<PAGE>
1
A Message From The President
- --------------------------------------------------------------------------------
December 10, 1997
Dear Shareholder:
In November 1996, SunAmerica Asset Management Corp. introduced the Style
Select Series portfolios. With access to several well-respected money managers,
Style Select Series offers retail investors, advantages they simply cannot get
by investing in traditional mutual funds.
Four new Style Select Series portfolios were added in October 1997. The new
portfolios employ the same style-specific, multi-managed approach as the four
original portfolios. As a result, SunAmerica now offers a broader selection of
style-based mutual funds each adhering to a specific investment style. This, in
turn, assists you and your financial professional in constructing a more
efficient investment portfolio. And, utilizing three money managers in each
Portfolio, helps to reduce risk and increase diversification.
In this Annual Report, one Adviser from each of the original four Style
Select portfolios will discuss the management of their portion of the Portfolio
over the past fiscal year and their investment outlook for 1998. The portfolio
managers in this report are: Bruce J. Muzina of PILGRIM BAXTER & ASSOCIATES,
LTD. for the Mid-Cap Growth Portfolio, Audrey L. Snell of SUNAMERICA ASSET
MANAGEMENT CORP. for the Aggressive Growth Portfolio, David K. Schafer of STRONG
CAPITAL MANAGEMENT, INC. for the Value Portfolio and Martin G. Wade of ROWE
PRICE-FLEMING INTERNATIONAL, INC. for the International Equity Portfolio.
We are very excited about the Style Select Series and the opportunities it
affords retail investors in an increasingly complex investment environment.
Thank you for contributing to the success of the Style Select Series. We value
your confidence in us and look forward to serving your investment needs in the
future.
Sincerely,
/s/ Peter A. Harbeck
Peter A. Harbeck
President
<PAGE>
2
Portfolio Manager Commentary
- --------------------------------------------------------------------------------
[PBHG logo]
MID-CAP GROWTH PORTFOLIO
Bruce J. Muzina, Portfolio Manager
Q: HOW DID YOU MANAGE YOUR PORTION OF THE PORTFOLIO OVER THE PAST FISCAL YEAR?
A : Our goal in this portfolio, as in all the portfolios we manage in this
style, is to capture the growth exhibited by the underlying equity assets in the
form of investment returns over time. We believe that superior returns can be
achieved by investing in companies which exhibit exceptional growth
characteristics and internal reinvestment rates capable of funding that growth
into the future. We focus on bottom-up stock selection and employ a combination
of rigorous fundamental research and quantitative techniques.
Q: WOULD YOU GIVE US MORE SPECIFIC EXAMPLES?
A : This year we maintained traditional commitments to the technology, services
and consumer sectors. We continue to find good opportunities for investment in
these sectors and, as a result, they comprise the majority of our portfolio. Our
exposure to the energy sector increased this year, as a direct result of the
continued strong operating results of the underlying companies. While not
invested in oil and gas producers, we did find attractive investment
opportunities in the oil service and equipment areas that are benefiting from
the past year's increase in drilling activity.
Q: WHAT IS YOUR INVESTMENT OUTLOOK FOR 1998?
A : Despite the challenges presented by the current volatility in the market,
our companies and our proven investment style and system give us cause to be
optimistic. During the last twelve to eighteen months, we witnessed a severe
contraction in the relative valuation of small and medium sized high growth
companies. We view this as a normal, although unfortunate, occurrence within the
cyclical framework of the market. We hope for and anticipate continued recovery
in the high growth companies that make up our portfolios. However, we expect the
market's volatility to continue in the foreseeable future. Recent months have
highlighted the kind of dynamic performance possible in portfolios focused on
the high growth segment of the market. We are hopeful that the coming months
will continue to reward growth stocks and their investors, as the earnings gains
and strong fundamentals still characteristic of our portfolios are once again
recognized by the market. Looking ahead, we will own what we believe to be the
highest quality, fastest growing companies available. This has consistently been
and will continue to be a critical part of the investment product we deliver.
[SunAmerica Asset Management logo]
AGGRESSIVE GROWTH PORTFOLIO
Audrey L. Snell, Portfolio Manager
Q: HOW DID YOU MANAGE YOUR PORTION OF THE PORTFOLIO OVER THE PAST FISCAL YEAR?
A : We consistently use a disciplined, top-down, long-term, secular trend
investment approach as we seek high growth stocks early in the growth cycle. The
beginning of the fiscal year was difficult. Uncertainty concerning rising
interest rates, inflation, and the need for liquidity drew investors toward
large-cap, value-oriented stocks and away from what were perceived to be high
multiple, high risk, low liquidity stocks. But after the March 25th interest
rate hike, there was a strong rebound. Earnings reports showed fairly robust
growth rates. Relative valuations reached their lowest levels since 1991, and
investor sentiment reversed. From May through October,
<PAGE>
3
Portfolio Manager Commentary
- --------------------------------------------------------------------------------
smaller cap stocks outperformed the larger-cap segments of the market, and
growth outperformed value. So the return to favor of growth style investing as
well as effective stock picking and relative sector positioning then added value
to our portion of the portfolio.
Q: WOULD YOU GIVE US MORE SPECIFIC EXAMPLES?
A : We overweighted the technology sector, where we focused on wireless and
wire-line telecommunications equipment companies, personal computer specialty
component suppliers, software developers, and user training providers. We also
overweighted oil and gas equipment and service providers and financial stocks
based on open-end secular trends we see developing. We invested in some REITs
and some stocks that cross industry sectors, such as catalog companies. We
underweighted health care and retail.
Q: WHAT IS YOUR INVESTMENT OUTLOOK FOR 1998?
A : Fundamentals remain positive, relative earnings growth continues to be
strong, and valuations remain reasonable. Investors sentiment also continues to
be favorable. Should deflation rather than inflation become evident, as we
believe it may, then this, too, will favor smaller stocks not subject to the
same pricing pressures as large-cap stocks. We thus anticipate strong
performance for the Aggressive Growth Portfolio into 1998.
[Strong logo]
VALUE PORTFOLIO
David K. Schafer, Portfolio Manager
Q: HOW DID YOU MANAGE YOUR PORTION OF THE PORTFOLIO OVER THE PAST FISCAL YEAR?
A : We remain fully committed to the value-oriented investment philosophy that
has guided us for twenty-five years. We continue our search for stocks whose
price/earnings (P/E) multiples are less than that of the average S&P 500, but
whose earnings per share growth prospects over the next several years are
superior to those of the S&P Index. Simply stated, we are looking for above
average growth at a discounted price. Another important feature of our
investment philosophy is the equal weighting of stocks in the portfolio.
Currently we own about 55 stocks, and each new portfolio holding is given an
initial weighting of about 1.8% of the total assets of the portfolio. To
maintain equally weighted holdings in the portfolio, we may use daily inflows of
cash to add to our current positions in stocks that are slightly
underweighted--as long as we believe they still represent good value. If the
fundamentals are right, we will also invest in new stocks when earnings
prospects are compelling and the valuations attractive. Our disciplined
buy-and-sell process also has resulted in low turnover of securities within the
portfolio -- less than 20% since inception.
Q: WOULD YOU GIVE US MORE SPECIFIC EXAMPLES?
A : In the first part of the fiscal year investors favored larger, multinational
companies. Because of their high valuation levels, we did not own many of these
stocks. However, as the market finally broadened out in the second half of the
fiscal year, the more attractively valued mid-sized companies began to
participate. As we had added a number of more modestly valued mid-sized
companies to the portfolio during the year, this helped the performance of the
portfolio. Our value approach to stock selection has resulted in significant
overweightings and underweightings of specific economic sectors and industry
groups relative to the S&P 500. The portfolio's most important overweighted
sectors are basic materials (metals/mining, paper, steel), consumer cyclicals
(automotive, housing, household appliances), and financial services (banks,
brokerage, insurance companies). The portfolio's most significantly
underweighted sectors are health care and technology. Despite these sector
concentrations, the portfolio is broadly diversified and, reflecting this
diversity, each of the top five performing stocks for the fiscal year came from
a different industry.
<PAGE>
4
Portfolio Manager Commentary
- --------------------------------------------------------------------------------
Q: WHAT IS YOUR INVESTMENT OUTLOOK FOR 1998?
A : On the whole, stock prices are very rich. Nevertheless, we continue to find
names that meet our investment criteria. The portfolio's P/E ratio is 13.5 times
our estimate of 1997 earnings -- significantly below the S&P 500's estimated P/E
of 20. We believe our portfolio companies will show earnings-per-share growth of
more than 14% in 1998, while the consensus top-down estimate of earnings growth
for the S&P 500 for the same period is less than 10%. Market volatility has
risen in recent months, primarily reflecting the unsettling economic events in
Asia. Market sentiments has shifted as investors have become wary of overly
optimistic estimates of earnings growth for U.S. companies. In this changing
investment environment, we believe our value-oriented approach will best serve
shareholders.
[Rowe Price-Fleming International logo]
INTERNATIONAL EQUITY PORTFOLIO
Martin G. Wade, Portfolio Manager
Q: HOW DID YOU MANAGE YOUR PORTION OF THE PORTFOLIO OVER THE PAST FISCAL YEAR?
