 189,060 03/22/01 10,892
EUR 110,000 USD 100,951 03/22/01 2,959
EUR 150,000 USD 136,893 03/22/01 3,267
EUR 225,000 USD 204,330 03/22/01 3,892
EUR 245,000 USD 218,350 03/22/01 95
HKD 255,000 USD 32,747 06/27/01 199
JPY* 14,000,000 USD 138,340 10/05/00 8,372
JPY 40,000,000 USD 382,986 03/22/01 916
JPY 8,000,000 USD 77,865 03/22/01 1,451
JPY 19,000,000 USD 185,590 03/22/01 4,107
JPY 4,400,000 USD 42,699 04/12/01 527
USD 44,440 EUR 50,000 03/22/01 102
--------
89,797
--------
</TABLE>
<TABLE>
<CAPTION>
GROSS UNREALIZED
DEPRECIATION
<S> <C> <C> <C>
--------------------------------------------------------------
EUR 950,000 USD 812,725 03/07/01 (30,071)
HKD 50,000 USD 6,418 03/10/01 (4)
HKD 255,000 USD 32,747 03/27/01 (9)
USD* 98,476 JPY 10,500,000 10/05/00 (1,000)
USD* 33,635 JPY 3,500,000 10/05/00 (1,143)
USD* 142,264 EUR 150,000 01/26/01 (8,946)
USD* 71,423 EUR 75,000 01/26/01 (4,764)
USD* 71,840 EUR 75,000 01/26/01 (5,180)
USD* 52,682 EUR 55,000 01/26/01 (3,799)
USD* 82,012 EUR 90,000 01/26/01 (2,021)
USD 186,758 EUR 200,000 03/22/01 (8,590)
--------
(70,527)
--------
Net Unrealized Appreciation................. $ 19,270
========
</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 -- Euro Dollar
HKD -- Hong Kong Dollar
JPY -- Japenese Yen
USD -- United States Dollar
See Notes to Financial Statements.
----------------
20
<PAGE>
----------------
SEASONS SERIES TRUST
MULTI-MANAGED MODERATE
GROWTH PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 52.3%
SHARES VALUE
<S> <C> <C>
----------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 2.0%
APPAREL & TEXTILES -- 0.2%
Koala Corp.+ ........................... 12,000 $ 192,750
Oakley, Inc.+ .......................... 2,200 38,638
AUTOMOTIVE -- 0.6%
General Motors Corp., Class H+ ......... 19,200 713,856
SPX Corp.+ ............................. 700 99,356
RETAIL -- 1.2%
AnnTaylor Stores Corp.+ ................ 3,500 134,531
Gap, Inc. .............................. 11,995 241,399
Home Depot, Inc. ....................... 11,005 583,953
Sears, Roebuck & Co. ................... 1,000 32,420
Talbots, Inc. .......................... 1,600 106,000
Wal-Mart Stores, Inc. .................. 7,400 356,125
------------
2,499,028
------------
CONSUMER STAPLES -- 0.1%
HOUSEHOLD PRODUCTS -- 0.1%
Yankee Candle Co., Inc.+ ............... 8,200 165,025
------------
ENERGY -- 4.9%
ENERGY SERVICES -- 1.9%
Baker Hughes, Inc. ..................... 2,500 92,813
BJ Services Co.+ ....................... 3,700 226,162
Global Marine, Inc.+ ................... 7,300 225,387
Grant Prideco, Inc.+ ................... 5,600 122,850
Halliburton Co. ........................ 1,600 78,300
Nabors Industries, Inc.+ ............... 5,800 303,920
Precision Drilling Corp.+ .............. 6,100 217,313
R&B Falcon Corp.+ ...................... 7,500 209,063
Schlumberger Ltd. ...................... 1,500 123,469
Smith International, Inc.+ ............. 2,500 203,906
Transocean Sedco Forex, Inc. ........... 4,700 275,537
Weatherford International, Inc.+ ....... 4,600 197,800
ENERGY SOURCES -- 3.0%
Apache Corp. ........................... 7,300 431,613
Burlington Resources, Inc. ............. 1,000 36,813
Chevron Corp. .......................... 1,100 93,775
Devon Energy Corp. ..................... 6,000 360,900
Enron Corp. ............................ 21,420 1,876,927
Exxon Mobil Corp. ...................... 5,480 488,405
Kerr-McGee Corp. ....................... 4,000 265,000
</TABLE>
----------------
21
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
ENERGY SOURCES (CONTINUED)
Royal Dutch Petroleum Co. NY Shares .... 2,000 $ 119,875
------------
5,949,828
------------
FINANCE -- 2.7%
BANKS -- 0.9%
Bank of New York Co., Inc. ............. 2,000 112,125
Chase Manhattan Corp. .................. 1,800 83,138
Fifth Third Bancorp .................... 9,257 498,721
Firstar Corp. .......................... 15,116 338,220
Summit Bancorp ......................... 1,300 44,850
FINANCIAL SERVICES -- 1.8%
American Express Co. ................... 12,580 764,235
Capital One Financial Corp. ............ 1,800 126,112
Citigroup, Inc. ........................ 4,333 234,253
E*TRADE Group, Inc.+ ................... 19,820 325,791
Fleet Boston Financial Corp. ........... 4,000 156,000
J.P. Morgan & Co., Inc. ................ 800 130,700
Mellon Financial Corp. ................. 1,500 69,563
Merrill Lynch & Co. .................... 1,600 105,600
Morgan Stanley, Dean Witter & Co. ...... 2,600 237,737
------------
3,227,045
------------
HEALTHCARE -- 4.9%
DRUGS -- 2.8%
Alkermes, Inc.+ ........................ 3,800 146,775
Allergan, Inc. ......................... 1,900 160,431
ALZA Corp.+ ............................ 6,400 553,600
Amgen, Inc.+ ........................... 2,000 139,656
Biogen, Inc.+ .......................... 2,000 122,000
Biovail Corp.+ ......................... 2,500 203,594
Cephalon, Inc.+ ........................ 3,900 189,150
Deltagen, Inc.+ ........................ 1,300 40,219
Elan Corp. PLC ADR+ .................... 4,500 246,375
Esperion Therapeutics, Inc.+ ........... 20,000 345,000
Genentech, Inc.+ ....................... 1,700 315,669
Lexicon Genetics, Inc.+ ................ 3,400 107,525
Merck & Co., Inc. ...................... 1,200 89,325
Millennium Pharmaceuticals, Inc.+ ...... 2,700 394,369
Pfizer, Inc. ........................... 5,500 247,156
Teva Pharmaceutical Industries, Ltd.
ADR .................................. 2,000 146,375
MEDICAL PRODUCTS -- 2.1%
Abgenix, Inc.+ ......................... 5,600 452,550
Genzyme Corp.+ ......................... 3,195 217,859
Johnson & Johnson ...................... 1,800 169,088
MedImmune, Inc.+ ....................... 3,150 243,337
Medtronic, Inc. ........................ 13,647 707,085
Myriad Genetics, Inc.+ ................. 3,300 283,800
QLT PhotoTherapeutics, Inc.+ ........... 3,800 269,325
</TABLE>
----------------
22
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
MEDICAL PRODUCTS (CONTINUED)
Schering-Plough Corp. .................. 4,500 $ 209,250
Visible Genetics, Inc.+ ................ 900 36,338
------------
6,035,851
------------
INDUSTRIAL & COMMERCIAL -- 2.7%
AEROSPACE & MILITARY TECHNOLOGY -- 0.3%
Boeing Co. ............................. 5,815 366,345
BUSINESS SERVICES -- 1.6%
General Electric Co. ................... 15,500 894,156
Global Industries Ltd.+ ................ 1,400 17,500
Mobile Mini, Inc.+ ..................... 6,800 130,900
Paychex, Inc. .......................... 6,000 315,000
Pierce Leahy Corp. ..................... 5,000 4,863
TMP Worldwide, Inc.+ ................... 3,935 316,767
Waste Connections, Inc.+ ............... 5,200 133,250
Waste Management, Inc. ................. 5,900 102,881
ELECTRICAL EQUIPMENT -- 0.2%
Emerson Electric Co. ................... 4,000 268,000
MULTI-INDUSTRY -- 0.3%
Tyco International Ltd. ................ 7,500 389,063
TRANSPORTATION -- 0.3%
Offshore Logistics, Inc.+ .............. 10,300 184,112
Oshkosh Truck Corp. .................... 3,000 116,250
RailWorks Corp.+ ....................... 13,800 47,438
------------
3,286,525
------------
INFORMATION & ENTERTAINMENT -- 5.6%
BROADCASTING & MEDIA -- 5.1%
AT&T Corp. -- Liberty Media Group, Class
A+ ................................... 78,275 1,408,950
Cablevision Systems Corp., Class A+ .... 5,175 343,167
Cinar Corp., Class B+ .................. 6,500 19,500
Comcast Corp., Class A+ ................ 24,590 1,006,653
DoubleClick, Inc.+ ..................... 4,140 132,480
EchoStar Communications Corp., Class
A+ ................................... 2,100 110,775
Infinity Broadcasting Corp., Class
A+ ................................... 6,795 224,235
Lamar Advertising Co.+ ................. 6,217 235,469
Netro Corp.+ ........................... 3,400 201,450
Pegasus Communications Corp.+ .......... 7,200 347,850
Spanish Broadcasting System, Inc., Class
A+ ................................... 6,400 75,200
The Walt Disney Co. .................... 8,605 329,141
Time Warner, Inc. ...................... 19,089 1,493,715
UnitedGlobalCom, Inc., Class A+ ........ 780 23,400
Verizon Communications ................. 732 35,456
VoiceStream Wireless Corp.+ ............ 2,450 284,353
ENTERTAINMENT PRODUCTS -- 0.3%
SONY Corp. ............................. 4,000 406,509
</TABLE>
----------------
23
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
LEISURE & TOURISM -- 0.2%
SkyWest, Inc. .......................... 3,900 $ 199,875
------------
6,878,178
------------
INFORMATION TECHNOLOGY -- 26.5%
COMMUNICATION EQUIPMENT -- 4.0%
Cisco Systems, Inc.+ ................... 19,900 1,099,475
Finisar Corp.+ ......................... 1,300 62,888
Juniper Networks, Inc.+ ................ 3,600 788,175
Lucent Technologies, Inc. .............. 3,000 91,688
Network Appliance, Inc.+ ............... 2,500 318,437
ONI Systems Corp.+ ..................... 3,740 322,809
Palm, Inc.+ ............................ 18,038 954,887
Sycamore Networks, Inc.+ ............... 3,400 367,200
Symbol Technologies, Inc. .............. 9,845 353,805
Turnstone Systems, Inc.+ ............... 3,500 162,312
Tycom Ltd.+ ............................ 10,835 415,793
COMPUTER SERVICES -- 1.6%
BEA Systems, Inc.+ ..................... 8,800 685,300
i2 Technologies, Inc.+ ................. 5,620 1,051,291
Sun Microsystems, Inc.+ ................ 2,200 256,850
COMPUTERS & BUSINESS EQUIPMENT -- 2.9%
Brocade Communications Systems,
Inc.+ ................................ 2,000 472,000
Compaq Computer Corp. .................. 5,200 143,416
Dell Computer Corp.+ ................... 4,000 123,250
EMC Corp.+ ............................. 13,225 1,310,928
Gateway, Inc.+ ......................... 1,800 84,150
International Business Machines
Corp. ................................ 2,000 225,000
Redback Networks, Inc.+ ................ 3,600 590,175
VERITAS Software Corp.+ ................ 4,548 645,816
COMPUTER SOFTWARE -- 1.9%
CheckFree Corp.+ ....................... 900 37,702
Electronic Arts, Inc.+ ................. 12,530 618,669
Micromuse, Inc.+ ....................... 1,800 361,687
Microsoft Corp.+ ....................... 7,930 478,278
Oracle Corp.+ .......................... 4,500 354,375
Siebel Systems, Inc.+ .................. 4,600 512,037
ELECTRONICS -- 4.1%
Analog Devices, Inc.+ .................. 9,680 799,205
Applied Materials, Inc.+ ............... 5,760 341,640
ASM Lithography Holdings NV+ ........... 9,510 307,292
Bookham Technology PLC ADR+ ............ 800 34,300
Broadcom Corp., Class A+ ............... 2,600 633,750
Check Point System, Inc.+ .............. 2,000 315,000
Integrated Device Technology, Inc.+ .... 7,860 711,330
Intel Corp. ............................ 9,740 404,819
Linear Technology Corp. ................ 3,000 194,250
PerkinElmer, Inc.+ ..................... 2,000 208,750
PMC-Sierra, Inc.+ ...................... 1,200 258,300
</TABLE>
----------------
24
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
ELECTRONICS (CONTINUED)
Texas Instruments, Inc. ................ 16,555 $ 781,189
INTERNET CONTENT -- 1.9%
Amazon.com, Inc.+ ...................... 14,785 568,298
Critical Path, Inc.+ ................... 1,100 66,825
eBay, Inc.+ ............................ 4,585 314,646
Exodus Communications, Inc.+ ........... 11,145 550,284
Stamps.com, Inc.+ ...................... 3,500 13,453
VeriSign, Inc.+ ........................ 3,905 791,007
Yahoo!, Inc.+ .......................... 400 36,400
INTERNET SOFTWARE -- 2.5%
America Online, Inc.+ .................. 1,000 53,750
Ariba, Inc.+ ........................... 3,600 515,756
Art Technology Group, Inc.+ ............ 2,300 217,925
Blue Martini Software, Inc.+ ........... 6,000 203,250
BroadVision, Inc.+ ..................... 1,500 38,344
Digex, Inc.+ ........................... 4,270 200,156
Inktomi Corp.+ ......................... 4,315 491,910
Macromedia, Inc.+ ...................... 600 48,487
Phone.com, Inc.+ ....................... 7,835 890,252
RealNetworks, Inc.+ .................... 3,300 131,175
Software.com, Inc.+ .................... 230 41,731
Vignette Corp.+ ........................ 700 20,913
WatchGuard Technologies, Inc.+ ......... 3,400 204,000
TELECOMMUNICATIONS -- 7.6%
Amdocs Ltd.+ ........................... 4,200 261,975
Avanex Corp.+ .......................... 3,555 382,829
China Mobile Hong Kong Ltd. ADR+ ....... 9,360 303,615
CIENA Corp.+ ........................... 3,600 442,125
Corning, Inc. .......................... 2,200 653,400
Cox Communications, Inc., Class A+ ..... 5,305 202,916
JDS Uniphase Corp.+ .................... 10,550 998,953
Level 3 Communications, Inc.+ .......... 7,020 541,417
McLeodUSA, Inc., Class A+ .............. 28,985 414,848
Nippon Telegraph & Telephone Corp.
ADR .................................. 19 546,154
Nokia Corp. ADR ........................ 47,435 1,888,506
Nortel Networks Corp. .................. 4,000 238,250
NTL, Inc.+ ............................. 3,881 179,739
QUALCOMM, Inc.+ ........................ 6,940 494,475
Sonus Networks, Inc.+ .................. 1,400 176,925
Sprint Corp. (PCS Group)+ .............. 7,730 271,033
Telefonaktiebolaget LM Ericsson AB
ADR .................................. 26,805 397,049
Telefonaktiebolaget LM Ericsson AB,
Series B ............................. 11,613 176,943
Vodafone Group PLC ADR ................. 15,590 576,832
------------
32,424,764
------------
</TABLE>
----------------
25
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
MATERIALS -- 0.1%
METALS & MINERALS -- 0.1%
Maverick Tube Corp.+ ................... 5,600 $ 150,850
------------
UTILITIES -- 2.8%
ELECTRIC UTILITIES -- 1.4%
Calpine Corp.+ ......................... 3,400 354,875
Dominion Resources, Inc.+ .............. 3,660 212,509
Duke Energy Corp. ...................... 11,260 965,545
PECO Energy Co. ........................ 2,000 121,125
GAS & PIPELINE UTILITIES -- 0.6%
Coastal Corp. .......................... 4,000 296,500
Dynegy, Inc., Class A .................. 3,400 193,800
El Paso Energy Corp. ................... 4,200 258,825
TELEPHONE -- 0.8%
AT&T Corp. ............................. 1,400 41,125
SBC Communications, Inc. ............... 1,200 60,000
Telefonica SA .......................... 13,879 275,362
Telefonos de Mexico SA ADR ............. 7,145 380,025
WinStar Communications, Inc.+ .......... 8,525 132,137
WorldCom, Inc.+ ........................ 3,000 91,125
------------
3,382,953
------------
TOTAL COMMON STOCK (cost $54,674,793)... 64,000,047
------------
<CAPTION>
PREFERRED STOCK -- 0.0%
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 0.0%
TELECOMMUNICATIONS -- 0.0%
Nextlink Communications, Inc., Series B
13.50% (1) (cost $7,595) ............. 11 8,957
------------
<CAPTION>
BONDS & NOTES -- 37.8% PRINCIPAL
AMOUNT
----------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 0.7%
APPAREL & TEXTILES -- 0.0%
Levi Strauss & Co. 6.80% 2003 .......... $ 10,000 8,400
Levi Strauss & Co. 7.00% 2006 .......... 25,000 19,500
Westpoint Stevens, Inc. 7.88% 2008 ..... 35,000 28,875
AUTOMOTIVE -- 0.3%
Accuride Corp., Series B 9.25% 2008 .... 10,000 8,300
Daimler Chrysler North America 7.75%
2005 ................................. 240,000 245,004
Delco Remy International, Inc. 8.63%
2007 ................................. 30,000 28,350
Delco Remy International, Inc. 10.63%
2006 ................................. 10,000 9,900
Dura Operating Corp., Series B 9.00%
2009 ................................. 20,000 17,200
Federal-Mogul Corp. 7.50% 2009 ......... 70,000 26,600
Federal-Mogul Corp. 8.80% 2007 ......... 20,000 7,600
LDM Technologies, Inc., Series B 10.75%
2007 ................................. 10,000 6,500
Lear Corp. 7.96% 2005 .................. 10,000 9,581
Lear Corp., Series B 8.11% 2009 ........ 30,000 28,520
</TABLE>
----------------
26
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY (CONTINUED)
HOUSING -- 0.1%
Engle Homes, Inc., Series C 9.25%
2008 ................................. $ 10,000 $ 9,150
Henry Co., Series B 10.00% 2008 ........ 20,000 9,000
Mattress Disounters Corp. 12.63%
2007(2) .............................. 15,000 13,875
Nortek, Inc., Series B 8.88% 2008 ...... 5,000 4,600
Standard Pacific Corp. 8.50% 2007 ...... 15,000 14,138
Webb (Del E.) Corp. 10.25% 2010 ........ 10,000 9,450
RETAIL -- 0.3%
Albertsons, Inc. 8.70% 2030 ............ 82,000 84,549
Duane Reade, Inc. 9.25% 2008 ........... 50,000 44,000
Kroger Co. 7.38% 2005 .................. 40,000 39,439
Sealy Mattress Co., Series B zero coupon
2007(3) .............................. 20,000 14,900
Stater Brothers Holdings, Inc. 10.75%
2006 ................................. 30,000 26,400
Wal-Mart Stores, Inc. 7.55% 2030 ....... 210,000 216,676
------------
930,507
------------
CONSUMER STAPLES -- 0.4%
FOOD, BEVERAGE & TOBACCO -- 0.4%
Aurora Foods, Inc., Series B 8.75%
2008 ................................. 15,000 11,475
Aurora Foods, Inc., Series D 9.88%
2007 ................................. 5,000 3,950
B & G Foods, Inc. 9.63% 2007 ........... 20,000 14,400
Chiquita Brands International, Inc.
10.00% 2009 .......................... 25,000 15,000
CPC International, Inc., Series E 7.25%
2026 ................................. 155,000 145,240
Del Monte Foods Co., Series B zero
coupon 2007(3) ....................... 22,000 16,830
Nash Finch Co., Series B 8.50% 2008 .... 35,000 25,200
New World Pasta Co. 9.25% 2009 ......... 20,000 11,800
Panamerican Beverage, Inc. 8.13%
2003 ................................. 60,000 58,923
Seagram (Joseph E.) & Sons, Inc. 7.50%
2018 ................................. 130,000 127,244
Whitman Corp. 6.38% 2009 ............... 130,000 116,311
------------
546,373
------------
ENERGY -- 0.9%
ENERGY SERVICES -- 0.0%
ICO, Inc., Series B 10.38% 2007 ........ 15,000 14,475
Key Energy Services, Inc., Series B
14.00% 2009 .......................... 10,000 11,375
Pride International, Inc. 10.00%
2009 ................................. 10,000 10,513
Pride Petroleum Services, Inc. 9.38%
2007 ................................. 20,000 20,500
Tuboscope, Inc. 7.50% 2008 ............. 20,000 17,575
ENERGY SOURCES -- 0.9%
Energy Corp. of America, Series A 9.50%
2007 ................................. 30,000 22,800
Enron Corp. 6.75% 2004 ................. 100,000 98,858
Enron Corp. 9.63% 2006 ................. 110,000 120,350
Husky Oil Ltd. 7.55% 2016 .............. 140,000 130,543
Petroleos Mexicanos 9.38% 2008 ......... 10,000 10,275
Petroleos Mexicanos, Series P 9.50%
2027 ................................. 220,000 227,025
Pioneer Natural Resources Co. 9.63%
2010 ................................. 15,000 15,900
Plains Resources, Inc., Series B 10.25%
2006 ................................. 10,000 10,275
Plains Resources, Inc., Series D 10.25%
2006 ................................. 20,000 20,300
Tosco Corp. 8.13% 2030 ................. 300,000 301,083
</TABLE>
----------------
27
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
ENERGY SOURCES (CONTINUED)
YPF Sociedad Anonima, Series C 10.00%
2028 ................................. $ 100,000 $ 110,390
------------
1,142,237
------------
FINANCE -- 8.5%
BANKS -- 1.6%
Bank of America Corp. 9.38% 2009 ....... 48,000 53,123
Bank of Scotland 7.70% 2010* ........... 300,000 300,490
Credit National 7.00% 2005 ............. 110,000 107,987
Deutsche Ausgleichsbank 7.00% 2005 ..... 330,000 333,518
First Republic Bancorp 7.75% 2012 ...... 45,000 37,823
First Union-Lehman Brothers Commercial
Mortgage Corp. 6.60% 2007 ............ 205,000 201,910
National Australia Bank Ltd. 8.60%
2010 ................................. 300,000 320,583
National City Corp. 7.20% 2005 ......... 170,000 168,750
NBD Bank NA 8.25% 2024 ................. 45,000 47,858
Royal Bank Scotland Group PLC 6.40%
2009 ................................. 240,000 223,051
U.S. Bancorp 7.50% 2026 ................ 195,000 195,406
Werner Holdings Co., Inc., Series A
10.00% 2007 .......................... 10,000 9,600
Western Financial Bank 8.88% 2007 ...... 20,000 18,300
FINANCIAL SERVICES -- 3.8%
Aesop Funding II LLC 6.14% 2006* ....... 100,000 96,100
Aesop Funding II LLC 6.22% 2001* ....... 16,667 16,662
Aesop Funding II LLC 6.40% 2003* ....... 50,000 49,622
Allstate Financing II 7.83% 2045 ....... 44,000 39,610
American General Corp. 6.75% 2005 ...... 115,000 112,710
American General Finance Corp., Series E
6.25% 2002 ........................... 100,000 98,542
Asset Securitization Corp. 6.75%
2041 ................................. 75,000 73,406
AXA Finanical, Inc. 7.00% 2028 ......... 110,000 98,765
Chase Credit Card Master Trust 6.19%
2005 ................................. 120,000 118,954
Crown Castle International Corp. zero
coupon 2007(3)(6) .................... 20,000 15,600
CS First Boston Mortgage Securities
Corp. 7.24% 2029 ..................... 100,000 100,451
Dime Capital Trust I, Series A 9.33%
2027 ................................. 35,000 32,181
Fleet Mortgage Group, Inc., Series A
6.84% 2003 ........................... 50,000 49,991
GE Capital Mortgage Services, Inc. 6.25%
2023 ................................. 2,251 2,238
General Electric Capital Corp. 8.70%
2007 ................................. 150,000 163,992
General Motors Acceptance Corp. 7.63%
2003 ................................. 105,000 106,623
Liberty Financial Cos., Inc. 6.75%
2008 ................................. 130,000 119,648
MBNA Master Credit Card Trust 6.90%
2008 ................................. 400,000 402,152
Merrill Lynch Mortgage Investors, Inc.
6.54% 2029 ........................... 300,000 289,485
Morgan Stanley Capital I, Inc. 6.54%
2008 ................................. 300,000 291,742
Nomura Asset Securities Corp. 6.59%
2028 ................................. 320,000 310,614
Norwest Financial, Inc. 7.60% 2005 ..... 270,000 275,311
Popular North America, Inc., Series D
6.63% 2002 ........................... 50,000 49,299
Principal Financial Group 8.20%
2009* ................................ 240,000 241,127
Private Export Funding Corp. 6.62%
2005 ................................. 220,000 221,228
Private Export Funding Corp., Series C
6.31% 2004 ........................... 100,000 99,363
Private Export Funding Corp., Series NN
7.30% 2002 ........................... 225,000 227,074
Private Export Funding Corp., Series YY
7.03% 2003 ........................... 45,000 45,661
PSA Corp., Ltd. 7.13% 2005* ............ 320,000 322,818
RBF Finance Co. 11.38% 2009 ............ 35,000 40,294
Sprint Capital Corp. 6.13% 2008 ........ 135,000 121,945
</TABLE>
----------------
28
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
Sun Canada Financial Co. 6.63% 2007* ... $ 130,000 $ 124,618
Tembec Finance Corp. 9.88% 2005 ........ 10,000 10,100
Tembec Industries, Inc. 8.63% 2009 ..... 5,000 4,875
Toyota Motor Credit Corp. 5.63% 2003 ... 115,000 111,258
U.S. West Capital Funding, Inc. 6.25%
2005 ................................. 130,000 124,411
INSURANCE -- 3.1%
AAG Holding Co., Inc. 6.88% 2008 ....... 110,000 99,548
Abbey National PLC, Series E 6.69%
2005 ................................. 180,000 176,630
Ace Capital Trust II 9.70% 2030 ........ 290,000 307,203
Allstate Corp. 7.88% 2005 .............. 173,000 178,571
American Financial Group, Inc. 7.13%
2009 ................................. 55,000 47,908
Amerus Life Holdings, Inc. 6.95%
2005 ................................. 190,000 177,603
CIGNA Corp. 7.40% 2007 ................. 85,000 82,580
CIGNA Corp. 7.88% 2027 ................. 134,000 125,841
CIGNA Corp. 8.25% 2007 ................. 60,000 61,143
Everest Reinsurance Holdings Co. 8.75%
2010 ................................. 280,000 291,816
Farmers Insurance Exchange 8.50%
2004* ................................ 280,000 287,274
Florida Windstorm Underwriting
Associates, Inc. 7.13% 2019* ......... 270,000 253,849
GE Global Insurance Holding Corp. 7.75%
2030 ................................. 350,000 353,332
Jackson National Life Insurance Co.
8.15% 2027* .......................... 40,000 38,294
Lumbermens Mutual Casualty Co. 8.30%
2037* ................................ 70,000 55,808
Metropolitan Life Insurance Co. 7.70%
2015* ................................ 120,000 116,267
Prudential Insurance Co. 6.88% 2003* ... 275,000 273,619
Reliastar Financial Corp. 8.00% 2006 ... 180,000 184,354
Safeco Capital Trust I 8.07% 2037 ...... 230,000 194,164
St. Paul Cos., Inc. 8.13% 2010 ......... 226,000 234,694
Travelers Property Casualty Corp. 7.75%
2026 ................................. 240,000 233,466
------------
10,400,833
------------
HEALTHCARE -- 0.4%
DRUGS -- 0.0%
Bergen Brunswig Corp. 7.38% 2003 ....... 30,000 27,864
Warner Chilcott, Inc. 12.63% 2008* ..... 20,000 20,600
HEALTH SERVICES -- 0.1%
ALARIS Medical Systems, Inc. 9.75%
2006 ................................. 40,000 29,200
Beverly Enterprises, Inc. 9.00% 2006 ... 30,000 28,125
Columbia/HCA Healthcare Corp. 7.25%
2008 ................................. 20,000 18,600
Tenet Healthcare Corp. 7.88% 2003 ...... 40,000 39,500
Tenet Healthcare Corp., Series B 8.13%
2008 ................................. 15,000 14,306
Triad Hospitals Holdings, Inc., Series B
11.00% 2009 .......................... 20,000 20,500
MEDICAL PRODUCTS -- 0.3%
ALARIS Medical, Inc. zero coupon
2008(3) .............................. 20,000 5,200
Beckman Instruments, Inc. 7.10% 2003 ... 70,000 67,902
Beckman Instruments, Inc. 7.45% 2008 ... 10,000 9,263
Bio Rad Labs, Inc. 11.63% 2007 ......... 14,000 14,630
Cardinal Health 7.00% 2026 ............. 220,000 215,316
Conmed Corp. 9.00% 2008 ................ 35,000 29,400
Mediq, Inc./ PRN Life Support Services,
Inc. 11.00% 2008(4) .................. 15,000 450
------------
540,856
------------
</TABLE>
----------------
29
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL -- 2.0%
AEROSPACE & MILITARY TECHNOLOGY -- 0.5%
Dunlop Standard Aerospace Holdings PLC
11.88% 2009 .......................... $ 25,000 $ 25,156
K & F Industries, Inc., Series B 9.25%
2007 ................................. 35,000 33,600
Raytheon Co. 8.20% 2006* ............... 214,000 221,073
SCL Term Aereo Santiago SA 6.95%
2012* ................................ 360,000 330,851
BUSINESS SERVICES -- 0.9%
Abitibi Consolidated, Inc. 8.30%
2005 ................................. 260,000 266,326
Allied Waste North America, Inc., Series
B 7.63% 2006 ......................... 25,000 22,375
Boise Cascade Office Products Corp.
7.05% 2005 ........................... 225,000 217,318
Federal Express Corp. 6.72% 2022 ....... 146,473 138,063
Fisher Scientific International, Inc.
9.00% 2008 ........................... 15,000 13,800
Iron Mountain, Inc. 8.13% 2008 ......... 10,000 9,100
Iron Mountain, Inc. 8.75% 2009 ......... 20,000 19,400
Neenah Corp., Series B 11.13% 2007 ..... 5,000 3,875
Neenah Corp., Series F 11.13% 2007 ..... 5,000 3,875
Owens & Minor, Inc. 10.88% 2006 ........ 20,000 20,700
Waste Management, Inc. 6.88% 2009 ...... 20,000 18,153
Waste Management, Inc. 7.00% 2006 ...... 120,000 112,424
Waste Management, Inc. 7.13% 2007 ...... 230,000 214,714
World Color Press, Inc. 8.38% 2008 ..... 20,000 19,450
MACHINERY -- 0.0%
Argo-Tech Corp. 8.63% 2007 ............. 5,000 4,125
Grove Worldwide, Inc. LLC 9.25% 2008 ... 15,000 1,950
Numatics, Inc., Series B 9.63% 2008 .... 10,000 7,900
Roller Bearing Co. of America, Inc.,
Series B 9.63% 2007 .................. 5,000 4,575
Westinghouse Air Brake Co., Series B2
9.38% 2005 ........................... 5,000 4,825
MULTI-INDUSTRY -- 0.5%
American Standard, Inc. 7.63% 2010 ..... 5,000 4,713
Honeywell International, Inc. 6.88%
2005 ................................. 300,000 298,374
Prestolite Electric, Inc. 9.63% 2008 ... 25,000 17,000
Tyco International Group SA 6.38%
2005 ................................. 330,000 320,565
TRANSPORTATION -- 0.1%
AMR Corp. 10.20% 2020 .................. 50,000 54,681
------------
2,408,961
------------
INFORMATION & ENTERTAINMENT -- 1.4%
BROADCASTING & MEDIA -- 0.8%
Adelphia Communications Corp. 9.38%
2009 ................................. 15,000 13,650
Adelphia Communications Corp., Series B
8.38% 2008 ........................... 10,000 8,725
Allbritton Communications Co., Series B
8.88% 2008 ........................... 30,000 28,050
AMC Entertainment, Inc. 9.50% 2009 ..... 35,000 16,100
AMC Entertainment, Inc. 9.50% 2011 ..... 35,000 16,100
American Color Graphics, Inc. 12.75%
2005 ................................. 15,000 14,850
Benedek Communications Corp. zero coupon
2006(3) .............................. 40,000 35,000
Cablevision SA 13.75% 2009 ............. 10,000 8,900
Century Communications Corp., Series B
zero coupon 2008(3) .................. 40,000 16,200
Charter Communication Holdings LLC 8.63%
2009 ................................. 60,000 53,850
Classic Cable, Inc. 10.50% 2010 ........ 40,000 34,200
Comcast Cable Communications Corp. 8.50%
2027 ................................. 35,000 36,448
Echostar DBS Corp. 9.38% 2009 .......... 60,000 58,800
</TABLE>
----------------
30
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
BROADCASTING & MEDIA (CONTINUED)
Frontiervision Holdings LP zero coupon
2007(3) .............................. $ 20,000 $ 17,475
Frontiervision Holdings LP, Series B
zero coupon 2007(3) .................. 10,000 8,700
Granite Broadcasting Corp. 8.88%
2008 ................................. 20,000 14,000
LIN Holdings Corp. zero coupon
2008(3) .............................. 50,000 36,000
News America Holdings, Inc. 8.00%
2016 ................................. 260,000 250,539
Scholastic Corp. 7.00% 2003 ............ 70,000 69,120
Sun Media Corp. 9.50% 2007 ............. 25,000 24,969
TCI Communications, Inc. 8.00% 2005 .... 35,000 35,945
Tele-Communications, Inc. 7.25% 2005 ... 50,000 49,819
Tele-Communications, Inc. 9.25% 2002 ... 35,000 36,275
Viacom, Inc. 7.75% 2005 ................ 65,000 66,632
Young Broadcasting, Inc., Series B 8.75%
2007 ................................. 30,000 28,463
ENTERTAINMENT PRODUCTS -- 0.1%
Bell Sports, Inc., Series B 11.00%
2008 ................................. 30,000 30,300
True Temper Sports, Inc., Series B
10.88% 2008 .......................... 20,000 19,525
LEISURE & TOURISM -- 0.5%
Continental Airlines, Inc., Series A
6.65% 2017 ........................... 71,046 65,776
Continental Airlines, Inc., Series B
6.47% 2004 ........................... 72,878 70,928
John Q. Hammons Hotels, Inc. 8.88%
2004 ................................. 25,000 23,250
Northwest Airlines Pass Through Trust
8.07% 2019 ........................... 410,000 418,159
Station Casinos, Inc. 8.88% 2008 ....... 30,000 28,762
Tricon Global Restaurants, Inc. 7.65%
2008 ................................. 15,000 13,950
------------
1,649,460
------------
INFORMATION TECHNOLOGY -- 0.8%
COMMUNICATION EQUIPMENT -- 0.0%
Concentric Network Corp. 12.75% 2007 ... 20,000 20,000
ELECTRONICS -- 0.2%
Amphenol Corp. 9.88% 2007 .............. 6,000 6,075
Eaton Corp. 7.65% 2029 ................. 210,000 195,921
Fairchild Semiconductor Corp. 10.13%
2007 ................................. 30,000 30,000
L-3 Communications Holdings, Inc.,
Series B 8.00% 2008 .................. 10,000 9,000
SCG Holdings & Semiconductor Co., Series
B 12.00% 2009 ........................ 16,000 16,800
INTERNET CONTENT -- 0.0%
Exodus Communications, Inc. 11.63%
2010* ................................ 30,000 30,075
INTERNET SOFTWARE -- 0.1%
Covad Communications Group, Inc. 12.00%
2010 ................................. 10,000 7,500
Covad Communications Group, Inc. 12.50%
2009 ................................. 10,000 7,650
PSINet, Inc. 11.00% 2009 ............... 10,000 6,500
PSINet, Inc. 11.50% 2008 ............... 30,000 19,950
PSINet, Inc., Series B 10.00% 2005 ..... 20,000 13,000
TELECOMMUNICATIONS -- 0.5%
Adelphia Business Solutions, Inc.,
Series B zero coupon 2003(3) ......... 20,000 16,250
Adelphia Business Solutions, Inc.,
Series B 12.25% 2004 ................. 20,000 18,200
Alaska Communications Holdings, Inc.
9.38% 2009 ........................... 15,000 13,819
AMSC Acquisition Co., Inc., Series B
12.25% 2008 .......................... 5,000 3,725
BTI Telecom Corp. 10.50% 2007 .......... 10,000 5,800
Clearnet Communications, Inc. zero
coupon 2009(3) ....................... 15,000 11,888
</TABLE>
----------------
31
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
Compania de Telecomunicaciones de Chile
7.63% 2006 ........................... $ 40,000 $ 39,145
Compania de Telecomunicaciones de Chile
8.38% 2006 ........................... 45,000 45,338
e.Spire Communications, Inc. zero coupon
2008(3) .............................. 30,000 9,150
GCI, Inc. 9.75% 2007 ................... 60,000 56,400
GT Group Telecom, Inc. zero coupon
2010(2)(3) ........................... 25,000 10,750
Insight Midwest LP 9.75% 2009 .......... 15,000 15,112
ITC Deltacom, Inc. 8.88% 2008 .......... 10,000 8,550
ITC Deltacom, Inc. 9.75% 2008 .......... 20,000 16,800
KMC Telecom Holdings, Inc. zero coupon
2008(3) .............................. 30,000 12,000
Level 3 Communications, Inc. 9.13%
2008 ................................. 10,000 8,625
Level 3 Communications, Inc. 11.25%
2010 ................................. 25,000 23,875
McLeodUSA, Inc. 8.13% 2009 ............. 20,000 17,400
McLeodUSA, Inc. 8.38% 2008 ............. 15,000 13,200
McLeodUSA, Inc. 9.25% 2007 ............. 10,000 9,250
McLeodUSA, Inc. 9.50% 2008 ............. 15,000 14,025
MJD Communications, Inc., Series B 9.50%
2008 ................................. 10,000 8,700
Nextel Communications, Inc. zero coupon
2007(3) .............................. 60,000 46,800
Nextel Communications, Inc. 9.38%
2009 ................................. 20,000 19,600
NEXTLINK Communications, Inc. zero
coupon 2008(3) ....................... 30,000 17,550
NTL Communications Corp., Series B zero
coupon 2008(3) ....................... 55,000 34,925
RCN Corp. zero coupon 2008(3) .......... 35,000 16,800
RCN Corp. 10.00% 2007 .................. 20,000 14,800
Rogers Cantel, Inc. 9.38% 2008 ......... 5,000 5,175
RSL Communications PLC 12.00% 2008 ..... 20,000 5,300
Satelites Mexicanos SA de CV, Series B
10.13% 2004 .......................... 20,000 12,600
Telecommunications Techniques Co. LLC
9.75% 2008 ........................... 20,000 18,800
Time Warner Telecom, Inc. 9.75% 2008 ... 25,000 23,187
------------
956,010
------------
MATERIALS -- 1.1%
CHEMICALS -- 0.5%
Acetex Corp. 9.75% 2003* ............... 20,000 19,050
Avecia Group PLC 11.00% 2009 ........... 25,000 24,625
Georgia Gulf Corp. 10.38% 2007 ......... 15,000 15,075
ICI Wilmington, Inc. 6.95% 2004 ........ 350,000 340,774
Lyondell Chemical Co. 9.80% 2020 ....... 15,000 14,625
Lyondell Chemical Co., Series B 9.88%
2007 ................................. 50,000 48,812
Pioneer Americas Acquisition Corp.,
Series B 9.25% 2007 .................. 15,000 7,950
Praxair, Inc. 6.75% 2003 ............... 130,000 128,872
Texas Petrochemical Corp. 11.13%
2006 ................................. 20,000 17,100
Texas Petrochemical Corp., Series B
11.13% 2006 .......................... 20,000 16,600
FOREST PRODUCTS -- 0.4%
Boise Cascade Co., Series A 9.90%
2001 ................................. 70,000 71,699
Doman Industries Ltd. 8.75% 2004 ....... 10,000 6,600
Doman Industries Ltd. 12.00% 2004 ...... 20,000 19,875
Gaylord Container Corp., Series B 9.38%
2007 ................................. 30,000 20,100
International Paper Co. 8.10% 2009 ..... 100,000 102,124
Owens-Illinois, Inc. 7.50% 2010 ........ 10,000 8,454
Packaging Corp. of America 9.63%
2009 ................................. 10,000 10,125
Paperboard Industries International,
Inc. 8.38% 2007 ...................... 5,000 4,200
</TABLE>
----------------
32
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
MATERIALS (CONTINUED)
FOREST PRODUCTS (CONTINUED)
Sonoco Products Co. 7.00% 2004 ......... $ 200,000 $ 200,338
METALS & MINERALS -- 0.2%
AK Steel Corp. 7.88% 2009 .............. 40,000 35,800
Alcoa, Inc. 7.25% 2005 ................. 95,000 96,701
Algoma Steel, Inc. 12.38% 2005 ......... 25,000 17,750
BWay Corp., Series B 10.25% 2007 ....... 30,000 29,400
Consumers Packaging, Inc. 9.75% 2007 ... 10,000 2,200
LTV Corp. 11.75% 2009 .................. 45,000 24,750
National Steel Corp. 9.88% 2009 ........ 30,000 17,700
P & L Coal Holdings Corp., Series B
9.63% 2008 ........................... 15,000 14,550
Weirton Steel Corp. 11.38% 2004......... 30,000 24,600
------------
1,340,449
------------
MUNICIPAL BONDS -- 0.6%
MUNICIPAL BONDS -- 0.6%
Allentown Pennsylvania 6.20% 2005 ...... 225,000 219,404
Hudson County New Jersey Improvement
Authority Facility 6.55% 2002 ........ 85,000 84,863
Huntsville Alabama Solid Waste Disposal
Authority 5.95% 2003 ................. 85,000 83,335
Miami Florida Revenue 7.25% 2003 ....... 110,000 111,751
Phoenix Arizona Civic Improvement Corp.
6.30% 2008 ........................... 100,000 94,992
Southern California Public Power
Authority Project 6.93% 2017 ......... 100,000 94,738
------------
689,083
------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.1%
FOREIGN GOVERNMENT -- 0.1%
Republic of Philippines 10.63% 2025 .... 103,000 87,550
------------
REAL ESTATE -- 0.5%
REAL ESTATE COMPANIES -- 0.5%
E.O.P. Operating LP 6.38% 2003 ......... 100,000 97,838
E.O.P. Operating LP 8.38% 2006 ......... 250,000 258,292
Regency Centers LP 7.75% 2009 .......... 210,000 199,868
Susa Partnership LP 6.95% 2006 ......... 70,000 66,276
------------
622,274
------------
U.S. GOVERNMENT & AGENCIES -- 19.1%
U.S. GOVERNMENT & AGENCIES -- 19.1%
Federal Home Loan Mortgage Corp. 6.00%
2006 ................................. 10,817 10,699
Federal Home Loan Mortgage Corp. 6.00%
2013 ................................. 413,154 398,561
Federal Home Loan Mortgage Corp. 6.00%
2028 ................................. 170,198 159,082
Federal Home Loan Mortgage Corp. 6.50%
2022 ................................. 122,000 116,205
Federal Home Loan Mortgage Corp. 6.50%
2023 ................................. 40,000 37,450
Federal Home Loan Mortgage Corp. 6.55%
2022 ................................. 32,000 31,030
Federal Home Loan Mortgage Corp. 6.75%
2022 ................................. 130,000 127,094
Federal Home Loan Mortgage Corp. 7.00%
2023 ................................. 25,000 24,250
Federal Home Loan Mortgage Corp. 7.50%
2023 ................................. 11,878 11,941
Federal Home Loan Mortgage Corp. 7.50%
2025 ................................. 220,038 220,931
Federal Home Loan Mortgage Corp. 7.75%
2022 ................................. 63,589 63,867
Federal Home Loan Mortgage Corp. 8.50%
2019 ................................. 28,889 29,771
</TABLE>
----------------
33
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES (CONTINUED)
U.S. GOVERNMENT & AGENCIES (CONTINUED)
Federal National Mortgage Association
5.25% 2003 ........................... $ 825,000 $ 802,824
Federal National Mortgage Association
5.75% 2008 ........................... 760,000 716,893
Federal National Mortgage Association
6.00% 2014 ........................... 156,837 150,905
Federal National Mortgage Association
6.00% 2028 ........................... 467,323 436,513
Federal National Mortgage Association
6.18% 2008 ........................... 19,524 18,769
Federal National Mortgage Association
6.27% 2007 ........................... 53,559 51,878
Federal National Mortgage Association
6.30% 2008 ........................... 19,526 18,899
Federal National Mortgage Association
6.30% 2008 ........................... 19,436 18,843
Federal National Mortgage Association
6.34% 2008 ........................... 19,152 18,622
Federal National Mortgage Association
6.36% 2008 ........................... 126,682 123,753
Federal National Mortgage Association
6.39% 2006 ........................... 19,002 18,648
Federal National Mortgage Association
6.43% 2008 ........................... 19,433 18,972
Federal National Mortgage Association
6.90% 2007 ........................... 235,576 236,202
Federal National Mortgage Association
6.98% 2007 ........................... 18,601 18,717
Federal National Mortgage Association
7.04% 2007 ........................... 53,216 53,587
Federal National Mortgage Association
7.28% 2006 ........................... 33,790 34,394
Federal National Mortgage Association
7.39% 2021 ........................... 38,650 39,198
Federal National Mortgage Association
7.50% 2030 ........................... 333,712 333,085
Federal National Mortgage Association
7.50% 2030 ........................... 342,839 341,981
Federal National Mortgage Association
7.75% 2021 ........................... 184,000 184,171
Federal National Mortgage Association
8.00% 2006 ........................... 31,615 31,961
Government National Mortgage Association
7.00% 2022 ........................... 12,887 12,746
Government National Mortgage Association
7.00% 2023 ........................... 11,225 11,095
Government National Mortgage Association
7.25% 2027 ........................... 175,956 174,939
Government National Mortgage Association
7.50% 2024 ........................... 50,369 50,636
Government National Mortgage Association
7.50% 2028 ........................... 200,000 200,624
Government National Mortgage Association
7.50% 2028 ........................... 168,694 169,327
Government National Mortgage Association
7.50% 2029 ........................... 119,650 119,986
Government National Mortgage Association
7.50% 2030 ........................... 612,042 613,762
Government National Mortgage Association
8.50% 2017 ........................... 31,754 32,866
Government National Mortgage Association
9.00% 2021 ........................... 8,589 8,954
Overseas Private Investment Corp.,
Series 96-A 6.99% 2009 ............... 337,777 338,391
United States Treasury Bonds 5.25%
2028 ................................. 350,000 313,688
United States Treasury Bonds 6.13%
2029 ................................. 200,000 204,282
United States Treasury Bonds 8.50%
2020 ................................. 150,000 190,031
United States Treasury Bonds 9.00%
2018 ................................. 3,522,000 4,619,314
United States Treasury Bonds 9.25%
2016 ................................. 1,000,000 1,309,530
United States Treasury Bonds 11.88%
2003 ................................. 1,180,000 1,372,670
United States Treasury Bonds 12.00%
2013 ................................. 4,250,000 5,789,307
United States Treasury Notes 4.75%
2008 ................................. 300,000 277,641
United States Treasury Notes 5.50%
2009 ................................. 600,000 583,218
United States Treasury Notes 5.88%
2004 ................................. 2,000,000 1,997,820
United States Treasury Strip Bonds zero
coupon 2012 .......................... 260,000 131,084
------------
23,421,607
------------
UTILITIES -- 1.3%
ELECTRIC UTILITIES -- 0.6%
Conectiv, Inc. 6.38% 2005 .............. 45,000 44,542
Hydro-Quebec 9.40% 2021 ................ 320,000 382,032
Public Service Electric & Gas Co.,
Series A 8.88% 2003 .................. 21,000 22,017
ScottishPower PLC, Series H 6.38%
2008 ................................. 150,000 138,783
</TABLE>
----------------
34
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
ELECTRIC UTILITIES (CONTINUED)
UtiliCorp United, Inc. 6.88% 2004 ...... $ 70,000 $ 68,295
WESCO Distribution, Inc., Series B 9.13%
2008 ................................. 15,000 13,987
Western Resources, Inc. 6.88% 2004 ..... 25,000 22,317
Western Resources, Inc. 7.13% 2009 ..... 10,000 7,945
GAS & PIPELINE UTILITIES -- 0.0%
Azurix Corp. 10.75% 2010* .............. 25,000 23,000
TELEPHONE -- 0.7%
Alestra SA DE RL DE CV 12.13% 2006 ..... 40,000 38,900
Deutsche Telekom International Finance
Bv 7.75% 2005 ........................ 170,000 172,953
Deutsche Telekom International Finance
Bv 8.25% 2030 ........................ 170,000 174,308
GTE Corp. 6.36% 2006.................... 175,000 167,195
Intermedia Communications, Inc., Series
B zero coupon 2009(3)................. 20,000 13,400
Intermedia Communications, Inc., Series
B 8.88% 2007.......................... 25,000 24,000
Intermedia Communications, Inc., Series
B 9.50% 2009.......................... 20,000 19,400
MCI Communications Corp. 6.13%
2002(5)............................... 45,000 44,431
MCI WorldCom, Inc. 7.55% 2004........... 165,000 166,551
Viatel, Inc. 11.25% 2008................ 20,000 10,200
------------
1,554,256
------------
TOTAL BONDS & NOTES (cost
$46,855,801) ......................... 46,290,456
------------
<CAPTION>
WARRANTS -- 0.0%+
WARRANTS
----------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 0.0%
HOUSING -- 0.0%
Mattress Discounters Holding Corp.
7/15/07* ............................. 15 150
------------
INFORMATION TECHNOLOGY -- 0.0%
TELECOMMUNICATIONS -- 0.0%
GT Group Telecom, Inc. 2/1/10* ......... 25 2,000
KMC Telecom Holdings, Inc. 4/15/08#* ... 20 50
------------
2,050
------------
TOTAL WARRANTS (cost $1,489) ........... 2,200
------------
<CAPTION>
OPTIONS -- 0.0%+
CONTRACTS
----------------------------------------------------------------------
<S> <C> <C>
PUT OPTIONS -- 0.0%
Network Appliance, Inc. $125 expires
11/00................................. 1,800 23,850
------------
TOTAL INVESTMENT SECURITIES (cost
$101,565,548) ........................ 110,325,510
------------
<CAPTION>
SHORT-TERM SECURITIES -- 5.4% PRINCIPAL
AMOUNT
----------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES -- 0.2%
Ford Motor Credit Co. 7.02% due
10/10/00 ............................. $ 100,000 100,006
Popular, Inc., Series C 6.75% due
8/9/01 ............................... 65,000 64,771
</TABLE>
----------------
35
<PAGE>
<TABLE>
<CAPTION>
SHORT-TERM SECURITIES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES (CONTINUED)
Post Apartment Homes LP 7.02% due
4/2/01 ............................... $ 110,000 $ 110,016
------------
274,793
------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.5%
Government of France 7.00% due
10/12/00 ............................. 645,000 570,199
------------
U.S. GOVERNMENT & AGENCIES -- 4.7%
Federal National Mortgage Association
5.63% due 3/15/01 .................... 320,000 318,051
Federal National Mortgage Association
Discount Notes 6.51% due 10/2/00 ..... 4,400,000 4,399,228
United States Treasury Notes 5.00% due
2/28/01 .............................. 755,000 750,991
United States Treasury Notes 5.75% due
6/30/01 .............................. 273,000 271,804
------------
5,740,074
------------
TOTAL SHORT-TERM SECURITIES (cost
$6,636,123) .......................... 6,585,066
------------
<CAPTION>
REPURCHASE AGREEMENTS -- 6.4%
----------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 6.4%
Paribas Corp. Joint Repurchase Agreement
Account (Note 3) ..................... 4,255,000 4,255,000
State Street Bank & Trust Co. Joint
Repurchase Agreement Account (Note
3) ................................... 3,622,000 3,622,000
------------
TOTAL REPURCHASE AGREEMENTS (cost
$7,877,000) .......................... 7,877,000
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $116,078,671) 101.9% 124,787,576
Liabilities in excess of other assets -- (1.9) (2,346,467)
-------- ------------
NET ASSETS -- 100.0% $122,441,109
======== ============
</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) Bond issued as part of a unit which includes an equity component
(3) Represents a zero coupon bond which will convert to an interest-bearing
security at a later date
(4) Bond in default
(5) Variable rate security; rate as of September 30, 2000
(6) Security represents an investment in an affiliated company; see Note 7
ADR -- American Depository Receipt
----------------
36
<PAGE>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CONTRACT IN DELIVERY GROSS UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
<S> <C> <C> <C>
------------------------------------------------------------
EUR 250,000 USD 240,250 10/05/00 $ 19,244
EUR* 200,000 USD 190,117 01/26/01 12,359
EUR* 175,000 USD 170,067 01/26/01 14,529
EUR* 35,000 USD 32,280 03/22/01 1,172
EUR* 200,000 USD 189,060 03/22/01 10,892
EUR* 90,000 USD 82,597 03/22/01 2,421
EUR 100,000 USD 91,262 03/22/01 2,178
EUR 90,000 USD 81,732 03/22/01 1,557
HKD 1,300,000 USD 167,129 06/27/01 140
JPY* 10,000,000 USD 98,814 10/05/00 5,980
JPY 30,000,000 USD 287,239 03/22/01 687
JPY 5,000,000 USD 48,666 03/22/01 907
JPY 14,000,000 USD 136,751 03/22/01 3,026
JPY 1,800,000 USD 17,468 04/12/01 216
USD* 44,440 EUR 50,000 03/22/01 102
--------
75,410
--------
</TABLE>
<TABLE>
<CAPTION>
GROSS UNREALIZED
DEPRECIATION
<S> <C> <C> <C>
-------------------------------------------------------------
EUR 885,000 USD 757,118 05/07/01 (32,672)
HKD 35,000 USD 4,493 05/10/01 (3)
HKD 185,000 USD 23,758 06/27/01 (5)
USD* 94,843 EUR 100,000 01/26/00 (5,964)
USD* 60,961 JPY 6,500,000 10/05/00 (619)
USD* 33,635 JPY 3,500,000 10/05/00 (1,143)
USD* 47,616 EUR 50,000 01/26/01 (3,175)
USD* 47,893 EUR 50,000 01/26/01 (3,454)
USD* 105,365 EUR 110,000 01/26/01 (7,598)
USD* 59,231 EUR 65,000 01/26/01 (1,460)
USD* 140,069 EUR 150,000 03/22/01 (6,443)
USD* 46,275 EUR 50,000 03/01/01 (1,733)
--------
(64,269)
--------
Net Unrealized Appreciation................ $ 11,141
========
</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 -- Euro Dollar
HKD -- Hong Kong Dollar
JPY -- Japenese Yen
USD -- United States Dollar
See Notes to Financial Statements
----------------
37
<PAGE>
----------------
SEASONS SERIES TRUST
MULTI-MANAGED
INCOME/EQUITY PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 26.0%
SHARES VALUE
<S> <C> <C>
----------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 1.1%
APPAREL & TEXTILES -- 0.0%
Oakley, Inc.+ .......................... 1,400 $ 24,587
AUTOMOTIVE -- 0.5%
General Motors Corp., Class H+ ......... 10,000 371,800
SPX Corp.+ ............................. 100 14,194
RETAIL -- 0.6%
Gap, Inc. .............................. 5,150 103,644
Home Depot, Inc. ....................... 5,205 276,190
Sears, Roebuck & Co. ................... 500 16,210
Wal-Mart Stores, Inc. .................. 2,000 96,250
------------
902,875
------------
ENERGY -- 2.5%
ENERGY SERVICES -- 0.3%
Baker Hughes, Inc. ..................... 1,200 44,550
Halliburton Co. ........................ 600 29,363
Nabors Industries, Inc.+ ............... 700 36,680
Schlumberger Ltd. ...................... 500 41,156
Transocean Sedco Forex, Inc. ........... 1,000 58,625
ENERGY SOURCES -- 2.2%
Apache Corp. ........................... 3,000 177,375
Chevron Corp. .......................... 400 34,100
Devon Energy Corp. ..................... 2,200 132,330
Enron Corp. ............................ 9,800 858,725
Exxon Mobil Corp. ...................... 3,680 327,980
Kerr-McGee Corp. ....................... 4,000 265,000
------------
2,005,884
------------
FINANCE -- 1.6%
BANKS -- 0.6%
Bank of New York Co., Inc. ............. 1,000 56,063
Chase Manhattan Corp. .................. 1,000 46,188
Fifth Third Bancorp. ................... 3,965 213,614
Firstar Corp. .......................... 6,336 141,768
Summit Bancorp ......................... 600 20,700
FINANCIAL SERVICES -- 1.0%
American Express Co. ................... 5,200 315,900
Capital One Financial Corp. ............ 500 35,031
Citigroup, Inc. ........................ 2,033 109,909
E*TRADE Group, Inc.+ ................... 8,505 139,801
Fleet Boston Financial Corp. ........... 1,700 66,300
</TABLE>
----------------
38
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
J.P. Morgan & Co., Inc. ................ 300 $ 49,013
Merrill Lynch & Co. .................... 500 33,000
Morgan Stanley, Dean Witter & Co. ...... 1,000 91,437
------------
1,318,724
------------
HEALTHCARE -- 1.6%
DRUGS -- 0.9%
ALZA Corp.+ ............................ 1,700 147,050
Amgen, Inc.+ ........................... 1,000 69,828
Genentech, Inc.+ ....................... 1,000 185,687
Merck & Co., Inc. ...................... 500 37,219
Pfizer, Inc. ........................... 4,000 179,750
Teva Pharmaceutical Industries, Ltd.
ADR .................................. 1,000 73,188
MEDICAL PRODUCTS -- 0.7%
Genzyme Corp.+ ......................... 1,370 93,417
Johnson & Johnson ...................... 1,000 93,937
Medtronic, Inc. ........................ 5,922 306,834
Schering-Plough Corp. .................. 2,400 111,600
------------
1,298,510
------------
INDUSTRIAL & COMMERCIAL -- 1.3%
AEROSPACE & MILITARY TECHNOLOGY -- 0.2%
Boeing Co. ............................. 2,490 156,870
BUSINESS SERVICES -- 0.8%
General Electric Co. ................... 8,500 490,344
TMP Worldwide, Inc.+ ................... 1,665 134,032
ELECTRICAL EQUIPMENT -- 0.1%
Emerson Electric Co. ................... 1,700 113,900
MULTI-INDUSTRY -- 0.2%
Tyco International Ltd. ................ 3,000 155,625
------------
1,050,771
------------
INFORMATION & ENTERTAINMENT -- 3.6%
BROADCASTING & MEDIA -- 3.4%
AT&T Corp. -- Liberty Media Group, Class
A+ ................................... 33,661 605,898
Cablevision Systems Corp., Class A+ .... 2,195 145,556
Comcast Corp., Class A+ ................ 10,155 415,720
DoubleClick, Inc.+ ..................... 1,760 56,320
Infinity Broadcasting Corp., Class
A+ ................................... 2,966 97,878
Lamar Advertising Co.+ ................. 2,631 99,649
Palm, Inc.+ ............................ 6,716 355,528
Pegasus Communications Corp.+ .......... 1,000 48,313
The Walt Disney Co. .................... 3,685 140,951
Time Warner, Inc. ...................... 8,034 628,661
UnitedGlobalCom, Inc., Class A+ ........ 335 10,050
VoiceStream Wireless Corp.+ ............ 1,015 117,803
</TABLE>
----------------
39
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
ENTERTAINMENT PRODUCTS -- 0.2%
SONY Corp. ............................. 1,700 $ 172,767
------------
2,895,094
------------
INFORMATION TECHNOLOGY -- 13.0%
COMMUNICATION EQUIPMENT -- 1.7%
Cisco Systems, Inc.+ ................... 15,307 845,712
Lucent Technologies, Inc. .............. 1,000 30,563
ONI Systems Corp.+ ..................... 1,595 137,668
Symbol Technologies, Inc. .............. 3,960 142,312
Tycom Ltd.+ ............................ 4,595 176,333
COMPUTER SERVICES -- 0.9%
BEA Systems, Inc.+ ..................... 2,500 194,687
i2 Technologies, Inc.+ ................. 1,690 316,136
Sun Microsystems, Inc.+ ................ 500 58,375
VeriSign, Inc.+ ........................ 770 155,973
COMPUTERS & BUSINESS EQUIPMENT -- 1.7%
Dell Computer Corp.+ ................... 1,500 46,219
EMC Corp.+ ............................. 12,850 1,273,756
International Business Machines
Corp. ................................ 500 56,250
COMPUTER SOFTWARE -- 1.0%
Electronic Arts, Inc.+ ................. 5,370 265,144
Microsoft Corp.+ ....................... 3,235 195,111
Oracle Corp.+ .......................... 1,000 78,750
VERITAS Software Corp.+ ................ 1,563 221,946
ELECTRONICS -- 1.9%
Analog Devices, Inc.+ .................. 4,110 339,332
Applied Materials, Inc.+ ............... 2,460 145,909
ASM Lithography Holdings NV+ ........... 4,080 131,835
Avanex Corp.+ .......................... 620 66,766
Integrated Device Technology, Inc.+ .... 3,340 302,270
Intel Corp. ............................ 4,800 199,500
PerkinElmer, Inc. ...................... 500 52,187
Texas Instruments, Inc. ................ 6,980 329,369
INTERNET CONTENT -- 0.9%
Amazon.com, Inc.+ ...................... 4,500 172,969
eBay, Inc.+ ............................ 1,970 135,191
Exodus Communications, Inc.+ ........... 4,730 233,544
Juniper Networks, Inc.+ ................ 1,000 218,937
INTERNET SOFTWARE -- 0.8%
America Online, Inc.+ .................. 500 26,875
Digex, Inc.+ ........................... 1,840 86,250
Inktomi Corp.+ ......................... 1,155 131,670
Phone.com, Inc.+ ....................... 3,360 381,780
Software.com, Inc.+ .................... 100 18,144
</TABLE>
----------------
40
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS -- 4.1%
China Mobile Hong Kong Ltd. ADR+ ....... 4,000 $ 129,750
Corning, Inc. .......................... 1,100 326,700
Cox Communications, Inc., Class A+ ..... 2,325 88,931
JDS Uniphase Corp.+ .................... 3,395 321,464
Level 3 Communications, Inc.+ .......... 2,980 229,832
McLeodUSA, Inc., Class A+ .............. 12,300 176,044
Nippon Telegraph & Telephone Corp.
ADR .................................. 8 229,960
Nokia Corp. ADR ........................ 20,330 809,388
Nortel Networks Corp. .................. 1,500 89,344
NTL, Inc.+ ............................. 1,663 77,018
QUALCOMM, Inc.+ ........................ 2,945 209,831
Sprint Corp. (PCS Group)+ .............. 3,355 117,635
Telefonaktiebolaget LM Ericsson AB
ADR .................................. 11,495 170,270
Telefonaktiebolaget LM Ericsson AB,
Series B ............................. 4,933 75,162
Vodafone Group PLC ADR ................. 6,765 250,305
------------
10,469,097
------------
UTILITIES -- 1.3%
ELECTRIC UTILITIES -- 0.6%
Dominion Resources, Inc.+ .............. 1,555 90,287
Duke Energy Corp. ...................... 4,825 413,744
PECO Energy Co. ........................ 500 30,281
GAS & PIPELINE UTILITIES -- 0.2%
Coastal Corp. .......................... 2,000 148,250
TELEPHONE -- 0.5%
AT&T Corp. ............................. 500 14,688
Telefonica SA .......................... 5,957 118,188
Telefonos de Mexico SA ADR ............. 3,030 161,158
WinStar Communications, Inc.+ .......... 3,700 57,350
WorldCom, Inc.+ ........................ 1,200 36,450
------------
1,070,396
------------
TOTAL COMMON STOCK (cost $19,020,648)... 21,011,351
------------
<CAPTION>
PREFERRED STOCK -- 0.0%
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 0.0%
TELECOMMUNICATIONS -- 0.0%
Nextlink Communications, Inc., Series B
13.50% (1) (cost $7,347) ............. 11 8,690
------------
<CAPTION>
BONDS & NOTES -- 59.7% PRINCIPAL
AMOUNT
----------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 1.2%
APPAREL & TEXTILES -- 0.1%
Levi Strauss & Co. 6.80% 2003 .......... $ 10,000 8,400
Levi Strauss & Co. 7.00% 2006 .......... 25,000 19,500
Westpoint Stevens, Inc. 7.88% 2008 ..... 20,000 16,500
</TABLE>
----------------
41
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY (CONTINUED)
AUTOMOTIVE -- 0.5%
Accuride Corp., Series B 9.25% 2008 .... $ 10,000 $ 8,300
Daimler Chrysler North America 7.75%
2005 ................................. 240,000 245,004
Delco Remy International, Inc. 8.63%
2007 ................................. 25,000 23,625
Delco Remy International, Inc. 10.63%
2006 ................................. 10,000 9,900
Dura Operating Corp., Series B 9.00%
2009 ................................. 20,000 17,200
Federal-Mogul Corp. 7.50% 2009 ......... 65,000 24,700
Federal-Mogul Corp. 8.80% 2007 ......... 30,000 11,400
LDM Technologies, Inc., Series B 10.75%
2007 ................................. 15,000 9,750
Lear Corp. 7.96% 2005 .................. 10,000 9,581
Lear Corp., Series B 8.11% 2009 ........ 30,000 28,520
HOUSING -- 0.1%
Engle Homes, Inc., Series C 9.25%
2008 ................................. 10,000 9,150
Henry Co., Series B 10.00% 2008 ........ 20,000 9,000
Mattress Disounters Corp. 12.63%
2007(2) .............................. 15,000 13,875
Nortek, Inc., Series B 8.88% 2008 ...... 5,000 4,600
Standard Pacific Corp. 8.50% 2007 ...... 20,000 18,850
Webb (Del E.) Corp. 10.25% 2010 ........ 15,000 14,175
RETAIL -- 0.5%
Albertsons, Inc. 8.70% 2030 ............ 82,000 84,549
Duane Reade, Inc. 9.25% 2008 ........... 50,000 44,000
Kroger Co. 7.38% 2005 .................. 55,000 54,228
Sealy Mattress Co., Series B zero coupon
2007(3) .............................. 10,000 7,450
Stater Brothers Holdings, Inc. 10.75%
2006 ................................. 25,000 22,000
Wal-Mart Stores, Inc. 7.55% 2030 ....... 220,000 226,995
------------
941,252
------------
CONSUMER STAPLES -- 0.9%
FOOD, BEVERAGE & TOBACCO -- 0.9%
Aurora Foods, Inc., Series B 8.75%
2008 ................................. 15,000 11,475
Aurora Foods, Inc., Series D 9.88%
2007 ................................. 10,000 7,900
B & G Foods, Inc. 9.63% 2007 ........... 25,000 18,000
Chiquita Brands International, Inc.
10.00% 2009 .......................... 25,000 15,000
CPC International, Inc., Series E 7.25%
2026 ................................. 150,000 140,555
Del Monte Foods Co., Series B zero
coupon 2007(3) ....................... 26,000 19,890
Nash Finch Co., Series B 8.50% 2008 .... 40,000 28,800
New World Pasta Co. 9.25% 2009 ......... 20,000 11,800
Panamerican Beverage, Inc. 8.13%
2003 ................................. 70,000 68,744
Seagram (Joseph E.) & Sons, Inc. 7.50%
2018 ................................. 250,000 244,700
Whitman Corp. 6.38% 2009 ............... 160,000 143,152
------------
710,016
------------
ENERGY -- 1.5%
ENERGY SERVICES -- 0.1%
ICO, Inc., Series B 10.38% 2007 ........ 15,000 14,475
Key Energy Services, Inc., Series B
14.00% 2009 .......................... 5,000 5,687
Pride Petroleum Services, Inc. 9.38%
2007 ................................. 25,000 25,625
Tuboscope, Inc. 7.50% 2008 ............. 25,000 21,969
</TABLE>
----------------
42
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
ENERGY SOURCES -- 1.4%
Energy Corp. of America, Series A 9.50%
2007 ................................. $ 40,000 $ 30,400
Enron Corp. 6.75% 2004 ................. 125,000 123,573
Enron Corp. 9.63% 2006 ................. 140,000 153,173
Husky Oil Ltd. 7.55% 2016 .............. 160,000 149,192
Petroleos Mexicanos 9.38% 2008 ......... 15,000 15,412
Petroleos Mexicanos, Series P 9.50%
2027 ................................. 230,000 237,325
Pioneer Natural Resources Co. 9.63%
2010 ................................. 5,000 5,300
Plains Resources, Inc., Series B 10.25%
2006 ................................. 10,000 10,275
Plains Resources, Inc., Series D 10.25%
2006 ................................. 10,000 10,150
Tosco Corp. 8.13% 2030 ................. 300,000 301,083
YPF Sociedad Anonima, Series C 10.00%
2028 ................................. 100,000 110,390
------------
1,214,029
------------
FINANCE -- 13.4%
BANKS -- 2.8%
Bank of America Corp. 9.38% 2009 ....... 68,000 75,258
Bank of Scotland 7.70% 2010* ........... 300,000 300,490
Credit National 7.00% 2005 ............. 130,000 127,621
Deutsche Ausgleichsbank 7.00% 2005 ..... 330,000 333,518
First Republic Bancorp 7.75% 2012 ...... 50,000 42,026
First Union-Lehman Brothers Commercial
Mortgage Corp. 6.60% 2007 ............ 250,000 246,231
National Australia Bank Ltd. 8.60%
2010 ................................. 300,000 320,583
National City Corp. 7.20% 2005 ......... 200,000 198,530
NBD Bank NA 8.25% 2024 ................. 50,000 53,175
Royal Bank Scotland Group PLC 6.40%
2009 ................................. 300,000 278,814
U.S. Bancorp 7.50% 2026 ................ 210,000 210,437
Werner Holdings Co., Inc., Series A
10.00% 2007 .......................... 10,000 9,600
Western Financial Bank 8.88% 2007 ...... 25,000 22,875
FINANCIAL SERVICES -- 5.8%
Aesop Funding II LLC 6.14% 2006* ....... 120,000 115,320
Aesop Funding II LLC 6.22% 2001* ....... 20,000 19,995
Aesop Funding II LLC 6.40% 2003* ....... 100,000 99,243
Allstate Financing II 7.83% 2045 ....... 49,000 44,111
American General Corp. 6.75% 2005 ...... 135,000 132,312
American General Finance Corp., Series E
6.25% 2002 ........................... 100,000 98,542
Asset Securitization Corp. 6.75%
2041 ................................. 80,000 78,299
AXA Finanical, Inc. 7.00% 2028 ......... 130,000 116,722
Chase Credit Card Master Trust 6.19%
2005 ................................. 150,000 148,692
Crown Castle International Corp. zero
coupon 2007(3)(4) .................... 35,000 27,300
CS First Boston Mortgage Securities
Corp. 7.24% 2029 ..................... 110,000 110,497
Dime Capital Trust I, Series A 9.33%
2027 ................................. 40,000 36,778
DLJ Mortgage Acceptance Corp. 6.82%
2007* ................................ 350,000 344,081
Fleet Mortgage Group, Inc., Series A
6.84% 2003 ........................... 50,000 49,991
GE Capital Mortgage Services, Inc. 6.25%
2023 ................................. 2,251 2,238
General Electric Capital Corp. 8.70%
2007 ................................. 200,000 218,656
General Motors Acceptance Corp. 7.63%
2003 ................................. 135,000 137,087
Liberty Financial Cos., Inc. 6.75%
2008 ................................. 125,000 115,046
MBNA Master Credit Card Trust 6.90%
2008 ................................. 400,000 402,152
Merrill Lynch Mortgage Investors, Inc.
6.54% 2029 ........................... 200,000 192,990
Nomura Asset Securities Corp. 6.59%
2028 ................................. 320,000 310,614
</TABLE>
----------------
43
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
Popular North America, Inc., Series D
6.63% 2002 ........................... $ 50,000 $ 49,299
Principal Financial Group 8.20%
2009* ................................ 300,000 301,409
Private Export Funding Corp. 6.62%
2005 ................................. 160,000 160,893
Private Export Funding Corp., Series C
6.31% 2004 ........................... 100,000 99,363
Private Export Funding Corp., Series NN
7.30% 2002 ........................... 270,000 272,489
Private Export Funding Corp., Series YY
7.03% 2003 ........................... 60,000 60,881
PSA Corp., Ltd. 7.13% 2005* ............ 320,000 322,818
RBF Finance Co. 11.38% 2009 ............ 35,000 40,294
Sprint Capital Corp. 6.13% 2008 ........ 155,000 140,011
Sun Canada Financial Co. 6.63% 2007* ... 160,000 153,376
Tembec Finance Corp. 9.88% 2005 ........ 15,000 15,150
Tembec Industries, Inc. 8.63% 2009 ..... 5,000 4,875
Toyota Motor Credit Corp. 5.63% 2003 ... 125,000 120,932
U.S. West Capital Funding, Inc. 6.25%
2005 ................................. 165,000 157,907
INSURANCE -- 4.8%
AAG Holding Co., Inc. 6.88% 2008 ....... 100,000 90,498
Abbey National PLC, Series E 6.69%
2005 ................................. 250,000 245,320
Ace Capital Trust II 9.70% 2030 ........ 300,000 317,796
American Financial Group, Inc. 7.13%
2009 ................................. 60,000 52,263
Amerus Life Holdings, Inc. 6.95%
2005 ................................. 230,000 214,994
CIGNA Corp. 7.40% 2007 ................. 95,000 92,296
CIGNA Corp. 7.88% 2027 ................. 37,000 34,747
CIGNA Corp. 8.25% 2007 ................. 65,000 66,238
Everest Reinsurance Holdings Co. 8.75%
2010 ................................. 290,000 302,238
Farmers Insurance Exchange 8.50%
2004* ................................ 290,000 297,534
Florida Windstorm Underwriting
Associates, Inc. 7.13% 2019* ......... 340,000 319,661
GE Global Insurance Holding Corp. 7.75%
2030 ................................. 350,000 353,332
Jackson National Life Insurance Co.
8.15% 2027* .......................... 44,000 42,123
Lumbermens Mutual Casualty Co. 8.30%
2037* ................................ 80,000 63,781
Metropolitan Life Insurance Co. 7.70%
2015* ................................ 140,000 135,644
Prudential Insurance Co. 6.88% 2003* ... 310,000 308,444
Reliastar Financial Corp. 8.00% 2006 ... 200,000 204,838
Safeco Capital Trust I 8.07% 2037 ...... 270,000 227,931
St. Paul Cos., Inc. 8.13% 2010 ......... 226,000 234,694
Travelers Property Casualty Corp. 7.75%
2026 ................................. 300,000 291,832
------------
10,815,725
------------
HEALTHCARE -- 0.7%
DRUGS -- 0.1%
ALARIS Medical Systems, Inc. 9.75%
2006 ................................. 35,000 25,550
Bergen Brunswig Corp. 7.38% 2003 ....... 30,000 27,864
Warner Chilcott, Inc. 12.63% 2008* ..... 15,000 15,450
HEALTH SERVICES -- 0.1%
Beverly Enterprises, Inc. 9.00% 2006 ... 25,000 23,437
Columbia/HCA Healthcare Corp. 7.25%
2008 ................................. 25,000 23,250
Tenet Healthcare Corp. 7.88% 2003 ...... 50,000 49,375
Tenet Healthcare Corp., Series B 8.13%
2008 ................................. 20,000 19,075
Triad Hospitals Holdings, Inc., Series B
11.00% 2009 .......................... 20,000 20,500
</TABLE>
----------------
44
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
MEDICAL PRODUCTS -- 0.5%
ALARIS Medical, Inc. zero coupon
2008(3) .............................. $ 30,000 $ 7,800
Beckman Instruments, Inc. 7.10% 2003 ... 75,000 72,752
Beckman Instruments, Inc. 7.45% 2008 ... 10,000 9,263
Bio Rad Labs, Inc. 11.63% 2007 ......... 9,000 9,405
Cardinal Health 7.00% 2026 ............. 260,000 254,464
Conmed Corp. 9.00% 2008 ................ 30,000 25,200
Mediq Inc./ PRN Life Support Services,
Inc. 11.00% 2008(5) .................. 25,000 750
------------
584,135
------------
INDUSTRIAL & COMMERCIAL -- 3.0%
AEROSPACE & MILITARY TECHNOLOGY -- 0.8%
Dunlop Standard Aerospace Holdings PLC
11.88% 2009 .......................... 35,000 35,219
K & F Industries, Inc., Series B 9.25%
2007 ................................. 30,000 28,800
Raytheon Co. 8.20% 2006* ............... 221,000 228,304
SCL Term Aereo Santiago SA 6.95%
2012* ................................ 350,000 321,660
BUSINESS SERVICES -- 1.3%
Abitibi Consolidated, Inc. 8.30%
2005 ................................. 260,000 266,326
Allied Waste North America, Inc., Series
B 7.63% 2006 ......................... 35,000 31,325
Boise Cascade Office Products Corp.