A : At fiscal year-end we had a majority of the portfolio in the stock markets
of Europe, a relatively small amount in Japan, and minimal weightings in Latin
America and the Far East. We adopted this posture since European economies
continued to make steady progress over the past years, and we were able to find
attractive stocks at good valuations. By contrast, the Japanese economy
continued to struggle with poor consumer demand, particularly after the
government raised the sales tax in April. We maintained a relatively light
exposure to other Asian economies and also to Latin America, as both regions
were negatively affected by currency and debt problems that developed first in
Thailand and then spread to other emerging areas.
Q: WOULD YOU GIVE US MORE SPECIFIC EXAMPLES?
A : In the UK, for example, we favored both growth and smaller company shares
over cyclical stocks, a strategy that paid off for the portfolio. Elsewhere in
Europe, stock prices generally held up well, and our positions in the markets of
France, the Netherlands, Italy, Switzerland, and other Continental stock
exchanges made positive contributions to fund performance. We invested
selectively in Japan, favoring the relatively strong export and technology
sectors and avoiding bank stocks. In Latin America, Brazil remained the core of
our holdings in the region. Mexico also accounted for a significant percentage
and was particularly strong during the past six months.
Q: WHAT IS YOUR INVESTMENT OUTLOOK FOR 1998?
A : We see an encouraging picture of improving economic growth, rising exports,
and stable currencies in Europe, and we intend to maintain a large exposure to
stock markets on the Continent. The prospects are less certain in the Far East,
and it will take some time for the less developed countries there to regain
their footing. However, there are signs of some progress in Japan, and we intend
to take advantage of weakness there by adding to our favorite companies. Latin
American markets will most likely stay volatile, but governments in the region
seem committed to needed economic reform. We believe our portfolio structure
provides investors with a good balance and will serve them well over time.
The opinions expressed throughout the above discussions are not predictive of or
do not guarantee future results. For more information, including a prospectus,
please contact your financial professional or SunAmerica Mutual Funds at
(800)858-8850, ext. 5125. Please read the prospectus carefully, including the
information on charges and expenses, before you invest.
<PAGE>
5
STATEMENT OF ASSETS AND LIABILITIES -- October 31, 1997
<TABLE>
<CAPTION>
LARGE-CAP MID-CAP AGGRESSIVE LARGE-CAP
GROWTH GROWTH GROWTH BLEND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------------------------------------------------
<S> <C> <C> <C> <C>
ASSETS:
Investment securities, at value (identified cost
$25,063,825; $49,356,737; $70,323,902; and
$24,276,499, respectively)...................... $23,794,419 $56,153,029 $83,929,240 $23,234,499
Repurchase agreements (cost equals market)........ 380,000 -- 8,269,000 580,000
Short-term securities (cost equals market)........ 199,937 2,257,482 1,999,372 811,948
Cash.............................................. 78,326 18,320 74,005 2,755
Receivable for shares of beneficial interest
sold............................................ 483,181 634,568 1,078,124 386,291
Receivable for investments sold................... 93,497 588,107 183,491 141,619
Prepaid expenses and other assets................. 58,300 8,115 8,340 58,300
Receivable from investment adviser................ 7,167 26,477 35,677 7,175
Interest and dividends receivable................. 4,214 12,330 17,300 14,315
Deferred organizational expenses.................. 8,215 36,320 36,320 8,215
----------- ----------- ----------- -----------
Total assets.................................... 25,107,256 59,734,748 95,630,869 25,245,117
----------- ----------- ----------- -----------
LIABILITIES:
Payable for investments purchased................. 361,985 704,029 2,312,449 328,109
Payable for fund shares repurchased............... 161,000 27,879 12,843 204,000
Other accrued expenses............................ 19,886 81,184 95,030 19,996
Investment advisory and management fees payable... 11,611 52,375 80,893 11,730
Distribution and service maintenance fees
payable......................................... 4,215 41,083 59,293 4,302
----------- ----------- ----------- -----------
Total liabilities............................... 558,697 906,550 2,560,508 568,137
----------- ----------- ----------- -----------
Net assets.................................... $24,548,559 $58,828,198 $93,070,361 $24,676,980
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
<PAGE>
</TABLE>
6
STATEMENT OF ASSETS AND LIABILITIES -- October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
LARGE-CAP MID-CAP AGGRESSIVE LARGE-CAP
GROWTH GROWTH GROWTH BLEND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS WERE COMPOSED OF:
Common Stock, $.0001 par value (1 billion shares
authorized)..................................... $ 208 $ 431 $ 588 $ 206
Paid-in capital................................... 25,994,433 52,176,682 78,876,692 25,747,077
----------- ----------- ----------- -----------
25,994,641 52,177,113 78,877,280 25,747,283
Accumulated undistributed net investment
income (loss)................................... 7,889 (643) (761) 20,057
Accumulated undistributed net realized gain (loss)
on investments, foreign currency, other assets
and liabilities................................. (184,565) (144,564) 588,504 (48,360)
Net unrealized appreciation (depreciation) of
investments..................................... (1,269,406) 6,796,292 13,605,338 (1,042,000)
----------- ----------- ----------- -----------
Net assets.................................... $24,548,559 $58,828,198 $93,070,361 $24,676,980
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
CLASS A:
Net assets........................................ $23,609,458 $18,403,666 $38,537,314 $23,592,872
Shares outstanding................................ 2,002,887 1,342,354 2,424,338 1,969,995
Net asset value and redemption price per share.... $ 11.79 $ 13.71 $ 15.90 $ 11.98
Maximum sales charge (5.75% of offering price).... 0.72 0.84 0.97 0.73
----------- ----------- ----------- -----------
Maximum offering price to public.................. $ 12.51 $ 14.55 $ 16.87 $ 12.71
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
CLASS B:
Net assets........................................ $ 773,141 $35,739,146 $48,593,950 $ 941,244
Shares outstanding................................ 65,591 2,622,082 3,075,503 78,691
Net asset value, offering and redemption price per
share (excluding any applicable contingent
deferred sales charge).......................... $ 11.79 $ 13.63 $ 15.80 $ 11.96
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
CLASS C:
Net assets........................................ $ 165,960 $ 4,685,386 $ 5,939,097 $ 142,864
Shares outstanding................................ 14,084 343,493 375,792 11,932
Net asset value, offering and redemption price per
share (excluding any applicable contingent
deferred sales charge).......................... $ 11.78 $ 13.64 $ 15.80 $ 11.97
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
</TABLE>
See Notes to Financial Statements
<PAGE>
7
STATEMENT OF ASSETS AND LIABILITIES -- October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
LARGE-CAP SMALL-CAP INTERNATIONAL
VALUE VALUE VALUE EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-----------------------------------------------------------
<S> <C> <C> <C> <C>
ASSETS:
Investment securities, at value (identified cost
$24,049,833; $115,531,354; $20,506,477; and
$66,834,816, respectively)...................... $22,714,037 $126,261,475 $19,738,475 $ 63,894,899
Repurchase agreements (cost equals market)........ 130,000 5,678,000 3,378,000 6,679,000
Short-term securities (cost equals market)........ 1,250,485 5,353,968 1,695,611 835,000
Cash.............................................. 49,474 8,661 77,093 --
Foreign cash (cost $472,003)...................... -- -- -- 473,138
Receivable for shares of beneficial interest
sold............................................ 857,034 1,732,952 1,215,264 433,421
Prepaid expenses and other assets................. 58,300 8,634 58,300 8,999
Interest and dividends receivable................. 12,290 110,398 18,280 180,938
Deferred organizational expenses.................. 8,215 36,320 8,215 36,320
Receivable from investment adviser................ 7,175 49,699 7,200 33,065
Receivable for investments sold................... -- 14,525 -- 1,005,239
Foreign currency contracts........................ -- -- -- 2,361,542
Unrealized appreciation of foreign currency
contracts....................................... -- -- -- 124,603
----------- ------------ ----------- -------------
Total assets.................................... 25,087,010 139,254,632 26,196,438 76,066,164
----------- ------------ ----------- -------------
LIABILITIES:
Payable for fund shares repurchased............... 280,383 298,801 687,050 179,917
Payable for investments purchased................. 33,178 3,279,098 489,096 1,728,804
Other accrued expenses............................ 20,043 178,207 20,121 150,070
Investment advisory and management fees payable... 11,729 115,150 12,079 71,869
Distribution and service maintenance fees
payable......................................... 4,327 87,930 4,931 50,400
Foreign currency contracts........................ -- -- -- 2,364,584
Unrealized depreciation of foreign currency
contracts....................................... -- -- -- 39,360
Due to custodian bank............................. -- -- -- 764
----------- ------------ ----------- -------------