7.05% 2005 ........................... 230,000 222,148
Federal Express Corp. 6.72% 2022 ....... 185,533 174,880
Fisher Scientific International, Inc.
9.00% 2008 ........................... 20,000 18,400
Iron Mountain, Inc. 8.13% 2008 ......... 10,000 9,100
Iron Mountain, Inc. 8.75% 2009 ......... 20,000 19,400
Neenah Corp., Series B 11.13% 2007 ..... 5,000 3,875
Neenah Corp., Series F 11.13% 2007 ..... 5,000 3,875
Owens & Minor, Inc. 10.88% 2006 ........ 10,000 10,350
Waste Management, Inc. 6.88% 2009 ...... 15,000 13,615
Waste Management, Inc. 7.00% 2006 ...... 150,000 140,530
Waste Management, Inc. 7.13% 2007 ...... 170,000 158,702
World Color Press, Inc. 8.38% 2008 ..... 15,000 14,587
MACHINERY -- 0.0%
Grove Worldwide, Inc. LLC 9.25% 2008 ... 15,000 1,950
Numatics, Inc., Series B 9.63% 2008 .... 10,000 7,900
Roller Bearing Co. of America, Inc.,
Series B 9.63% 2007 .................. 5,000 4,575
Westinghouse Air Brake Co., Series B2
9.38% 2005 ........................... 5,000 4,825
MULTI-INDUSTRY -- 0.8%
American Standard, Inc. 7.63% 2010 ..... 10,000 9,425
Honeywell International, Inc. 6.88%
2005 ................................. 300,000 298,374
Prestolite Electric, Inc. 9.63% 2008 ... 25,000 17,000
Tyco International Group SA 6.38%
2005 ................................. 330,000 320,565
TRANSPORTATION -- 0.1%
AMR Corp. 9.88% 2020 ................... 70,000 74,421
------------
2,440,131
------------
INFORMATION & ENTERTAINMENT -- 2.3%
BROADCASTING & MEDIA -- 1.4%
Adelphia Communications Corp., Series B
8.38% 2008 ........................... 10,000 8,725
Allbritton Communications Co., Series B
8.88% 2008 ........................... 25,000 23,375
</TABLE>
----------------
45
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
BROADCASTING & MEDIA (CONTINUED)
AMC Entertainment, Inc. 9.50% 2009 ..... $ 45,000 $ 20,700
AMC Entertainment, Inc. 9.50% 2011 ..... 40,000 18,400
American Color Graphics, Inc. 12.75%
2005 ................................. 25,000 24,750
Benedek Communications Corp. zero coupon
2006(3) .............................. 45,000 39,375
Cablevision SA 13.75% 2009 ............. 10,000 8,900
Century Communications Corp., Series B
zero coupon 2008(3) .................. 55,000 22,275
Charter Communication Holdings LLC 8.63%
2009 ................................. 50,000 44,875
Classic Cable, Inc. 10.50% 2010 ........ 30,000 25,650
Comcast Cable Communications Corp. 8.50%
2027 ................................. 50,000 52,069
Echostar DBS Corp. 9.38% 2009 .......... 55,000 53,900
Frontiervision Holdings LP zero coupon
2007(3) .............................. 25,000 21,844
Frontiervision Holdings LP, Series B
zero coupon 2007(3) .................. 15,000 13,050
Granite Broadcasting Corp. 8.88%
2008 ................................. 20,000 14,000
LIN Holdings Corp. zero coupon
2008(3) .............................. 75,000 54,000
News America Holdings, Inc. 8.00%
2016 ................................. 305,000 293,901
Scholastic Corp. 7.00% 2003 ............ 80,000 78,994
Sun Media Corp. 9.50% 2007 ............. 20,000 19,975
TCI Communications, Inc. 8.00% 2005 .... 50,000 51,351
Tele-Communications, Inc. 7.25% 2005 ... 50,000 49,819
Tele-Communications, Inc. 9.25% 2002 ... 50,000 51,822
Viacom, Inc. 7.75% 2005 ................ 80,000 82,008
Young Broadcasting, Inc., Series B 8.75%
2007 ................................. 25,000 23,719
ENTERTAINMENT PRODUCTS -- 0.1%
Bell Sports, Inc., Series B 11.00%
2008 ................................. 40,000 40,400
True Temper Sports, Inc., Series B
10.88% 2008 .......................... 20,000 19,525
LEISURE & TOURISM -- 0.8%
Continental Airlines, Inc., Series A
6.65% 2017 ........................... 66,309 61,391
Continental Airlines, Inc., Series B
6.47% 2004 ........................... 86,542 84,227
John Q. Hammons Hotels, Inc. 8.88%
2004 ................................. 25,000 23,250
Northwest Airlines Pass Through Trust
8.07% 2019 ........................... 410,000 418,159
Station Casinos, Inc. 8.88% 2008 ....... 35,000 33,556
Tricon Global Restaurants, Inc. 7.65%
2008 ................................. 25,000 23,250
------------
1,801,235
------------
INFORMATION TECHNOLOGY -- 1.3%
COMMUNICATION EQUIPMENT -- 0.0%
Concentric Network Corp. 12.75% 2007 ... 30,000 30,000
ELECTRONICS -- 0.4%
Amphenol Corp. 9.88% 2007 .............. 3,000 3,037
Eaton Corp. 7.65% 2029 ................. 250,000 233,239
Fairchild Semiconductor Corp. 10.13%
2007 ................................. 30,000 30,000
L-3 Communications Holdings, Inc.,
Series B 8.00% 2008 .................. 15,000 13,500
SCG Holdings & Semiconductor Co., Series
B 12.00% 2009 ........................ 16,000 16,800
INTERNET CONTENT -- 0.0%
Exodus Communications, Inc. 11.63%
2010* ................................ 30,000 30,075
INTERNET SOFTWARE -- 0.1%
Covad Communications Group, Inc. 12.50%
2009 ................................. 15,000 11,475
PSINet, Inc. 11.00% 2009 ............... 10,000 6,500
</TABLE>
----------------
46
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
INTERNET SOFTWARE (CONTINUED)
PSINet, Inc. 11.50% 2008 ............... $ 30,000 $ 19,950
PSINet, Inc., Series B 10.00% 2005 ..... 20,000 13,000
TELECOMMUNICATIONS -- 0.8%
Adelphia Business Solutions, Inc.,
Series B zero coupon 2003(3) ......... 20,000 16,250
Adelphia Business Solutions, Inc.,
Series B 12.25% 2004 ................. 25,000 22,750
Alaska Communications Holdings, Inc.
9.38% 2009 ........................... 25,000 23,031
AMSC Acquisition Co., Inc., Series B
12.25% 2008 .......................... 5,000 3,725
BTI Telecom Corp. 10.50% 2007 .......... 10,000 5,800
Clearnet Communications, Inc. zero
coupon 2009(3) ....................... 15,000 11,888
Compania de Telecomunicaciones de Chile
7.63% 2006 ........................... 50,000 48,932
Compania de Telecomunicaciones de Chile
8.38% 2006 ........................... 50,000 50,375
e.Spire Communications, Inc. zero coupon
2008(3) .............................. 35,000 10,675
GCI, Inc. 9.75% 2007 ................... 60,000 56,400
GT Group Telecom, Inc. zero coupon
2010(2)(3) ........................... 20,000 8,600
Insight Midwest LP 9.75% 2009 .......... 15,000 15,112
ITC Deltacom, Inc. 8.88% 2008 .......... 10,000 8,550
ITC Deltacom, Inc. 9.75% 2008 .......... 15,000 12,600
KMC Telecom Holdings, Inc. zero coupon
2008(3) .............................. 40,000 16,000
Level 3 Communications, Inc. 9.13%
2008 ................................. 15,000 12,937
Level 3 Communications, Inc. 11.25%
2010 ................................. 15,000 14,325
McLeodUSA, Inc. 8.13% 2009 ............. 20,000 17,400
McLeodUSA, Inc. 8.38% 2008 ............. 10,000 8,800
McLeodUSA, Inc. 9.25% 2007 ............. 10,000 9,250
McLeodUSA, Inc. 9.50% 2008 ............. 15,000 14,025
MJD Communications, Inc., Series B 9.50%
2008 ................................. 10,000 8,700
Nextel Communications, Inc. zero coupon
2007(3) .............................. 85,000 66,300
Nextel Communications, Inc. 9.38%
2009 ................................. 5,000 4,900
NEXTLINK Communications, Inc. zero
coupon 2008(3) ....................... 45,000 26,325
NTL Communications Corp., Series B zero
coupon 2008(3) ....................... 65,000 41,275
RCN Corp. 10.00% 2007 .................. 10,000 7,400
RCN Corp. zero coupon 2008(3) .......... 45,000 21,600
Rogers Cantel, Inc. 9.38% 2008 ......... 10,000 10,350
RSL Communications PLC 12.00% 2008 ..... 25,000 6,625
Satelites Mexicanos SA de CV, Series B
10.13% 2004 .......................... 20,000 12,600
Telecommunications Techniques Co. LLC
9.75% 2008 ........................... 25,000 23,500
Time Warner Telecom, Inc. 9.75% 2008 ... 15,000 13,913
------------
1,038,489
------------
MATERIALS -- 1.7%
CHEMICALS -- 0.7%
Acetex Corp. 9.75% 2003* ............... 25,000 23,813
Avecia Group PLC 11.00% 2009 ........... 25,000 24,625
Georgia Gulf Corp. 10.38% 2007 ......... 15,000 15,075
ICI Wilmington, Inc. 6.95% 2004 ........ 270,000 262,883
Lyondell Chemical Co. 9.80% 2020 ....... 15,000 14,625
Lyondell Chemical Co., Series B 9.88%
2007 ................................. 45,000 43,931
Pioneer Americas Acquisition Corp.,
Series B 9.25% 2007 .................. 15,000 7,950
Praxair, Inc. 6.75% 2003 ............... 170,000 168,524
Texas Petrochemical Corp. 11.13%
2006 ................................. 10,000 8,550
Texas Petrochemical Corp., Series B
11.13% 2006 .......................... 30,000 24,900
</TABLE>
----------------
47
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
MATERIALS (CONTINUED)
FOREST PRODUCTS -- 0.7%
Boise Cascade Co., Series A 9.90%
2001 ................................. $ 90,000 $ 92,184
Doman Industries Ltd. 8.75% 2004 ....... 10,000 6,600
Doman Industries Ltd. 12.00% 2004 ...... 25,000 24,844
Gaylord Container Corp., Series B 9.38%
2007 ................................. 30,000 20,100
International Paper Co. 8.10% 2009 ..... 100,000 102,124
Owens-Illinois, Inc. 7.50% 2010 ........ 10,000 8,455
Packaging Corp. of America 9.63%
2009 ................................. 15,000 15,188
Paperboard Industries International,
Inc. 8.38% 2007 ...................... 5,000 4,200
Sonoco Products Co. 7.00% 2004 ......... 250,000 250,422
METALS & MINERALS -- 0.3%
AK Steel Corp. 7.88% 2009 .............. 30,000 26,850
Alcoa, Inc. 7.25% 2005 ................. 95,000 96,700
Algoma Steel, Inc. 12.38% 2005 ......... 20,000 14,200
BWay Corp., Series B 10.25% 2007 ....... 20,000 19,600
Consumers Packaging, Inc. 9.75% 2007 ... 10,000 2,200
LTV Corp. 11.75% 2009 .................. 40,000 22,000
National Steel Corp. 9.88% 2009 ........ 30,000 17,700
P & L Coal Holdings Corp., Series B
9.63% 2008 ........................... 25,000 24,250
Weirton Steel Corp. 11.38% 2004 ........ 15,000 12,300
------------
1,354,793
------------
MUNICIPAL BONDS -- 1.1%
MUNICIPAL BONDS -- 1.1%
Allentown Pennsylvania 6.20% 2005 ...... 280,000 273,036
Fresno County California Pension
Obligation 6.07% 2003 ................ 50,000 49,140
Hudson County New Jersey Improvement
Authority Facility 6.55% 2002 ........ 135,000 134,781
Huntsville Alabama Solid Waste Disposal
Authority 5.95% 2003 ................. 100,000 98,041
Miami Florida Revenue 7.25% 2003 ....... 135,000 137,149
Phoenix Arizona Civic Improvement Corp.
6.30% 2008 ........................... 100,000 94,992
Southern California Public Power
Authority Project 6.93% 2017 ......... 125,000 118,423
------------
905,562
------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.1%
FOREIGN GOVERNMENT -- 0.1%
Republic of Philippines 10.63% 2025 .... 111,000 94,350
------------
REAL ESTATE -- 0.5%
REAL ESTATE COMPANIES -- 0.5%
E.O.P. Operating LP 6.38% 2003 ......... 120,000 117,406
E.O.P. Operating LP 8.38% 2006 ......... 230,000 237,629
Susa Partnership LP 6.95% 2006 ......... 90,000 85,212
------------
440,247
------------
U.S. GOVERNMENT & AGENCIES -- 30.3%
U.S. GOVERNMENT & AGENCIES -- 30.3%
Federal Home Loan Mortgage Corp. 6.00%
2006 ................................. 13,908 13,755
Federal Home Loan Mortgage Corp. 6.00%
2028 ................................. 454,026 424,374
Federal Home Loan Mortgage Corp. 6.00%
2028 ................................. 425,494 397,705
Federal Home Loan Mortgage Corp. 6.50%
2022 ................................. 160,000 152,400
</TABLE>
----------------
48
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES (CONTINUED)
U.S. GOVERNMENT & AGENCIES (CONTINUED)
Federal Home Loan Mortgage Corp. 6.50%
2023 ................................. $ 60,000 $ 56,175
Federal Home Loan Mortgage Corp. 6.75%
2022 ................................. 45,000 43,994
Federal Home Loan Mortgage Corp. 7.00%
2023 ................................. 32,000 31,040
Federal Home Loan Mortgage Corp. 7.50%
2023 ................................. 14,253 14,329
Federal Home Loan Mortgage Corp. 7.75%
2022 ................................. 90,842 91,239
Federal Home Loan Mortgage Corp. 8.50%
2008 ................................. 141,696 144,073
Federal Home Loan Mortgage Corp. 8.50%
2019 ................................. 31,111 32,061
Federal National Mortgage Association
5.25% 2003 ........................... 1,635,000 1,591,051
Federal National Mortgage Association
5.75% 2008 ........................... 1,715,000 1,617,725
Federal National Mortgage Association
6.00% 2028 ........................... 499,500 467,187
Federal National Mortgage Association
6.00% 2028 ........................... 34,687 32,400
Federal National Mortgage Association
6.18% 2008 ........................... 24,405 23,461
Federal National Mortgage Association
6.27% 2007 ........................... 82,773 80,175
Federal National Mortgage Association
6.30% 2008 ........................... 19,526 18,899
Federal National Mortgage Association
6.30% 2008 ........................... 24,294 23,554
Federal National Mortgage Association
6.34% 2008 ........................... 19,152 18,622
Federal National Mortgage Association
6.36% 2008 ........................... 126,682 123,753
Federal National Mortgage Association
6.39% 2006 ........................... 19,002 18,648
Federal National Mortgage Association
6.43% 2008 ........................... 24,292 23,716
Federal National Mortgage Association
6.59% 2007 ........................... 97,005 95,543
Federal National Mortgage Association
6.90% 2007 ........................... 94,230 94,481
Federal National Mortgage Association
6.98% 2007 ........................... 139,508 140,377
Federal National Mortgage Association
7.02% 2007 ........................... 18,506 18,650
Federal National Mortgage Association
7.04% 2007 ........................... 62,892 63,330
Federal National Mortgage Association
7.28% 2006 ........................... 38,618 39,307
Federal National Mortgage Association
7.39% 2021 ........................... 46,380 47,038
Federal National Mortgage Association
7.50% 2030 ........................... 364,721 363,809
Federal National Mortgage Association
7.50% 2030 ........................... 373,824 372,890
Federal National Mortgage Association
7.75% 2021 ........................... 200,000 200,186
Federal National Mortgage Association
8.00% 2006 ........................... 65,866 66,585
Government National Mortgage Association
7.00% 2022 ........................... 15,365 15,197
Government National Mortgage Association
7.00% 2023 ........................... 10,355 10,235
Government National Mortgage Association
7.25% 2027 ........................... 262,139 260,624
Government National Mortgage Association
7.50% 2022 ........................... 23,965 24,122
Government National Mortgage Association
7.50% 2024 ........................... 9,605 9,656
Government National Mortgage Association
7.50% 2027 ........................... 252,341 253,129
Government National Mortgage Association
7.50% 2028 ........................... 300,000 300,936
Government National Mortgage Association
8.50% 2017 ........................... 28,867 29,878
Government National Mortgage Association
8.50% 2017 ........................... 11,789 12,202
Government National Mortgage Association
9.00% 2021 ........................... 9,285 9,679
Overseas Private Investment Corp.,
Series 96-A 6.99% 2009 ............... 413,332 414,084
United States Treasury Bonds 5.25%
2028 ................................. 800,000 717,000
United States Treasury Bonds 5.50%
2028 ................................. 35,000 32,473
United States Treasury Bonds 6.13%
2029 ................................. 2,300,000 2,349,243
United States Treasury Bonds 8.50%
2020 ................................. 275,000 348,389
United States Treasury Bonds 9.00%
2018 ................................. 3,723,000 4,882,938
United States Treasury Bonds 9.25%
2016 ................................. 1,850,000 2,422,631
United States Treasury Bonds 11.88%
2003 ................................. 1,700,000 1,977,576
United States Treasury Bonds 12.00%
2013 ................................. 1,250,000 1,702,738
United States Treasury Notes 4.75%
2008 ................................. 800,000 740,376
United States Treasury Notes 5.50%
2009 ................................. 600,000 583,218
United States Treasury Notes 5.63%
2008 ................................. 200,000 196,250
</TABLE>
----------------
49
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
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 $ 239,481
------------
24,474,587
------------
UTILITIES -- 1.7%
ELECTRIC UTILITIES -- 0.5%
Conectiv, Inc. 6.38% 2005 .............. 60,000 59,389
Public Service Electric & Gas Co.,
Series A 8.88% 2003 .................. 35,000 36,695
ScottishPower PLC, Series H 6.38%
2008 ................................. 250,000 231,305
UtiliCorp United, Inc. 6.88% 2004 ...... 80,000 78,051
WESCO Distribution, Inc., Series B 9.13%
2008 ................................. 20,000 18,650
Western Resources, Inc. 6.88% 2004 ..... 25,000 22,316
Western Resources, Inc. 7.13% 2009 ..... 5,000 3,973
GAS & PIPELINE UTILITIES -- 0.0%
Azurix Corp. 10.75% 2010* .............. 20,000 18,400
TELEPHONE -- 1.2%
Alestra SA DE RL DE CV 12.13% 2006 ..... 50,000 48,625
Deutsche Telekom International Finance
Bv 7.75% 2005 ........................ 180,000 183,127
Deutsche Telekom International Finance
Bv 8.25% 2030 ........................ 180,000 184,703
GTE Corp. 6.36% 2006 ................... 210,000 200,794
Intermedia Communications, Inc., Series
B zero coupon 2009(3) ................ 25,000 16,750
Intermedia Communications, Inc., Series
B 8.88% 2007 ......................... 25,000 24,000
Intermedia Communications, Inc., Series
B 9.50% 2009 ......................... 10,000 9,700
MCI Communications Corp. 6.13%
2002(6) .............................. 60,000 59,242
MCI WorldCom, Inc. 7.55% 2004 .......... 200,000 201,880
Viatel, Inc. 11.25% 2008 ............... 25,000 12,750
------------
1,410,350
------------
TOTAL BONDS & NOTES (cost
$49,286,998) ......................... 48,224,901
------------
<CAPTION>
WARRANTS -- 0.0%+
WARRANTS
----------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 0.0%
HOUSING -- 0.0%
Mattress Discounters Holding Corp.
7/15/07* ............................. 15 150
------------
INFORMATION TECHNOLOGY -- 0.0%
TELECOMMUNICATIONS -- 0.0%
GT Group Telecom, Inc. 2/1/10* ......... 20 1,600
KMC Telecom Holdings, Inc. 4/15/08*# ... 20 50
------------
1,650
------------
TOTAL WARRANTS (cost $1,249) ........... 1,800
------------
TOTAL INVESTMENT SECURITIES (cost
$68,316,242) ......................... 69,246,742
------------
</TABLE>
----------------
50
<PAGE>
<TABLE>
<CAPTION>
SHORT-TERM SECURITIES -- 6.9% PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES -- 0.4%
Ford Motor Credit Co. 7.02% due
10/10/00 ............................. $ 125,000 $ 125,008
Popular, Inc., Series C 6.75% due
8/9/01 ............................... 95,000 94,665
Post Apartment Homes LP 7.02% due
4/2/01 ............................... 130,000 130,019
------------
349,692
------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.8%
Government of France 7.00% due
10/12/00 ............................. 700,000 618,820
------------
U.S. GOVERNMENT & AGENCIES -- 5.7%
Federal National Mortgage Association
5.63% due 3/15/01 .................... 710,000 705,676
Federal National Mortgage Association
Discount Notes 6.51% due 10/2/00 ..... 1,700,000 1,699,701
United States Treasury Notes 4.63% due
11/30/00 ............................. 200,000 199,438
United States Treasury Notes 5.00% due
2/28/01 .............................. 1,400,000 1,392,566
United States Treasury Notes 5.75% due
10/31/00 ............................. 150,000 149,930
United States Treasury Notes 5.75% due
6/30/01 .............................. 249,000 247,909
United States Treasury Notes 6.63% due
7/31/01 .............................. 225,000 225,493
------------
4,620,713
------------
TOTAL SHORT-TERM SECURITIES (cost
$5,651,587) .......................... 5,589,225
------------
<CAPTION>
REPURCHASE AGREEMENT -- 4.6%
----------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 4.6%
Paribas Corp. Joint Repurchase Agreement
Account (Note 3) (cost $3,700,000) ... 3,700,000 3,700,000
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $77,667,829) 97.2% 78,535,967
Other assets less liabilities -- 2.8 2,242,902
----- -----------
NET ASSETS -- 100.0% $80,778,869
===== ===========
</TABLE>
-------------
+ Non-income producing securities
* Resale restricted to qualified institutional buyers
# Fair valued security; see Note 2
(1) PIK -- ("Payment in Kind") payment made with additional securities in lieu
of cash
(2) Bond issued as part of a unit which includes an equity component
(3) Represents a zero coupon bond which will convert to an interest-bearing
security at a later date
(4) Security represents an investment in an affiliated company; see Note 7
(5) Bond in default
(6) Variable rate security; rate as of September 30, 2000
ADR -- American Depository Receipt
----------------
51
<PAGE>
<TABLE>
<CAPTION>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
<S> <C> <C> <C> <C>
---------------------------------------------------------------
<CAPTION>
CONTRACT IN DELIVERY GROSS UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
------------------------------------------------------------------
<S> <C> <C> <C> <C>
EUR 125,000 USD 120,125 10/05/00 $ 9,622
EUR* 100,000 USD 95,059 01/26/01 6,180
EUR* 75,000 USD 72,886 01/26/01 6,226
EUR 20,000 USD 18,446 01/26/01 670
EUR* 100,000 USD 94,530 03/22/01 5,446
EUR* 40,000 USD 36,710 03/22/01 1,076
EUR* 50,000 USD 45,631 03/22/01 1,089
EUR 70,000 USD 63,569 03/22/01 1,211
HKD 600,000 USD 77,137 06/27/01 64
JPY* 5,400,000 USD 53,360 10/05/00 3,229
JPY 12,000,000 USD 114,896 03/22/01 275
JPY 3,000,000 USD 29,199 03/22/01 544
JPY 5,200,000 USD 50,793 03/22/01 1,124
JPY 1,400,000 USD 13,586 04/12/01 168
USD* 17,776 EUR 20,000 03/22/01 41
--------
36,965
--------
<CAPTION>
GROSS UNREALIZED
DEPRECIATION
------------------------------------------------------------------
<S> <C> <C> <C> <C>
EUR 320,000 USD 273,760 05/07/01 (11,814)
HKD 15,000 USD 1,926 05/10/01 (1)
HKD 80,000 USD 10,274 06/27/01 (3)
USD* 50,645 JPY 5,400,000 10/05/00 (514)
USD* 42,679 EUR 45,000 01/26/01 (2,684)
USD* 19,046 EUR 20,000 01/26/01 (1,270)
USD* 35,525 EUR 35,000 01/26/01 (2,418)
USD* 4,789 EUR 5,000 01/26/01 (345)
USD* 27,337 EUR 30,000 01/26/01 (674)
USD* 74,703 EUR 80,000 03/22/01 (3,436)
USD* 18,510 EUR 20,000 03/22/01 (693)
USD* 36,049 EUR 40,000 03/22/01 (415)
--------
(24,267)
--------
Net Unrealized Appreciation..................... $ 12,698
========
</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 -- Euro Dollar
HKD -- Hong Kong Dollar
JPY -- Japenese Yen
USD -- United States Dollar
</TABLE>
See Notes to Financial Statements
----------------
52
<PAGE>
----------------
SEASONS SERIES TRUST
MULTI-MANAGED
INCOME PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 12.6%
SHARES VALUE
<S> <C> <C>
----------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 0.6%
APPAREL & TEXTILES -- 0.0%
Oakley, Inc.+ .......................... 400 $ 7,025
AUTOMOTIVE -- 0.3%
General Motors Corp., Class H+ ......... 4,000 148,720
SPX Corp.+ ............................. 100 14,194
RETAIL -- 0.3%
Gap, Inc. .............................. 1,565 31,496
Home Depot, Inc. ....................... 1,605 85,165
Wal-Mart Stores, Inc. .................. 700 33,687
------------
320,287
------------
ENERGY -- 1.4%
ENERGY SERVICES -- 0.1%
Baker Hughes, Inc. ..................... 500 18,562
Halliburton Co. ........................ 200 9,788
Schlumberger Ltd. ...................... 200 16,463
Transocean Sedco Forex, Inc. ........... 400 23,450
ENERGY SOURCES -- 1.3%
Apache Corp. ........................... 1,500 88,688
Chevron Corp. .......................... 100 8,525
Devon Energy Corp. ..................... 1,000 60,150
Enron Corp. ............................ 2,935 257,179
Exxon Mobil Corp. ...................... 2,356 209,978
Kerr-McGee Corp. ....................... 1,500 99,375
------------
792,158
------------
FINANCE -- 0.7%
BANKS -- 0.2%
Chase Manhattan Corp. .................. 300 13,856
Fifth Third Bancorp. ................... 1,215 65,458
Firstar Corp. .......................... 1,925 43,072
FINANCIAL SERVICES -- 0.5%
American Express Co. ................... 1,700 103,275
Citigroup, Inc. ........................ 933 50,440
E*TRADE Group, Inc.+ ................... 2,585 42,491
Fleet Boston Financial Corp. ........... 500 19,500
J.P. Morgan & Co., Inc. ................ 100 16,338
Merrill Lynch & Co. .................... 300 19,800
Morgan Stanley, Dean Witter & Co. ...... 300 27,431
------------
401,661
------------
</TABLE>
----------------
53
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE -- 0.8%
DRUGS -- 0.4%
ALZA Corp.+ ............................ 500 $ 43,250
Amgen, Inc.+ ........................... 400 27,931
Genentech, Inc.+ ....................... 300 55,707
Merck & Co., Inc. ...................... 400 29,775
Pfizer, Inc. ........................... 1,100 49,431
Teva Pharmaceutical Industries, Ltd.
ADR .................................. 200 14,638
MEDICAL PRODUCTS -- 0.4%
Genzyme Corp.+ ......................... 420 28,639
Johnson & Johnson ...................... 300 28,181
Medtronic, Inc. ........................ 1,844 95,542
Schering-Plough Corp. .................. 1,000 46,500
------------
419,594
------------
INDUSTRIAL & COMMERCIAL -- 0.6%
AEROSPACE & MILITARY TECHNOLOGY -- 0.1%
Boeing Co. ............................. 765 48,195
BUSINESS SERVICES -- 0.3%
General Electric Co. ................... 2,500 144,219
TMP Worldwide, Inc.+ ................... 525 42,262
ELECTRICAL EQUIPMENT -- 0.1%
Emerson Electric Co. ................... 500 33,500
MULTI-INDUSTRY -- 0.1%
Tyco International Ltd. ................ 900 46,688
------------
314,864
------------
INFORMATION & ENTERTAINMENT -- 1.3%
BROADCASTING & MEDIA -- 1.4%
AT&T Corp. -- Liberty Media Group, Class
A+ ................................... 9,172 165,096
Cablevision Systems Corp., Class A+ .... 665 44,098
Comcast Corp., Class A+ ................ 2,980 121,994
DoubleClick, Inc.+ ..................... 530 16,960
Infinity Broadcasting Corp., Class
A+ ................................... 917 30,261
Lamar Advertising Co.+ ................. 829 31,398
Pegasus Communications Corp.+ .......... 400 19,325
The Walt Disney Co. .................... 1,125 43,031
Time Warner, Inc. ...................... 2,134 166,986
UnitedGlobalCom, Inc., Class A+ ........ 100 3,000
VoiceStream Wireless Corp.+ ............ 310 35,979
ENTERTAINMENT PRODUCTS -- 0.1%
SONY Corp. ............................. 500 50,813
------------
728,941
------------
INFORMATION TECHNOLOGY -- 6.6%
COMMUNICATION EQUIPMENT -- 1.1%
Cisco Systems, Inc.+ ................... 6,168 340,782
ONI Systems Corp.+ ..................... 485 41,862
</TABLE>
----------------
54
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
COMMUNICATION EQUIPMENT (CONTINUED)
Palm, Inc.+ ............................ 2,292 $ 121,333
Symbol Technologies, Inc. .............. 1,305 46,898
Tycom Ltd.+ ............................ 1,395 53,533
COMPUTER SERVICES -- 0.5%
BEA Systems, Inc.+ ..................... 1,000 77,875
i2 Technologies, Inc.+ ................. 710 132,815
Sun Microsystems, Inc.+ ................ 200 23,350
VeriSign, Inc.+ ........................ 235 47,602
COMPUTERS & BUSINESS EQUIPMENT -- 1.1%
Dell Computer Corp.+ ................... 500 15,406
EMC Corp.+ ............................. 5,570 552,126
International Business Machines
Corp. ................................ 300 33,750
COMPUTER SOFTWARE -- 0.4%
Electronic Arts, Inc.+ ................. 1,650 81,469
Microsoft Corp.+ ....................... 890 53,678
Oracle Corp.+ .......................... 400 31,500
VERITAS Software Corp.+ ................ 477 67,734
ELECTRONICS -- 0.9%
Analog Devices, Inc.+ .................. 1,290 106,505
Applied Materials, Inc.+ ............... 755 44,781
ASM Lithography Holdings NV+ ........... 1,250 40,391
Avanex Corp.+ .......................... 190 20,461
Integrated Device Technology, Inc.+ .... 1,020 92,310
Intel Corp. ............................ 1,400 58,187
PerkinElmer, Inc. ...................... 200 20,875
Texas Instruments, Inc. ................ 2,235 105,464
INTERNET CONTENT -- 0.5%
Amazon.com, Inc.+ ...................... 1,370 52,659
eBay, Inc.+ ............................ 615 42,204
Exodus Communications, Inc.+ ........... 1,420 70,113
Juniper Networks, Inc.+ ................ 500 109,469
INTERNET SOFTWARE -- 0.3%
America Online, Inc.+ .................. 200 10,750
Digex, Inc.+ ........................... 560 26,250
Inktomi Corp.+ ......................... 350 39,900
Phone.com, Inc.+ ....................... 1,030 117,034
Software.com, Inc.+ .................... 30 5,443
TELECOMMUNICATIONS -- 1.8%
China Mobile Hong Kong Ltd. ADR+ ....... 1,280 41,520
Corning, Inc. .......................... 350 103,950
Cox Communications, Inc., Class A+ ..... 720 27,540
JDS Uniphase Corp.+ .................... 985 93,267
Level 3 Communications, Inc.+ .......... 915 70,569
McLeodUSA, Inc., Class A+ .............. 3,700 52,956
Nippon Telegraph & Telephone Corp.
ADR .................................. 2 57,490
Nokia Corp. ADR ........................ 7,200 286,650
Nortel Networks Corp. .................. 300 17,869
</TABLE>
----------------
55
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
NTL, Inc.+ ............................. 510 $ 23,619
QUALCOMM, Inc.+ ........................ 895 63,769
Sprint Corp. (PCS Group)+ .............. 1,050 36,816
Telefonaktiebolaget (LM) Ericsson AB
ADR .................................. 3,515 52,066
Telefonaktiebolaget LM Ericsson AB,
Series B ............................. 1,513 23,053
Vodafone Group PLC ADR ................. 2,115 78,257
------------
3,713,900
------------
UTILITIES -- 0.6%
ELECTRIC UTILITIES -- 0.3%
Dominion Resources, Inc.+ .............. 485 28,160
Duke Energy Corp. ...................... 1,480 126,910
GAS & PIPELINE UTILITIES -- 0.1%
Coastal Corp. .......................... 600 44,475
TELEPHONE -- 0.2%
AT&T Corp. ............................. 300 8,813
Telefonica SA .......................... 1,811 35,931
Telefonos de Mexico SA ADR ............. 920 48,932
WinStar Communications, Inc.+ .......... 1,160 17,980
WorldCom, Inc.+ ........................ 400 12,150
------------
323,351
------------
TOTAL COMMON STOCK (cost $6,483,669) ... 7,014,756
------------
<CAPTION>
PREFERRED STOCK -- 0.0%
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 0.0%
TELECOMMUNICATIONS -- 0.0%
Nextlink Communications, Inc., Series B
13.50% (1) (cost $11,023) ............ 17 13,430
------------
<CAPTION>
BONDS & NOTES -- 73.2% PRINCIPAL
AMOUNT
----------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 1.6%
APPAREL & TEXTILES -- 0.0%
Levi Strauss & Co. 6.80% 2003 .......... $ 10,000 8,400
Levi Strauss & Co. 7.00% 2006 .......... 10,000 7,800
Westpoint Stevens, Inc. 7.88% 2008 ..... 10,000 8,250
AUTOMOTIVE -- 0.7%
Accuride Corp., Series B 9.25% 2008 .... 10,000 8,300
Daimler Chrysler North America 7.75%
2005 ................................. 240,000 245,004
Delco Remy International, Inc. 8.63%
2007 ................................. 25,000 23,625
Delco Remy International, Inc. 10.63%
2006 ................................. 5,000 4,950
Dura Operating Corp., Series B 9.00%
2009 ................................. 20,000 17,200
Federal-Mogul Corp. 7.50% 2009 ......... 30,000 11,400
Federal-Mogul Corp. 8.80% 2007 ......... 30,000 11,400
LDM Technologies, Inc., Series B 10.75%
2007 ................................. 25,000 16,250
</TABLE>
----------------
56
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY (CONTINUED)
AUTOMOTIVE (CONTINUED)
Lear Corp. 7.96% 2005 .................. $ 10,000 $ 9,581
Lear Corp., Series B 8.11% 2009 ........ 20,000 19,013
HOUSING -- 0.1%
Engle Homes, Inc., Series C 9.25%
2008 ................................. 10,000 9,150
Henry Co., Series B 10.00% 2008 ........ 20,000 9,000
Mattress Disounters Corp. 12.63%
2007(2) .............................. 20,000 18,500
Nortek, Inc., Series B 8.88% 2008 ...... 5,000 4,600
Standard Pacific Corp. 8.50% 2007 ...... 20,000 18,850
Webb (Del E.) Corp. 10.25% 2010 ........ 25,000 23,625
RETAIL -- 0.8%
Albertsons, Inc. 8.70% 2030 ............ 82,000 84,549
Duane Reade, Inc. 9.25% 2008 ........... 50,000 44,000
Kroger Co. 7.38% 2005 .................. 55,000 54,228
Sealy Mattress Co., Series B zero coupon
2007(3) .............................. 10,000 7,450
Stater Brothers Holdings, Inc. 10.75%
2006 ................................. 15,000 13,200
Wal-Mart Stores, Inc. 7.55% 2030 ....... 230,000 237,313
------------
915,638
------------
CONSUMER STAPLES -- 1.4%
FOOD, BEVERAGE & TOBACCO -- 1.4%
Aurora Foods, Inc., Series B 8.75%
2008 ................................. 10,000 7,650
Aurora Foods, Inc., Series D 9.88%
2007 ................................. 15,000 11,850
B & G Foods, Inc. 9.63% 2007 ........... 25,000 18,000
Chiquita Brands International, Inc.
10.00% 2009 .......................... 20,000 12,000
CPC International, Inc., Series E 7.25%
2026 ................................. 160,000 149,925
Del Monte Foods Co., Series B zero
coupon 2007(3) ....................... 26,000 19,890
Nash Finch Co., Series B 8.50% 2008 .... 35,000 25,200
New World Pasta Co. 9.25% 2009 ......... 10,000 5,900
Panamerican Beverage, Inc. 8.13%
2003 ................................. 80,000 78,565
Seagram (Joseph E.) & Sons, Inc. 7.50%
2018 ................................. 300,000 293,640
Whitman Corp. 6.38% 2009 ............... 165,000 147,625
------------
770,245
------------
ENERGY -- 2.3%
ENERGY SERVICES -- 0.1%
ICO, Inc., Series B 10.38% 2007 ........ 15,000 14,475
Key Energy Services, Inc., Series B
14.00% 2009 .......................... 5,000 5,688
Pride Petroleum Services, Inc. 9.38%
2007 ................................. 25,000 25,625
Tuboscope, Inc. 7.50% 2008 ............. 30,000 26,362
ENERGY SOURCES -- 2.2%
Energy Corp. of America, Series A 9.50%
2007 ................................. 45,000 34,200
Enron Corp. 6.75% 2004 ................. 125,000 123,573
Enron Corp. 9.63% 2006 ................. 135,000 147,702
Husky Oil Ltd. 7.55% 2016 .............. 180,000 167,841
Petroleos Mexicanos 9.38% 2008 ......... 20,000 20,550
Petroleos Mexicanos, Series P 9.50%
2027 ................................. 230,000 237,325
Pioneer Natural Resources Co. 9.63%
2010 ................................. 5,000 5,300
Plains Resources, Inc., Series B 10.25%
2006 ................................. 10,000 10,275
</TABLE>
----------------
57
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
ENERGY SOURCES (CONTINUED)
Plains Resources, Inc., Series D 10.25%
2006 ................................. $ 10,000 $ 10,150
Tosco Corp. 8.13% 2030 ................. 280,000 281,011
YPF Sociedad Anonima, Series C 10.00%
2028 ................................. 150,000 165,585
------------
1,275,662
------------
FINANCE -- 18.1%
BANKS -- 4.1%
Bank of America Corp. 9.38% 2009 ....... 80,000 88,538
Bank of Scotland 7.70% 2010* ........... 290,000 290,473
Credit National 7.00% 2005 ............. 210,000 206,157
Deutsche Ausgleichsbank 7.00% 2005 ..... 320,000 323,412
First Republic Bancorp 7.75% 2012 ...... 55,000 46,228
First Union-Lehman Brothers Commercial
Mortgage Corp. 6.60% 2007 ............ 245,000 241,307
National Australia Bank, Ltd. 8.60%
2010 ................................. 290,000 309,897
National City Corp. 7.20% 2005 ......... 200,000 198,530
NBD Bank NA 8.25% 2024 ................. 55,000 58,493
Royal Bank Scotland Group PLC 6.40%
2009 ................................. 300,000 278,814
U.S. Bancorp 7.50% 2026 ................ 210,000 210,437
Werner Holdings Co., Inc., Series A
10.00% 2007 .......................... 10,000 9,600
Western Financial Bank 8.88% 2007 ...... 30,000 27,450
FINANCIAL SERVICES -- 7.2%
Aesop Funding II LLC 6.14% 2006* ....... 120,000 115,320
Aesop Funding II LLC 6.22% 2001* ....... 21,667 21,661
Aesop Funding II LLC 6.40% 2003* ....... 100,000 99,243
Allstate Financing II 7.83% 2045 ....... 53,000 47,712
American General Finance Corp., Series E
6.25% 2002 ........................... 300,000 295,627
Asset Securitization Corp. 6.75%
2041 ................................. 85,000 83,193
AXA Finanical, Inc. 7.00% 2028 ......... 130,000 116,722
Chase Credit Card Master Trust 6.19%
2005 ................................. 190,000 188,343
Crown Castle International Corp. zero
coupon 2007(3)(6) .................... 45,000 35,100
CS First Boston Mortgage Securities
Corp. 7.24% 2029 ..................... 110,000 110,497
Dime Capital Trust I, Series A 9.33%
2027 ................................. 45,000 41,375
DLJ Mortgage Acceptance Corp. 6.82%
2007* ................................ 450,000 442,389
Fleet Mortgage Group, Inc., Series A
6.84% 2003 ........................... 50,000 49,991
GE Capital Mortgage Services, Inc. 6.25%
2023 ................................. 3,377 3,357
General Electric Capital Corp. 8.70%
2007 ................................. 250,000 273,320
General Motors Acceptance Corp. 7.63%
2003 ................................. 130,000 132,010
Liberty Financial Cos., Inc. 6.75%
2008 ................................. 130,000 119,648
Nomura Asset Securities Corp. 6.59%
2028 ................................. 320,000 310,614
Popular North America, Inc., Series D
6.63% 2002 ........................... 40,000 39,439
Principal Financial Group 8.20%
2009* ................................ 340,000 341,597
Private Export Funding Corp., Series C
6.31% 2004 ........................... 100,000 99,363
Private Export Funding Corp., Series NN
7.30% 2002 ........................... 265,000 267,443
Private Export Funding Corp., Series YY
7.03% 2003 ........................... 100,000 101,468
RBF Finance Co. 11.38% 2009 ............ 35,000 40,294
Sprint Capital Corp. 6.13% 2008 ........ 180,000 162,594
Sun Canada Financial Co. 6.63% 2007* ... 160,000 153,376
Tembec Finance Corp. 9.88% 2005 ........ 15,000 15,150
Tembec Industries, Inc. 8.63% 2009 ..... 5,000 4,875
Toyota Motor Credit Corp. 5.63% 2003 ... 150,000 145,119
</TABLE>
----------------
58
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
U.S. West Capital Funding, Inc. 6.25%
2005 ................................. $ 165,000 $ 157,907
INSURANCE -- 6.8%
AAG Holding Co., Inc. 6.88% 2008 ....... 120,000 108,598
Abbey National PLC, Series E 6.69%
2005 ................................. 270,000 264,945
Ace Capital Trust II 9.70% 2030 ........ 310,000 328,389
American Financial Group, Inc. 7.13%
2009 ................................. 70,000 60,973
Amerus Life Holdings, Inc. 6.95%
2005 ................................. 250,000 233,689
CIGNA Corp. 7.40% 2007 ................. 95,000 92,295
CIGNA Corp. 7.88% 2027 ................. 40,000 37,564
CIGNA Corp. 8.25% 2007 ................. 75,000 76,429
Everest Reinsurance Holdings Co. 8.75%
2010 ................................. 300,000 312,660
Farmers Insurance Exchange 8.50%
2004* ................................ 290,000 297,534
Florida Windstorm Underwriting
Associates, Inc. 7.13% 2019* ......... 350,000 329,063
Jackson National Life Insurance Co.
8.15% 2027* .......................... 49,000 46,910
Lumbermens Mutual Casualty Co. 8.30%
2037* ................................ 85,000 67,767
Metropolitan Life Insurance Co. 7.70%
2015* ................................ 140,000 135,645
Prudential Insurance Co. 6.88% 2003* ... 355,000 353,218
Reliastar Financial Corp. 8.00% 2006 ... 225,000 230,443
Safeco Capital Trust I 8.07% 2037 ...... 290,000 244,815
St. Paul Cos., Inc. 8.13% 2010 ......... 219,000 227,425
Travelers Property Casualty Corp. 7.75%
2026 ................................. 340,000 330,743
------------
10,083,188
------------
HEALTHCARE -- 1.0%
DRUGS -- 0.1%
ALARIS Medical Systems, Inc. 9.75%
2006 ................................. 15,000 10,950
Bergen Brunswig Corp. 7.38% 2003 ....... 20,000 18,576
Warner Chilcott, Inc. 12.63% 2008* ..... 10,000 10,300
HEALTH SERVICES -- 0.2%
Beverly Enterprises, Inc. 9.00% 2006 ... 20,000 18,750
Columbia/HCA Healthcare Corp. 7.00%
2007 ................................. 5,000 4,619
Columbia/HCA Healthcare Corp. 7.25%
2008 ................................. 25,000 23,250
Tenet Healthcare Corp. 7.88% 2003 ...... 50,000 49,375
Tenet Healthcare Corp., Series B 8.13%
2008 ................................. 20,000 19,075
Triad Hospitals Holdings, Inc., Series B
11.00% 2009 .......................... 25,000 25,625
MEDICAL PRODUCTS -- 0.7%
ALARIS Medical, Inc. zero coupon
2008(3) .............................. 35,000 9,100
Beckman Instruments, Inc. 7.10% 2003 ... 75,000 72,751
Beckman Instruments, Inc. 7.45% 2008 ... 25,000 23,158
Bio Rad Labs, Inc. 11.63% 2007 ......... 7,000 7,315
Cardinal Health 7.00% 2026 ............. 270,000 264,252
Conmed Corp. 9.00% 2008 ................ 20,000 16,800
Mediq Inc./ PRN Life Support Services,
Inc. 11.00% 2008(4) .................. 25,000 750
------------
574,646
------------
INDUSTRIAL & COMMERCIAL -- 4.0%
AEROSPACE & MILITARY TECHNOLOGY -- 1.2%
Dunlop Standard Aerospace Holdings PLC
11.88% 2009 .......................... 35,000 35,219
K & F Industries, Inc., Series B 9.25%
2007 ................................. 40,000 38,400
</TABLE>
----------------
59
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
AEROSPACE & MILITARY
TECHNOLOGY (CONTINUED)
Raytheon Co. 8.20% 2006* ............... $ 234,000 $ 241,734
SCL Term Aereo Santiago SA 6.95%
2012* ................................ 410,000 376,802
BUSINESS SERVICES -- 2.0%
Abitibi Consolidated, Inc. 8.30%
2005 ................................. 250,000 256,083
Allied Waste North America, Inc., Series
B 7.63% 2006 ......................... 40,000 35,800
Boise Cascade Office Products Corp.
7.05% 2005 ........................... 225,000 217,319
Federal Express Corp. 6.72% 2022 ....... 175,768 165,675
Fisher Scientific International, Inc.
9.00% 2008 ........................... 20,000 18,400
Iron Mountain, Inc. 8.13% 2008 ......... 5,000 4,550
Iron Mountain, Inc. 8.75% 2009 ......... 15,000 14,550
Neenah Corp., Series B 11.13% 2007 ..... 10,000 7,750
Neenah Corp., Series F 11.13% 2007 ..... 10,000 7,750
Owens & Minor, Inc. 10.88% 2006 ........ 10,000 10,350
Waste Management, Inc. 6.88% 2009 ...... 10,000 9,076
Waste Management, Inc. 7.00% 2006 ...... 170,000 159,268
Waste Management, Inc. 7.13% 2007 ...... 200,000 186,708
World Color Press, Inc. 8.38% 2008 ..... 20,000 19,450
MACHINERY -- 0.1%
Grove Worldwide, Inc. LLC 9.25% 2008 ... 20,000 2,600
Numatics, Inc., Series B 9.63% 2008 .... 10,000 7,900
Roller Bearing Co. of America, Inc.,
Series B 9.63% 2007 .................. 5,000 4,575
Westinghouse Air Brake Co., Series B2
9.38% 2005 ........................... 10,000 9,650
MULTI-INDUSTRY -- 0.6%
American Standard, Inc. 7.63% 2010 ..... 15,000 14,138
Prestolite Electric, Inc. 9.63% 2008 ... 20,000 13,600
Tyco International Group SA 6.38%
2005 ................................. 320,000 310,851
TRANSPORTATION -- 0.1%
AMR Corp. 10.20% 2020 .................. 50,000 54,681
------------
2,222,879
------------
INFORMATION & ENTERTAINMENT -- 3.3%
BROADCASTING & MEDIA -- 2.1%
Adelphia Communications Corp., Series B
8.38% 2008 ........................... 15,000 13,088
Allbritton Communications Co., Series B
8.88% 2008 ........................... 25,000 23,375
AMC Entertainment, Inc. 9.50% 2009 ..... 50,000 23,000
AMC Entertainment, Inc. 9.50% 2011 ..... 35,000 16,100
American Color Graphics, Inc. 12.75%
2005 ................................. 30,000 29,700
Benedek Communications Corp. zero coupon
2006(3) .............................. 40,000 35,000
Cablevision SA 13.75% 2009 ............. 10,000 8,900
Century Communications Corp., Series B
zero coupon 2008(3) .................. 65,000 26,325
Charter Communication Holdings LLC 8.63%
2009 ................................. 50,000 44,875
Classic Cable, Inc. 10.50% 2010 ........ 25,000 21,375
Comcast Cable Communications Corp. 8.50%
2027 ................................. 80,000 83,310
Echostar DBS Corp. 9.38% 2009 .......... 55,000 53,900
Frontiervision Holdings LP zero coupon
2007(3) .............................. 30,000 26,213
Frontiervision Holdings LP, Series B
zero coupon 2007(3) .................. 20,000 17,400
Granite Broadcasting Corp. 8.88%
2008 ................................. 25,000 17,500
LIN Holdings Corp. zero coupon
2008(3) .............................. 65,000 46,800
News America Holdings, Inc. 8.00%
2016 ................................. 330,000 317,991
</TABLE>
----------------
60
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
BROADCASTING & MEDIA (CONTINUED)
Scholastic Corp. 7.00% 2003 ............ $ 85,000 $ 83,932
Sun Media Corp. 9.50% 2007 ............. 15,000 14,981
TCI Communications, Inc. 8.00% 2005 .... 50,000 51,350
Tele-Communications, Inc. 7.25% 2005 ... 40,000 39,855
Tele-Communications, Inc. 9.25% 2002 ... 60,000 62,187
Viacom, Inc. 7.75% 2005 ................ 80,000 82,008
Young Broadcasting, Inc., Series B 8.75%
2007 ................................. 30,000 28,462
ENTERTAINMENT PRODUCTS -- 0.1%
Bell Sports, Inc., Series B 11.00%
2008 ................................. 45,000 45,450
True Temper Sports, Inc., Series B
10.88% 2008 .......................... 25,000 24,406
LEISURE & TOURISM -- 1.1%
Continental Airlines, Inc., Series A
6.65% 2017 ........................... 71,046 65,776
Continental Airlines, Inc., Series B
6.47% 2004 ........................... 86,542 84,227
John Q. Hammons Hotels, Inc. 8.88%
2004 ................................. 10,000 9,300
Northwest Airlines Pass Through Trust
8.07% 2019 ........................... 390,000 397,761
Station Casinos, Inc. 8.88% 2008 ....... 30,000 28,763
Tricon Global Restaurants, Inc. 7.65%
2008 ................................. 30,000 27,900
------------
1,851,210
------------
INFORMATION TECHNOLOGY -- 1.9%
COMMUNICATION EQUIPMENT -- 0.1%
Concentric Network Corp. 12.75% 2007 ... 35,000 35,000
ELECTRONICS -- 0.6%
Amphenol Corp. 9.88% 2007 .............. 3,000 3,037
Eaton Corp. 7.65% 2029 ................. 280,000 261,228
Fairchild Semiconductor Corp. 10.13%
2007 ................................. 25,000 25,000
L-3 Communications Holdings, Inc.,
Series B 8.00% 2008 .................. 20,000 18,000
SCG Holdings & Semiconductor Co., Series
B 12.00% 2009 ........................ 19,000 19,950
INTERNET CONTENT -- 0.0%
Exodus Communications, Inc. 11.63%
2010* ................................ 20,000 20,050
INTERNET SOFTWARE -- 0.1%
Covad Communications Group, Inc. 12.50%
2009 ................................. 15,000 11,475
PSINet, Inc. 11.00% 2009 ............... 10,000 6,500
PSINet, Inc. 11.50% 2008 ............... 15,000 9,975
PSINet, Inc., Series B 10.00% 2005 ..... 25,000 16,250
TELECOMMUNICATIONS -- 1.1%
Adelphia Business Solutions, Inc.,
Series B zero coupon 2003(3) ......... 15,000 12,187
Adelphia Business Solutions, Inc.,
Series B 12.25% 2004 ................. 15,000 13,650
Alaska Communications Holdings, Inc.
9.38% 2009 ........................... 25,000 23,031
AMSC Acquisition Co., Inc., Series B
12.25% 2008 .......................... 5,000 3,725
BTI Telecom Corp. 10.50% 2007 .......... 10,000 5,800
Clearnet Communications, Inc. zero
coupon 2009(3) ....................... 15,000 11,888
Compania de Telecomunicaciones de Chile
7.63% 2006 ........................... 50,000 48,932
Compania de Telecomunicaciones de Chile
8.38% 2006 ........................... 60,000 60,450
e.Spire Communications, Inc. zero coupon
2008(3) .............................. 35,000 10,675
GCI, Inc. 9.75% 2007 ................... 60,000 56,400
GT Group Telecom, Inc. zero coupon
2010(2)(3) ........................... 15,000 6,450
Insight Midwest LP 9.75% 2009 .......... 10,000 10,075
</TABLE>
----------------
61
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
ITC Deltacom, Inc. 8.88% 2008 .......... $ 5,000 $ 4,275
ITC Deltacom, Inc. 9.75% 2008 .......... 15,000 12,600
KMC Telecom Holdings, Inc. zero coupon
2008(3) .............................. 40,000 16,000
Level 3 Communications, Inc. 9.13%
2008 ................................. 15,000 12,937
Level 3 Communications, Inc. 11.25%
2010 ................................. 10,000 9,550
McLeodUSA, Inc. 8.13% 2009 ............. 5,000 4,350
McLeodUSA, Inc. 8.38% 2008 ............. 5,000 4,400
McLeodUSA, Inc. 9.25% 2007 ............. 15,000 13,875
McLeodUSA, Inc. 9.50% 2008 ............. 5,000 4,675
MJD Communications, Inc., Series B 9.50%
2008 ................................. 10,000 8,700
Nextel Communications, Inc. zero coupon
2007(3) .............................. 90,000 70,200
Nextel Communications, Inc. 9.38%
2009 ................................. 5,000 4,900
NEXTLINK Communications, Inc. zero
coupon 2008(3) ....................... 55,000 32,175
NTL Communications Corp., Series B zero
coupon 2008(3) ....................... 55,000 34,925
RCN Corp. zero coupon 2008(3) .......... 50,000 24,000
Rogers Cantel, Inc. 9.38% 2008 ......... 10,000 10,350
RSL Communications PLC 12.00% 2008 ..... 30,000 7,950
Satelites Mexicanos SA de CV, Series B
10.13% 2004 .......................... 20,000 12,600
Telecommunications Techniques Co. LLC
9.75% 2008 ........................... 25,000 23,500
Time Warner Telecom, Inc. 9.75% 2008 ... 15,000 13,913
------------
1,015,603
------------
MATERIALS -- 2.5%
CHEMICALS -- 1.2%
Acetex Corp. 9.75% 2003* ............... 30,000 28,575
Avecia Group PLC 11.00% 2009 ........... 30,000 29,550
Georgia Gulf Corp. 10.38% 2007 ......... 10,000 10,050
ICI Wilmington, Inc. 6.95% 2004 ........ 320,000 311,565
Lyondell Chemical Co. 9.80% 2020 ....... 20,000 19,500
Lyondell Chemical Co., Series B 9.88%
2007 ................................. 55,000 53,694
Pioneer Americas Acquisition Corp.,
Series B 9.25% 2007 .................. 15,000 7,950
Praxair, Inc. 6.75% 2003 ............... 195,000 193,307
Texas Petrochemical Corp., Series B
11.13% 2006 .......................... 35,000 29,050
FOREST PRODUCTS -- 0.9%
Boise Cascade Co., Series A 9.90%
2001 ................................. 80,000 81,942
Doman Industries Ltd. 12.00% 2004 ...... 30,000 29,812
Gaylord Container Corp., Series B 9.38%
2007 ................................. 15,000 10,050
International Paper Co. 8.10% 2009 ..... 100,000 102,124
Owens-Illinois, Inc. 7.50% 2010 ........ 5,000 4,227
Packaging Corp. of America 9.63%
2009 ................................. 10,000 10,125
Paperboard Industries International,
Inc. 8.38% 2007 ...................... 5,000 4,200
Sonoco Products Co. 7.00% 2004 ......... 270,000 270,456
METALS & MINERALS -- 0.4%
AK Steel Corp. 7.88% 2009 .............. 25,000 22,375
Alcoa, Inc. 7.25% 2005 ................. 91,000 92,629
Algoma Steel, Inc. 12.38% 2005 ......... 20,000 14,200
BWay Corp., Series B 10.25% 2007 ....... 20,000 19,600
Consumers Packaging, Inc. 9.75% 2007 ... 10,000 2,200
LTV Corp. 11.75% 2009 .................. 25,000 13,750
National Steel Corp. 9.88% 2009 ........ 20,000 11,800
</TABLE>
----------------
62
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
MATERIALS (CONTINUED)
METALS & MINERALS (CONTINUED)
P & L Coal Holdings Corp., Series B
9.63% 2008 ........................... $ 20,000 $ 19,400
Weirton Steel Corp. 11.38% 2004 ........ 5,000 4,100
------------
1,396,231
------------
MUNICIPAL BONDS -- 1.8%
MUNICIPAL BONDS -- 1.8%
Allentown Pennsylvania 6.20% 2005 ...... 290,000 282,788
Fresno County California Pension
Obligation 6.07% 2003 ................ 100,000 98,279
Hudson County New Jersey Improvement
Authority Facility 6.55% 2002 ........ 200,000 199,676
Huntsville Alabama Solid Waste Disposal
Authority 5.95% 2003 ................. 105,000 102,943
Miami Florida Revenue 7.25% 2003 ....... 130,000 132,070
Phoenix Arizona Civic Improvement Corp.
6.30% 2008 ........................... 100,000 94,992
Southern California Public Power
Authority Project 6.93% 2017 ......... 125,000 118,422
------------
1,029,170
------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.2%
FOREIGN GOVERNMENT -- 0.2%
Republic of Philippines 10.63% 2025 .... 111,000 94,350
------------
REAL ESTATE -- 0.8%
REAL ESTATE COMPANIES -- 0.8%
E.O.P. Operating LP 6.38% 2003 ......... 120,000 117,406
E.O.P. Operating LP 8.38% 2006 ......... 230,000 237,629
Susa Partnership LP 6.95% 2006 ......... 95,000 89,946
------------
444,981
------------
U.S. GOVERNMENT & AGENCIES -- 31.7%
U.S. GOVERNMENT & AGENCIES -- 31.7%
Federal Home Loan Mortgage Corp. 6.50%
2022 ................................. 160,000 152,400
Federal Home Loan Mortgage Corp. 6.50%
2023 ................................. 96,000 89,880
Federal Home Loan Mortgage Corp. 7.00%
2023 ................................. 45,000 43,650
Federal Home Loan Mortgage Corp. 7.50%
2023 ................................. 23,755 23,881
Federal Home Loan Mortgage Corp. 7.50%
2027 ................................. 279,228 279,491
Federal Home Loan Mortgage Corp. 7.50%
2028 ................................. 230,065 230,281
Federal Home Loan Mortgage Corp. 7.75%
2022 ................................. 127,178 127,734
Federal Home Loan Mortgage Corp. 8.50%
2008 ................................. 152,239 154,794
Federal Home Loan Mortgage Corp. 8.50%
2019 ................................. 35,556 36,641
Federal National Mortgage Association
5.25% 2003 ........................... 510,000 496,291
Federal National Mortgage Association
5.75% 2008 ........................... 740,000 698,027
Federal National Mortgage Association
6.00% 2028 ........................... 172,365 161,001
Federal National Mortgage Association
6.00% 2028 ........................... 657,757 614,391
Federal National Mortgage Association
6.18% 2008 ........................... 24,405 23,461
Federal National Mortgage Association
6.27% 2007 ........................... 82,773 80,175
Federal National Mortgage Association
6.30% 2008 ........................... 19,526 18,899
Federal National Mortgage Association
6.30% 2008 ........................... 24,294 23,554
Federal National Mortgage Association
6.34% 2008 ........................... 19,152 18,622
Federal National Mortgage Association
6.36% 2008 ........................... 126,682 123,753
Federal National Mortgage Association
6.39% 2006 ........................... 19,002 18,648
Federal National Mortgage Association
6.43% 2008 ........................... 24,292 23,716
</TABLE>
----------------
63
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES (CONTINUED)
U.S. GOVERNMENT & AGENCIES (CONTINUED)
Federal National Mortgage Association
6.59% 2007 ........................... $ 97,005 $ 95,543
Federal National Mortgage Association
6.90% 2007 ........................... 296,825 297,615
Federal National Mortgage Association
6.98% 2007 ........................... 23,251 23,396
Federal National Mortgage Association
7.04% 2007 ........................... 77,406 77,945
Federal National Mortgage Association
7.28% 2006 ........................... 43,445 44,220
Federal National Mortgage Association
7.39% 2021 ........................... 46,380 47,038
Federal National Mortgage Association
7.50% 2030 ........................... 99,112 98,864
Federal National Mortgage Association
7.50% 2030 ........................... 98,573 98,327
Federal National Mortgage Association
7.75% 2021 ........................... 200,000 200,186
Federal National Mortgage Association
8.00% 2006 ........................... 26,346 26,634
Government National Mortgage Association
7.00% 2023 ........................... 13,554 13,397
Government National Mortgage Association
7.00% 2023 ........................... 15,395 15,217
Government National Mortgage Association
7.00% 2023 ........................... 15,079 14,905
Government National Mortgage Association
7.25% 2027 ........................... 398,595 396,291
Government National Mortgage Association
7.50% 2022 ........................... 14,612 14,708
Government National Mortgage Association
7.50% 2023 ........................... 56,723 57,060
Government National Mortgage Association
7.50% 2027 ........................... 370,909 372,066
Government National Mortgage Association
7.50% 2028 ........................... 400,000 401,248
Government National Mortgage Association
8.50% 2017 ........................... 29,589 30,625
Government National Mortgage Association
8.50% 2017 ........................... 12,818 13,267
Government National Mortgage Association
9.00% 2021 ........................... 10,446 10,890
Overseas Private Investment Corp.,
Series 96-A 6.99% 2009 ............... 128,888 129,123
United States Treasury Bonds 5.25%
2028 ................................. 335,000 300,244
United States Treasury Bonds 5.50%
2028 ................................. 35,000 32,473
United States Treasury Bonds 6.13%
2029 ................................. 500,000 510,705
United States Treasury Bonds 8.13%
2021 ................................. 120,000 147,937
United States Treasury Bonds 9.00%
2018 ................................. 3,612,000 4,737,355
United States Treasury Bonds 9.25%
2016 ................................. 1,800,000 2,357,154
United States Treasury Bonds 11.88%
2003 ................................. 580,000 674,702
United States Treasury Bonds 12.00%
2013 ................................. 1,500,000 2,043,285
United States Treasury Notes 4.75%
2008 ................................. 475,000 439,598
United States Treasury Notes 5.50%
2009 ................................. 150,000 145,805
United States Treasury Notes 5.63%
2008 ................................. 200,000 196,250
United States Treasury Strip Bonds zero
coupon 2012 .......................... 325,000 163,855
------------
17,667,218
------------
UTILITIES -- 2.6%
ELECTRIC UTILITIES -- 0.9%
Conectiv, Inc. 6.38% 2005 .............. 75,000 74,236
Public Service Electric & Gas Co.,
Series A 8.88% 2003 .................. 47,000 49,276
ScottishPower PLC, Series H 6.38%
2008 ................................. 250,000 231,305
UtiliCorp United, Inc. 6.88% 2004 ...... 90,000 87,807
WESCO Distribution, Inc., Series B 9.13%
2008 ................................. 20,000 18,650
Western Resources, Inc. 6.88% 2004 ..... 15,000 13,390
Western Resources, Inc. 7.13% 2009 ..... 5,000 3,973
GAS & PIPELINE UTILITIES -- 0.0%
Azurix Corp. 10.75% 2010* .............. 15,000 13,800
TELEPHONE -- 1.7%
Alestra SA DE RL DE CV 12.13% 2006 ..... 55,000 53,488
Deutsche Telekom International Finance
Bv 7.75% 2005 ........................ 170,000 172,953
</TABLE>
----------------
64
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
TELEPHONE (CONTINUED)
Deutsche Telekom International Finance
Bv 8.25% 2030 ........................ $ 170,000 $ 174,442
GTE Corp. 6.36% 2006 ................... 220,000 210,355
Intermedia Communications, Inc., Series
B zero coupon 2009(3) ................ 25,000 16,750
Intermedia Communications, Inc., Series
B 8.88% 2007 ......................... 30,000 28,800
Intermedia Communications, Inc., Series
B 9.50% 2009 ......................... 5,000 4,850
MCI Communications Corp. 6.13%
2002(5) .............................. 55,000 54,305
MCI WorldCom, Inc. 7.55% 2004 .......... 230,000 232,162
Viatel, Inc. 11.25% 2008 ............... 25,000 12,750
------------
1,453,292
------------
TOTAL BONDS & NOTES (cost
$41,749,297) ......................... 40,794,313
------------
<CAPTION>
WARRANTS -- 0.0%+
WARRANTS
----------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 0.0%
HOUSING -- 0.0%
Mattress Discounters Holding Corp.
7/15/07* ............................. 20 200
------------
INFORMATION TECHNOLOGY -- 0.0%
TELECOMMUNICATIONS -- 0.0%
GT Group Telecom, Inc. 2/1/10* ......... 15 1,200
KMC Telecom Holdings, Inc. 4/15/08*# ... 20 50
------------
1,250
------------
TOTAL WARRANTS (cost $1,088) ........... 1,450
------------
TOTAL INVESTMENT SECURITIES (cost
$48,245,077) ......................... 47,823,949
------------
<CAPTION>
SHORT-TERM SECURITIES -- 5.8% PRINCIPAL
AMOUNT
----------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES -- 0.7%
Ford Motor Credit Co. 7.02% due
10/10/00 ............................. $ 125,000 125,008
Popular, Inc., Series C 6.75% due
8/9/01 ............................... 125,000 124,559
Post Apartment Homes LP 7.02% due
4/2/01 ............................... 130,000 130,019
------------
379,586
------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 1.1%
Government of France 7.00% due
10/12/00 ............................. 730,000 645,341
------------
U.S. GOVERNMENT & AGENCIES -- 4.0%
Federal National Mortgage Association
5.63% due 3/15/01 .................... 515,000 511,864
Federal National Mortgage Association
Discount Notes 6.51% due 10/2/00 ..... 500,000 499,912
United States Treasury Notes 4.63% due
11/30/00 ............................. 175,000 174,508
United States Treasury Notes 5.00% due
2/28/01 .............................. 520,000 517,239
United States Treasury Notes 5.75% due
10/31/00 ............................. 150,000 149,930
United States Treasury Notes 5.75% due
6/30/01 .............................. 273,000 271,804
United States Treasury Notes 6.63% due
7/31/01 .............................. 100,000 100,219
------------
2,225,476
------------
TOTAL SHORT-TERM SECURITIES (cost
$3,308,406) .......................... 3,250,403
------------
</TABLE>
----------------
65
<PAGE>
<TABLE>
<CAPTION>
REPURCHASE AGREEMENT -- 7.6% PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 7.6%
Paribas Corp. Joint Repurchase Agreement
Account (Note 3) (cost $4,230,000) ... $ 4,230,000 $ 4,230,000
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $55,783,483) 99.2% 55,304,352
Other assets less liabilities -- 0.8 426,266
---------- ------------
NET ASSETS -- 100.0% $ 55,730,618
========== ============
</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) Bond issued as part of a unit which includes an equity component
(3) Represents a zero coupon bond which will convert to an interest-bearing
security at a later date
(4) Bond in default
(5) Variable rate security; rate as of September 30, 2000
(6) Security represents an investment in an affiliated company; see Note 7
ADR -- American Depository Receipt
----------------
66
<PAGE>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
<TABLE>
----------------------------------------------------------
GROSS
CONTRACT IN DELIVERY UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
----------------------------------------------------------
<S> <C> <C> <C>
EUR* 20,000 USD 19,220 10/05/00 $ 1,540
EUR* 25,000 USD 23,765 01/26/01 1,545
EUR* 25,000 USD 24,295 01/26/01 2,076
EUR* 10,000 USD 9,223 01/26/01 334
EUR* 30,000 USD 28,359 03/22/01 1,634
EUR* 15,000 USD 13,766 03/22/01 404
EUR* 15,000 USD 13,689 03/22/01 327
EUR 20,000 USD 18,163 03/22/01 346
HKD 180,000 USD 23,141 06/27/01 19
JPY* 1,700,000 USD 16,798 10/05/00 1,017
JPY 3,000,000 USD 28,724 03/22/01 69
JPY 800,000 USD 7,786 03/22/01 145
JPY 1,700,000 USD 16,605 03/22/01 367
JPY 350,000 USD 3,397 04/12/01 42
USD 4,444 EUR 5,000 03/22/01 10
USD 4,444 EUR 5,000 03/22/01 10
-------
9,885
-------
</TABLE>
<TABLE>
<CAPTION>
GROSS UNREALIZED
DEPRECIATION
<S> <C> <C> <C>
-------------------------------------------------------------
EUR 150,000 USD 128,325 05/07/01 (5,538)
HKD 25,000 USD 3,210 06/27/01 (1)
USD* 15,944 JPY 1,700,000 10/05/00 (161)
USD* 14,226 EUR 15,000 01/26/01 (895)
USD* 4,762 EUR 5,000 01/26/01 (318)
USD* 4,789 EUR 5,000 01/26/01 (345)
USD* 9,579 EUR 10,000 01/26/01 (691)
USD* 13,669 EUR 15,000 01/26/01 (337)
USD* 18,676 EUR 20,000 03/22/01 (859)
USD* 9,255 EUR 10,000 03/22/01 (346)
USD* 9,012 EUR 10,000 03/22/01 (104)
--------
(9,595)
--------
Net Unrealized Appreciation................ $ 290
========
</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 -- Euro Dollar
HKD -- Hong Kong Dollar
JPY -- Japenese Yen
USD -- United States Dollar
</TABLE>
See Notes to Financial Statements.
----------------
67
<PAGE>
----------------
SEASONS SERIES TRUST
ASSET ALLOCATION:
DIVERSIFIED GROWTH
PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 64.9%
SHARES VALUE
<S> <C> <C>
----------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 3.2%
APPAREL & TEXTILES -- 0.4%
Cintas Corp. ........................... 300 $ 13,069
Gucci Group NV ......................... 3,554 358,510
Nike, Inc., Class B .................... 500 20,031
Swatch Group AG+ ....................... 240 70,930
Swatch Group AG, Class B ............... 202 292,643
AUTOMOTIVE -- 0.8%
Bayerische Motoren Werke AG ............ 12,573 430,566
Delphi Automotive Systems Corp. ........ 401 6,065
Ford Motor Co. ......................... 8,651 218,978
General Motors Corp. ................... 3,671 238,615
General Motors Corp., Class H+ ......... 12,263 455,938
Lear Corp.+ ............................ 300 6,169
TRW, Inc. .............................. 1,100 44,688
Visteon Corp. .......................... 328 4,961
HOUSING -- 0.3%
CRH PLC GDR ............................ 18,721 298,466
Lowe's Cos., Inc. ...................... 3,740 167,833
Masco Corp. ............................ 600 11,175
Whirlpool Corp. ........................ 400 15,550
RETAIL -- 1.7%
Albertson's, Inc. ...................... 4,715 99,015
Bulgari SpA ............................ 8,304 102,374
Circuit City Stores, Inc. .............. 1,400 32,200
Costco Wholesale Corp.+ ................ 600 20,963
Dollar General Corp. ................... 725 12,144
Federated Department Stores, Inc.+ ..... 2,805 73,281
Gap, Inc. .............................. 4,300 86,537
Home Depot, Inc. ....................... 11,400 604,912
J.C. Penny Co., Inc. ................... 500 5,906
Kmart Corp.+ ........................... 5,516 33,096
Kroger Co.+ ............................ 2,100 47,381
Limited, Inc. .......................... 1,400 30,887
May Department Stores Co. .............. 2,288 46,904
Metro AG ............................... 3,015 123,660
Radioshack Corp. ....................... 6,550 423,294
Rite Aid Corp.+ ........................ 2,770 11,080
Safeway, Inc.+ ......................... 900 42,019
Sears, Roebuck & Co. ................... 2,800 90,776
Staples, Inc.+ ......................... 2,100 29,794
Starbucks Corp.+ ....................... 700 28,044
</TABLE>
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68
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY (CONTINUED)
RETAIL (CONTINUED)
Target Corp. ........................... 4,490 $ 115,056
Tesco PLC .............................. 73,693 270,827
Tiffany & Co. .......................... 200 7,713
TJX Cos., Inc. ......................... 1,300 29,250
Wal-Mart Stores, Inc. .................. 13,900 668,937
------------
5,690,237
------------
CONSUMER STAPLES -- 3.3%
FOOD, BEVERAGE & TOBACCO -- 2.3%
Anheuser-Busch Cos., Inc. .............. 12,480 528,060
Archer-Daniels-Midland Co. ............. 1,470 12,679
Bestfoods .............................. 800 58,200
Campbell Soup Co. ...................... 400 10,350
Coca-Cola Co. .......................... 11,290 622,361
Coca-Cola Enterprises, Inc. ............ 5,615 89,489
ConAgra Foods, Inc. .................... 3,510 70,419
Danone ................................. 1,284 176,565
Diageo PLC+ ............................ 10,493 93,807
Fortune Brands, Inc. ................... 700 18,550
Heinz (H.J.) Co. ....................... 2,430 90,062
Kellogg Co. ............................ 5,485 132,668
Nestle SA .............................. 216 450,613
Pepsi Bottling Group, Inc. ............. 500 15,031
PepsiCo, Inc. .......................... 14,575 670,450
Philip Morris Cos., Inc. ............... 18,093 532,613
Quaker Oats Co. ........................ 4,221 333,987
Ralston Purina Group ................... 3,400 80,537
HOUSEHOLD PRODUCTS -- 1.0%
Avon Products, Inc. .................... 4,900 200,288
Clorox Co. ............................. 2,530 100,093
Colgate-Palmolive Co. .................. 1,350 63,720
Estee Lauder Cos., Inc., Class A ....... 6,200 227,075
Gillette Co. ........................... 2,600 80,275
Kimberly-Clark Corp. ................... 9,235 515,428
Newell Rubbermaid, Inc. ................ 900 20,531
Procter & Gamble Co. ................... 6,000 402,000
Shiseido Co., Ltd.+ .................... 9,000 111,994
Unilever NV ............................ 600 28,950
Unilever PLC ........................... 5,200 33,684
------------
5,770,479
------------
ENERGY -- 6.3%
ENERGY SERVICES -- 0.4%
Baker Hughes, Inc. ..................... 1,500 55,687
BJ Services Co.+ ....................... 100 6,113
Halliburton Co. ........................ 10,975 537,089
Schlumberger Ltd. ...................... 1,095 90,132
Transocean Sedco Forex, Inc. ........... 556 32,595
USX-Marathon Group, Inc. ............... 500 14,188
</TABLE>
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69
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
ENERGY SOURCES -- 5.9%
Amerada Hess Corp. ..................... 200 $ 13,388
Anadarko Petroleum Corp. ............... 4,200 279,132
Apache Corp. ........................... 4,550 269,019
BP Amoco PLC ........................... 69,434 618,170
BP Amoco PLC ADR ....................... 3,243 171,879
Burlington Resources, Inc. ............. 500 18,406
Chevron Corp. .......................... 4,135 352,509
Conoco, Inc., Class A .................. 16,210 423,486
Conoco, Inc., Class B .................. 4,709 126,849
ENI SpA ................................ 70,612 374,420
Enron Corp.@ ........................... 13,800 1,209,225
Exxon Mobil Corp.@ ..................... 25,248 2,250,228
Iberdrola SA ........................... 13,587 172,908
Kerr-McGee Corp. ....................... 400 26,500
Occidental Petroleum Corp. ............. 1,600 34,900
Petroleo Brasileiro SA ADR ............. 4,825 145,052
Phillips Petroleum Co. ................. 550 34,513
Royal Dutch Petroleum Co. NY Shares@ ... 13,705 821,443
Shell Transport & Trading Co. PLC@ ..... 128,695 1,048,702
Suncor Energy, Inc. .................... 3,174 69,911
Texaco, Inc. ........................... 1,600 84,000
Tosco Corp. ............................ 3,325 103,698
Total Fina SA, Class B@ ................ 10,188 1,492,804
TXU Corp. .............................. 4,320 171,180
Unocal Corp. ........................... 1,900 67,331
------------
11,115,457
------------
FINANCE -- 12.9%
BANKS -- 3.8%
AmSouth Bancorp. ....................... 1,048 13,100
Banca Intesa SpA+ ...................... 34,597 133,613
Banco Bilbao Vizcaya SA+ ............... 7,332 110,932
Bank of America Corp. .................. 16,847 882,362
Bank of New York Co., Inc. ............. 9,640 540,443
Bank of Nova Scotia .................... 7,748 224,889
Bank One Corp. ......................... 7,941 306,721
BB&T Corp. ............................. 3,600 108,450
Charter One Financial, Inc. ............ 4,481 109,224
Chase Manhattan Corp. .................. 7,077 326,869
Comerica, Inc. ......................... 4,895 286,052
DBS Group Holdings Ltd. ADR ............ 10,141 111,955
Dresdner Bank AG ....................... 2,265 99,644
Fifth Third Bancorp. ................... 11,300 608,787
First Tennessee National Corp. ......... 1,200 24,525
First Union Corp. ...................... 6,935 223,220
Firstar Corp. .......................... 21,394 478,691
Huntington Bancshares, Inc. ............ 1,350 19,828
Julius Baer Holdings Ltd., Class B ..... 65 337,684
Keppel TatLee Bank Ltd. ................ 18,000 32,292
KeyCorp. ............................... 3,100 78,469
</TABLE>
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70
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
BANKS (CONTINUED)
National City Corp. .................... 7,000 $ 154,875
Northern Trust Corp. ................... 2,000 177,750
Overseas Chinese Bank Corp., Ltd. ...... 9,400 59,454
PNC Financial Services Group ........... 2,845 184,925
Royal Bank of Scotland Group ........... 14,876 314,162
State Street Corp. ..................... 1,800 234,000
Summit Bancorp ......................... 970 33,465
SunTrust Banks, Inc. ................... 1,700 84,681
Synovus Financial Corp. ................ 2,350 49,791
Toronto-Dominion Bank .................. 4,887 143,306
U.S. Bancorp ........................... 6,950 158,113
Zions Bancorp .......................... 300 15,342
FINANCIAL SERVICES -- 7.3%
Alliance Capital Management Holding
LP .................................... 500 25,063
Allied Zurich PLC+ ..................... 15,336 174,412
American Express Co. ................... 11,200 680,400
American General Corp. ................. 4,208 328,224
Associates First Capital Corp., Class
A ..................................... 3,500 133,000
Bear Stearns Cos., Inc. ................ 100 6,300
C.I.T. Group, Inc., Class A ............ 1,400 24,500
Capital One Financial Corp. ............ 800 56,050
Charles Schwab Corp. ................... 13,450 477,475
Citigroup, Inc.@ ....................... 42,161 2,279,329
Compagnie Financiere Richemont AG ...... 193 581,019
Credit Suisse Group .................... 855 160,035
Dow Jones & Co., Inc. .................. 450 27,225
E*TRADE Group, Inc.+ ................... 500 8,219
Fannie Mae ............................. 9,135 653,152
Fleet Boston Financial Corp. ........... 8,038 313,482
Fortis (B) ............................. 4,083 125,751
Fortis NV .............................. 3,946 121,008
Freddie Mac ............................ 4,565 246,795
Goldman Sachs Group, Inc ............... 2,300 262,056
H&R Block, Inc. ........................ 100 3,706
Household International, Inc. .......... 4,320 244,620
ING Groep NV@ .......................... 15,463 1,031,466
Investor AB+ ........................... 31,720 450,315
J.P. Morgan & Co., Inc. ................ 100 16,338
Lehman Brothers Holdings, Inc. ......... 700 103,425
MBNA Corp. ............................. 4,250 163,625
Mellon Financial Corp. ................. 3,600 166,950
Merrill Lynch & Co.@ ................... 11,640 768,240
Morgan Stanley, Dean Witter & Co. ...... 10,735 981,582
Nikko Securities Co., Ltd. ............. 70,000 623,117
Paine Webber Group, Inc. ............... 300 20,438
Providian Financial Corp. .............. 700 88,900
Stilwell Financial, Inc. ............... 400 17,400
Sun Life Financial Services, Inc. ...... 10,940 225,361
Svenska Handelsbanken AB ............... 9,529 153,614
T.Rowe Price Associates, Inc. .......... 900 42,244
</TABLE>
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71
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
USA Education, Inc. .................... 2,000 $ 96,375
Washington Mutual, Inc. ................ 12,972 516,448
Wells Fargo & Co. ...................... 11,050 507,609
INSURANCE -- 1.8%
Aegon NV ............................... 510 19,268
Aetna, Inc. ............................ 300 17,419
AFLAC, Inc. ............................ 900 57,656
Allianz AG ............................. 608 200,603
Allstate Corp. ......................... 5,660 196,685
American International Group,
Inc.(1) ............................... 8,718 834,204
Aon Corp. .............................. 2,005 78,696
AXA SA de CV ........................... 2,844 371,981
Berkshire Hathaway, Inc., Class B+ ..... 100 207,000
Chubb Corp. ............................ 1,345 106,423
CIGNA Corp. ............................ 4,050 422,820
Cincinnati Financial Corp. ............. 300 10,650
CNA Financial Corp.+ ................... 300 11,475
Franklin Resources, Inc. ............... 400 17,772
Hartford Financial Services Group,
Inc. .................................. 2,080 151,710
Jefferson-Pilot Corp. .................. 200 13,575
John Hancock Financial Services+ ....... 300 8,062
Lincoln National Corp. ................. 2,735 131,622
MGIC Investment Corp. .................. 900 55,012
Progressive Corp. ...................... 200 16,375
Schweizerische
Rueckversicherungs-Gesellschaft ....... 89 170,197
Torchmark Corp. ........................ 900 25,031
UnumProvident Corp. .................... 300 8,175
------------
22,705,293
------------
HEALTHCARE -- 8.0%
DRUGS -- 5.5%
Abbott Laboratories, Inc. .............. 10,130 481,808
Allergan, Inc. ......................... 4,300 363,081
American Home Products Corp. ........... 18,975 1,073,274
Amgen, Inc.+ ........................... 6,300 439,917
Ares Serono Sa ......................... 424 518,437
AstraZeneca Group PLC .................. 11,132 583,453
Aventis SA ............................. 8,428 627,142
Bristol-Myers Squibb Co. ............... 11,850 676,931
Eisai Co., Ltd.+ ....................... 6,000 189,717
Elan Corp. PLC+ ........................ 5,535 310,614
Elan Corp. PLC ADR+ .................... 915 50,096
Eli Lilly & Co. ........................ 6,500 527,313
Fujisawa Pharmaceutical Co. ............ 3,600 132,857
Genentech, Inc.+ ....................... 2,300 427,081
Merck & Co., Inc.@ ..................... 12,250 911,859
Pfizer, Inc.@ .......................... 28,950 1,300,941
Pharmacia Corp. ........................ 14,608 879,219
Takeda Chemical Industries, Ltd.+ ...... 3,000 198,618
</TABLE>
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72
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
HEALTH SERVICES -- 0.3%
HCA Healthcare Co. ..................... 600 $ 22,275
IMS Health, Inc. ....................... 1,900 39,425
Stryker Corp. .......................... 200 8,588
Tenet Healthcare Corp. ................. 1,000 36,375
UnitedHealth Group, Inc. ............... 3,150 311,062
Wellpoint Health Networks, Inc.+ ....... 500 48,000
MEDICAL PRODUCTS -- 2.2%
Akzo Nobel NV .......................... 9,900 418,208
Bausch & Lomb, Inc. .................... 100 3,894
Baxter International, Inc. ............. 7,446 594,284
Becton Dickinson & Co. ................. 750 19,828
Boston Scientific Corp.+ ............... 2,000 32,875
Cardinal Health, Inc. .................. 500 44,094
Johnson & Johnson@ ..................... 10,675 1,002,783
PE Corp-PE Biosystems Group ............ 3,500 407,750
Sanofi-Synthelabo SA ................... 10,275 553,004
Schering-Plough Corp.@ ................. 15,535 722,377
St. Jude Medical, Inc.+ ................ 100 5,100
------------
13,962,280
------------
INDUSTRIAL & COMMERCIAL -- 5.1%
AEROSPACE & MILITARY TECHNOLOGY -- 0.6%
Boeing Co. ............................. 6,970 439,110
General Dynamics Corp. ................. 1,000 62,813
Lockheed Martin Corp. .................. 3,940 129,862
Rockwell International Corp. ........... 3,130 94,683
United Technologies Corp. .............. 3,565 246,876
BUSINESS SERVICES -- 1.9%
Cendant Corp.+ ......................... 3,500 38,062
Convergys Corp.+ ....................... 1,100 42,762
Electronic Data Systems Corp. .......... 6,595 273,692
Fiserv, Inc.+ .......................... 300 17,963
General Electric Co.@ .................. 34,500 1,990,219
Republic Services, Inc., Class A+ ...... 900 11,813
Service Corp. International ............ 8,400 20,475
Solectron Corp.+ ....................... 300 13,838
Sumitomo Corp.+ ........................ 14,000 121,767
SYSCO Corp. ............................ 8,595 398,056
United Parcel Service, Inc., Class B ... 500 28,187
Waste Management, Inc. ................. 10,210 178,037
WPP Group PLC .......................... 16,688 199,907
ELECTRICAL EQUIPMENT -- 0.4%
Dover Corp.+ ........................... 1,800 84,487
Emerson Electric Co. ................... 3,300 221,100
Johnson Controls, Inc. ................. 500 26,594
NEC Corp.+ ............................. 18,283 416,197
</TABLE>
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73
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<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
MACHINERY -- 0.3%
Abb Ltd. ............................... 1,369 $ 133,279
Abb Ltd. ............................... 276 27,040
Caterpillar, Inc. ...................... 3,393 114,514
Cooper Industries, Inc. ................ 2,225 78,431
Danaher Corp. .......................... 300 14,925
Illinois Tool Works, Inc. .............. 1,200 67,050
Ingersoll-Rand Co. ..................... 450 15,244
Sandvik Ab ............................. 7,142 143,731
MULTI-INDUSTRY -- 1.7%
Avery Dennison Corp. ................... 2,900 134,487
Bouygues SA ............................ 2,232 112,631
Honeywell International, Inc. .......... 4,280 152,475
Minnesota Mining & Manufacturing Co. ... 1,895 172,682
Sara Lee Corp.+ ........................ 6,550 133,047
Smiths Industries PLC .................. 6,011 62,361
Textron, Inc. .......................... 100 4,613
Tyco International Ltd.@ ............... 42,810 2,220,769
TRANSPORTATION -- 0.2%
AMR Corp.+ ............................. 200 6,538
Burlington Northern Santa Fe Corp. ..... 7,207 155,401
CSX Corp. .............................. 1,400 30,537
Kansas City Southern Industries,
Inc. .................................. 100 869
Norfolk Southern Corp. ................. 500 7,313
Union Pacific Corp. .................... 900 34,987
------------
8,879,424
------------
INFORMATION & ENTERTAINMENT -- 5.0%
BROADCASTING & MEDIA -- 4.5%
Aegis Group PLC ........................ 19,601 42,322
ASATSU-DK, Inc. ........................ 1,100 37,739
AT&T Corp.- Liberty Media Group, Class
A+@ ................................... 35,300 635,400
Carlton Communications PLC ............. 27,181 212,245
Clear Channel Communications, Inc.+ .... 2,500 141,250
Comcast Corp., Class A+ ................ 1,640 67,138
EchoStar Communications Corp., Class
A+ .................................... 4,700 247,925
EMAP PLC ............................... 8,168 109,804
EMI Group PLC .......................... 17,349 138,550
Fuji Television Network, Inc. .......... 2 25,963
Gannett Co. ............................ 300 15,900
Granada Compass PLC+ ................... 48,827 457,091
Granada Media PLC+ ..................... 6,587 43,934
Grupo Televisa SA GDR+ ................. 1,786 103,030
Havas Advertising ...................... 9,925 157,005
Knight Ridder, Inc. .................... 300 15,244
McGraw-Hill Cos., Inc. ................. 1,535 97,569
Mediaset SpA ........................... 16,307 243,263
New York Times Co., Class A ............ 1,300 51,106
News Corp., Ltd. ADR ................... 8,742 490,098
Nippon Television Network Corp. ........ 320 184,265
</TABLE>
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74
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
BROADCASTING & MEDIA (CONTINUED)
Omnicom Group, Inc. .................... 2,200 $ 160,463
Publicis SA+ ........................... 305 93,262
Seagram Co., Ltd. ...................... 9,765 560,877
Singapore Press Holdings Ltd. .......... 1,000 15,007
Tf1 Tv Francaise ....................... 4,384 251,833
The Walt Disney Co. .................... 12,805 489,791
Time Warner, Inc. ...................... 5,000 391,250
Tribune Co. ............................ 2,100 91,613
USA Networks, Inc.+ .................... 900 19,744
Verizon Communications ................. 16,108 780,231
Viacom, Inc., Class B+@ ................ 25,254 1,477,359
Wolters Kluwer NV ...................... 6,327 128,604
ENTERTAINMENT PRODUCTS -- 0.3%
Eastman Kodak Co. ...................... 2,728 111,507
Mattel, Inc. ........................... 200 2,238
SONY Corp. ............................. 4,000 406,509
LEISURE & TOURISM -- 0.2%
Carnival Corp. ......................... 2,700 66,487
Delta Air Lines, Inc. .................. 500 22,187
McDonald's Corp. ....................... 3,700 111,694
MGM Grand, Inc. ........................ 1,100 42,006
Royal Caribbean Cruises Ltd. ........... 300 7,722
Southwest Airlines Co. ................. 1,600 38,800
Starwood Hotels & Resorts Worldwide,
Inc. .................................. 1,050 32,813
Tricon Global Restaurants, Inc.+ ....... 400 12,250
------------
8,831,088
------------
INFORMATION TECHNOLOGY -- 16.0%
COMMUNICATION EQUIPMENT -- 1.2%
3Com Corp.+ ............................ 900 17,269
Cisco Systems, Inc.+@ .................. 27,200 1,502,800
Juniper Networks, Inc.+ ................ 1,500 328,406
Network Appliance, Inc.+ ............... 2,100 267,487
Venture Manufacturing Ltd. ............. 3,000 28,980
COMPUTER SERVICES -- 1.3%
Adobe Systems, Inc. .................... 400 62,100
BEA Systems, Inc.+ ..................... 4,400 342,650
Computer Associates International,
Inc. .................................. 4,845 122,033
DST Systems, Inc.+ ..................... 100 11,750
i2 Technologies, Inc.+ ................. 2,300 430,244
Misys PLC .............................. 21,699 203,776
SAP AG ................................. 1,009 194,391
Sun Microsystems, Inc.+ ................ 7,800 910,650
SunGard Data Systems, Inc.+ ............ 200 8,563
Unisys Corp.+ .......................... 500 5,625
COMPUTERS & BUSINESS EQUIPMENT -- 3.2%
Apple Computer, Inc.+ .................. 6,350 163,512
Brocade Communications Systems,
Inc.+ ................................. 2,600 613,600
</TABLE>
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75
<PAGE>
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<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
COMPUTERS & BUSINESS
EQUIPMENT (CONTINUED)
Compaq Computer Corp. .................. 9,595 $ 264,630
Computer Sciences Corp.+ ............... 650 48,263
EMC Corp.+ ............................. 12,700 1,258,887
Fujitsu Ltd.+ .......................... 15,600 363,077
Hewlett-Packard Co.@ ................... 5,585 541,745
International Business Machines
Corp.@ ................................ 9,111 1,024,987
Lexmark International, Inc.+ ........... 1,300 48,750
Pitney Bowes, Inc. ..................... 450 17,747
Quantum Corp.-DLT & Storage Systems .... 500 7,531
Redback Networks, Inc.+ ................ 2,755 451,648
Seagate Technology, Inc.+ .............. 970 66,930
VERITAS Software Corp.+ ................ 4,800 681,600
Xerox Corp. ............................ 6,410 96,551
COMPUTER SOFTWARE -- 1.6%
BMC Software, Inc.+ .................... 5,970 114,176
Microsoft Corp.+@ ...................... 15,900 958,969
Oracle Corp.+ .......................... 13,300 1,047,375
Siebel Systems, Inc.+ .................. 5,600 623,350
Synavant, Inc.+ ........................ 50 334
ELECTRONICS -- 3.0%
Advanced Micro Devices, Inc.+ .......... 1,100 25,987
Agilent Technologies, Inc.+ ............ 140 6,851
American Power Conversion Corp.+ ....... 400 7,675
Applied Materials, Inc.+ ............... 7,500 444,844
Arm Holdings+ .......................... 10,559 117,430
AVX Corp. .............................. 200 5,213
C- Mac Industries, Inc.+ ............... 400 22,822
Chartered Semiconductors Manufacturing
Ltd.+ ................................. 31,000 197,855
Conexant Systems, Inc.+ ................ 500 20,937
Cypress Semiconductor Corp.+ ........... 250 10,391
Hon Hai Precision Industry Co., Ltd.
GDR+ .................................. 6,160 77,308
Intel Corp.@ ........................... 25,200 1,047,375
Koninklijke (Royal) Philips Electronics
NV+ ................................... 9,045 389,844
Linear Technology Corp. ................ 8,700 563,325
National Semiconductor Corp.+ .......... 200 8,050
Nintendo Co., Ltd.+ .................... 1,000 182,948
PMC-Sierra, Inc.+ ...................... 2,100 452,025
Samsung Electronics Ltd. GDR* .......... 3,976 367,780
SCI Systems, Inc.+ ..................... 5,000 205,000
Teradyne, Inc.+ ........................ 2,700 94,500
Texas Instruments, Inc. ................ 9,300 438,844
The Furukawa Electric Co., Ltd.+ ....... 1,000 27,679
Vishay Intertechnology, Inc.+ .......... 300 9,225
Xilinx, Inc.+ .......................... 6,200 530,875
INTERNET CONTENT -- 0.3%
VeriSign, Inc.+ ........................ 2,300 465,894
INTERNET SOFTWARE -- 0.3%
America Online, Inc.+ .................. 6,900 370,875
Ariba, Inc.+ ........................... 1,300 186,245
</TABLE>
----------------
76
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS -- 5.1%
ADC Telecommunications, Inc.+ .......... 8,500 $ 228,570
BCE, Inc. .............................. 2,539 59,349
BCE, Inc. .............................. 2,296 53,390
Cable & Wireless PLC ................... 12,188 173,940
Carso Global Telecom+ .................. 42,913 104,078
China Mobile (Hong Kong) Ltd.+ ......... 44,500 296,800
Comverse Technology, Inc.+ ............. 3,200 345,600
Corning, Inc. .......................... 2,000 594,000
Deutsche Lufthansa AG .................. 5,795 120,300
JDS Uniphase Corp.+ .................... 5,100 482,906
KDD Corp. .............................. 37 2,628
Korea Telecom Corp. ADR ................ 4,440 149,295
Motorola, Inc. ......................... 7,800 220,350
Nextel Communications, Inc., Class
A+ .................................... 6,800 317,900
Nippon Telegraph & Telephone Corp.@ .... 60 589,735
Nippon Telegraph & Telephone Corp.
ADR ................................... 14 402,430
Nokia Ab Oyj ........................... 26,088 1,058,698
Nortel Networks Corp.@ ................. 13,300 792,181
Nortel Networks Corp. .................. 9,291 556,918
QUALCOMM, Inc.+ ........................ 4,800 342,000
Scientific-Atlanta, Inc. ............... 100 6,363
Sprint Corp. (PCS Group)+ .............. 7,400 259,462
Telefonaktiebolaget LM Ericsson AB,
Series B .............................. 17,633 268,667
Vodafone Group PLC@ .................... 361,681 1,350,598
Vodafone Group PLC ADR ................. 4,400 162,800
------------
28,047,141
------------
MATERIALS -- 1.2%
CHEMICALS -- 0.5%
Air Products & Chemicals, Inc. ......... 1,595 57,420
Dow Chemical Co. ....................... 7,035 175,435
du Pont (E.I.) de Nemours & Co. ........ 8,404 348,241
Eastman Chemical Co. ................... 2,485 91,790
Engelhard Corp. ........................ 400 6,500
Hercules, Inc. ......................... 100 1,413
PPG Industries, Inc. ................... 2,075 82,352
Praxair, Inc. .......................... 300 11,212
Rhone-Poulenc SA ....................... 1,406 105,617
Rohm & Haas Co. ........................ 1,000 29,062
FOREST PRODUCTS -- 0.3%
Boise Cascade Corp. .................... 300 7,969
Georgia-Pacific Group .................. 900 21,150
International Paper Co. ................ 2,595 74,444
Owens-Illinois, Inc.+ .................. 3,600 33,300
Sealed Air Corp.+ ...................... 600 27,150
Smurfit-Stone Container Corp.+ ......... 400 4,800
Stora Enso Oyj, Class A ................ 1,400 11,692
Stora Enso Oyj, Class R ................ 12,441 104,340
Temple-Inland, Inc. .................... 1,390 52,646
Weyerhaeuser Co. ....................... 3,725 150,397
</TABLE>
----------------
77
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
MATERIALS (CONTINUED)
METALS & MINERALS -- 0.4%
Alcoa, Inc. ............................ 2,000 $ 50,625
BOC Group PLC .......................... 17,998 238,224
CSR Ltd. ............................... 8,976 19,728
Freeport-McMoRan Copper & Gold, Inc.,
Class A+ .............................. 3,045 25,121
Freeport-McMoRan Copper & Gold, Inc.,
Class B+ .............................. 2,375 20,930
Lafarge SA ............................. 2,911 200,662
Pohang Iron & Steel Co., Ltd. ADR ...... 3,900 72,638
Rio Tintro PLC ......................... 4,545 65,939
SKF AB, Series A+ ...................... 2,976 37,142
Vulcan Materials Co. ................... 200 8,038
------------
2,135,977
------------
REAL ESTATE -- 0.3%
REAL ESTATE COMPANIES -- 0.3%
Cheung Kong (Holdings) Ltd. ............ 38,000 458,154
REAL ESTATE INVESTMENT TRUSTS -- 0.0%
Equity Residential Properties Trust .... 200 9,600
------------
467,754
------------
UTILITIES -- 3.6%
ELECTRIC UTILITIES -- 1.1%
CMS Energy Corp. ....................... 200 5,388
Consolidated Edison, Inc. .............. 4,500 153,562
CP&L Energy, Inc. ...................... 3,905 162,790
Dominion Resources, Inc.+ .............. 1,287 74,726
Duke Energy Corp. ...................... 3,500 300,125
Edison International ................... 5,250 101,391
Entergy Corp. .......................... 6,336 236,016
FirstEnergy Corp. ...................... 2,600 70,038
Hong Kong Electric Holdings Ltd. ....... 28,500 88,097
Korea Electric Power Corp. ADR ......... 8,800 114,950
NiSource, Inc. ......................... 2,550 62,156
Pacific Gas & Electric Corp. ........... 2,000 48,375
Public Service Enterprise Group,
Inc. .................................. 1,490 66,584
Reliant Energy, Inc. ................... 2,200 102,300
ScottishPower PLC ...................... 32,012 248,548
Sempra Energy .......................... 2,214 46,079
Unicom Corp. ........................... 400 22,475
GAS & PIPELINE UTILITIES -- 0.2%
El Paso Energy Corp. ................... 2,175 134,035
Hong Kong & China Gas Co., Ltd.+ ....... 30,000 37,517
Williams Cos., Inc. .................... 2,149 90,795
Williams PLC ........................... 12,104 59,072
TELEPHONE -- 2.3%
ALLTEL Corp. ........................... 2,900 151,344
AT&T Corp. ............................. 16,559 486,420
BellSouth Corp. ........................ 12,365 497,691
CenturyTel, Inc. ....................... 300 8,175
</TABLE>
----------------
78
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
TELEPHONE (CONTINUED)
SBC Communications, Inc.@ .............. 23,770 $ 1,188,500
Sprint Corp. ........................... 17,283 506,608
Telefonica SA .......................... 26,197 519,753
Telefonica SA ADR ...................... 1,601 95,160
Telefonos de Mexico SA ADR ............. 6,542 347,953
WorldCom, Inc.+ ........................ 11,450 347,794
------------
6,374,417
------------
TOTAL COMMON STOCK (cost
$106,021,409) ......................... 113,979,547
------------
<CAPTION>
PREFERRED STOCK -- 0.3%
----------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 0.0%
RETAIL -- 0.0%
Kmart Financing I Convertible 7.75% .... 1,005 31,281
INFORMATION TECHNOLOGY -- 0.3%
COMPUTER SERVICES -- 0.2%
SAP AG ................................. 1,392 344,512
ELECTRONICS -- 0.1%
Hon Hai Precision Industries Co.,
Ltd.# ................................. 8,000 71,130
------------
415,642
------------
TOTAL PREFERRED STOCK (cost $459,584)... 446,923
------------
<CAPTION>
BONDS & NOTES -- 19.4% PRINCIPAL
AMOUNT
----------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 0.2%
AUTOMOTIVE -- 0.2%
DaimlerChrysler AG, Series B 7.45%
2097 .................................. $ 25,000 22,663
Delphi Automotive Systems Corp. 6.13%
2004 .................................. 110,000 104,982
Visteon Corp. 8.25% 2010 ............... 165,000 164,741
RETAIL -- 0.0%
Federated Department Stores, Inc. 7.45%
2017 .................................. 85,000 73,902
------------
366,288
------------
CONSUMER STAPLES -- 0.2%
FOOD, BEVERAGE & TOBACCO -- 0.1%
Fortune Brands, Inc. 7.13% 2004* ....... 80,000 79,431
HOUSEHOLD PRODUCTS -- 0.1%
Procter & Gamble Co. 6.88% 2009 ........ 210,000 208,251
------------
287,682
------------
</TABLE>
----------------
79
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
ENERGY -- 0.3%
ENERGY SERVICES -- 0.1%
CMS Panhandle Holding Co. 6.13% 2004 ... $ 60,000 $ 57,460
Petroleum Geo-Services 7.50% 2007 ...... 100,000 98,488
ENERGY SOURCES -- 0.2%
Conoco, Inc. 5.90% 2004 ................ 35,000 33,946
Phillips Petroleum Co. 8.50% 2005 ...... 180,000 190,271
Union Pacific Resources Group, Inc.
7.30% 2009 ............................ 115,000 113,700
------------
493,865
------------
FINANCE -- 5.2%
BANKS -- 1.0%
Bank of America Corp. 5.88% 2009 ....... 205,000 186,320
Bank of America Corp. 6.88% 2005 ....... 45,000 44,548
Bank One Corp. 6.40% 2002 .............. 260,000 258,256
Bank One Corp. 7.63% 2005 .............. 115,000 117,301
Citicorp, Series F 6.38% 2008 .......... 40,000 37,992
First Union Corp. 8.05% 2002 ........... 20,000 20,266
First Union National Bank 7.88% 2010 ... 75,000 75,901
Fleet National Bank 6.77% 2002(#) ...... 400,000 399,880
Lehman Brothers Holdings, Inc. 6.63%
2002 .................................. 265,000 262,530
Merita Bank Ltd. 6.50% 2006 ............ 10,000 9,609
National Westminster Bank PLC 7.38%
2009 .................................. 135,000 133,727
Norwest Corp., Series J 6.75% 2027 ..... 25,000 21,757
St. Paul Bancorp. 7.13% 2004 ........... 100,000 97,486
Wilmington Trust Corp. 6.63% 2008 ...... 105,000 97,801
FINANCIAL SERVICES -- 4.1%
Advanta Mortgage Loan Trust 7.05%
2021 .................................. 2,083 2,074
Associates Corp. NA 6.50% 2002 ......... 240,000 238,658
Citigroup, Inc. 6.63% 2028 ............. 5,000 4,392
Commercial Mortgage Asset Trust 6.64%
2010 .................................. 455,000 438,550
Conseco Finance 7.96% 2032 ............. 180,000 179,972
Conseco Finance Securitizations Co.
7.73% 2032# ........................... 495,000 501,029
Conseco Finance Securitizations Co.
8.31% 2032# ........................... 175,000 178,609
DLJ Commercial Mortgage Corp. 6.11%
2007 .................................. 284,032 275,717
FINOVA Capital Corp. 7.25% 2004 ........ 70,000 52,500
FINOVA Capital Corp. 7.40% 2007 ........ 50,000 34,000
First Union Institute Capital I 8.04%
2026 .................................. 125,000 111,642
Ford Motor Credit Co. 5.80% 2009 ....... 65,000 57,511
Ford Motor Credit Co. 6.55% 2002 ....... 60,000 59,456
Ford Motor Credit Co. 7.38% 2009 ....... 125,000 122,128
Ford Motor Credit Co. 8.00% 2002 ....... 40,000 40,568
General Motors Acceptance Corp. 5.75%
2003 .................................. 250,000 241,147
General Motors Acceptance Corp. 6.63%
2002 .................................. 40,000 39,728
Goldman Sachs Group, Inc., Series B
7.35% 2009 ............................ 155,000 153,289
GS Mortgage Securities Corp. II 6.62%
2030 .................................. 821,000 795,775
Harley-Davidson Eaglemark Motorcycle
Trust 6.20% 2003 ...................... 56,493 56,369
Heller Financial, Inc. 6.00% 2004 ...... 90,000 86,453
Household Finance Corp. 8.00% 2005 ..... 380,000 392,616
LB Commercial Conduit Mortgage Trust
6.78% 2009 ............................ 1,480,000 1,448,785
Merrill Lynch Mortgage Investors, Inc.
6.22% 2030 ............................ 728,661 713,840
Morgan Stanley Capital I, Inc. 6.19%
2007 .................................. 25,292 24,771
</TABLE>
----------------
80
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
Mortgage Capital Funding, Inc. 6.42%
2007 .................................. $ 41,682 $ 40,933
PaineWebber Group, Inc., Series C 6.65%
2002 .................................. 135,000 134,317
Peco Energy Transition Trust 7.63%
2010# ................................. 497,500 513,032
PNC Mortgage Securities Corp. zero
coupon 2027 ........................... 7,579 7,482
PP&L Capital Funding, Inc. 7.75%
2002 .................................. 225,000 225,931
Sprint Capital Corp. 5.70% 2003 ........ 45,000 43,036
Sprint Capital Corp. 6.13% 2008 ........ 20,000 18,066
Sprint Capital Corp. 6.90% 2019 ........ 50,000 43,896
INSURANCE -- 0.1%
Hartford Life 7.10% 2007 ............... 75,000 73,235
Hartford Life 7.65% 2027 ............... 20,000 19,300
------------
9,132,181
------------
INDUSTRIAL & COMMERCIAL -- 0.7%
AEROSPACE & MILITARY TECHNOLOGY -- 0.5%
Boeing Co. 6.63% 2038 .................. 260,000 228,181
Lockheed Martin Corp. 7.25% 2006 ....... 185,000 183,511
Lockheed Martin Corp. 8.50% 2029 ....... 155,000 163,328
Raytheon Co. 6.45% 2002 ................ 235,000 231,069
BUSINESS SERVICES -- 0.0%
Hertz Corp. 7.00% 2028 ................. 65,000 56,106
MULTI-INDUSTRY -- 0.0%
Tyco International Group SA 6.25%
2003(2) ............................... 25,000 24,352
TRANSPORTATION -- 0.2%
CSX Corp. 7.24% 2002(2)# ............... 150,000 149,911
Union Pacific Corp. 7.38% 2009 ......... 150,000 147,344
------------
1,183,802
------------
INFORMATION & ENTERTAINMENT -- 0.4%
BROADCASTING & MEDIA -- 0.4%
News America Holdings, Inc. 7.70%
2025 .................................. 65,000 59,828
TCI Communciations, Inc. 8.65% 2004 .... 215,000 225,724
Time Warner Entertainment Co. 8.38%
2033 .................................. 170,000 174,971
Time Warner Entertainment Co. 9.63%
2002 .................................. 165,000 171,227
LEISURE & TOURISM -- 0.0%
Continental Airlines, Inc. 6.54%
2009 .................................. 53,830 51,444
Continental Airlines, Inc. 6.80%
2007 .................................. 25,716 24,766
------------
707,960
------------
INFORMATION TECHNOLOGY -- 0.3%
COMPUTERS & BUSINESS EQUIPMENT -- 0.2%
International Business Machines Corp.
6.50% 2028 ............................ 295,000 260,771
TELECOMMUNICATIONS -- 0.1%
Koninklijke KPN NV 8.38% 2030* ......... 235,000 234,415
------------
495,186
------------
</TABLE>
----------------
81
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
MATERIALS -- 0.4%
CHEMICALS -- 0.1%
Du Pont E.I. De Nemours & Co. 6.88%
2009 .................................. $ 205,000 $ 201,518
Union Carbide Corp. 6.25% 2003 ......... 45,000 44,221
FOREST PRODUCTS -- 0.2%
International Paper Co. 7.67%
2002*(2)# ............................. 175,000 175,665
International Paper Co. 8.13% 2005* .... 215,000 222,078
METALS & MINERALS -- 0.1%
Alcoa, Inc. 7.38% 2010 ................. 165,000 166,387
------------
809,869
------------
NON-U.S. GOVERNMENT OBLIGATIONS -- 0.1%
FOREIGN GOVERNMENT -- 0.1%
Province of Ontario 5.50% 2008 ......... 160,000 146,688
------------
U.S. GOVERNMENT & AGENCIES -- 11.1%
U.S. GOVERNMENT & AGENCIES -- 11.1%
Federal Home Loan Mortgage Corp. 8.50%
2028 .................................. 75,142 77,255
Federal Home Loan Mortgage Corp. 9.00%
2024 .................................. 182,867 192,581
Federal National Mortgage Association
5.75% 2003 ............................ 105,000 103,081
Federal National Mortgage Association
6.00% 2008@ ........................... 1,045,000 998,299
Federal National Mortgage Association
6.00% 2014 ............................ 211,881 203,868
Federal National Mortgage Association
6.00% 2014 ............................ 29,111 28,010
Federal National Mortgage Association
6.00% 2014 ............................ 139,943 134,923
Federal National Mortgage Association
6.00% 2029 ............................ 1,196,753 1,117,851
Federal National Mortgage Association
6.00% 2029 ............................ 55,214 51,574
Federal National Mortgage Association
6.50% 2004 ............................ 245,000 244,853
Federal National Mortgage Association
7.00% 2028 ............................ 343,576 337,993
Federal National Mortgage Association
7.00% 2030 ............................ 152,895 149,741
Federal National Mortgage Association
7.30% 2010 ............................ 395,000 403,270
Federal National Mortgage Association
7.50% 2008 ............................ 114,962 115,905
Federal National Mortgage Association
7.50% 2015 ............................ 1,738,544 1,751,027
Federal National Mortgage Association
7.50% 2015 ............................ 365,702 368,328
Federal National Mortgage Association
7.50% 2030 ............................ 1,005,000 1,002,487
Federal National Mortgage Association
7.50% TBA ............................. 349,966 352,479
Federal National Mortgage Association
8.00% 2025 ............................ 289,905 295,071
Federal National Mortgage Association
8.00% TBA ............................. 1,000,000 1,013,130
Federal National Mortgage Association
9.00% 2026 ............................ 10,146 10,488
Federal National Mortgage Association
9.00% 2026 ............................ 15,822 16,356
Government National Mortgage Association
6.50% 2028 ............................ 66,088 63,651
Government National Mortgage Association
7.00% 2025 ............................ 30,623 30,212
Government National Mortgage Association
7.00% 2026 ............................ 131,890 130,036
Government National Mortgage Association
7.00% 2027 ............................ 103,924 102,527
Government National Mortgage Association
7.00% 2027 ............................ 74,905 73,806
Government National Mortgage Association
7.00% 2028 ............................ 105,836 104,282
Government National Mortgage Association
7.50% 2023 ............................ 40,619 40,860
Government National Mortgage Association
8.00% 2022 ............................ 100,106 102,263
Government National Mortgage Association
8.00% 2023 ............................ 397,551 405,995
Government National Mortgage Association
8.00% 2026 ............................ 119,506 121,535
Government National Mortgage Association
8.00% TBA ............................. 2,435,000 2,478,367
Government National Mortgage Association
9.00% 2009 ............................ 65,183 67,614
Government National Mortgage Association
9.00% 2017 ............................ 215,458 226,431
</TABLE>
----------------
82
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES (CONTINUED)
U.S. GOVERNMENT & AGENCIES (CONTINUED)
Government National Mortgage Association
9.00% 2017 ............................ $ 211,039 $ 221,787
Government National Mortgage Association
9.00% 2017 ............................ 157,249 165,651
Government National Mortgage Association
9.00% 2025 ............................ 178,249 184,821
Government National Mortgage Association
9.00% 2029 ............................ 244,976 254,008
Government National Mortgage Association
9.50% 2017 ............................ 42,540 44,769
Government National Mortgage Association
10.00% 2025 ........................... 59,589 62,980
United States Treasury Bonds 6.13%
2027@ ................................. 275,000 277,536
United States Treasury Bonds 6.25%
2030 .................................. 1,030,000 1,082,468
United States Treasury Bonds 6.50%
2026@ ................................. 1,620,000 1,711,627
United States Treasury Notes 5.75%
2010 .................................. 220,000 134,452
United States Treasury Notes 6.13%
2001@ ................................. 460,000 459,499
United States Treasury Notes 6.38%
2002 .................................. 730,000 731,599
United States Treasury Notes 6.75%
2005 .................................. 1,240,000 1,284,565
------------
19,531,911
------------
UTILITIES -- 0.5%
ELECTRIC UTILITIES -- 0.4%
Arizona Public Services Co. 6.75%
2006 .................................. 160,000 153,882
Dominion Resources, Inc. 7.63% 2005 .... 200,000 202,276
NRG Northeast Generating LLC, Series A
8.07% 2004* ........................... 120,000 120,660
TXU Corp. 5.94% 2001(2) ................ 205,000 202,677
GAS & PIPELINE UTILITIES -- 0.1%
Kinder Morgan, Inc. 6.45% 2003 ......... 150,000 147,294
TELEPHONE -- 0.0%
GTE Corp. 6.46% 2008 ................... 50,000 47,349
MCI Worldcom, Inc. 6.40% 2005 .......... 70,000 67,814
------------
941,952
------------
TOTAL BONDS & NOTES (cost
$34,018,209) .......................... 34,097,384
------------
<CAPTION>
WARRANTS -- 0.0%+
WARRANTS
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT -- 0.0%
BROADCASTING & MEDIA -- 0.0%
Tokyo Broadcasting Corp. 11/17/00# ..... 1,600 64,576
------------
UTILITIES -- 0.0%
ELECTRIC UTILITIES -- 0.0%
Korea Electric Power Corp. 4/27/01# .... 300 7,830
------------
TOTAL WARRANTS (cost $56,919) .......... 72,406
------------
TOTAL INVESTMENT SECURITIES (cost
$140,556,121) ......................... 148,596,260
------------
</TABLE>
----------------
83
<PAGE>
<TABLE>
<CAPTION>
SHORT-TERM SECURITIES -- 2.0% PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES -- 2.0%
Capital One Bank 6.58% due 4/17/01 ..... $ 190,000 $ 189,365
Daimlerchrysler AG 6.51% due
10/16/00 .............................. 2,500,000 2,493,219
Lehman Brothers Holdings, Inc. 3.40% due
1/31/01 ............................... 345,000 337,520
PP&L Capital Funding, Inc., Series A
5.90% due 10/16/00 .................... 40,000 39,989
Southern California Edison Co. 5.88% due
1/15/01 ............................... 100,000 99,631
Svenska Handelsbanken New York 7.07% due
7/23/01 ............................... 340,000 340,660
Tokyo Broadcasting Corp. 3.15% due
10/30/00# ............................. 2,700 111,071
------------
TOTAL SHORT-TERM SECURITIES (cost
$3,574,108) ........................... 3,611,455
------------
<CAPTION>
REPURCHASE AGREEMENT -- 16.1%
----------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 16.1%
Agrement with J.P. Morgan & Co., Inc.,
bearing interest at 6.44% dated 9/29/00
to be repurchased 10/2/00 in the amount
of $28,245,150 and collateralized by
$28,230,000 of U.S. Treasury Notes,
bearing interest at 8.75% due 8/15/20
and having an approximate value of
$28,808,701 (cost $28,230,000)@ ....... 28,230,000 28,230,000
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $172,360,229) 102.7% 180,437,715
Liabilities in excess of other assets -- (2.7) (4,799,685)
-------- ------------
NET ASSETS -- 100.0% $175,638,030
======== ============
</TABLE>
-------------
+ Non-income producing securities
# Fair valued security; see Note 2
* Resale restricted to qualified institutional buyers
(1) Security represents an investment in an affiliated company; see Note 7
(2) Variable rate security; rate as of September 30, 2000
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:
<TABLE>
<CAPTION>
OPEN FUTURES CONTRACTS
<C> <S> <C> <C> <C> <C>
--------------------------------------------------------------------------------------------------------------
<CAPTION>
VALUE AS OF UNREALIZED
NUMBER OF VALUE AT SEPTEMBER 30, APPRECIATION/
CONTRACTS DESCRIPTION EXPIRATION DATE TRADE DATE 2000 DEPRECIATION
----------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C> <C>
12 Short CAC-40 10 Euro Index October 2000 $670,653 $666,376 $4,277
1 Short Milan MIB 30 Index December 2000 214,929 201,607 13,322
3 Short German Stock Index December 2000 483,945 454,973 28,972
36 Short FTSE 100 Index December 2000 3,533,553 3,383,577 149,976
53 Long Standard & Poors 500 Index December 2000 20,034,071 19,261,525 (772,546)
22 Long Tokyo Price Index December 2000 3,036,842 2,992,782 (44,060)
181 Short U.S. 10 Year Note December 2000 18,122,446 18,139,594 (17,148)
88 Long OML London Exchange Autoliv, Inc. December 2000 3,952,634 3,953,463 829
------------
Net Unrealized Depreciation..................................................... $(636,378)
============
</TABLE>
See Notes to Financial Statements
----------------
84
<PAGE>
------------------
SEASONS SERIES TRUST
STOCK PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 95.0%
SHARES VALUE
<S> <C> <C>
-------------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 6.2%
HOUSING -- 0.3%
Lowe's Cos., Inc. .......................................... 9,600 $ 430,800
RETAIL -- 5.9%
Circuit City Stores, Inc. .................................. 10,500 241,500
CVS Corp. .................................................. 31,614 1,464,123
Home Depot, Inc. ........................................... 28,300 1,501,669
Kroger Co.+ ................................................ 57,800 1,304,113
Safeway, Inc.+ ............................................. 36,000 1,680,750
Target Corp. ............................................... 20,100 515,063
Wal-Mart de Mexico SA de CV ADR+ ........................... 22,500 470,774
Wal-Mart Stores, Inc. ...................................... 30,500 1,467,812
------------
9,076,604
------------
CONSUMER STAPLES -- 2.7%
FOOD, BEVERAGE & TOBACCO -- 2.4%
Coca-Cola Co. .............................................. 22,200 1,223,775
PepsiCo, Inc. .............................................. 27,200 1,251,200
Philip Morris Cos., Inc. ................................... 34,300 1,009,706
HOUSEHOLD PRODUCTS -- 0.3%
Gillette Co. ............................................... 12,200 376,675
Kimberly-Clark Corp. ....................................... 2,700 150,694
------------
4,012,050
------------
ENERGY -- 4.7%
ENERGY SERVICES -- 1.3%
Baker Hughes, Inc. ......................................... 51,100 1,897,088
ENERGY SOURCES -- 3.4%
Chevron Corp. .............................................. 19,400 1,653,850
Exxon Mobil Corp. .......................................... 19,117 1,703,802
Royal Dutch Petroleum Co. NY Shares ........................ 28,100 1,684,244
------------
6,938,984
------------
FINANCE -- 18.6%
BANKS -- 2.7%
Bank of New York Co., Inc. ................................. 27,000 1,513,687
Chase Manhattan Corp. ...................................... 10,750 496,516
Firstar Corp. .............................................. 53,600 1,199,300
State Street Corp. ......................................... 6,100 793,000
FINANCIAL SERVICES -- 13.0%
Ambac Financial Group, Inc. ................................ 6,500 476,125
Associates First Capital Corp., Class A .................... 32,400 1,231,200
AXA Financial, Inc. ........................................ 11,700 595,969
</TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
-------------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
Capital One Financial Corp. ................................ 19,900 $ 1,394,244
Citigroup, Inc. ............................................ 54,933 2,969,815
Concord EFS, Inc.+ ......................................... 28,500 1,012,195
Fannie Mae ................................................. 32,300 2,309,450
Freddie Mac ................................................ 67,400 3,643,813
Mellon Financial Corp. ..................................... 24,800 1,150,100
Morgan Stanley, Dean Witter & Co. .......................... 13,200 1,206,975
Providian Financial Corp. .................................. 8,100 1,028,700
Stilwell Financial, Inc. ................................... 21,600 939,600
Wells Fargo & Co. .......................................... 25,100 1,153,031
INSURANCE -- 2.9%
ACE Ltd. ................................................... 46,800 1,836,900
Fairfax Financial Holdings Ltd.+ ........................... 2,465 307,859
Hartford Financial Services Group, Inc. .................... 15,000 1,094,062
Loews Corp. ................................................ 4,700 391,863
Mutual Risk Management Ltd. ................................ 11,500 252,281
PartnerRe Ltd. ............................................. 5,800 275,138
------------
27,271,823
------------
HEALTHCARE -- 12.3%
DRUGS -- 6.2%
American Home Products Corp. ............................... 24,500 1,385,781
Amgen, Inc.+ ............................................... 4,700 328,192
Bristol-Myers Squibb Co. ................................... 8,300 474,138
Genentech, Inc.+ ........................................... 4,500 835,594
Merck & Co., Inc. .......................................... 10,800 803,925
Pfizer, Inc. ............................................... 90,350 4,060,103
Pharmacia Corp. ............................................ 21,079 1,268,692
HEALTH SERVICES -- 2.0%
UnitedHealth Group, Inc. ................................... 15,200 1,501,000
Wellpoint Health Networks, Inc.+ ........................... 14,800 1,420,800
MEDICAL PRODUCTS -- 4.1%
Baxter International, Inc. ................................. 23,400 1,867,612
Johnson & Johnson .......................................... 16,500 1,549,969
MedImmune, Inc.+ ........................................... 14,500 1,120,125
PE Corp-PE Biosystems Group ................................ 5,800 675,700
Schering-Plough Corp. ...................................... 18,000 837,000
------------
18,128,631
------------
INDUSTRIAL & COMMERCIAL -- 9.7%
AEROSPACE & MILITARY TECHNOLOGY -- 0.6%
United Technologies Corp. .................................. 12,800 886,400
BUSINESS SERVICES -- 7.1%
First Data Corp. ........................................... 50,900 1,988,281
General Electric Co. ....................................... 52,700 3,040,131
Hutchison Whampoa Ltd. ..................................... 96,230 1,277,471
Randstad Holding N.V.+ ..................................... 24,700 619,933
</TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
-------------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
BUSINESS SERVICES (CONTINUED)
Solectron Corp.+ ........................................... 41,400 $ 1,909,575
SYSCO Corp. ................................................ 14,700 680,794
Waters Corp.+ .............................................. 11,100 987,900
MACHINERY -- 0.7%
Danaher Corp. .............................................. 19,700 980,075
MULTI-INDUSTRY -- 1.3%
Tyco International Ltd. .................................... 35,592 1,846,335
------------
14,216,895
------------
INFORMATION & ENTERTAINMENT -- 6.0%
BROADCASTING & MEDIA -- 4.7%
AT&T Corp. -- Liberty Media Group, Class A+ ................ 51,100 919,800
Clear Channel Communications, Inc.+ ........................ 10,400 587,600
Comcast Corp., Class A+ .................................... 42,500 1,739,844
Granada Compass PLC+ ....................................... 12,100 113,273
Infinity Broadcasting Corp., Class A+ ...................... 16,900 557,700
Omnicom Group, Inc. ........................................ 11,900 867,956
The Walt Disney Co. ........................................ 12,400 474,300
Time Warner, Inc. .......................................... 2,200 172,150
Viacom, Inc., Class B+ ..................................... 26,610 1,556,685
ENTERTAINMENT PRODUCTS -- 0.8%
SONY Corp. ................................................. 11,000 1,117,901
LEISURE & TOURISM -- 0.5%
McDonald's Corp. ........................................... 5,600 169,050
Starwood Hotels & Resorts Worldwide, Inc. .................. 18,400 575,000
------------
8,851,259
------------
INFORMATION TECHNOLOGY -- 33.2%
COMMUNICATION EQUIPMENT -- 3.8%
Cisco Systems, Inc.+ ....................................... 72,800 4,022,200
Juniper Networks, Inc.+ .................................... 3,300 722,494
SDL, Inc.+ ................................................. 2,500 770,000
COMPUTER SERVICES -- 1.6%
Automatic Data Processing, Inc. ............................ 24,500 1,638,437
Sun Microsystems, Inc.+ .................................... 6,300 735,525
COMPUTERS & BUSINESS EQUIPMENT -- 2.5%
Dell Computer Corp.+ ....................................... 53,700 1,654,631
Hewlett-Packard Co. ........................................ 9,500 921,500
SanDisk Corp.+ ............................................. 5,000 333,750
VERITAS Software Corp.+ .................................... 5,275 749,050
COMPUTER SOFTWARE -- 5.0%
Electronic Arts, Inc.+ ..................................... 13,600 671,500
Microsoft Corp.+ ........................................... 57,300 3,455,906
Oracle Corp.+ .............................................. 22,800 1,795,500
Siebel Systems, Inc.+ ...................................... 13,300 1,480,456
</TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
-------------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
ELECTRONICS -- 8.7%
Altera Corp.+ .............................................. 25,400 $ 1,212,850
Analog Devices, Inc.+ ...................................... 12,900 1,065,056
Applied Materials, Inc.+ ................................... 19,400 1,150,663
Applied Micro Circuits Corp.+ .............................. 2,700 559,069
Flextronics International Ltd.+ ............................ 16,900 1,387,912
Intel Corp. ................................................ 37,700 1,566,906
KLA-Tencor Corp.+ .......................................... 8,400 345,975
Koninklijke (Royal) Philips Electronics N.V.+ .............. 34,801 1,499,940
LSI Logic Corp.+ ........................................... 37,000 1,082,250
Maxim Integrated Products, Inc.+ ........................... 11,800 949,163
PMC-Sierra, Inc.+ .......................................... 2,000 430,500
Samsung Electronics ........................................ 3,300 597,767
Texas Instruments, Inc. .................................... 17,200 811,625
The Furukawa Electric Co., Ltd.+ ........................... 3,300 91,339
INTERNET CONTENT -- 0.7%
Exodus Communications, Inc.+ ............................... 19,700 972,688
INTERNET SOFTWARE -- 2.5%
America Online, Inc.+ ...................................... 31,600 1,698,500
Ariba, Inc.+ ............................................... 8,000 1,146,125
Macromedia, Inc.+ .......................................... 9,900 800,044
TELECOMMUNICATIONS -- 8.4%
China Mobile (Hong Kong) Ltd.+ ............................. 48,000 320,144
China Unicom ADR+ .......................................... 19,400 423,163
Corning, Inc. .............................................. 7,100 2,108,700
JDS Uniphase Corp.+ ........................................ 8,400 795,375
Motorola, Inc. ............................................. 24,900 703,425
Nextel Communications, Inc., Class A+ ...................... 31,800 1,486,650
NEXTLINK Communications, Inc., Class A+ .................... 22,800 802,275
Nokia Corp. ADR ............................................ 21,600 859,950
Nortel Networks Corp. ...................................... 28,900 1,721,356
Sprint Corp. (PCS Group)+ .................................. 31,300 1,097,456
Telefonaktiebolaget LM Ericsson AB, Series B ............... 9,100 138,653
Vodafone Group PLC ......................................... 444,166 1,658,615
Vodafone Group PLC ADR ..................................... 7,800 288,600
------------
48,723,683
------------
UTILITIES -- 1.6%
GAS & PIPELINE UTILITIES -- 0.3%
El Paso Energy Corp. ....................................... 8,600 529,975
TELEPHONE -- 1.3%
SBC Communications, Inc. ................................... 10,100 505,000
WorldCom, Inc.+ ............................................ 45,260 1,374,773
------------
2,409,748
------------
TOTAL INVESTMENT SECURITIES (cost $115,993,776) ............ 139,629,677
------------
</TABLE>
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SHORT-TERM SECURITIES -- 5.0%
SHARES VALUE
-------------------------------------------------------------------------------------------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 5.0%
T. Rowe Price Reserve Investment Fund (cost $7,316,870) .... 7,316,870 $ 7,316,870
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $123,310,646) 100.0% 146,946,547
Other assets less liabilities -- 0.0 40,204
----- ------------
NET ASSETS -- 100.0% $146,986,751
===== ============
</TABLE>
-------------
+ Non-income producing securities
ADR -- American Depository Receipt
See Notes to Financial Statements
----------------
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SEASONS SERIES TRUST
LARGE CAP
GROWTH PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 91.0%
SHARES VALUE
<S> <C> <C>
------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 4.7%
AUTOMOTIVE -- 0.5%
Ford Motor Co. ....................................... 1,243 $ 31,463
General Motors Corp. ................................. 451 29,315
General Motors Corp., Class H+ ....................... 1,874 69,675
Harley-Davidson, Inc.+ ............................... 368 17,618
RETAIL -- 4.2%
Bed Bath & Beyond, Inc.+ ............................. 338 8,244
Best Buy Co., Inc.+ .................................. 255 16,224
CVS Corp. ............................................ 500 23,156
Gap, Inc. ............................................ 4,826 97,123
Home Depot, Inc. ..................................... 7,199 381,997
Kohl's Corp.+ ........................................ 387 22,325
Radioshack Corp. ..................................... 729 47,112
Wal-Mart Stores, Inc. ................................ 9,112 438,515
Walgreen Co. ......................................... 3,898 147,881
------------
1,330,648
------------
CONSUMER STAPLES -- 3.8%
FOOD, BEVERAGE & TOBACCO -- 2.6%
Anheuser-Busch Cos., Inc. ............................ 1,110 46,967
Bestfoods ............................................ 359 26,117
Campbell Soup Co. .................................... 513 13,274
Coca-Cola Co. ........................................ 4,652 256,442
General Mills, Inc. .................................. 361 12,816
Heinz (H.J.) Co. ..................................... 420 15,566
Kellogg Co. .......................................... 451 10,909
Nabisco Group Holdings Corp. ......................... 1,900 54,150
PepsiCo, Inc. ........................................ 3,974 182,804
Philip Morris Cos., Inc. ............................. 2,400 70,650
Quaker Oats Co. ...................................... 162 12,818
UST, Inc. ............................................ 213 4,872
Wrigley (WM.) Jr. Co. ................................ 621 46,497
HOUSEHOLD PRODUCTS -- 1.2%
Avon Products, Inc. .................................. 1,082 44,227
Colgate-Palmolive Co. ................................ 2,604 122,909
Energizer Holdings, Inc.+ ............................ 1,733 42,458
Gillette Co. ......................................... 1,855 57,273
Kimberly-Clark Corp. ................................. 300 16,744
Procter & Gamble Co. ................................. 700 46,900
Tupperware Corp. ..................................... 60 1,080
------------
1,085,473
------------
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SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
ENERGY -- 3.9%
ENERGY SERVICES -- 0.4%
Schlumberger Ltd. .................................... 1,500 $ 123,469
ENERGY SOURCES -- 3.5%
Chevron Corp. ........................................ 500 42,625
Enron Corp. .......................................... 6,740 590,592
Exxon Mobil Corp. .................................... 2,592 231,012
Royal Dutch Petroleum Co. NY Shares .................. 1,600 95,900
Texaco, Inc. ......................................... 400 21,000
Unocal Corp. ......................................... 300 10,631
------------
1,115,229
------------
FINANCE -- 6.3%
BANKS -- 1.7%
Bank of America Corp. ................................ 1,300 68,087
Bank of New York Co., Inc. ........................... 600 33,638
Chase Manhattan Corp. ................................ 300 13,856
Fifth Third Bancorp. ................................. 3,020 162,702
Firstar Corp. ........................................ 5,005 111,987
State Street Corp. ................................... 800 104,000
FINANCIAL SERVICES -- 4.2%
Ambac Financial Group, Inc. .......................... 900 65,925
American Express Co. ................................. 2,605 158,254
Charles Schwab Corp. ................................. 3,502 124,321
Citigroup, Inc. ...................................... 3,566 192,787
Crown Castle International Corp.(1) .................. 800 24,850
Dow Jones & Co., Inc. ................................ 107 6,473
Dun & Bradstreet Corp. ............................... 191 6,577
E*TRADE Group, Inc.+ ................................. 6,285 103,310
Fannie Mae ........................................... 1,900 135,850
Freddie Mac .......................................... 2,300 124,344
MBNA Corp. ........................................... 3,000 115,500
Merrill Lynch & Co. .................................. 400 26,400
Providian Financial Corp. ............................ 184 23,368
Stilwell Financial, Inc. ............................. 266 11,571
USA Education, Inc. .................................. 197 9,493
Wells Fargo & Co. .................................... 1,300 59,719
INSURANCE -- 0.4%
Equifax, Inc. ........................................ 126 3,394
MetLife, Inc.+ ....................................... 3,800 99,513
------------
1,785,919
------------
HEALTHCARE -- 9.3%
DRUGS -- 6.4%
Abbott Laboratories, Inc. ............................ 1,898 90,274
Allergan, Inc. ....................................... 170 14,354
ALZA Corp.+ .......................................... 126 10,899
American Home Products Corp. ......................... 2,395 135,467
Amgen, Inc.+ ......................................... 1,960 136,863
Biogen, Inc.+ ........................................ 178 10,858
</TABLE>
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SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
DRUGS (CONTINUED)
Bristol-Myers Squibb Co. ............................. 5,857 $ 334,581
Eli Lilly & Co. ...................................... 2,066 167,604
Merck & Co., Inc. .................................... 4,149 308,841
Pfizer, Inc. ......................................... 14,119 634,473
HEALTH SERVICES -- 0.0%
IMS Health, Inc. ..................................... 346 7,180
MEDICAL PRODUCTS -- 2.9%
Genzyme Corp.+ ....................................... 1,045 71,256
Guidant Corp.+ ....................................... 366 25,872
Johnson & Johnson@ ................................... 2,298 215,868
MedImmune, Inc.+ ..................................... 243 18,772
Medtronic, Inc. ...................................... 5,869 304,087
PE Corp-PE Biosystems Group .......................... 248 28,892
Schering-Plough Corp. ................................ 3,298 153,357
------------
2,669,498
------------
INDUSTRIAL & COMMERCIAL -- 6.3%
AEROSPACE & MILITARY TECHNOLOGY -- 0.5%
Boeing Co. ........................................... 1,890 119,070
United Technologies Corp. ............................ 300 20,775
BUSINESS SERVICES -- 4.7%
Cendant Corp.+ ....................................... 2,300 25,012
Convergys Corp.+ ..................................... 164 6,376
First Data Corp. ..................................... 1,600 62,500
General Electric Co. ................................. 18,657 1,076,276
Paychex, Inc. ........................................ 474 24,885
SYSCO Corp. .......................................... 397 18,386
TMP Worldwide, Inc.+ ................................. 1,520 122,360
Waste Management, Inc. ............................... 500 8,719
ELECTRICAL EQUIPMENT -- 0.0%
Emerson Electric Co. ................................. 100 6,700
MULTI-INDUSTRY -- 1.1%
Avery Dennison Corp. ................................. 143 6,632
Honeywell International, Inc. ........................ 200 7,125
Minnesota Mining & Manufacturing Co. ................. 700 63,787
Sara Lee Corp.+ ...................................... 1,071 21,755
SPDR Trust ........................................... 1,200 172,350
Tyco International Ltd. .............................. 700 36,312
------------
1,799,020
------------
INFORMATION & ENTERTAINMENT -- 10.8%
BROADCASTING & MEDIA -- 9.4%
A.H. Belo Corp. ...................................... 2,700 49,781
AT&T Corp. -- Liberty Media Group, Class A+ .......... 25,981 467,658
Cablevision Systems Corp., Class A+ .................. 2,135 141,577
Clear Channel Communications, Inc.+ .................. 376 21,244
Comcast Corp., Class A+ .............................. 7,830 320,541
</TABLE>
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SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
BROADCASTING & MEDIA (CONTINUED)
DoubleClick, Inc.+ ................................... 1,775 $ 56,800
EchoStar Communications Corp., Class A+ .............. 500 26,375
Gannett Co. .......................................... 400 21,200
Gemstar-TV Guide International, Inc.+ ................ 200 17,437
Infinity Broadcasting Corp., Class A+ ................ 4,013 132,429
Interpublic Group Cos., Inc. ......................... 332 11,309
Lamar Advertising Co.+ ............................... 2,395 90,711
New York Times Co., Class A .......................... 900 35,381
Omnicom Group, Inc. .................................. 232 16,921
The Walt Disney Co. .................................. 3,525 134,831
Time Warner, Inc. .................................... 8,956 700,807
Tribune Co. .......................................... 400 17,450
UnitedGlobalCom, Inc., Class A+ ...................... 305 9,150
Valassis Communications, Inc.+ ....................... 1,300 28,925
Verizon Communications ............................... 1,908 92,419
Viacom, Inc., Class B+ ............................... 3,452 201,942
VoiceStream Wireless Corp.+ .......................... 750 87,047
Young & Rubicam, Inc. ................................ 100 4,950
ENTERTAINMENT PRODUCTS -- 0.4%
SONY Corp. ........................................... 1,200 121,953
LEISURE & TOURISM -- 1.0%
Harrah's Entertainment, Inc.+ ........................ 2,600 71,500
Marriott International, Inc., Class A ................ 1,700 61,944
McDonald's Corp. ..................................... 2,200 66,412
Sabre Holdings Corp. ................................. 500 14,469
Starwood Hotels & Resorts Worldwide, Inc. ............ 1,900 59,375
Tricon Global Restaurants, Inc.+ ..................... 176 5,390
US Airways Group, Inc. ............................... 77 2,344
------------
3,090,272
------------
INFORMATION TECHNOLOGY -- 41.1%
COMMUNICATION EQUIPMENT -- 5.3%
Cisco Systems, Inc.+ ................................. 16,963 937,206
Lucent Technologies, Inc. ............................ 5,831 178,210
Network Appliance, Inc.+ ............................. 370 47,129
ONI Systems Corp.+ ................................... 1,240 107,027
Palm, Inc.+ .......................................... 3,890 205,927
Symbol Technologies, Inc. ............................ 3,130 112,484
Tycom Ltd.+ .......................................... 3,630 139,301
COMPUTER SERVICES -- 2.2%
Adobe Systems, Inc. .................................. 145 22,511
Automatic Data Processing, Inc. ...................... 1,380 92,288
Computer Associates International, Inc. .............. 733 18,463
i2 Technologies, Inc.+ ............................... 515 96,337
Sapient Corp.+ ....................................... 150 6,103
Sun Microsystems, Inc.+ .............................. 3,315 387,026
</TABLE>
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SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
COMPUTERS & BUSINESS EQUIPMENT -- 4.8%
Dell Computer Corp.+ ................................. 4,897 $ 150,889
EMC Corp.+ ........................................... 5,691 564,120
Hewlett-Packard Co. .................................. 500 48,500
International Business Machines Corp. ................ 3,038 341,775
Lexmark International, Inc.+ ......................... 155 5,812
Millipore Corp. ...................................... 70 3,391
VERITAS Software Corp.+ .............................. 1,775 252,050
COMPUTER SOFTWARE -- 5.0%
CheckFree Corp.+ ..................................... 300 12,567
Citrix Systems, Inc.+ ................................ 225 4,514
Electronic Arts, Inc.+ ............................... 4,090 201,944
Mercury Interactive Corp.+ ........................... 90 14,108
Microsoft Corp.+ ..................................... 11,576 698,178
Oracle Corp.+ ........................................ 5,687 447,851
Siebel Systems, Inc.+ ................................ 494 54,988
ELECTRONICS -- 7.2%
Agilent Technologies, Inc.+ .......................... 536 26,231
Altera Corp.+ ........................................ 471 22,490
American Power Conversion Corp.+ ..................... 236 4,528
Analog Devices, Inc.+ ................................ 3,860 318,691
Applied Materials, Inc.+ ............................. 3,134 185,886
ASM Lithography Holdings NV+ ......................... 3,015 97,422
Broadcom Corp., Class A+ ............................. 264 64,350
Conexant Systems, Inc.+ .............................. 273 11,432
Integrated Device Technology, Inc.+ .................. 2,555 231,228
Intel Corp. .......................................... 12,432 516,705
Linear Technology Corp. .............................. 391 25,317
LSI Logic Corp.+ ..................................... 357 10,442
Maxim Integrated Products, Inc.+ ..................... 549 44,160
Micron Technology, Inc.+ ............................. 668 30,728
PMC-Sierra, Inc.+ .................................... 100 21,525
Teradyne, Inc.+ ...................................... 200 7,000
Texas Instruments, Inc.@ ............................. 8,023 378,585
Xilinx, Inc.+ ........................................ 584 50,005
INTERNET CONTENT -- 2.4%
Amazon.com, Inc.+ .................................... 3,325 127,805
eBay, Inc.+ .......................................... 1,480 101,565
Exodus Communications, Inc.+ ......................... 3,705 182,934
S1 Corp.+ ............................................ 400 4,775
VeriSign, Inc.+ ...................................... 912 184,737
Yahoo!, Inc.+ ........................................ 964 87,724
INTERNET SOFTWARE -- 2.4%
America Online, Inc.+ ................................ 3,972 213,495
Digex, Inc.+ ......................................... 1,360 63,750
E.piphany, Inc.+ ..................................... 100 7,706
Inktomi Corp.+ ....................................... 905 103,170
Phone.com, Inc.+ ..................................... 2,545 289,176
Software.com, Inc.+ .................................. 75 13,608
</TABLE>
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SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS -- 11.8%
ADC Telecommunications, Inc.+ ........................ 830 $ 22,319
Avanex Corp.+ ........................................ 490 52,767
China Mobile Hong Kong Ltd. ADR+ ..................... 3,015 97,799
Comverse Technology, Inc.+ ........................... 198 21,384
Corning, Inc. ........................................ 754 223,938
Cox Communications, Inc., Class A+ ................... 1,795 68,659
JDS Uniphase Corp.+ .................................. 3,245 307,261