Total liabilities............................... 349,660 3,959,186 1,213,277 4,585,768
----------- ------------ ----------- -------------
Net assets.................................... $24,737,350 $135,295,446 $24,983,161 $ 71,480,396
----------- ------------ ----------- -------------
----------- ------------ ----------- -------------
<PAGE>
</TABLE>
8
STATEMENT OF ASSETS AND LIABILITIES -- October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
LARGE-CAP SMALL-CAP INTERNATIONAL
VALUE VALUE VALUE EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-----------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSETS WERE COMPOSED OF:
Common Stock, $.0001 par value (1 billion shares
authorized)..................................... $ 209 $ 844 $ 206 $ 576
Paid-in capital................................... 26,056,306 119,171,979 25,715,849 73,360,146
----------- ------------ ----------- -------------
26,056,515 119,172,823 25,716,055 73,360,722
Accumulated undistributed net investment income
(loss).......................................... 16,631 (680) 35,108 122,861
Accumulated undistributed net realized gain on
investments, foreign currency, other assets and
liabilities..................................... -- 5,393,253 -- 843,851
Net unrealized appreciation (depreciation) of
investments..................................... (1,335,796) 10,730,121 (768,002) (2,939,917)
Net unrealized appreciation (depreciation) of
foreign currency, other assets and
liabilities..................................... -- (71) -- 92,879
----------- ------------ ----------- -------------
Net assets.................................... $24,737,350 $135,295,446 $24,983,161 $ 71,480,396
----------- ------------ ----------- -------------
----------- ------------ ----------- -------------
CLASS A:
Net assets........................................ $23,240,000 $ 48,377,302 $21,345,618 $ 24,365,250
Shares outstanding................................ 1,959,444 3,007,062 1,758,084 1,955,961
Net asset value and redemption price per share.... $ 11.86 $ 16.09 $ 12.14 $ 12.46
Maximum sales charge (5.75% of offering price).... 0.72 0.98 0.74 0.76
----------- ------------ ----------- -------------
Maximum offering price to public.................. $ 12.58 $ 17.07 $ 12.88 $ 13.22
----------- ------------ ----------- -------------
----------- ------------ ----------- -------------
CLASS B:
Net assets........................................ $ 1,324,918 $ 77,534,354 $ 3,112,115 $ 42,656,451
Shares outstanding................................ 111,740 4,846,859 256,483 3,446,902
Net asset value, offering and redemption price per
share (excluding any applicable contingent
deferred sales charge).......................... $ 11.86 $ 16.00 $ 12.13 $ 12.38
----------- ------------ ----------- -------------
----------- ------------ ----------- -------------
CLASS C:
Net assets........................................ $ 172,432 $ 9,383,790 $ 525,428 $ 4,458,695
Shares outstanding................................ 14,544 586,579 43,289 360,269
Net asset value, offering and redemption price per
share (excluding any applicable contingent
deferred sales charge).......................... $ 11.86 $ 16.00 $ 12.14 $ 12.38
----------- ------------ ----------- -------------
----------- ------------ ----------- -------------
</TABLE>
See Notes to Financial Statements
<PAGE>
9
STATEMENT OF OPERATIONS -- For the year ended October 31, 1997
<TABLE>
<CAPTION>
LARGE-CAP MID-CAP AGGRESSIVE LARGE-CAP
GROWTH GROWTH GROWTH BLEND
PORTFOLIO@ PORTFOLIO# PORTFOLIO# PORTFOLIO@
-------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Income:
Interest........................................ $ 20,331 $ 158,291 $ 336,477 $ 22,465
Dividends*...................................... 4,162 78,175 189,639 14,175
----------- ---------- ----------- -----------
Total investment income....................... 24,493 236,466 526,116 36,640
----------- ---------- ----------- -----------
Expenses:
Investment advisory and management fees......... 11,611 390,221 533,055 11,730
Distribution and service maintenance fees
Class A....................................... 3,983 73,691 106,377 4,000
Class B....................................... 173 164,888 209,795 239
Class C....................................... 59 14,787 19,327 63
Transfer agent fees and expenses
Class A....................................... 3,186 59,267 85,695 3,200
Class B....................................... 49 47,325 60,341 67
Class C....................................... 16 4,293 5,602 17
Registration fees
Class A....................................... 734 46,990 48,528 737
Class B....................................... 174 47,988 42,038 177
Class C....................................... 162 12,101 11,523 162
Audit and tax consulting fees................... 2,805 26,025 30,795 2,805
Printing expense................................ 2,550 16,195 18,380 2,550
Custodian fees and expenses..................... 1,974 66,338 90,617 1,994
Legal fees and expenses......................... 340 6,945 8,000 340
Directors' fees and expenses.................... 85 3,323 4,641 85
Miscellaneous expenses.......................... 85 2,660 3,330 85
Amortization of organizational expenses......... -- 4,144 4,144 --
Insurance expense............................... -- 32 46 --
----------- ---------- ----------- -----------
Total expenses................................ 27,986 987,213 1,282,234 28,251
Less: expenses waived/reimbursed by investment
adviser..................................... (7,167) (155,055) (158,172) (7,175)
----------- ---------- ----------- -----------
Net expenses.................................. 20,819 832,158 1,124,062 21,076
----------- ---------- ----------- -----------
Net investment income (loss)...................... 3,674 (595,692) (597,946) 15,564
----------- ---------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Net realized gain (loss) on investments........... (184,565) 208,124 1,155,918 (48,360)
Net realized gain (loss) on foreign currency and
other assets and liabilities.................... -- (1,597) -- 191
Net unrealized appreciation/depreciation of
investments..................................... (1,269,406) 6,796,292 13,605,338 (1,042,000)
----------- ---------- ----------- -----------
Net realized and unrealized gain (loss) on
investments, foreign currency and other assets
and liabilities................................. (1,453,971) 7,002,819 14,761,256 (1,090,169)
----------- ---------- ----------- -----------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS: $(1,450,297) $6,407,127 $14,163,310 $(1,074,605)
----------- ---------- ----------- -----------
----------- ---------- ----------- -----------
*Net of foreign withholding taxes on dividends
of.............................................. $ -- $ 187 $ 628 $ 51
----------- ---------- ----------- -----------
----------- ---------- ----------- -----------
</TABLE>
- ------------------
@ Commenced operations October 15, 1997
# Commenced operations November 19, 1996
See Notes to Financial Statements
<PAGE>
10
STATEMENT OF OPERATIONS -- For the year ended October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
LARGE-CAP SMALL-CAP INTERNATIONAL
VALUE VALUE VALUE EQUITY
PORTFOLIO@ PORTFOLIO# PORTFOLIO@ PORTFOLIO#
---------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Income:
Interest........................................ $ 21,267 $ 316,689 $ 34,643 $ 216,533
Dividends*...................................... 12,137 877,812 17,738 624,686
----------- ----------- ---------- -------------
Total investment income....................... 33,404 1,194,501 52,381 841,219
----------- ----------- ---------- -------------
Expenses:
Investment advisory and management fees......... 11,729 671,560 12,079 440,671
Distribution and service maintenance fees
Class A....................................... 3,986 116,913 3,849 77,057
Class B....................................... 281 309,027 900 162,796
Class C....................................... 60 28,306 184 17,650
Transfer agent fees and expenses
Class A....................................... 3,189 89,362 3,079 59,709
Class B....................................... 79 86,613 252 47,087
Class C....................................... 17 7,998 51 5,118
Registration fees
Class A....................................... 734 71,485 715 52,381
Class B....................................... 179 78,528 211 51,454
Class C....................................... 162 14,974 168 12,951
Audit and tax consulting fees................... 2,805 30,795 2,805 30,720
Printing expense................................ 2,550 18,370 2,550 16,050
Custodian fees and expenses..................... 1,994 113,843 2,053 130,328
Legal fees and expenses......................... 340 9,770 340 6,945
Directors' fees and expenses.................... 85 5,054 85 3,647
Miscellaneous expenses.......................... 85 4,330 85 2,491
Amortization of organizational expenses......... -- 4,144 -- 4,144
Insurance expense............................... -- 64 -- 19
----------- ----------- ---------- -------------
Total expenses................................ 28,275 1,661,136 29,406 1,121,218
Less: expenses waived/reimbursed by investment
adviser..................................... (7,175) (217,432) (7,200) (169,822)
----------- ----------- ---------- -------------
Net expenses.................................. 21,100 1,443,704 22,206 951,396
----------- ----------- ---------- -------------
Net investment income (loss)...................... 12,304 (249,203) 30,175 (110,177)
----------- ----------- ---------- -------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Net realized gain on investments.................. -- 5,614,072 -- 843,851
Net realized gain (loss) on foreign currency and
other assets and liabilities.................... -- (19) -- 209,293
Net unrealized appreciation/depreciation of
investments..................................... (1,335,796) 10,730,121 (768,002) (4,158,649)
Net unrealized appreciation/depreciation of
foreign currency and other assets and
liabilities..................................... -- (71) -- 94,498
----------- ----------- ---------- -------------
Net realized and unrealized gain (loss) on
investments, foreign currency and other assets
and liabilities................................. (1,335,796) 16,344,103 (768,002) (3,011,007)
----------- ----------- ---------- -------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS: $(1,323,492) $16,094,900 $ (737,827) $ (3,121,184)
----------- ----------- ---------- -------------
----------- ----------- ---------- -------------
*Net of foreign withholding taxes on dividends
of.............................................. $ 99 $ 9,190 $ -- $ 81,620
----------- ----------- ---------- -------------
----------- ----------- ---------- -------------
</TABLE>
- ------------------
@ Commenced operations October 15, 1997
# Commenced operations November 19, 1996
See Notes to Financial Statements
<PAGE>
11
STATEMENT OF CHANGES IN NET ASSETS -- For the year ended October 31, 1997
<TABLE>
<CAPTION>
LARGE-CAP MID-CAP AGGRESSIVE LARGE-CAP
GROWTH GROWTH GROWTH BLEND
PORTFOLIO@ PORTFOLIO# PORTFOLIO# PORTFOLIO@
--------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income (loss).................... $ 3,674 $ (595,692) $ (597,946) $ 15,564
Net realized gain (loss) on investments......... (184,565) 208,124 1,155,918 (48,360)
Net realized gain (loss) on foreign currency and
other assets and liabilities.................. -- (1,597) -- 191
Net unrealized appreciation/depreciation of
investments................................... (1,269,406) 6,796,292 13,605,338 (1,042,000)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from operations............................... (1,450,297) 6,407,127 14,163,310 (1,074,605)
-------------- -------------- -------------- --------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL
SHARE TRANSACTIONS (NOTE 9)..................... 25,998,856 52,396,071 78,882,051 25,751,585
-------------- -------------- -------------- --------------
TOTAL INCREASE IN NET ASSETS...................... 24,548,559 58,803,198 93,045,361 24,676,980
NET ASSETS:
Beginning of period............................... -- 25,000 25,000 --
-------------- -------------- -------------- --------------
End of period [including undistributed net
investment income (loss) at October 31, 1997 of
$7,889, $(643), $(761) and $20,057,
respectively]................................... $ 24,548,559 $ 58,828,198 $ 93,070,361 $ 24,676,980
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
</TABLE>
- ------------------
@ Commenced operations October 15, 1997
# Commenced operations November 19, 1996
<PAGE>
12
STATEMENT OF CHANGES IN NET ASSETS -- For the year ended October 31,
1997 -- (continued)
<TABLE>
<CAPTION>
LARGE-CAP SMALL-CAP INTERNATIONAL
VALUE VALUE VALUE EQUITY
PORTFOLIO@ PORTFOLIO# PORTFOLIO@ PORTFOLIO#
--------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income (loss).................... $ 12,304 $ (249,203) $ 30,175 $ (110,177)
Net realized gain on investments................ -- 5,614,072 -- 843,851
Net realized gain (loss) on foreign currency and
other assets and liabilities.................. -- (19) -- 209,293
Net unrealized appreciation/depreciation of
investments................................... (1,335,796) 10,730,121 (768,002) (4,158,649)
Net unrealized appreciation/depreciation of
foreign currency and other assets and
liabilities................................... -- (71) -- 94,498
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from operations............................... (1,323,492) 16,094,900 (737,827) (3,121,184)
-------------- -------------- -------------- --------------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL
SHARE TRANSACTIONS (NOTE 9)..................... 26,060,842 119,175,546 25,720,988 74,576,580
-------------- -------------- -------------- --------------
TOTAL INCREASE IN NET ASSETS...................... 24,737,350 135,270,446 24,983,161 71,455,396
NET ASSETS:
Beginning of period............................... -- 25,000 -- 25,000
-------------- -------------- -------------- --------------
End of period [including undistributed net
investment income (loss) at October 31, 1997 of
$16,631, $(680), $35,108 and $122,861,
respectively]................................... $ 24,737,350 $ 135,295,446 $ 24,983,161 $ 71,480,396
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
</TABLE>
- ------------------
@ Commenced operations October 15, 1997
# Commenced operations November 19, 1996
See Notes to Financial Statements
<PAGE>
13
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
NET
GAIN(LOSS) DIVIDENDS
ON INVEST- TOTAL FROM DISTRI-
NET ASSET NET MENTS(BOTH FROM NET BUTIONS
VALUE, INVEST- REALIZED INVEST- INVEST- FROM TOTAL
PERIOD BEGINNING MENT AND MENT MENT CAPITAL DISTRI-
ENDED OF PERIOD INCOME(1) UNREALIZED) OPERATIONS INCOME GAINS BUTIONS
- ------------------- ---------- ---------- ----------- ---------- --------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C>
LARGE-CAP GROWTH PORTFOLIO
- --------------------------
<CAPTION>
CLASS A
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
10/15/97-10/31/97... $12.50 $ -- $ (0.71) $(0.71) $-- $-- $--
<CAPTION>
CLASS B
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
10/15/97-10/31/97... 12.50 -- (0.71) (0.71) -- -- --
<CAPTION>
CLASS C
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
10/15/97-10/31/97... 12.50 -- (0.72) (0.72) -- -- --
<CAPTION>
RATIO OF NET
NET RATIO OF INVESTMENT
ASSET NET ASSETS EXPENSES INCOME AVERAGE
VALUE, END OF TO AVERAGE TO AVERAGE COMMISSION
PERIOD END OF TOTAL PERIOD NET NET PORTFOLIO PER
ENDED PERIOD RETURN(2) (000'S) ASSETS(3)(4) ASSETS(3)(4) TURNOVER SHARE(5)
- ------------------- ------ --------- ---------- ------------ ------------ -------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
LARGE-CAP GROWTH PO
- -------------------
10/15/97-10/31/97.. $11.79 (5.68)% $ 23,609 1.78% 0.34% 1% $ 0.0414
<S> <C> <C> <C> <C>
- -------------------
<S> <C> <C> <C> <C> <C> <C> <C>
10/15/97-10/31/97.. 11.79 (5.68) 773 2.43 (0.84) 1 0.0414
- -------------------
<S> <C> <C> <C> <C> <C> <C> <C>
10/15/97-10/31/97.. 11.78 (5.76) 166 2.43 (0.42) 1 0.0414
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MID-CAP GROWTH PORTFOLIO
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A
- -------------------------------------------------------------------------------------------------------
11/19/96-10/31/97... $12.50 $(0.16) $ 1.37 $ 1.21 $-- $-- $--
<CAPTION>
CLASS B
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
11/19/96-10/31/97... 12.50 (0.25) 1.38 1.13 -- -- --
<CAPTION>
CLASS C
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
3/06/97-10/31/97... 11.93 (0.18) 1.89 1.71 -- -- --
<CAPTION>
MID-CAP GROWTH PORT
- -------------------
<S> <C> <C> <C> <C> <C> <C> <C>
- -------------------
11/19/96-10/31/97.. $13.71 9.68% $ 18,404 1.85% (1.19)% 97% $ 0.0487
- -------------------
<S> <C> <C> <C> <C> <C> <C> <C>
11/19/96-10/31/97.. 13.63 9.04 35,739 2.47 (1.92) 97 0.0487
- -------------------
<S> <C> <C> <C> <C> <C> <C> <C>
3/06/97-10/31/97... 13.64 14.33 4,685 2.45 (1.97) 97 0.0487
</TABLE>
- --------------------------------------------------------------------------------
AGGRESSIVE GROWTH PORTFOLIO
<TABLE>
<CAPTION>
CLASS A
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
11/19/96-10/31/97... $12.50 $(0.11) $ 3.51 $ 3.40 $-- $-- $--
<CAPTION>
CLASS B
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
11/19/96-10/31/97... 12.50 (0.24) 3.54 3.30 -- -- --
<CAPTION>
CLASS C
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
3/06/97-10/31/97... 13.38 (0.17) 2.59 2.42 -- -- --
<CAPTION>
- -------------------
<S> <C> <C> <C> <C> <C> <C> <C>
11/19/96-10/31/97.. $15.90 27.20% $ 38,537 1.84% (0.77)% 150% $ 0.0546
- -------------------
<S> <C> <C> <C> <C> <C> <C> <C>
11/19/96-10/31/97.. 15.80 26.40 48,594 2.47 (1.58) 150 0.0546
- -------------------
<S> <C> <C> <C> <C> <C> <C> <C>
3/06/97-10/31/97... 15.80 18.09 5,939 2.45 (1.68) 150 0.0546
</TABLE>
- --------------------------------------------------------------------------------
LARGE-CAP BLEND PORTFOLIO
<TABLE>
<CAPTION>
CLASS A
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
10/15/97-10/31/97... $12.50 $ 0.01 $ (0.53) $(0.52) $-- $-- $--
<CAPTION>
CLASS B
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
10/15/97-10/31/97... 12.50 -- (0.54) (0.54) -- -- --
<CAPTION>
CLASS C
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
10/15/97-10/31/97... 12.50 -- (0.53) (0.53) -- -- --
<CAPTION>
- -------------------
<S> <C> <C> <C> <C> <C> <C> <C>
10/15/97-10/31/97.. $11.98 (4.16)% $ 23,593 1.78% 1.35% 2% $ 0.0361
- -------------------
<S> <C> <C> <C> <C> <C> <C> <C>
10/15/97-10/31/97.. 11.96 (4.32) 941 2.43 0.29 2 0.0361
- -------------------
<S> <C> <C> <C> <C> <C> <C> <C>
10/15/97-10/31/97.. 11.97 (4.24) 143 2.43 0.54 2 0.0361
</TABLE>
- ------------------------
(1) Calculated based upon average shares outstanding
(2) Total return is not annualized and does not reflect sales load
(3) Annualized
(4) Net of the following expense reimbursements (based on average net assets):
<TABLE>
<S> <C>
Large-Cap Growth A....... .59%
Large-Cap Growth B....... 1.53%
Large-Cap Growth C....... 3.29%
Mid-Cap Growth A......... .34%
Mid-Cap Growth B......... .42%
Mid-Cap Growth C......... .96%
Aggressive Growth A...... .26%
Aggressive Growth B...... .32%
Aggressive Growth C...... .73%
Large-Cap Blend A........ .58%
Large-Cap Blend B........ 1.26%
Large-Cap Blend C........ 3.12%
</TABLE>
(5) The average commission per share is derived by taking the agency commissions
paid on equity securities trades and dividing by the number of shares
purchased and sold.