Level 3 Communications, Inc.+ ........................ 2,350 181,244
McLeodUSA, Inc., Class A+ ............................ 9,640 137,972
Motorola, Inc. ....................................... 1,190 33,617
Nextel Communications, Inc., Class A+ ................ 930 43,477
Nippon Telegraph & Telephone Corp. ADR ............... 6 172,470
Nokia Corp. ADR ...................................... 15,420 613,909
Nortel Networks Corp. ................................ 6,390 380,604
NTL, Inc.+ ........................................... 1,268 58,724
QUALCOMM, Inc.+ ...................................... 3,932 280,155
Qwest Communications International, Inc.+ ............ 1,996 95,933
Scientific-Atlanta, Inc. ............................. 198 12,598
Sprint Corp. (PCS Group)+ ............................ 4,404 154,415
Telefonaktiebolaget LM Ericsson AB ADR ............... 8,770 129,906
Telefonaktiebolaget LM Ericsson AB, Series B ......... 3,862 58,844
Tellabs, Inc. ........................................ 510 24,353
Vodafone Group PLC ADR ............................... 5,505 203,685
------------
11,953,902
------------
MATERIALS -- 0.5%
CHEMICALS -- 0.3%
Dow Chemical Co. ..................................... 900 22,444
du Pont (E.I.) de Nemours & Co. ...................... 1,309 54,241
FOREST PRODUCTS -- 0.1%
International Paper Co. .............................. 600 17,213
Sealed Air Corp.+ .................................... 117 5,294
Weyerhaeuser Co. ..................................... 400 16,150
METALS & MINERALS -- 0.1%
Alcoa, Inc. .......................................... 600 15,188
Freeport-McMoRan Copper & Gold, Inc., Class B+ ....... 213 1,877
Owens Corning Co. .................................... 3 8
------------
132,415
------------
UTILITIES -- 3.6%
ELECTRIC UTILITIES -- 1.9%
AES Corp.+ ........................................... 1,800 123,300
Dominion Resources, Inc.+ ............................ 1,215 70,546
Duke Energy Corp. .................................... 3,925 336,569
Southern Co. ......................................... 500 16,219
TELEPHONE -- 1.7%
AT&T Corp. ........................................... 1,722 50,584
SBC Communications, Inc. ............................. 2,500 125,000
</TABLE>
----------------
95
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
TELEPHONE (CONTINUED)
Telefonica SA ........................................ 4,400 $ 87,297
Telefonos de Mexico SA ADR ........................... 2,395 127,384
WinStar Communications, Inc.+ ........................ 2,792 43,276
WorldCom, Inc.+ ...................................... 2,050 62,268
------------
1,042,443
------------
TOTAL INVESTMENT SECURITIES (cost $23,525,922) ....... 26,004,819
------------
<CAPTION>
SHORT-TERM SECURITIES -- 4.7% PRINCIPAL
AMOUNT
------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES -- 4.7%
Federal National Mortgage Association Discount Notes
6.51% due 10/2/00 ................................... $ 1,300,000 1,299,772
United States Treasury Bills 5.92% due 10/19/00@ ..... 10,000 9,970
United States Treasury Bills 5.93% due 10/19/00@ ..... 10,000 9,970
United States Treasury Bills 6.02% due 10/19/00@ ..... 10,000 9,970
United States Treasury Bills 6.06% due 10/19/00@ ..... 20,000 19,940
------------
TOTAL SHORT-TERM SECURITIES (cost $1,349,622) ........ 1,349,622
------------
<CAPTION>
REPURCHASE AGREEMENTS -- 3.3%
------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 3.3%
Agreement with State Street Bank & Trust Co., bearing
interest at 5.25%, dated 9/29/00, to be repurchased
10/02/00 in the amount of $313,137 and collateralized
by $300,000 of U.S. Treasury Notes, bearing interest
at 6.88% due 5/15/06 and having an approximate value
of $320,956 ......................................... 313,000 313,000
Agreement with State Street Bank & Trust Co., bearing
interest at 6.45%, dated 9/29/00, to be repurchased
10/02/00 in the amount of $613,329 and collateralized
by $435,000 of U.S. Treasury Bonds, bearing interest
at 14.00% due 11/15/11 and having an approximate
value of $631,294 ................................... 613,000 613,000
------------
TOTAL REPURCHASE AGREEMENTS (cost $926,000) .......... 926,000
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $25,801,544) 99.0% 28,280,441
Other assets less liabilities -- 1.0 289,486
----- -----------
NET ASSETS -- 100.0% $28,569,927
===== ===========
</TABLE>
-------------
+ Non-income producing securities
(1) Security represents an investment in an affiliated company; see Note 7
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
<C> <S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------------------------------
<CAPTION>
NUMBER OF EXPIRATION VALUE AT VALUE AS OF UNREALIZED
CONTRACTS DESCRIPTION DATE TRADE DATE SEPTEMBER 30, 2000 DEPRECIATION
-------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C> <C>
4 Long Standard & Poor's 500 Index December 2000 $295,194 $290,750 $ (4,444)
========
</TABLE>
----------------
96
<PAGE>
<TABLE>
<CAPTION>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
<S> <C> <C> <C>
------------------------------------------------------------------------
<CAPTION>
CONTRACT IN DELIVERY GROSS UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
--------------------------------------------------------------------------
<S> <C> <C> <C>
EUR 50,000 USD 48,050 10/05/00 $ 3,849
EUR* 75,000 USD 71,294 01/26/01 4,635
EUR* 125,000 USD 121,688 01/26/01 10,589
EUR* 75,000 USD 72,886 01/26/01 6,227
EUR 15,000 USD 13,834 01/26/01 502
EUR* 70,000 USD 66,171 03/22/01 3,812
EUR 25,000 USD 22,944 03/22/01 672
EUR 25,000 USD 22,816 03/22/01 545
EUR 60,000 USD 54,488 03/22/01 1,038
EUR 85,000 USD 75,754 03/22/01 33
HKD 450,000 USD 57,853 06/27/01 48
JPY* 2,900,000 USD 28,656 10/05/00 1,734
JPY 8,000,000 USD 76,597 03/22/01 183
JPY 1,500,000 USD 14,600 03/22/01 272
JPY 5,200,000 USD 50,793 03/22/01 1,124
JPY 950,000 USD 9,219 04/12/01 114
USD* 17,776 EUR 20,000 03/22/01 41
--------
35,418
--------
</TABLE>
<TABLE>
<CAPTION>
GROSS UNREALIZED
DEPRECIATION
<S> <C> <C> <C>
--------------------------------------------------------------------------
EUR 145,000 USD 124,048 05/07/01 (5,353)
HKD 10,000 USD 1,284 05/10/01 (1)
HKD 55,000 USD 7,063 06/27/01 (2)
USD* 13,130 JPY 1,400,000 10/05/00 (133)
USD* 14,415 JPY 1,500,000 10/05/00 (490)
USD* 167,237 NOK 1,509,000 10/17/00 (953)
USD* 42,679 EUR 45,000 01/26/01 (2,684)
USD* 12,285 EUR 15,000 01/26/01 (953)
USD* 14,368 EUR 15,000 01/26/01 (1,036)
USD* 119,733 EUR 125,000 01/26/01 (8,634)
USD* 14,368 EUR 15,000 01/26/01 (1,036)
USD* 18,225 EUR 20,000 01/26/01 (449)
USD* 46,690 EUR 50,000 03/22/01 (2,147)
--------
(23,871)
--------
Net Unrealized Appreciation............................ $ 11,547
========
</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> <C> <C> <C>
EUR -- Euro Dollar NOK -- Norwegian Kroner
HKD -- Hong Kong Dollar USD -- United States Dollar
JPY -- Japanese Yen
</TABLE>
See Notes to Financial Statements
----------------
97
<PAGE>
------------------
SEASONS SERIES TRUST
LARGE CAP
COMPOSITE PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 96.6%
SHARES VALUE
<S> <C> <C>
------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 7.2%
APPAREL & TEXTILES -- 0.0%
Nike Inc, Class B..................................... 100 $ 4,006
AUTOMOTIVE -- 2.1%
B.F. Goodrich Co. .................................... 94 3,684
Dana Corp. ........................................... 100 2,150
Delphi Automotive Systems Corp. ...................... 309 4,674
Ford Motor Co. ....................................... 2,776 70,268
General Motors Corp. ................................. 275 17,875
General Motors Corp., Class H+ ...................... 4,500 167,310
Goodyear Tire & Rubber Co. ........................... 100 1,800
Harley-Davidson, Inc+ ................................ 146 6,990
PACCAR, Inc. ......................................... 39 1,445
SPX Corp.+ ........................................... 700 99,356
Tenneco Automotive, Inc. ............................. 20 104
TRW, Inc. ............................................ 58 2,356
Visteon Corp. ........................................ 74 1,119
HOUSING -- 0.2%
Black & Decker Corp. ................................. 45 1,539
Grainger (W. W.), Inc. ............................... 45 1,184
Leggett & Platt, Inc. ................................ 100 1,581
Lowe's Cos., Inc. .................................... 600 26,925
Masco Corp. .......................................... 200 3,725
Maytag Corp. ......................................... 38 1,180
RETAIL -- 4.9%
Albertson's, Inc. .................................... 203 4,263
Bed Bath & Beyond, Inc.+ ............................. 200 4,878
Best Buy Co., Inc.+ .................................. 100 6,363
Circuit City Stores, Inc. ............................ 631 14,513
Costco Wholesale Corp.+ .............................. 200 6,987
CVS Corp. ............................................ 1,400 64,837
Dollar General Corp. ................................. 156 2,613
Federated Department Stores, Inc.+ ................... 100 2,613
Gap, Inc. ............................................ 423 8,513
Home Depot, Inc. ..................................... 3,250 172,453
J.C. Penny Co., Inc. ................................. 100 1,181
Kmart Corp.+ ......................................... 300 1,800
Kohl's Corp.+ ........................................ 150 8,653
Kroger Co.+ .......................................... 2,795 63,062
Limited, Inc. ........................................ 192 4,236
May Department Stores Co. ............................ 150 3,075
Nordstrom, Inc. ...................................... 100 1,556
Office Depot, Inc.+ .................................. 200 1,563
Radioshack Corp. ..................................... 112 7,238
</TABLE>
----------------
98
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY (CONTINUED)
RETAIL (CONTINUED)
Safeway, Inc.+ ....................................... 1,700 $ 79,369
Sears, Roebuck & Co. ................................. 1,100 35,662
Staples, Inc.+ ....................................... 300 4,256
Starbucks Corp.+ ..................................... 86 3,445
Target Corp. ......................................... 1,300 33,312
Tiffany & Co. ........................................ 1,460 56,301
TJX Cos., Inc. ....................................... 199 4,478
Too, Inc.+ ........................................... 13 309
Toys "R" Us, Inc.+ ................................... 186 3,023
Wal-Mart de Mexico SA de CV ADR+ ..................... 1,000 20,923
Wal-Mart Stores, Inc. ................................ 6,238 256,891
Walgreen Co. ......................................... 513 19,462
Winn-Dixie Stores, Inc. .............................. 100 1,438
------------
1,318,537
------------
CONSUMER STAPLES -- 3.0%
FOOD, BEVERAGE & TOBACCO -- 2.3%
Anheuser-Busch Cos., Inc. ............................ 1,960 82,932
Archer-Daniels-Midland Co. ........................... 221 1,902
Bestfoods ............................................ 134 9,748
Campbell Soup Co. .................................... 200 5,175
Coca-Cola Co. ........................................ 2,056 113,337
Coca-Cola Enterprises, Inc. .......................... 200 3,188
ConAgra Foods, Inc. .................................. 200 4,013
Fortune Brands, Inc. ................................. 100 2,650
General Mills, Inc. .................................. 140 4,970
Heinz (H.J.) Co. ..................................... 175 6,486
Hershey Foods Corp. .................................. 74 4,005
Kellogg Co. .......................................... 200 4,837
Nabisco Group Holdings Corp. ......................... 170 4,845
PepsiCo, Inc. ........................................ 1,879 86,434
Philip Morris Cos., Inc. ............................. 2,380 70,061
Quaker Oats Co. ...................................... 60 4,747
Ralston Purina Group ................................. 100 2,369
UST, Inc. ............................................ 100 2,288
Wrigley (WM.) Jr. Co. ................................ 56 4,193
HOUSEHOLD PRODUCTS -- 0.7%
Alberto-Culver Co., Class B .......................... 38 1,095
Avon Products, Inc. .................................. 120 4,905
Clorox Co. ........................................... 114 4,510
Colgate-Palmolive Co. ................................ 278 13,122
Fort James Corp. ..................................... 100 3,056
Gillette Co. ......................................... 1,000 30,875
Kimberly-Clark Corp. ................................. 376 20,985
Newell Rubbermaid, Inc. .............................. 173 3,947
Procter & Gamble Co. ................................. 600 40,200
Unilever NV .......................................... 267 12,883
------------
553,758
------------
</TABLE>
----------------
99
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
ENERGY -- 8.2%
ENERGY SERVICES -- 2.0%
Baker Hughes, Inc. ................................... 3,700 $ 137,362
Halliburton Co. ...................................... 800 39,150
Nabors Industries, Inc+ .............................. 800 41,920
Schlumberger Ltd. .................................... 966 79,514
Transocean Sedco Forex, Inc. ......................... 1,107 64,898
USX-Marathon Group, Inc. ............................. 200 5,675
ENERGY SOURCES -- 6.2%
Anadarko Petroleum Corp. ............................. 91 6,048
Apache Corp. ......................................... 1,300 76,862
Burlington Resources, Inc. ........................... 600 22,087
Chevron Corp. ........................................ 1,100 93,775
Conoco, Inc., Class B ................................ 365 9,832
Devon Energy Corp. ................................... 1,153 69,353
Enron Corp. .......................................... 1,944 170,343
Exxon Mobil Corp. .................................... 4,530 403,736
Kerr-McGee Corp. ..................................... 1,000 66,250
Occidental Petroleum Corp. ........................... 200 4,363
Phillips Petroleum Co. ............................... 120 7,530
Royal Dutch Petroleum Co. NY Shares .................. 3,273 196,175
Texaco, Inc. ......................................... 260 13,650
Tosco Corp. .......................................... 100 3,119
TXU Corp. ............................................ 100 3,963
Unocal Corp. ......................................... 114 4,040
------------
1,519,645
------------
FINANCE -- 15.1%
BANKS -- 2.7%
AmSouth Bancorp. ..................................... 223 2,788
Bank of America Corp. ................................ 774 40,538
Bank of New York Co., Inc. ........................... 2,049 114,872
Bank One Corp. ....................................... 554 21,398
BB&T Corp. ........................................... 100 3,012
Charter One Financial, Inc. .......................... 105 2,559
Chase Manhattan Corp. ................................ 2,211 102,121
Comerica, Inc. ....................................... 86 5,026
Fifth Third Bancorp. ................................. 150 8,081
First Union Corp. .................................... 481 15,482
Firstar Corp. ........................................ 2,883 64,507
Huntington Bancshares, Inc. .......................... 121 1,777
KeyCorp. ............................................. 239 6,050
National City Corp. .................................. 318 7,036
Northern Trust Corp. ................................. 106 9,421
Old Kent Financial Corp. ............................. 89 2,575
PNC Financial Services Group ......................... 148 9,620
Regions Financial Corp. .............................. 100 2,269
SouthTrust Corp. ..................................... 100 3,144
State Street Corp. ................................... 280 36,400
Summit Bancorp ....................................... 500 17,250
SunTrust Banks, Inc. ................................. 155 7,721
Synovus Financial Corp. .............................. 100 2,119
</TABLE>
----------------
100
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
BANKS (CONTINUED)
U.S. Bancorp ......................................... 386 $ 8,781
Union Planters Corp. ................................. 86 2,843
Wachovia Corp. ....................................... 100 5,669
FINANCIAL SERVICES -- 10.2%
Ambac Financial Group, Inc. .......................... 300 21,975
American Express Co. ................................. 1,900 115,425
American General Corp. ............................... 100 7,800
Associates First Capital Corp., Class A .............. 1,700 64,600
AXA Financial, Inc. .................................. 500 25,469
Bear Stearns Cos., Inc. .............................. 60 3,780
C.I.T. Group, Inc., Class A .......................... 118 2,065
Capital One Financial Corp. .......................... 1,593 111,610
Charles Schwab Corp. ................................. 600 21,300
Citigroup, Inc. ...................................... 7,067 382,060
Concord EFS, Inc.+ ................................... 1,100 39,067
Countrywide Credit Industries, Inc. .................. 100 3,775
Dun & Bradstreet Corp. ............................... 85 2,927
Fannie Mae ........................................... 1,800 128,700
Fleet Boston Financial Corp. ......................... 1,937 75,543
Freddie Mac .......................................... 3,100 167,594
Household International, Inc. ........................ 225 12,741
J.P. Morgan & Co., Inc. .............................. 280 45,745
Lehman Brothers Holdings, Inc. ....................... 60 8,865
MBNA Corp. ........................................... 421 16,208
Mellon Financial Corp. ............................... 1,936 89,782
Merrill Lynch & Co. .................................. 976 64,416
Morgan Stanley, Dean Witter & Co. .................... 2,330 213,049
Paine Webber Group, Inc. ............................. 74 5,041
Providian Financial Corp. ............................ 368 46,736
Stilwell Financial, Inc. ............................. 906 39,411
T.Rowe Price Associates, Inc. ........................ 66 3,098
USA Education, Inc. .................................. 100 4,819
Washington Mutual, Inc. .............................. 1,800 71,662
Wells Fargo & Co. .................................... 1,710 78,553
INSURANCE -- 2.2%
ACE Ltd. ............................................. 2,000 78,500
Aetna, Inc. .......................................... 70 4,064
AFLAC, Inc. .......................................... 100 6,406
Allstate Corp. ....................................... 400 13,900
American International Group, Inc.(1) ................ 1,095 104,778
Aon Corp. ............................................ 150 5,888
Chubb Corp. .......................................... 100 7,913
CIGNA Corp. .......................................... 80 8,352
Cinergy Corp. ........................................ 100 3,306
Conseco, Inc. ........................................ 200 1,525
Equifax, Inc. ........................................ 100 2,694
Fairfax Financial Holdings Ltd.+ ..................... 100 12,489
Franklin Resources, Inc. ............................. 100 4,443
Hartford Financial Services Group, Inc. .............. 700 51,056
Jefferson-Pilot Corp. ................................ 47 3,190
</TABLE>
----------------
101
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
INSURANCE (CONTINUED)
Loews Corp. .......................................... 247 $ 20,594
Marsh & McLennan Cos. ................................ 300 39,825
MGIC Investment Corp. ................................ 50 3,056
Mutual Risk Management Ltd. .......................... 500 10,969
PartnerRe Ltd. ....................................... 300 14,231
SAFECO Corp. ......................................... 100 2,725
St. Paul Cos., Inc. .................................. 101 4,981
Torchmark Corp. ...................................... 100 2,781
UnumProvident Corp. .................................. 173 4,714
------------
2,789,255
------------
HEALTHCARE -- 11.4%
DRUGS -- 7.3%
Abbott Laboratories, Inc. ............................ 700 33,294
Allergan, Inc. ....................................... 62 5,235
ALZA Corp+ ........................................... 1,050 90,825
American Home Products Corp. ......................... 1,600 90,500
Amgen, Inc.+ ......................................... 1,490 104,044
Biogen, Inc.+ ........................................ 572 34,892
Bristol-Myers Squibb Co. ............................. 2,344 133,901
Eli Lilly & Co. ...................................... 500 40,562
Genentech, Inc.+ ..................................... 700 129,981
Merck & Co., Inc. .................................... 1,837 136,742
Pfizer, Inc. ......................................... 8,902 400,034
Pharmacia Corp. ...................................... 1,518 91,346
Teva Pharmaceutical Industries, Ltd. ADR ............. 800 58,550
HEALTH SERVICES -- 0.9%
HCA Healthcare Co. ................................... 271 10,061
HEALTHSOUTH Corp.+ ................................... 200 1,625
IMS Health, Inc. ..................................... 100 2,075
Quintiles Transnational Corp.+ ....................... 71 1,131
Tenet Healthcare Corp. ............................... 200 7,275
UnitedHealth Group, Inc. ............................. 780 77,025
Wellpoint Health Networks, Inc.+ ..................... 600 57,600
MEDICAL PRODUCTS -- 3.2%
Bausch & Lomb, Inc. .................................. 33 1,285
Baxter International, Inc. ........................... 1,100 87,794
Becton Dickinson & Co. ............................... 100 2,644
Biomet, Inc. ......................................... 150 5,250
Boston Scientific Corp.+ ............................. 200 3,288
Cardinal Health, Inc. ................................ 100 8,819
Guidant Corp.+ ....................................... 100 7,069
Johnson & Johnson .................................... 2,260 212,299
McKesson HBOC, Inc. .................................. 184 5,623
MedImmune, Inc.+ ..................................... 693 53,534
Medtronic, Inc. ...................................... 600 31,087
PE Corp-PE Biosystems Group .......................... 298 34,717
</TABLE>
----------------
102
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
MEDICAL PRODUCTS (CONTINUED)
Schering-Plough Corp. ................................ 2,900 $ 134,850
------------
2,094,957
------------
INDUSTRIAL & COMMERCIAL -- 9.2%
AEROSPACE & MILITARY TECHNOLOGY -- 0.6%
Boeing Co. ........................................... 453 28,539
General Dynamics Corp. ............................... 100 6,281
Lockheed Martin Corp. ................................ 200 6,592
Raytheon Co., Class B ................................ 200 5,688
Rockwell International Corp. ......................... 100 3,025
United Technologies Corp. ............................ 800 55,400
BUSINESS SERVICES -- 5.6%
Allied Waste Industries, Inc.+ ....................... 100 919
Cendant Corp.+ ....................................... 364 3,959
Convergys Corp.+ ..................................... 72 2,799
Donnelley (R.R.) & Sons Co. .......................... 100 2,456
Ecolab, Inc. ......................................... 100 3,606
Electronic Data Systems Corp. ........................ 200 8,300
Fedex Corp.+ ......................................... 140 6,208
First Data Corp. ..................................... 2,098 81,953
General Electric Co. ................................. 11,838 682,905
Hutchison Whampoa Ltd. ............................... 3,840 50,977
Paychex, Inc. ........................................ 179 9,397
Randstad Holding NV+ ................................. 1,000 25,098
Solectron Corp.+ ..................................... 1,900 87,637
SYSCO Corp. .......................................... 767 35,522
Waste Management, Inc. ............................... 300 5,231
Waters Corp.+ ........................................ 500 44,500
ELECTRICAL EQUIPMENT -- 0.6%
Dover Corp.+ ......................................... 100 4,694
Emerson Electric Co. ................................. 1,500 100,500
MACHINERY -- 0.4%
Caterpillar, Inc. .................................... 200 6,750
Cooper Industries, Inc. .............................. 40 1,410
Danaher Corp. ........................................ 1,000 49,750
Deere & Co. .......................................... 115 3,824
Illinois Tool Works, Inc. ............................ 100 5,587
Ingersoll-Rand Co. ................................... 100 3,388
MULTI-INDUSTRY -- 1.9%
Avery Dennison Corp. ................................. 55 2,551
Honeywell International, Inc. ........................ 387 13,787
Minnesota Mining & Manufacturing Co. ................. 200 18,225
Sara Lee Corp.+ ...................................... 500 10,156
Textron, Inc. ........................................ 100 4,613
Tyco International Ltd. .............................. 5,828 302,327
</TABLE>
----------------
103
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
TRANSPORTATION -- 0.1%
AMR Corp.+ ........................................... 100 $ 3,269
Burlington Northern Santa Fe Corp. ................... 200 4,312
CSX Corp. ............................................ 100 2,181
Norfolk Southern Corp. ............................... 100 1,463
Union Pacific Corp. .................................. 100 3,887
------------
1,699,666
------------
INFORMATION & ENTERTAINMENT -- 4.9%
BROADCASTING & MEDIA -- 4.2%
AT&T Corp. -- Liberty Media Group, Class A+ .......... 4,500 81,000
Clear Channel Communications, Inc.+ .................. 670 37,855
Comcast Corp., Class A+ .............................. 3,329 136,281
Gannett Co. .......................................... 138 7,314
Granada Compass PLC+ ................................. 500 4,681
Infinity Broadcasting Corp., Class A+ ................ 700 23,100
Interpublic Group Cos., Inc. ......................... 147 5,007
Knight Ridder, Inc. .................................. 41 2,083
McGraw-Hill Cos., Inc. ............................... 100 6,356
New York Times Co., Class A .......................... 100 3,931
Omnicom Group, Inc. .................................. 586 42,741
Pegasus Communications Corp.+ ........................ 600 28,987
Seagram Co., Ltd. .................................... 200 11,488
The Walt Disney Co. .................................. 1,386 53,014
Time Warner, Inc. .................................... 1,671 130,756
Tribune Co. .......................................... 134 5,846
USA Networks, Inc.+ .................................. 1,000 21,938
Verizon Communications ............................... 1,278 61,903
Viacom, Inc., Class B+ ............................... 1,803 105,475
Young & Rubicam, Inc. ................................ 35 1,733
ENTERTAINMENT PRODUCTS -- 0.3%
Eastman Kodak Co. .................................... 100 4,087
Hasbro, Inc. ......................................... 136 1,555
Mattel, Inc. ......................................... 100 1,119
Polaroid Corp. ....................................... 100 1,344
SONY Corp. ........................................... 500 50,814
LEISURE & TOURISM -- 0.4%
Carnival Corp. ....................................... 300 7,387
Delta Air Lines, Inc. ................................ 60 2,662
Marriott International, Inc., Class A ................ 121 4,409
McDonald's Corp. ..................................... 900 27,169
Sabre Holdings Corp. ................................. 72 2,084
Southwest Airlines Co. ............................... 300 7,275
Starwood Hotels & Resorts Worldwide, Inc. ............ 700 21,875
Tricon Global Restaurants, Inc.+ ..................... 100 3,063
Wendy's International, Inc. .......................... 100 2,006
------------
908,338
------------
</TABLE>
----------------
104
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 32.5%
COMMUNICATION EQUIPMENT -- 4.0%
3Com Corp.+ .......................................... 13 $ 249
Cabletron Systems, Inc.+ ............................. 99 2,908
Cisco Systems, Inc.+ ................................. 9,293 513,438
Lucent Technologies, Inc. ............................ 2,335 71,364
Network Appliance, Inc.+ ............................. 140 17,833
Palm, Inc.+ .......................................... 1,252 66,278
SDL, Inc.+ ........................................... 100 30,800
Tycom Ltd.+ .......................................... 600 23,025
COMPUTER SERVICES -- 2.1%
Adobe Systems, Inc. .................................. 62 9,625
Automatic Data Processing, Inc. ...................... 1,297 86,737
BEA Systems, Inc.+ ................................... 1,000 77,875
Ceridian Corp.+ ...................................... 80 2,245
Computer Associates International, Inc. .............. 259 6,524
Compuware Corp.+ ..................................... 200 1,675
Sapient Corp.+ ....................................... 56 2,278
Sun Microsystems, Inc.+ .............................. 1,340 156,445
Sycamore Networks, Inc.+ ............................. 400 43,200
Unisys Corp.+ ........................................ 100 1,125
COMPUTERS & BUSINESS EQUIPMENT -- 5.2%
Apple Computer, Inc.+ ................................ 159 4,094
Brocade Communications Systems, Inc.+ ................ 200 47,200
Compaq Computer Corp. ................................ 2,300 63,434
Computer Sciences Corp.+ ............................. 82 6,089
Dell Computer Corp.+ ................................. 4,400 135,575
EMC Corp.+ ........................................... 3,812 377,864
Gateway, Inc.+ ....................................... 156 7,293
Hewlett-Packard Co. .................................. 868 84,196
International Business Machines Corp. ................ 1,819 204,637
Lexmark International, Inc.+ ......................... 69 2,588
NCR Corp.+ ........................................... 48 1,815
Pitney Bowes, Inc. ................................... 100 3,944
SanDisk Corp.+ ....................................... 200 13,350
Seagate Technology, Inc.+ ............................ 100 6,900
Xerox Corp. .......................................... 300 4,519
COMPUTER SOFTWARE -- 4.5%
BMC Software, Inc.+ .................................. 100 1,913
Citrix Systems, Inc.+ ................................ 86 1,725
Electronic Arts, Inc.+ ............................... 600 29,625
Mercury Interactive Corp.+ ........................... 30 4,702
Microsoft Corp.+ ..................................... 6,352 383,105
Novell, Inc.+ ........................................ 200 1,988
Oracle Corp.+ ........................................ 3,316 261,135
Parametric Technology Corp.+ ......................... 197 2,155
PeopleSoft, Inc.+ .................................... 160 4,470
Siebel Systems, Inc.+ ................................ 804 89,495
VERITAS Software Corp.+ .............................. 377 53,534
</TABLE>
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SHARES VALUE
------------------------------------------------------------------------------------
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INFORMATION TECHNOLOGY (CONTINUED)
ELECTRONICS -- 6.6%
Advanced Micro Devices, Inc.+ ........................ 140 $ 3,308
Agilent Technologies, Inc.+ .......................... 216 10,571
Altera Corp.+ ........................................ 1,292 61,693
American Power Conversion Corp.+ ..................... 80 1,535
Analog Devices, Inc.+ ................................ 770 63,573
Applied Materials, Inc.+ ............................. 1,116 66,193
Applied Micro Circuits Corp.+ ........................ 150 31,059
Broadcom Corp., Class A+ ............................. 100 24,375
C- Mac Industries, Inc.+ ............................. 700 40,250
Conexant Systems, Inc.+ .............................. 94 3,936
Eaton Corp. .......................................... 39 2,403
Flextronics International Ltd.+ ...................... 1,500 123,187
Intel Corp. .......................................... 7,724 321,029
KLA-Tencor Corp.+ .................................... 386 15,898
Koninklijke (Royal) Philips Electronics NV+ .......... 1,455 62,711
Linear Technology Corp. .............................. 149 9,648
LSI Logic Corp.+ ..................................... 1,637 47,882
Maxim Integrated Products, Inc.+ ..................... 633 50,917
Micron Technology, Inc.+ ............................. 264 12,144
Molex, Inc. .......................................... 125 6,805
National Semiconductor Corp.+ ........................ 100 4,025
Novellus Systems, Inc.+ .............................. 55 2,561
PerkinElmer, Inc. .................................... 500 52,188
PMC-Sierra, Inc.+ .................................... 250 53,812
Samsung Electronics .................................. 100 18,114
Sanmina Corp.+ ....................................... 60 5,618
Teradyne, Inc.+ ...................................... 100 3,500
Texas Instruments, Inc. .............................. 2,315 109,239
Xilinx, Inc.+ ........................................ 150 12,844
INTERNET CONTENT -- 1.2%
Exodus Communications, Inc.+ ......................... 800 39,500
Juniper Networks, Inc.+ .............................. 700 153,256
Yahoo!, Inc.+ ........................................ 250 22,750
INTERNET SOFTWARE -- 1.3%
America Online, Inc.+ ................................ 2,992 160,820
Ariba, Inc.+ ......................................... 330 47,278
Macromedia, Inc.+ .................................... 400 32,325
TELECOMMUNICATIONS -- 7.6%
ADC Telecommunications, Inc.+ ........................ 296 7,960
Andrew Corp.+ ........................................ 40 1,048
China Mobile (Hong Kong) Ltd.+ ....................... 2,000 13,339
China Unicom ADR+ .................................... 800 17,450
CIENA Corp.+ ......................................... 700 85,969
Comverse Technology, Inc.+ ........................... 68 7,344
Corning, Inc. ........................................ 1,152 342,144
Global Crossing Ltd.+ ................................ 435 13,485
JDS Uniphase Corp.+ .................................. 2,535 240,033
Motorola, Inc. ....................................... 1,817 51,330
Nextel Communications, Inc., Class A+ ................ 1,650 77,137
</TABLE>
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SHARES VALUE
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INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
NEXTLINK Communications, Inc., Class A+ .............. 1,000 $ 35,187
Nokia Corp. ADR ...................................... 900 35,831
Nortel Networks Corp. ................................ 4,092 243,730
QUALCOMM, Inc.+ ...................................... 346 24,652
Qwest Communications International, Inc.+ ............ 769 36,960
Scientific-Atlanta, Inc. ............................. 76 4,836
Sprint Corp. (PCS Group)+ ............................ 1,700 59,606
Telefonaktiebolaget LM Ericsson AB, Series B ......... 400 6,095
Tellabs, Inc. ........................................ 200 9,550
Vodafone Group PLC ................................... 18,789 70,162
Vodafone Group PLC ADR ............................... 350 12,950
------------
5,984,714
------------
MATERIALS -- 0.5%
CHEMICALS -- 0.3%
Air Products & Chemicals, Inc. ....................... 100 3,600
Dow Chemical Co. ..................................... 300 7,481
du Pont (E.I.) de Nemours & Co. ...................... 501 20,760
Eastman Chemical Co. ................................. 38 1,404
PPG Industries, Inc. ................................. 100 3,969
Rohm & Haas Co. ...................................... 136 3,952
Sherwin-Williams Co. ................................. 100 2,138
Sigma-Aldrich Corp. .................................. 90 2,970
Union Carbide Corp. .................................. 100 3,775
FOREST PRODUCTS -- 0.1%
Georgia-Pacific Group ................................ 130 3,055
International Paper Co. .............................. 255 7,315
Louisiana-Pacific Corp. .............................. 100 919
Mead Corp. ........................................... 100 2,338
Owens-Illinois, Inc.+ ................................ 100 925
Pactiv Corp.+ ........................................ 100 1,119
Weyerhaeuser Co. ..................................... 100 4,037
METALS & MINERALS -- 0.1%
Alcan Aluminium Ltd. ................................. 100 2,894
Alcoa, Inc. .......................................... 400 10,125
Allegheny Technologies, Inc. ......................... 50 906
Barrick Gold Corp. ................................... 200 3,050
Bethlehem Steel Corp.+ ............................... 100 300
Crown, Cork & Seal Co., Inc. ......................... 100 1,069
Inco Ltd.+ ........................................... 100 1,613
Newmont Mining Corp. ................................. 100 1,700
Phelps Dodge Corp. ................................... 44 1,837
Placer Dome, Inc. .................................... 200 1,887
USX-US Steel Group, Inc. ............................. 100 1,519
Vulcan Materials Co. ................................. 50 2,009
------------
98,666
------------
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SHARES VALUE
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UTILITIES -- 4.6%
ELECTRIC UTILITIES -- 1.5%
AES Corp.+ ........................................... 200 $ 13,700
Ameren Corp. ......................................... 100 4,187
American Electric Power Co., Inc. .................... 160 6,260
CMS Energy Corp. ..................................... 100 2,694
Consolidated Edison, Inc. ............................ 100 3,413
CP&L Energy, Inc. .................................... 100 4,169
Dominion Resources, Inc.+ ............................ 115 6,677
DTE Energy Co. ....................................... 100 3,825
Duke Energy Corp. .................................... 900 77,175
Edison International ................................. 100 1,931
Entergy Corp. ........................................ 100 3,725
FirstEnergy Corp. .................................... 182 4,903
Florida Progress Corp. ............................... 46 2,435
FPL Group, Inc. ...................................... 100 6,575
GPU, Inc. ............................................ 100 3,244
NRG Energy, Inc. + ................................... 1,500 54,750
Pacific Gas & Electric Corp. ......................... 200 4,837
PECO Energy Co. ...................................... 900 54,506
Public Service Enterprise Group, Inc. ................ 100 4,469
Reliant Energy, Inc. ................................. 100 4,650
Sempra Energy ........................................ 85 1,769
Southern Co. ......................................... 310 10,056
Unicom Corp. ......................................... 81 4,551
GAS & PIPELINE UTILITIES -- 1.0%
Coastal Corp. ........................................ 1,800 133,425
El Paso Energy Corp. ................................. 500 30,813
KeySpan Corp. ........................................ 58 2,327
Williams Cos., Inc. .................................. 200 8,450
TELEPHONE -- 2.1%
ALLTEL Corp. ......................................... 152 7,932
AT&T Corp. ........................................... 2,264 66,505
BellSouth Corp. ...................................... 892 35,903
CenturyTel, Inc. ..................................... 67 1,826
SBC Communications, Inc. ............................. 2,558 127,900
Sprint Corp. ......................................... 400 11,725
WorldCom, Inc.+ ...................................... 4,421 134,288
------------
845,595
------------
TOTAL INVESTMENT SECURITIES (cost $15,180,829) ....... 17,813,131
------------
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SHARES/
SHORT-TERM SECURITIES -- 2.2% PRINCIPAL
AMOUNT VALUE
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SHORT-TERM SECURITIES -- 2.1%
T. Rowe Price Reserve Investment Fund ................ 386,521 $ 386,521
------------
U.S. GOVERNMENT & AGENCIES -- 0.1%
United States Treasury Bills 5.96% due 10/19/00 ...... $ 10,000 9,970
------------
TOTAL SHORT-TERM SECURITIES (cost $396,491) .......... 396,491
------------
<CAPTION>
REPURCHASE AGREEMENT -- 0.2%
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REPURCHASE AGREEMENT -- 0.2%
State Street Bank & Trust Co. Joint Repurchase
Agreement (Note 3)
(cost $37,000) ...................................... 37,000 37,000
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $15,614,320) 99.0% 18,246,622
Other assets less liabilities -- 1.0 192,695
------ ------------
NET ASSETS -- 100.0% $ 18,439,317
====== ============
</TABLE>
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+ Non-income producing securities
(1) Security represents an investment in an affiliated company; see Note 7
ADR -- American Depository Receipt
See Notes to Financial Statements
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SEASONS SERIES TRUST
LARGE CAP
VALUE PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 97.9%
SHARES VALUE
<S> <C> <C>
------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 4.4%
APPAREL & TEXTILES -- 0.1%
Liz Claiborne, Inc. .................................. 50 $ 1,925
Nike, Inc., Class B .................................. 274 10,977
V.F. Corp. ........................................... 147 3,629
AUTOMOTIVE -- 1.3%
AutoZone, Inc.+ ...................................... 158 3,585
B.F. Goodrich Co. .................................... 100 3,919
Dana Corp. ........................................... 665 14,297
Delphi Automotive Systems Corp. ...................... 557 8,425
Ford Motor Co. ....................................... 3,598 91,074
General Motors Corp. ................................. 823 53,495
Genuine Parts Co. .................................... 2,000 38,125
Goodyear Tire & Rubber Co. ........................... 153 2,754
Navistar International Corp.+ ........................ 72 2,156
PACCAR, Inc. ......................................... 84 3,113
Ryder System, Inc. ................................... 80 1,475
TRW, Inc. ............................................ 119 4,834
Visteon Corp. ........................................ 151 2,284
HOUSING -- 0.4%
Black & Decker Corp. ................................. 81 2,769
Centex Corp. ......................................... 37 1,189
Grainger (W. W.), Inc. ............................... 100 2,631
Kaufman & Broad Home Corp. ........................... 16 431
Leggett & Platt, Inc. ................................ 200 3,163
Lowe's Cos., Inc. .................................... 374 16,783
Masco Corp. .......................................... 478 8,903
Maytag Corp. ......................................... 78 2,423
Springs Industries, Inc., Class A .................... 33 930
Stanley Works ........................................ 1,700 39,206
Whirlpool Corp. ...................................... 78 3,032
RETAIL -- 2.6%
Albertson's, Inc. .................................... 1,123 23,583
Circuit City Stores, Inc. ............................ 200 4,600
Consolidated Stores Corp.+ ........................... 100 1,350
Costco Wholesale Corp.+ .............................. 432 15,093
CVS Corp. ............................................ 384 17,784
Dillards, Inc., Class A .............................. 100 1,063
Dollar General Corp. ................................. 352 5,896
Family Dollars Stores, Inc. .......................... 3,400 65,450
Federated Department Stores, Inc.+ ................... 200 5,225
J.C. Penny Co., Inc. ................................. 1,255 14,825
Kmart Corp.+ ......................................... 500 3,000
Kroger Co.+ .......................................... 814 18,366
</TABLE>
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SHARES VALUE
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CONSUMER DISCRETIONARY (CONTINUED)
RETAIL (CONTINUED)
Limited, Inc. ........................................ 398 $ 8,781
May Department Stores Co. ............................ 4,514 92,537
Nordstrom, Inc. ...................................... 164 2,552
Office Depot, Inc.+ .................................. 323 2,523
Safeway, Inc.+ ....................................... 492 22,970
Sears, Roebuck & Co. ................................. 343 11,120
Staples, Inc.+ ....................................... 448 6,356
Starbucks Corp.+ ..................................... 180 7,211
Target Corp. ......................................... 2,792 71,545
Tiffany & Co. ........................................ 140 5,399
TJX Cos., Inc. ....................................... 287 6,457
Toys 'R' Us, Inc.+ ................................... 3,840 62,400
Winn-Dixie Stores, Inc. .............................. 162 2,329
------------
805,942
------------
CONSUMER STAPLES -- 8.7%
FOOD, BEVERAGE & TOBACCO -- 4.7%
Adolph Coors Co., Class B ............................ 47 2,970
Anheuser-Busch Cos., Inc. ............................ 500 21,156
Archer-Daniels-Midland Co. ........................... 628 5,416
Brown-Forman Corp., Class B .......................... 947 51,848
Campbell Soup Co. .................................... 1,400 36,225
Coca-Cola Enterprises, Inc. .......................... 428 6,821
ConAgra Foods, Inc. .................................. 495 9,931
Corn Products International, Inc. .................... 1,600 36,400
Fortune Brands, Inc. ................................. 1,587 42,056
General Mills, Inc. .................................. 2,000 71,000
Heinz (H.J.) Co. ..................................... 1,700 63,006
Hershey Foods Corp. .................................. 1,827 98,886
Kellogg Co. .......................................... 600 14,513
McCormick & Co., Inc. ................................ 1,600 47,600
Nabisco Group Holdings Corp. ......................... 340 9,690
Philip Morris Cos., Inc. ............................. 6,521 191,962
Ralston Purina Group ................................. 310 7,343
SUPERVALU, Inc. ...................................... 100 1,506
Universal Corp. ...................................... 2,800 82,250
UST, Inc. ............................................ 2,200 50,325
HOUSEHOLD PRODUCTS -- 4.0%
Clorox Co. ........................................... 246 9,732
Fort James Corp. ..................................... 2,813 85,972
Gillette Co. ......................................... 2,100 64,838
International Flavors & Fragrances, Inc. ............. 1,926 35,150
Kimberly-Clark Corp. ................................. 6,430 358,875
Newell Rubbermaid, Inc. .............................. 260 5,931
Procter & Gamble Co. ................................. 2,190 146,730
Tupperware Corp. ..................................... 300 5,400
Unilever NV .......................................... 565 27,261
------------
1,590,793
------------
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SHARES VALUE
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ENERGY -- 12.5%
ENERGY SERVICES -- 1.6%
Baker Hughes, Inc. ................................... 1,226 $ 45,515
Halliburton Co. ...................................... 442 21,631
Rowan Cos., Inc.+ .................................... 105 3,045
Schlumberger Ltd. .................................... 561 46,177
Transocean Sedco Forex, Inc. ......................... 211 12,370
USX-Marathon Group, Inc. ............................. 5,600 158,900
ENERGY SOURCES -- 10.9%
Amerada Hess Corp. ................................... 789 52,814
Anadarko Petroleum Corp. ............................. 255 16,947
Apache Corp. ......................................... 108 6,386
BP Amoco PLC ADR ..................................... 2,504 132,712
Burlington Resources, Inc. ........................... 2,500 92,031
Chevron Corp. ........................................ 1,742 148,505
Conoco, Inc., Class B ................................ 612 16,486
Devon Energy Corp. ................................... 128 7,699
Enron Corp. .......................................... 739 64,755
Exxon Mobil Corp. .................................... 7,322 652,573
Kerr-McGee Corp. ..................................... 107 7,089
Occidental Petroleum Corp. ........................... 379 8,267
Phillips Petroleum Co. ............................... 273 17,131
Royal Dutch Petroleum Co. NY Shares .................. 3,401 203,847
Shell Transport & Trading Co. ADR .................... 2,400 117,450
Sunoco, Inc. ......................................... 88 2,371
Texaco, Inc. ......................................... 3,240 170,100
Tosco Corp. .......................................... 155 4,834
TXU Corp. ............................................ 261 10,342
Unocal Corp. ......................................... 7,146 253,236
------------
2,273,213
------------
FINANCE -- 27.1%
BANKS -- 6.2%
AmSouth Bancorp. ..................................... 350 4,375
Bank of America Corp. ................................ 3,718 194,730
Bank of New York Co., Inc. ........................... 737 41,318
Bank One Corp. ....................................... 3,329 128,583
BB&T Corp. ........................................... 349 10,514
Charter One Financial, Inc. .......................... 221 5,375
Chase Manhattan Corp. ................................ 3,823 176,575
Comerica, Inc. ....................................... 159 9,292
Fifth Third Bancorp. ................................. 450 24,244
First Union Corp. .................................... 967 31,125
Firstar Corp. ........................................ 2,059 46,070
Golden West Financial Corp. .......................... 159 8,526
Huntington Bancshares, Inc. .......................... 253 3,716
KeyCorp. ............................................. 438 11,087
Mercantile Bankshares Corp. .......................... 1,200 43,556
National City Corp. .................................. 8,804 194,788
Northern Trust Corp. ................................. 232 20,619
Old Kent Financial Corp. ............................. 104 3,010
PNC Financial Services Group ......................... 304 19,760
</TABLE>
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SHARES VALUE
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FINANCE (CONTINUED)
BANKS (CONTINUED)
Regions Financial Corp. .............................. 200 $ 4,537
SouthTrust Corp. ..................................... 198 6,225
State Street Corp. ................................... 157 20,410
Summit Bancorp ....................................... 183 6,313
SunTrust Banks, Inc. ................................. 302 15,043
Synovus Financial Corp. .............................. 291 6,166
U.S. Bancorp ......................................... 712 16,198
Union Planters Corp. ................................. 134 4,430
Wachovia Corp. ....................................... 1,200 68,025
FINANCIAL SERVICES -- 13.7%
American Express Co. ................................. 1,310 79,582
American General Corp. ............................... 2,959 230,802
Associates First Capital Corp., Class A .............. 6,129 232,902
Bear Stearns Cos., Inc. .............................. 108 6,804
C.I.T. Group, Inc., Class A .......................... 259 4,533
Capital One Financial Corp. .......................... 185 12,962
Citigroup, Inc. ...................................... 9,806 530,137
Countrywide Credit Industries, Inc. .................. 100 3,775
Dow Jones & Co., Inc. ................................ 400 24,200
Dun & Bradstreet Corp. ............................... 1,300 44,769
Fannie Mae ........................................... 2,290 163,735
Fleet Boston Financial Corp. ......................... 3,298 128,622
Freddie Mac .......................................... 687 37,141
H&R Block, Inc. ...................................... 916 33,949
Heller Financial, Inc. ............................... 1,100 31,419
Household International, Inc. ........................ 460 26,047
J.P. Morgan & Co., Inc. .............................. 1,007 164,519
Lehman Brothers Holdings, Inc. ....................... 122 18,025
MBNA Corp. ........................................... 839 32,301
Mellon Financial Corp. ............................... 3,887 180,260
Merrill Lynch & Co. .................................. 777 51,282
Morgan Stanley, Dean Witter & Co. .................... 1,106 101,130
Paine Webber Group, Inc. ............................. 135 9,197
T.Rowe Price Associates, Inc. ........................ 136 6,383
Washington Mutual, Inc. .............................. 5,131 204,278
Wells Fargo & Co. .................................... 2,893 132,897
INSURANCE -- 7.2%
ACE Ltd. ............................................. 3,200 125,600
Aetna, Inc. .......................................... 130 7,548
AFLAC, Inc. .......................................... 266 17,041
Allstate Corp. ....................................... 723 25,124
American International Group, Inc.(1) ................ 2,263 216,541
Aon Corp. ............................................ 250 9,813
Chubb Corp. .......................................... 1,873 148,201
CIGNA Corp. .......................................... 1,062 110,873
Cincinnati Financial Corp. ........................... 160 5,680
Cinergy Corp. ........................................ 114 3,769
Conseco, Inc. ........................................ 300 2,288
Franklin Resources, Inc. ............................. 238 10,574
Hartford Financial Services Group, Inc. .............. 208 15,171
</TABLE>
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SHARES VALUE
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FINANCE (CONTINUED)
INSURANCE (CONTINUED)
Jefferson-Pilot Corp. ................................ 110 $ 7,466
Lincoln National Corp. ............................... 1,100 52,938
Loews Corp. .......................................... 103 8,588
Marsh & McLennan Cos. ................................ 1,467 194,744
MBIA, Inc. ........................................... 1,899 135,066
MGIC Investment Corp. ................................ 107 6,540
Progressive Corp. .................................... 70 5,731
SAFECO Corp. ......................................... 1,628 44,363
St. Paul Cos., Inc. .................................. 1,826 90,045
Torchmark Corp. ...................................... 100 2,781
UnumProvident Corp. .................................. 2,635 71,804
------------
4,934,550
------------
HEALTHCARE -- 5.4%
DRUGS -- 2.2%
Abbott Laboratories, Inc. ............................ 1,300 61,831
American Home Products Corp. ......................... 1,800 101,812
Bristol-Myers Squibb Co. ............................. 400 22,850
Merck & Co., Inc. .................................... 500 37,219
Pharmacia Corp. ...................................... 2,832 170,451
Watson Pharmaceuticals, Inc.+ ........................ 100 6,488
HEALTH SERVICES -- 1.8%
HCA Healthcare Co. ................................... 552 20,493
HEALTHSOUTH Corp.+ ................................... 400 3,250
Humana, Inc.+ ........................................ 200 2,150
Manor Care, Inc.+ .................................... 100 1,569
Quintiles Transnational Corp.+ ....................... 100 1,594
Tenet Healthcare Corp. ............................... 2,417 87,918
UnitedHealth Group, Inc. ............................. 162 15,997
Wellpoint Health Networks, Inc.+ ..................... 2,155 206,880
MEDICAL PRODUCTS -- 1.4%
Bausch & Lomb, Inc. .................................. 60 2,336
Baxter International, Inc. ........................... 1,975 157,630
Becton Dickinson & Co. ............................... 1,324 35,003
Biomet, Inc. ......................................... 196 6,860
Boston Scientific Corp.+ ............................. 422 6,937
C.R. Bard, Inc. ...................................... 35 1,479
Cardinal Health, Inc. ................................ 275 24,252
Mallinckrodt, Inc. ................................... 80 3,650
McKesson HBOC, Inc. .................................. 280 8,557
St. Jude Medical, Inc.+ .............................. 96 4,896
------------
992,102
------------
INDUSTRIAL & COMMERCIAL -- 9.0%
AEROSPACE & MILITARY TECHNOLOGY -- 1.6%
Boeing Co. ........................................... 891 56,133
General Dynamics Corp. ............................... 200 12,562
ITT Industries, Inc. ................................. 100 3,244
</TABLE>
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SHARES VALUE
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INDUSTRIAL & COMMERCIAL (CONTINUED)
AEROSPACE & MILITARY TECHNOLOGY (CONTINUED)
Lockheed Martin Corp. ................................ 3,400 $ 112,064
Northrop Grumman Corp. ............................... 66 5,998
Raytheon Co., Class B ................................ 332 9,441
Rockwell International Corp. ......................... 1,983 59,986
United Technologies Corp. ............................ 462 31,993
BUSINESS SERVICES -- 2.7%
Allied Waste Industries, Inc.+ ....................... 200 1,837
Cendant Corp.+ ....................................... 696 7,569
Deluxe Corp. ......................................... 100 2,031
Donnelley (R.R.) & Sons Co. .......................... 1,500 36,844
Ecolab, Inc. ......................................... 108 3,895
Electronic Data Systems Corp. ........................ 2,957 122,715
Fedex Corp.+ ......................................... 287 12,726
First Data Corp. ..................................... 3,614 141,172
Pall Corp. ........................................... 2,500 49,844
Solectron Corp.+ ..................................... 590 27,214
Waste Management, Inc. ............................... 4,912 85,653
ELECTRICAL EQUIPMENT -- 0.8%
Dover Corp.+ ......................................... 200 9,388
Emerson Electric Co. ................................. 1,322 88,574
Hubbell, Inc., Class B ............................... 1,400 35,087
Johnson Controls, Inc. ............................... 91 4,840
Xcel Energy, Inc. .................................... 288 7,920
MACHINERY -- 0.6%
Caterpillar, Inc. .................................... 341 11,509
Cooper Industries, Inc. .............................. 1,699 59,890
Cummins Engine Co., Inc. ............................. 49 1,467
Danaher Corp. ........................................ 150 7,462
Deere & Co. .......................................... 243 8,080
Illinois Tool Works, Inc. ............................ 294 16,427
Ingersoll-Rand Co. ................................... 161 5,454
Parker-Hannifin Corp. ................................ 100 3,375
Snap-on, Inc. ........................................ 78 1,838
MULTI-INDUSTRY -- 2.1%
Crane Co. ............................................ 82 1,876
Honeywell International, Inc. ........................ 808 28,785
Minnesota Mining & Manufacturing Co. ................. 1,893 172,500
Sara Lee Corp.+ ...................................... 3,700 75,156
Textron, Inc. ........................................ 152 7,011
Tyco International Ltd.@ ............................. 1,660 86,112
TRANSPORTATION -- 1.2%
AMR Corp.+ ........................................... 145 4,740
Burlington Northern Santa Fe Corp. ................... 452 9,746
Canadian National Railway Corp. ...................... 900 26,381
CSX Corp. ............................................ 200 4,363
Norfolk Southern Corp. ............................... 7,200 105,300
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
TRANSPORTATION (CONTINUED)
Union Pacific Corp. .................................. 1,927 $ 74,912
------------
1,641,114
------------
INFORMATION & ENTERTAINMENT -- 6.8%
BROADCASTING & MEDIA -- 4.9%
Clear Channel Communications, Inc.+ .................. 631 35,651
Comcast Corp., Class A+ .............................. 2,500 101,719
Comcast Corp., Class A+ .............................. 890 36,434
Gannett Co. .......................................... 867 45,951
Harcourt General, Inc. ............................... 70 4,130
Knight Ridder, Inc. .................................. 1,079 54,827
McGraw-Hill Cos., Inc. ............................... 206 13,094
Meredith Corp. ....................................... 30 885
New York Times Co., Class A .......................... 189 7,430
Reader's Digest Association, Inc., Class A ........... 800 28,250
Seagram Co., Ltd. .................................... 429 24,641
The Walt Disney Co. .................................. 3,757 143,705
Tribune Co. .......................................... 289 12,608
Verizon Communications ............................... 7,803 377,958
ENTERTAINMENT PRODUCTS -- 0.8%
Brunswick Corp. ...................................... 1,198 21,864
Eastman Kodak Co. .................................... 1,900 77,662
Hasbro, Inc. ......................................... 2,981 34,095
Mattel, Inc. ......................................... 400 4,475
Polaroid Corp. ....................................... 55 739
LEISURE & TOURISM -- 1.1%
Carnival Corp. ....................................... 581 14,307
Darden Restaurants, Inc. ............................. 100 2,081
Delta Air Lines, Inc. ................................ 126 5,591
Harrah's Entertainment, Inc.+ ........................ 100 2,750
Hilton Hotels Corp. .................................. 3,599 41,613
Marriott International, Inc., Class A ................ 271 9,875
McDonald's Corp. ..................................... 1,806 54,519
Sabre Holdings Corp. ................................. 113 3,270
Southwest Airlines Co. ............................... 500 12,125
Starwood Hotels & Resorts Worldwide, Inc. ............ 2,000 62,500
Wendy's International, Inc. .......................... 110 2,207
------------
1,236,956
------------
INFORMATION TECHNOLOGY -- 6.1%
COMMUNICATION EQUIPMENT -- 0.2%
Cabletron Systems, Inc.+ ............................. 192 5,640
Lucent Technologies, Inc. ............................ 1,100 33,619
COMPUTER SERVICES -- 0.5%
Autodesk, Inc. ....................................... 73 1,852
Ceridian Corp.+ ...................................... 126 3,536
Compuware Corp.+ ..................................... 308 2,579
Unisys Corp.+ ........................................ 7,427 83,554
</TABLE>
----------------
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<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
COMPUTERS & BUSINESS EQUIPMENT -- 2.5%
Adaptec, Inc.+ ....................................... 109 $ 2,180
Apple Computer, Inc.+ ................................ 316 8,137
Compaq Computer Corp. ................................ 2,763 76,204
Computer Sciences Corp.+ ............................. 165 12,251
Gateway, Inc.+ ....................................... 318 14,867
Hewlett-Packard Co. .................................. 2,478 240,366
Lexmark International, Inc.+ ......................... 1,000 37,500
NCR Corp.+ ........................................... 94 3,554
Pitney Bowes, Inc. ................................... 271 10,688
Seagate Technology, Inc.+ ............................ 223 15,387
Xerox Corp. .......................................... 2,358 35,517
COMPUTER SOFTWARE -- 0.7%
BMC Software, Inc.+ .................................. 4,340 83,002
Microsoft Corp.+ ..................................... 600 36,188
Novell, Inc.+ ........................................ 347 3,448
Parametric Technology Corp.+ ......................... 263 2,877
PeopleSoft, Inc.+ .................................... 270 7,543
ELECTRONICS -- 0.9%
Advanced Micro Devices, Inc.+ ........................ 300 7,088
Eaton Corp. .......................................... 564 34,756
KLA-Tencor Corp.+ .................................... 190 7,826
Molex, Inc. .......................................... 197 10,724
National Semiconductor Corp.+ ........................ 172 6,923
Novellus Systems, Inc.+ .............................. 136 6,333
PerkinElmer, Inc. .................................... 48 5,010
Sanmina Corp.+ ....................................... 148 13,856
Tektronix, Inc. ...................................... 41 3,149
Teradyne, Inc.+ ...................................... 1,500 52,500
Thermo Electron Corp.+ ............................... 192 4,992
TELECOMMUNICATIONS -- 1.3%
Andrew Corp.+ ........................................ 95 2,488
Cox Communications, Inc., Class A+ ................... 2,900 110,925
Global Crossing Ltd.+ ................................ 868 26,908
Motorola, Inc. ....................................... 3,129 88,394
------------
1,102,361
------------
MATERIALS -- 5.2%
CHEMICALS -- 2.8%
Air Products & Chemicals, Inc. ....................... 1,943 69,948
Ashland, Inc. ........................................ 2,889 97,323
Dow Chemical Co. ..................................... 1,851 46,159
du Pont (E.I.) de Nemours & Co. ...................... 2,727 113,000
Eastman Chemical Co. ................................. 90 3,324
Engelhard Corp. ...................................... 3,430 55,738
FMC Corp.+ ........................................... 18 1,207
Great Lakes Chemical Corp. ........................... 1,336 39,162
Hercules, Inc. ....................................... 2,271 32,078
PPG Industries, Inc. ................................. 694 27,543
Praxair, Inc. ........................................ 156 5,831
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS (CONTINUED)
CHEMICALS (CONTINUED)
Rohm & Haas Co. ...................................... 215 $ 6,248
Sherwin-Williams Co. ................................. 192 4,104
Sigma-Aldrich Corp. .................................. 85 2,805
Union Carbide Corp. .................................. 116 4,379
FOREST PRODUCTS -- 0.8%
Bemis Co. ............................................ 30 964
Boise Cascade Corp. .................................. 37 983
Georgia-Pacific Corp. (Timber Group) ................. 700 18,812
Georgia-Pacific Group ................................ 168 3,948
International Paper Co. .............................. 2,664 76,423
Louisiana-Pacific Corp. .............................. 137 1,259
Mead Corp. ........................................... 100 2,337
Owens-Illinois, Inc.+ ................................ 166 1,536
Pactiv Corp.+ ........................................ 200 2,238
Temple-Inland, Inc. .................................. 60 2,272
Westvaco Corp. ....................................... 113 3,016
Weyerhaeuser Co. ..................................... 622 25,113
Willamette Industries, Inc. .......................... 100 2,800
METALS & MINERALS -- 1.6%
Alcan Aluminium Ltd. ................................. 234 6,771
Alcoa, Inc. .......................................... 8,453 213,967
Allegheny Technologies, Inc. ......................... 100 1,812
Armstrong Holdings, Inc. ............................. 800 9,550
Barrick Gold Corp. ................................... 390 5,947
Bethlehem Steel Corp.+ ............................... 200 600
Crown, Cork & Seal Co., Inc. ......................... 173 1,849
Fluor Corp. .......................................... 100 3,000
Homestake Mining Co. ................................. 200 1,038
Inco Ltd.+ ........................................... 200 3,225
Newmont Mining Corp. ................................. 964 16,388
Nucor Corp. .......................................... 67 2,018
Phelps Dodge Corp. ................................... 661 27,597
Placer Dome, Inc. .................................... 319 3,011
USX-US Steel Group, Inc. ............................. 117 1,777
Vulcan Materials Co. ................................. 100 4,019
------------
953,119
------------
REAL ESTATE -- 0.4%
REAL ESTATE INVESTMENT TRUSTS -- 0.4%
Rouse Co. ............................................ 1,400 34,912
Simon Property Group, Inc. ........................... 1,700 39,844
------------
74,756
------------
UTILITIES -- 12.3%
ELECTRIC UTILITIES -- 5.0%
AES Corp.+ ........................................... 438 30,003
Ameren Corp. ......................................... 100 4,188
American Electric Power Co., Inc. .................... 320 12,520
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
ELECTRIC UTILITIES (CONTINUED)
CMS Energy Corp. ..................................... 135 $ 3,637
Consolidated Edison, Inc. ............................ 200 6,825
Constellation Energy Group ........................... 119 5,920
CP&L Energy, Inc. .................................... 122 5,086
Dominion Resources, Inc.+ ............................ 238 13,819
DTE Energy Co. ....................................... 140 5,355
Duke Energy Corp. .................................... 1,258 107,873
Edison International ................................. 300 5,794
Entergy Corp. ........................................ 242 9,015
FirstEnergy Corp. .................................... 1,530 41,214
Florida Progress Corp. ............................... 100 5,294
FPL Group, Inc. ...................................... 676 44,447
GPU, Inc. ............................................ 121 3,925
Niagara Mohawk Holdings, Inc.+ ....................... 1,500 23,625
Pacific Gas & Electric Corp. ......................... 376 9,094
PECO Energy Co. ...................................... 882 53,416
Pinnacle West Capital Corp. .......................... 2,300 117,012
PPL Corp. ............................................ 140 5,845
Public Service Enterprise Group, Inc. ................ 250 11,172
Reliant Energy, Inc. ................................. 1,311 60,961
SCANA Corp. .......................................... 2,000 61,750
Sempra Energy ........................................ 255 5,307
Southern Co. ......................................... 5,339 173,184
Unicom Corp. ......................................... 1,500 84,281
GAS & PIPELINE UTILITIES -- 0.6%
Coastal Corp. ........................................ 200 14,825
Columbia Energy Group ................................ 96 6,816
Eastern Enterprises .................................. 27 1,723
El Paso Energy Corp. ................................. 235 14,482
KeySpan Corp. ........................................ 159 6,380
National Fuel Gas Co. ................................ 800 44,850
Williams Cos., Inc. .................................. 428 18,083
TELEPHONE -- 6.7%
ALLTEL Corp. ......................................... 1,606 83,813
AT&T Corp. ........................................... 13,120 385,400
BellSouth Corp. ...................................... 2,960 119,140
CenturyTel, Inc. ..................................... 145 3,951
SBC Communications, Inc. ............................. 6,048 302,400
Sprint Corp. ......................................... 3,492 102,359
WorldCom, Inc.+ ...................................... 7,500 227,813
------------
2,242,597
------------
TOTAL INVESTMENT SECURITIES (cost $17,422,827) ....... 17,847,503
------------
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
SHARES/
SHORT-TERM SECURITIES -- 1.5% PRINCIPAL
AMOUNT VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 1.4%
T. Rowe Price Reserve Investment Fund ................ 255,536 $ 255,536
------------
U.S. GOVERNMENT & AGENCIES -- 0.1%
United States Treasury Bills 6.00% due 10/19/00@ ..... $ 10,000 9,970
------------
TOTAL SHORT-TERM SECURITIES (cost $265,506) .......... 265,506
------------
<CAPTION>
REPURCHASE AGREEMENT -- 0.0%
------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 0.0%
Paribas Corp. Joint Repurchase Agreement Account
(Note 3) (cost $5,000) .............................. 5,000 5,000
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $17,693,333) 99.4% 18,118,009
Other assets less liabilities -- 0.6 115,348
------- ------------
NET ASSETS -- 100.0% $ 18,233,357
======= ============
</TABLE>
-------------
+ Non-income producing securities
(1) Security represents an investment in an affiliated company; see Note 7
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
<C> <S> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------------------------
<CAPTION>
NUMBER OF VALUE AT VALUE AS OF UNREALIZED
CONTRACTS DESCRIPTION EXPIRATION DATE TRADE DATE SEPTEMBER 30, 2000 DEPRECIATION
------------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C> <C>
1 Long Standard & Poors 500 Index December 2000 $72,685 $75,455 $(2,770)
=======
</TABLE>
See Notes to Financial Statements
----------------
120
<PAGE>
----------------
SEASONS SERIES TRUST
MID CAP GROWTH PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 98.7%
SHARES VALUE
<S> <C> <C>
----------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 7.4%
APPAREL & TEXTILES -- 0.5%
Cintas Corp. ........................... 2,310 $ 100,629
Intimate Brands, Inc., Class A ......... 576 10,764
Jones Apparel Group, Inc.+ ............. 228 6,042
Nike, Inc., Class B .................... 13 521
Quiksilver, Inc.+ ...................... 750 14,438
AUTOMOTIVE -- 1.1%
AutoNation, Inc.+ ...................... 965 5,790
Donaldson Co., Inc. .................... 700 15,400
General Motors Corp., Class H+ ......... 3,000 111,540
Harley-Davidson, Inc.+ ................. 3,416 163,541
HOUSING -- 0.3
HON INDUSTRIES, Inc. ................... 700 17,238......
Lennar Corp. ........................... 700 20,781
Williams-Sonoma, Inc.+ ................. 1,229 42,708
RETAIL -- 5.5
7 Eleven, Inc.+ ........................ 56 714
Bed Bath & Beyond, Inc.+ ............... 9,163 223,491
BJ's Wholesale Club, Inc.+ ............. 900 30,713
Circuit City Stores, Inc. .............. 1,012 23,276
Consolidated Stores Corp.+ ............. 335 4,523
CVS Corp. .............................. 500 23,156
Dollar General Corp. ................... 6,986 117,015
Dollar Tree Stores, Inc.+ .............. 3,708 150,385
Duane Reade, Inc.+ ..................... 600 14,550
Family Dollars Stores, Inc. ............ 2,266 43,621
Kohl's Corp.+ .......................... 400 23,075
Lands' End, Inc.+ ...................... 1,000 21,000
Limited, Inc. .......................... 383 8,450
MSC Industrial Direct Co., Inc., Class
A+ ................................... 90 1,373
Office Depot, Inc.+ .................... 186 1,453
Radioshack Corp. ....................... 4,172 269,615
Ross Stores, Inc. ...................... 1,900 27,313
Staples, Inc.+ ......................... 3,007 42,662
Starbucks Corp.+ ....................... 2,422 97,031
Target Corp. ........................... 7,500 192,187
The Men's Wearhouse, Inc.+ ............. 600 16,988
Tiffany & Co. .......................... 2,664 102,730
TJX Cos., Inc. ......................... 2,749 61,852
Webvan Group, Inc.+ .................... 551 1,274
Zale Corp.+ ............................ 600 19,463
------------
2,027,302
------------
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES -- 0.8%
FOOD, BEVERAGE & TOBACCO -- 0.7%
Coca-Cola Enterprises, Inc. ............ 654 $ 10,423
General Mills, Inc. .................... 1,001 35,536
Kellogg Co. ............................ 568 13,739
Pepsi Bottling Group, Inc. ............. 336 10,101
Quaker Oats Co. ........................ 433 34,261
RF Micro Devices, Inc.+ ................ 1,264 39,658
Tootsie Roll Industries, Inc. .......... 836 32,813
UST, Inc. .............................. 405 9,264
HOUSEHOLD PRODUCTS -- 0.1%
Estee Lauder Cos., Inc., Class A ....... 639 23,403
Rayovac Corp.+ ......................... 1,200 20,550
------------
229,748
------------
ENERGY -- 3.6%
ENERGY SERVICES -- 1.8%
Baker Hughes, Inc. ..................... 812 30,146
BJ Services Co.+ ....................... 1,514 92,543
ENSCO International, Inc. .............. 304 11,628
Global Marine, Inc.+ ................... 502 15,499
Grant Prideco, Inc.+ ................... 45 987
Hanover Compressor Co.+ ................ 316 10,408
Marine Drilling Cos., Inc.+ ............ 218 6,227
Nabors Industries, Inc.+ ............... 710 37,204
R&B Falcon Corp.+ ...................... 5,184 144,504
Rowan Cos., Inc.+ ...................... 392 11,368
Smith International, Inc.+ ............. 1,083 88,332
Tidewater, Inc. ........................ 126 5,733
Weatherford International, Inc.+ ....... 752 32,336
ENERGY SOURCES -- 1.8%
Anadarko Petroleum Corp. ............... 450 29,907
Apache Corp. ........................... 817 48,305
Devon Energy Corp. ..................... 602 36,210
Diamond Offshore Drilling, Inc. ........ 101 4,141
EOG Resources, Inc. .................... 474 18,427
Helmerich & Payne, Inc. ................ 34 1,228
Murphy Oil Corp. ....................... 136 8,814
Newfield Exploration Co.+ .............. 193 9,011
Noble Drilling Corp.+ .................. 2,919 146,680
Proton Energy Systems, Inc.+ ........... 100 2,863
Unocal Corp. ........................... 5,100 180,731
------------
973,232
------------
FINANCE -- 7.2%
BANKS -- 0.6%
City National Corp. .................... 700 27,037
Community First Bankshares, Inc. ....... 1,000 17,562
Northern Trust Corp. ................... 800 71,100
State Street Corp. ..................... 400 52,000
</TABLE>
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<PAGE>
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<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
BANKS (CONTINUED)
Synovus Financial Corp. ................ 243 $ 5,149
FINANCIAL SERVICES -- 5.4
Ambac Financial Group, Inc. ............ 800 58,600
Ameritrade Holding Corp.+ .............. 479 8,502
Amvescap PLC ADR ....................... 500 55,437
Bear Stearns Cos., Inc. ................ 1,300 81,900
Capital One Financial Corp. ............ 1,546 108,317
Charles Schwab Corp. ................... 2,570 91,235
Concord EFS, Inc.+ ..................... 2,681 95,217
Crown Castle International Corp. (1) ... 5,800 180,162
Dow Jones & Co., Inc. .................. 142 8,591
E*TRADE Group, Inc.+ ................... 1,174 19,298
Eaton Vance Corp. ...................... 700 35,700
Federated Investors, Inc., Class B+ .... 2,527 62,543
H&R Block, Inc. ........................ 23 852
Investment Technology Group, Inc.+ ..... 838 33,468
Investors Financial Services Corp. ..... 1,000 63,125
Knight Trading Group, Inc. ............. 605 21,780
Legg Mason, Inc. ....................... 800 46,500
NOVA Corp.+ ............................ 285 4,881
Providian Financial Corp. .............. 1,334 169,418
Raymond James Financial, Inc. .......... 900 29,644
Security Capital Group, Inc., Class
B+ ................................... 2,100 39,769
SEI Investments Co. .................... 1,357 96,008
Stilwell Financial, Inc. ............... 1,728 75,168
T.Rowe Price Associates, Inc. .......... 311 14,597
TD Waterhouse Group, Inc. .............. 99 1,844
USA Education, Inc. .................... 276 13,300
Waddell & Reed Financial, Inc., Class
A .................................... 1,836 56,916
INSURANCE -- 1.2%
ChoicePoint, Inc.+ ..................... 830 38,077
Equifax, Inc. .......................... 1,789 48,191
Franklin Resources, Inc. ............... 1,100 48,873
MBIA, Inc. ............................. 1,400 99,575
Mutual Risk Management Ltd. ............ 1,500 32,906
Radian Group, Inc. ..................... 600 40,500
XL Capital Ltd., Class A ............... 300 22,050
------------
1,975,792
------------
HEALTHCARE -- 15.1%
DRUGS -- 7.7%
Alkermes, Inc.+ ........................ 385 14,871
Allergan, Inc. ......................... 1,340 113,146
ALZA Corp.+ ............................ 543 46,970
Amgen, Inc.+ ........................... 300 20,948
Andrx Group ............................ 262 24,464
BioChem Pharma, Inc.+ .................. 700 15,356
Biogen, Inc.+ .......................... 1,393 84,973
Cephalon, Inc.+ ........................ 211 10,234
</TABLE>
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123
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
DRUGS (CONTINUED)
COR Therapeutics, Inc.+ ................ 366 $ 22,806
Elan Corp. PLC ADR+ .................... 600 32,850
Forest Laboratories, Inc.+ ............. 1,924 220,659
Gilead Sciences, Inc.+ ................. 1,738 190,637
Human Genome Sciences, Inc.+ ........... 1,299 224,889
ICOS Corp.+ ............................ 315 17,049
IDEC Pharmaceuticals Corp.+ ............ 631 110,652
ImClone Systems, Inc.+ ................. 226 26,456
Immunex Corp.+ ......................... 4,241 184,484
Incyte Pharmaceuticals, Inc.+ .......... 1,214 49,926
IVAX Corp.+ ............................ 988 45,448
King Pharmaceuticals, Inc.+ ............ 882 29,492
Medarex, Inc ........................... 263 30,853
Millennium Pharmaceuticals, Inc.+ ...... 1,400 204,487
Mylan Laboratories, Inc. ............... 105 2,828
Protein Design Labs, Inc.++ ............ 1,094 131,827
ResMed, Inc.+ .......................... 1,400 43,750
Sepracor, Inc.+ ........................ 392 48,094
Sequenom, Inc.+ ........................ 1,000 42,125
Shire Pharmaceuticals Group PLC ADR+ ... 600 30,975
Tanox, Inc.+ ........................... 43 1,457
Vertex Pharmaceuticals, Inc.+ .......... 396 33,462
Watson Pharmaceuticals, Inc.+ .......... 885 57,414
HEALTH SERVICES -- 2.9%
Chiron Corp.+ .......................... 476 21,420
Express Scripts, Inc., Class A+ ........ 1,081 78,102
First Health Group Corp.+ .............. 389 12,545
Health Management Associates, Inc.,
Class A+ ............................. 1,372 28,555
IMS Health, Inc. ....................... 15,939 330,734
Lincare Holdings, Inc.+ ................ 400 11,475
Oxford Health Plans, Inc.+ ............. 643 19,762
PacifiCare Health Systems, Inc.+ ....... 71 2,472
Quest Diagnostics, Inc.+ ............... 1,212 139,077
Quintiles Transnational Corp.+ ......... 359 5,722
Renal Care Group, Inc.+ ................ 500 9,313
Stryker Corp. .......................... 1,631 70,031
Sybron International Corp.+ ............ 1,900 45,600
UnitedHealth Group, Inc. ............... 96 9,480
Universal Health Services, Inc., Class
B+ ................................... 95 8,134
MEDICAL PRODUCTS -- 4.5%
Abgenix, Inc.+ ......................... 770 62,226
Affymetrix, Inc.+ ...................... 286 14,264
ArthroCare Corp.+ ...................... 800 15,550
Aurora Biosciences Corp.+ .............. 300 20,400
Bausch & Lomb, Inc. .................... 31 1,207
Beckman Coulter, Inc. .................. 39 3,008
Biomatrix, Inc.+ ....................... 900 15,750
Biomet, Inc. ........................... 1,531 53,585
Boston Scientific Corp.+ ............... 1,595 26,218
Cardinal Health, Inc. .................. 400 35,275
</TABLE>
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124
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
MEDICAL PRODUCTS (CONTINUED)
Celgene Corp.+ ......................... 389 $ 23,146
Cytyc Corp.+ ........................... 285 12,291
Dionex Corp.+ .......................... 400 11,050
Genzyme Corp.+ ......................... 2,832 193,107
Guidant Corp.+ ......................... 500 35,344
McKesson HBOC, Inc. .................... 251 7,671
MedImmune, Inc.+ ....................... 2,430 187,717
Medtronic, Inc. ........................ 524 27,150
MiniMed, Inc.+ ......................... 692 61,847
Patterson Dental Co.+ .................. 272 6,120
PE Corp-PE Biosystems Group ............ 2,116 246,514
PE Corp.-Celera Genomics Group+ ........ 740 73,722
QLT PhotoTherapeutics, Inc.+ ........... 400 28,350
St. Jude Medical, Inc.+ ................ 69 3,519
Techne Corp.+ .......................... 359 40,208
Wesley Jessen VisionCare, Inc.+ ........ 900 34,594
------------
4,145,837
------------
INDUSTRIAL & COMMERCIAL -- 10.0%
AEROSPACE & MILITARY TECHNOLOGY -- 0.7%
Embraer Aircraft Corp. ADR ............. 3,000 93,000
REMEC, Inc.+ ........................... 2,900 85,369
Titan Corp.+ ........................... 393 6,484
BUSINESS SERVICES -- 5.8%
Apollo Group, Inc., Class A+ ........... 1,679 66,950
Cendant Corp.+ ......................... 1,240 13,485
Convergys Corp.+ ....................... 78 3,032
CSG Systems International, Inc.+ ....... 405 11,745
DeVry, Inc.+ ........................... 2,110 79,389
Ecolab, Inc. ........................... 1,339 48,288
Electronics for Imaging, Inc.+ ......... 224 5,656
F.Y.I., Inc.+ .......................... 900 33,637
First Data Corp. ....................... 3,100 121,094
Fiserv, Inc.+ .......................... 645 38,619
Getty Images, Inc.+ .................... 97 2,952
Global Industries Ltd.+ ................ 97 1,213
Insituform Technologies, Inc., Class
A+ ................................... 1,000 33,625
Iron Mountain, Inc.+ ................... 4,395 162,615
ITT Educational Services, Inc.+ ........ 1,000 27,125
Manpower, Inc. ......................... 7,300 233,144
Paychex, Inc. .......................... 1,350 70,875
Quanta Services, Inc. + ................ 138 3,795
Republic Services, Inc., Class A+ ...... 704 9,240
Robert Half International, Inc.+ ....... 2,500 86,719
TeleTech Holdings, Inc.+ ............... 161 3,985
TMP Worldwide, Inc.+ ................... 848 68,264
Total System Services, Inc. ............ 211 3,547
Veritas DGC, Inc.+ ..................... 900 26,044
Viad Corp. ............................. 1,080 28,687
Waste Management, Inc. ................. 10,500 183,094
</TABLE>
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<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
BUSINESS SERVICES (CONTINUED)
Waters Corp.+ .......................... 2,516 $ 223,924
ELECTRICAL EQUIPMENT -- 1.0%
Credence Systems Corp.+ ................ 354 10,620
Gentex Corp.+ .......................... 481 12,025
Jabil Circuit, Inc.+ ................... 1,633 92,673
KEMET Corp.+ ........................... 528 14,586
Littelfuse, Inc.+ ...................... 900 26,719
Power-One, Inc.+ ....................... 354 21,422
Roper Industries, Inc. ................. 600 19,912
Technitrol, Inc. ....................... 700 70,700
MACHINERY -- 0.6%
Cognex Corp.+ .......................... 784 30,919
Cooper Cameron Corp.+ .................. 914 67,350
CUNO, Inc.+ ............................ 800 17,800
Danaher Corp. .......................... 482 23,980
IDEX Corp. ............................. 600 16,763
Lincoln Electric Holdings, Inc. ........ 500 6,656
Parker-Hannifin Corp. .................. 400 13,500
MULTI-INDUSTRY -- 0.9%
Avery Dennison Corp. ................... 435 20,173
Sara Lee Corp.+ ........................ 10,500 213,281
TRANSPORTATION -- 1.0%
Atlas Air, Inc.+ ....................... 4,000 169,000
C.H. Robinson Worldwide, Inc. .......... 867 48,864
EGL, Inc.+ ............................. 400 12,100
Expeditors International of Washington,
Inc. ................................. 1,306 58,852
Kansas City Southern Industries,
Inc. ................................. 232 2,015
------------
2,984,206
------------
INFORMATION & ENTERTAINMENT -- 9.2%
BROADCASTING & MEDIA -- 7.9%
ACNielsen Corp.+ ....................... 1,600 38,100
Acxiom Corp.+ .......................... 426 13,526
Aether Systems, Inc.+ .................. 156 16,458
AT&T Corp. -- Liberty Media Group, Class
A+ ................................... 7,100 127,800
Cablevision Systems Corp., Class A+ .... 333 22,082
Clear Channel Communications, Inc.+ .... 1,492 84,298
Cox Radio, Inc., Class A+ .............. 168 2,930
DoubleClick, Inc.+ ..................... 1,296 41,472
E.W. Scripps Co., Class A .............. 2,100 113,400
EchoStar Communications Corp., Class
A+ ................................... 6,000 316,500
Emmis Communications Corp., Class A+ ... 1,084 26,829
Entercom Communications Corp.+ ......... 700 20,956
Gemstar-TV Guide International,
Inc.+ ................................ 250 21,797
Harcourt General, Inc. ................. 400 23,600
Harmonic, Inc.+ ........................ 586 14,064
Harte-Hanks, Inc. ...................... 900 24,525
Havas Advertising SA ................... 417 6,095
</TABLE>
----------------
126
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<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
BROADCASTING & MEDIA (CONTINUED)
Hearst-Argyle Television, Inc. ......... 100 $ 2,000
Hispanic Broadcasting Corp.+ ........... 1,349 37,603
Infinity Broadcasting Corp., Class
A+ ................................... 1,625 53,625
Interpublic Group Cos., Inc. ........... 1,836 62,539
Lamar Advertising Co.+ ................. 807 30,565
Liberty Digital, Inc., Class A+ ........ 132 2,673
Macrovision Corp.+ ..................... 223 18,063
Meredith Corp. ......................... 800 23,600
Omnicom Group, Inc. .................... 300 21,881
Pegasus Communications Corp.+ .......... 96 4,638
Pinnacle Holdings, Inc.+ ............... 700 18,638
Polycom, Inc.+ ......................... 354 23,707
Powerwave Technologies, Inc.+ .......... 309 11,732
PrimaCom AG ADR+ ....................... 6,500 91,000
PRIMEDIA, Inc.+ ........................ 446 7,303
Radio One, Inc.+ ....................... 800 5,650
Radio One, Inc., Class A + ............. 400 3,325
Reader's Digest Association, Inc., Class
A .................................... 674 23,801
Regent Communications, Inc.+ ........... 2,900 16,131
Spectrasite Holdings, Inc.+ ............ 500 9,281
TeleCorp PCS, Inc.+ .................... 4,122 78,318
Tritel, Inc.+ .......................... 4,700 67,269
United States Cellular Corp. ........... 329 23,030
UnitedGlobalCom, Inc., Class A+ ........ 4,114 123,420
Univision Communications, Inc., Class
A+ ................................... 2,368 88,504
US Unwired, Inc. Class A+ .............. 7,000 66,719
USA Networks, Inc.+ .................... 10,139 222,424
Valassis Communications, Inc.+ ......... 1,262 28,080
Western Wireless Corp., Class A ........ 1,051 37,442
Westwood One, Inc.+ .................... 800 17,150
Wireless Facilities, Inc. .............. 114 6,576
Young & Rubicam, Inc. .................. 989 48,956
ENTERTAINMENT PRODUCTS -- 0.2%
Citadel Communications Corp.+ .......... 900 15,300
International Game Technology+ ......... 449 15,098
International Speedway Corp., Class
A .................................... 102 3,978
Mattel, Inc. ........................... 1,100 12,306
LEISURE & TOURISM -- 1.1%
Carnival Corp. ......................... 700 17,237
Marriott International, Inc., Class
A .................................... 107 3,899
Northwest Airlines Corp.+ .............. 126 3,095
Outback Steakhouse, Inc.+ .............. 110 2,984
Ryanair Holdings PLC ADR+ .............. 6,200 238,700
Sabre Holdings Corp. ................... 108 3,125
Six Flags, Inc.+ ....................... 265 4,107
Tricon Global Restaurants, Inc.+ ....... 355 10,872
US Airways Group, Inc. ................. 141 4,292
------------
2,286,368
------------
</TABLE>
----------------
127
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<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 41.6%
COMMUNICATION EQUIPMENT -- 5.0%
American Tower Corp., Class A+ ......... 6,805 $ 256,463
Cabletron Systems, Inc.+ ............... 474 13,924
DMC Stratex Networks, Inc.+ ............ 6,322 101,547
Emulex Corp.+ .......................... 273 33,443
Extreme Networks, Inc.+ ................ 332 38,014
Finisar Corp.+ ......................... 637 30,815
Foundry Networks, Inc.+ ................ 473 31,661
Global TeleSystems Group, Inc.+ ........ 1,567 7,149
Network Appliance, Inc.+ ............... 1,200 152,850
NorthPoint Communications Group,
Inc.+ ................................ 100 888
Palm, Inc.+ ............................ 7,517 397,931
Redback Networks, Inc.+ ................ 754 123,609
SDL, Inc.+ ............................. 200 61,600
Symbol Technologies, Inc. .............. 2,791 100,302
Tekelec, Inc.+ ......................... 344 11,309
Turnstone Systems, Inc.+ ............... 54 2,504
COMPUTER SERVICES -- 6.3%
Adobe Systems, Inc. .................... 500 77,625
Affiliated Computer Services, Inc.,
Class A+ ............................. 708 35,311
American Management Systems, Inc.+ ..... 228 3,919
At Home Corp., Series A+ ............... 761 10,749
Autodesk, Inc. ......................... 140 3,553
BARRA, Inc.+ ........................... 700 43,444
BEA Systems, Inc.+ ..................... 800 62,300
BISYS Group, Inc. + .................... 790 61,077
CDW Computer Centers, Inc.+ ............ 1,160 80,040
Ceridian Corp.+ ........................ 288 8,082
Check Point Software Technologies
Ltd.+ ................................ 1,000 157,500
Compuware Corp.+ ....................... 1,308 10,955
Cybear Group+ .......................... 39 51
CyberSource Corp.+ ..................... 800 9,050
DST Systems, Inc.+ ..................... 490 57,575
EarthLink, Inc.+ ....................... 274 2,500
Entrust Technologies, Inc.+ ............ 790 21,824
FactSet Research Systems, Inc. ......... 800 30,080
Internet Security Systems, Inc.+ ....... 600 45,075
Intuit, Inc.+ .......................... 1,740 99,180
Keane, Inc.+ ........................... 1,400 24,360
MarchFirst, Inc.+ ...................... 1,281 20,096
Network Associates, Inc.+ .............. 1,345 30,431
Rational Software Corp.+ ............... 5,742 398,351
Safeguard Scientifics, Inc.+ ........... 57 1,136
Sapient Corp.+ ......................... 532 21,646
SEMA Group PLC ADR+ .................... 243 7,806
SunGard Data Systems, Inc.+ ............ 1,003 42,941
Symantec Corp.+ ........................ 1,101 48,444
Synopsys, Inc.+ ........................ 662 25,073
Unisys Corp.+ .......................... 1,198 13,477
VeriSign, Inc.+ ........................ 975 197,498
Wind River Systems, Inc.+ .............. 1,516 72,673
</TABLE>
----------------
128
<PAGE>
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<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
COMPUTERS & BUSINESS EQUIPMENT -- 2.1%
Adaptec, Inc.+ ......................... 138 $ 2,760
Brocade Communications Systems,
Inc.+ ................................ 997 235,292
Cadence Design Systems, Inc.+ .......... 1,439 36,964
Diebold, Inc. .......................... 700 18,594
Echelon Corp.+ ......................... 146 4,289
EMC Corp.+ ............................. 400 39,650
Gateway, Inc.+ ......................... 400 18,700
Handspring, Inc.+ ...................... 1,300 89,781
Henry (Jack) & Associates, Inc. ........ 200 8,675
Ingram Micro, Inc., Class A+ ........... 120 1,650
Lexmark International, Inc.+ ........... 937 35,137
Miller (Herman), Inc. .................. 540 17,314
Millipore Corp. ........................ 326 15,791
NCR Corp.+ ............................. 139 5,256
RSA Security, Inc.+ .................... 167 7,202
SanDisk Corp.+ ......................... 351 23,429
Silicon Storage Technology, Inc.+ ...... 570 15,497
Tech Data Corp.+ ....................... 114 4,873
COMPUTER SOFTWARE -- 3.3%
BMC Software, Inc.+ .................... 2,638 50,452
CheckFree Corp.+ ....................... 284 11,897
Citrix Systems, Inc.+ .................. 2,161 43,355
Concord Communications, Inc.+ .......... 300 7,950
Electronic Arts, Inc.+ ................. 1,812 89,467
Kana Communications, Inc.+ ............. 579 12,883
Mercury Interactive Corp.+ ............. 1,483 232,460
Micromuse, Inc.+ ....................... 655 131,614
National Instruments Corp.+ ............ 867 38,256
Novell, Inc.+ .......................... 662 6,579
NVIDIA Corp.+ .......................... 331 27,101
Oracle Corp.+ .......................... 400 31,500
Parametric Technology Corp.+ ........... 1,372 15,006
PeopleSoft, Inc.+ ...................... 1,111 31,039
Peregrine Systems, Inc.+ ............... 1,613 30,546
Progress Software Corp.+ ............... 1,400 19,075
Quest Software, Inc.+ .................. 126 7,826
Red Hat, Inc.+ ......................... 502 8,565
VERITAS Software Corp.+ ................ 650 92,300
Virginia Linux Systems, Inc.+ .......... 71 3,284
WebTrends Corp.+ ....................... 600 22,425
ELECTRONICS -- 15.1%
Advanced Micro Devices, Inc.+ .......... 1,310 30,949
Alpha Industries, Inc.+ ................ 262 8,924
Altera Corp.+ .......................... 1,800 85,950
American Power Conversion Corp.+ ....... 1,908 36,610
Amkor Technology, Inc.+ ................ 790 20,639
Amphenol Corp.+ ........................ 296 16,854
Analog Devices, Inc.+ .................. 2,900 239,431
Applied Materials, Inc.+ ............... 600 35,588
Applied Micro Circuits Corp.+ .......... 1,595 330,265
</TABLE>
----------------
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<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
ELECTRONICS (CONTINUED)
Atmel Corp.+ ........................... 2,814 $ 42,738
Avanex Corp.+ .......................... 53 5,707
AVX Corp. .............................. 126 3,284
Broadcom Corp., Class A+ ............... 250 60,937
Brooks Automation, Inc.+ ............... 5,400 178,875
Catalina Marketing Corp.+ .............. 1,215 45,714
Conexant Systems, Inc.+ ................ 1,595 66,791
Cree, Inc.+ ............................ 462 53,708
Cypress Semiconductor Corp.+ ........... 706 29,343
Dallas Semiconductor Corp. ............. 1,261 41,455
Fairchild Semiconductor
International+ ....................... 420 11,813
Flextronics International Ltd.+ ........ 1,900 156,037
Globespan Semiconductor, Inc.+ ......... 243 29,646
Integrated Device Technology, Inc.+ .... 768 69,504
International Rectifier Corp.+ ......... 4,376 221,261
Intersil Holding Corp.+ ................ 161 8,030
KLA-Tencor Corp.+ ...................... 1,873 77,144
Kopin Corp.+ ........................... 484 8,712
L-3 Communications Holding, Inc. ....... 67 3,786
Lam Research Corp.+ .................... 1,535 32,139
Lattice Semiconductor Corp.+ ........... 1,087 58,426
Linear Technology Corp. ................ 1,200 77,700
Maxim Integrated Products, Inc.+ ....... 1,200 96,525
Micrel, Inc.+ .......................... 1,223 81,941
Microchip Technology, Inc.+ ............ 1,778 58,769
Molex, Inc. ............................ 753 40,991
Molex, Inc., Class A ................... 875 36,258
National Semiconductor Corp.+ .......... 1,893 76,193
New Focus, Inc.+ ....................... 27 2,135
Newport Corp. .......................... 813 129,483
Next Level Communications, Inc.+ ....... 111 7,340
Novellus Systems, Inc.+ ................ 6,649 309,594
ON Semiconductor Corp.+ ................ 173 1,881
PerkinElmer, Inc. ...................... 14 1,461
PMC-Sierra, Inc.+ ...................... 600 129,150
QLogic Corp.+ .......................... 1,047 92,136
Rambus, Inc.+ .......................... 579 45,705
Sanmina Corp.+ ......................... 1,884 176,389
Sawtek, Inc.+ .......................... 593 22,840
SCI Systems, Inc.+ ..................... 4,444 182,204
Semtech Corp.+ ......................... 1,300 56,062
Siliconix, Inc.+ ....................... 31 1,463
Teradyne, Inc.+ ........................ 600 21,000
TranSwitch Corp.+ ...................... 610 38,888
TriQuint Semiconductor, Inc.+ .......... 485 17,672
Veeco Instruments, Inc.+ ............... 800 85,012
Virata Corp.+ .......................... 186 12,299
Vishay Intertechnology, Inc.+ .......... 82 2,522
Vitesse Semiconductor Corp.+ ........... 2,295 204,112
Xilinx, Inc.+ .......................... 1,400 119,875
</TABLE>
----------------
130
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<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
INTERNET CONTENT -- 0.7%
CMGI, Inc.+ ............................ 400 $ 11,175
CNET Networks, Inc.+ ................... 1,224 29,816
Critical Path, Inc.+ ................... 135 8,201
Freemarkets, Inc. + .................... 19 1,085
Go.com+ ................................ 335 3,559
InfoSpace.com, Inc.+ ................... 1,398 42,290
Lycos, Inc.+ ........................... 1,133 77,911
Navisite, Inc. ......................... 82 2,209
Priceline.com, Inc.+ ................... 476 5,653
S1 Corp.+ .............................. 167 1,994
VerticalNet, Inc.+ ..................... 579 20,337
INTERNET SOFTWARE -- 3.7%
Agile Software Corp.+ .................. 194 17,448
Akamai Technologies, Inc.+ ............. 319 16,752
Alteon Websystems, Inc.+ ............... 232 25,147
Ariba, Inc.+ ........................... 1,148 164,469
Art Technology Group, Inc.+ ............ 391 37,047
BroadVision, Inc.+ ..................... 1,410 36,043
Cacheflow, Inc.+ ....................... 100 14,300
Commerce One, Inc.+ .................... 1,357 106,524
Digex, Inc.+ ........................... 175 8,203
E.piphany, Inc.+ ....................... 432 33,291
Engage, Inc.+ .......................... 202 1,641
Inktomi Corp.+ ......................... 793 90,402
Internap Network Services Corp.+ ....... 528 17,061
Liberate Technologies+ ................. 280 8,103
Macromedia, Inc.+ ...................... 874 70,630
Phone.com, Inc.+ ....................... 428 48,632
Portal Software, Inc.+ ................. 672 26,880
Proxicom, Inc.+ ........................ 200 3,900
PSINet, Inc.+ .......................... 1,074 10,337
RealNetworks, Inc.+ .................... 505 20,074
Scient Corp.+ .......................... 237 4,962
Software.com, Inc.+ .................... 236 42,819
TIBCO Software, Inc.+ .................. 914 77,176
USinternetworking, Inc.+ ............... 195 1,301
Vignette Corp.+ ........................ 1,430 42,721
Vitria Technology, Inc.+ ............... 1,094 51,008
WebMD Corp.+ ........................... 1,415 21,579
WebMethods, Inc.+ ...................... 95 10,937
TELECOMMUNICATIONS -- 5.4%
ADC Telecommunications, Inc.+ .......... 2,000 53,781
ADTRAN, Inc.+ .......................... 122 5,191
Advanced Fibre Communications, Inc.+ ... 483 18,294
Allegiance Telecom, Inc.+ .............. 1,256 46,786
Andrew Corp.+ .......................... 387 10,135
ANTEC Corp.+ ........................... 120 3,540
Aspect Communications Corp.+ ........... 334 6,889
Broadwing, Inc.+ ....................... 3,600 92,025
CommScope, Inc.+ ....................... 267 6,542
</TABLE>
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131
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<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
Comverse Technology, Inc.+ ............. 800 $ 86,400
Copper Mountain Networks, Inc.+ ........ 329 12,337
Cox Communications, Inc., Class A+ ..... 669 25,589
Digital Lightwave, Inc.+ ............... 84 6,101
Ditech Communications Corp.+ ........... 162 6,642
Dobson Communications Corp.+ ........... 99 1,454
Dycom Industries, Inc.+ ................ 1,057 43,998
Efficient Networks, Inc.+ .............. 209 7,798
Harris Corp. ........................... 34 967
Inet Technologies, Inc.+ ............... 47 1,375
Infonet Services Corp.+ ................ 271 2,862
JDS Uniphase Corp.+ .................... 761 72,019
MasTec, Inc.+ .......................... 171 5,344
McLeodUSA, Inc., Class A+ .............. 15,834 226,624
Mpower Communications Corp.+ ........... 5,750 50,133
Nextel Communications, Inc., Class
A+ ................................... 400 18,700
NEXTLINK Communications, Inc., Class
A+ ................................... 2,658 93,528
NTL, Inc.+ ............................. 5,556 257,312
PanAmSat Corp.+ ........................ 100 3,194
Pixar, Inc.+ ........................... 102 3,277
Powertel, Inc.+ ........................ 202 15,365
Rural Celluar Corp., Class A+ .......... 1,500 102,187
Scientific-Atlanta, Inc. ............... 1,567 99,700
Sonus Networks, Inc.+ .................. 29 3,665
Tellabs, Inc. .......................... 200 9,550
Terayon Communication Systems, Inc.+ ... 285 9,672
Time Warner Telecom, Inc., Class A+ .... 395 19,083
Triton PCS Holdings, Inc.+ ............. 245 6,737
True North Communications, Inc. ........ 700 25,025
Viatel, Inc.+ .......................... 500 5,125
------------
11,398,688
------------
MATERIALS -- 1.7%
CHEMICALS -- 0.2%
Cabot Corp. ............................ 26 824
Cabot Microelectronics Corp.+ .......... 7 350
Sigma-Aldrich Corp. .................... 600 19,800
Symyx Technologies, Inc.+ .............. 300 13,012
Valspar Corp. .......................... 1,100 25,289
FOREST PRODUCTS -- 0.6%
Georgia-Pacific Corp. (Timber Group) ... 190 5,106
Sealed Air Corp.+ ...................... 1,133 51,268
Smurfit-Stone Container Corp.+ ......... 8,500 102,000
METALS & MINERALS -- 0.9%
Fastenal Co.+ .......................... 207 11,929
Freeport-McMoRan Copper & Gold, Inc.,
Class B+ ............................. 12,500 110,156
Newmont Mining Corp. ................... 227 3,859
</TABLE>
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132
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
MATERIALS (CONTINUED)
METALS & MINERALS (CONTINUED)
Stillwater Mining Co.+ ................. 4,900 $ 132,643
------------
476,236
------------
REAL ESTATE -- 0.8%
REAL ESTATE COMPANIES -- 0.8%
HomeStore.com, Inc. .................... 3,710 173,442
Jones Lang Lasalle, Inc.+ .............. 800 10,400
Trammell Crow Co.+ ..................... 1,500 22,500
------------
206,342
------------
UTILITIES -- 1.3%
ELECTRIC UTILITIES -- 0.9%
AES Corp.+ ............................. 1,000 68,500
Calpine Corp.+ ......................... 1,643 171,488
NRG Energy, Inc. + ..................... 110 4,015
Plug Power, Inc.+ ...................... 50 1,863
GAS & PIPELINE UTILITIES -- 0.3%
Dynegy, Inc., Class A .................. 1,326 75,582
TELEPHONE -- 0.1%
Focal Communications Corp.+ ............ 94 1,451
WinStar Communications, Inc.+ .......... 1,432 22,196
------------
345,095
------------
TOTAL INVESTMENT SECURITIES (cost
$21,270,956).......................... 27,048,846
------------
<CAPTION>
SHARES/
SHORT-TERM SECURITIES -- 0.1% PRINCIPAL
AMOUNT
----------------------------------------------------------------------
<S> <C> <C>
SHORT-TERM INVESTMENTS -- 0.1%
T. Rowe Price Reserve Investment Fund... 33,661 33,662
------------
U.S. GOVERNMENT & AGENCIES -- 0.0%
United States Treasury Bills 5.93% due
10/19/00.............................. $ 10,000 9,970
------------
TOTAL SHORT-TERM SECURITIES (cost
$43,632).............................. 43,632
------------
<CAPTION>
REPURCHASE AGREEMENT -- 1.0% PRINCIPAL
AMOUNT
----------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT -- 1.0%
Paribas Corp. Joint Repurchase Agreement
Account (Note 3)
(cost $265,000)....................... $ 265,000 $ 265,000
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $21,579,588) 99.8% 27,357,478
Other assets less liabilities -- 0.2 42,248
------ ------------
NET ASSETS -- 100.0% $ 27,399,726
====== ============
</TABLE>
-------------
+ Non-income producing securities
(1) Security represents an investment in an affiliated company; see Note 7
ADR -- American Depository Receipt
See Notes to Financial Statements
----------------
133
<PAGE>
----------------
SEASONS SERIES TRUST
MID CAP VALUE PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 95.2%
SHARES VALUE
<S> <C> <C>
------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 7.2%
APPAREL & TEXTILES -- 0.5%
Jones Apparel Group, Inc.+ ........................... 210 $ 5,565
Liz Claiborne, Inc. .................................. 180 6,930
Nike Inc, Class B .................................... 1,819 72,874
V.F. Corp. ........................................... 291 7,184
AUTOMOTIVE -- 1.6%
ANC Rental Corp.+ .................................... 81 466
Autoliv, Inc. ........................................ 300 5,850
AutoNation, Inc.+ .................................... 653 3,918
AutoZone, Inc.+ ...................................... 394 8,939
B.F. Goodrich Co. .................................... 306 11,991
BorgWarner Automotive, Inc. .......................... 1,400 46,375
Dana Corp. ........................................... 461 9,912
Delphi Automotive Systems Corp. ...................... 1,695 25,637
Genuine Parts Co. .................................... 4,036 76,936
Goodyear Tire & Rubber Co. ........................... 474 8,532
Lear Corp.+ .......................................... 900 18,506
Navistar International Corp.+ ........................ 196 5,868
PACCAR, Inc. ......................................... 214 7,931
SPX Corp.+ ........................................... 93 13,200
TRW, Inc. ............................................ 304 12,350
Visteon Corp. ........................................ 4,296 64,977
HOUSING -- 0.6%
American Standard Cos., Inc.+ ........................ 216 9,599
Black & Decker Corp. ................................. 248 8,479
D.R. Horton, Inc. .................................... 1,744 29,975
Grainger (W. W.), Inc. ............................... 225 5,920
Johns Manville Corp. ................................. 100 1,131
Leggett & Platt, Inc. ................................ 615 9,725
Masco Corp. .......................................... 1,377 25,647
Maytag Corp. ......................................... 228 7,082
Shaw Industries, Inc. ................................ 364 6,734
Stanley Works ........................................ 231 5,327
Whirlpool Corp. ...................................... 208 8,086
Williams-Sonoma, Inc.+ ............................... 20 695
RETAIL -- 4.5%
7 Eleven, Inc.+ ...................................... 59 752
Albertson's, Inc. .................................... 3,400 71,400
BJ's Wholesale Club, Inc.+ ........................... 194 6,620
Blockbuster, Inc., Class A ........................... 100 881
Circuit City Stores, Inc. ............................ 215 4,945
Consolidated Stores Corp.+ ........................... 12,700 171,450
Delhaize America, Inc., Class A ...................... 8,500 148,219
Delhaize America, Inc., Class B ...................... 376 6,298
Dollar General Corp. ................................. 40 670
</TABLE>
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134
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
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CONSUMER DISCRETIONARY (CONTINUED)
RETAIL (CONTINUED)
Family Dollars Stores, Inc. .......................... 93 $ 1,790
Federated Department Stores, Inc.+ ................... 1,348 35,217
J.C. Penny Co., Inc. ................................. 12,470 147,302
Kmart Corp.+ ......................................... 1,498 8,988
Limited, Inc. ........................................ 846 18,665
May Department Stores Co. ............................ 962 19,721
MSC Industrial Direct Co., Inc., Class A+ ............ 69 1,052
Nordstrom, Inc. ...................................... 1,993 31,016
Office Depot, Inc.+ .................................. 848 6,625
Rite Aid Corp.+ ...................................... 952 3,808
Ross Stores, Inc. .................................... 6,878 98,871
Saks, Inc.+ .......................................... 405 3,999
Staples, Inc.+ ....................................... 488 6,924
Starbucks Corp.+ ..................................... 43 1,723
Talbots, Inc. ........................................ 21 1,391
Tiffany & Co. ........................................ 160 6,170
TJX Cos., Inc. ....................................... 445 10,013
Toys "R" Us, Inc.+ ................................... 3,084 50,115
Webvan Group, Inc.+ .................................. 304 703
Weis Markets, Inc. ................................... 31 1,230
Winn-Dixie Stores, Inc. .............................. 296 4,255
------------
1,403,154
------------
CONSUMER STAPLES -- 6.7%
FOOD, BEVERAGE & TOBACCO -- 6.0%
Adolph Coors Co., Class B ............................ 115 7,267
Archer-Daniels-Midland Co. ........................... 10,041 86,605
Brown-Forman Corp., Class B .......................... 136 7,446
Coca-Cola Enterprises, Inc. .......................... 495 7,889
ConAgra Foods, Inc. .................................. 2,457 49,294
Corn Products International, Inc. .................... 6,600 150,150
Dean Foods Co. ....................................... 3,300 109,725
Fleming Cos., Inc. ................................... 3,900 50,944
Flowers Industries, Inc. ............................. 331 6,454
Fortune Brands, Inc. ................................. 480 12,720
General Mills, Inc. .................................. 482 17,111
Hershey Foods Corp. .................................. 290 15,696
Hormel Foods Corp. ................................... 210 3,504
IBP, Inc. ............................................ 6,469 118,464
Keebler Foods Co. .................................... 46 1,932
Kellogg Co. .......................................... 411 9,941
McCormick & Co., Inc. ................................ 200 5,950
Nabisco Group Holdings Corp. ......................... 2,188 62,358
Nabisco Holdings Corp., Class A ...................... 169 9,084
Pepsi Bottling Group, Inc. ........................... 153 4,600
Quaker Oats Co. ...................................... 210 16,616
Ralston Purina Group ................................. 914 21,650
RJ Reynolds Tobacco Holdings, Inc. ................... 1,179 38,023
Smithfield Foods, Inc.+ .............................. 3,900 102,375
SUPERVALU, Inc. ...................................... 425 6,402
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CONSUMER STAPLES (CONTINUED)
FOOD, BEVERAGE & TOBACCO (CONTINUED)
Tootsie Roll Industries, Inc. ........................ 103 $ 4,043
Tyson Foods, Inc., Class A ........................... 400 4,000
Universal Foods Corp. ................................ 7,900 160,962
UST, Inc. ............................................ 2,800 64,050
Whitman Corp. ........................................ 379 4,382
Wrigley (WM.) Jr. Co. ................................ 252 18,868
HOUSEHOLD PRODUCTS -- 0.7%
Avon Products, Inc. .................................. 719 29,389
Clorox Co. ........................................... 707 27,971
Energizer Holdings, Inc.+ ............................ 316 7,742
Estee Lauder Cos., Inc., Class A ..................... 22 806
Fort James Corp. ..................................... 1,510 46,149
International Flavors & Fragrances, Inc. ............. 300 5,475
Newell Rubbermaid, Inc. .............................. 794 18,113
------------
1,314,150
------------
ENERGY -- 8.0%
ENERGY SERVICES -- 2.5%
Baker Hughes, Inc. ................................... 588 21,829
BJ Services Co.+ ..................................... 13 795
Cal Dive International, Inc.+ ........................ 600 34,312
Cinergy Corp. ........................................ 453 14,977
ENSCO International, Inc. ............................ 4,001 153,038
Global Marine, Inc.+ ................................. 261 8,058
Grant Prideco, Inc.+ ................................. 334 7,327
Hanover Compressor Co.+ .............................. 56 1,845
Marine Drilling Cos., Inc.+ .......................... 74 2,114
Nabors Industries, Inc.+ ............................. 125 6,550
Pride International, Inc.+ ........................... 177 4,690
R&B Falcon Corp.+ .................................... 6,398 178,344
Rowan Cos., Inc.+ .................................... 125 3,625
Smith International, Inc.+ ........................... 37 3,018
Tidewater, Inc. ...................................... 103 4,687
USX-Marathon Group, Inc. ............................. 928 26,332
Varco International, Inc.+ ........................... 177 3,684
Weatherford International, Inc.+ ..................... 267 11,481
ENERGY SOURCES -- 5.5%
Amerada Hess Corp. ................................... 243 16,266
Anadarko Petroleum Corp. ............................. 1,392 92,512
Apache Corp. ......................................... 147 8,691
Burlington Resources, Inc. ........................... 1,461 53,783
Devon Energy Corp. ................................... 3,125 187,969
Diamond Offshore Drilling, Inc. ...................... 778 31,898
EOG Resources, Inc. .................................. 4,844 188,311
Equitable Resources, Inc. ............................ 87 5,514
Helmerich & Payne, Inc. .............................. 100 3,613
Kerr-McGee Corp. ..................................... 2,689 178,146
Murphy Oil Corp. ..................................... 58 3,759
National-Oilwell, Inc.+ .............................. 148 4,625
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ENERGY (CONTINUED)
ENERGY SOURCES (CONTINUED)
Noble Affiliates, Inc. ............................... 184 $ 6,831
Noble Drilling Corp.+ ................................ 137 6,884
Occidental Petroleum Corp. ........................... 1,116 24,343
Ocean Energy, Inc.+ .................................. 4,109 63,433
Pioneer Natural Resources Co.+ ....................... 1,300 18,444
Stolt Comex Seaway SA+ ............................... 1,300 19,338
Sunoco, Inc. ......................................... 283 7,623
Tosco Corp. .......................................... 1,644 51,272
TXU Corp. ............................................ 778 30,828
Ultramar Diamond Shamrock Corp. ...................... 267 6,775
Unocal Corp. ......................................... 759 26,897
Valero Energy Corp. .................................. 743 26,144
------------
1,550,605
------------
FINANCE -- 16.3%
BANKS -- 4.7%
AmSouth Bancorp. ..................................... 3,406 42,575
Associated Banc-Corp. ................................ 247 6,484
BancWest Corp. ....................................... 272 5,287
Banknorth Group, Inc. ................................ 424 7,579
BB&T Corp. ........................................... 1,152 34,704
Centura Banks, Inc. .................................. 102 3,908
Charter One Financial, Inc. .......................... 646 15,740
City National Corp. .................................. 143 5,523
Colonial BancGroup, Inc. ............................. 3,500 36,312
Comerica, Inc. ....................................... 1,680 98,175
Commerce Bancshares, Inc. ............................ 210 7,731
Dime Bancorp, Inc. ................................... 309 6,663
First Security Corp. ................................. 602 9,820
First Tennessee National Corp. ....................... 400 8,175
First Virginia Banks, Inc. ........................... 126 5,371
FirstMerit Corp. ..................................... 222 5,092
Golden State Bancorp, Inc. ........................... 216 5,103
Golden West Financial Corp. .......................... 393 21,075
GreenPoint Financial Corp. ........................... 3,066 90,830
Hibernia Corp., Class A .............................. 500 6,125
Hudson City Bancorp, Inc ............................. 129 2,193
Huntington Bancshares, Inc. .......................... 790 11,603
KeyCorp. ............................................. 1,289 32,628
M&T Bank Corp. ....................................... 21 10,710
Marshall & Ilsley Corp. .............................. 335 16,792
Mercantile Bankshares Corp. .......................... 200 7,259
National City Corp. .................................. 1,814 40,135
National Commerce Bancorp. ........................... 582 11,604
North Fork Bancorp, Inc. ............................. 577 12,478
Old Kent Financial Corp. ............................. 393 11,372
Old National Bancorp. ................................ 198 5,990
Popular, Inc. ........................................ 400 10,825
Regions Financial Corp. .............................. 720 16,335
SouthTrust Corp. ..................................... 931 29,268
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FINANCE (CONTINUED)
BANKS (CONTINUED)
Sovereign Bancorp, Inc. .............................. 10,680 $ 98,790
Summit Bancorp ....................................... 538 18,561
Synovus Financial Corp. .............................. 634 13,433
TCF Financial Corp. .................................. 273 10,272
Union Planters Corp. ................................. 416 13,754
UnionBanCal Corp. .................................... 2,167 50,518
Valley National Bancorp. ............................. 151 4,124
Wachovia Corp. ....................................... 200 11,337
Wilmington Trust Corp. ............................... 700 37,537
Zions Bancorp ........................................ 250 12,785
FINANCIAL SERVICES -- 3.2%
A.G. Edwards, Inc. ................................... 272 14,229
Allmerica Financial Corp. ............................ 177 11,317
Ambac Financial Group, Inc. .......................... 1,805 132,216
Bear Stearns Cos., Inc. .............................. 1,416 89,208
C.I.T. Group, Inc., Class A .......................... 587 10,272
Capital One Financial Corp. .......................... 83 5,815
Compass Bancshares, Inc. ............................. 417 8,132
Countrywide Credit Industries, Inc. .................. 339 12,797
Crown Castle International Corp.(1) .................. 253 7,859
Donaldson, Lufkin & Jenrette, Inc. ................... 102 9,123
Dow Jones & Co., Inc. ................................ 75 4,538
Dun & Bradstreet Corp. ............................... 1,990 68,531
E*TRADE Group, Inc.+ ................................. 193 3,172
H&R Block, Inc. ...................................... 280 10,377
Heller Financial, Inc. ............................... 134 3,827
Knight Trading Group, Inc. ........................... 22 792
Legg Mason, Inc. ..................................... 200 11,625
Lehman Brothers Holdings, Inc.@ ...................... 468 69,147
Neuberger Berman, Inc. ............................... 105 6,458
Pacific Century Financial Corp. ...................... 4,600 78,775
Paine Webber Group, Inc. ............................. 346 23,571
Stilwell Financial, Inc. ............................. 312 13,572
T.Rowe Price Associates, Inc. ........................ 188 8,824
TD Waterhouse Group, Inc. ............................ 60 1,118
USA Education, Inc. .................................. 369 17,781
INSURANCE -- 8.4%
21st Century Insurance Group(1) ...................... 68 1,152
ACE Ltd. ............................................. 3,400 133,450
Aetna, Inc. .......................................... 1,724 100,100
American Financial Group, Inc. ....................... 100 2,319
Aon Corp. ............................................ 682 26,768
Chubb Corp.@ ......................................... 524 41,461
Cincinnati Financial Corp. ........................... 479 17,005
CNA Financial Corp.+ ................................. 55 2,104
Conseco, Inc. ........................................ 985 7,511
Erie Indemnity Co., Class A .......................... 200 5,875
Everest Reinsurance Holding, Inc. .................... 2,800 138,600
Franklin Resources, Inc. ............................. 474 21,060
Hartford Financial Services Group, Inc.@ ............. 649 47,336
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FINANCE (CONTINUED)
INSURANCE (CONTINUED)
Jefferson-Pilot Corp. ................................ 317 $ 21,516
John Hancock Financial Services+ ..................... 285 7,659
Lincoln National Corp. ............................... 581 27,961
Loews Corp. .......................................... 1,100 91,712
MBIA, Inc. ........................................... 1,198 85,208
MGIC Investment Corp. ................................ 332 20,293
MONY Group, Inc.+ .................................... 123 4,905
Mutual Risk Management Ltd. .......................... 3,500 76,781
Nationwide Financial Services, Inc., Class A ......... 59 2,205
Old Republic International Corp. ..................... 6,559 157,826
PartnerRe Ltd. ....................................... 3,400 161,287
PMI Group, Inc. ...................................... 102 6,911
Progressive Corp. .................................... 161 13,182
Protective Life Corp. ................................ 183 5,467
Radian Group, Inc. ................................... 98 6,615
Reinsurance Group of America, Inc. ................... 42 1,439
SAFECO Corp. ......................................... 387 10,546
St. Paul Cos., Inc. .................................. 642 31,659
Torchmark Corp. ...................................... 414 11,514
Transatlantic Holdings, Inc.(1) ...................... 44 4,070
Unitrin, Inc. ........................................ 140 4,436
UnumProvident Corp. .................................. 638 17,386
XL Capital Ltd., Class A ............................. 4,400 323,400
------------
3,174,370
------------
HEALTHCARE -- 10.9%
DRUGS -- 1.9%
ALZA Corp.+ .......................................... 15 1,298
Caremark Rx, Inc.+ ................................... 29,300 329,625
Cephalon, Inc.+ ...................................... 24 1,164
Gilead Sciences, Inc.+ ............................... 120 13,162
ICN Pharmaceuticals, Inc. ............................ 231 7,681
Mylan Laboratories, Inc. ............................. 328 8,835
Sepracor, Inc.+ ...................................... 49 6,012
Watson Pharmaceuticals, Inc.+ ........................ 135 8,758
HEALTH SERVICES -- 4.5%
Chiron Corp.+ ........................................ 105 4,725
Express Scripts, Inc., Class A+ ...................... 36 2,601
Foundation Health Systems, Inc., Class A+ ............ 8,400 139,650
Health Management Associates, Inc., Class A+ ......... 2,545 52,968
HEALTHSOUTH Corp.+ ................................... 1,136 9,230
Humana, Inc.+ ........................................ 1,400 15,050
Manor Care, Inc.+ .................................... 9,100 142,756
Oxford Health Plans, Inc.+ ........................... 6,300 193,627
PacifiCare Health Systems, Inc.+ ..................... 42 1,462
Quest Diagnostics, Inc.+ ............................. 41 4,705
Quintiles Transnational Corp.+ ....................... 254 4,048
ServiceMaster Co. .................................... 897 8,858
Sybron International Corp.+ .......................... 76 1,824
Tenet Healthcare Corp. ............................... 3,860 140,407
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HEALTHCARE (CONTINUED)
HEALTH SERVICES (CONTINUED)
Total Renal Care Holdings, Inc.+ ..................... 2,000 $ 15,000
Trigon Healthcare, Inc.+ ............................. 1,324 69,593
UnitedHealth Group, Inc. ............................. 450 44,437
Universal Health Services, Inc., Class B+ ............ 49 4,196
Wellpoint Health Networks, Inc.+ ..................... 183 17,568
MEDICAL PRODUCTS -- 4.5%
Acuson Corp.+ ........................................ 9,600 218,400
Bausch & Lomb, Inc. .................................. 137 5,334
Beckman Coulter, Inc. ................................ 68 5,245
Becton Dickinson & Co. ............................... 754 19,934
Biomet, Inc. ......................................... 397 13,895
Boston Scientific Corp.+ ............................. 9,710 159,608
C.R. Bard, Inc. ...................................... 167 7,056
Celgene Corp.+ ....................................... 41 2,440
DENTSPLY International, Inc. ......................... 153 5,345
Genzyme Corp.+ ....................................... 163 11,115
Hillenbrand Industries, Inc. ......................... 159 7,115
Mallinckrodt, Inc. ................................... 211 9,627
McKesson HBOC, Inc. .................................. 741 22,647
Patterson Dental Co.+ ................................ 30 675
PE Corp.-Celera Genomics Group+ ...................... 34 3,387
St. Jude Medical, Inc.+ .............................. 3,938 200,838
Varian Medical Systems, Inc.+ ........................ 4,300 194,306
------------
2,136,207
------------
INDUSTRIAL & COMMERCIAL -- 9.0%
AEROSPACE & MILITARY TECHNOLOGY -- 1.2%
General Dynamics Corp. ............................... 517 32,474
ITT Industries, Inc. ................................. 249 8,077
Litton Industries, Inc.+ ............................. 108 4,826
Lockheed Martin Corp. ................................ 1,040 34,279
Northrop Grumman Corp. ............................... 1,312 119,228
Raytheon Co., Class B ................................ 1,011 28,750
Rockwell International Corp. ......................... 473 14,308
Teledyne Technologies, Inc.+ ......................... 1 29
BUSINESS SERVICES -- 3.9%
Allied Waste Industries, Inc.+ ....................... 544 4,998
Cendant Corp.+ ....................................... 1,711 18,607
Comdisco, Inc. ....................................... 341 6,500
Deluxe Corp. ......................................... 239 4,855
Donnelley (R.R.) & Sons Co. .......................... 2,696 66,221
Ecolab, Inc. ......................................... 271 9,773
Electronics for Imaging, Inc.+ ....................... 77 1,944
Fedex Corp.+ ......................................... 878 38,931
Fiserv, Inc.+ ........................................ 125 7,484
Getty Images, Inc.+ .................................. 68 2,070
Global Industries Ltd.+ .............................. 212 2,650
Hertz Corp., Class A ................................. 52 1,651
Iron Mountain, Inc.+ ................................. 42 1,554
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INDUSTRIAL & COMMERCIAL (CONTINUED)
BUSINESS SERVICES (CONTINUED)
Manpower, Inc. ....................................... 232 $ 7,410
Modis Professional Services, Inc.+ ................... 1,900 9,856
Pall Corp. ........................................... 2,974 59,294
Polymer Group, Inc. .................................. 12,400 91,450
Potash Corp. of Saskatchewan, Inc. ................... 4,700 245,869
ProLogis Trust ....................................... 279 6,626
Quanta Services, Inc.+ ............................... 37 1,018
Republic Services, Inc., Class A+ .................... 8,893 116,721
UNOVA, Inc.+ ......................................... 3,500 13,781
Viad Corp. ........................................... 214 5,684
Waste Management, Inc. ............................... 1,909 33,288
ELECTRICAL EQUIPMENT -- 0.7%
Dover Corp.+ ......................................... 629 29,524
Hubbell, Inc., Class B ............................... 175 4,386
Johnson Controls, Inc. ............................... 274 14,573
Southern Energy, Inc. ................................ 800 25,100
Thomas & Betts Corp. ................................. 178 3,104
UCAR International, Inc.+ ............................ 2,500 31,719
Xcel Energy, Inc. .................................... 1,023 28,132
MACHINERY -- 2.1%
Coflexip SA ADR ...................................... 700 43,575
Cooper Cameron Corp.+ ................................ 26 1,916
Cooper Industries, Inc. .............................. 256 9,024
Danaher Corp. ........................................ 245 12,189
Deere & Co. .......................................... 3,209 106,699
Ingersoll-Rand Co. ................................... 460 15,582
Parker-Hannifin Corp. ................................ 2,339 78,941
Pentair, Inc. ........................................ 166 4,441
Snap-on, Inc. ........................................ 6,100 143,731
MULTI-INDUSTRY -- 0.2%
Avery Dennison Corp. ................................. 274 12,707
Crane Co. ............................................ 184 4,209
Textron, Inc. ........................................ 360 16,605
TRANSPORTATION -- 0.9%
AMR Corp.+ ........................................... 440 14,382
Burlington Northern Santa Fe Corp.@ .................. 1,287 27,751
C.H. Robinson Worldwide, Inc. ........................ 38 2,142
CNF Transportation, Inc. ............................. 1,400 31,150
CSX Corp. ............................................ 1,862 40,615
Expeditors International of Washington, Inc. ......... 6 270
Florida East Coast Industries, Inc. .................. 80 3,280
GATX Corp. ........................................... 164 6,867
Kansas City Southern Industries, Inc. ................ 78 678
Norfolk Southern Corp. ............................... 1,141 16,687
UAL Corp. ............................................ 144 6,048
Union Pacific Corp. .................................. 763 29,662
------------
1,765,895
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INFORMATION & ENTERTAINMENT -- 4.7%
BROADCASTING & MEDIA -- 1.9%
A.H. Belo Corp. ...................................... 4,131 $ 76,165
Acxiom Corp.+ ........................................ 22 699
Adelphia Communications Corp., Class A+ .............. 198 5,457
BHC Communications, Inc., Class A .................... 8 1,259
Cablevision Systems Corp., Class A+ .................. 163 10,809
Charter Communications, Inc., Class A+ ............... 237 3,855
Chris-Craft Industries, Inc.+ ........................ 41 3,377
E.W. Scripps Co., Class A ............................ 164 8,856
Emmis Communications Corp., Class A+ ................. 72 1,782
Entercom Communications Corp.+ ....................... 75 2,245
Harcourt General, Inc. ............................... 182 10,738
Harte-Hanks, Inc. .................................... 103 2,807
Havas Advertising SA ................................. 30 441
Hearst-Argyle Television, Inc. ....................... 50 1,000
Interpublic Group Cos., Inc. ......................... 412 14,034
Knight Ridder, Inc. .................................. 223 11,331
Lamar Advertising Co.+ ............................... 83 3,144
McGraw-Hill Cos., Inc. ............................... 585 37,184
Media General, Inc., Class A ......................... 1,800 77,400
Metro-Goldwyn-Mayer, Inc.+ ........................... 30 720
New York Times Co., Class A .......................... 519 20,403
Nextel Partners, Inc., Class A+ ...................... 121 3,524
Pegasus Communications Corp.+ ........................ 66 3,189
Pinnacle Holdings, Inc.+ ............................. 105 2,796
PRIMEDIA, Inc.+ ...................................... 271 4,438
Radio One, Inc., Class A+ ............................ 197 1,638
RCN Corp.+ ........................................... 144 2,988
Reader's Digest Association, Inc., Class A ........... 17 600
Spectrasite Holdings, Inc.+ .......................... 155 2,877
TeleCorp PCS, Inc.+ .................................. 38 722
Tribune Co. .......................................... 607 26,480
United States Cellular Corp. ......................... 13 910
UnitedGlobalCom, Inc., Class A+ ...................... 187 5,610
USA Networks, Inc.+ .................................. 306 6,713
Washington Post Co., Class B ......................... 9 4,751
Westwood One, Inc.+ .................................. 172 3,687
ENTERTAINMENT PRODUCTS -- 0.1%
Brunswick Corp. ...................................... 286 5,220
Hasbro, Inc. ......................................... 529 6,050
International Speedway Corp., Class A ................ 46 1,794
Mattel, Inc. ......................................... 1,271 14,219
LEISURE & TOURISM -- 2.7%
Brinker International, Inc.+ ......................... 200 6,025
CBRL Group, Inc.+ .................................... 20,800 299,000
Continental Airlines, Inc., Class B+ ................. 122 5,543
Darden Restaurants, Inc. ............................. 400 8,325
Delta Air Lines, Inc. ................................ 876 38,872
Galileo International, Inc. .......................... 148 2,294
Harrah's Entertainment, Inc.+ ........................ 375 10,312
Hilton Hotels Corp. .................................. 966 11,169
Interstate Hotels Corp.+ ............................. 10 21
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INFORMATION & ENTERTAINMENT (CONTINUED)
LEISURE & TOURISM (CONTINUED)
Mandalay Resort Group+ ............................... 187 $ 4,792
Marriott International, Inc., Class A ................ 543 19,786
MGM Grand, Inc. ...................................... 162 6,186
Northwest Airlines Corp.+ ............................ 43 1,056
Outback Steakhouse, Inc.+ ............................ 665 18,038
Park Place Entertainment Corp.+ ...................... 838 12,675
Sabre Holdings Corp. ................................. 354 10,244
Six Flags, Inc.+ ..................................... 136 2,108
Southwest Airlines Co. ............................... 1,533 37,175
Starwood Hotels & Resorts Worldwide, Inc. ............ 587 18,344
Tricon Global Restaurants, Inc.+ ..................... 284 8,698
US Airways Group, Inc. ............................... 125 3,805
Wendy's International, Inc. .......................... 314 6,300
------------
922,680
------------
INFORMATION TECHNOLOGY -- 4.9%
COMMUNICATION EQUIPMENT -- 0.1%
American Tower Corp., Class A+ ....................... 196 7,387
Cabletron Systems, Inc.+ ............................. 286 8,401
NorthPoint Communications Group, Inc.+ ............... 191 1,695
COMPUTER SERVICES -- 1.4%
Affiliated Computer Services, Inc., Class A+ ......... 66 3,292
American Management Systems, Inc.+ ................... 31 533
At Home Corp., Series A+ ............................. 383 5,410
Autodesk, Inc. ....................................... 121 3,070
BISYS Group, Inc.+ ................................... 24 1,855
Ceridian Corp.+ ...................................... 275 7,717
Compuware Corp.+ ..................................... 381 3,191
DST Systems, Inc.+ ................................... 72 8,460
EarthLink, Inc.+ ..................................... 117 1,068
Informix Corp.+ ...................................... 796 3,283
Intuit, Inc.+ ........................................ 160 9,120
Keane, Inc.+ ......................................... 46 800
MarchFirst, Inc.+ .................................... 235 3,687
Mentor Graphics Corp.+ ............................... 2,300 54,194
Network Associates, Inc.+ ............................ 118 2,670
Safeguard Scientifics, Inc.+ ......................... 323 6,440
SunGard Data Systems, Inc.+ .......................... 276 11,816
Sybase, Inc.+ ........................................ 287 6,601
Synopsys, Inc.+ ...................................... 3,695 139,948
Unisys Corp.+ ........................................ 467 5,254
COMPUTERS & BUSINESS EQUIPMENT -- 1.7%
Adaptec, Inc.+ ....................................... 244 4,880
Arrow Electronics, Inc.+ ............................. 304 10,355
Avnet, Inc. .......................................... 890 25,254
Cadence Design Systems, Inc.+ ........................ 567 14,565
Diebold, Inc. ........................................ 1,234 32,778
Ingram Micro, Inc., Class A+ ......................... 5,188 71,335
Miller (Herman), Inc. ................................ 1,900 60,919
NCR Corp.+ ........................................... 239 9,037
Pitney Bowes, Inc. ................................... 776 30,603
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INFORMATION TECHNOLOGY (CONTINUED)
COMPUTERS & BUSINESS EQUIPMENT (CONTINUED)
Quantum Corp.-DLT & Storage Systems .................. 477 $ 7,185
RSA Security, Inc.+ .................................. 35 1,509
Steelcase, Inc., Class A ............................. 264 4,422
Tech Data Corp.+ ..................................... 1,329 56,815
COMPUTER SOFTWARE -- 0.1%
Electronic Arts, Inc.+ ............................... 54 2,666
Novell, Inc.+ ........................................ 721 7,165
Parametric Technology Corp.+ ......................... 182 1,991
PeopleSoft, Inc.+ .................................... 214 5,978
Red Hat, Inc.+ ....................................... 46 785
ELECTRONICS -- 1.0%
Advanced Micro Devices, Inc.+ ........................ 382 9,025
AVX Corp. ............................................ 45 1,173
Conexant Systems, Inc.+ .............................. 32 1,340
Cypress Semiconductor Corp.+ ......................... 53 2,203
Dallas Semiconductor Corp. ........................... 52 1,710
Eaton Corp. .......................................... 624 38,454
International Rectifier Corp.+ ....................... 33 1,669
KLA-Tencor Corp.+ .................................... 25 1,030
L-3 Communications Holding, Inc. ..................... 64 3,616
Lattice Semiconductor Corp.+ ......................... 20 1,075
MEMC Electronic Materials, Inc.+ ..................... 2,400 30,900
Molex, Inc. .......................................... 122 6,641
New Focus, Inc.+ ..................................... 5 395
PerkinElmer, Inc. .................................... 130 13,569
SCI Systems, Inc.+ ................................... 78 3,198
Siliconix, Inc.+ ..................................... 1,000 47,187
Tektronix, Inc. ...................................... 124 9,525
Thermo Electron Corp.+ ............................... 840 21,840
Virata Corp.+ ........................................ 11 727
Vishay Intertechnology, Inc.+ ........................ 130 3,997
INTERNET CONTENT -- 0.1%
CNET Networks, Inc.+ ................................. 61 1,486
Critical Path, Inc.+ ................................. 64 3,888
Freemarkets, Inc.+ ................................... 11 629
Go.com+ .............................................. 39 414
Internet Capital Group, Inc.+ ........................ 512 8,928
S1 Corp.+ ............................................ 100 1,194
INTERNET SOFTWARE -- 0.1%
Cacheflow, Inc.+ ..................................... 10 1,430
Covad Communications Group, Inc.+ .................... 426 5,698
Liberate Technologies+ ............................... 27 781
WebMD Corp.+ ......................................... 228 3,477
TELECOMMUNICATIONS -- 0.4%
ADTRAN, Inc.+ ........................................ 13 553
Advanced Fibre Communications, Inc.+ ................. 20 757
Andrew Corp.+ ........................................ 105 2,750
ANTEC Corp.+ ......................................... 10 295
Aspect Communications Corp.+ ......................... 34 701
Broadwing, Inc.+ ..................................... 641 16,386
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
Citizens Communications Co.+ ......................... 838 $ 11,261
CommScope, Inc.+ ..................................... 14 343
Ditech Communications Corp.+ ......................... 15 615
Harris Corp. ......................................... 199 5,659
McLeodUSA, Inc., Class A+ ............................ 75 1,073
NEXTLINK Communications, Inc., Class A+ .............. 432 15,201
NTL, Inc.+ ........................................... 440 20,377
PanAmSat Corp.+ ...................................... 37 1,182
Sonus Networks, Inc.+ ................................ 5 632
True North Communications, Inc. ...................... 128 4,576
------------
953,694
------------
MATERIALS -- 6.8%
CHEMICALS -- 2.9%
Air Products & Chemicals, Inc. ....................... 685 24,660
Ashland, Inc. ........................................ 200 6,738
Cabot Corp. .......................................... 208 6,591
Crompton Corp. ....................................... 12,100 95,287
Eastman Chemical Co. ................................. 233 8,606
Engelhard Corp. ...................................... 359 5,834
FMC Corp.+ ........................................... 66 4,426
Hercules, Inc. ....................................... 306 4,322
IMC Global, Inc. ..................................... 15,600 226,200
Lyondell Chemical Co. ................................ 266 3,142
Millennium Chemicals, Inc. ........................... 4,200 62,213
PPG Industries, Inc. ................................. 527 20,915
Praxair, Inc. ........................................ 494 18,463
Rohm & Haas Co. ...................................... 301 8,748
Sherwin-Williams Co. ................................. 2,327 49,740
Sigma-Aldrich Corp. .................................. 279 9,207
Union Carbide Corp. .................................. 367 13,854
FOREST PRODUCTS -- 2.4%
Bemis Co. ............................................ 131 4,208
Boise Cascade Corp. .................................. 186 4,941
Bowater, Inc. ........................................ 156 7,244
Georgia-Pacific Corp. (Timber Group) ................. 4,155 111,666
Georgia-Pacific Group ................................ 1,017 23,899
Mead Corp. ........................................... 292 6,825
Owens-Illinois, Inc.+ ................................ 476 4,403
Pactiv Corp.+ ........................................ 16,400 183,475
Reynolds & Reynolds Co., Class A ..................... 209 4,154
Sealed Air Corp.+ .................................... 30 1,358
Smurfit-Stone Container Corp.+ ....................... 2,069 24,828
Sonoco Products Co. .................................. 1,914 34,572
Stora Enso Corp. ADR+ ................................ 330 2,723
Temple-Inland, Inc. .................................. 159 6,022
Westvaco Corp. ....................................... 300 8,006
Weyerhaeuser Co. ..................................... 697 28,141
Willamette Industries, Inc. .......................... 291 8,148
</TABLE>
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<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
MATERIALS (CONTINUED)
METALS & MINERALS -- 1.5%
Allegheny Technologies, Inc. ......................... 261 $ 4,731
Ball Corp. ........................................... 4,300 136,256
Crown, Cork & Seal Co., Inc. ......................... 388 4,147
Fluor Corp. .......................................... 235 7,050
Homestake Mining Co. ................................. 751 3,896
Ispat International NV ............................... 1,800 9,000
Lafarge Corp. ........................................ 100 2,175
Martin Marietta Materials, Inc. ...................... 134 5,129
Newmont Mining Corp. ................................. 445 7,565
Nucor Corp. .......................................... 1,058 31,872
Phelps Dodge Corp. ................................... 1,239 51,728
Southdown, Inc. ...................................... 111 7,909
USG Corp. ............................................ 144 3,609
USX-US Steel Group, Inc. ............................. 249 3,782
Vulcan Materials Co. ................................. 292 11,735
------------
1,324,143
------------
REAL ESTATE -- 4.1%
REAL ESTATE COMPANIES -- 0.5%
AMB Property Corp. ................................... 200 4,912
HomeStore.com, Inc. .................................. 17 795
St. Joe Co. .......................................... 100 2,775
Trizec Hahn Corp. .................................... 5,200 87,425
REAL ESTATE INVESTMENT TRUSTS -- 3.6%
Apartment Investment & Management Co., Class A ....... 200 9,212
Archstone Communities Trust .......................... 300 7,369
Avalonbay Communities, Inc.+ ......................... 1,027 48,975
Boston Properties, Inc. .............................. 1,241 53,285
CarrAmerica Realty Corp. ............................. 200 6,050
Crescent Real Estate Equities Co. .................... 289 6,448
Duke-Weeks Realty Corp. .............................. 2,989 72,110
Equity Office Properties Trust ....................... 909 28,236
Equity Residential Properties Trust .................. 1,288 61,824
General Growth Properties, Inc. ...................... 131 4,217
Health Care Property Investors, Inc. ................. 1,500 44,437
Healthcare Realty Trust, Inc. ........................ 8,000 169,000
Host Marriott Corp. .................................. 581 6,536
Istar Financial, Inc. ................................ 240 5,385
Kimco Realty Corp. ................................... 175 7,394
Liberty Property Trust ............................... 200 5,500
Mack-Cali Realty Corp. ............................... 185 5,215
Plum Creek Timber Co., Inc. .......................... 123 2,744
Post Properties, Inc. ................................ 100 4,356
Public Storage, Inc. ................................. 3,331 79,736
Rouse Co. ............................................ 200 4,988
Simon Property Group, Inc. ........................... 318 7,453
Spieker Properties, Inc. ............................. 981 56,469
Vornado Realty Trust ................................. 190 7,054
------------
799,900
------------
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES -- 16.7%
ELECTRIC UTILITIES -- 13.5%
Allegheny Energy, Inc. ............................... 339 $ 12,946
Alliant Energy Corp. ................................. 208 6,110
Ameren Corp. ......................................... 2,116 88,607
American Electric Power Co., Inc. .................... 972 38,029
Calpine Corp.+ ....................................... 17 1,774
CMS Energy Corp. ..................................... 311 8,378
Consolidated Edison, Inc. ............................ 619 21,123
Constellation Energy Group ........................... 2,453 122,037
CP&L Energy, Inc. .................................... 484 20,177
Dominion Resources, Inc.+ ............................ 720 41,805
DPL, Inc. ............................................ 444 13,209
DQE, Inc. ............................................ 208 8,346
DTE Energy Co. ....................................... 2,732 104,499
Edison International ................................. 1,620 31,286
Energy East Corp. .................................... 3,790 85,749
Entergy Corp. ........................................ 3,596 133,951
FirstEnergy Corp. .................................... 698 18,802
Florida Progress Corp. ............................... 285 15,087
FPL Group, Inc. ...................................... 2,340 153,855
GPU, Inc. ............................................ 368 11,937
IPALCO Enterprises, Inc. ............................. 5,400 123,525
LG & E Energy Corp. .................................. 2,900 70,869
Montana Power Co. .................................... 324 10,814
Niagara Mohawk Holdings, Inc.+ ....................... 8,585 135,214
NiSource, Inc. ....................................... 400 9,750
Northeast Utilities .................................. 12,023 260,749
NRG Energy, Inc.+ .................................... 41 1,497
NSTAR ................................................ 181 7,285
Pacific Gas & Electric Corp. ......................... 1,143 27,646
PECO Energy Co. ...................................... 539 32,643
Pinnacle West Capital Corp. .......................... 260 13,227
Potomac Electric Power Co. ........................... 359 9,042
PPL Corp. ............................................ 404 16,867
Public Service Co. of New Mexico ..................... 6,000 155,250
Public Service Enterprise Group, Inc. ................ 655 29,270
Puget Sound Energy, Inc. ............................. 300 7,613
Reliant Energy, Inc. ................................. 5,048 234,732
SCANA Corp. .......................................... 4,944 152,646
Sempra Energy ........................................ 619 12,883
TECO Energy, Inc. .................................... 8,296 238,510
Unicom Corp. ......................................... 2,435 136,817
UtiliCorp United, Inc. ............................... 330 8,539
Wisconsin Energy Corp. ............................... 365 7,277
GAS & PIPELINE UTILITIES -- 2.9%
American Water Works Co., Inc. ....................... 673 18,550
Columbia Energy Group ................................ 256 18,176
Dynegy, Inc., Class A ................................ 3,430 195,510
Eastern Enterprises .................................. 1,969 125,647
El Paso Energy Corp. ................................. 669 41,227
KeySpan Corp. ........................................ 406 16,291
Kinder Morgan, Inc. .................................. 337 13,796
MCN Energy Group, Inc. ............................... 293 7,508
</TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
------------------------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
GAS & PIPELINE UTILITIES (CONTINUED)
National Fuel Gas Co. ................................ 100 $ 5,606
NICOR, Inc. .......................................... 171 6,188
Questar Corp. ........................................ 212 5,896
Southwest Gas Corp. .................................. 5,100 106,781
TELEPHONE -- 0.3%
CenturyTel, Inc. ..................................... 1,631 44,445
Telephone & Data Systems, Inc. ....................... 172 19,040
------------
3,265,033
------------
TOTAL INVESTMENT SECURITIES (cost $16,845,414) ....... 18,609,831
------------
<CAPTION>
SHORT-TERM SECURITIES -- 0.0% PRINCIPAL
AMOUNT
------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES -- 0.0%
United States Treasury Bills 5.95% due 10/19/00 (cost
$9,970)@............................................. $ 10,000 9,970
------------
<CAPTION>
REPURCHASE AGREEMENTS -- 6.6%
------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 6.6%
Agreement with State Street Bank & Trust Co., bearing
interest at 5.25% dated 9/29/00 to be repurchased
10/02/00 in the amount of $123,054 and collateralized
by $100,000 of U.S. Treasury Bonds, bearing interest
at 8.75% due 5/15/17 and having an approximate value
of $130,508 ......................................... 123,000 123,000
Agreement with State Street Bank & Trust Co., bearing
interest at 6.45% dated 9/29/00 to be repurchased
10/02/00 in the amount of $698,375 and collateralized
by $495,000 of U.S. Treasury Bonds, bearing interest
at 14.00% due 11/15/11 and having an approximate
value of $718,369 ................................... 698,000 698,000
Agreement with State Street Bank & Trust Co., bearing
interest at 5.25% dated 9/29/00 to be repurchased
10/02/00 in the amount of $470,206 and collateralized