See Notes to Financial Statements
<PAGE>
14
FINANCIAL HIGHLIGHTS -- (continued)
<TABLE>
<CAPTION>
NET
GAIN(LOSS) DIVIDENDS
ON INVEST- TOTAL FROM DISTRI-
NET ASSET NET MENTS(BOTH FROM NET BUTIONS
VALUE, INVEST- REALIZED INVEST- INVEST- FROM TOTAL
PERIOD BEGINNING MENT AND MENT MENT CAPITAL DISTRI-
ENDED OF PERIOD INCOME(1) UNREALIZED) OPERATIONS INCOME GAINS BUTIONS
- ------------------- ---------- --------- ----------- ---------- --------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C>
LARGE-CAP VALUE PORTFOLIO
- -------------------------------------------
<CAPTION>
CLASS A
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
10/15/97-10/31/97... $12.50 $ 0.01 $ (0.65) $(0.64) $-- $-- $--
<CAPTION>
CLASS B
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
10/15/97-10/31/97... 12.50 -- (0.64) (0.64) -- -- --
<CAPTION>
CLASS C
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
10/15/97-10/31/97... 12.50 -- (0.64) (0.64) -- -- --
<CAPTION>
RATIO OF NET
NET RATIO OF INVESTMENT
ASSET NET ASSETS EXPENSES INCOME AVERAGE
VALUE, END OF TO AVERAGE TO AVERAGE COMMISSION
PERIOD END OF TOTAL PERIOD NET NET PORTFOLIO PER
ENDED PERIOD RETURN(2) (000'S) ASSETS(3)(4) ASSETS(3)(4) TURNOVER SHARE(5)
- ------------------- ------ --------- ---------- ------------ ------------ -------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
LARGE-CAP VALUE POR
- -------------------
- -------------------
<S> <C> <C> <C> <C> <C> <C> <C>
10/15/97-10/31/97.. $11.86 (5.12)% $ 23,240 1.78% 1.07% --% $ 0.0445
- -------------------
<S> <C> <C> <C> <C> <C> <C> <C>
10/15/97-10/31/97.. 11.86 (5.12) 1,325 2.43 .22 -- 0.0445
- -------------------
<S> <C> <C> <C> <C> <C> <C> <C>
10/15/97-10/31/97.. 11.86 (5.12) 172 2.43 .53 -- 0.0445
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
VALUE PORTFOLIO
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A
- ------------------------------------------------------------------------------------------------------
11/19/96-10/31/97... $12.50 $ -- $ 3.59 $ 3.59 $-- $-- $--
<CAPTION>
CLASS B
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
11/19/96-10/31/97... 12.50 (0.11) 3.61 3.50 -- -- --
<CAPTION>
CLASS C
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
3/06/97-10/31/97... 13.56 (0.08) 2.52 2.44 -- -- --
<CAPTION>
VALUE PORTFOLIO
- -------------------
<S> <C> <C> <C> <C> <C> <C> <C>
- -------------------
11/19/96-10/31/97.. $16.09 28.72% $ 48,377 1.84% --% 48% $ 0.0596
- -------------------
<S> <C> <C> <C> <C> <C> <C> <C>
11/19/96-10/31/97.. 16.00 28.00 77,534 2.46 (0.74) 48 0.0596
- -------------------
<S> <C> <C> <C> <C> <C> <C> <C>
3/06/97-10/31/97... 16.00 17.99 9,384 2.45 (0.78) 48 0.0596
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL-CAP VALUE PORTFOLIO
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A
- ------------------------------------------------------------------------------------------------------
10/15/97-10/31/97... $12.50 $ 0.01 $ (0.37) $(0.36) $-- $-- $--
<CAPTION>
CLASS B
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
10/15/97-10/31/97... 12.50 0.01 (0.38) (0.37) -- -- --
<CAPTION>
CLASS C
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
10/15/97-10/31/97... 12.50 0.01 (0.37) (0.36) -- -- --
<CAPTION>
SMALL-CAP VALUE POR
<S> <C> <C> <C> <C> <C> <C> <C>
- -------------------
10/15/97-10/31/97.. $12.14 (2.88)% $ 21,346 1.78% 2.57% --% $ 0.0571
- -------------------
<S> <C> <C> <C> <C> <C> <C> <C>
10/15/97-10/31/97.. 12.13 (2.88) 3,112 2.43 1.75 -- 0.0571
- -------------------
<S> <C> <C> <C> <C> <C> <C> <C>
10/15/97-10/31/97.. 12.14 (2.88) 525 2.43 1.75 -- 0.0571
</TABLE>
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY PORTFOLIO
<TABLE>
<CAPTION>
CLASS A
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
11/19/96-10/31/97... $12.50 $ 0.01 $ (0.05) $(0.04) $-- $-- $--
<CAPTION>
CLASS B
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
11/19/96-10/31/97... 12.50 (0.09) (0.03) (0.12) -- -- --
<CAPTION>
CLASS C
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
3/06/97-10/31/97... 12.60 (0.07) (0.15) (0.22) -- -- --
<CAPTION>
- -------------------
<S> <C> <C> <C> <C> <C> <C> <C>
11/19/96-10/31/97.. $12.46 (0.32)% $ 24,365 2.10% 0.07% 70% $ 0.0179
- -------------------
<S> <C> <C> <C> <C> <C> <C> <C>
11/19/96-10/31/97.. 12.38 (0.96) 42,656 2.72 (0.69) 70 0.0179
- -------------------
<S> <C> <C> <C> <C> <C> <C> <C>
3/06/97-10/31/97... 12.38 (1.75) 4,459 2.70 (0.75) 70 0.0179
</TABLE>
- ------------------------
(1) Calculated based upon average shares outstanding
(2) Total return is not annualized and does not reflect sales load
(3) Annualized
(4) Net of the following expense reimbursements (based on average net assets):
<TABLE>
<S> <C>
Large-Cap Value A........ .58%
Large-Cap Value B........ 1.16%
Large-Cap Value C........ 3.22%
Value A.................. .28%
Value B.................. .34%
Value C.................. .63%
Small-Cap Value A........ .57%
Small-Cap Value B........ .74%
Small-Cap Value C........ 1.42%
International Equity A... .37%
International Equity B... .45%
International Equity C... .87%
</TABLE>
(5) The average commission per share is derived by taking the agency commissions
paid on equity securities trades and dividing by the number of shares
purchased and sold.
See Notes to Financial Statements
<PAGE>
15
Large-Cap Growth Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK--96.9%
AUTOMOTIVE--1.2%
Harley-Davidson, Inc.(1)............................. 4,500 $ 124,875
Volkswagen AG ADR.................................... 1,525 179,950
-----------
304,825
-----------
BANKS--2.4%
BankAmerica Corp..................................... 1,400 100,100
Citicorp............................................. 900 112,556
State Street Corp.................................... 6,800 379,100
-----------
591,756
-----------
BROADCASTING & MEDIA--2.4%
Interpublic Group of Cos., Inc....................... 12,400 589,000
-----------
BUSINESS SERVICES--7.2%
Adaptec, Inc.+....................................... 3,500 169,531
America Online, Inc.+................................ 1,025 78,925
CUC International, Inc.+............................. 9,400 277,300
Manpower, Inc........................................ 16,800 644,700
Service Corp. International.......................... 11,400 346,988
TransCoastal Marine Services, Inc.+.................. 10,600 257,050
-----------
1,774,494
-----------
CHEMICALS--4.0%
du Pont (E.I.) de Nemours & Co....................... 5,725 325,609
Monsanto Co.......................................... 4,175 178,481
Sigma-Aldrich Corp................................... 7,800 272,025
Solutia, Inc......................................... 8,925 197,466
-----------
973,581
-----------
COMMUNICATION EQUIPMENT--0.8%
MMC Networks, Inc.+.................................. 9,000 196,875
-----------
COMPUTERS & BUSINESS EQUIPMENT--4.6%
3Com Corp.+.......................................... 5,800 240,338
Compaq Computer Corp................................. 3,300 210,375
Dell Computer Corp.+................................. 1,775 142,222
Hewlett-Packard Co................................... 6,200 382,462
Seagate Technology, Inc.+............................ 6,000 162,750
-----------
1,138,147
-----------
DRUGS--7.8%
Bristol-Myers Squibb Co.............................. 5,925 519,919
Lilly (Eli) & Co..................................... 4,000 267,500
Merck & Co., Inc..................................... 6,300 562,275
Omnicare, Inc........................................ 2,575 71,617
Pfizer, Inc.......................................... 6,875 486,406
-----------
1,907,717
-----------
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- --------------------------------------------------------------------------------
<S> <C> <C>
ELECTRONICS--12.0%
Arrow Electronics, Inc.+............................. 12,000 $ 340,500
ASM Lithography Holdings NV+......................... 2,500 183,125
Emerson Electric Co.................................. 5,500 288,406
Intel Corp........................................... 12,275 945,175
KLA-Tencor Corp.+.................................... 3,425 149,844
Motorola, Inc........................................ 5,400 333,450
Philips Electronics NV-
NY Shares.......................................... 3,075 241,003
Solectron Corp.+..................................... 4,500 176,625
Teradyne, Inc.+(1)................................... 2,400 89,850
Texas Instruments, Inc............................... 1,750 186,703
-----------
2,934,681
-----------
ENERGY SERVICES--2.6%
Diamond Offshore Drilling, Inc....................... 4,750 295,688
Schlumberger Ltd..................................... 3,950 345,625
-----------
641,313
-----------
ENERGY SOURCES--0.8%
Exxon Corp........................................... 3,300 202,744
-----------
ENTERTAINMENT PRODUCTS--2.5%
Mattel, Inc.......................................... 15,900 618,113
-----------
FINANCIAL SERVICES--6.2%
American Express Co.................................. 3,100 241,800
Charles Schwab Corp.................................. 6,000 204,750
Federal Home Loan Mortgage Corp...................... 4,650 176,119
Federal National Mortgage Association................ 4,350 210,703
First Data Corp...................................... 3,600 104,625
Merrill Lynch & Co., Inc............................. 1,675 113,272