by $465,000 of U.S. Treasury Notes, bearing interest
at 6.63% due 3/31/02 and having an approximate value
of $483,235 ......................................... 470,000 470,000
------------
TOTAL REPURCHASE AGREEMENTS (cost $1,291,000) ........ 1,291,000
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS -- (cost $18,146,384) 101.8% 19,910,801
Liabilities in excess of other assets -- (1.8) (354,769)
----- ------------
NET ASSETS -- 100.0% $19,556,032
===== ============
</TABLE>
-------------
+ Non-income producing securities
ADR -- American Depository Receipt
(1) Security represents an investment in an affiliated company; see Note 7
@ The security or a portion thereof represents collateral for the following
open futures contracts:
<TABLE>
<CAPTION>
OPEN FUTURES CONTRACTS
<C> <S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------------------------------
<CAPTION>
NUMBER OF EXPIRATION VALUE AT VALUE AS OF UNREALIZED
CONTRACTS DESCRIPTION DATE TRADE DATE SEPTEMBER 30, 2000 DEPRECIATION
-------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C> <C>
2 Long Standard & Poor's 500 Index December 2000 $148,874 $145,370 $(3,504)
=======
</TABLE>
See Notes to Financial Statements
----------------
148
<PAGE>
----------------
SEASONS SERIES TRUST
SMALL CAP PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 95.5%
SHARES VALUE
<S> <C> <C>
----------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 8.2%
APPAREL & TEXTILES -- 2.4%
Columbia Sportswear Co. ................ 23 $ 1,056
Cutter & Buck, Inc.+ ................... 1,100 13,682
Fossil, Inc.+ .......................... 159 2,117
G & K Services, Inc., Class A .......... 1,903 53,403
Genesco, Inc.+ ......................... 100 1,694
Guess?, Inc.+ .......................... 1,523 17,134
Kellwood Co. ........................... 228 4,161
Kenneth Cole Productions, Inc., Class
A+ ................................... 1,056 37,290
Koala Corp.+ ........................... 5,000 80,312
Nautica Enterprises, Inc.+ ............. 138 1,785
Oakley, Inc.+ .......................... 138 2,424
Oshkosh B' Gosh, Inc., Class A ......... 70 1,065
Phillips-Van Heusen Corp. .............. 200 2,063
Polo Ralph Lauren Corp., Class A+ ...... 399 6,434
Quiksilver, Inc.+ ...................... 3,000 57,750
Reebok International Ltd.+ ............. 261 4,910
Russell Corp. .......................... 166 2,635
Skechers U.S.A., Inc., Class A+ ........ 140 2,117
Stride Rite Corp. ...................... 375 1,898
Tarrant Apparel Group, Inc.+ ........... 2,300 17,250
Timberland Co., Class A+ ............... 3,094 126,854
Tropical Sportswear International
Corp.+ ............................... 2,000 34,000
Unifi, Inc.+ ........................... 321 3,270
Vans, Inc.+ ............................ 1,546 23,770
Warnaco Group, Inc. .................... 252 1,008
Wolverine World Wide, Inc. ............. 300 2,794
AUTOMOTIVE -- 1.2%
American Axle & Manufacturing Holdings,
Inc.+ ................................ 100 1,075
ArvinMeritor, Inc. ..................... 457 6,712
Bandag, Inc. ........................... 100 3,594
BorgWarner Automotive, Inc. ............ 139 4,604
Coachmen Industries, Inc. .............. 100 1,044
Collins & Aikman Corp.+ ................ 400 1,875
Cooper Tire & Rubber Co. ............... 398 4,005
CSK Auto Corp.+ ........................ 100 450
Delco Remy International, Inc.+ ........ 200 1,525
Detroit Diesel Corp. ................... 100 2,281
Donaldson Co., Inc. .................... 266 5,852
Dura Automotive Systems, Inc.+ ......... 134 1,237
Exide Corp. ............................ 100 906
Federal-Mogul Corp. .................... 433 2,354
Fleetwood Enterprises, Inc. ............ 200 2,713
General Motors Corp., Class H+ ......... 4,100 152,438
Group 1 Automotive, Inc.+ .............. 100 1,088
Hayes Lemmerz International, Inc.+ ..... 100 1,075
</TABLE>
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149
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY (CONTINUED)
AUTOMOTIVE (CONTINUED)
IMPCO Technologies, Inc.+ .............. 60 $ 1,725
Lear Corp.+ ............................ 465 9,562
MascoTech, Inc. ........................ 201 3,329
Midas, Inc. ............................ 100 1,400
Modine Manufacturing Co. ............... 112 3,155
O'Reilly Automotive, Inc.+ ............. 183 2,676
Pennzoil-Quaker State Co. .............. 494 5,187
Pep Boys-Manny, Moe & Jack ............. 300 1,500
Polaris Industries, Inc. ............... 198 6,980
Ryder System, Inc. ..................... 455 8,389
Skyline Corp. .......................... 100 2,131
Sonic Automatic, Inc.+ ................. 174 1,446
Superior Industries International,
Inc.+ ................................ 100 3,000
Tenneco Automotive Inc. ................ 212 1,100
Tower Automotive, Inc.+ ................ 264 2,475
United Auto Group, Inc.+ ............... 88 726
Winnebago Industries, Inc. ............. 147 1,838
HOUSING -- 1.1%
Applica, Inc.+ ......................... 149 922
Bush Industries, Inc., Class A ......... 100 1,156
Centex Corp.@ .......................... 426 13,685
Champion Enterprises, Inc.+ ............ 300 1,275
Clayton Homes, Inc. .................... 617 6,170
Cost Plus, Inc.+ ....................... 789 23,769
Crossmann Communities, Inc.+ ........... 1,200 23,700
D.R. Horton, Inc. ...................... 327 5,620
Dal-Tile International, Inc.+ .......... 300 3,750
Ethan Allen Interiors, Inc. ............ 233 6,597
Fedders Corp. .......................... 372 1,442
Furniture Brands International,
Inc.+ ................................ 287 4,771
Genlyte Group, Inc.+ ................... 100 2,556
Haverty Furniture Cos., Inc. ........... 184 2,012
HON INDUSTRIES, Inc. ................... 390 9,604
Kaufman & Broad Home Corp. ............. 359 9,671
Kimball International, Inc., Class B ... 152 2,717
La-Z-Boy, Inc. ......................... 343 4,995
Lennar Corp. ........................... 310 9,203
Libbey, Inc. ........................... 100 3,112
M.D.C. Holdings, Inc. .................. 121 3,146
Metromedia International Group,
Inc.+ ................................ 356 1,331
Mohawk Industries, Inc.+ ............... 282 6,151
NCI Building Systems, Inc.+ ............ 100 1,463
NVR, Inc.+ ............................. 43 3,483
Oneida Ltd. ............................ 100 1,388
Palm Harbor Homes, Inc.+ ............... 100 1,375
Pier 1 Imports, Inc. ................... 638 8,653
Pulte Corp. ............................ 236 7,788
Rent-Way, Inc.+ ........................ 133 4,040
Ryland Group, Inc. ..................... 70 2,170
SLI, Inc. .............................. 2,800 20,475
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY (CONTINUED)
HOUSING (CONTINUED)
Springs Industries, Inc., Class A ...... 56 $ 1,579
Standard Pacific Corp. ................. 200 3,600
Sunbeam Corp.+ ......................... 457 600
Toll Brothers, Inc.+ ................... 200 6,875
Toro Co. ............................... 100 3,150
Webb (Del E.) Corp.+ ................... 98 2,719
RETAIL -- 3.5
99 Cents Only Stores+ .................. 63 3,162
Abercrombie & Fitch Co., Class A+@ ..... 585 11,152
American Eagle Outfitters, Inc.+ ....... 121 3,811
Ames Department Stores, Inc.+ .......... 1,493 8,631
AnnTaylor Stores Corp.+ ................ 3,749 144,102
Barnes & Noble, Inc.+ .................. 285 5,611
Borders Group, Inc.+ ................... 474 6,606
Boyds Collection Ltd.+ ................. 400 2,950
Brown Shoe Co., Inc. ................... 74 680
Burlington Coat Factory Warehouse
Corp. ................................ 181 2,591
Casey's General Stores, Inc. ........... 244 3,172
Cato Corp., Class A .................... 100 1,250
Charming Shoppes, Inc.+ ................ 571 2,980
Chico's FAS, Inc.+ ..................... 64 2,176
Children's Place Retail Stores,
Inc.+ ................................ 1,982 51,036
Claire's Stores, Inc. .................. 221 3,978
Dillard's, Inc., Class A ............... 550 5,844
Dress Barn, Inc.+ ...................... 66 1,386
Duane Reade, Inc.+ ..................... 150 3,637
Factory 2-U Stores, Inc.+ .............. 92 2,812
Footstar, Inc.+ ........................ 100 3,231
Fred's, Inc. ........................... 100 2,244
Guitar Center, Inc.+ ................... 100 1,231
Hanover Direct, Inc.+ .................. 622 350
Hollywood Entertainment Corp.+ ......... 200 1,488
Hot Topic, Inc.+ ....................... 75 2,250
Ingles Markets, Inc., Class A .......... 100 1,100
InterTAN, Inc.+ ........................ 226 3,263
Just For Feet, Inc.+ ................... 300 12
Krispy Kreme Doughnuts, Inc.+ .......... 29 2,429
Lands' End, Inc.+ ...................... 73 1,533
Linens' N Things, Inc.+ ................ 241 6,145
Longs Drug Stores Corp. ................ 153 2,926
Martha Stewart Living, Inc., Class
A+ ................................... 80 2,100
Michaels Stores, Inc.+ ................. 214 8,560
MSC Industrial Direct Co., Inc., Class
A+ ................................... 2,700 41,175
Musicland Stores Corp.+ ................ 200 1,413
Neiman Marcus Group, Inc., Class A+ .... 207 6,715
Nu Skin Enterprises, Inc., Class A+ .... 279 1,848
OfficeMax, Inc.+ ....................... 654 2,330
Pacific Sunwear of California+ ......... 2,785 52,219
Payless ShoeSource, Inc.+ .............. 168 9,408
PC Connection, Inc.+ ................... 40 2,280
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY (CONTINUED)
RETAIL (CONTINUED)
PETCO Animal Supplies, Inc.+ ........... 186 $ 4,057
PETsMART, Inc.+ ........................ 579 2,714
Rare Hospitality International,
Inc.+ ................................ 64 1,304
Regis Corp. ............................ 176 2,640
Ruddick Corp. .......................... 166 2,303
School Specialty, Inc.+ ................ 72 1,535
Shoe Carnival, Inc.+ ................... 1,300 6,825
ShopKo Stores, Inc.+ ................... 200 2,075
Smart & Final, Inc.+ ................... 163 1,151
Spiegel, Inc., Class A ................. 165 1,155
Stein Mart, Inc.+ ...................... 203 2,195
Steven Madden Ltd.+ .................... 124 1,070
Sunglass Hut International, Inc.+ ...... 269 1,757
Talbots, Inc. .......................... 1,400 92,750
The Men's Wearhouse, Inc.+ ............. 176 4,983
The Topps Co., Inc.+ ................... 324 2,977
Too, Inc.+ ............................. 249 5,914
Trans World Entertainment Corp.+ ....... 237 2,370
Tuesday Morning Corp.+ ................. 1,000 7,812
Tweeter Home Entertainment Group,
Inc.+ ................................ 81 2,941
Ultimate Electronics, Inc.+ ............ 74 3,043
Value City Department Stores, Inc.+ .... 100 825
Venator Group, Inc.+ ................... 921 11,397
Whitehall Jewellers, Inc.+ ............. 130 1,032
Whole Foods Market, Inc.+ .............. 1,756 94,275
Wild Oats Markets, Inc.+ ............... 1,524 17,907
Wilsons The Leather Experts, Inc.+ ..... 100 1,806
Zale Corp.+ ............................ 261 8,466
------------
1,684,132
------------
CONSUMER STAPLES -- 1.7%
FOOD, BEVERAGE & TOBACCO -- 0.8%
American Italian Pasta Co., Class A+ ... 100 1,919
American States Water Co. .............. 23 696
Beringer Wine Estates Holdings, Inc.,
Class B+ ............................. 50 2,778
Chiquita Brands International, Inc. .... 254 794
Constellation Brands, Inc., Class A+ ... 100 5,431
Corn Products International, Inc. ...... 208 4,732
Dean Foods Co. ......................... 268 8,911
Del Monte Foods Co.+ ................... 400 2,475
Dole Food Co. .......................... 238 3,570
Dreyer's Grand Ice Cream, Inc. ......... 81 1,747
Earthgrains Co. ........................ 231 4,259
Fleming Cos., Inc. ..................... 310 4,049
Great Atlantic & Pacific Tea Co.,
Inc. ................................. 115 1,272
Hain Celestial Group, Inc.+ ............ 224 7,868
Horizon Organic Holding Corp.+ ......... 1,000 8,062
International Multifoods Corp. ......... 100 1,738
Interstate Bakeries Corp. .............. 191 2,793
Ionics, Inc.+ .......................... 900 19,181
</TABLE>
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<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
CONSUMER STAPLES (CONTINUED)
FOOD, BEVERAGE & TOBACCO (CONTINUED)
Lance, Inc. ............................ 271 $ 2,634
Michael Foods, Inc. .................... 136 3,179
Performance Food Group Co.+ ............ 108 4,063
Pilgrim's Pride Corp., Class B ......... 100 688
Ralcorp Holdings, Inc.+ ................ 234 3,305
Rica Foods, Inc.+ ...................... 30 495
Riviana Foods, Inc. .................... 100 1,669
Robert Mondavi Corp., Class A+ ......... 34 1,390
Russ Berrie & Co., Inc. ................ 34 672
Smithfield Foods, Inc.+ ................ 1,133 29,741
Smucker (J.M.) Co.+ .................... 200 4,862
Suiza Foods Corp.+ ..................... 208 10,543
Triarc Cos., Inc.+ ..................... 76 1,872
United Natural Foods, Inc.+ ............ 100 1,238
Universal Corp. ........................ 184 5,405
Universal Foods Corp. .................. 273 5,562
Vector Group Ltd. ...................... 105 1,824
HOUSEHOLD PRODUCTS -- 0.9%
Alberto-Culver Co., Class B ............ 277 7,981
American Greetings Corp., Class A ...... 378 6,615
Blyth, Inc. ............................ 230 5,391
Carter-Wallace, Inc. ................... 141 3,446
Central Garden & Pet Co.+ .............. 100 694
Church & Dwight Co., Inc. .............. 200 3,675
Dial Corp. ............................. 594 6,905
Herbalife International, Inc., Class
A .................................... 100 925
NBTY, Inc.+ ............................ 318 2,077
Playtex Products, Inc.+ ................ 131 1,547
Rayovac Corp.+ ......................... 148 2,534
Salton, Inc.+ .......................... 44 1,422
Tupperware Corp. ....................... 356 6,408
Twinlab Corp.+ ......................... 200 875
WD-40 Co. .............................. 100 2,125
Yankee Candle Co., Inc.+ ............... 7,263 146,168
------------
360,205
------------
ENERGY -- 7.5%
ENERGY SERVICES -- 3.9%
Atwood Oceanics, Inc.+ ................. 50 2,084
BJ Services Co.+ ....................... 1,500 91,687
Cal Dive International, Inc.+ .......... 98 5,604
CARBO Ceramics, Inc. ................... 52 1,381
Friede Goldman Halter, Inc.+ ........... 201 1,420
Global Marine, Inc.+ ................... 2,900 89,537
Grant Prideco, Inc.+ ................... 2,300 50,456
Grey Wolf, Inc.+ ....................... 1,083 6,227
Key Energy Services, Inc.+ ............. 603 5,917
Nabors Industries, Inc.+ ............... 1,800 94,320
Parker Drilling Co.+ ................... 309 2,163
Patterson Energy, Inc.+ ................ 207 7,116
</TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
ENERGY SERVICES (CONTINUED)
Precision Drilling Corp.+ .............. 2,200 $ 78,375
R&B Falcon Corp.+ ...................... 3,100 86,412
RPC, Inc. .............................. 100 1,175
SEACOR SMIT, Inc.+ ..................... 86 4,010
Smith International, Inc.+ ............. 1,100 89,719
Superior Energy Services, Inc.+ ........ 2,129 22,355
Syntroleum Corp.+ ...................... 202 4,116
Transocean Sedco Forex, Inc. ........... 1,100 64,488
Universal Compression Holdings+ ........ 64 1,980
UTI Energy Corp.+ ...................... 100 4,463
Weatherford International, Inc.+ ....... 1,900 81,700
ENERGY SOURCES -- 3.6%
Apache Corp. ........................... 1,700 100,512
Arch Coal, Inc. ........................ 116 1,160
Barrett Resources Corp.+ ............... 193 7,298
Basin Exploration, Inc.+ ............... 134 2,613
Belco Oil & Gas Corp.+ ................. 100 888
Berry Petroleum Co., Class A ........... 200 3,613
Cabot Oil & Gas Corp., Class A ......... 114 2,323
Calgon Carbon Corp. .................... 223 1,519
Chesapeake Energy Corp.+ ............... 628 4,514
Clayton Williams Energy, Inc.+ ......... 48 1,944
Comstock Resources, Inc.+ .............. 180 2,048
CONSOL Energy, Inc. .................... 182 2,923
Core Laboratories N.V.+ ................ 2,600 63,862
Cross Timbers Oil Co. .................. 504 9,670
Devon Energy Corp. ..................... 1,500 90,225
Diamond Offshore Drilling, Inc. ........ 4,000 164,000
EEX Corp.+ ............................. 305 1,487
Evergreen Resources, Inc.+ ............. 1,171 40,692
Exco Resources, Inc.+ .................. 1,400 20,737
Forcenergy, Inc.+ ...................... 64 1,672
Forest Oil Corp.+ ...................... 1,414 22,889
Frontier Oil Corp.+ .................... 188 1,387
FuelCell Energy, Inc.+ ................. 75 7,218
HS Resources, Inc.+ .................... 133 4,472
McMoRan Exploration Co.+ ............... 133 1,543
Meridian Resource Corp.+ ............... 230 1,581
Mitchell Energy & Development Corp.,
Class A .............................. 161 7,507
Nuevo Energy Co.+ ...................... 71 1,305
Patina Oil & Gas Corp. ................. 28 560
Pennaco Energy, Inc.+ .................. 68 1,182
Pioneer Natural Resources Co.+ ......... 600 8,512
Plains Resources, Inc.+ ................ 160 3,020
Pogo Producing Co. ..................... 264 6,699
Prima Energy Corp.+ .................... 29 1,544
Pure Resources, Inc.+ .................. 269 5,699
Spinnaker Exploration Co.+ ............. 35 1,221
St. Mary Land & Exploration Co. ........ 226 5,212
Stone Energy Corp.+ .................... 933 51,315
</TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
ENERGY SOURCES (CONTINUED)
Swift Energy Co.+ ...................... 159 $ 6,608
Tesoro Petroleum Corp.+ ................ 292 2,902
Tom Brown, Inc.+ ....................... 178 4,361
Unit Corp.+ ............................ 238 3,511
Vintage Petroleum, Inc. ................ 3,282 74,665
------------
1,545,318
------------
FINANCE -- 4.3%
BANKS -- 1.8%
1st Source Corp. ....................... 105 2,205
AMCORE Financial, Inc. ................. 200 3,925
American Financial Holdings, Inc. ...... 139 2,450
Anchor Bancorp, Inc. ................... 100 1,569
Andover Bancorp, Inc. .................. 9 275
Area Bancshares Corp. .................. 100 2,219
Astoria Financial Corp. ................ 246 9,502
BancorpSouth, Inc. ..................... 104 1,495
Bank United Corp., Class A@ ............ 245 12,418
Bay View Capital Corp. ................. 108 1,161
Brenton Banks, Inc. .................... 100 1,206
Brookline Bancorp, Inc. ................ 100 1,144
BT Financial Corp. ..................... 105 1,942
Capitol Federal Financial .............. 255 3,729
Cathay Bancorp, Inc. ................... 33 1,609
Century South Banks, Inc. .............. 100 1,838
Chemical Financial Corp. ............... 105 2,467
Citizens Banking Corp. ................. 342 7,866
CityBank ............................... 25 431
Colonial BancGroup, Inc. ............... 568 5,893
Commerce Bancorp, Inc.@ ................ 238 13,849
Commercial Federal Corp. ............... 308 5,890
Community First Bankshares, Inc. ....... 313 5,497
CORUS Bankshares, Inc. ................. 20 722
Cullen/Frost Bankers, Inc.@ ............ 406 13,195
CVB Financial Corp. .................... 125 2,102
Dime Community Bancshares, Inc. ........ 100 2,475
Downey Financial Corp. ................. 98 3,871
East West Bancorp, Inc. ................ 230 4,499
F&M Bancorp ............................ 100 1,981
F&M National Corp. ..................... 206 5,034
Farmers Capital Bank Corp. ............. 5 180
First Bancorp. ......................... 100 2,444
First Busey Corp. ...................... 19 352
First Charter Corp. .................... 188 2,714
First Citizens BancShares, Inc., Class
A .................................... 19 1,360
First Commonwealth Financial Corp. ..... 374 3,623
First Financial Bancorp. ............... 220 3,465
First Financial Bankshares, Inc. ....... 27 866
First Financial Corp. .................. 13 397
First Indiana Corp. .................... 100 2,606
</TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
BANKS (CONTINUED)
First Merchants Corp. .................. 39 $ 863
First Midwest Bancorp, Inc. ............ 234 6,230
FirstFed Financial Corp.+ .............. 200 4,600
Frontier Financial Corp. ............... 152 2,859
Fulton Financial Corp. ................. 473 9,371
GBC Bancorp ............................ 113 3,849
Gold Banc Corp., Inc. .................. 100 513
Greater Bay Bancorp .................... 153 10,624
Hancock Holding Co. .................... 100 3,094
Harbor Florida Bancshares, Inc. ........ 139 1,677
Harleysville National Corp. ............ 15 453
Imperial Bancorp+ ...................... 299 5,718
Independence Community Bank Corp. ...... 435 6,090
Integra Bank Corp. ..................... 105 2,330
International Bancshares Corp. ......... 106 3,246
Keystone Financial, Inc. ............... 303 6,590
MAF Bancorp, Inc. ...................... 200 4,975
Merchants New York Bancorp, Inc. ....... 57 1,172
Mid-State Bancshares ................... 100 3,125
MidAmerica Bancorp ..................... 16 418
National Penn Bancshares, Inc. ......... 176 3,385
NBT Bancorp, Inc. ...................... 105 1,260
Northwest Bancorp, Inc. ................ 249 2,085
OceanFirst Financial Corp. ............. 24 498
Omega Financial Corp. .................. 12 363
Oriental Financial Group, Inc. ......... 100 1,550
Pacific Capital Bancorp ................ 118 3,156
Pacific Northwest Bancorp .............. 100 1,294
Park National Corp. .................... 42 4,032
Peoples Bank ........................... 106 2,233
PFF Bancorp, Inc. ...................... 65 1,414
Premier National Bancorp, Inc. ......... 49 992
Provident Bankshares Corp. ............. 245 4,104
Provident Financial Group, Inc. ........ 179 5,258
Queens County Bancorp, Inc. ............ 104 3,003
R&G Financial Corp., Class B ........... 100 963
Republic Bancorp, Inc. ................. 220 2,090
Republic Security Financial Corp. ...... 332 1,639
Richmond County Financial Corp. ........ 140 3,386
Riggs National Corp. ................... 89 1,090
Roslyn Bancorp, Inc. ................... 408 9,129
S&T Bancorp, Inc. ...................... 115 2,185
Sandy Spring Bancorp, Inc. ............. 21 525
Silicon Valley Bancshares, Inc.+@ ...... 293 17,063
Sky Financial Group, Inc. .............. 513 9,106
South Financial Group, Inc. ............ 222 2,803
Southwest Bancorp of Texas, Inc.+ ...... 227 7,420
Staten Island Bancorp, Inc. ............ 334 6,680
Susquehanna Bancshares, Inc. ........... 200 3,050
Texas Regional Bancshares, Inc., Class
A .................................... 100 2,837
The Trust Co. of New Jersey ............ 170 2,847
</TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
BANKS (CONTINUED)
TrustCo Bank Corp. NY .................. 400 $ 4,925
Trustmark Corp. ........................ 417 8,131
U.S. Bancorp ........................... 1 23
U.S.B. Holding Co., Inc. ............... 105 1,398
UCBH Holdings, Inc. .................... 17 609
United Bankshares, Inc. ................ 222 4,357
W Holding Co., Inc. .................... 129 1,314
Washington Federal, Inc. ............... 300 6,825
WesBanco, Inc. ......................... 131 2,808
WestAmerica Bancorp. ................... 300 10,031
Westcorp ............................... 156 2,340
Whitney Holding Corp. .................. 111 4,031
FINANCIAL SERVICES -- 1.7%
Acacia Research Corp.+ ................. 100 3,488
Advanta Corp., Class A ................. 176 1,980
Affiliated Managers Group, Inc.+ ....... 156 8,882
Alfa Corp. ............................. 200 3,488
Allied Capital Corp.@ .................. 543 11,267
American Capital Strategies Ltd. ....... 109 2,582
AmeriCredit Corp.+(1)@ ................. 478 13,772
Ampal-American Israel Corp., Class
A+ ................................... 100 1,313
Bank of Granite Corp. .................. 34 780
BlackRock, Inc.+ ....................... 88 2,816
Cash America International, Inc. ....... 242 1,770
Century Business Services, Inc.+ ....... 400 525
Charter Municipal Mortgage Acceptance
Co. .................................. 100 1,384
Chittenden Corp. ....................... 207 5,317
CompuCredit Corp.+ ..................... 60 3,366
CPB, Inc. .............................. 15 405
Credit Acceptance Corp.+ ............... 254 1,603
Creditrust Corp.+ ...................... 100 20
Dain Rauscher Corp. .................... 93 8,649
Donaldson, Lufkin & Jenrette, Inc.+ .... 100 688
Doral Financial Corp. .................. 233 3,772
DVI, Inc.+ ............................. 100 1,944
Eaton Vance Corp. ...................... 198 10,098
Enhance Financial Services Group,
Inc. ................................. 124 1,612
F.N.B. Corp. ........................... 79 1,689
Federal Agricultural Mortgage Corp.,
Class C+ ............................. 1,300 22,912
Financial Federal Corp.+ ............... 100 2,419
FINOVA Group, Inc. ..................... 494 3,582
First Financial Holdings, Inc. ......... 180 2,756
First Sentinel Bancorp, Inc. ........... 400 3,812
Friedman, Billings, Ramsey Group, Inc.,
Class A+ ............................. 152 1,416
Hudson United Bancorp .................. 324 8,950
IndyMac Bancorp, Inc. .................. 456 9,376
Insignia Financial Group, Inc.+ ........ 100 1,025
Investment Technology Group, Inc.+ ..... 153 6,110
Investors Financial Services Corp. ..... 211 13,319
Jeffries Group, Inc. ................... 140 3,763
</TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
John Nuveen Co., Class A ............... 16 $ 774
Labranche & Co., Inc.+ ................. 283 9,445
Medallion Financial Corp. .............. 100 1,681
Metris Cos., Inc. ...................... 1,770 69,915
Morgan Keegan, Inc. .................... 130 2,275
National Discount Brokers Group,
Inc.+ ................................ 112 3,465
NCO Group, Inc.+ ....................... 1,185 14,072
Nextcard, Inc.+ ........................ 210 1,910
Ocwen Financial Corp.+ ................. 241 1,416
Phoenix Investment Partners Ltd. ....... 400 6,200
Pioneer Group, Inc.+ ................... 180 7,914
Raymond James Financial, Inc. .......... 213 7,016
Seacoast Financial Services Corp. ...... 317 3,487
Security Capital Group, Inc., Class
B+ ................................... 192 3,636
Southwest Securities Group, Inc. ....... 72 2,106
StanCorp. Financial Group, Inc. ........ 250 10,687
Sterling Bancshares, Inc. .............. 276 4,209
Tucker Anthony Sutro Corp. ............. 162 4,111
UMB Financial Corp. .................... 110 4,097
United Community Financial Corp. ....... 377 2,474
United National Bancorp ................ 173 3,071
Webster Financial Corp. ................ 329 8,862
WFS Financial, Inc.+ ................... 100 1,694
Wit Soundview Group, Inc.+ ............. 546 4,914
INSURANCE -- 0.8%
Alleghany Corp.+ ....................... 24 4,704
American National Insurance Co. ........ 46 2,938
AmerUs Group Co. ....................... 100 2,575
Argonaut Group, Inc. ................... 100 1,750
Baldwin & Lyons, Inc., Class B ......... 43 833
Berkley (W.R.) Corp. ................... 175 6,048
Brown & Brown, Inc. .................... 200 6,362
CNA Surety Corp. ....................... 192 2,208
Commerce Group, Inc. ................... 119 3,444
Crawford & Co., Class B ................ 300 3,656
Delphi Financial Group, Inc., Class
A+ ................................... 130 5,265
E.W. Blanch Holdings, Inc. ............. 77 1,598
FBL Financial Group, Inc., Class A ..... 58 943
Fidelity National Financial, Inc. ...... 395 9,776
First American Corp. ................... 413 8,621
Fremont General Corp. .................. 223 767
Gallagher (Arthur J.) & Co. ............ 223 13,185
Harleysville Group, Inc. ............... 28 532
HCC Insurance Holdings, Inc. ........... 232 4,713
Hilb, Rogal & Hamilton Co. ............. 125 5,211
Horace Mann Educators Corp. ............ 245 4,012
HSB Group, Inc. ........................ 228 9,148
Irwin Financial Corp. .................. 100 1,638
Kansas City Life Insurance Co. ......... 14 462
LandAmerica Financial Group, Inc. ...... 54 1,542
</TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
FINANCE (CONTINUED)
INSURANCE (CONTINUED)
Leucadia National Corp. ................ 266 $ 7,115
Liberty Corp. .......................... 100 3,463
Liberty Financial Cos., Inc. ........... 89 2,092
Markel Corp.+ .......................... 50 7,587
Medical Assurance, Inc.+ ............... 66 809
Mercury General Corp. .................. 158 4,473
Ohio Casualty Corp. .................... 525 3,330
Philadelphia Consolidated Holding
Corp.+ ............................... 95 1,983
PICO Holdings, Inc.+ ................... 100 1,306
PMA Capital Corp., Class A ............. 181 3,258
Presidential Life Corp. ................ 200 2,988
Reliance Group Holdings, Inc. .......... 389 79
RLI Corp. .............................. 21 810
SCPIE Holdings, Inc. ................... 100 2,013
Selective Insurance Group, Inc. ........ 254 4,540
Superior National Insurance Group,
Inc.+ ................................ 183 54
Trenwick Group, Inc. ................... 49 931
Triad Guaranty, Inc.+ .................. 134 3,987
UICI+ .................................. 200 1,400
Zenith National Insurance Corp. ........ 6 131
------------
880,856
------------
HEALTHCARE -- 15.0%
DRUGS -- 8.3%
Aclara Biosciences, Inc.+ .............. 71 2,157
Advanced Tissue Sciences, Inc.+ ........ 428 3,183
Alexion Pharmaceuticals, Inc.+ ......... 88 10,032
Alkermes, Inc.+ ........................ 1,400 54,075
Allergan, Inc. ......................... 700 59,106
Alliance Pharmaceutical Corp.+ ......... 289 4,407
Alpharma, Inc., Class A ................ 183 11,186
ALZA Corp.+ ............................ 1,400 121,100
AmeriSource Health Corp., Class A+@ .... 352 16,544
Amylin Pharmaceuticals, Inc.+ .......... 399 4,289
Aphton Corp.+ .......................... 71 2,041
ARIAD Pharmaceuticals, Inc.+ ........... 177 2,224
AVANT Immunotherapeutics, Inc.+ ........ 301 3,255
Avigen, Inc.+ .......................... 83 3,299
Barr Laboratories, Inc.+ ............... 691 45,822
Bergen Brunswig Corp., Class A@ ........ 933 10,904
Bindley Western Industries, Inc. ....... 178 5,696
Bio-Rad Laboratories, Inc., Class A+ ... 32 720
Bio-Technology General Corp.+ .......... 320 3,660
BioCryst Pharmaceuticals, Inc.+ ........ 63 1,311
BioMarin Pharmaceutical, Inc.+ ......... 85 1,562
Biopure Corp.+ ......................... 103 1,860
Biovail Corp.+ ......................... 1,000 81,437
Caremark Rx, Inc.+@ .................... 1,332 14,985
Cell Genesys, Inc.+ .................... 204 6,120
Cell Therapeutics, Inc.+ ............... 160 10,670
</TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
DRUGS (CONTINUED)
Cephalon, Inc.+ ........................ 1,400 $ 67,900
Collateral Therapeutics, Inc.+ ......... 34 984
Columbia Laboratories, Inc.+ ........... 100 581
Connetics Corp.+ ....................... 218 5,259
Corixa Corp.+ .......................... 1,108 55,677
Coulter Pharmaceutical, Inc.+ .......... 140 4,042
CryoLife, Inc.+ ........................ 39 1,353
Cubist Pharmaceuticals, Inc.+ .......... 186 9,684
CuraGen Corp.+ ......................... 154 8,205
CV Therapeutics, Inc.+ ................. 98 7,623
CYTOGEN Corp.+ ......................... 466 2,942
Deltagen, Inc.+ ........................ 500 15,469
Digene Corp.+ .......................... 47 1,692
Diversa Corp.+ ......................... 38 1,026
Dura Pharmaceuticals, Inc.+ ............ 312 11,037
DUSA Pharmaceuticals, Inc.+ ............ 64 1,972
Elan Corp. PLC ADR+ .................... 1,800 98,550
Enzo Biochem, Inc.+ .................... 130 6,305
Esperion Therapeutics, Inc.+ ........... 12,000 207,000
Exelixis, Inc.+ ........................ 73 2,290
GelTex Pharmaceuticals, Inc.+ .......... 129 6,039
Gene Logic, Inc.+ ...................... 160 3,680
Genomic Solutions, Inc.+ ............... 43 739
Genta, Inc.+ ........................... 100 956
Genzyme Transgenics Corp.+ ............. 107 3,772
Geron Corp.+ ........................... 116 3,292
Guilford Pharmaceuticals, Inc.+ ........ 119 2,744
Hyseq, Inc.+ ........................... 247 9,031
ICOS Corp.+ ............................ 1,300 70,362
ILEX Oncology, Inc.+ ................... 647 19,491
Immune Response Corp.+ ................. 199 1,368
ImmunoGen, Inc.+ ....................... 239 8,171
Immunomedics, Inc.+ .................... 184 3,852
Intermune Pharmaceuticals, Inc.+ ....... 32 1,736
IntraBiotics Pharmaceuticals, Inc.+ .... 65 1,056
Isis Pharmaceuticals, Inc.+ ............ 265 3,048
K-V Pharmaceutical Co., Class A+ ....... 500 17,562
K-V Pharmaceutical Co., Class B+ ....... 94 3,226
Kos Pharmaceuticals, Inc.+ ............. 600 11,850
Lexicon Genetics, Inc.+ ................ 1,385 43,801
Ligand Pharmaceuticals, Inc., Class
B+ ................................... 306 3,921
Martek Biosciences Corp.+ .............. 90 1,755
Matrix Pharmaceuticals, Inc.+ .......... 173 2,692
Maxygen, Inc.+ ......................... 41 2,127
Medicines Co.+ ......................... 600 20,512
Medicis Pharmaceutical Corp., Class
A+ ................................... 203 12,484
MGI Pharma, Inc.+ ...................... 75 2,250
Millennium Pharmaceuticals, Inc.+ ...... 1,000 146,062
Miravant Medical Technologies+ ......... 71 1,544
Nabi+ .................................. 359 2,513
Nanogen, Inc.+ ......................... 85 1,647
</TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
DRUGS (CONTINUED)
Neorx Corp.+ ........................... 104 $ 2,548
Neose Technologies, Inc.+ .............. 54 2,612
Neurocrine Biosciences, Inc.+ .......... 114 5,130
Neurogen Corp.+ ........................ 100 3,113
Nexell Therapeutics, Inc.+ ............. 111 1,020
Noven Pharmaceuticals, Inc.+ ........... 545 23,299
NPS Pharmaceuticals, Inc.+ ............. 113 6,392
Omnicare, Inc. ......................... 637 10,272
Orchid Biosciences, Inc.+ .............. 58 1,972
Organogenesis, Inc.+ ................... 200 2,940
OSI Pharmaceuticals, Inc.+ ............. 160 11,200
Paradigm Genetics, Inc.+ ............... 62 1,480
PAREXEL International Corp.+ ........... 166 1,411
Perrigo Co.+ ........................... 400 2,738
Pharmaceutical Product Development,
Inc.+ ................................ 1,225 32,539
Pharmacopeia, Inc.+ .................... 130 3,315
Pharmacyclics, Inc.+ ................... 95 4,714
Praecis Pharmaceuticals, Inc.+ ......... 71 3,018
Priority Healthcare Corp., Class B+ .... 89 6,786
Regeneron Pharmaceuticals, Inc.+ ....... 100 3,263
ResMed, Inc.+ .......................... 172 5,375
Ribozyme Pharmaceuticals, Inc.+ ........ 71 2,059
SangStat Medical Corp.+ ................ 123 1,576
Sciclone Pharmaceuticals, Inc.+ ........ 207 2,251
Sequenom, Inc.+ ........................ 57 2,401
SICOR, Inc.+ ........................... 2,167 22,212
SuperGen, Inc.+ ........................ 196 3,761
Syncor International Corp.+ ............ 102 3,755
Tanox, Inc.+ ........................... 2,700 91,462
Targeted Genetics Corp.+ ............... 180 2,138
Techniclone Corp.+ ..................... 509 1,241
Texas Biotechnology Corp.+ ............. 266 4,336
Titan Pharmaceuticals, Inc.+ ........... 138 8,970
Transkaryotic Therapies, Inc.+ ......... 114 4,909
Triangle Pharmaceuticals, Inc.+ ........ 200 1,688
Trimeris, Inc.+ ........................ 90 6,294
Tularik, Inc.+ ......................... 86 2,838
United Therapeutics Corp.+ ............. 104 9,087
Vivus, Inc.+ ........................... 274 1,165
HEALTH SERVICES -- 2.0
Accredo Health, Inc.+ .................. 57 2,786
Advance Paradigm, Inc.+ ................ 1,705 71,930
Allscripts, Inc.+ ...................... 101 1,427
AmeriPath, Inc.+ ....................... 215 3,117
Anesta Corp.+ .......................... 104 2,392
Apria Healthcare Group, Inc.+ .......... 2,685 37,422
Aradigm Corp.+ ......................... 140 3,211
Bally Total Fitness Holding Corp.+ ..... 1,157 28,925
Beverly Enterprises, Inc.+ ............. 500 2,969
Cerner Corp.+ .......................... 181 8,405
</TABLE>
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COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
HEALTH SERVICES (CONTINUED)
Covance, Inc.+ ......................... 344 $ 2,817
Coventry Health Care, Inc.+ ............ 409 6,186
Dendrite International, Inc.+ .......... 825 22,120
Diagnostic Products Corp. .............. 500 26,812
eBenX, Inc.+ ........................... 50 566
Eclipsys Corp.+ ........................ 292 4,672
Emisphere Technologies, Inc.+ .......... 84 2,515
Foundation Health Systems, Inc., Class
A+ ................................... 687 11,421
Gentiva Health Services, Inc.+ ......... 100 1,275
Hanger Orthopedic Group, Inc.+ ......... 2,100 7,875
Healthcare Services Group, Inc.+ ....... 1,700 8,394
Henry Schein, Inc.+ .................... 116 2,313
Humana, Inc.+ .......................... 1,063 11,427
IDEXX Laboratories, Inc.+ .............. 267 7,142
IDX Systems Corp.+ ..................... 100 1,613
IMPATH, Inc.+ .......................... 91 5,744
Invacare Corp. ......................... 200 6,425
Laboratory Corp. of America
Holdings+ ............................ 121 14,490
LifePoint Hospitals, Inc.+ ............. 178 6,319
Lincare Holdings, Inc.+ ................ 302 8,664
Manor Care, Inc.+ ...................... 524 8,220
Matria Healthcare, Inc.+ ............... 4,400 15,400
Mid Atlantic Medical Services, Inc.+ ... 299 4,522
Orthodontic Centers of America,
Inc.+ ................................ 266 8,861
Professional Detailing, Inc.+ .......... 19 1,083
Province Healthcare Co.+ ............... 188 7,488
Quorum Health Group, Inc.+ ............. 500 6,500
Rehabcare Group, Inc.+ ................. 64 2,720
Renal Care Group, Inc.+ ................ 960 17,880
Res-Care, Inc.+ ........................ 128 584
Sunrise Assisted Living, Inc.+ ......... 122 2,646
Total Renal Care Holdings, Inc.+ ....... 500 3,750
Triad Hospitals, Inc.+ ................. 252 7,402
U.S. Oncology, Inc.+ ................... 316 1,432
Valentis, Inc.+ ........................ 138 1,139
MEDICAL PRODUCTS -- 4.7%
Abgenix, Inc.+ ......................... 1,800 145,462
ABIOMED, Inc.+ ......................... 36 2,453
Acuson Corp.+ .......................... 190 4,322
ADAC Laboratories+ ..................... 161 3,351
ALARIS Medical, Inc.+ .................. 100 131
Arrow International, Inc. .............. 1,500 54,562
ArthroCare Corp.+ ...................... 123 2,391
Aspect Medical Systems, Inc.+ .......... 34 421
ATS Medical, Inc.+ ..................... 2,778 41,844
Aurora Biosciences Corp.+ .............. 143 9,724
Aviron+ ................................ 130 7,581
Biomatrix, Inc.+ ....................... 100 1,750
Biosite Diagnostics, Inc.+ ............. 72 2,871
Block Drug Co., Inc., Class A .......... 100 4,312
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COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
MEDICAL PRODUCTS (CONTINUED)
CardioDynamics International Corp.+ .... 200 $ 1,044
Cell Pathways, Inc.+ ................... 125 1,016
Cerus Corp.+ ........................... 46 2,553
ChromaVision Medical Systems, Inc.+ .... 100 950
Coherent, Inc.+@ ....................... 1,486 101,048
CONMED Corp.+ .......................... 123 1,684
Cooper Cos., Inc. ...................... 100 3,537
Cyberonics, Inc.+ ...................... 135 2,894
Cygnus, Inc.+ .......................... 192 2,112
Datascope Corp. ........................ 100 3,350
Diametrics Medical, Inc.+ .............. 200 1,606
Dionex Corp.+ .......................... 425 11,741
Edwards Lifesciences Corp.+ ............ 386 8,420
Endocare, Inc.+ ........................ 93 1,837
EntreMed, Inc.+ ........................ 69 1,923
Enzon, Inc.+ ........................... 271 17,886
ESCO Technologies, Inc.+ ............... 32 560
Genome Therapeutics Corp.+ ............. 116 2,385
Gliatech, Inc.+ ........................ 146 913
Haemonetics Corp.+ ..................... 170 4,335
IGEN International, Inc.+ .............. 100 2,013
Imatron, Inc.+ ......................... 372 860
INAMED Corp.+ .......................... 70 1,969
Inhale Therapeutic Systems, Inc.+ ...... 225 12,684
I-STAT Corp.+ .......................... 73 1,652
Lynx Therapeutics, Inc.+ ............... 72 2,255
Maxim Pharmaceuticals, Inc.+ ........... 562 34,141
MedImmune, Inc.+ ....................... 1,300 100,425
Mentor Corp. ........................... 137 2,158
Microvision, Inc.+ ..................... 79 3,017
Molecular Devices Corp.+ ............... 110 10,807
Myriad Genetics, Inc.+ ................. 1,238 106,468
Novoste Corp.+ ......................... 101 4,292
Ocular Sciences, Inc.+ ................. 104 1,248
Orthofix International N.V.+ ........... 1,400 34,650
Photogen Technologies, Inc.+ ........... 100 425
PSS World Medical, Inc.+ ............... 429 1,555
QLT PhotoTherapeutics, Inc.+ ........... 1,600 113,400
Respironics, Inc.+ ..................... 200 3,338
SCM Microsystems, Inc.+ ................ 66 2,504
Scott Technologies, Inc.+ .............. 143 2,534
Sonic Innovations, Inc.+ ............... 72 756
Staar Surgical Co.+ .................... 129 2,233
STERIS Corp.+ .......................... 500 6,000
Sunrise Technologies International,
Inc.+ ................................ 301 2,163
Theragenics Corp.+ ..................... 2,272 14,768
Thermo Cardiosystems, Inc.+ ............ 100 881
Thoratec Labs Corp.+ ................... 66 1,452
Varian Medical Systems, Inc.+ .......... 200 9,037
Vasomedical, Inc.+ ..................... 343 1,672
Ventana Medical Systems, Inc.+ ......... 100 2,538
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COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
MEDICAL PRODUCTS (CONTINUED)
Vical, Inc.+ ........................... 163 $ 4,218
Visible Genetics, Inc.+ ................ 800 32,300
VISX, Inc.+ ............................ 334 8,997
West Pharmaceutical Services, Inc. ..... 53 1,232
Zoll Medical Corp.+ .................... 74 3,607
------------
3,110,018
------------
INDUSTRIAL & COMMERCIAL -- 12.0%
AEROSPACE & MILITARY TECHNOLOGY -- 0.6%
AAR Corp. .............................. 137 1,567
Alliant Techsystems, Inc.+ ............. 76 6,241
Armor Holdings, Inc.+ .................. 2,663 39,945
Esterline Technologies Corp.+ .......... 100 1,969
GenCorp, Inc. .......................... 200 1,625
Kaman Corp., Class A ................... 200 2,525
Orbital Sciences Corp.+ ................ 5,907 49,471
Primex Technologies, Inc. .............. 25 727
REMEC, Inc.+ ........................... 215 6,329
Sequa Corp., Class A+ .................. 48 2,040
Sturm, Ruger & Co., Inc. ............... 250 2,047
Teledyne Technologies, Inc.+ ........... 236 6,873
Triumph Group, Inc.+ ................... 100 3,588
BUSINESS SERVICES -- 7.4%
Aaron Rents, Inc. ...................... 173 2,227
ABM Industries, Inc. ................... 106 2,882
Actuant Corp., Class A ................. 246 969
Administaff, Inc.+ ..................... 69 5,223
Aegis Communications Group, Inc.+ ...... 6,100 6,291
AgriBioTech, Inc.+ ..................... 300 5
Agribrands International, Inc.+ ........ 42 1,832
Albany Molecular Research, Inc.+ ....... 1,128 63,379
AMERCO+ ................................ 100 1,956
Arch Capital Group Ltd.+ ............... 21 331
Avis Group Holding, Inc.+ .............. 111 3,288
Banta Corp. ............................ 121 2,949
Billing Concepts Corp.+ ................ 253 806
Bowne & Co., Inc. ...................... 243 2,369
Brady Corp., Class A ................... 104 3,146
Bright Horizons Family Solutions,
Inc.+ ................................ 54 1,380
Brightpoint, Inc.+ ..................... 346 1,741
Butler International, Inc.+ ............ 900 4,781
Career Education Corp.+ ................ 3,942 175,419
Casella Waste Systems, Inc., Class
A+ ................................... 84 851
Catalytica, Inc.+ ...................... 145 1,794
CDI Corp.+ ............................. 700 11,200
Central Parking Corp. .................. 51 1,010
CLARCOR, Inc. .......................... 200 3,900
Coinstar, Inc.+ ........................ 100 1,356
Comfort Systems USA, Inc.+ ............. 300 1,556
Copart, Inc.+ .......................... 211 2,928
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COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
BUSINESS SERVICES (CONTINUED)
Corinthian Colleges, Inc.+ ............. 41 $ 2,419
Cornell Cos., Inc.+ .................... 1,500 12,844
Corporate Executive Board Co.+ ......... 2,698 108,594
CoStar Group, Inc.+ .................... 66 2,442
Cysive, Inc.+ .......................... 144 762
Delta & Pine Land Co. .................. 205 5,266
Diamond Technology Partners, Inc.+ ..... 865 64,226
Dollar Thrifty Automotive Group,
Inc.+ ................................ 123 2,429
DSET Corp.+ ............................ 78 1,609
Edison Schools, Inc.+ .................. 127 4,032
Education Management Corp.+ ............ 99 2,667
Electro Rent Corp.+ .................... 100 1,275
EMCOR Group, Inc.+ ..................... 22 572
Encompass Services Corp.+ .............. 411 3,339
F.Y.I., Inc.+ .......................... 100 3,738
First Consulting Group, Inc.+ .......... 1,000 5,563
Fisher Scientific International,
Inc.+ ................................ 246 8,303
Forrester Research, Inc.+ .............. 80 5,100
Foster Wheeler Corp. ................... 273 1,979
Gartner Group, Inc., Class A+ .......... 511 5,940
Global Industries Ltd.+ ................ 6,500 81,250
Granite Construction, Inc. ............. 114 2,765
HA-LO Industries, Inc.+ ................ 391 1,564
Hall, Kinion & Associates, Inc.+ ....... 87 2,474
Handleman Co.+ ......................... 129 1,596
Harland (John H.) Co. .................. 148 2,266
Harsco Corp. ........................... 221 4,876
Heidrick & Struggles International,
Inc.+ ................................ 114 5,857
Hooper Holmes, Inc. .................... 4,480 42,605
Horizon Offshore, Inc.+ ................ 97 1,710
Hughes Supply, Inc. .................... 115 2,256
Input/Output, Inc.+ .................... 297 2,859
Insituform Technologies, Inc., Class
A+ ................................... 113 3,800
Insurance Auto Auctions, Inc.+ ......... 90 1,457
Intergraph Corp.+ ...................... 284 2,041
Invitrogen Corp.+ ...................... 267 18,990
Iron Mountain, Inc.+ ................... 2,200 81,400
ITT Educational Services, Inc.+ ........ 140 3,798
Jacobs Engineering Group, Inc.+ ........ 115 4,636
Kelly Services, Inc., Class A .......... 100 2,363
kforce.com, Inc.+ ...................... 267 935
Korn/Ferry International+ .............. 218 8,243
Labor Ready, Inc.+ ..................... 1,584 6,633
Learning Tree International, Inc.+ ..... 88 4,191
Maximus, Inc.+ ......................... 100 2,213
McGrath Rentcorp. ...................... 1,000 19,000
MedQuist, Inc.+ ........................ 359 7,247
MemberWorks, Inc.+ ..................... 100 3,288
Mine Safety Appliances Co. ............. 18 397
Mobile Mini, Inc.+ ..................... 6,231 119,947
Modis Professional Services, Inc. + .... 1,218 6,318
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COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
BUSINESS SERVICES (CONTINUED)
Morrison Management Specialists,
Inc. ................................. 48 $ 1,418
National Service Industries, Inc. ...... 257 5,028
NationsRent, Inc.+ ..................... 159 626
Navigant Consulting Co.+ ............... 244 839
New England Business Service, Inc. ..... 130 2,356
Newpark Resources, Inc.+ ............... 500 4,625
Oceaneering International, Inc.+ ....... 138 2,294
On Assignment, Inc.+ ................... 1,417 44,458
Owens & Minor, Inc. .................... 203 3,197
Paxar Corp.+ ........................... 345 3,083
Paychex, Inc. .......................... 2,700 141,750
Polymer Group, Inc. .................... 98 723
Pre-Paid Legal Services, Inc.+ ......... 107 3,457
Profit Recovery Group International,
Inc.+ ................................ 351 3,466
ProsoftTraining.com+ ................... 77 1,097
R.H. Donnelley Corp.+ .................. 204 4,310
Renaissance Worldwide, Inc.+ ........... 1,600 2,500
Rent-A-Center, Inc.+ ................... 135 4,683
Rollins, Inc. .......................... 148 2,192
SCP Pool Corp.+ ........................ 141 4,177
Seitel, Inc.+ .......................... 1,500 21,562
Service Corp. International ............ 1,531 3,732
SITEL Corp.+ ........................... 230 676
Sodexho Marriott Services, Inc. ........ 164 2,696
Sotheby's Holdings, Inc., Class A ...... 224 5,572
Source Information Management Co.+ ..... 121 824
Specialty Equipment Cos., Inc.+ ........ 100 2,469
Spherion Corp.+ ........................ 359 4,286
StarTek, Inc.+ ......................... 36 1,044
Stericycle, Inc.+ ...................... 129 3,161
Stewart Enterprises, Inc., Class A ..... 446 864
SurModics, Inc.+ ....................... 24 1,314
Sylvan Learning Systems, Inc.+ ......... 270 3,999
Technology Solutions Co.+ .............. 1,041 2,603
TeleTech Holdings, Inc.+ ............... 4,000 99,000
Tetra Tech, Inc.+ ...................... 269 7,683
Trico Marine Services, Inc.+ ........... 167 2,651
U.S. Industries, Inc. .................. 541 5,376
United Rentals, Inc.+ .................. 175 4,222
UNOVA, Inc.+ ........................... 212 835
URS Corp.+ ............................. 100 1,325
USEC, Inc. ............................. 500 2,125
Veritas DGC, Inc.+ ..................... 168 4,862
Wackenhut Corp., Class A+ .............. 100 1,488
Washington Group International,
Inc.+ ................................ 300 3,431
Waste Connections, Inc.+ ............... 2,201 56,401
Waste Management, Inc. ................. 2,400 41,850
Watsco, Inc. ........................... 105 1,080
Watts Industries, Inc., Class A ........ 103 1,030
WESCO International, Inc.+ ............. 134 1,072
WestPoint Stevens, Inc. ................ 249 3,050
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COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
ELECTRICAL EQUIPMENT -- 0.4%
GenRad, Inc.+ .......................... 176 $ 1,936
LeCroy Corp.+ .......................... 1,100 19,387
Littelfuse, Inc.+ ...................... 135 4,008
Otter Tail Power Co. ................... 110 2,544
Roper Industries, Inc. ................. 200 6,637
Smith (A.O.) Corp. ..................... 121 1,520
Technitrol, Inc. ....................... 484 48,884
UCAR International, Inc.+ .............. 296 3,756
MACHINERY -- 1.4%
Advanced Energy Industries, Inc.+ ...... 56 1,848
AGCO Corp. ............................. 325 3,859
Albany International Corp., Class A+ ... 98 1,176
AptarGroup, Inc. ....................... 200 4,788
Astec Industries, Inc.+ ................ 100 1,094
Baldor Electric Co. .................... 200 4,063
Blount International, Inc.+ ............ 113 1,271
Briggs & Stratton Corp. ................ 131 4,953
Columbus McKinnon Corp. ................ 100 1,356
Cummins Engine Co., Inc. ............... 231 6,916
CUNO, Inc.+ ............................ 132 2,937
Dril-Quip, Inc.+ ....................... 46 1,834
Federal Signal Corp. ................... 300 5,962
Flow International Corp.+ .............. 1,300 14,137
Flowserve Corp. ........................ 200 3,288
Franklin Electric Co., Inc. ............ 16 1,104
FSI International, Inc.+ ............... 127 1,810
Gardner Denver, Inc.+ .................. 140 2,275
Gerber Scientific, Inc. ................ 192 1,656
Graco, Inc. ............................ 104 3,354
Helix Technology Corp. ................. 375 11,203
IDEX Corp. ............................. 181 5,057
JLG Industries, Inc. ................... 290 3,534
Kaydon Corp. ........................... 194 4,462
Kulicke & Sofa Industries, Inc.+ ....... 339 4,513
Lightpath Technologies, Inc., Class
A+ ................................... 64 3,040
Lincoln Electric Holdings, Inc. ........ 201 2,676
Lindsay Manufacturing Co. .............. 39 726
MagneTek, Inc.+ ........................ 226 2,401
Manitowoc Co., Inc. .................... 150 2,888
Matthews International Corp., Class
A .................................... 1,100 32,312
Mettler-Toledo International,
Inc.+(1) ............................. 281 12,364
Milacron, Inc. ......................... 200 2,663
Moog, Inc., Class A+ ................... 524 15,785
NACCO Industries, Inc., Class A ........ 18 756
Nordson Corp. .......................... 200 5,688
Photon Dynamics, Inc.+ ................. 93 3,511
Precision Castparts Corp. .............. 329 12,625
Presstek, Inc.+ ........................ 135 2,590
Regal-Beloit Corp. ..................... 104 1,764
Satcon Technology Corp.+ ............... 70 2,503
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COMMON STOCK (CONTINUED)
SHARES VALUE
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<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
MACHINERY (CONTINUED)
Sauer-Danfoss, Inc. .................... 168 $ 1,848
Semitool, Inc.+ ........................ 2,674 34,261
Snap-on, Inc. .......................... 376 8,859
SpeedFam-IPEC, Inc.+ ................... 122 1,395
SPS Technologies, Inc.+ ................ 100 4,850
Standex International Corp. ............ 100 1,931
Stewart & Stevenson Services, Inc. ..... 254 4,429
Tecumseh Products Co., Class A ......... 94 3,936
Tennant Co. ............................ 100 4,425
Terex Corp.+ ........................... 163 2,129
Thomas Industries, Inc. ................ 100 2,025
Valence Technology, Inc.+ .............. 230 3,968
Vicor Corp.+ ........................... 147 7,975
MULTI-INDUSTRY -- 0.4%
Applied Industrial Technologies,
Inc. ................................. 100 1,731
Asyst Technologies, Inc.+ .............. 197 3,989
Carlisle Cos., Inc. .................... 179 7,429
Chemed Corp. ........................... 100 3,181
Dexter Corp. ........................... 133 8,313
GenTek, Inc. ........................... 120 1,830
Lancaster Colony Corp. ................. 179 4,397
Mechanical Technology, Inc.+ ........... 186 2,011
Ogden Corp. ............................ 324 4,394
Pittston Brink's Group ................. 286 4,433
Plexus Corp.+ .......................... 225 15,862
Teleflex, Inc. ......................... 234 8,044
Terremark Worldwide, Inc.+ ............. 626 1,596
Tredegar Corp. ......................... 181 3,134
Trinity Industries, Inc. ............... 238 5,563
Volt Information Sciences, Inc.+ ....... 34 731
Wabtec Corp. ........................... 1,280 12,960
Walter Industries, Inc. ................ 176 1,562
TRANSPORTATION -- 1.8%
Airborne Freight Corp. ................. 297 3,026
Alexander & Baldwin, Inc. .............. 265 6,890
American Freightways Corp.+ ............ 98 1,556
Arkansas Best Corp.+ ................... 48 738
Arnold Industries, Inc. ................ 100 1,687
Atlas Air, Inc.+ ....................... 100 4,225
Circle International Group, Inc. ....... 83 2,511
CNF Transportation, Inc. ............... 335 7,454
EGL, Inc.+ ............................. 123 3,721
Forward Air Corp.+ ..................... 113 3,976
Fritz Cos., Inc.+ ...................... 167 2,004
Heartland Express, Inc.+ ............... 76 1,320
Hunt (J.B.) Transportation Services,
Inc. ................................. 130 1,657
Interpool, Inc. ........................ 100 1,144
Kirby Corp.+ ........................... 113 2,218
Landstar System, Inc.+ ................. 63 2,811
M.S. Carriers, Inc.+ ................... 100 1,562
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SHARES VALUE
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<S> <C> <C>
INDUSTRIAL & COMMERCIAL (CONTINUED)
TRANSPORTATION (CONTINUED)
Newport News Shipbuilding, Inc. ........ 154 $ 6,680
Offshore Logistics, Inc.+ .............. 6,415 114,668
Oshkosh Truck Corp. .................... 3,581 138,764
Overseas Shipholding Group, Inc. ....... 165 4,517
RailWorks Corp.+ ....................... 7,300 25,094
Roadway Express, Inc. .................. 41 735
Rollins Truck Leasing Corp. ............ 400 2,525
Swift Transportation Co., Inc.+ ........ 238 3,109
USFreightways Corp. .................... 142 3,222
Wabash National Corp. .................. 182 1,661
Werner Enterprises, Inc. ............... 200 2,350
Wisconsin Central Transportation
Corp.+ ............................... 391 4,130
XTRA Corp.+ ............................ 72 3,199
Yellow Corp.+ .......................... 238 3,600
------------
2,478,511
------------
INFORMATION & ENTERTAINMENT -- 6.8%
BROADCASTING & MEDIA -- 4.3%
4Kids Entertainment, Inc.+ ............. 101 1,704
Ackerley Group, Inc. ................... 100 1,000
Acme Communications, Inc.+ ............. 91 819
ACNielsen Corp.+ ....................... 401 9,549
ACTV, Inc.+ ............................ 246 3,382
Acxiom Corp.+ .......................... 2,900 92,075
Adaptive Broadband Corp.+ .............. 280 5,460
ADVO, Inc.+ ............................ 104 3,432
APAC Teleservices, Inc.+ ............... 99 526
Audiovox Corp., Class A+ ............... 158 2,380
Avenue A, Inc.+ ........................ 60 300
Belden, Inc. ........................... 145 3,426
CellNet Data Systems, Inc.+ ............ 400 4
Cinar Corp., Class B+ .................. 3,000 9,000
Crown Media Holdings, Inc., Class A+ ... 100 1,419
Cumulus Media, Inc., Class A+ .......... 289 1,770
Data Broadcasting Corp.+ ............... 376 1,199
EchoStar Communications Corp., Class
A+ ................................... 700 36,925
EMS Technologies, Inc.+ ................ 500 7,500
Gaylord Entertainment Co. .............. 100 2,388
Glenayre Technologies, Inc.+ ........... 449 4,883
Grey Global, Inc. ...................... 2 1,240
Hollinger International, Inc., Class
A .................................... 250 4,187
Houghton Mifflin Co. ................... 210 8,242
Imation Corp.+ ......................... 240 4,470
Information Holdings, Inc.+ ............ 42 1,488
Insight Communications Co.+ ............ 271 4,302
John Wiley & Sons, Inc., Class A ....... 341 7,822
Journal Register Co.+ .................. 300 4,987
Key3Media Group, Inc.+ ................. 169 1,848
Lee Enterprises, Inc. .................. 247 7,132
LodgeNet Entertainment Corp.+ .......... 56 1,617
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COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
BROADCASTING & MEDIA (CONTINUED)
Mail-Well, Inc.+ ....................... 327 $ 1,451
McClatchy Co., Class A ................. 93 3,272
Media General, Inc., Class A ........... 107 4,601
Mediacom Communications Corp.+ ......... 168 2,709
Meredith Corp. ......................... 210 6,195
Metrocall, Inc.+ ....................... 516 1,548
Modem Media, Inc.+ ..................... 94 405
Netro Corp.+ ........................... 2,416 143,148
On Command Corp.+ ...................... 100 1,228
ParkerVision, Inc.+ .................... 65 3,128
Paxson Communications Corp.+ ........... 240 2,760
Pegasus Communications Corp.+ .......... 3,800 183,587
Penton Media, Inc. ..................... 117 3,218
Playboy Enterprises, Inc., Class B+ .... 100 1,494
Private Media Group, Inc.+ ............. 100 563
Proxim, Inc.+ .......................... 154 6,853
Pulitzer, Inc. ......................... 100 4,295
Regent Communications, Inc.+ ........... 2,768 15,397
Salem Communications Corp., Class A+ ... 1,482 18,803
Scholastic Corp.+ ...................... 113 8,991
Sinclair Broadcast Group, Inc., Class
A+ ................................... 314 3,434
Sirius Satellite Radio, Inc.+ .......... 236 12,478
Spanish Broadcasting System, Inc., Class
A+ ................................... 9,573 112,483
Tivo, Inc.+ ............................ 95 1,841
United Television, Inc. ................ 16 2,352
ValueVision International, Inc., Class
A+ ................................... 2,047 51,431
Ventiv Health, Inc.+ ................... 100 1,263
WebLink Wireless, Inc.+ ................ 356 2,737
Wink Communications, Inc.+ ............. 108 1,296
World Wrestling Federation
Entertainment, Inc.+ ................. 81 1,230
WorldPages.com, Inc.+ .................. 166 706
Xceed, Inc.+ ........................... 60 150
Xircom, Inc.+ .......................... 1,201 30,325
XM Satellite Radio Holdings, Inc., Class
A+ ................................... 106 4,565
Young Broadcasting, Inc., Class A+ ..... 58 1,823
Ziff-Davis, Inc.-ZD .................... 158 1,284
ENTERTAINMENT PRODUCTS -- 0.4%
Arctic Cat, Inc. ....................... 100 1,263
Callaway Golf Co. ...................... 472 7,257
Championship Auto Racing Teams,
Inc.+ ................................ 1,045 25,472
Citadel Communications Corp.+ .......... 281 4,777
Concord Camera Corp.+ .................. 149 3,818
Direct Focus, Inc.+ .................... 102 4,055
Harman International Industries,
Inc. ................................. 192 7,507
JAAKS Pacific, Inc.+ ................... 75 705
Meade Instruments Corp.+ ............... 840 16,957
Polaroid Corp. ......................... 335 4,502
Universal Electronics, Inc.+ ........... 466 11,271
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COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
LEISURE & TOURISM -- 2.1%
AirTran Holdings, Inc.+ ................ 370 $ 1,642
Alaska Air Group, Inc.+ ................ 122 2,928
America West Holdings Corp., Class
B+ ................................... 200 2,438
American Classic Voyages Co.+ .......... 1,235 18,062
Anchor Gaming+ ......................... 33 2,626
Applebee's International, Inc. ......... 127 2,921
Argosy Gaming Co.+ ..................... 127 2,302
Atlantic Coast Airlines Holdings,
Inc.+ ................................ 73 2,350
Aztar Corp.+ ........................... 338 5,197
Bob Evans Farms, Inc. .................. 277 5,124
Boca Resorts, Inc., Class A+ ........... 200 2,188
Boyd Gaming Corp.+ ..................... 89 439
Buffets, Inc.+ ......................... 372 5,115
CBRL Group, Inc.+ ...................... 356 5,117
CEC Entertainment, Inc.+ ............... 1,079 34,528
Cheap Tickets, Inc.+ ................... 94 975
Choice Hotels International, Inc.+ ..... 300 3,300
Churchill Downs, Inc. .................. 30 776
Consolidated Products, Inc.+ ........... 220 1,760
Crestline Capital Corp.+ ............... 169 3,391
Dover Downs Entertainment, Inc. ........ 48 645
Extended Stay America, Inc.+ ........... 476 6,307
Fairfield Communities, Inc.+ ........... 292 2,956
Frontier Airlines, Inc.+ ............... 2,165 42,082
Hotel Reservations, Inc., Class A+ ..... 21 769
IHOP Corp.+ ............................ 110 2,104
Isle of Capri Casinos, Inc.+ ........... 187 2,899
Jack in the Box, Inc.+ ................. 213 4,566
Landry's Seafood Restaurants, Inc. ..... 265 1,805
Lone Star Steakhouse & Saloon, Inc. .... 218 1,608
Luby's, Inc. ........................... 253 1,344
Marcus, Corp. .......................... 200 2,100
Mesa Air Group, Inc.+ .................. 209 1,143
Mesaba Holdings, Inc.+ ................. 139 1,494
Midwest Express Holdings, Inc.+ ........ 100 2,013
Monaco Coach Corp.+ .................... 82 1,353
O'Charleys, Inc.+ ...................... 100 1,231
P.F. Chang's China Bistro, Inc.+ ....... 679 23,468
Papa John's International, Inc.+ ....... 176 4,411
Pinnacle Entertainment, Inc.+ .......... 155 3,371
Prime Hospitality Corp.+ ............... 300 3,037
Ruby Tuesday, Inc. ..................... 400 4,500
Ryan's Family Steak Houses, Inc.+ ...... 153 1,176
SkyWest, Inc. .......................... 3,072 157,440
Sonic Corp.+ ........................... 100 3,150
Speedway Motorsports, Inc.+ ............ 61 1,270
Station Casinos, Inc.+ ................. 178 2,537
Steiner Leisure Ltd.+ .................. 1,500 33,562
The Cheesecake Factory, Inc.+ .......... 171 7,396
Vail Resorts, Inc.+ .................... 162 3,280
WMS Industries, Inc.+ .................. 191 4,297
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COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION & ENTERTAINMENT (CONTINUED)
LEISURE & TOURISM (CONTINUED)
Wyndham International, Inc., Class
A+ ................................... 887 $ 1,608
------------
1,401,205
------------
INFORMATION TECHNOLOGY -- 31.8%
COMMUNICATION EQUIPMENT -- 3.6%
ANADIGICS, Inc.+ ....................... 184 4,071
Anixter International, Inc.+ ........... 173 5,039
Cable Design Technologies Corp.+ ....... 2,047 49,768
CellStar Corp.+ ........................ 6,400 20,200
Clarent Corp.+ ......................... 143 5,631
Computer Network Technology Corp.+ ..... 205 7,047
Corsair Communications, Inc.+ .......... 145 1,133
Crossroads Systems, Inc.+ .............. 109 926
Davox Corp.+ ........................... 93 936
Finisar Corp.+ ......................... 900 43,537
International FiberCom, Inc.+ .......... 156 2,281
Intrusion.com, Inc.+ ................... 100 1,187
JNI Corp.+ ............................. 33 2,937
Juniper Networks, Inc.+ ................ 900 197,044
Marimba, Inc.+ ......................... 117 1,430
Natural Microsystems Corp.+ ............ 206 11,082
NEON Communications, Inc.+ ............. 41 1,430
Network Access Solutions Corp.+ ........ 100 413
Network Appliance, Inc.+ ............... 900 114,637
Network Equipment Technologies,
Inc.+ ................................ 141 1,507
Network Peripherals, Inc.+ ............. 135 2,295
Nx Networks, Inc.+ ..................... 248 1,643
Optical Cable Corp.+ ................... 57 1,389
Osicom Technologies, Inc.+ ............. 63 1,559
P-Com, Inc.+ ........................... 444 2,941
Packeteer, Inc.+ ....................... 118 4,477
Palm, Inc.+ ............................ 2,000 105,875
Paradyne Networks, Inc.+ ............... 91 492
SeaChange International, Inc.+ ......... 117 3,905
Sycamore Networks, Inc.+ ............... 700 75,600
Tollgrade Communications, Inc.+ ........ 82 11,383
Tricord Systems, Inc.+ ................. 120 1,792
Turnstone Systems, Inc.+ ............... 1,400 64,925
Universal Access, Inc.+ ................ 56 658
Visual Networks, Inc.+ ................. 147 965
COMPUTER SERVICES -- 4.1%
Advent Software, Inc.+@ ................ 183 12,787
Analysts International Corp. ........... 193 1,393
Answerthink, Inc.+ ..................... 3,173 51,561
Aspen Technology, Inc.+ ................ 152 6,859
AXENT Technologies, Inc.+ .............. 220 4,744
BARRA, Inc.+ ........................... 87 5,399
BEA Systems, Inc.+ ..................... 2,300 179,112
Bell & Howell Co.+ ..................... 100 2,188
Black Box Corp.+ ....................... 138 6,434
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COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
COMPUTER SERVICES (CONTINUED)
Bottomline Technologies, Inc.+ ......... 37 $ 1,381
Breakaway Solutions, Inc.+ ............. 81 721
Brio Technology, Inc.+ ................. 102 1,077
CACI International, Inc., Class A+ ..... 32 686
Cambridge Technology Partners, Inc.+ ... 6,304 27,580
CCC Information Services Group,
Inc.+ ................................ 200 1,613
CIBER, Inc.+ ........................... 1,460 12,045
Cognizant Technology Solutions
Corp.+ ............................... 29 1,131
Complete Business Solutions, Inc.+ ..... 147 1,985
Computer Horizons Corp.+ ............... 205 1,397
Concurrent Computer Corp.+ ............. 382 7,258
Cylink Corp.+ .......................... 100 1,044
Digitas, Inc.+ ......................... 100 1,775
Documentum, Inc.+ ...................... 1,100 89,306
eLoyalty Corp.+ ........................ 2,659 33,902
EpicEdge, Inc.+ ........................ 43 118
FactSet Research Systems, Inc. ......... 108 4,061
Fair, Isaac & Co., Inc. ................ 100 4,269
FileNET Corp.+ ......................... 183 3,328
i2 Technologies, Inc.+ ................. 900 168,356
iGate Capital Corp.+ ................... 2,308 12,405
InfoUSA, Inc.+ ......................... 112 560
iXLEnterprises, Inc.+ .................. 294 1,286
Management Network Group, Inc.+ ........ 500 10,437
Manhattan Associates, Inc.+ ............ 719 44,039
Manugistics Group, Inc.+ ............... 441 43,273
MarchFirst, Inc.+ ...................... 1,324 20,770
Maxtor Corp.+ .......................... 378 3,969
McAfee.com Corp.+ ...................... 56 833
MCSi, Inc.+ ............................ 100 3,363
Mentor Graphics Corp.+ ................. 462 10,886
Mercator Software, Inc.+ ............... 353 5,847
Netegrity, Inc.+ ....................... 179 12,530
NetSolve, Inc.+ ........................ 107 762
Nhancement Technologies, Inc.+ ......... 88 1,496
Novadigm, Inc.+ ........................ 53 821
Per-Se Technologies, Inc.+ ............. 245 3,108
Perot Systems Corp., Class A+ .......... 374 4,020
ProBusiness Services, Inc.+ ............ 134 4,053
Procom Technology, Inc.+ ............... 39 1,153
ProcureNet, Inc.+# ..................... 200 0
QRS Corp.+ ............................. 139 2,094
Rainbow Technologies, Inc.+ ............ 92 3,255
Sagent Technology, Inc.+ ............... 142 1,074
Sonic Foundry, Inc.+ ................... 85 754
Sonicwall, Inc.+ ....................... 129 3,677
Standard Register Co. .................. 52 832
Sykes Enterprises, Inc.+ ............... 188 1,011
Tanning Technology Corp.+ .............. 56 770
The 3DO Co.+ ........................... 1,635 10,934
The viaLink Co.+ ....................... 100 888
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COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
COMPUTER SERVICES (CONTINUED)
Vasco Data Security International,
Inc.+ ................................ 100 $ 1,594
Vertex Interactive, Inc.+ .............. 100 1,831
Wallace Computer Services, Inc. ........ 200 3,050
Zomax, Inc.+ ........................... 179 1,253
COMPUTERS & BUSINESS EQUIPMENT -- 4.1%
Adept Technology, Inc.+ ................ 67 3,522
Advanced Digital Information Corp.+ .... 4,125 62,648
AVT Corp.+ ............................. 160 890
Brooktrout, Inc.+ ...................... 74 2,437
Compaq Computer Corp. .................. 2,000 55,160
Cray, Inc.+ ............................ 2,000 8,938
Digimarc Corp.+ ........................ 79 1,471
Dot Hill Systems Corp.+ ................ 100 650
Extended Systems, Inc.+ ................ 39 2,096
FutureLink Corp.+ ...................... 267 818
Gadzoox Networks, Inc.+ ................ 153 1,090
Gateway, Inc.+ ......................... 700 32,725
Hutchinson Technology, Inc.+ ........... 195 4,107
Identix, Inc.+ ......................... 650 7,898
IKON Office Solutions, Inc. ............ 822 3,237
Immersion Corp.+ ....................... 97 1,504
InFocus Corp.+ ......................... 1,028 54,484
Insight Enterprises, Inc.+ ............. 1,992 54,282
Interface, Inc. ........................ 254 2,024
Iomega Corp.+ .......................... 1,893 9,465
Kronos, Inc.+ .......................... 55 1,650
Media 100, Inc.+ ....................... 89 979
Mercury Computer Systems, Inc.+ ........ 122 3,393
MICROS Systems, Inc.+ .................. 1,574 23,708
Microtouch Systems, Inc.+ .............. 1,400 8,575
MMC Networks, Inc.+ .................... 185 23,402
MTI Technology Corp.+ .................. 248 946
Netscout Systems, Inc.+ ................ 100 2,375
Nuance Communications, Inc.+ ........... 36 4,381
Nyfix, Inc.+ ........................... 138 6,176
Quantum Corp.-Hard Disk Drive+ ......... 592 5,883
Radiant Systems, Inc.+ ................. 78 1,667
RadiSys Corp.+ ......................... 2,032 102,743
Redback Networks, Inc.+ ................ 1,600 262,300
S3, Inc.+ .............................. 555 5,723
Secure Computing Corp.+ ................ 175 4,561
Silicon Graphics, Inc.+ ................ 1,032 4,257
Smartdisk Corp.+ ....................... 30 431
Storage Technology Corp.+ .............. 635 8,612
Systemax, Inc.+ ........................ 224 616
Systems & Computer Technology Corp.+ ... 200 3,513
United Stationers, Inc.+ ............... 206 5,536
VERITAS Software Corp.+ ................ 300 42,600
Vertel Corp.+ .......................... 201 1,859
Wave Systems Corp., Class A+ ........... 284 4,757
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COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
COMPUTERS & BUSINESS
EQUIPMENT (CONTINUED)
Western Digital Corp.+ ................. 842 $ 4,947
Xybernaut Corp.+ ....................... 237 1,407
Zebra Technologies Corp., Class A+ ..... 185 8,892
COMPUTER SOFTWARE -- 4.0%
3Dfx Interactive, Inc.+ ................ 245 1,194
Activision, Inc.+ ...................... 1,400 21,000
Actuate Corp.+@ ........................ 386 13,335
Advantage Learning Systems, Inc.+ ...... 50 1,753
Avant! Corp.+ .......................... 288 5,256
Avid Technology, Inc.+ ................. 178 2,492
BindView Development Corp.+ ............ 262 1,981
Braun Consulting, Inc.+ ................ 74 1,466
Broadbase Software, Inc.+ .............. 191 2,590
BSQUARE Corp.+ ......................... 797 12,354
Caminus Corp.+ ......................... 48 1,908
Carreker Corp.+ ........................ 100 1,950
CheckFree Corp.+ ....................... 1,100 46,080
Clarus Corp.+ .......................... 73 1,665
Concord Communications, Inc.+ .......... 88 2,332
Daleen Technologies, Inc.+ ............. 100 1,481
Datastream Systems, Inc.+ .............. 48 618
Embarcadero Technologies, Inc.+ ........ 44 2,261
ePresence, Inc.+ ....................... 200 1,350
Excalibur Technologies Corp.+ .......... 75 5,039
eXcelon Corp.+ ......................... 209 2,586
Exchange Applications, Inc.+ ........... 1,171 5,306
Exe Technologies, Inc.+ ................ 1,000 15,000
Geoworks Corp.+ ........................ 100 738
Great Plains Software, Inc.+ ........... 60 1,688
HNC Software, Inc.+@ ................... 185 15,135
Hyperion Solutions Corp.+ .............. 200 5,175
IMRglobal Corp.+ ....................... 100 1,163
Indus International, Inc.+ ............. 100 488
Informatica Corp.+ ..................... 152 14,174
Inprise Corp.+ ......................... 379 2,025
InteliData Technologies Corp.+ ......... 261 1,366
Interactive Intelligence, Inc.+ ........ 38 1,494
Intercept Group, Inc. .................. 76 1,772
Intertrust Technologies Corp.+ ......... 367 4,427
J.D. Edwards & Co.+ .................... 374 9,677
JDA Software Group, Inc.+ .............. 115 1,466
Legato Systems, Inc.+ .................. 553 7,431
Level 8 Systems, Inc.+ ................. 54 992
MapInfo Corp.+ ......................... 108 3,382
Metacreations Corp.+ ................... 183 2,059
Metasolv Software, Inc.+ ............... 53 2,166
Micromuse, Inc.+ ....................... 700 140,656
MicroStrategy, Inc.+ ................... 150 4,097
Midway Games, Inc.+ .................... 194 1,358
Mynd Corp.+ ............................ 272 3,672
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COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
COMPUTER SOFTWARE (CONTINUED)
National Data Corp. .................... 180 $ 5,906
National Instruments Corp.+ ............ 900 39,713
NEON Systems, Inc.+ .................... 32 352
NetIQ Corp.+ ........................... 144 9,459
New Era of Networks, Inc.+ ............. 155 3,771
Numerical Technologies, Inc.+ .......... 26 749
NVIDIA Corp.+ .......................... 1,300 106,437
Objective Systems Integrators, Inc.+ ... 165 1,433
ONYX Software Corp.+ ................... 128 2,640
Pinnacle Systems, Inc.+ ................ 239 2,689
Progress Software Corp.+ ............... 290 3,951
Project Software & Development,
Inc.+ ................................ 828 12,873
Puma Technology, Inc.+ ................. 194 3,941
Quintus Corp.+ ......................... 67 574
Razorfish, Inc., Class A+ .............. 126 1,301
Remedy Corp.+ .......................... 203 3,832
SAGA SYSTEMS, Inc.+ .................... 219 2,300
Sanchez Computer Associates, Inc.+ ..... 100 1,550
ScanSoft, Inc.+ ........................ 671 1,069
Serena Software, Inc.+ ................. 114 5,251
Siebel Systems, Inc.+ .................. 1,400 155,837
Silverstream Software, Inc.+ ........... 66 1,988
SPSS, Inc.+ ............................ 33 885
Starbase Corp.+ ........................ 250 1,422
Structural Dynamics Research Corp.+ .... 200 3,275
SVI Holdings, Inc.+ .................... 151 746
Take Two Interactive Software, Inc.+ ... 221 2,776
TenFold Corp.+ ......................... 68 302
THQ, Inc.+ ............................. 1,147 26,668
Transaction Systems Architects, Inc.,
Class A+ ............................. 258 4,193
Unify Corp.+# .......................... 154 606
Verity, Inc.+ .......................... 864 30,834
Virage, Inc.+ .......................... 200 3,375
WebTrends Corp.+ ....................... 76 2,841
ELECTRONICS -- 5.2%
Act Manufacturing, Inc.+ ............... 58 3,059
Actel Corp.+ ........................... 125 4,492
ADE Corp.+ ............................. 38 778
Aeroflex, Inc.+ ........................ 165 8,023
ALLETE ................................. 488 10,797
Alliance Semiconductor Corp.+ .......... 161 3,200
American Superconductor Corp.+ ......... 115 5,653
American Technical Ceramics Corp.+ ..... 31 483
AMETEK, Inc. ........................... 200 4,237
Ampex Corp., Class A+ .................. 3,500 3,500
Analogic Corp. ......................... 820 31,519
Applied Science & Technology, Inc.+ .... 125 1,844
Artesyn Technologies, Inc.+ ............ 1,933 56,299
ATMI, Inc.+ ............................ 186 4,348
AXT, Inc.+ ............................. 706 29,520
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COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
ELECTRONICS (CONTINUED)
Bel Fuse, Inc., Class B ................ 37 $ 1,425
Benchmark Electronics, Inc.+ ........... 109 5,668
Bookham Technology PLC ADR+ ............ 300 12,862
Broadcom Corp., Class A+ ............... 700 170,625
Brooks Automation, Inc.+ ............... 127 4,207
C&D Technologies, Inc. ................. 182 10,328
C-Cube Microsystems, Inc.+ ............. 259 5,309
California Amplifier, Inc.+ ............ 109 2,507
Caliper Technologies Corp.+ ............ 21 1,217
Check Point Software Technologies
Ltd.+ ................................ 800 126,000
Checkpoint Systems, Inc.+ .............. 189 1,429
Cirrus Logic, Inc.+@ ................... 381 15,359
Cohu, Inc. ............................. 141 2,159
CTS Corp.@ ............................. 201 10,176
CyberOptics Corp.+ ..................... 26 476
Cymer, Inc.+ ........................... 209 6,414
DDI Corp.+ ............................. 60 2,655
DSP Group, Inc.+ ....................... 191 7,139
DuPont Photomasks, Inc.+ ............... 53 3,114
Elantec Semiconductor, Inc.+ ........... 120 11,955
Electro Scientific Industries, Inc.+ ... 198 6,955
Electroglas, Inc.+ ..................... 161 2,747
eMagin Corp.+ .......................... 100 1,074
EMCORE Corp.+ .......................... 144 5,987
Energy Conversion Devices, Inc.+ ....... 105 3,905
ESS Technology, Inc.+ .................. 172 2,462
Exar Corp.+ ............................ 130 15,730
Excel Technology, Inc.+ ................ 72 2,309
Fei Co.+ ............................... 94 2,039
GaSonics International Corp.+ .......... 141 1,727
General Semiconductor, Inc.+ ........... 200 2,437
hi/fn, Inc.+ ........................... 58 3,951
Ibis Technology Corp.+ ................. 39 1,416
II-VI, Inc.+ ........................... 94 1,755
Integrated Circuit Systems, Inc.+ ...... 54 999
Integrated Silicon Solution, Inc.+ ..... 145 2,057
Interlink Electronics, Inc.+ ........... 48 930
Interlogix, Inc.+ ...................... 16 212
InterVoice-Brite, Inc.+ ................ 194 2,037
IXYS Corp.+ ............................ 46 1,202
Keithley Instruments, Inc. ............. 59 4,130
Kent Electronics Corp.+ ................ 185 4,417
LTX Corp.+ ............................. 339 6,420
Mattson Technology, Inc.+ .............. 150 2,231
MEMC Electronic Materials, Inc.+ ....... 200 2,575
Methode Electronics, Inc., Class A ..... 251 11,122
Micron Electronics, Inc.+ .............. 262 2,358
Microsemi Corp.+ ....................... 43 1,639