Morgan Stanley, Dean Witter, Discover & Co........... 4,350 213,150
SLM Holding Corp..................................... 1,825 256,184
-----------
1,520,603
-----------
FOOD, BEVERAGE & TOBACCO--4.9%
Coca-Cola Co......................................... 7,900 446,350
Coca-Cola Enterprises, Inc........................... 4,375 123,047
Delta & Pine Land Co................................. 6,075 226,293
Pioneer Hi-Bred International, Inc................... 1,800 164,925
Sara Lee Corp........................................ 4,775 244,122
-----------
1,204,737
-----------
HEALTH SERVICES--0.6%
United Healthcare Corp............................... 3,275 151,673
-----------
</TABLE>
<PAGE>
16
Large-Cap Growth Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- --------------------------------------------------------------------------------
COMMON STOCK (CONTINUED)
<S> <C> <C>
HOUSEHOLD PRODUCTS--3.7%
Gillette Co.......................................... 4,600 $ 409,688
Procter & Gamble Co.................................. 4,300 292,400
Warner-Lambert Co.................................... 1,500 214,781
-----------
916,869
-----------
HOUSING--1.2%
Home Depot, Inc...................................... 5,100 283,688
-----------
INSURANCE--2.1%
American International Group, Inc.................... 2,400 244,950
MGIC Investment Corp................................. 4,350 262,359
-----------
507,309
-----------
LEISURE & TOURISM--4.5%
Cracker Barrel Old Country Store, Inc................ 3,600 105,300
Delta Air Lines, Inc................................. 1,200 120,900
Disney (Walt) Co..................................... 2,200 180,950
Marriott International, Inc.......................... 3,000 209,250
McDonald's Corp...................................... 10,800 483,975
-----------
1,100,375
-----------
MEDICAL PRODUCTS--4.2%
Johnson & Johnson Co................................. 9,900 568,013
Medtronic, Inc....................................... 10,500 456,750
-----------
1,024,763
-----------
MULTI-INDUSTRY--4.6%
General Electric Co.................................. 15,700 1,013,631
Tyco International Ltd............................... 3,000 113,250
-----------
1,126,881
-----------
RETAIL--3.6%
CompUSA, Inc.+....................................... 2,300 75,325
Fred Meyer, Inc.+.................................... 3,200 91,400
Gap, Inc............................................. 4,000 212,750
Viking Office Products, Inc.+........................ 21,100 503,763
-----------
883,238
-----------
SOFTWARE--9.0%
American Power Conversion Corp.+..................... 11,000 295,625
Cadence Design Systems, Inc.+........................ 2,975 158,419
Cisco Systems, Inc.+................................. 4,600 377,200
Electronic Arts, Inc.+............................... 3,200 108,000
Microsoft Corp.+..................................... 6,650 863,668
Oracle Systems Corp.+................................ 7,200 257,400
Parametric Technology Corp.+......................... 3,500 154,000
-----------
2,214,312
<CAPTION>
SHARES/
PRINCIPAL
AMOUNT
(IN VALUE
SECURITY DESCRIPTION THOUSANDS) (NOTE 3)
- --------------------------------------------------------------------------------
<S> <C> <C>
TELECOMMUNICATIONS--2.7%
Ericsson (L.M.) Telecommu-
nications Co., Class B ADR......................... 9,600 $ 424,800
Hong Kong Telecommu-
nications Ltd. ADR................................. 12,400 237,925
-----------
662,725
-----------
TRANSPORTATION--1.3%
Air Express International Corp....................... 10,800 324,000
-----------
TOTAL INVESTMENT SECURITIES--96.9%
(cost $25,063,825)................................... 23,794,419
-----------
SHORT-TERM SECURITIES--0.8%
Federal Home Loan Mortgage Discount Notes
5.65% due 11/03/97
(cost: $199,937)................................... $ 200 199,937
-----------
REPURCHASE
AGREEMENT--1.6%
Agreement with State Street
Bank and Trust Co., bearing
5.00%, dated 10/31/97 to be
repurchased 11/03/97 in the
amount of $380,158
collaterized by $390,000
U.S. Treasury Note 5.875%,
due 2/28/99 approximate
aggregate value $394,927
(cost $380,000).................................... 380 380,000
-----------
TOTAL INVESTMENTS--
(cost $25,643,762)................................... 99.3% 24,374,356
Other assets less liabilities.......................... 0.7 174,203
------- -----------
NET ASSETS-- 100.0% $24,548,559
------- -----------
------- -----------
</TABLE>
- ------------------
+ Non-income producing security
ADR ('American Depositary Receipt')
(1) Security is traded with rights attached
See Notes to Financial Statements
<PAGE>
17
Mid-Cap Growth Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -----------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK--95.5%
AEROSPACE & MILITARY TECHNOLOGY--0.3%
BE Aerospace, Inc.+................................ 7,200 $ 201,600
-----------
APPAREL & TEXTILES--3.1%
Danaher Corp....................................... 10,900 597,456
Jones Apparel Group, Inc.+......................... 5,400 274,725
Nautica Enterprises, Inc.+......................... 8,600 228,438
Polo Ralph Lauren Corp., Class A+.................. 4,400 114,400
Tommy Hilfiger Corp.+.............................. 6,500 257,156
Warnaco Group, Inc. Class A........................ 13,400 378,550
-----------
1,850,725
-----------
AUTOMOTIVE--0.8%
Harley-Davidson, Inc............................... 8,200 227,550
OEA, Inc........................................... 5,300 213,325
-----------
440,875
-----------
BANKS--0.6%
State Street Corp.................................. 6,800 379,100
-----------
BROADCASTING & MEDIA--8.1%
360 Communications Co.+............................ 13,900 293,638
At Home Corp., Series A+........................... 7,050 170,081
Cinar Films, Inc., Class B+........................ 7,200 279,900
Clear Channel Communications, Inc.+................ 6,800 448,800
Comcast Corp., Class A............................. 19,900 544,762
Heftel Broadcasting Corp., Class A+................ 3,100 202,275
Imax Corp.+........................................ 9,300 234,825
Jacor Communications, Inc.+........................ 11,600 482,850
Metro Networks, Inc.+.............................. 6,400 196,800
Outdoor Systems, Inc.+............................. 19,700 605,775
Tele-Communications Liberty Media Group, Inc.,
Series A......................................... 9,750 338,813
Tele-Communications TCI Group, Series A+........... 11,862 271,343
TV Azteca SA de CV ADR+............................ 8,800 168,300
Univision Communications, Inc., Class A+........... 3,800 235,600
Valassis Communications, Inc....................... 7,000 206,500
Vanguard Cellular Systems, Inc., Class A+.......... 5,100 69,806
-----------
4,750,068
-----------
BUSINESS SERVICES--11.3%
AccuStaff, Inc.+................................... 14,900 425,581
Adaptec, Inc.+..................................... 6,900 334,219
ADVO, Inc.+........................................ 3,000 67,313
Allied Waste Industries, Inc.+..................... 20,800 421,200
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -----------------------------------------------------------------------------
<S> <C> <C>
BUSINESS SERVICES (CONTINUED)
American Disposal Services, Inc.+.................. 7,000 $ 243,250
Apollo Group, Inc., Class A+....................... 8,000 332,000
Catalina Marketing Corp.+.......................... 4,700 214,731
Cintas Corp........................................ 4,600 329,475
Coinstar, Inc...................................... 5,600 56,000
Complete Busines Solutions, Inc.................... 5,400 189,000
Concord EFS, Inc.+................................. 6,600 195,525
Corporate Express, Inc.+........................... 18,100 264,712
Corrections Corp. of America+...................... 6,800 207,400
CUC International, Inc.+........................... 7,500 221,250
Gartner Group, Inc., Class A+...................... 17,000 478,125
Interim Services, Inc.+............................ 12,100 316,869
McDermot International, Inc........................ 2,700 111,713
National Data Corp................................. 5,400 199,462
Paychex, Inc....................................... 9,050 343,900
Republic Industries, Inc.+......................... 10,300 303,850
Saville Systems PLC ADR+........................... 2,200 129,800
Solectron Corp.+................................... 4,200 164,850
Stewart Enterprises, Inc., Class A................. 4,800 199,200
Superior Services, Inc.+........................... 4,300 113,412
US Filter Corp.+................................... 5,800 232,725
USA Waste Services, Inc.+.......................... 14,575 539,275
-----------
6,634,837
-----------
CHEMICALS--0.6%
Great Lakes Chemical Corp.......................... 4,800 225,600
Zoltek Cos., Inc.+................................. 2,900 136,300
-----------
361,900
-----------
COMMUNICATION EQUIPMENT--6.9%
3Com Corp.+........................................ 8,875 367,758
ADC Telecommunications, Inc.+...................... 10,600 351,125
Advanced Fibre Communications, Inc.+............... 10,400 301,600
America Online, Inc.+.............................. 3,700 284,900
Anixter International, Inc.+....................... 6,900 130,238
CIENA Corp.+....................................... 3,800 209,000
Computer Horizons Corp.+........................... 9,600 290,400
Cox Communications, Inc., Class A+................. 7,700 236,775
Digital Microwave Corp.+........................... 4,100 146,575
Loral Space & Communications Corp.+................ 14,900 312,900
Metromedia Fiber Network, Inc., Class A............ 4,000 95,000
Newbridge Networks Corp. ADR+...................... 3,900 206,700
P-COM, Inc.+....................................... 4,600 91,425
PanAmSat Corp.+.................................... 5,300 220,612
Qwest Communications International, Inc.+.......... 2,400 148,200
</TABLE>
<PAGE>
18
Mid-Cap Growth Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -----------------------------------------------------------------------------
COMMON STOCK (CONTINUED)
<S> <C> <C>
COMMUNICATION EQUIPMENT (CONTINUED)
Tellabs, Inc.+..................................... 12,600 $ 679,612
-----------
4,072,820
-----------
COMPUTERS & BUSINESS EQUIPMENT--1.2%
BDM International, Inc.+........................... 10,600 233,200
Checkfree Corp.+................................... 5,700 153,900
Ikon Office Solutions, Inc......................... 3,700 104,756
Security Dynamics Technologies, Inc.+.............. 6,900 231,582
-----------
723,438
-----------
DRUGS--2.4%
BioChem Pharma, Inc.+.............................. 7,100 177,500
Biogen, Inc.+...................................... 10,600 352,450
Dura Pharmaceuticals, Inc.+........................ 7,600 367,650
Gilead Sciences, Inc.+............................. 6,400 216,800
Medicis Pharmaceutical Corp., Class A+............. 2,100 99,750
Omnicare, Inc...................................... 7,400 205,812
-----------
1,419,962
-----------
ELECTRICAL EQUIPMENT--1.0%
Creative Technology Ltd.+.......................... 10,900 277,269
Jabil Circuit, Inc.+............................... 3,400 153,000
Microchip Technology, Inc.+........................ 4,600 181,125
-----------
611,394
-----------
ELECTRONICS--4.0%
Analog Devices, Inc.+.............................. 5,800 177,262
Helix Technology Corp.............................. 3,000 135,000
Integrated Process Equipment Corp.................. 2,200 48,538
Lattice Semiconductor Corp.+....................... 4,000 199,000
Linear Technology Corp............................. 5,200 326,300
Maxim Integrated Products, Inc.+................... 3,000 198,562
Novellus Systems, Inc.+............................ 3,400 150,875
SpeedFam International, Inc.+...................... 1,300 48,100
Teleflex, Inc...................................... 7,700 286,825
Teradyne, Inc.+.................................... 4,200 157,238
Uniphase Corp.+.................................... 4,300 282,725
Vitesse Semiconductor Corp.+....................... 6,200 268,925
Xilinx, Inc.+...................................... 2,500 84,844
-----------
2,364,194
-----------
ENERGY SERVICES--6.1%
BJ Services Co.+................................... 3,300 279,675
Camco International, Inc........................... 7,200 520,200
Cliffs Drilling Co.+............................... 2,000 145,375
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -----------------------------------------------------------------------------
<S> <C> <C>
ENERGY SERVICES (CONTINUED)
Cooper Cameron Corp.+.............................. 6,700 484,075
Diamond Offshore Drilling, Inc..................... 3,100 $ 192,975
ENSCO International, Inc........................... 6,200 260,788
Global Marine, Inc.+............................... 16,100 501,112
Santa Fe International Corp.+...................... 9,000 442,687
Tidewater, Inc..................................... 7,300 479,519
Weatherford Enterra, Inc.+......................... 5,300 270,631
-----------
3,577,037
-----------
ENERGY SOURCES--0.4%
United Meridian Corp.+............................. 6,300 213,806
-----------
FINANCIAL SERVICES--3.5%
AMRESCO, Inc.+..................................... 600 18,750
Edwards (A.G.), Inc................................ 6,400 210,000
FINOVA Group, Inc.................................. 5,700 250,444
Franklin Resources, Inc............................ 7,050 633,619
Money Store, Inc................................... 11,200 317,800
Ocwen Financial Corp............................... 2,100 115,369
Sirrom Capital Corp................................ 7,200 362,700
Tele-Communications TCI Ventures Group, Series
A+............................................... 6,538 150,782
-----------
2,059,464
-----------
FOOD, BEVERAGE & TOBACCO--1.7%
Beringer Wine Estates Holdings, Inc., Class B+..... 1,800 55,575
Fresh Del Monte Produce, Inc.+..................... 4,000 64,500
JP Foodservice, Inc.+.............................. 9,000 287,438
Robert Mondavi Corp., Class A+..................... 4,600 233,450
Suiza Foods Corp.+................................. 6,500 327,437
-----------
968,400
-----------
FOREST PRODUCTS--0.4%
Sealed Air Corp.+.................................. 4,100 211,406
-----------
HEALTH SERVICES--7.3%
AmeriPath, Inc..................................... 4,300 70,950
Covance, Inc.+..................................... 12,900 228,169
HBO & Co........................................... 19,200 832,800
Health Management Associates, Inc., Class A+....... 27,150 661,782
HEALTHSOUTH Corp.+................................. 12,500 319,531
Lincare Holdings, Inc.+............................ 11,600 622,050
Orthodontic Centers of America, Inc.+.............. 12,400 214,675
Pediatrix Medical Group, Inc.+..................... 5,100 215,475
Quintiles Transnational Corp.+..................... 4,400 319,000
Quorum Health Group, Inc.+......................... 10,950 264,853
Total Renal Care Holdings, Inc.+................... 13,300 409,806
</TABLE>
<PAGE>
19
Mid-Cap Growth Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -----------------------------------------------------------------------------
COMMON STOCK (CONTINUED)
<S> <C> <C>
HEALTH SERVICES (CONTINUED)
Vencor, Inc.+...................................... 4,200 $ 113,400
-----------
4,272,491
-----------
HOUSEHOLD PRODUCTS--2.0%
Culligan Water Technologies, Inc.+................. 5,000 213,125
Estee Lauder Cos., Inc., Class A................... 5,400 239,963
Omnipoint Corp. +.................................. 5,600 129,500
Rexall Sundown, Inc.+.............................. 11,600 249,400
United States Office Products Co................... 4,500 139,500
Wesley Jessen Visioncare, Inc...................... 7,000 201,250
-----------
1,172,738
-----------
INSURANCE--1.8%
Ace Ltd............................................ 4,500 418,219
Fairfax Financial Holdings Ltd.+................... 800 196,970
Healthcare Recoveries, Inc.+....................... 7,800 141,375
PartnerRe Ltd...................................... 6,800 278,800
-----------
1,035,364
-----------
LEISURE & TOURISM--2.9%
Anchor Gaming+..................................... 1,100 85,800
Callaway Golf Co................................... 5,400 174,150
CapStar Hotel Co.+................................. 2,800 99,225
Galileo International, Inc......................... 10,000 251,250
HFS, Inc.+......................................... 2,300 162,150
La Quinta Inns, Inc................................ 10,300 184,112
Outback Steakhouse, Inc.+.......................... 6,800 184,025
Premier Parks, Inc.+............................... 5,500 217,250
Royal Caribbean Cruises Ltd........................ 6,500 301,844
Signature Resorts, Inc.+........................... 1,300 33,638
-----------
1,693,444
-----------
MACHINERY--1.3%
Flextronics International Ltd.+.................... 3,500 131,250
McDermott International, Inc....................... 3,100 112,569
MSC Industrial Direct Co., Inc., Class A+.......... 4,800 199,800
Smith International, Inc.+......................... 4,100 312,625
-----------
756,244
-----------
MEDICAL PRODUCTS--1.6%
Cardinal Health, Inc............................... 2,900 215,325
Cyberonics, Inc.+.................................. 7,800 104,325
St. Jude Medical, Inc.+............................ 6,100 184,906
Sybron International Corp.+........................ 5,200 208,650
US Surgical Corp................................... 8,400 226,275
-----------
939,481
-----------
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -----------------------------------------------------------------------------
<S> <C> <C>
METALS & MINERALS--1.3%
Battle Mountain Gold Co............................ 29,800 $ 182,525
Cambior, Inc....................................... 13,300 104,738
TriMas Corp........................................ 12,100 353,925
TVX Gold, Inc.+.................................... 30,900 131,325
-----------
772,513
-----------
REAL ESTATE COMPANIES--0.7%
Security Capital Group, Inc., Class B+............. 9,000 288,000
Security Capital US Realty+ ....................... 2,000 28,200
Security Capital US Realty+ ....................... 5,500 77,550
-----------
393,750
-----------
REAL ESTATE INVESTMENT TRUSTS--0.7%
INMC Mortgage Holdings, Inc........................ 8,000 190,000
Security Capital Industrial Trust ................. 9,072 222,831
-----------
412,831
-----------
RETAIL--8.3%
Bed Bath & Beyond, Inc.+........................... 13,100 415,925
BJ's Wholesale Club, Inc.+......................... 7,200 207,900
Borders Group, Inc.+............................... 14,600 378,687