MIPS Technologies, Inc., Class A+ ...... 234 10,764
MKS Instruments, Inc.+ ................. 29 794
Nanometrics, Inc.+ ..................... 41 2,191
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COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
ELECTRONICS (CONTINUED)
Netsilicon, Inc.+ ...................... 55 $ 1,152
Oak Technology, Inc.+ .................. 245 6,707
Packard Bioscience Co.+ ................ 55 1,073
Park Electrochemical Corp. ............. 76 4,227
Pegasus Solutions, Inc.+ ............... 2,466 48,241
Pericom Semiconductor Corp.+ ........... 114 4,218
Phoenix Technologies Ltd.+ ............. 1,296 20,655
Photronics, Inc.+ ...................... 202 4,406
Pioneer-Standard Electronics, Inc. ..... 719 9,751
Pixelworks, Inc.+ ...................... 59 2,814
PLX Technology, Inc.+ .................. 91 2,446
PMC-Sierra, Inc.+ ...................... 200 43,050
Power Integrations, Inc.+ .............. 218 3,038
PRI Automation, Inc.+ .................. 124 2,263
Quicklogic Corp.+ ...................... 98 1,617
Robotic Vision Systems, Inc.+ .......... 250 1,492
Rogers Corp.+ .......................... 79 2,498
Rudolph Technologies, Inc.+ ............ 244 8,159
Sawtek, Inc.+ .......................... 1,600 61,625
SBS Technologies, Inc.+ ................ 102 2,372
Sensormatic Electronics Corp.+ ......... 423 6,345
Silicon Image, Inc.+ ................... 186 4,615
Silicon Valley Group, Inc.+ ............ 266 6,999
SIPEX Corp.+ ........................... 158 6,646
SonoSite, Inc.+ ........................ 1,103 20,612
Spectra-Physics Lasers, Inc.+ .......... 16 857
Standard Microsystems Corp.+ ........... 45 982
Stoneridge, Inc.+ ...................... 100 963
Superconductor Technologies, Inc.+ ..... 87 1,571
Supertex, Inc.+ ........................ 63 3,174
TelCom Semiconductor, Inc.+ ............ 144 2,142
Therma-Wave, Inc.+ ..................... 254 7,302
Three-Five Systems, Inc.+ .............. 1,132 33,111
Trimble Navigation Ltd.+ ............... 182 4,072
Ultratech Stepper, Inc.+ ............... 91 1,462
Varian Semiconductor Equipment
Associates, Inc.+ .................... 194 7,263
Varian, Inc.+ .......................... 233 10,034
Veeco Instruments, Inc.+ ............... 159 16,896
Viasystems Group, Inc.+ ................ 259 4,403
White Electronic Designs Corp. ......... 100 1,200
Woodhead Industries, Inc. .............. 41 853
Woodward Governor Co. .................. 44 1,961
X-Rite, Inc. ........................... 100 875
Zoran Corp.+ ........................... 79 3,851
Zygo Corp.+ ............................ 90 7,830
INTERNET CONTENT -- 2.5%
24/7 Media, Inc.+ ...................... 137 1,383
About.com, Inc.+ ....................... 79 2,558
Alloy Online, Inc.+ .................... 1,000 8,500
Amazon.com, Inc.+ ...................... 1,700 65,344
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COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
INTERNET CONTENT (CONTINUED)
Aperian, Inc.+ ......................... 60 $ 383
Ask Jeeves, Inc.+ ...................... 130 2,494
barnesandnoble.com, Inc.+ .............. 224 1,099
Calico Commerce, Inc.+ ................. 135 827
click2learn.com, Inc.+ ................. 86 1,263
Digital Courier Technologies, Inc.+ .... 152 276
Digital Insight Corp.+ ................. 112 4,018
Drugstore.com, Inc.+ ................... 172 581
e-MedSoft.com+ ......................... 184 483
eMerge Interactive, Inc., Class A+ ..... 800 12,700
eToys, Inc.+ ........................... 471 2,517
Frontline Capital Group+ ............... 141 2,318
FVC.COM, Inc.+ ......................... 1,300 6,500
GlobalNet Financial.com, Inc.+ ......... 116 732
Go2Net, Inc.+ .......................... 171 9,279
GoTo.com, Inc.+ ........................ 181 2,986
GTECH Holdings Corp.+ .................. 200 3,312
High Speed Access Corp.+ ............... 255 924
Hollywood.com, Inc.+ ................... 100 603
HotJobs.com, Ltd.+ ..................... 100 1,706
iBEAM Broadcasting Corp.+ .............. 95 647
iGo Corp.+ ............................. 1,500 4,125
Internet Pictures Corp.+ ............... 349 1,898
Internet.com Corp.+ .................... 56 1,732
iVillage, Inc.+ ........................ 184 713
Juno Online Services, Inc.+ ............ 143 572
Jupiter Media Metrix, Inc.+ ............ 735 11,717
Lante Corp.+ ........................... 100 500
Lifeminders, Inc.+ ..................... 85 1,950
Looksmart Ltd.+ ........................ 310 3,468
Mail.com, Inc.+ ........................ 218 1,138
Mediaplex, Inc.+ ....................... 93 384
Medicalogic/Medscape, Inc.+ ............ 100 356
MP3.com, Inc.+ ......................... 109 429
Multex.com, Inc.+ ...................... 1,017 17,416
Mypoints.com, Inc.+ .................... 131 721
NBC Internet, Inc., Class A+ ........... 254 1,667
Neoforma.com, Inc.+ .................... 149 554
Net.Bank, Inc.+ ........................ 217 2,563
Net2Phone, Inc.+ ....................... 92 2,070
Netcentives, Inc.+ ..................... 190 1,455
Netcreations, Inc.+ .................... 33 353
Netobjects, Inc.+ ...................... 106 331
Network Commerce, Inc.+ ................ 214 1,197
NetZero, Inc.+ ......................... 200 425
On2.com, Inc.+ ......................... 177 441
Onvia.com, Inc.+ ....................... 89 395
PC-Tel, Inc.+ .......................... 58 1,348
Prodigy Communications Corp., Class
A+ ................................... 98 502
Purchasepro.com, Inc.+ ................. 62 5,448
Quokka Sports, Inc.+ ................... 100 397
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COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
INTERNET CONTENT (CONTINUED)
Ramp Networks, Inc.+ ................... 126 $ 445
Rare Medium Group, Inc.+ ............... 218 1,621
Register.com, Inc.+ .................... 23 219
S1 Corp.+ .............................. 2,800 33,425
Sciquest.com, Inc.+ .................... 142 981
Smartserv Online, Inc.+ ................ 30 1,073
SportsLine.com, Inc.+ .................. 141 1,948
Stamps.com, Inc.+ ...................... 8,139 31,284
StarMedia Network, Inc.+ ............... 309 2,317
Student Advantage, Inc.+ ............... 4,700 34,662
Switchboard, Inc.+ ..................... 65 423
Travelocity.com, Inc.+ ................. 133 1,887
Trizetto Group, Inc.+ .................. 121 1,875
U.S. Interactive, Inc. ................. 143 362
Ventro Corp.+ .......................... 176 1,936
VeriSign, Inc.+ ........................ 800 162,050
VIA NET.WORKS, Inc.+ ................... 80 770
Viador, Inc.+ .......................... 90 788
Viant Corp.+ ........................... 213 1,251
Yahoo!, Inc.+ .......................... 300 27,300
INTERNET SOFTWARE -- 3.3%
Accrue Software, Inc.+ ................. 113 1,349
Agency.com Ltd.+ ....................... 264 3,943
Allaire Corp.+ ......................... 139 1,181
AppliedTheory Corp.+ ................... 73 447
AremisSoft Corp.+ ...................... 82 3,075
Ariba, Inc.+ ........................... 1,200 171,919
Art Technology Group, Inc.+ ............ 1,000 94,750
Be Free, Inc.+ ......................... 187 795
Bluestone Software, Inc.+ .............. 52 904
Brokat AG ADR+ ......................... 15 530
Caldera Systems, Inc.+ ................. 55 225
Centillium Communications, Inc.+ ....... 28 2,688
Chordiant Software, Inc.+ .............. 56 434
Cyber-Care, Inc.+ ...................... 247 1,571
CyberSource Corp.+ ..................... 836 9,457
Data Return Corp.+ ..................... 50 1,012
Digital Impact, Inc.+ .................. 72 475
Digital Islands, Inc.+ ................. 414 7,762
Digital River, Inc.+ ................... 165 1,062
DSL.net, Inc.+ ......................... 313 959
eCollege.com, Inc.+ .................... 1,400 11,200
eGain Communications Corp.+ ............ 157 1,477
eSpeed, Inc., Class A+ ................. 77 2,190
Extensity, Inc.+ ....................... 36 756
F5 Networks, Inc.+ ..................... 95 3,230
FirePond, Inc.+ ........................ 44 638
Globix Corp.+ .......................... 101 2,355
GRIC Communications, Inc.+ ............. 46 334
Ibasis, Inc.+ .......................... 80 1,270
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COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
INTERNET SOFTWARE (CONTINUED)
Information Architects Corp.+ .......... 178 $ 590
Inktomi Corp.+ ......................... 200 22,800
Interact Commerce Corp.+ ............... 66 722
Interliant, Inc.+ ...................... 337 2,696
InterWorld Corp.+ ...................... 124 473
Interwoven, Inc.+ ...................... 225 25,439
IntraNet Solutions, Inc.+ .............. 111 5,550
Intraware, Inc.+ ....................... 108 807
ITXC Corp.+ ............................ 88 1,287
Keynote Systems, Inc.+ ................. 114 3,049
Lionbridge Technologies, Inc.+ ......... 1,300 11,131
Macromedia, Inc.+ ...................... 900 72,731
Matrixone, Inc.+ ....................... 43 1,720
National Information Consortium,
Inc.+ ................................ 73 290
Net Perceptions, Inc.+ ................. 100 472
Netopia, Inc.+ ......................... 623 6,853
Open Market, Inc.+ ..................... 256 1,608
Persistence Software, Inc.+ ............ 100 1,094
Primus Knowledge Solutions, Inc.+ ...... 584 8,650
Proxicom, Inc.+ ........................ 300 5,850
RAVISENT Technologies, Inc.+ ........... 100 281
RealNetworks, Inc.+ .................... 1,400 55,650
Retek, Inc.+ ........................... 27 1,431
Rhythms NetConnections, Inc.+ .......... 435 3,208
Selectica, Inc.+ ....................... 22 877
Sequoia Software Corp.+ ................ 48 311
SoftNet Systems, Inc.+ ................. 215 1,283
Tumbleweed Communications Corp.+ ....... 63 3,213
Vignette Corp.+ ........................ 500 14,937
WatchGuard Technologies, Inc.+ ......... 1,478 88,680
WebMD Corp.+ ........................... 1 8
WorldGate Communications, Inc.+ ........ 100 2,100
ZixIt Corp.+ ........................... 125 3,812
TELECOMMUNICATIONS -- 5.0%
Adelphia Business Solutions, Inc.+ ..... 128 1,512
Advanced Radio Telecom Corp.+ .......... 200 1,700
AirGate PCS, Inc.+ ..................... 77 3,455
Airnet Communications Corp.+ ........... 51 1,138
Alamosa PCS Holdings, Inc.+ ............ 94 1,522
Alaska Communications Systems Holdings,
Inc.+ ................................ 100 638
Allen Telecom, Inc.+ ................... 146 2,473
Allied Riser Communcations Corp.+ ...... 397 2,630
Amdocs Ltd.+ ........................... 1,700 106,037
American Telesource International,
Inc.+ ................................ 319 738
Anaren Microwave, Inc.+ ................ 65 8,816
Arch Wireless, Inc.+ ................... 349 1,745
Arguss Communications, Inc.+ ........... 100 2,044
Avanex Corp.+ .......................... 800 86,150
Avocent Corp.+@ ........................ 291 16,041
Aware, Inc.+ ........................... 100 3,850
</TABLE>
----------------
181
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
Boston Communications Group, Inc.+ ..... 900 $ 17,325
C-COR.net Corp.+ ....................... 227 3,476
CapRock Communications Corp.+ .......... 244 1,243
Carrier Access Corp.+ .................. 45 892
Celeritek, Inc.+ ....................... 69 2,600
Choice One Communications, Inc.+ ....... 40 488
CIENA Corp.+ ........................... 1,600 196,500
Cobalt Networks, Inc.+ ................. 169 9,781
Com21, Inc.+ ........................... 176 2,376
Comtech Telecommunications Corp.+ ...... 1,100 16,225
Convergent Communications, Inc.+ ....... 100 319
CT Communications, Inc. ................ 100 2,031
CTC Communications Group, Inc.+ ........ 106 2,146
Deltathree.com, Inc., Class A+ ......... 88 319
e.spire Communications, Inc.+ .......... 419 1,231
eGlobe, Inc.+ .......................... 258 314
Electric Lightwave, Inc., Class A+ ..... 100 850
General Communication, Inc., Class
A+ ................................... 248 1,775
GoAmerica, Inc.+ ....................... 88 778
Golden Telecom, Inc.+ .................. 45 782
Hypercom Corp.+ ........................ 100 1,038
ICG Communications, Inc.+ .............. 275 120
IDT Corp.+ ............................. 172 6,686
Illuminet Holdings, Inc.+ .............. 115 3,191
IMPSAT Fiber Networks, Inc.+ ........... 57 627
Inter-Tel, Inc. ........................ 180 2,047
InterDigital Communications Corp.+ ..... 333 4,662
ITC DeltaCom, Inc.+ .................... 387 4,450
JDS Uniphase Corp.+ .................... 500 47,344
Latitude Communications, Inc.+ ......... 142 1,101
LCC International, Inc., Class A+ ...... 84 1,218
Leap Wireless International, Inc.+ ..... 160 10,010
Lexent, Inc.+ .......................... 500 14,875
Lightbridge, Inc.+ ..................... 1,090 12,671
MCK Communications, Inc.+ .............. 71 1,606
Metricom, Inc.+ ........................ 123 3,167
Motient Corp.+ ......................... 268 3,785
Mpower Communications Corp.+ ........... 1,488 12,973
MRV Communications, Inc.+@ ............. 307 13,911
Net2000 Communication, Inc.+ ........... 100 638
Network Plus Corp.+ .................... 155 1,337
North Pittsburgh Systems, Inc. ......... 100 1,363
Nucentrix Broadband Networks, Inc.+ .... 32 820
Pac-West Telecomm, Inc.+ ............... 91 830
Plantronics, Inc.+ ..................... 6,239 237,082
Price Communications Corp.+ ............ 285 5,575
Primus Telecommunications Group,
Inc.+ ................................ 204 1,938
Rural Celluar Corp., Class A+ .......... 57 3,883
Savvis Communications Corp.+ ........... 69 621
SBA Communcations Corp.+ ............... 201 8,429
Somera Communications, Inc.+ ........... 143 1,359
</TABLE>
----------------
182
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
Sonus Networks, Inc.+ .................. 600 $ 75,825
Spectralink Corp.+ ..................... 104 982
Stanford Microdevices, Inc.+ ........... 13 696
Symmetricom, Inc.+ ..................... 187 2,922
TALK.com, Inc.+ ........................ 3,746 16,506
Telaxis Communications Corp.+ .......... 39 238
Teligent, Inc., Class A+ ............... 164 2,132
Telxon Corp. ........................... 115 2,013
Tut Systems, Inc.+ ..................... 94 8,113
U.S. Wireleless Corp.+ ................. 125 1,984
Viasat, Inc.+ .......................... 75 1,678
Viatel, Inc.+ .......................... 296 3,034
Vyyo, Inc.+ ............................ 59 1,770
Westell Technologies, Inc., Class A+ ... 227 2,923
World Access, Inc.+ .................... 409 2,211
Z-Tel Technologies, Inc.+ .............. 72 522
------------
6,568,668
------------
MATERIALS -- 2.9%
CHEMICALS -- 1.1%
A. Schulman, Inc. ...................... 200 2,200
Airgas, Inc.+ .......................... 352 2,398
Albemarle Corp. ........................ 128 2,584
AMCOL International Corp. .............. 240 1,170
Arch Chemicals, Inc. ................... 113 2,062
Bush Boake Allen, Inc.+ ................ 17 813
Cabot Microelectronics Corp.+ .......... 28 1,344
Cambrex Corp. .......................... 174 6,438
ChemFirst, Inc. ........................ 159 3,309
Crompton Corp. ......................... 743 5,851
Cytec Industries, Inc.+ ................ 290 9,697
Ethyl Corp. ............................ 600 863
Ferro Corp. ............................ 200 3,812
Georgia Gulf Corp. ..................... 204 2,333
Great Lakes Chemical Corp. ............. 345 10,113
H.B. Fuller Co. ........................ 76 2,185
International Specialty Products,
Inc.+ ................................ 100 538
Lilly Industries, Inc., Class A ........ 153 4,513
Lubrizol Corp. ......................... 379 7,462
MacDermid, Inc. ........................ 76 1,596
Millennium Chemicals, Inc. ............. 465 6,888
NL Industries, Inc. .................... 200 4,237
Olin Corp. ............................. 247 3,998
OM Group, Inc. ......................... 2,334 101,821
Omnova Solutions, Inc. ................. 200 1,113
PolyOne Corp. .......................... 500 3,656
RPM, Inc. .............................. 642 5,818
Scotts Co., Class A+ ................... 135 4,522
Solutia, Inc. .......................... 707 8,042
Spartech Corp. ......................... 88 1,370
</TABLE>
----------------
183
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
MATERIALS (CONTINUED)
CHEMICALS (CONTINUED)
Symyx Technologies, Inc.+ .............. 118 $ 5,118
UniRoyal Technology Corp.+ ............. 121 1,815
Valspar Corp. .......................... 220 5,058
W.R. Grace & Co.+ ...................... 517 3,554
Wellman, Inc. .......................... 192 2,772
FOREST PRODUCTS -- 0.3%
Buckeye Technologies, Inc.+ ............ 129 2,677
Caraustar Industries, Inc. ............. 200 2,213
Chesapeake Corp. ....................... 105 2,021
Deltic Timber Corp. .................... 100 1,694
EarthShell Corp.+ ...................... 300 375
Gaylord Container Corp., Class A+ ...... 351 592
Glatfelter (P.H.) Co. .................. 200 2,425
Greif Brothers Corp., Class A .......... 82 2,726
Ivex Packaging Corp.+ .................. 76 746
Longview Fibre Co. ..................... 300 3,600
Louisiana-Pacific Corp. ................ 822 7,552
Packaging Corp. of America+ ............ 295 3,263
Pactiv Corp.+ .......................... 1,121 12,541
Pope & Talbot, Inc. .................... 50 716
Potlatch Corp. ......................... 159 5,028
Rayonier, Inc. ......................... 163 5,858
Rock-Tenn Co., Class A ................. 100 994
Schweitzer-Mauduit International,
Inc. ................................. 169 2,260
Universal Forest Products, Inc. ........ 100 1,142
Wausau-Mosinee Paper Corp. ............. 338 2,620
METALS & MINERALS -- 1.5%
AK Steel Holding Corp. ................. 528 4,950
Armstrong Holdings, Inc. ............... 289 3,450
Ball Corp. ............................. 230 7,288
Barnes Group, Inc. ..................... 100 1,838
Battle Mountain Gold Co.+ .............. 1,044 1,827
Bethlehem Steel Corp.+ ................. 800 2,400
Brush Engineered Materials, Inc. ....... 100 2,163
Carpenter Technology Corp. ............. 96 2,796
Centex Construction Products, Inc. ..... 18 447
Century Aluminum Co. ................... 100 1,250
Cleveland-Cliffs, Inc. ................. 100 2,288
Commercial Metals Co. .................. 100 2,550
Elcor Corp. ............................ 1,155 16,747
Florida Rock Industries, Inc. .......... 100 3,944
Freeport-McMoRan Copper & Gold, Inc.,
Class B+ ............................. 845 7,447
General Cable Corp. .................... 200 1,513
Griffon Corp.+ ......................... 300 2,269
Hexcel Corp.+ .......................... 200 2,675
Kennametal, Inc. ....................... 156 4,017
Lennox International, Inc. ............. 281 2,634
Lone Star Technologies, Inc.+ .......... 148 6,830
LTV Corp. .............................. 600 788
Maverick Tube Corp.+ ................... 2,846 76,664
</TABLE>
----------------
184
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
MATERIALS (CONTINUED)
METALS & MINERALS (CONTINUED)
Metals USA, Inc. ....................... 300 $ 881
Minerals Technologies, Inc. ............ 112 5,152
Mueller Industries, Inc.+ .............. 210 4,712
Myers Industries, Inc. ................. 184 2,334
National Steel Corp., Class B .......... 123 369
Nortek, Inc.+ .......................... 37 648
NS Group, Inc.+ ........................ 71 1,410
Owens Corning Co. ...................... 267 701
Penn Engineering & Manufacturing
Corp. ................................ 12 377
Quanex Corp. ........................... 100 1,906
Reliance Steel & Aluminum Co. .......... 150 3,159
RTI International Metals, Inc.+ ........ 71 1,025
Ryerson Tull, Inc. ..................... 129 1,217
Shaw Group, Inc.+ ...................... 114 8,037
Simpson Manufacturing Co., Inc.+ ....... 34 1,519
Southern Peru Copper Corp. ............. 154 2,387
Steel Dynamics, Inc.+ .................. 311 2,857
Stillwater Mining Co.+ ................. 2,877 77,880
Texas Industries, Inc. ................. 110 3,506
Timken Co. ............................. 300 4,106
Trex Co., Inc.+ ........................ 50 1,516
U.S. Can Corp.+ ........................ 100 1,981
Valmont Industries, Inc. ............... 147 2,922
Wolverine Tube, Inc.+ .................. 32 476
Worthington Industries, Inc. ........... 490 4,594
York International Corp. ............... 291 7,239
------------
593,792
------------
REAL ESTATE -- 1.9%
REAL ESTATE COMPANIES -- 0.2%
Catellus Development Corp.+@ ........... 1,290 22,575
CB Richard Ellis Services, Inc.+ ....... 100 1,225
Forest City Enterprises, Inc., Class
A .................................... 100 3,600
Jones Lang Lasalle, Inc.+ .............. 200 2,600
LNR Property Corp. ..................... 128 2,832
Trammell Crow Co.+ ..................... 200 3,000
REAL ESTATE INVESTMENT TRUSTS -- 1.7%
Alexander's, Inc.+ ..................... 9 736
Alexandria Real Estate Equities,
Inc. ................................. 100 3,431
American Industrial Properties REIT .... 40 570
Amli Residential Properties Trust ...... 100 2,400
Arden Realty, Inc.@ .................... 423 11,342
Bedford Property Investors, Inc. ....... 100 2,031
Boykin Lodging Co. ..................... 200 2,075
Brandywine Realty Trust ................ 200 4,050
BRE Properties, Inc., Class A .......... 351 11,232
Burnham Pacific Properties, Inc. ....... 108 655
Cabot Industrial Trust ................. 251 5,004
Camden Property Trust .................. 213 6,603
Capital Automotive REIT ................ 241 3,133
</TABLE>
----------------
185
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
REAL ESTATE (CONTINUED)
REAL ESTATE INVESTMENT
TRUSTS (CONTINUED)
Capstead Mortgage Corp. ................ 164 $ 1,476
CBL & Associates Properties, Inc. ...... 113 2,832
CenterPoint Properties Corp. ........... 104 4,790
Charles E. Smith Residential Realty,
Inc. ................................. 106 4,810
Chateau Communities, Inc. .............. 100 2,681
Chelsea GCA Realty, Inc. ............... 100 3,512
Colonial Properties Trust .............. 116 2,980
Commercial Net Lease Realty ............ 345 3,579
Cornerstone Realty Income Trust ........ 200 2,125
Cousins Properties, Inc. ............... 203 8,742
Developers Diversified Realty Corp. .... 398 5,124
EastGroup Properties, Inc. ............. 47 1,046
Entertainment Properties Trust ......... 200 2,125
Equity Inns, Inc. ...................... 460 3,048
Essex Property Trust, Inc. ............. 151 8,362
Federal Realty Investment Trust ........ 200 3,825
FelCor Lodging Trust, Inc. ............. 297 6,868
First Industrial Realty Trust .......... 310 9,532
Franchise Finance Corp. of America ..... 396 8,910
Gables Residential Trust ............... 111 3,018
Glenborough Realty Trust, Inc. ......... 196 3,528
Glimcher Realty Trust .................. 200 2,988
Great Lakes REIT, Inc. ................. 200 3,475
Health Care Property Investors, Inc. ... 304 9,006
Health Care REIT, Inc. ................. 153 2,716
Healthcare Realty Trust, Inc. .......... 943 19,921
Highwoods Properties, Inc. ............. 348 8,221
Home Properties of New York, Inc. ...... 100 2,988
Hospitality Properties Trust ........... 280 6,545
HRPT Properties Trust .................. 790 5,530
Innkeepers USA Trust ................... 400 4,100
IRT Property Co. ....................... 200 1,750
JDN Realty Corp. ....................... 200 2,263
JP Realty, Inc. ........................ 17 307
Kilroy Realty Corp. .................... 125 3,336
Koger Equity, Inc. ..................... 200 3,400
LaSalle Hotel Properties ............... 100 1,513
Lexington Corp. Properties Trust ....... 100 1,125
Macerich Co. ........................... 173 3,676
Manufactured Home Communities, Inc. .... 127 3,175
Meditrust Corp. ........................ 681 2,000
Meristar Hospitality Corp. ............. 189 3,827
Mid-America Apartment Communities,
Inc. ................................. 62 1,484
Mills Corp. ............................ 133 2,519
National Golf Properties, Inc. ......... 140 2,888
National Health Investors, Inc. ........ 149 1,006
Nationwide Health Properties, Inc. ..... 216 3,442
New Plan Excel Realty Trust ............ 551 7,542
Pacific Gulf Properties, Inc. .......... 115 3,076
Parkway Properties, Inc. ............... 100 3,050
Pennsylvania Real Estate Investment
Trust ................................ 162 2,825
</TABLE>
----------------
186
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
REAL ESTATE (CONTINUED)
REAL ESTATE INVESTMENT
TRUSTS (CONTINUED)
Prentiss Properties Trust .............. 300 $ 7,837
Prime Group Realty Trust ............... 36 567
Prison Realty Trust, Inc.+ ............. 581 690
PS Business Parks, Inc. ................ 100 2,725
Realty Income Corp. .................... 200 4,662
Reckson Associates Realty Corp. ........ 429 10,939
Regency Realty Corp. ................... 232 5,321
RFS Hotel Investors, Inc. .............. 200 2,525
Shurgard Storage Centers, Inc., Class
A .................................... 137 3,091
SL Green Realty Corp. .................. 142 3,985
Sovran Self Storage, Inc. .............. 157 3,218
Storage USA, Inc. ...................... 200 6,100
Summit Properties, Inc. ................ 236 5,679
Sun Communities, Inc. .................. 100 3,163
Tanger Factory Outlet Centers, Inc. .... 89 1,958
Taubman Centers, Inc. .................. 300 3,469
Town & Country Trust ................... 31 558
United Dominion Realty Trust, Inc. ..... 602 6,547
Urban Shopping Centers, Inc. ........... 100 4,750
Ventas, Inc. ........................... 300 1,500
Washington Real Estate Investment
Trust ................................ 300 6,019
Weingarten Realty Investors, Inc. ...... 145 5,909
Western Properties Trust ............... 106 1,305
Westfield America, Inc. ................ 200 2,750
------------
396,968
------------
UTILITIES -- 3.4%
ELECTRIC UTILITIES -- 1.3%
Advanced Lighting Technologies,
Inc.+ ................................ 69 854
Avista Corp. ........................... 353 7,942
Black Hills Corp. ...................... 100 2,806
Calpine Corp.+ ......................... 1,300 135,687
CH Energy Group, Inc. .................. 115 4,586
Cleco Corp. ............................ 152 7,106
Conectiv, Inc. ......................... 587 10,493
El Paso Electric Co.+ .................. 300 4,131
Empire District Electric Co. ........... 182 4,778
Hawaiian Electric Industries, Inc. ..... 222 7,742
IDACORP, Inc. .......................... 210 9,712
Independent Energy Holdings PLC ADR+ ... 1,700 12,856
Integrated Electrical Services,
Inc.+ ................................ 212 1,458
Kansas City Power & Light Co. .......... 347 9,261
Madison Gas & Electric Co. ............. 186 4,232
OGE Energy Corp. ....................... 490 10,443
Public Service Co. of New Mexico ....... 225 5,822
Research Frontiers, Inc.+ .............. 50 959
RGS Energy Group, Inc. ................. 194 5,468
Sierra Pacific Resources Co. ........... 541 9,738
Uil Holding Corp. ...................... 100 5,144
UniSource Energy Corp. Holdings Co. .... 200 3,275
</TABLE>
----------------
187
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
ELECTRIC UTILITIES (CONTINUED)
Universal Display Corp.+ ............... 96 $ 2,118
Western Resources, Inc. ................ 511 11,050
WPS Resources Corp. .................... 165 5,404
GAS & PIPELINE UTILITIES -- 2.0%
AGL Resources, Inc. .................... 311 6,239
Atmos Energy Corp. ..................... 200 4,125
Azurix Corp.+ .......................... 210 748
Cadiz, Inc.+ ........................... 200 2,000
California Water Service Group ......... 100 2,675
CTG Resources, Inc. .................... 89 3,649
Dynegy, Inc., Class A .................. 1,400 79,800
E'Town Corp. ........................... 100 6,687
El Paso Energy Corp. ................... 1,700 104,762
Energen Corp. .......................... 200 5,950
Laclede Gas Co. ........................ 200 4,325
Louis Dreyfus Natural Gas Corp.+ ....... 2,272 90,028
MDU Resources Group, Inc. .............. 445 13,239
Midcoast Energy Resources, Inc. ........ 20 411
New Jersey Resources Corp. ............. 100 4,063
Northwest Natural Gas Co. .............. 200 4,550
NorthWestern Corp. ..................... 100 1,950
NUI Corp. .............................. 40 1,208
ONEOK, Inc. ............................ 200 7,950
Peoples Energy Corp. ................... 283 9,445
Philadelphia Suburban Corp. ............ 200 4,637
Piedmont Natural Gas Co. ............... 206 6,309
SEMCO Energy, Inc. ..................... 200 3,075
SJW Corp. .............................. 3 356
South Jersey Industries, Inc. .......... 28 817
Southern Union Co.+ .................... 237 4,696
Southwest Gas Corp. .................... 160 3,350
Southwestern Energy Co. ................ 200 1,750
TransMontaigne, Inc.+ .................. 1,600 7,900
UGI Corp. .............................. 207 5,020
Vectren Corp. .......................... 407 8,267
Washington Gas Light Co. ............... 368 9,890
Western Gas Resources, Inc. ............ 120 3,008
TELEPHONE -- 0.1%
CFW Communications Co. ................. 65 1,755
Commonwealth Telephone Enterprises,
Inc.+ ................................ 54 1,991
Hickory Tech Corp. ..................... 42 935
Intermedia Communications, Inc.+ ....... 323 9,528
U.S. LEC Corp., Class A+ ............... 83 711
------------
710,864
------------
TOTAL COMMON STOCK (cost $18,432,104)... 19,730,537
------------
</TABLE>
----------------
188
<PAGE>
<TABLE>
<CAPTION>
PREFERRED STOCK -- 0.0%
SHARES VALUE
----------------------------------------------------------------------
<S> <C> <C>
CONSUMER DISCRETIONARY -- 0.0%
HOUSING -- 0.0%
O'Sullivan Industries Holdings, Inc.
12.00% ............................... 183 $ 94
REAL ESTATE -- 0.0%
REAL ESTATE INVESTMENT TRUSTS -- 0.0%
Prison Realty Trust, Inc. 12.00% ....... 29 552
------------
TOTAL PREFERRED STOCK (cost $797)....... 646
------------
<CAPTION>
OPTIONS -- 0.0%+
CONTRACTS
----------------------------------------------------------------------
<S> <C> <C>
PUT OPTIONS -- 0.0%
Network Appliance, Inc. (cost $8,623)... 13 7,950
------------
TOTAL INVESTMENT SECURITIES (cost
$18,441,524).......................... 19,739,133
------------
<CAPTION>
SHORT-TERM SECURITIES -- 0.3% PRINCIPAL
AMOUNT
----------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES -- 0.3%
United States Treasury Bills 5.93% due
10/19/00@ ............................ $ 40,000 39,882
United States Treasury Bills 5.96% due
10/19/00@ ............................ 10,000 9,970
------------
TOTAL SHORT-TERM SECURITIES (cost
$49,852).............................. 49,852
------------
<CAPTION>
REPURCHASE AGREEMENTS -- 4.5%
----------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 4.5%
Agreement with State Street Bank & Trust
Co., bearing interest at 5.25%, dated
9/29/00, to be repurchased 10/02/00 in
the amount of $267,117, and
collateralized by $270,000 of U.S.
Treasury Notes, bearing interest at
5.88%, due 10/31/01, and having an
approximate value of $275,455......... 267,000 267,000
Agreement with State Street Bank & Trust
Co., bearing interest at 5.25%, dated
9/29/00, to be repurchased 10/02/00 in
the amount of $259,113, and
collateralized by $265,000 of U.S.
Treasury Notes, bearing interest at
5.50%, due 08/31/01, and having an
approximate value of $264,304......... 259,000 259,000
State Street Bank & Trust Co. Joint
Repurchase Agreement Account
(Note 3).............................. 409,000 409,000
------------
TOTAL REPURCHASE AGREEMENTS (cost
$935,000)............................. 935,000
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $19,426,376) 100.3% 20,723,985
Liabilities in excess of other assets -- (0.3) (61,489)
------ ------------
NET ASSETS -- 100.0% $ 20,662,496
====== ============
</TABLE>
-------------
ADR -- American Depository Receipt
+ Non-income producing securities
# Fair valued security; see Note 2
(1) Security represents an investment in an affiliated company; see Note 7
@ The security or a portion thereof has been segregated as collateral for the
following open futures contracts:
<TABLE>
<CAPTION>
OPEN FUTURES CONTRACTS
<C> <S> <C> <C> <C> <C>
---------------------------------------------------------------------------------------------------------------
<CAPTION>
VALUE AS OF
NUMBER OF VALUE AT SEPTEMBER 30, UNREALIZED
CONTRACTS DESCRIPTION EXPIRATION DATE TRADE DATE 2000 DEPRECIATION
------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C> <C>
4 Long Standard & Poors 500 Index December 2000 $301,844 $290,750 $ (11,094)
==========
</TABLE>
See Notes to Financial Statements
----------------
189
<PAGE>
----------------
SEASONS SERIES TRUST
INTERNATIONAL
EQUITY PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 92.5%
SHARES VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------
AUSTRALIA -- 2.7%
Amcor Ltd. (Finance) ....................................... 646 $ 1,785
AMP Ltd. (Finance) ......................................... 854 7,587
Australia & New Zealand Banking Group Ltd. (Finance) ....... 80 576
Australian Gas Light Co., Ltd. (Utilities) ................. 355 1,967
Brambles Industries Ltd. (Industrial & Commercial) ......... 188 4,915
Broken Hill Proprietary Co., Ltd. (Materials) .............. 3,996 41,457
Coca-Cola Amatil Ltd. (Consumer Staples) ................... 1,053 2,139
Coles Myer Ltd. (Consumer Discretionary) ................... 1,045 4,044
Commonwealth Bank of Australia (Finance) ................... 672 10,048
CSR Ltd. (Materials) ....................................... 1,274 2,800
Foster's Brewing Group Ltd. (Consumer Staples)+ ............ 1,278 2,977
General Property Trust (Real Estate) ....................... 1,845 2,579
Lend Lease Corp., Ltd. (Finance) ........................... 466 5,251
National Australia Bank Ltd. (Finance) ..................... 1,019 14,081
News Corp., Ltd. (Information & Entertainment) ............. 4,150 58,455
Novogen Ltd. (Healthcare)+ ................................. 105,000 204,781
Pacific Dunlop Ltd. (Consumer Discretionary) ............... 1,412 1,173
Paperlink (Information Technology) ......................... 215 403
Rio Tintro, Ltd. (Materials) ............................... 319 4,277
TABCORP Holdings Ltd. (Information & Entertainment) ........ 5,249 27,015
Telstra Corp., Ltd. (Information Technology) ............... 12,321 40,316
Westpac Banking Corp., Ltd. (Finance) ...................... 1,568 10,831
WMC, Ltd. (Materials) ...................................... 1,073 4,431
Woolworths Ltd. (Consumer Discretionary) ................... 8,222 30,040
-----------
483,928
-----------
AUSTRIA -- 0.0%
Bank Austria AG (Finance) .................................. 90 4,895
Generali Holding Vienna AG (Finance) ....................... 10 1,595
Oesterreichische ElektrizitIrtschafts AG, Class A
(Utilities) ............................................... 20 1,861
-----------
8,351
-----------
BELGIUM -- 0.3%
Delhaize "Le-Lion" SA (Consumer Discretionary) ............. 43 2,029
Electrabel SA (Utilities) .................................. 38 7,989
Fortis (B) (Finance) ....................................... 498 15,338
Groupe Bruxelles Lambert SA (Industrial & Commercial) ...... 16 3,890
Kredietbank NV (Finance) ................................... 208 8,731
Petrofina SA (Energy) ...................................... 1 655
Solvay SA (Materials) ...................................... 67 3,982
Suez Lyonn Eaux (Industrial & Commercial) .................. 57 8,770
Suez Lyonnaise des Eaux SA (Industrial & Commercial) ....... 57 1
Total Fina ELF SA (Energy) ................................. 72 1
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SHARES VALUE
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BELGIUM (CONTINUED)
UCB SA (Healthcare) ........................................ 110 $ 3,829
-----------
55,215
-----------
BERMUDA -- 0.1%
Li & Fung (Industrial & Commercial)+ ....................... 8,000 16,879
-----------
CANADA -- 3.6%
Ballard Power Systems, Inc. (Energy)+ ...................... 3,300 361,351
Burntsand, Inc. (Information Technology)+ .................. 22,000 88,304
Name, Inc (Information Technology)+ ........................ 72,000 38,692
Seagram Co., Ltd. (Information & Entertainment) ............ 600 34,462
Turbo Genset, Inc., Class A (Industrial & Commercial)+ ..... 4,000 129,057
-----------
651,866
-----------
DENMARK -- 0.3%
D/S 1912 (Industrial & Commercial) ......................... 1 10,775
D/S Svendborg (Industrial & Commercial) .................... 1 14,457
Danisco A/S (Consumer Staples) ............................. 48 1,733
Novo Nordisk A/S, Class B (Healthcare) ..................... 54 11,988
Tele Danmark A/S (Utilities) ............................... 152 8,369
-----------
47,322
-----------
FINLAND -- 1.7%
Nokia Ab Oyj (Information Technology) ...................... 6,652 269,950
Sampo Insurance Co., Ltd., Class A (Finance) ............... 100 4,896
Sonera Oyj (Utilities) ..................................... 800 20,361
Tietoenator Oyj (Information Technology) ................... 100 2,828
UPM-Kymmene Oyj (Materials) ................................ 300 7,681
-----------
305,716
-----------
FRANCE -- 11.4%
Accor SA (Information & Entertainment) ..................... 150 5,576
Alcatel (Information Technology) ........................... 5,955 381,548
Alstom (Industrial & Commercial) ........................... 1,127 26,045
AXA SA de CV (Finance) ..................................... 726 94,957
Banque Nationale de Paris (Finance) ........................ 305 26,928
Banque Nationale de Paris (Finance) ........................ 65 333
Bouygues SA (Industrial & Commercial) ...................... 260 13,120
Canal Plus (Information & Entertainment) ................... 100 14,997
Cap Gemini SA (Industrial & Commercial) .................... 918 172,803
Carrefour SA (Consumer Discretionary) ...................... 970 71,751
Compagnie de Saint-Gobain (Finance) ........................ 69 8,689
Danone (Consumer Staples) .................................. 108 14,851
Establissements Economiques du Casino Guichard-Perrachon SA
(Real Estate) ............................................ 56 5,290
France Telecom SA (Information Technology) ................. 1,118 119,947
Guillemot Corp. (Information Technology)+ .................. 3,600 171,801
Havas Advertising (Information & Entertainment) ............ 709 11,216
L'Air Liquide SA (Industrial & Commercial) ................. 381 44,749
L'Oreal SA (Consumer Staples) .............................. 470 36,531
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FRANCE (CONTINUED)
Lafarge SA (Materials) ..................................... 627 $ 43,221
LVMH (Consumer Staples)+ ................................... 645 48,765
Michelin, Class B (Consumer Discretionary) ................. 124 3,452
Pernod-Ricard SA (Consumer Staples) ........................ 51 2,569
Peugeot SA (Consumer Discretionary) ........................ 41 7,294
Pinault-Printemps-Redoute SA (Consumer Discretionary) ...... 85 14,986
Renault SA (Consumer Discretionary) ........................ 562 24,138
Rhone-Poulenc SA (Materials) ............................... 1,099 82,555
Sanofi-Synthelabo SA (Healthcare) .......................... 324 17,438
Schneider Electric SA (Industrial & Commercial) ............ 112 7,067
Societe Generale, Class A (Finance) ........................ 300 16,796
Sodexho Alliance SA (Information & Entertainment) .......... 24 3,820
STMicroelectronics (Information Technology) ................ 367 18,017
Suez Lyonnaise des Eaux SA (Industrial & Commercial) ....... 105 16,304
Thomson CSF (Industrial & Commercial) ...................... 143 6,033
Total Fina (Energy) ........................................ 72 10,690
Total Fina SA, Class B (Energy)@ ........................... 1,114 163,230
UBI Soft Entertainment SA (Information Technology) ......... 5,000 236,403
Valeo SA (Consumer Discretionary) .......................... 580 25,178
Vivendi Environnement (Utilities)+ ......................... 829 30,770
Vivendi SA (Industrial & Commercial) ....................... 770 57,297
-----------
2,057,155
-----------
GERMANY -- 8.4%
Allianz AG (Finance) ....................................... 299 98,652
BASF AG (Materials) ........................................ 450 16,015
Bayer AG (Materials) ....................................... 500 18,625
CeWe Color Holdings AG (Information & Entertainment) ....... 7,200 133,623
DaimlerChrysler AG (Consumer Discretionary) ................ 958 43,043
Deutsche Bank AG (Finance) ................................. 444 36,766
Deutsche Lufthansa AG (Information Technology) ............. 1,624 33,713
Deutsche Telekom AG (Utilities) ............................ 3,040 104,697
Dresdner Bank AG (Finance) ................................. 300 13,198
HypoVereinsbank (Finance) .................................. 300 16,639
Merck KGAA (Healthcare) .................................... 150 5,105
Metro AG (Consumer Discretionary) .......................... 200 8,203
MobilCom AG (Information Technology) ....................... 1,500 104,062
Muenchener Rueckversicherungs AG (Finance) ................. 195 58,248
RWE AG (Materials)+ ........................................ 300 10,605
SAP AG (Information Technology) ............................ 1,305 251,418
Schering AG (Healthcare) ................................... 150 9,823
Siemens AG (Industrial & Commercial) ....................... 816 105,286
SKW Trostberg AG (Materials) ............................... 15,600 96,092
Thyssen Krupp AG (Industrial & Commercial) ................. 1,000 13,601
VEBA AG (Utilities) ........................................ 1,077 55,490
Vectron Systems AG (Information Technology) ................ 3,000 120,632
Volkswagen AG (Consumer Discretionary) ..................... 250 11,599
Vossloh AG (Consumer Staples) .............................. 5,000 73,572
W.E.T Automotive Systems, AG (Consumer Discretionary)+ ..... 2,500 79,648
-----------
1,518,355
-----------
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HONG KONG -- 1.3%
CLP Holdings Ltd. (Utilities) .............................. 2,000 $ 8,978
Giordano International Ltd. (Consumer Discretionary) ....... 26,000 15,090
Hang Seng Bank Ltd. (Finance) .............................. 5,500 58,552
Hong Kong & China Gas Co., Ltd. (Utilities)+ ............... 3,630 4,539
Hutchison Whampoa Ltd. (Industrial & Commercial) ........... 7,700 102,219
New World Development Co., Ltd. (Finance) .................. 2,062 2,936
Pacific Century Cyberworks (Finance)+ ...................... 16,592 18,728
Sun Hung Kai Properties Ltd. (Finance)+ .................... 2,000 18,855
Swire Pacific Ltd., Class A (Industrial & Commercial) ...... 2,500 15,584
-----------
245,481
-----------
IRELAND -- 0.4%
Allied Irish Banks PLC (Finance) ........................... 644 6,955
Bank of Ireland (Finance) .................................. 6,584 52,695
CRH PLC GDR (Consumer Discretionary) ....................... 300 4,783
Irish Life & Permanent PLC (Finance) ....................... 168 1,664
Kerry Group, Class A (Consumer Staples)+ ................... 159 2,070
-----------
68,167
-----------
ITALY -- 2.2%
Alitalia SpA (Industrial & Commercial) ..................... 1,565 2,773
Assicurazione Generali SpA (Finance) ....................... 1,005 32,374
Banca Intesa SpA (Finance)+ ................................ 3,456 13,347
Banca Nazionale del Lavoro (Finance) ....................... 6,342 21,410
Beni Stabili SpA (Real Estate) ............................. 1,093 512
ENI SpA (Energy) ........................................... 5,690 30,171
Fiat SpA (Consumer Discretionary) .......................... 326 7,612
Istituto Mobiliare Italiano SpA (Finance) .................. 6,397 104,135
Italgas SpA (Utilities) .................................... 848 3,679
Mediaset SpA (Information & Entertainment) ................. 1,036 15,455
Olivetti SpA (Industrial & Commercial) ..................... 3,759 10,365
Pirelli SpA (Industrial & Commercial) ...................... 2,215 6,518
Telecom Italia Mobile SpA (Utilities) ...................... 8,332 67,449
Telecom Italia SpA (Utilities) ............................. 6,761 71,939
Unicredito Italiano SpA (Finance) .......................... 3,594 18,771
-----------
406,510
-----------
JAPAN -- 24.5%
Aderans Co., Ltd. (Consumer Discretionary)+ ................ 900 34,299
Advantest Corp. (Information Technology)+ .................. 400 62,979
Ajinomoto Co., Inc. (Consumer Staples)+ .................... 1,000 11,220
Asahi Bank Ltd. (Finance) .................................. 3,000 12,379
Asahi Breweries Ltd. (Consumer Staples)+ ................... 1,000 8,976
Asahi Chemical Industry Co., Inc. (Materials)+ ............. 29,000 173,443
Asahi Glass Co., Ltd. (Materials)+ ......................... 6,000 61,477
Bank of Tokyo-Mitsubishi Ltd. (Finance)+ ................... 4,000 47,364
Bridgestone Corp. (Consumer Discretionary)+ ................ 3,000 36,163
Canon, Inc. (Information & Entertainment)+ ................. 3,000 133,247
Chiba Bank Ltd. (Finance)+ ................................. 5,000 19,704
Circle K Japan Co., Ltd. (Consumer Discretionary)+ ......... 900 28,207
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SHARES VALUE
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JAPAN (CONTINUED)
Colin Corp. (Healthcare)+ .................................. 900 $ 50,489
Dai Nippon Printing Co., Ltd. (Industrial & Commercial)+ ... 1,000 14,882
Daiwa House Industry Co., Ltd. (Consumer Discretionary)+ ... 1,000 7,001
Daiwa Securities Co., Ltd. (Finance) ....................... 2,000 23,497
Denso Corp. (Consumer Discretionary)+ ...................... 1,000 23,321
East Japan Railway Co. (Industrial & Commercial)+ .......... 3 16,718
Fanuc Ltd. (Information Technology)+ ....................... 500 55,404
Fuji Photo Film Co., Ltd. (Information & Entertainment)+ ... 2,000 67,133
Fujitsu Ltd. (Information Technology)+ ..................... 2,000 46,548
Hitachi Ltd. (Industrial & Commercial) ..................... 2,000 23,256
Honda Motor Co., Ltd. (Consumer Discretionary)+ ............ 2,000 73,810
HONDA TSUSHIN KOGYO Co., Ltd. (Information Technology)+ .... 2,750 117,298
Japan Asia Investment Co., Ltd. (Finance)+ ................. 14,000 71,139
Jusco Co., Ltd. (Consumer Discretionary)+ .................. 1,000 18,452
Kansai Electric Power Co., Inc. (Utilities)+ ............... 900 14,688
KAO Corp. (Consumer Staples)+ .............................. 3,000 82,062
Katokichi Co., Ltd. (Consumer Staples)+ .................... 7,000 176,550
Kinki Nippon Railway Co., Ltd. (Industrial &
Commercial)+ .............................................. 2,000 9,273
Kirin Brewery Co., Ltd. (Consumer Staples)+ ................ 5,000 51,463
KYOCERA Corp. ADR (Information Technology)+ ................ 100 15,300
Marui Co., Ltd. (Consumer Discretionary)+ .................. 1,000 15,550
Matsushita Electric Industrial Co., Ltd. (Information
Technology)+ ............................................. 1,000 26,241
Mitsubishi Corp. (Industrial & Commercial)+ ................ 2,000 16,134
Mitsubishi Estate Co., Ltd. (Real Estate)+ ................. 1,000 10,441
Mitsubishi Heavy Industries Ltd. (Industrial &
Commercial) ............................................... 3,000 11,906
Mitsubishi Trust & Banking Corp. (Finance)+ ................ 2,000 16,487
Mitsui Fudosan Co., Ltd. (Real Estate)+ .................... 1,000 12,555
Mitsui Marine & Fire Insurance Co., Ltd. (Finance)+ ........ 6,000 27,651
Mizuho Holdings, Inc. (Finance)+ ........................... 12 99,031
NEC Corp. (Industrial & Commercial)+ ....................... 3,000 68,292
NGK Insulators, Ltd. (Industrial & Commercial)+ ............ 3,000 43,117
Nintendo Co., Ltd. (Information Technology)+ ............... 200 36,590
Nippon Express Co., Ltd. (Industrial & Commercial)+ ........ 2,000 10,701
Nippon Steel Corp. (Materials) ............................. 7,000 12,462
Nippon Telegraph & Telephone Corp. (Information
Technology) ............................................... 17 167,092
Nissan Motor Co., Ltd. (Consumer Discretionary) ............ 2,000 11,498
Nomura Securities Co., Ltd. (Finance) ...................... 11,000 239,696
Omron Corp. (Information Technology)+ ...................... 6,500 171,473
Orix Corp. (Finance)+ ...................................... 100 11,980
Park24 Co., Ltd. (Industrial & Commercial)+ ................ 1,800 233,669
Ricoh Co., Ltd. (Information Technology)+ .................. 3,000 54,662
Rohm Co., Ltd. (Information Technology)+ ................... 600 164,736
Ryohin Keikaku Co., Ltd. (Consumer Discretionary)+ ......... 100 7,882
Sakura Bank Ltd. (Finance)+ ................................ 3,000 22,421
Sankyo Co., Ltd. (Healthcare)+ ............................. 1,000 22,301
Sanyo Electric Co., Ltd. (Information Technology)+ ......... 4,000 35,236
Sekisui House Ltd. (Consumer Discretionary)+ ............... 1,000 9,690
Sharp Corp. (Information Technology)+ ...................... 4,000 62,015
Shin-Etsu Chemical Co., Ltd. (Materials)+ .................. 2,000 84,380
Shiseido Co., Ltd. (Consumer Staples)+ ..................... 1,000 12,444
Skylark Co., Ltd. (Information & Entertainment)+ ........... 1,000 36,070
SMC Corp. (Consumer Discretionary)+ ........................ 200 33,659
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JAPAN (CONTINUED)
Softbank Corp. (Information Technology)+ ................... 200 $ 18,731
SONY Corp. (Information & Entertainment) ................... 1,100 111,790
Sumitomo Bank Ltd. (Finance)+ .............................. 3,000 38,110
Sumitomo Corp. (Industrial & Commercial)+ .................. 6,000 52,186
Sumitomo Electric Industries Ltd. (Industrial &
Commercial)+ .............................................. 1,000 17,293
Takeda Chemical Industries Ltd. (Healthcare)+ .............. 2,000 132,412
Takefuji Corp. (Finance)+ .................................. 500 55,172
Terumo Corp. (Healthcare) .................................. 1,000 28,652
The Furukawa Electric Co., Ltd. (Information
Technology)+ .............................................. 1,000 27,679
Tohoku Electric Power Co., Inc. (Utilities) ................ 600 8,412
Tokai Bank Ltd. (Finance)+ ................................. 2,000 10,181
Tokio Marine & Fire Insurance Co., Ltd. (Finance)+ ......... 2,000 20,029
Tokyo Electric Power Co., Inc. (Utilities) ................. 3,100 73,156
Toppan Forms Co., Ltd (Industrial & Commercial)+ ........... 1,800 37,554
Toppan Printing Co., Ltd. (Industrial & Commercial)+ ....... 1,000 9,690
Toray Industries, Inc. (Materials)+ ........................ 2,000 7,826
Toshiba Corp. (Information Technology) ..................... 2,000 16,153
Toyoda Gosei Co., Ltd. (Consumer Discretionary)+ ........... 2,750 181,047
Toyota Motor Corp. (Consumer Discretionary) ................ 4,000 158,375
Yamanouchi Pharmaceutical Co., Ltd. (Healthcare)+ .......... 1,000 48,217
-----------
4,428,469
-----------
KOREA -- 0.0%
Electrolux AB (Consumer Discretionary) ..................... 300 3,775
-----------
NETHERLANDS -- 4.8%
ABN Amro Holdings NV (Finance) ............................. 1,077 25,128
Aegon NV (Finance) ......................................... 819 30,942
Akzo Nobel NV (Healthcare) ................................. 215 9,082
ASM Lithography Holdings NV (Information Technology)+ ...... 1,346 44,726
Elsevier NV (Information & Entertainment) .................. 486 5,455
Fortis NV (Finance) ........................................ 1,013 31,065
Getronics NV (Information Technology) ...................... 11,824 118,915
Heineken NV (Consumer Staples) ............................. 227 12,639
ING Groep NV (Finance) ..................................... 2,135 142,416
Kon KPN NV (Utilities) ..................................... 1,335 29,118
Koninklijke (Royal) Philips Electronics NV (Information
Technology)+ ............................................. 2,879 124,086
Koninklijke Ahold NV (Consumer Discretionary) .............. 441 12,522
Norsk Hydro ASA (Materials) ................................ 200 8,377
Orkla ASA (Consumer Staples) ............................... 171 3,317
Royal Dutch Petroleum Co. (Energy) ......................... 3,048 184,489
Storebrand ASA (Finance) ................................... 300 2,133
TNT Post Group NV (Industrial & Commercial) ................ 370 8,616
Unilever NV (Consumer Staples) ............................. 393 19,102
United Pan-Europe Communications, Class A (Information &
Entertainment)+ .......................................... 1,392 27,285
VNU NV (Information & Entertainment) ....................... 722 36,370
Wolters Kluwer NV (Information & Entertainment) ............ 158 3,212
-----------
878,995
-----------
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NEW ZEALAND -- 0.0%
Telecom Corp. of New Zealand Ltd. ADR (Information
Technology) ............................................... 1,295 $ 3,231
-----------
NORWAY -- 0.0%
Christiania Bank Og Kreditkasse (Finance) .................. 550 2,928
-----------
PORTUGAL -- 0.2%
Banco Comercial Portugues SA (Finance) ..................... 1,000 5,258
Banco Espirito Santo SA (Finance) .......................... 163 2,593
Brisa-Auto Estradas (Industrial & Commercial) .............. 500 4,162
Electricidade De Portugal SA (Industrial & Commercial) ..... 2,000 6,328
Jeronimo Martins SGPS SA (Consumer Discretionary) .......... 100 1,105
Portugal Telecom AG (Utilities) ............................ 1,100 11,325
-----------
30,771
-----------
SINGAPORE -- 1.0%
Banco Bilbao Vizcaya SA (Finance)+ ......................... 1,972 29,836
City Developments Ltd. (Real Estate) ....................... 4,000 19,550
DBS Group Holdings Ltd. ADR (Finance) ...................... 3,326 36,719
Endesa SA (Utilities) ...................................... 2,226 41,902
Iberdrola SA (Energy) ...................................... 653 8,310
Keppel Corp., Ltd. (Industrial & Commercial) ............... 1,000 2,036
Overseas Chinese Bank Corp., Ltd. (Finance) ................ 1,050 6,641
Sembcorp Industries Ltd. (Industrial & Commercial) ......... 2,000 1,863
Singapore Airlines Ltd. (Information & Entertainment) ...... 1,000 9,487
Singapore Press Holdings Ltd. (Information &
Entertainment) ............................................ 1,000 15,007
Singapore Technologies Engineering Ltd. (Industrial &
Commercial) ............................................... 3,000 4,451
Singapore Telecommunications Ltd. (Information
Technology) ............................................... 5,000 7,820
Tabacalera SA (Consumer Staples) ........................... 159 2,297
-----------
185,919
-----------
SPAIN -- 1.2%
Acerinox SA (Materials)+ ................................... 859 22,774
Aguas De Barcelona (Consumer Staples) ...................... 133 1,649
Autopistas, Concesionaria Espanda SA (Industrial &
Commercial)+ .............................................. 215 1,691
Banco Santander Central Hispano, SA (Finance) .............. 2,501 27,496
Fomento de Construcciones y Contratas AS (Industrial &
Commercial) .............................................. 106 1,752
Gas Natural SDG SA (Utilities) ............................. 300 5,008
Grupo Dragados SA (Industrial & Commercial)+ ............... 183 1,457
Repsol-YPF, SA (Energy) .................................... 1,612 29,703
Telefonica SA (Utilities) .................................. 6,194 122,890
TelePizza SA (Information & Entertainment)+ ................ 227 1,126
Union Electrica Fenosa SA (Utilities) ...................... 157 2,832
-----------
218,378
-----------
SWEDEN -- 2.5%
ForeningsSparbanken AB, Class A (Finance) .................. 450 6,412
Hennes & Mauritz AB (Consumer Discretionary) ............... 800 16,058
Investor AB (Finance)+ ..................................... 3,110 44,151
NetCom AB, Series B (Utilities)+ ........................... 100 5,138
Nordbanken AB (Finance) .................................... 9,677 69,445
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SWEDEN (CONTINUED)
Sandvik AB (Industrial & Commercial) ....................... 173 $ 3,482
Securitas AB, Class B (Industrial & Commercial) ............ 2,339 51,207
Skandia Forsakrings AB (Finance) ........................... 2,918 57,966
Skandinaviska Enskilda Banken, Class A (Finance) ........... 600 7,270
Svenska Cellulosa AB (Materials) ........................... 233 4,120
Svenska Handelsbanken AB (Finance) ......................... 300 4,836
Telefonaktiebolaget LM Ericsson AB, Series B (Information
Technology) .............................................. 11,772 179,365
Volvo AB, Class B (Consumer Discretionary) ................. 270 4,367
-----------
453,817
-----------
SWITZERLAND -- 4.1%
Abb Ltd. (Industrial & Commercial) ......................... 481 46,828
Adecco SA (Industrial & Commercial) ........................ 40 25,961
Credit Suisse Group (Finance) .............................. 402 75,245
Givaudan AG (Consumer Staples)+ ............................ 6 1,556
Nestle SA (Consumer Staples)@ .............................. 77 160,635
Novartis AG (Healthcare)@ .................................. 82 125,923
Roche Holdings AG -- Bearer (Healthcare) ................... 1 9,906
Roche Holdings AG -- Genusss (Healthcare) .................. 13 114,508
Schweizerische Rueckversicherungs-Gesellschaft (Finance) ... 30 57,370
Swisscom AG (Information Technology) ....................... 50 12,271
UBS AG (Finance)+ .......................................... 684 91,166
Zurich Allied AG (Finance) ................................. 30 13,890
-----------
735,259
-----------
UNITED KINGDOM -- 21.8%
Abbey National PLC (Finance) ............................... 1,141 15,170
Allied Zurich PLC (Finance)+ ............................... 4,781 54,373
Amvescap PLC (Finance) ..................................... 2,147 46,485
Ashtead Group PLC (Finance) ................................ 45,000 72,540
AstraZeneca Group PLC (Healthcare) ......................... 1,954 102,479
BAA PLC (Information & Entertainment) ...................... 1,087 8,600
Barclays PLC (Finance) ..................................... 1,257 34,800
Bass PLC (Consumer Staples) ................................ 807 7,937
BG Group PLC (Utilities)+ .................................. 2,911 18,501
Blue Circle Industries PLC (Materials) ..................... 1,404 8,555
BOC Group PLC (Materials) .................................. 622 8,233
Boots Co. PLC (Consumer Discretionary) ..................... 874 6,618
BP Amoco PLC (Energy)@ ..................................... 24,422 217,429
British Aerospace PLC (Industrial & Commercial) ............ 6,540 35,303
British American Tobacco PLC (Consumer Staples) ............ 3,695 23,880
British Sky Broadcasting Group PLC (Information &
Entertainment) ............................................ 1,662 25,587
British Telecommunications PLC (Information Technology) .... 12,199 128,272
Cable & Wireless PLC (Information Technology) .............. 904 12,901
Cadbury Schweppes PLC (Consumer Staples) ................... 1,875 11,092
Carlton Communications PLC (Information & Entertainment) ... 552 4,310
Centrica PLC (Utilities) ................................... 2,680 8,611
CGU PLC (Finance) .......................................... 2,966 42,110
DBS Management PLC (Finance) ............................... 32,360 73,222
Diageo PLC (Consumer Staples)+ ............................. 8,896 79,530
First Technology PLC (Consumer Discretionary) .............. 20,000 171,552
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UNITED KINGDOM (CONTINUED)
Gameplay.com PLC (Information Technology)+ ................. 30,000 $ 97,607
GKN PLC (Information Technology) ........................... 794 7,920
Glaxo Wellcome PLC (Healthcare) ............................ 5,784 175,185
Granada Compass PLC (Information & Entertainment)+ ......... 2,010 18,816
Great Universal Stores PLC (Consumer Discretionary) ........ 379 2,410
Halifax Group PLC (Finance) ................................ 1,267 10,812
Hays PLC (Industrial & Commercial)+ ........................ 20,000 116,389
HSBC Holdings PLC (Finance)@ ............................... 11,358 161,591
Imperial Chemical Industries PLC (Materials) ............... 3,254 18,528
Jarvis PLC (Industrial & Commercial) ....................... 55,000 120,382
Kingfisher PLC (Consumer Discretionary) .................... 1,312 8,576
Land Securities PLC (Real Estate) .......................... 664 7,576
Legal & General Group PLC (Finance) ........................ 3,348 8,120
Lloyds TSB Group PLC (Finance) ............................. 6,856 63,979
London Bridge Software Holdings PLC (Information
Technology) ............................................... 10,000 109,439
Marconi PLC (Information Technology) ....................... 3,945 53,967
Marks & Spencer PLC (Consumer Discretionary) ............... 2,567 7,707
Mayflower Corp. PLC (Consumer Discretionary)+ .............. 50,000 63,593
National Grid Group PLC (Utilities) ........................ 4,295 36,873
NXT PLC (Industrial & Commercial)+ ......................... 12,000 224,497
Pearson PLC (Information & Entertainment) .................. 733 20,369
Pilkington PLC (Materials) ................................. 116,193 139,618
Prudential PLC (Finance) ................................... 1,550 21,158
Railtrack Group PLC (Industrial & Commercial) .............. 193 3,165
Rentokil Initial PLC (Industrial & Commercial) ............. 2,443 5,483
Reuters Group PLC (Information & Entertainment) ............ 2,169 41,123
Rio Tintro PLC (Materials) ................................. 1,072 15,553
Royal Bank of Scotland Group PLC (Finance) ................. 3,592 75,858
Royal Bank of Scotland Group -- VAL Shares (Finance)+ ...... 2,739 3,281
Sainsbury (J.) PLC (Consumer Discretionary) ................ 733 4,043
ScottishPower PLC (Utilities) .............................. 5,437 42,214
SEMA Group PLC (Information Technology)+ ................... 10,400 178,415
Siebe PLC (Industrial & Commercial) ........................ 2,591 5,662
SmithKline Beecham PLC (Healthcare) ........................ 10,749 147,283
Tesco PLC (Consumer Discretionary) ......................... 19,186 70,510
Trifast PLC (Industrial & Commercial) ...................... 40,000 177,468
Unilever PLC (Consumer Staples) ............................ 12,876 83,405
United News & Media PLC (Information & Entertainment) ...... 1,199 12,935
Vodafone Group PLC (Information Technology)@ ............... 91,268 340,814
WPP Group PLC (Industrial & Commercial) .................... 1,872 22,425
-----------
3,942,839
-----------
TOTAL COMMON STOCK (cost $16,140,981) ...................... 16,749,326 ..
-----------
</TABLE>
----------------
198
<PAGE>
<TABLE>
<CAPTION>
PREFERRED STOCK -- 2.5%
SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
AUSTRALIA -- 0.1%
News Corp., Ltd.* (Information & Entertainment) ............ 1,419 $ 16,972
-----------
GERMANY -- 2.4%
Marschollek, Lautenschlaeger und Partner AG (Finance) ...... 2,400 360,570
SAP AG (Information Technology) ............................ 283 70,041
-----------
430,611
-----------
TOTAL PREFERRED STOCK (cost $169,997) ...................... 447,583
-----------
<CAPTION>
WARRANTS -- 0.0%+
WARRANTS
----------------------------------------------------------------------------------------
<S> <C> <C>
FRANCE -- 0.0%
UBI Soft Entertainment SA 2/11/02 (Information
Technology) ............................................... 125 6,738
-----------
ITALY -- 0.0%
Banca Intesa SpA 11/15/02 (Finance) ........................ 332 436
-----------
TOTAL WARRANTS (cost $619) ................................. 7,174
-----------
TOTAL INVESTMENT SECURITIES (cost $16,311,598) ............. 17,204,083
-----------
<CAPTION>
SHORT-TERM SECURITIES -- 0.2% PRINCIPAL
AMOUNT
-----------------------------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES -- 0.2%
United States Treasury Bills 5.93% due 10/19/00@ ........... $ 20,000 19,940
United States Treasury Bills 6.03% due 10/19/00@ ........... 15,000 14,955
-----------
TOTAL SHORT-TERM SECURITIES (cost $34,895) ................. 34,895
-----------
<CAPTION>
REPURCHASE AGREEMENTS -- 2.9%
-----------------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 2.9%
Agreement with State Street Bank & Trust Co., bearing
interest at 5.25% dated 9/29/00 to be repurchased 10/02/00
in the amount of $204,089 and collateralized by $185,000 of
U.S. Treasury Bonds, bearing interest at 10.75% due 5/15/03
and having an approximate value of $213,216 ............... 204,000 204,000
Agreement with State Street Bank & Trust Co., bearing
interest at 5.25% dated 9/29/00 to be repurchased 10/02/00
in the amount of $213,093 and collateralized by $215,000 of
U.S. Treasury Notes, bearing interest at 6.25% due 2/15/07
and having an approximate value of $220,271 ............... 213,000 213,000
Agreement with State Street Bank & Trust Co., bearing
interest at 5.25% dated 9/29/00 to be repurchased 10/02/00
in the amount of $105,046 and collateralized by $105,000 of
U.S. Treasury Notes, bearing interest at 6.38% due 3/31/01
and having an approximate value of $108,296 ............... 105,000 105,000
-----------
TOTAL REPURCHASE AGREEMENTS (cost $522,000) ................ 522,000
-----------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $16,868,493) 98.1% 17,760,978
Other assets less liabilities -- 1.9 342,346
------ ------------
NET ASSETS -- 100.0% $ 18,103,324
====== ============
</TABLE>
-------------
+ Non-income producing securities
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:
----------------
199
<PAGE>
<TABLE>
<CAPTION>
OPEN FUTURES CONTRACTS
<C> <S> <C> <C> <C> <C>
----------------------------------------------------------------------------------------------------------
<CAPTION>
NUMBER OF EXPIRATION VALUE AT VALUE AS OF UNREALIZED
CONTRACTS DESCRIPTION DATE TRADE DATE SEPTEMBER 30, 2000 DEPRECIATION
-------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C> <C>
5 Long Nikkei 300 Future IX December 2000 $134,317 $133,269 $ (1,048)
2 Long CAC40 10 Euro Future December 2000 113,196 111,936 (1,260)
1 Long Dax Index Future December 2000 162,119 151,658 (10,461)
1 Long FTSE 100 Index Future December 2000 98,131 93,988 (4,143)
--------
Net Unrealized Depreciation .......................................... $(16,912)
========
</TABLE>
<TABLE>
<CAPTION>
OPEN FORWARD FOREIGN CURRENCY CONTRACTS
<S> <C> <C> <C>
------------------------------------------------------------------------
<CAPTION>
CONTRACT IN DELIVERY GROSS UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
--------------------------------------------------------------------------
<S> <C> <C> <C>
CHF 91,688 USD 54,000 11/20/00 $ 610
CHF 22,000 USD 12,880 11/20/00 70
EUR* 91,715 USD 82,000 10/13/00 888
EUR* 90,344 USD 82,000 10/13/00 2,101
JPY* 9,190,562 USD 86,000 10/20/00 429
JPY* 6,954,750 USD 66,000 11/17/00 941
JPY* 8,514,882 USD 81,000 11/17/00 1,347
JPY* 8,572,189 USD 81,000 11/17/00 811
SEK 1,201,558 EUR 143,000 10/13/00 5,657
USD* 82,000 EUR 94,145 10/13/00 1,260
USD* 123,000 EUR 144,527 10/13/00 4,818
USD 27,213 EUR 32,000 10/13/00 1,087
USD* 85,019 JPY 9,190,562 10/20/00 552
USD 23,614 NOK 221,680 12/12/00 792
USD 15,005 SEK 147,000 12/12/00 368
USD* 24,029 GBP 17,000 12/14/00 1,147
--------
22,878
--------
</TABLE>
<TABLE>
<CAPTION>
GROSS UNREALIZED
DEPRECIATION
<S> <C> <C> <C>
--------------------------------------------------------------------------
CHF 19,057 USD 11,000 11/20/00 (97)
EUR* 136,000 USD 119,099 10/13/00 (1,177)
EUR* 94,973 USD 82,000 10/13/00 (1,993)
EUR* 38,000 USD 33,266 10/13/00 (341)
GBP* 16,000 USD 23,292 12/14/00 (403)
HKD 430,500 USD 55,239 12/08/00 (13)
HKD 430,500 USD 55,239 12/08/00 (13)
JPY* 8,984,850 USD 84,000 11/17/00 (50)
JPY* 8,353,956 USD 78,000 11/17/00 (147)
SEK* 1,201,558 EUR 143,000 10/13/00 (4,291)
USD 10,620 AUD 18,000 10/13/00 (868)
USD* 65,036 EUR 71,000 10/13/00 (2,245)
USD* 96,817 EUR 108,000 10/13/00 (1,303)
USD* 82,000 EUR 90,960 10/13/00 (1,557)
USD 78,220 EUR 88,269 10/13/00 (156)
USD 55,000 DKK 448,938 10/19/00 (1,822)
USD 9,028 NZD 20,000 11/15/00 (873)
USD* 123,137 JPY 12,811,000 11/17/00 (3,295)
USD* 24,000 JPY 2,529,648 11/17/00 (336)
USD* 77,000 JPY 8,131,200 11/17/00 (936)
USD* 74,000 JPY 7,883,220 11/17/00 (256)
--------
(22,172)
--------
Net Unrealized Appreciation............................ $ 706
========
</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> <C> <C> <C> <C> <C>
AUD -- Australian Dollar GBP -- Pound Sterling NZD -- New Zealand Dollar
CHF -- Swiss Franc HKD -- Hong Kong Dollar SEK -- Swedish Krona
United States
DKK -- Danish Krone JPY -- Japanese Yen USD -- Dollar
EUR -- Euro Dollar NOK -- Norway Krone
</TABLE>
----------------
200
<PAGE>
----------------
SEASONS SERIES TRUST
DIVERSIFIED FIXED
INCOME PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
BONDS & NOTES -- 91.2% PRINCIPAL
AMOUNT VALUE
<S> <C> <C>
----------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 2.3%
APPAREL & TEXTILES -- 0.4%
Polymer Group, Inc. 8.75% 2008 ......... $ 75,000 $ 59,250
RETAIL -- 1.9%
CVS Corp. 5.50% 2004 ................... 200,000 191,226
Shop At Home, Inc. 11.00% 2005 ......... 50,000 46,500
Wal-Mart Stores, Inc. 6.88% 2009 ....... 100,000 99,167
------------
396,143
------------
CONSUMER STAPLES -- 1.6%
FOOD, BEVERAGE & TOBACCO -- 1.6%
Coca Cola Enterprises, Inc. 7.13%
2009 ................................. 100,000 97,890
Diageo Capital PLC 6.13% 2005 .......... 200,000 191,380
------------
289,270
------------
ENERGY -- 2.2%
ENERGY SERVICES -- 1.2%
Key Energy Services, Inc., Series B
14.00% 2009 .......................... 50,000 56,875
Parker Drilling Co. 9.75% 2006 ......... 100,000 99,750
R&B Falcon Corp. 12.25% 2006 ........... 50,000 57,562
ENERGY SOURCES -- 1.0%
Coastal Corp. 7.75% 2010 ............... 100,000 101,443
Triton Energy Ltd. 9.25% 2005 .......... 75,000 76,313
------------
391,943
------------
FINANCE -- 5.0%
BANKS -- 0.6%
Chase Manhattan Corp. 7.00% 2009 ....... 100,000 98,103
FINANCIAL SERVICES -- 3.8%
Ford Motor Credit Co. 5.75% 2004 ....... 200,000 190,788
Morgan (J.P.) & Co., Inc. 5.75% 2004 ... 200,000 192,566
Sprint Capital Corp. 6.38% 2009 ........ 100,000 91,196
Toyota Motor Credit Corp. 5.63% 2003 ... 200,000 193,492
INSURANCE -- 0.6%
Ace Capital Trust II 9.70% 2030 ........ 100,000 105,932
------------
872,077
------------
HEALTHCARE -- 0.7%
HEALTH SERVICES -- 0.3%
Tenet Healthcare Corp. 8.00% 2005 ...... 50,000 49,250
</TABLE>
----------------
201
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
HEALTHCARE (CONTINUED)
MEDICAL PRODUCTS -- 0.4%
Fresenius Medical Care Capital Trust
9.00% 2006 ........................... $ 75,000 $ 74,625
------------
123,875
------------
INDUSTRIAL & COMMERCIAL -- 5.3%
AEROSPACE & MILITARY TECHNOLOGY -- 0.6%
Lockheed Martin Corp. 8.50% 2029 ....... 100,000 105,373
BUSINESS SERVICES -- 1.4%
Browning Ferris Industries, Inc. 7.88%
2005 ................................. 50,000 45,000
Evenflo Co., Inc., Series B 11.75%
2006 ................................. 75,000 72,750
Mediacom LLC 7.88% 2011 ................ 50,000 44,000
Pentacon, Inc., Series B 12.25% 2009 ... 50,000 28,000
Polymer Group, Inc., Series B 9.00%
2007 ................................. 75,000 57,750
ELECTRICAL EQUIPMENT -- 0.6%
Virginia Electric & Power Co., Series B
7.20% 2004 ........................... 100,000 100,043
MACHINERY -- 0.8%
Cummins Engine, Inc. 6.45% 2005 ........ 75,000 69,467
United Technologies Corp. 6.63% 2004 ... 75,000 74,588
MULTI-INDUSTRY -- 1.0%
Diamond Holdings PLC 9.13% 2008 ........ 50,000 45,500
Schuff Steel Co. 10.50% 2008 ........... 40,000 28,450
Tyco International Group SA 6.38%
2005 ................................. 100,000 97,141
TRANSPORTATION -- 0.9%
Gulfmark Offshore, Inc. 8.75% 2008 ..... 50,000 47,500
Statia Terminals International NV,
Series B 11.75% 2003 ................. 100,000 100,625
------------
916,187
------------
INFORMATION & ENTERTAINMENT -- 7.5%
BROADCASTING & MEDIA -- 4.9%
Adelphia Communications Corp., Series B
8.13% 2003 ........................... 50,000 46,500
Airgate PCS, Inc. zero coupon
2009(2) .............................. 50,000 30,000
Big City Radio, Inc. zero coupon
2005(2) .............................. 150,000 88,125
Chancellor Media Corp. 8.00% 2008 ...... 125,000 127,032
Comcast UK Cable Partners Ltd. zero
coupon 2007(2) ....................... 40,000 37,800
Echostar DBS Corp. 9.25% 2006 .......... 100,000 98,500
Radio One, Inc., Series B 12.00%
2004 ................................. 50,000 52,500
Seagram Joseph E & Sons, Inc. 6.80%
2008 ................................. 100,000 96,936
UIH Australia Pacific, Inc. zero coupon
2006 ................................. 100,000 91,000
United International Holdings, Inc.,
Series B zero coupon 2008(2) ......... 200,000 137,000
US Unwired, Inc. zero coupon 2009(2) ... 100,000 53,000
LEISURE & TOURISM -- 2.6%
American Airlines, Inc. 7.02% 2009 ..... 130,000 124,342
Continental Airlines, Inc. 6.32%
2008 ................................. 200,000 185,104
Disney Walt Co. 7.30% 2005 ............. 100,000 101,523
ITT Corp. 6.75% 2005 ................... 50,000 46,671
------------
1,316,033
------------
</TABLE>
----------------
202
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY -- 2.2%
COMPUTER SERVICES -- 0.2%
Globix Corp. 12.50% 2010 ............... $ 50,000 $ 36,000
INTERNET SOFTWARE -- 0.2%
PSINet, Inc. 11.50% 2008 ............... 50,000 33,250
TELECOMMUNICATIONS -- 1.8%
Flag Telecom Holdings Ltd. 11.63%
2010 ................................. 50,000 45,500
Global Crossing Holdings Ltd. 9.13%
2006 ................................. 50,000 49,375
MGC Communications, Inc. 13.00% 2010 ... 50,000 32,500
NTL, Inc., Series B zero coupon
2008(2) .............................. 100,000 62,000
Spectrasite Holdings, Inc. zero coupon
2009(2) .............................. 100,000 54,500
Worldwide Fiber, Inc. 12.50% 2005 ...... 70,000 67,900
------------
381,025
------------
MATERIALS -- 1.3%
FOREST PRODUCTS -- 0.3%
Ainsworth Lumber Ltd. 12.50% 2007(1) ... 50,000 46,500
METALS & MINERALS -- 1.0
Armco, Inc. 8.88% 2008 ................. 100,000 95,250
P & L Coal Holdings Corp. 8.88% 2008 ... 80,000 79,000
------------
220,750
------------
U.S. GOVERNMENT & AGENCIES -- 62.3%
U.S. GOVERNMENT & AGENCIES -- 62.3%
Federal Home Loan Banks 5.13% 2002 ..... 750,000 735,937
Federal Home Loan Banks 5.25% 2002 ..... 100,000 98,194
Federal Home Loan Mortgage Corp. 5.75%
2009 ................................. 50,000 46,696
Federal Home Loan Mortgage Corp. 6.25%
2002 ................................. 50,000 49,750
Federal Home Loan Mortgage Corp. 7.50%
2026 ................................. 264,782 265,031
Federal Home Loan Mortgage Corp. 7.50%
2028 ................................. 208,367 208,562
Federal National Mortgage Association
5.13% 2004 ........................... 1,500,000 1,435,305
Federal National Mortgage Association
5.38% 2002 ........................... 200,000 196,982
Federal National Mortgage Association
6.00% 2028 ........................... 346,206 324,340
Federal National Mortgage Association
6.00% 2028 ........................... 350,622 327,940
Federal National Mortgage Association
6.00% 2028 ........................... 578,194 540,790
Federal National Mortgage Association
7.25% 2010 ........................... 200,000 206,250
Government National Mortgage Association
6.50% 2028 ........................... 232,727 224,144
Government National Mortgage Association
7.50% 2007 ........................... 149,524 152,015
United States Treasury Bonds 6.25%
2023 ................................. 1,000,000 1,019,530
United States Treasury Bonds 7.13%
2023 ................................. 60,000 67,415
United States Treasury Bonds 8.13%
2021 ................................. 30,000 36,984
United States Treasury Bonds 8.75%
2017 ................................. 150,000 190,688
United States Treasury Bonds 8.75%
2020 ................................. 150,000 194,859
United States Treasury Bonds 9.00%
2018 ................................. 700,000 918,092
United States Treasury Notes 4.25%
2003 ................................. 150,000 142,781
United States Treasury Notes 4.75%
2008 ................................. 500,000 462,735
United States Treasury Notes 5.50%
2003 ................................. 200,000 197,750
United States Treasury Notes 5.88%
2004 ................................. 500,000 499,455
United States Treasury Notes 6.00%
2009 ................................. 1,000,000 1,005,000
United States Treasury Notes 6.50%
2002 ................................. 250,000 251,172
United States Treasury Notes 6.50%
2005 ................................. 400,000 410,064
</TABLE>
----------------
203
<PAGE>
<TABLE>
<CAPTION>
BONDS & NOTES (CONTINUED) PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES (CONTINUED)
U.S. GOVERNMENT & AGENCIES (CONTINUED)
United States Treasury Notes 6.63%
2007 ................................. $ 80,000 $ 82,950
United States Treasury Notes 6.88%
2006 ................................. 300,000 313,548
United States Treasury Notes 7.00%
2006 ................................. 265,000 278,581
------------
10,883,540
------------
UTILITIES -- 0.8%
TELEPHONE -- 0.8%
Deutsche Telekom International 8.00%
2010 ................................. 100,000 102,692
Primus Telecommunications, Inc. 12.75%
2009 ................................. 75,000 39,000
------------
141,692
------------
TOTAL BONDS & NOTES (cost
$16,423,994).......................... 15,932,535
------------
<CAPTION>
PREFERRED STOCK -- 1.9%
SHARES
----------------------------------------------------------------------
<S> <C> <C>
INDUSTRIAL & COMMERCIAL -- 0.7%
BUSINESS SERVICES -- 0.7%
CSC Holdings, Inc.,
Series M 11.13%(1) ................... 1,056 111,890
------------
INFORMATION TECHNOLOGY -- 1.2%
TELECOMMUNICATIONS -- 1.2%
Broadwing Communications, Inc.,
Series B 12.50%(1) ................... 100 101,000
Global Crossings LTD. 7.00%* ........... 150 29,006
Nextel Communications, Inc.,
Series E 11.13%(1) ................... 83 79,680
------------
209,686
------------
TOTAL PREFERRED STOCK (cost $326,181)... 321,576
------------
<CAPTION>
WARRANTS -- 0.0%+
WARRANTS
----------------------------------------------------------------------
<S> <C> <C>
ENERGY -- 0.0%
ENERGY SERVICES -- 0.0%
Key Energy Services, Inc. 1/15/09 (cost
$6,798)............................... 100 6,450
------------
TOTAL INVESTMENT SECURITIES (cost
$16,756,973).......................... 16,260,561
------------
<CAPTION>
SHORT-TERM SECURITIES -- 3.1% PRINCIPAL
AMOUNT
----------------------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT & AGENCIES -- 3.1%
Federal Home Loan Banks 5.38% due 3/2/01
(cost $549,925)....................... $ 550,000 547,203
------------
</TABLE>
----------------
204
<PAGE>
<TABLE>
<CAPTION>
REPURCHASE AGREEMENTS -- 2.5% PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS -- 2.5%
Paribas Corp. Joint Repurchase Agreement
Account (Note 3)...................... $ 195,000 $ 195,000
State Street Bank & Trust Co. Joint
Repurchase Agreement Account
(Note 3).............................. 232,000 232,000
------------
TOTAL REPURCHASE AGREEMENTS (cost
$427,000)............................. 427,000
------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $17,733,898) 98.7% 17,234,764
Other assets less liabilities -- 1.3 234,780
------ ------------
NET ASSETS -- 100.0% $ 17,469,544
====== ============
</TABLE>
-------------
* 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.
See Notes to Financial Statements
----------------
205
<PAGE>
------------------
SEASONS SERIES TRUST
CASH MANAGEMENT PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHORT-TERM SECURITIES -- 90.0% PRINCIPAL
AMOUNT VALUE
<S> <C> <C>
-----------------------------------------------------------------------------------------
COMMERCIAL PAPER -- 62.4%
Alfa Corp. 6.55% due 10/04/00............................... $ 100,000 $ 99,945
American Honda Finance Corp. 6.47% due 10/31/00............. 100,000 99,461
AT&T Corp. 6.60% due 11/30/00............................... 100,000 98,941
Becton Dickinson Co. 6.48% due 11/28/00..................... 100,000 98,956
Bell Atlantic Financial Services 6.50% due 11/01/00......... 100,000 99,440
Bell Atlantic Financial Services 6.51% due 10/17/00......... 100,000 99,711
Bemis Co., Inc. 6.48% due 11/03/00.......................... 175,000 173,960
British Telecommunications PLC 6.60% due 1/08/01............ 100,000 98,329
General Electric Capital Corp. 6.44% due 12/06/00........... 175,000 172,962
Goldman Sachs Group L.P. 6.51% due 10/16/00................. 100,000 99,729
Heinz (H.J.) Co. 6.47% due 10/31/00......................... 100,000 99,461
Honeywell International, Inc. 6.54% due 10/10/00............ 100,000 99,836
Mid States Corp. Federal Credit Union 6.50% due 11/15/00.... 100,000 99,188
Motorola, Inc. 6.47% due 11/22/00........................... 175,000 173,365
National Rural Utilities Cooperative Finance 6.45% due
2/26/01.................................................... 175,000 170,362
Procter & Gamble Co. 6.49% due 11/29/00..................... 175,000 173,139
Province De Quebec 6.52% due 11/22/00....................... 100,000 99,058
St Michael Finance Ltd. 6.52% due 11/13/00.................. 100,000 99,221
Wisconsin Gas Co. 6.49% due 10/12/00........................ 100,000 99,802
----------
2,254,866
----------
FEDERAL AGENCY OBLIGATIONS -- 27.6%
Federal Home Loan Mortgage Discount Notes 6.43% due
10/24/00................................................... 1,000,000 995,892
----------
TOTAL SHORT-TERM SECURITIES (cost $3,250,634)............... 3,250,758
----------
REPURCHASE AGREEMENT -- 15.5%
-----------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 15.5%
State Street Bank & Trust Co. Joint Repurchase Agreement
Account (Note 3)
(cost $561,000)............................................ 561,000 561,000
----------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $3,811,634) 105.5% 3,811,758
Liabilities in excess of other
assets -- (5.5) (199,235)
----- ----------
NET ASSETS -- 100.0% $3,612,523
===== ==========
</TABLE>
-------------
See Notes to Financial Statements
---------------
206
<PAGE>
----------------
SEASONS SERIES TRUST
FOCUS GROWTH PORTFOLIO INVESTMENT PORTFOLIO -- SEPTEMBER 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
COMMON STOCK -- 90.4%
SHARES VALUE
<S> <C> <C>
----------------------------------------------------------------------------------------
CONSUMER DISCRETIONARY -- 15.5%
RETAIL -- 15.5%
Home Depot, Inc. .......................................... 26,348 $ 1,398,091
Safeway, Inc.+ ............................................ 15,500 723,656
Tiffany & Co. ............................................. 14,760 569,182
-----------
2,690,929
-----------
ENERGY -- 3.1%
ENERGY SERVICES -- 3.1%
Halliburton Co. ........................................... 11,000 538,313
-----------
FINANCE -- 11.5%
FINANCIAL SERVICES -- 11.5%
American Express Co. ...................................... 8,000 486,000
Citigroup, Inc. ........................................... 11,100 600,094
Goldman Sachs Group, Inc .................................. 5,100 581,081
Merrill Lynch & Co. ....................................... 4,895 323,070
-----------
1,990,245
-----------
HEALTHCARE -- 9.5%
DRUGS -- 6.1%
Eli Lilly & Co. ........................................... 6,400 519,200
Pfizer, Inc. .............................................. 12,000 539,250
MEDICAL PRODUCTS -- 3.4%
Cardinal Health, Inc. ..................................... 6,600 582,037
-----------
1,640,487
-----------
INDUSTRIAL & COMMERCIAL -- 3.3%
MULTI-INDUSTRY -- 3.3%
Tyco International Ltd. ................................... 11,000 570,625
-----------
INFORMATION & ENTERTAINMENT -- 6.3%
BROADCASTING & MEDIA -- 2.9%
Viacom, Inc., Class B+ .................................... 8,500 497,250
LEISURE & TOURISM -- 3.4%
Four Seasons Hotels, Inc. ................................. 8,200 600,138
-----------
1,097,388
-----------
INFORMATION TECHNOLOGY -- 37.6%
COMMUNICATION EQUIPMENT -- 8.2%
Cisco Systems, Inc.+ ...................................... 25,700 1,419,925
COMPUTER SOFTWARE -- 5.8%
Microsoft Corp.+ .......................................... 8,000 482,500
Oracle Corp.+ ............................................. 6,700 527,625
</TABLE>
----------------
207
<PAGE>
<TABLE>
<CAPTION>
COMMON STOCK (CONTINUED)
SHARES VALUE
----------------------------------------------------------------------------------------
<S> <C> <C>
INFORMATION TECHNOLOGY (CONTINUED)
ELECTRONICS -- 2.3%
Applied Materials, Inc.+ .................................. 6,800 $ 403,325
INTERNET CONTENT -- 3.8%
eBay, Inc.+ ............................................... 9,600 658,800
TELECOMMUNICATIONS -- 17.5%
Corning, Inc. ............................................. 2,825 839,025
JDS Uniphase Corp.+ ....................................... 4,700 445,031
Nokia Corp. ADR ........................................... 11,200 445,900
Nortel Networks Corp. ..................................... 14,400 857,700
Vodafone Group PLC ADR .................................... 12,000 444,000
-----------
6,523,831
-----------
UTILITIES -- 3.6%
ELECTRIC UTILITIES -- 3.6%
Calpine Corp.+ ............................................ 6,000 626,250
-----------
TOTAL INVESTMENT SECURITIES (cost $16,105,009) ............. 15,678,068
-----------
<CAPTION>
SHORT-TERM SECURITIES -- 9.3% PRINCIPAL
AMOUNT
-----------------------------------------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT-TERM NOTES -- 4.1%
Albertsons, Inc. 6.54% due 10/12/00 ....................... $200,000 199,600
American Express Credit Corp. 6.60% due 10/2/00 ........... 265,000 265,000
Chevron Corp. 6.55% due 10/2/00 ........................... 161,000 161,000
Great West Life & Annuity Insurance Co. 6.50% due 10/11/00
.......................................................... 100,000 99,820
-----------
725,420
-----------
FEDERAL AGENCY OBLIGATIONS -- 5.2%
Federal Home Loan Bank Consolidated Discount Notes 6.20% due
10/2/00 ................................................... 900,000 899,845
-----------
TOTAL SHORT-TERM SECURITIES (cost $1,625,265) .............. 1,625,265
-----------
</TABLE>
<TABLE>
<S> <C> <C> <C>
TOTAL INVESTMENTS --
(cost $17,730,274) 99.7% 17,303,333
Other assets less liabilities -- 0.3 44,844
------ ------------
NET ASSETS -- 100.0% $ 17,348,177
====== ============
</TABLE>
-------------
+ Non-income producing securities
ADR -- American Depository
Receipt
See Notes to Financial Statements
----------------
208
<PAGE>
(This page has been left blank intentionally.)
----------------
209
<PAGE>
----------------
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MULTI- ASSET
MULTI- MANAGED MULTI- MULTI- ALLOCATION:
MANAGED MODERATE MANAGED MANAGED DIVERSIFIED
GROWTH GROWTH INCOME/EQUITY INCOME GROWTH STOCK
<S> <C> <C> <C> <C> <C> <C>
-------------------------------------------------------------------------------------------------------------
ASSETS:
Investment securities, at
value*................. $106,041,070 $110,325,510 $69,246,742 $47,823,949 $148,596,260 $139,629,677
Short-term securities*... 7,422,097 6,585,066 5,589,225 3,250,403 3,611,455 7,316,870
Repurchase agreements
(cost equals market)... 6,629,000 7,877,000 3,700,000 4,230,000 28,230,000 --
Cash..................... 30,131 62,978 5,730,145 3,194,997 -- --
Foreign currency*........ 2,154 1,608 881 218 2,116 52
Receivables for --
Fund shares sold....... 112,480 151,985 62,037 31,702 166,732 141,991
Dividends and accrued
interest............. 565,138 919,669 948,418 847,854 584,190 119,764
Sales of investments... 1,155,052 1,139,761 98,849 73,066 3,920,726 1,210,399
Foreign currency
contracts............ -- -- -- -- 1,068,436 107,251
Variation margin on
futures contracts.... -- -- -- -- 196,531 --
Prepaid expenses......... 1,021 1,085 782 572 1,667 1,359
Due from Adviser......... -- -- -- 3,169 -- --
Deferred organizational
expenses............... 4,951 4,951 4,951 4,951 4,951 4,951
Unrealized appreciation
on forward foreign
currency contracts..... 89,797 75,410 36,965 9,885 -- --
----------------------------------------------------------------------------------
122,052,891 127,145,023 85,418,995 59,470,766 186,383,064 148,532,314
----------------------------------------------------------------------------------
LIABILITIES:
Payables for --
Fund shares redeemed... 31,010 14,832 93,714 13,597 70,509 58,375
Purchases of
investments.......... 3,656,301 4,463,622 4,405,848 3,626,766 8,873,039 1,206,660
Management fees........ 87,060 85,297 53,859 35,205 121,090 104,427
Foreign currency
contracts............ -- -- -- -- 1,065,320 107,146
Variation margin on
futures contracts.... -- -- -- -- -- --
Other accrued expenses... 74,607 75,894 62,438 54,985 89,331 68,955
Unrealized depreciation
on forward foreign
currency contracts..... 70,527 64,269 24,267 9,595 -- --
Due to custodian......... -- -- -- -- 525,745 --
----------------------------------------------------------------------------------
3,919,505 4,703,914 4,640,126 3,740,148 10,745,034 1,545,563
----------------------------------------------------------------------------------
NET ASSETS............... $118,133,386 $122,441,109 $80,778,869 $55,730,618 $175,638,030 $146,986,751
==================================================================================
Shares of beneficial
interest outstanding
(unlimited shares
authorized)............ 5,779,398 6,756,079 5,717,085 4,503,879 12,993,350 7,485,019
Net asset value per
share.................. $20.44 $18.12 $14.13 $12.37 $13.52 $19.64
==================================================================================
COMPOSITION OF NET
ASSETS:
Capital paid in.......... $ 82,800,639 $ 90,948,501 $68,873,737 $51,049,518 $155,570,505 $106,749,728
Accumulated undistributed
net investment income
(loss)................. 991,723 1,920,240 2,309,127 1,963,282 2,107,470 (41,303)
Accumulated undistributed
net realized gain
(loss) on investments,
futures contracts and
options contracts...... 24,159,897 20,854,826 8,717,873 3,199,467 10,526,595 16,643,148
Unrealized appreciation
(depreciation) on
investments............ 10,163,153 8,708,905 868,138 (479,131) 8,077,486 23,635,901
Unrealized foreign
exchange gain (loss) on
other assets and
liabilities............ 17,974 8,637 9,994 (2,518) (7,648) (723)
Unrealized appreciation
(depreciation) on
futures and written
options contracts...... -- -- -- -- (636,378) --
----------------------------------------------------------------------------------
$118,133,386 $122,441,109 $80,778,869 $55,730,618 $175,638,030 $146,986,751
==================================================================================
---------------
* Cost
Investment securities... $ 95,849,077 $101,565,548 $68,316,242 $48,245,077 $140,556,121 $115,993,776
==================================================================================
Short-term securities... $ 7,450,937 $ 6,636,123 $ 5,651,587 $ 3,308,406 $ 3,574,108 $ 7,316,870
==================================================================================
Foreign currency........ $ 2,181 $ 1,634 $ 897 $ 222 $ 2,116 $ 52
==================================================================================
</TABLE>
See Notes to Financial Statements
----------------
210
<PAGE>
<TABLE>
<CAPTION>
LARGE CAP LARGE CAP LARGE CAP MID CAP MID CAP
GROWTH COMPOSITE VALUE GROWTH VALUE
<S> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------------------
ASSETS:
Investment securities, at
value*................. $26,004,819 $17,813,131 $17,847,503 $27,048,846 $18,609,831
Short-term securities*... 1,349,622 396,491 265,506 43,632 9,970
Repurchase agreements
(cost equals market)... 926,000 37,000 5,000 265,000 1,291,000
Cash..................... 53,510 19,518 100,658 83,738 2,143
Foreign currency*........ 606 -- -- -- --
Receivables for --
Fund shares sold....... 292,681 18,471 68,666 224,926 95,708
Dividends and accrued
interest............. 11,839 13,171 27,709 4,863 27,642
Sales of investments... 115 460,316 25,556 33,627 13,783
Foreign currency
contracts............ -- -- -- -- --
Variation margin on
futures contracts.... -- -- -- -- --
Prepaid expenses......... 250 175 178 239 180
Due from Adviser......... 13,416 17,349 17,821 13,234 17,666
Deferred organizational
expenses............... -- -- -- -- --
Unrealized appreciation
on forward foreign
currency contracts..... 35,418 -- -- -- --
---------------------------------------------------------------
28,688,276 18,775,622 18,358,597 27,718,105 20,067,923
---------------------------------------------------------------
LIABILITIES:
Payables for --
Fund shares redeemed... 21,440 10,556 60,842 221,910 91,077
Purchases of
investments.......... 3,413 268,733 7,020 29,854 361,446
Management fees........ 18,643 12,530 11,939 19,588 13,448
Foreign currency
contracts............ -- -- -- -- --
Variation margin on
futures contracts.... 4,450 -- 1,115 -- 2,230
Other accrued expenses... 46,532 44,486 44,324 47,027 43,690
Unrealized depreciation
on forward foreign
currency contracts..... 23,871 -- -- -- --
Due to custodian......... -- -- -- -- --
---------------------------------------------------------------
118,349 336,305 125,240 318,379 511,891
---------------------------------------------------------------
NET ASSETS............... $28,569,927 $18,439,317 $18,233,357 $27,399,726 $19,556,032
===============================================================
Shares of beneficial
interest outstanding
(unlimited shares
authorized)............ 2,139,248 1,435,263 1,626,834 1,585,257 1,617,738
Net asset value per
share.................. $13.36 $12.85 $11.21 $17.28 $12.09
===============================================================
COMPOSITION OF NET
ASSETS:
Capital paid in.......... $23,093,624 $14,786,517 $16,526,479 $16,469,235 $16,312,678
Accumulated undistributed
net investment income
(loss)................. (87,678) (16,042) 156,198 (107,091) 158,749
Accumulated undistributed
net realized gain
(loss) on investments,
futures contracts and
options contracts...... 3,077,991 1,036,626 1,128,774 5,259,692 1,323,692
Unrealized appreciation
(depreciation) on
investments............ 2,478,897 2,632,302 424,676 5,777,890 1,764,417
Unrealized foreign
exchange gain (loss) on
other assets and
liabilities............ 11,537 (86) -- -- --
Unrealized appreciation
(depreciation) on
futures and written
options contracts...... (4,444) -- (2,770) -- (3,504)
---------------------------------------------------------------
$28,569,927 $18,439,317 $18,233,357 $27,399,726 $19,556,032
===============================================================
---------------
* Cost
Investment securities... $23,525,922 $15,180,829 $17,422,827 $21,270,956 $16,845,414
===============================================================
Short-term securities... $ 1,349,622 396,491 $ 265,506 $ 43,632 $ 9,970
===============================================================
Foreign currency........ $ 615 $ -- $ -- $ -- $ --
===============================================================
<CAPTION>
INTERNATIONAL DIVERSIFIED CASH FOCUS
SMALL CAP EQUITY FIXED INCOME MANAGEMENT GROWTH
<S> <C> <C> <C> <C> <C>
-------------------------
ASSETS:
Investment securities, at
value*................. $19,739,133 $17,204,083 $16,260,561 $ -- $15,678,068
Short-term securities*... 49,852 34,895 547,203 3,250,758 1,625,265
Repurchase agreements
(cost equals market)... 935,000 522,000 427,000 561,000 --
Cash..................... 2,586 1,554 40,106 326 106,548
Foreign currency*........ -- 338,286 -- -- --
Receivables for --
Fund shares sold....... 90,022 67,383 2,936 21,174 109,475
Dividends and accrued
interest............. 7,069 45,404 264,309 198 1,898
Sales of investments... 520,713 125,096 162,377 -- 58,747
Foreign currency
contracts............ -- -- -- -- --
Variation margin on
futures contracts.... -- 1,164 -- -- --
Prepaid expenses......... 183 186 14 30 --
Due from Adviser......... 16,429 31,427 18,372 14,215 19,197
Deferred organizational
expenses............... -- -- -- -- --
Unrealized appreciation
on forward foreign
currency contracts..... -- 22,878 -- -- --
-----------------------------------------------------------------
21,360,987 18,394,356 17,722,878 3,847,701 17,599,198
-----------------------------------------------------------------
LIABILITIES:
Payables for --
Fund shares redeemed... 81,037 60,797 609 200,292 217
Purchases of
investments.......... 553,840 128,692 196,894 -- 205,420
Management fees........ 14,611 15,185 10,009 1,700 14,430
Foreign currency
contracts............ -- -- -- -- --
Variation margin on
futures contracts.... 4,450 -- -- -- --
Other accrued expenses... 44,553 64,186 45,822 33,186 30,954
Unrealized depreciation
on forward foreign
currency contracts..... -- 22,172 -- -- --
Due to custodian......... -- -- -- -- --
-----------------------------------------------------------------
698,491 291,032 253,334 235,178 251,021
-----------------------------------------------------------------
NET ASSETS............... $20,662,496 $18,103,324 $17,469,544 $3,612,523 $17,348,177
=================================================================
Shares of beneficial
interest outstanding
(unlimited shares
authorized)............ 1,529,274 1,590,236 1,752,363 342,937 1,804,537
Net asset value per
share.................. $13.51 $11.38 $9.97 $10.53 $9.61
=================================================================
COMPOSITION OF NET
ASSETS:
Capital paid in.......... $15,963,765 $16,301,379 $17,454,271 $3,483,816 $18,135,559
Accumulated undistributed
net investment income
(loss)................. (25,338) 1,937 772,736 128,996 (14,506)
Accumulated undistributed
net realized gain
(loss) on investments,
futures contracts and
options contracts...... 3,437,554 955,192 (258,329) (413) (345,935)
Unrealized appreciation
(depreciation) on
investments............ 1,297,609 892,486 (499,134) 124 (426,941)
Unrealized foreign
exchange gain (loss) on
other assets and
liabilities............ -- (30,758) -- -- --
Unrealized appreciation
(depreciation) on
futures and written
options contracts...... (11,094) (16,912) -- -- --
-----------------------------------------------------------------
$20,662,496 $18,103,324 $17,469,544 $3,612,523 $17,348,177
=================================================================
---------------
* Cost
Investment securities... $18,441,524 $16,311,598 $16,756,973 $ -- $16,105,009
=================================================================
Short-term securities... $ 49,852 $ 34,895 $ 549,925 $3,250,634 $ 1,625,265
=================================================================
Foreign currency........ $ -- $ 348,498 $ -- $ -- $ --
=================================================================
</TABLE>
See Notes to Financial Statements
----------------
211
<PAGE>
----------------
SEASONS SERIES TRUST
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MULTI- ASSET
MULTI- MANAGED MULTI- MULTI- ALLOCATION:
MANAGED MODERATE MANAGED MANAGED DIVERSIFIED
GROWTH GROWTH INCOME/EQUITY INCOME GROWTH STOCK
<S> <C> <C> <C> <C> <C> <C>
---------------------------------------------------------------------------------------------------------
INCOME:
Interest............... $ 1,398,912 $ 1,990,192 $ 1,844,049 $ 1,627,451 $1,886,658 $ 178,227
Dividends.............. 84,916 71,529 44,128 16,765 705,694 471,279
------------------------------------------------------------------------------
Total income*........ 1,483,828 2,061,721 1,888,177 1,644,216 2,592,352 649,506
------------------------------------------------------------------------------
EXPENSES:
Management fees........ 479,487 476,382 309,983 208,691 708,709 589,066
Custodian fees......... 69,041 69,524 66,961 66,949 53,067 38,857
Auditing fees.......... 10,941 10,941 10,941 10,941 10,882 10,882
Reports to investors... 14,813 15,340 10,955 7,726 24,037 20,405
Legal fees............. 1,992 1,992 1,635 1,354 2,647 2,346
Trustees' fees......... 281 281 186 183 431 343
Amortization of
organizational
expenses............. 1,610 1,610 1,610 1,610 1,610 1,610
Other expenses......... 523 553 468 415 883 646
------------------------------------------------------------------------------
Total expenses before
reimbursement and
custody credits.... 578,688 576,623 402,739 297,869 802,266 664,155
Expenses reimbursed
by the investment
adviser............ -- -- -- (9,987) -- --
Custody credits
earned on cash
balances........... (2,481) (3,539) (991) (594) (4,062) (1,902)
------------------------------------------------------------------------------
Net investment income
(loss)................. 907,621 1,488,637 1,486,429 1,356,928 1,794,148 (12,747)
------------------------------------------------------------------------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON
INVESTMENTS AND FOREIGN
CURRENCIES:
Net realized gain
(loss) on
investments.......... 3,885,591 3,114,204 3,022,494 973,473 3,941,422 7,506,432
Net realized gain
(loss) on futures and
options contracts.... (60,618) (56,274) -- -- 629,304 --
Net realized foreign
exchange gain (loss)
on other assets and
liabilities.......... 475,921 353,932 171,031 66,538 (11,693) (20,947)
Change in unrealized
appreciation/depreciation
on investments....... (9,966,686) (7,295,645) (5,317,591) (1,541,405) (9,092,572) (7,143,442)
Change in unrealized
foreign exchange
gain/loss on other
assets and
liabilities.......... (273,220) (211,733) (97,700) (37,750) (4,455) (802)
Change in unrealized
appreciation/depreciation
on futures and
options contracts.... 20,894 20,894 -- -- (2,400,973) --
------------------------------------------------------------------------------
Net realized and
unrealized gain
(loss) on investments
and foreign
currencies........... (5,918,118) (4,074,622) (2,221,766) (539,144) (6,938,967) 341,241
------------------------------------------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ $(5,010,497) $(2,585,985) $ (735,337) $ 817,784 $(5,144,819) $ 328,494
==============================================================================
---------------
* Net of foreign
withholding taxes on
interest and dividends
of..................... $ 2,081 $ 2,054 $ 698 $ 975 $ 44,845 $ 9,230
==============================================================================
</TABLE>
# Commenced operations July 5, 2000
See Notes to Financial Statements
----------------
212
<PAGE>
<TABLE>
<CAPTION>
LARGE CAP LARGE CAP LARGE CAP MID CAP MID CAP
GROWTH COMPOSITE VALUE GROWTH VALUE
<S> <C> <C> <C> <C> <C>
--------------------------------------------------------------------------------------
INCOME:
Interest............... $ 47,453 $ 11,970 $ 9,431 $ 20,297 $ 28,247
Dividends.............. 66,896 73,396 185,916 24,339 175,453
-----------------------------------------------------------
Total income*........ 114,349 85,366 195,347 44,636 203,700
-----------------------------------------------------------
EXPENSES:
Management fees........ 105,862 73,288 69,889 112,146 76,326
Custodian fees......... 67,677 67,463 67,756 67,815 67,414
Auditing fees.......... 10,777 10,777 10,777 10,777 10,777
Reports to investors... 2,824 1,587 1,588 3,064 1,625
Legal fees............. 1,007 912 912 985 910
Trustees' fees......... -- -- -- -- --
Amortization of
organizational
expenses............. -- -- -- -- --
Other expenses......... 273 242 252 264 238
-----------------------------------------------------------
Total expenses before
reimbursement and
custody credits.... 188,420 154,269 151,174 195,051 157,290
Expenses reimbursed
by the investment
adviser............ (40,443) (52,405) (53,090) (41,394) (53,047)
Custody credits
earned on cash
balances........... (2,417) (1,093) (1,986) (1,930) (989)
-----------------------------------------------------------
Net investment income
(loss)................. (31,211) (15,405) 99,249 (107,091) 100,446
-----------------------------------------------------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON
INVESTMENTS AND FOREIGN
CURRENCIES:
Net realized gain
(loss) on
investments.......... 624,763 610,925 576,099 2,739,273 888,774
Net realized gain
(loss) on futures and
options contracts.... (7,129) (2,188) (4,700) 3,906 12,016
Net realized foreign
exchange gain (loss)
on other assets and
liabilities.......... 111,166 121 (134) -- 1
Change in unrealized
appreciation/depreciation
on investments....... (3,743,460) (893,795) 615,406 (3,655,844) 1,523,803
Change in unrealized
foreign exchange
gain/loss on other
assets and
liabilities.......... (61,905) 261 3 -- (2)
Change in unrealized
appreciation/depreciation
on futures and
options contracts.... (10,142) -- (5,689) (5,782) (14,210)
-----------------------------------------------------------
Net realized and
unrealized gain
(loss) on investments
and foreign
currencies........... (3,086,707) (284,676) 1,180,985 (918,447) 2,410,382
-----------------------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ $(3,117,918) $(300,081) $1,280,234 $(1,025,538) $2,510,828
===========================================================
---------------
* Net of foreign
withholding taxes on
interest and dividends
of..................... $ 677 $ 1,067 $ 1,519 $ 40 $ 538
===========================================================
<CAPTION>
INTERNATIONAL DIVERSIFIED CASH FOCUS
SMALL CAP EQUITY FIXED INCOME MANAGEMENT GROWTH#
<S> <C> <C> <C> <C> <C>
-------------------------
INCOME:
Interest............... $ 42,106 $ 10,142 $584,655 $101,991 $ 26,515
Dividends.............. 46,546 151,563 -- -- 10,713
---------------------------------------------------------------
Total income*........ 88,652 161,705 584,655 101,991 37,228
---------------------------------------------------------------
EXPENSES:
Management fees........ 84,253 94,478 59,919 8,706 39,796
Custodian fees......... 67,270 104,941 67,512 34,733 33,867
Auditing fees.......... 10,777 14,663 12,024 12,321 6,864
Reports to investors... 1,885 1,940 1,280 -- 1,350
Legal fees............. 921 1,027 912 478 440
Trustees' fees......... -- -- -- -- 88
Amortization of
organizational
expenses............. -- -- -- -- --
Other expenses......... 245 251 253 190 2,544
---------------------------------------------------------------
Total expenses before
reimbursement and
custody credits.... 165,351 217,300 141,900 56,428 84,949
Expenses reimbursed
by the investment
adviser............ (50,591) (93,343) (55,304) (42,426) (32,213)
Custody credits
earned on cash
balances........... (770) (1,136) (997) (548) (1,002)
---------------------------------------------------------------
Net investment income
(loss)................. (25,338) 38,884 499,056 88,537 (14,506)
---------------------------------------------------------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON
INVESTMENTS AND FOREIGN
CURRENCIES:
Net realized gain
(loss) on
investments.......... 1,421,147 291,967 (32,289) (340) (345,935)
Net realized gain
(loss) on futures and
options contracts.... (33,683) (25,946) -- -- --
Net realized foreign
exchange gain (loss)
on other assets and
liabilities.......... -- (32,502) -- -- --
Change in unrealized
appreciation/depreciation
on investments....... (2,208,043) (3,078,936) 126,179 238 (426,941)
Change in unrealized
foreign exchange
gain/loss on other
assets and
liabilities.......... -- (13,036) -- -- --
Change in unrealized
appreciation/depreciation
on futures and
options contracts.... 1,107 (8,499) -- -- --
---------------------------------------------------------------
Net realized and
unrealized gain
(loss) on investments
and foreign
currencies........... (819,472) (2,866,952) 93,890 (102) (772,876)
---------------------------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ $ (844,810) $(2,828,068) $592,946 $ 88,435 $(787,382)
===============================================================
---------------
* Net of foreign
withholding taxes on
interest and dividends
of..................... $ 18 $ 21,501 $ -- $ -- $ 39
===============================================================
</TABLE>
# Commenced operations July 5, 2000
See Notes to Financial Statements
----------------
213
<PAGE>
----------------
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
For the six months ended September 30, 2000 (unaudited)
<TABLE>
<CAPTION>
MULTI- ASSET
MULTI- MANAGED MULTI- MULTI- ALLOCATION:
MANAGED MODERATE MANAGED MANAGED DIVERSIFIED
GROWTH GROWTH INCOME/EQUITY INCOME GROWTH STOCK
<S> <C> <C> <C> <C> <C> <C>
----------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income (loss)............ $ 907,621 $ 1,488,637 $ 1,486,429 $ 1,356,928 $ 1,794,148 $ (12,747)
Net realized gain (loss) on
investments........................... 3,885,591 3,114,204 3,022,494 973,473 3,941,422 7,506,432
Net realized gain (loss) on futures and
options contracts..................... (60,618) (56,274) -- -- 629,304 --
Net realized foreign exchange gain
(loss) on other assets and
liabilities........................... 475,921 353,932 171,031 66,538 (11,693) (20,947)
Change in unrealized
appreciation/depreciation on
investments........................... (9,966,686) (7,295,645) (5,317,591) (1,541,405) (9,092,572) (7,143,442)
Change in unrealized foreign exchange
gain/loss on other assets and
liabilities........................... (273,220) (211,733) (97,700) (37,750) (4,455) (802)
Change in unrealized
appreciation/depreciation on futures
and options contracts................. 20,894 20,894 -- -- (2,400,973) --
----------------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations............. (5,010,497) (2,585,985) (735,337) 817,784 (5,144,819) 328,494
----------------------------------------------------------------------------------
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............... 26,223,754 23,559,241 11,557,842 5,597,042 31,665,965 25,035,683
Proceeds from shares issued for
reinvestment of dividends and
distributions......................... -- -- -- -- -- --
Cost of shares repurchased.............. (7,055,725) (5,953,037) (4,821,850) (4,721,703) (11,941,267) (11,208,783)
----------------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from capital share
transactions.......................... 19,168,029 17,606,204 6,735,992 875,339 19,724,698 13,826,900
----------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS................................ 14,157,532 15,020,219 6,000,655 1,693,123 14,579,879 14,155,394
NET ASSETS:
Beginning of period..................... 103,975,854 107,420,890 74,778,214 54,037,495 161,058,151 132,831,357
----------------------------------------------------------------------------------
End of period........................... $118,133,386 $122,441,109 $80,778,869 $55,730,618 $175,638,030 $146,986,751
==================================================================================
---------------
Undistributed net investment income
(loss)................................ $ 991,723 $ 1,920,240 $ 2,309,127 $ 1,963,282 $ 2,107,470 $ (41,303)
==================================================================================
Shares issued and repurchased:
Sold.................................... 1,290,648 1,314,993 827,059 461,605 2,331,070 1,288,438
Issued in reinvestment of dividends and
distributions......................... -- -- -- -- -- --
Repurchased............................. (350,959) (333,477) (344,082) (389,547) (881,781) (579,367)
----------------------------------------------------------------------------------
Net increase (decrease)................. 939,689 981,516 482,977 72,058 1,449,289 709,071
==================================================================================
</TABLE>
---------------
# Commenced operations July 5, 2000
See Notes to Financial Statements
----------------
214
<PAGE>
<TABLE>
<CAPTION>
LARGE CAP LARGE CAP LARGE CAP MID CAP MID CAP
GROWTH COMPOSITE VALUE GROWTH VALUE
<S> <C> <C> <C> <C> <C>
----------------------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income (loss)............ $ (31,211) $ (15,405) $ 99,249 $ (107,091) $ 100,446
Net realized gain (loss) on
investments........................... 624,763 610,925 576,099 2,739,273 888,774
Net realized gain (loss) on futures and
options contracts..................... (7,129) (2,188) (4,700) 3,906 12,016
Net realized foreign exchange gain
(loss) on other assets and
liabilities........................... 111,166 121 (134) -- 1
Change in unrealized
appreciation/depreciation on
investments........................... (3,743,460) (893,795) 615,406 (3,655,844) 1,523,803
Change in unrealized foreign exchange
gain/loss on other assets and
liabilities........................... (61,905) 261 3 -- (2)
Change in unrealized
appreciation/depreciation on futures
and options contracts................. (10,142) -- (5,689) (5,782) (14,210)
----------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations............. (3,117,918) (300,081) 1,280,234 (1,025,538) 2,510,828
----------------------------------------------------------------
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............... 16,006,024 3,790,421 5,572,295 11,723,213 2,634,056
Proceeds from shares issued for
reinvestment of dividends and
distributions......................... -- -- -- -- --
Cost of shares repurchased.............. (12,178,439) (3,722,886) (5,370,460) (11,357,187) (2,229,099)
----------------------------------------------------------------
Net increase (decrease) in net assets
resulting from capital share
transactions.......................... 3,827,585 67,535 201,835 366,026 404,957
----------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS................................ 709,667 (232,546) 1,482,069 (659,512) 2,915,785
NET ASSETS:
Beginning of period..................... 27,860,260 18,671,863 16,751,288 28,059,238 16,640,247
----------------------------------------------------------------
End of period........................... $28,569,927 $18,439,317 $ 18,233,357 $27,399,726 $19,556,032
================================================================
---------------
Undistributed net investment income
(loss)................................ $ (87,678) $ (16,042) $ 156,198 $ (107,091) $ 158,749
================================================================
Shares issued and repurchased:
Sold.................................... 1,157,139 299,612 516,710 701,119 236,044
Issued in reinvestment of dividends and
distributions......................... -- -- -- -- --
Repurchased............................. (881,582) (294,779) (498,535) (679,288) (200,029)
----------------------------------------------------------------
Net increase (decrease)................. 275,557 4,833 18,175 21,831 36,015
================================================================
<CAPTION>
DIVERSIFIED
INTERNATIONAL FIXED CASH FOCUS
SMALL CAP EQUITY INCOME MANAGEMENT GROWTH#
<S> <C> <C> <C> <C> <C>
----------------------------------------
OPERATIONS:
Net investment income (loss)............ $ (25,338) $ 38,884 $ 499,056 $ 88,537 $ (14,506)
Net realized gain (loss) on
investments........................... 1,421,147 291,967 (32,289) (340) (345,935)
Net realized gain (loss) on futures and
options contracts..................... (33,683) (25,946) -- -- --
Net realized foreign exchange gain
(loss) on other assets and
liabilities........................... -- (32,502) -- -- --
Change in unrealized
appreciation/depreciation on
investments........................... (2,208,043) (3,078,936) 126,179 238 (426,941)
Change in unrealized foreign exchange
gain/loss on other assets and
liabilities........................... -- (13,036) -- -- --
Change in unrealized
appreciation/depreciation on futures
and options contracts................. 1,107 (8,499) -- -- --
-----------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations............. (844,810) (2,828,068) 592,946 88,435 (787,382)
-----------------------------------------------------------------
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............... 7,496,062 7,326,660 3,085,596 2,443,886 18,455,206
Proceeds from shares issued for
reinvestment of dividends and
distributions......................... -- -- -- -- --
Cost of shares repurchased.............. (7,132,810) (6,785,220) (2,992,873) (3,043,115) (319,647)
-----------------------------------------------------------------
Net increase (decrease) in net assets
resulting from capital share
transactions.......................... 363,252 541,440 92,723 (599,229) 18,135,559
-----------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS................................ (481,558) (2,286,628) 685,669 (510,794) 17,348,177
NET ASSETS:
Beginning of period..................... 21,144,054 20,389,952 16,783,875 4,123,317 --
-----------------------------------------------------------------
End of period........................... $20,662,496 $18,103,324 17,469,544 $3,612,523 $17,348,177
=================================================================
---------------
Undistributed net investment income
(loss)................................ $ (25,338) $ 1,937 $ 772,736 $ 128,996 $ (14,506)
=================================================================
Shares issued and repurchased:
Sold.................................... 574,812 609,307 316,239 234,663 1,834,999
Issued in reinvestment of dividends and
distributions......................... -- -- -- -- --
Repurchased............................. (547,237) (564,030) (306,492) (294,256) (30,462)
-----------------------------------------------------------------
Net increase (decrease)................. 27,575 45,277 9,747 (59,593) 1,804,537
=================================================================
</TABLE>
---------------
# Commenced operations July 5, 2000
See Notes to Financial Statements
----------------
215
<PAGE>
----------------
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
For the year ended March 31, 2000
<TABLE>
<CAPTION>
MULTI- ASSET
MULTI- MANAGED MULTI- MULTI- ALLOCATION:
MANAGED MODERATE MANAGED MANAGED DIVERSIFIED
GROWTH GROWTH INCOME/EQUITY INCOME GROWTH STOCK
<S> <C> <C> <C> <C> <C> <C>
----------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income (loss)............ $ 814,329 $ 1,738,440 $ 2,431,297 $ 2,486,111 $ 2,087,285 $ (53,425)
Net realized gain (loss) on
investments........................... 26,439,228 22,057,038 7,340,224 2,774,697 11,896,069 13,400,365
Net realized gain (loss) on futures and
options contracts..................... (381,346) -- -- -- (1,973,076) --
Net realized foreign exchange gain
(loss) on other assets and
liabilities........................... 158,036 120,837 60,820 22,861 (2,989) (59,892)
Change in unrealized
appreciation/depreciation on
investments........................... 7,553,424 5,652,704 1,716,369 (731,267) 8,654,061 15,890,765
Change in unrealized foreign exchange
gain/loss on other assets and
liabilities........................... 186,658 138,732 64,575 19,701 (11,548) (389)
Change in unrealized
appreciation/depreciation on futures
and options contracts................. (14,356) (14,700) -- -- 1,783,339 --
----------------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations............. 34,755,973 29,693,051 11,613,285 4,572,103 22,433,141 29,177,424
----------------------------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net investment income.... (820,000) (1,605,000) (2,012,000) (2,281,000) (2,202,000) --
Distributions from net realized gain on
investments........................... (14,345,000) (11,165,000) (4,689,000) (1,659,000) (6,947,000) (6,781,000)
----------------------------------------------------------------------------------
Total dividends and distributions to
shareholders.......................... (15,165,000) (12,770,000) (6,701,000) (3,940,000) (9,149,000) (6,781,000)
----------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold............... 32,763,994 30,158,616 21,214,752 18,076,587 58,935,026 41,407,708
Proceeds from shares issued for
reinvestment of dividends and
distributions......................... 15,165,000 12,770,000 6,701,000 3,940,000 9,149,000 6,781,000
Cost of shares repurchased.............. (33,256,405) (28,124,784) (20,170,897) (18,861,153) (37,972,942) (34,800,524)
----------------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from capital share
transactions.......................... 14,672,589 14,803,832 7,744,855 3,155,434 30,111,084 13,388,184
----------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS................................ 34,263,562 31,726,883 12,657,140 3,787,537 43,395,225 35,784,608
NET ASSETS:
Beginning of period..................... 69,712,292 75,694,007 62,121,074 50,249,958 117,662,926 97,046,749
----------------------------------------------------------------------------------
End of period........................... $103,975,854 $107,420,890 $74,778,214 $54,037,495 $161,058,151 $132,831,357
==================================================================================
---------------
Undistributed net investment income
(loss)................................ $ 84,102 $ 431,603 $ 822,698 $ 606,354 $ 313,322 $ (28,556)
==================================================================================
Shares issued and repurchased:
Sold.................................... 1,712,782 1,802,685 1,552,450 1,494,584 4,422,800 2,403,922
Issued in reinvestment of dividends and
distributions......................... 775,470 743,857 491,388 331,586 678,569 382,563
Repurchased............................. (1,700,356) (1,654,036) (1,468,768) (1,557,621) (2,869,977) (1,996,632)
----------------------------------------------------------------------------------
Net increase (decrease)................. 787,896 892,506 575,070 268,549 2,231,392 789,853
==================================================================================
</TABLE>
See Notes to Financial Statements
----------------
216
<PAGE>
<TABLE>
<CAPTION>
LARGE CAP LARGE CAP LARGE CAP MID CAP MID CAP
GROWTH COMPOSITE VALUE GROWTH VALUE
<S> <C> <C> <C> <C> <C>
----------------------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income (loss)............ $ (66,379) $ 11,046 $ 193,284 $ (133,065) $ 155,996
Net realized gain (loss) on
investments........................... 2,814,305 442,115 936,020 3,208,067 882,175
Net realized gain (loss) on futures and
options contracts..................... 55,195 326 7,047 16,901 (2,058)
Net realized foreign exchange gain
(loss) on other assets and
liabilities........................... 11,393 (1,383) (41) -- 2
Change in unrealized
appreciation/depreciation on
investments........................... 5,237,861 3,054,777 (427,319) 8,800,550 309,971
Change in unrealized foreign exchange
gain/loss on other assets and
liabilities........................... 73,442 (347) (4) -- 3
Change in unrealized
appreciation/depreciation on futures
and options contracts................. 8,358 2,658 4,249 7,295 12,219
----------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations............. 8,134,175 3,509,192 713,236 11,899,748 1,358,308
----------------------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net investment income.... (12,000) (30,000) (172,000) (5,000) (134,000)
Distributions from net realized gain on
investments........................... (552,000) (22,500) (394,000) (552,000) (473,000)
----------------------------------------------------------------
Total dividends and distributions to
shareholders.......................... (564,000) (52,500) (566,000) (557,000) (607,000)
----------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold............... 13,682,203 3,798,451 5,818,186 7,683,895 3,407,560
Proceeds from shares issued for
reinvestment of dividends and
distributions......................... 564,000 52,500 566,000 557,000 607,000
Cost of shares repurchased.............. (8,872,277) (469,579) (3,405,281) (5,411,219) (1,213,344)
----------------------------------------------------------------
Net increase (decrease) in net assets
resulting from capital share
transactions.......................... 5,373,926 3,381,372 2,978,905 2,829,676 2,801,216
----------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS................................ 12,944,101 6,838,064 3,126,141 14,172,424 3,552,524
NET ASSETS:
Beginning of period..................... 14,916,159 11,833,799 13,625,147 13,886,814 13,087,723
----------------------------------------------------------------
End of period........................... $27,860,260 $18,671,863 $ 16,751,288 $28,059,238 $16,640,247
================================================================
---------------
Undistributed net investment income
(loss)................................ $ (56,467) $ (637) $ 56,949 $ -- $ 58,303
================================================================
Shares issued and repurchased:
Sold.................................... 1,096,048 333,272 549,153 566,594 331,021
Issued in reinvestment of dividends and
distributions......................... 41,400 4,438 53,871 37,934 61,727
Repurchased............................. (658,656) (40,534) (328,750) (368,617) (122,442)
----------------------------------------------------------------
Net increase (decrease)................. 478,792 297,176 274,274 235,911 270,306
================================================================
<CAPTION>
DIVERSIFIED
INTERNATIONAL FIXED CASH
SMALL CAP EQUITY INCOME MANAGEMENT
<S> <C> <C> <C> <C>
----------------------------------------
OPERATIONS:
Net investment income (loss)............ $ (37,287) $ 19,999 $ 879,545 $ 108,678
Net realized gain (loss) on
investments........................... 2,693,339 1,098,140 (212,731) (35)
Net realized gain (loss) on futures and
options contracts..................... 18,727 89,770 -- --
Net realized foreign exchange gain
(loss) on other assets and
liabilities........................... (19) (15,627) -- --
Change in unrealized
appreciation/depreciation on
investments........................... 3,588,487 3,542,876 (456,699) (159)
Change in unrealized foreign exchange
gain/loss on other assets and
liabilities........................... -- (15,028) -- --
Change in unrealized
appreciation/depreciation on futures
and options contracts................. (10,691) (12,781) -- --
----------------------------------------------------
Net increase (decrease) in net assets
resulting from operations............. 6,252,556 4,707,349 210,115 108,484
----------------------------------------------------
DIVIDENDS AND DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net investment income.... (13,000) (85,000) (705,000) (82,000)
Distributions from net realized gain on
investments........................... (610,000) (446,000) -- --
----------------------------------------------------
Total dividends and distributions to
shareholders.......................... (623,000) (531,000) (705,000) (82,000)
----------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold............... 5,989,925 3,956,858 4,957,675 6,659,343
Proceeds from shares issued for
reinvestment of dividends and
distributions......................... 623,000 531,000 705,000 82,000
Cost of shares repurchased.............. (2,238,054) (1,967,689) (3,612,833) (4,665,570)
----------------------------------------------------
Net increase (decrease) in net assets
resulting from capital share
transactions.......................... 4,374,871 2,520,169 2,049,842 2,075,773
----------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS................................ 10,004,427 6,696,518 1,554,957 2,102,257
NET ASSETS:
Beginning of period..................... 11,139,627 13,693,434 15,228,918 2,021,060
----------------------------------------------------
End of period........................... $21,144,054 $20,389,952 $16,783,875 $4,123,317
====================================================
---------------
Undistributed net investment income
(loss)................................ $ -- $ (36,947) $ 273,680 $ 40,459
====================================================
Shares issued and repurchased:
Sold.................................... 485,494 329,571 510,170 649,698
Issued in reinvestment of dividends and
distributions......................... 48,357 43,179 74,150 8,079
Repurchased............................. (155,967) (152,148) (373,720) (456,212)
----------------------------------------------------
Net increase (decrease)................. 377,884 220,602 210,600 201,565
====================================================
</TABLE>
See Notes to Financial Statements
----------------
217
<PAGE>
----------------
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
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 sixteen 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. Ten additional Portfolios, which we call the
"Seasons Select Portfolios" and the "Seasons Focused 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.
SEASONS FOCUSED PORTFOLIOS
The FOCUS GROWTH PORTFOLIO seeks long-term growth of capital through active
trading of equity securities of growth companies without regard to market
capitalization.
----------------
218
<PAGE>
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 the Multi-Managed Seasons
Portfolios are SunAmerica Asset Management Corp. ("SAAMCo"), an indirect
wholly-owned subsidiary of American International Group, Inc. ("AIG"), Janus
Capital Corporation ("Janus"), and Wellington Management Company, 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 WMC/
AGGRESSIVE JANUS SUNAMERICA FIXED
GROWTH 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-Managed 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.
The Seasons Focused Portfolios, of which there is currently only one
Portfolio, the Focus Growth Portfolio, offers you access to three different
professional managers each of which advises a separate portion of the Portfolio.
Each manager actively selects a limited number of stocks that represent their
best ideas. This "Focus" approach to investing results in a more concentrated
portfolio, which will be less diversified than other Portfolios, and may be
subject to greater market risks.
New share purchase and redemption requests in each Multi-Managed Seasons
Select Portfolio and Seasons Focused 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 September 30, 2000, 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
----------------
219
<PAGE>
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.
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. Interest earned on cash balances held at the custodian are
shown as custody credits on the statement of operations.
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.
----------------
220
<PAGE>
For the fiscal year ended March 31, 2000, 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..................................... $156,290 $(153,069) $(3,221)
Multi-Managed Moderate Growth............................ 116,610 (113,389) (3,221)
Multi-Managed Income/Equity.............................. 60,793 (57,572) (3,221)
Multi-Managed Income..................................... (15,553) 18,774 (3,221)
Asset Allocation: Diversified Growth..................... 320,132 (316,911) (3,221)
Stock.................................................... 58,254 (55,033) (3,221)
Large Cap Growth......................................... 11,393 (11,393) --
Large Cap Composite...................................... 3,813 (3,813) --
Large Cap Value.......................................... (41) 41 --
Mid Cap Growth........................................... 134,341 (134,341) --
Mid Cap Value............................................ 2 (2) --
Small Cap................................................ 38,981 (38,981) --
International Equity..................................... 11,281 (11,281) --
Diversified Fixed Income................................. (4,101) 4,101 --
Cash Management.......................................... (4,190) -- 4,190
</TABLE>
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. Such organizational expenses are being 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 and Seasons
Focused Portfolio 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 September 30, 2000 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 0.7%, 1.3%, 1.1%, 1.3%,
0.0%, 0.1% and 0.1%, respectively, undivided interest, representing $2,400,000,
$4,255,000, $3,700,000, $4,230,000, $5,000, $265,000 and $195,000, respectively,
in principal amount, in a joint repo with Paribas Corp., which is dated
September 29, 2000, bears interest at a rate of 6.53% per annum, has a principal
amount of $328,440,000, and a repurchase price of $328,618,726, matures on
October 2, 2000 and is collateralized by $316,125,000 U.S. Treasury Bonds
(bearing interest at the rate of 6.75% per annum and maturing May 15, 2005),
which have an approximate value of $335,941,588.
In addition, at September 30, 2000 the Multi-Managed Growth, Multi-Managed
Moderate Growth, Large Cap Composite, Small Cap, Diversified Fixed Income and
Cash Management Portfolios had a 2.7%, 2.3%, 0.0%, 0.3%, 0.1% and 0.4%,
respectively, undivided interest, representing $4,229,000, $3,622,000, $37,000,
$409,000, $232,000 and $561,000, respectively, in principal amount, in a joint
repo with State Street Bank & Trust Co., which is dated September 29, 2000,
bears interest at the rate of 6.35% per annum, has a principal amount of
$158,414,000, and a repurchase price of $158,497,827, matures on October 2, 2000
and is collateralized by $166,435,000 U.S. Treasury Bonds (bearing interest at
the rate of 6.35% per annum and maturing March 22, 2001), which have an
approximate value of $161,608,385.
----------------
221
<PAGE>
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, 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 period ended September 30, 2000, transactions in written option
contracts were as follows:
<TABLE>
<CAPTION>
MULTI-MANAGED
MULTI-MANAGED GROWTH MODERATE GROWTH SMALL CAP
--------------------- --------------------- --------------------
CONTRACTS AMOUNT CONTRACTS AMOUNT CONTRACTS AMOUNT
--------- --------- --------- --------- --------- --------
<S> <C> <C> <C> <C> <C> <C>
Written option contracts as of 3/31/00... (48) $(125,206) (48) $(125,206) (22) $(54,303)
Options written during the period........ (96) (187,003) (96) (187,003) (42) (83,304)
Written options assigned during the
period................................. -- -- -- -- -- --
Written options closed during the
period................................. 144 220,044 144 220,044 64 95,732
Net realized gain on written options
closed................................. -- 92,165 -- 92,165 -- 41,875
--- --------- --- --------- --- --------
Written option contracts as of 9/30/00... -- $ -- -- $ -- -- $ --
=== ========= === ========= === ========
</TABLE>
4. FEDERAL INCOME TAXES: 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.
----------------
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<PAGE>
The amounts of aggregate unrealized gain (loss) and the cost of investment
securities for book purposes (which approximates tax basis), including
short-term securities and repurchase agreements at September 30, 2000, were as
follows:
<TABLE>
<CAPTION>
AGGREGATE AGGREGATE
UNREALIZED UNREALIZED GAIN/(LOSS) COST OF CAPITAL LOSS CAPITAL LOSS
GAIN LOSS NET INVESTMENTS CARRYOVER*+ UTILIZED
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Multi-Managed Growth............ $15,914,838 $5,751,685 $10,163,153 $109,929,014 $ -- $ --
Multi-Managed Moderate Growth... 13,898,683 5,189,778 8,708,905 116,078,671 -- --
Multi-Managed Income/Equity..... 3,855,764 2,987,626 868,138 77,667,829 -- --
Multi-Managed Income............ 1,381,370 1,860,501 (479,131) 55,783,483 -- --
Asset Allocation: Diversified
Growth........................ 14,851,713 6,774,227 8,077,486 172,360,229 -- --
Stock@.......................... 29,565,479 5,929,578 23,635,901 123,310,646 -- --
Large Cap Growth................ 4,575,941 2,097,044 2,478,897 25,801,544 -- --
Large Cap Composite@............ 3,735,791 1,103,489 2,632,302 15,614,320 -- --
Large Cap Value@................ 2,304,529 1,879,853 424,676 17,693,333 -- --
Mid Cap Growth.................. 8,177,978 2,400,088 5,777,890 21,579,588 -- --
Mid Cap Value................... 3,227,806 1,463,389 1,764,417 18,146,384 -- --
Small Cap....................... 4,125,748 2,828,139 1,297,609 19,426,376 -- --
International Equity@........... 3,085,586 2,193,100 892,486 16,868,493 -- --
Diversified Fixed Income#....... 109,376 608,510 (499,134) 17,733,898 111,266 --
Cash Management#................ 126 2 124 3,811,634 69 --
Focus Growth.................... 774,141 1,201,082 (426,941) 17,730,274 -- --
</TABLE>
-------------
* Expires 2008.
# Post 10/31/99 Capital Loss Deferrals: Diversified Fixed Income $114,618; Cash
Management $4.
@ Post 10/31/99 Currency Loss Deferrals; Stock $28,556; Large Cap Composite
$637; Large Cap Value $60; International Equity $25,122.
+ Net capital loss carryovers reported as of March 31, 2000, which are
available to the extent provided in regulations to offset future capital
gains. To the extent that these carryovers are used to offset future capital
gains, it is probable that these gains so offset will not be distributed.
5. MANAGEMENT OF THE TRUST: The Trust, on behalf of each Portfolio, entered
into an Investment Advisory and Management Agreement (the "Agreement") with
SAAMCo 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 SAAMCo. Pursuant to the Agreement entered into between
SAAMCo (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
PORTFOLIO 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%
>$300 million 0.45%
Focus Growth >0 1.00%
</TABLE>
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<PAGE>
The Agreement authorizes SAAMCo 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 described below act as
Subadvisers (with the exception of SAAMCo, which acts as Adviser,) to the Trust
and certain of its Portfolios pursuant to Subadvisory Agreements with SAAMCo.
Each of the Subadvisers is independent of SAAMCo and discharges its
responsibilities subject to the policies of the Trustees and the oversight and
supervision of SAAMCo, which pays the Subadvisers' fees. All Subadvisory fees
are payable by the Adviser to the respective Subadviser and do not increase
Portfolio expenses. Portfolio management is allocated among the following
managers:
<TABLE>
<CAPTION>
PORTFOLIO SUBADVISER
------------------------------------------------------------------------------------------
<S> <C>
Multi-Managed Growth Janus Capital Corporation
SunAmerica Asset Management Corp.
Wellington Management Company, LLP
Multi-Managed Moderate Growth Janus Capital Corporation
SunAmerica Asset Management Corp.
Wellington Management Company, LLP
Multi-Managed Income/Equity Janus Capital Corporation
SunAmerica Asset Management Corp.
Wellington Management Company, LLP
Multi-Managed Income Janus Capital Corporation
SunAmerica Asset Management Corp.
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 Asset Management Corp.
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 Asset Management Corp.
International Equity Bankers Trust Company
Goldman Sachs Asset Management International
Lord, Abbett & Co.
Diversified Fixed Income Bankers Trust Company
SunAmerica Asset Management Corp.
Wellington Management Company, LLP
Cash Management SunAmerica Asset Management Corp.
Focus Growth Fred Alger Management, Inc.
Jennison Associates LLC
Marsico Capital Management, LLC
</TABLE>
The Adviser 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
----------------
224
<PAGE>
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%, Cash Management
0.85% and Focus Growth 1.30%. The Adviser also may voluntarily waive or
reimburse additional amounts to increase the investment return to a Portfolio's
investors. The Adviser may terminate all such waivers and/or reimbursements at
any time. Further, any waivers or reimbursements made by the Adviser 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 the Adviser and remain in compliance with the foregoing expense limitations.
At September 30, 2000, 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 Income/Equity................................. $ 457 $ --
Multi-Managed Income........................................ -- 30,126
Asset Allocation: Diversified Growth........................ 8,313 --
Large Cap Growth............................................ -- 102,747
Large Cap Composite......................................... -- 126,327
Large Cap Value............................................. -- 119,859
Mid Cap Growth.............................................. -- 105,027
Mid Cap Value............................................... -- 122,291
Small Cap................................................... -- 117,681
International Equity........................................ -- 238,605
Diversified Fixed Income.................................... -- 124,228
Cash Management............................................. -- 113,261
Focus Growth................................................ -- 32,213
</TABLE>
6. PURCHASES AND SALES OF SECURITIES: Information with respect to purchases and
sales of long-term securities for the period ended September 30, 2000, were as
follows:
<TABLE>
<CAPTION>
PURCHASES OF PORTFOLIO SALES OF PORTFOLIO
SECURITIES (EXCLUDING U.S. SECURITIES (EXCLUDING U.S. PURCHASES OF U.S. SALES OF U.S.
GOVERNMENT SECURITIES) GOVERNMENT SECURITIES) GOVERNMENT SECURITIES GOVERNMENT SECURITIES
-------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Multi-Managed Growth....... $ 58,287,110 $ 36,721,074 $ 4,201,115 $ 5,835,997
Multi-Managed Moderate
Growth................... 52,319,723 32,169,337 4,776,942 9,815,592
Multi-Managed
Income/Equity............ 30,472,875 28,211,562 9,522,076 11,794,000
Multi-Managed Income....... 10,478,376 9,264,379 5,382,031 9,182,084
Asset Allocation:
Diversified Growth....... 73,630,872 54,919,080 68,418,505 68,984,697
Stock...................... 62,441,740 52,313,188 -- --
Large Cap Growth........... 7,865,989 5,050,666 -- --
Large Cap Composite........ 5,296,679 5,293,885 -- --
Large Cap Value............ 4,450,115 4,089,232 -- --
Mid Cap Growth............. 12,212,773 11,422,654 -- --
Mid Cap Value.............. 6,481,986 6,143,142 -- --
Small Cap.................. 13,518,555 13,134,402 -- --
International Equity....... 2,269,218 2,231,023 -- --
Diversified Fixed Income... 1,535,129 1,036,046 546,740 542,567
Cash Management............ -- -- -- --
Focus Growth............... 10,986,630 27,436,501 -- --
</TABLE>
----------------
225
<PAGE>
7. TRANSACTIONS WITH AFFILIATES: The following Portfolios incurred brokerage
commissions with affiliated brokers:
<TABLE>
<CAPTION>
B.T. ALEX GOLDMAN FRED ALGER
BROWN, INC. SACHS & CO., INC.
------------------------------------
<S> <C> <C> <C>
Large Cap Growth............................................ $-- $341 $ --
Large Cap Composite......................................... 60 -- --
Mid Cap Value............................................... 18 720 --
Small Cap................................................... 42 -- --
Focus Growth................................................ -- -- 6,656
</TABLE>
As disclosed in the investment portfolios, certain Portfolios own securities
issued by AIG or an affiliate thereof. Effective January 1, 1999, SAAMCo, the
investment adviser, became a wholly owned subsidiary of AIG. During the period
ended September 30, 2000, transactions in securities of AIG and subsidiaries of
AIG were as follows:
<TABLE>
<CAPTION>
REALIZED
SECURITY GAIN/LOSS INCOME
---------------------------------------------------------
<S> <C> <C> <C>
Multi-Managed Growth...................... Crown Castle International Corp. $ 30 $ 601
Multi-Managed Moderate Growth............. Crown Castle International Corp. 61 747
Multi-Managed Income/Equity............... Crown Castle International Corp. 61 747
Multi-Managed Income...................... Crown Castle International Corp. -- 1,687
Asset Allocation: Diversified Growth...... American International Group, Inc. -- 613
Large Cap Growth.......................... Crown Castle International Corp. -- --
Large Cap Composite....................... American International Group, Inc. 241 78
Large Cap Value........................... American International Group, Inc. -- 159
Mid Cap Growth............................ Crown Castle International Corp. 5,727 --
Mid Cap Value............................. 21st Century Insurance Group -- 5
Crown Castle International Corp. -- --
Transatlantic Holdings, Inc. -- 6
Small Cap................................. AmeriCredit Corp. 1,137 --
Mettler-Toledo International, Inc. 656 --
</TABLE>
8. SUBSEQUENT EVENTS: Effective October 16, 2000, shares of beneficial interest
in each Portfolio of the Trust were divided into 2 classes of shares, Class A
and Class B. All shares issued prior to such date have been reclassified as
Class A shares.
----------------
226
<PAGE>
----------------
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH
PERIOD
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
DIVIDENDS
NET REALIZED DECLARED DIVIDENDS NET
NET ASSET & UNREALIZED FROM NET FROM NET ASSET
VALUE NET GAIN(LOSS) TOTAL FROM INVEST- REALIZED VALUE
PERIOD BEGINNING INVESTMENT ON INVESTMENT MENT GAIN ON END OF TOTAL
ENDED OF PERIOD INCOME(*/**) INVESTMENTS(*) OPERATIONS(*) INCOME INVESTMENTS PERIOD RETURN(***)
-------------------------------------------------------------------------------------------------------------
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
3/31/00 17.21 0.18 7.72 7.90 (0.19) (3.44) 21.48 49.03
9/30/00@ 21.48 0.17 (1.21) (1.04) -- -- 20.44 (4.84)
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
3/31/00 15.50 0.33 5.24 5.57 (0.30) (2.17) 18.60 37.90
9/30/00@ 18.60 0.24 (0.72) (0.48) -- -- 18.12 (2.58)
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
3/31/00 13.33 0.49 1.87 2.36 (0.41) (0.99) 14.29 18.52
9/30/00@ 14.29 0.27 (0.43) (0.16) -- -- 14.13 (1.12)
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
3/31/00 12.07 0.57 0.49 1.06 (0.54) (0.40) 12.19 9.16
9/30/00@ 12.19 0.30 (0.12) 0.18 -- -- 12.37 1.48
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
3/31/00 12.63 0.21 2.04 2.25 (0.22) (0.71) 13.95 18.14
9/30/00@ 13.95 0.15 (0.58) (0.43) -- -- 13.52 (3.08)
<CAPTION>
-------- ---------------------------------------------
<S> <C> <C> <C> <C>
RATIO OF
NET
NET RATIO OF INVESTMENT
ASSETS EXPENSES INCOME TO
END OF TO AVERAGE AVERAGE
PERIOD PERIOD NET NET PORTFOLIO
ENDED (000'S) ASSETS(+) ASSETS(+) TURNOVER
--------
---------------------------------------------
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
3/31/00 103,976 1.15 0.98 117
9/30/00@ 118,133 1.07# 1.69# 44
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
3/31/00 107,421 1.10 1.97 108
9/30/00@ 122,441 1.02#++ 2.66# 43
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
3/31/00 74,778 1.10 3.61 68
9/30/00@ 80,779 1.05# 3.89# 40
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
3/31/00 54,037 1.06 4.72 61
9/30/00@ 55,731 1.06# 5.02# 34
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
3/31/00 161,058 1.21 1.58 156
9/30/00@ 175,638 0.97# 2.18# 90
</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
@ Unaudited
++ Net of custody credits of 0.01%
+ 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)
-------------------------------------------- --------------------------------------------
3/31/98# 3/31/99 3/31/00 9/30/00# 3/31/98# 3/31/99 3/31/00 9/30/00#
--------- ---------- -------- -------- --------- ---------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Multi-Managed Growth Portfolio...... 1.44% 1.19% 1.15% 1.07% 1.37% 1.11% 0.98% 1.69%
Multi-Managed Moderate Growth
Portfolio......................... 1.40 1.16 1.10 1.02 2.17 2.08 1.97 2.66
Multi-Managed Income/Equity
Portfolio......................... 1.43 1.14 1.10 1.05 3.43 3.51 3.61 3.89
Multi-Managed Income Portfolio...... 1.50 1.07 1.08 1.21 4.25 4.49 4.70 4.87
Asset Allocation: Diversified Growth
Portfolio......................... 1.53 1.22 1.21 0.97 1.74 1.20 1.58 2.18
</TABLE>
See Notes to Financial Statements
----------------
227
<PAGE>
----------------
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS -- (CONTINUED)
SELECTED DATA FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH
PERIOD
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
DIVIDENDS
NET REALIZED DECLARED DIVIDENDS NET NET
NET ASSET & UNREALIZED FROM NET FROM NET ASSET ASSETS
VALUE NET GAIN(LOSS) TOTAL FROM INVEST- REALIZED VALUE END OF
PERIOD BEGINNING INVESTMENT ON INVESTMENT MENT GAIN ON END OF TOTAL PERIOD
ENDED OF PERIOD INCOME(*/**) INVESTMENTS(*) OPERATIONS(*) INCOME INVESTMENTS PERIOD RETURN(***) (000'S)
<CAPTION>
-------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Stock Portfolio
4/15/97-
3/31/98 $10.00 $0.03 $4.80 $4.83 $(0.02) $(0.15) $14.66 48.59% $ 42,085
3/31/99 14.66 0.03 1.84 1.87 (0.02) (0.30) 16.21 13.05 97,047
3/31/00 16.21 (0.01) 4.47 4.46 -- (1.07) 19.60 28.35 132,831
9/30/00@ 19.60 -- 0.04 0.04 -- -- 19.64 0.20 146,987
Large Cap Growth Portfolio
2/8/99-
3/31/99 10.00 -- 0.77 0.77 -- -- 10.77 7.70 14,916
3/31/00 10.77 (0.04) 4.53 4.49 (0.01) (0.30) 14.95 41.95 27,860
9/30/00@ 14.95 (0.02) (1.57) (1.59) -- -- 13.36 (10.64) 28,570
Large Cap Composite Portfolio
2/8/99-
3/31/99 10.00 0.01 0.43 0.44 -- -- 10.44 4.40 11,834
3/31/00 10.44 0.01 2.64 2.65 (0.02) (0.02) 13.05 25.42 18,672
9/30/00@ 13.05 (0.01) (0.19) (0.20) -- -- 12.85 (1.53) 18,439
Large Cap Value Portfolio
2/8/99-
3/31/99 10.00 0.02 0.19 0.21 -- -- 10.21 2.10 13,625
3/31/00 10.21 0.13 0.44 0.57 (0.11) (0.26) 10.41 5.59 16,751
9/30/00@ 10.41 0.06 0.74 0.80 -- -- 11.21 7.68 18,233
Mid Cap Growth Portfolio
2/8/99-
3/31/99 10.00 -- 0.46 0.46 -- -- 10.46 4.60 13,887
3/31/00 10.46 (0.09) 7.94 7.85 (0.00) (0.36) 17.95 75.89 28,059
9/30/00@ 17.95 (0.07) (0.60) (0.67) -- -- 17.28 (3.73) 27,400
<CAPTION>
-------- --------------------------------------------------------------------------------------------------------------
----------------------------------
<S>
RATIO OF
NET
RATIO OF INVESTMENT
EXPENSES INCOME TO
TO AVERAGE AVERAGE
PERIOD NET NET PORTFOLIO
ENDED ASSETS(+) ASSETS(+) TURNOVER
Stock Portfolio
4/15/97-
3/31/98 1.21%# 0.24%# 46%
3/31/99 1.10 0.20 52
3/31/00 1.06 (0.05) 75
9/30/00@ 0.96# (0.02)# 39
Large Cap Growth Portfolio
2/8/99-
3/31/99 1.10# 0.20# 6
3/31/00 1.10++ (0.31) 74
9/30/00@ 1.10# (0.24)# 20
Large Cap Composite Portfolio
2/8/99-
3/31/99 1.10# 0.55# 8
3/31/00 1.10++ 0.08 38
9/30/00@ 1.10# (0.17)# 30
Large Cap Value Portfolio
2/8/99-
3/31/99 1.10# 1.53# 5
3/31/00 1.10++ 1.21 52
9/30/00@ 1.10#(1) 1.14# 24
Mid Cap Growth Portfolio
2/8/99-
3/31/99 1.15# (0.15)# 5
3/31/00 1.15++ (0.68) 68
9/30/00@ 1.15#(1) (0.81)# 44
</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
++ Net of custody credits of 0.01%, 0.02%, 0.02% and 0.02%, respectively, for
the Large Cap Growth, Large Cap Composite, Large Cap Value and Mid Cap
Growth Portfolios
@ Unaudited
(1) Net of custody credits of 0.02% and 0.01%, respectively, for the Large Cap
Value and Mid Cap Growth Portfolios
+ During the periods stated below, 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)
----------------------------------------- -----------------------------------------
3/31/98# 3/31/99 3/31/00 9/30/00# 3/31/98# 3/31/99 3/31/00 9/30/00#
-------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Stock Portfolio........................... 1.26% 1.10% 1.06 % 0.96% 0.19% 0.20% (0.05)% (0.02)%
Large Cap Growth Portfolio................ -- 2.12# 1.30 1.65 -- (0.82)# (0.51) (0.07)
Large Cap Composite Portfolio............. -- 2.33# 1.48 1.68 -- (0.68)# (0.30) 0.40
Large Cap Value Portfolio................. -- 2.16# 1.39 1.71 -- 0.47# 0.92 0.53
Mid Cap Growth Portfolio.................. -- 2.22# 1.35 1.46 -- (1.22)# (0.88) (1.12)
</TABLE>
See Notes to Financial Statements
----------------
228
<PAGE>
----------------
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS -- (CONTINUED)
SELECTED DATA FOR A SHARE OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT EACH
PERIOD
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
DIVIDENDS
NET REALIZED DECLARED DIVIDENDS NET NET
NET ASSET & UNREALIZED FROM NET FROM NET ASSET ASSETS
VALUE NET GAIN(LOSS) TOTAL FROM INVEST- REALIZED VALUE END OF
PERIOD BEGINNING INVESTMENT ON INVESTMENT MENT GAIN ON END OF TOTAL PERIOD
ENDED OF PERIOD INCOME(*/**) INVESTMENTS(*) OPERATIONS(*) INCOME INVESTMENTS PERIOD RETURN(***) (000'S)
<CAPTION>
-------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Mid Cap Value Portfolio
2/8/99-
3/31/99 $10.00 $0.02 $ (0.04) $ (0.02) $-- $-- $ 9.98 (0.20)% $ 13,088
3/31/00 9.98 0.11 0.84 0.95 (0.09) (0.32) 10.52 9.76 16,640
9/30/00@ 10.52 0.06 1.51 1.57 -- -- 12.09 14.92 19,556
Small Cap Portfolio
2/8/99-
3/31/99 10.00 -- (0.09) (0.09) -- -- 9.91 (0.90) 11,140
3/31/00 9.91 (0.03) 4.65 4.62 (0.01) (0.44) 14.08 46.99 21,144
9/30/00@ 14.08 (0.02) (0.55) (0.57) -- -- 13.51 (4.05) 20.662
International Equity Portfolio
2/8/99-
3/31/99 10.00 0.02 0.32 0.34 -- -- 10.34 3.40 13,693
3/31/00 10.34 0.01 3.21 3.22 (0.06) (0.30) 13.20 31.36 20,390
9/30/00@ 13.20 0.02 (1.84) (1.82) -- -- 11.38 (13.79) 18,103
Diversified Fixed Income Portfolio
2/8/99-
3/31/99 10.00 0.06 (0.12) (0.06) -- -- 9.94 (0.60) 15,229
3/31/00 9.94 0.53 (0.42) 0.11 (0.42) -- 9.63 1.22 16,784
9/30/00@ 9.63 0.29 0.05 0.34 -- -- 9.97 3.53 17,470
Cash Management Portfolio
2/8/99-
3/31/99 10.00 0.06 -- 0.06 -- -- 10.06 0.60 2,021
3/31/00 10.06 0.45 0.01 0.46 (0.28) -- 10.24 4.59 4,123
9/30/00@ 10.24 0.28 0.01 0.29 -- -- 10.53 2.83 3,613
Focus Growth
7/5/00-
9/30/00@ 10.00 (0.01) (0.38) (0.39) -- -- 9.61 (3.90) 17,348
<CAPTION>
-------- --------------------------------------------------------------------------------------------------------------
----------------------------------
<S>
RATIO OF
NET
RATIO OF INVESTMENT
EXPENSES INCOME TO
TO AVERAGE AVERAGE
PERIOD NET NET PORTFOLIO
ENDED ASSETS(+) ASSETS(+) TURNOVER
Mid Cap Value Portfolio
2/8/99-
3/31/99 1.15%# 1.60%# 6%
3/31/00 1.15 1.02 72
9/30/00@ 1.15#(1) 1.12# 36
Small Cap Portfolio
2/8/99-
3/31/99 1.15# 0.31# 3
3/31/00 1.15 (0.24) 103
9/30/00@ 1.15#(1) (0.51)# 70
International Equity Portfolio
2/8/99-
3/31/99 1.30# 1.43# 7
3/31/00 1.30++ 0.12 54
9/30/00@ 1.30#(1) 0.41# 12
Diversified Fixed Income Portfolio
2/8/99-
3/31/99 1.00# 4.53# 30
3/31/00 1.00 5.48 46
9/30/00@ 1.00# 5.85# 10
Cash Management Portfolio
2/8/99-
3/31/99 0.85# 3.97# --
3/31/00 0.85 4.63 --
9/30/00@ 0.85#(1) 5.59# --
Focus Growth Portfolio
7/5/00-
9/30/00@ 1.30#(1) (0.36)# 71
</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
++ Net of custody credits of 0.02%
@ Unaudited
(1) Net of custody credits of 0.01%, 0.01%, 0.01%, 0.03% and 0.03%,
respectively, for the Mid Cap Value, Small Cap, International Equity, Cash
Management and Focus Growth Portfolios
+ During the periods stated below, 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>
EXPENSES NET INVESTMENT INCOME (LOSS)
------------------------------ ------------------------------
3/31/99# 3/31/00 9/30/00# 3/31/99# 3/31/00 9/30/00#
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Mid Cap Value Portfolio..................................... 2.23% 1.47% 1.74% 0.52% 0.70% 0.53%
Small Cap Portfolio......................................... 2.46 1.45 1.66 (1.00) (0.54) (0.77)
International Equity Portfolio.............................. 3.59 1.91 2.29 (0.86) (0.49) (0.58)
Diversified Fixed Income Portfolio.......................... 1.91 1.31 1.65 3.62 5.17 5.20
Cash Management Portfolio................................... 8.41 2.95 3.53 (3.59) 2.53 2.91
Focus Growth Portfolio...................................... -- -- 2.11 -- -- (1.17)
</TABLE>
See Notes to Financial Statements
----------------
229
<PAGE>
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----------------
230
<PAGE>
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----------------
231
<PAGE>
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----------------
232
<PAGE>
Presorted
Standard
U.S. Postage Paid
Towne, Inc.
[LOGO]
-Registered Trademark-
1 SunAmerica Center
Los Angeles, CA 90067-6022
ADDRESS SERVICE REQUESTED
J-1906-SAR (R11/00)