Brylane, Inc....................................... 2,600 112,938
CDW Computer Centers, Inc.+........................ 4,400 270,600
Circuit City Stores, Inc.+......................... 7,500 299,062
CompUSA, Inc.+..................................... 6,400 209,600
Costco Cos., Inc.+................................. 6,000 229,500
CVS Corp........................................... 5,500 337,219
Dollar Tree Stores, Inc.+.......................... 5,500 222,750
Fastenal Co........................................ 2,300 112,700
General Nutrition Cos., Inc.+...................... 14,900 465,625
Gymboree Corp.+.................................... 9,700 234,012
Hibbett Sporting Goods, Inc.+...................... 3,000 81,750
Kohl's Corp.+...................................... 3,600 241,650
Office Depot, Inc.+................................ 4,700 96,938
Richfood Holdings, Inc............................. 8,000 193,000
ShopKo Stores, Inc.+............................... 6,300 157,894
Stage Stores, Inc.................................. 4,100 147,600
Staples, Inc.+..................................... 12,400 323,950
Tiffany & Co....................................... 3,500 138,250
-----------
4,877,550
-----------
SOFTWARE--11.0%
Affiliated Computer Services Inc., Class A+........ 13,600 341,700
BMC Software, Inc.+................................ 12,600 757,575
DST Systems, Inc.+................................. 6,700 236,594
Electronics For Imaging, Inc.+..................... 11,300 526,862
Fiserv, Inc.+...................................... 6,300 279,562
HNC Software, Inc.+................................ 4,490 163,885
</TABLE>
<PAGE>
20
Mid-Cap Growth Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -----------------------------------------------------------------------------
COMMON STOCK (CONTINUED)
<S> <C> <C>
SOFTWARE (CONTINUED)
Inter-Tel, Inc..................................... 8,600 $ 212,850
Intuit, Inc.+...................................... 2,800 90,650
J.D. Edwards & Co.+................................ 8,900 300,375
Keane, Inc.+....................................... 4,000 118,500
Mapics, Inc........................................ 16,900 188,012
McAfee Associates, Inc.+........................... 7,800 387,075
Micro Focus Group PLC ADR+......................... 6,000 201,000
Network General Corp.+............................. 9,300 187,163
PeopleSoft, Inc.+.................................. 12,200 765,550
Platinum Technology, Inc.+ ........................ 5,400 129,938
Sapient Corp.+..................................... 3,000 156,000
Sterling Commerce, Inc.+........................... 6,100 202,444
SunGard Data Systems, Inc.+........................ 10,100 238,612
Synopsys, Inc.+.................................... 4,700 182,125
Viasoft, Inc.+..................................... 4,500 182,813
Visio Corp.+....................................... 4,000 147,000
VocalTec Communications Ltd.+...................... 4,400 114,400
Wind River Systems+................................ 10,150 386,969
-----------
6,497,654
-----------
TELECOMMUNICATIONS--2.2%
DSC Communications Corp.+.......................... 7,300 177,937
Globalstar Telecommunications Ltd.+................ 13,108 606,245
Intermedia Communications, Inc.+................... 3,100 139,500
MRV Communications, Inc.+.......................... 2,500 72,500
Positron Fiber Systems Corp., Class A.............. 7,000 54,906
Tel-Save Holdings, Inc.+........................... 6,300 134,663
World Access, Inc.+................................ 3,900 101,888
-----------
1,287,639
-----------
TELEPHONE--2.0%
Cellular Communications International, Inc.+....... 3,800 150,575
Cincinnati Bell, Inc............................... 9,800 264,600
Ionica Group PLC ADR............................... 5,700 88,350
MCI Communications Corp............................ 5,900 209,081
NEXTLINK Communications, Inc., Class A+............ 6,400 144,000
WorldCom, Inc.+.................................... 10,180 341,666
-----------
1,198,272
-----------
TOTAL COMMON STOCK
(cost $49,352,989)................................. 56,150,997
-----------
</TABLE>
<TABLE>
<CAPTION>
WARRANTS/
PRINCIPAL
AMOUNT
(IN VALUE
SECURITY DESCRIPTION THOUSANDS) (NOTE 3)
- -----------------------------------------------------------------------------
<S> <C> <C>
WARRANTS--0.0%+
REAL ESTATE COMPANIES--0.0%
Security Capital Group, Inc., Class B 9/18/98
(cost $3,748).................................... 422 $ 2,032
-----------
TOTAL INVESTMENT SECURITIES--95.5%
(cost $49,356,737)................................. 56,153,029
-----------
SHORT-TERM SECURITIES--3.8%
Cayman Island Time Deposit with State Street Bank
and Trust Co. 3.00% due 11/03/97................. $ 373 373,000
Cayman Island Time Deposit with State Street Bank
and Trust Co. 4.50% due 11/03/97................. 1,258 1,258,000
Federal Home Loan Mortgage Discount Notes 5.415%
due 11/28/97..................................... 115 114,533
Federal Home Loan Mortgage Discount Notes 5.49% due
11/24/97......................................... 135 134,526
Federal Home Loan Mortgage Discount Notes 5.50% due
11/13/97......................................... 270 269,505
Federal National Mortgage Association Discount
Notes 5.47% due 11/06/97......................... 108 107,918
-----------
TOTAL SHORT-TERM SECURITIES
(cost $2,257,482).................................. 2,257,482
-----------
TOTAL INVESTMENTS--
(cost $51,614,219)................................. 99.3% 58,410,511
Other assets less liabilities........................ 0.7 417,687
------ -----------
NET ASSETS-- 100.0% $58,828,198
------ -----------
------ -----------
</TABLE>
- ------------------
+ Non-income producing security
ADR ('American Depositary Receipt')
See Notes to Financial Statements
<PAGE>
21
Aggressive Growth Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK--90.2%
AEROSPACE & MILITARY TECHNOLOGY--1.6%
DONCASTERS PLC ADR+.................................. 10,100 $ 272,069
Gulfstream Aerospace Corp.+.......................... 10,400 301,600
REMEC, Inc.+......................................... 29,450 728,887
Tracor, Inc.+........................................ 8,400 221,550
-----------
1,524,106
-----------
APPAREL & TEXTILES--0.2%
Track 'n Trail, Inc.+................................ 24,000 234,000
-----------
AUTOMOTIVE--0.2%
Budget Group, Inc., Class A+......................... 5,300 185,500
-----------
BANKS--6.1%
Bank United Corp., Class A........................... 6,000 252,000
BankAmerica Corp..................................... 20,950 1,497,925
Citicorp............................................. 4,075 509,630
City National Corp................................... 9,300 279,581
Cullen/Frost Bankers, Inc.(1)........................ 5,500 277,750
First American Corp.................................. 11,200 530,600
Hamilton Bancorp, Inc.+.............................. 20,000 560,000
Hibernia Corp., Class A.............................. 10,000 178,125
PNC Bank Corp........................................ 5,000 237,500
Summit Bancorp....................................... 15,000 640,313
U.S. Bancorp......................................... 7,000 711,812
-----------
5,675,236
-----------
BROADCASTING & MEDIA--5.7%
At Home Corp., Series A+............................. 28,875 696,609
Central European Media Enterprises Ltd., Class A+.... 10,600 306,075
Central Newspapers, Inc., Class A.................... 4,900 321,869
Cinar Films, Inc., Class B+.......................... 13,000 505,375
DeVry, Inc.+......................................... 8,100 213,637
Heftel Broadcasting Corp., Class A+.................. 3,100 202,275
Houghton Mifflin Co.................................. 7,300 259,150
ITT Educational Services, Inc.+...................... 8,300 200,238
Outdoor Systems, Inc.+............................... 11,725 360,544
Paging Network, Inc.+................................ 23,800 291,550
Universal Outdoor Holdings, Inc.+ ................... 7,500 315,000
Univision Communications, Inc., Class A+............. 17,400 1,078,800
Valassis Communications, Inc. ....................... 9,000 265,500
Wiley (John) & Sons, Inc., Class A................... 6,000 263,250
-----------
5,279,872
-----------
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- --------------------------------------------------------------------------------
<S> <C> <C>
BUSINESS SERVICES--6.9%
Allied Waste Industries, Inc.+....................... 13,400 $ 271,350
America Online, Inc.+................................ 17,550 1,351,350
American Disposal Services, Inc.+ 20,000 695,000
Apollo Group, Inc., Class A+......................... 13,125 544,687
CHS Electronics, Inc.+............................... 12,150 294,638
Corporate Express, Inc.+............................. 13,800 201,825
Lason Holdings, Inc.................................. 10,000 253,750
Nabors Industries, Inc.+............................. 10,900 448,262
Norrell Corp......................................... 5,900 171,838
Pre-Paid Legal Services, Inc.+....................... 5,000 151,250
QuickResponse Services, Inc.+........................ 6,900 222,525
Robert Half International, Inc.+..................... 10,200 417,562
ScanSource, Inc.+.................................... 10,000 198,750
SITEL Corp.+......................................... 24,700 219,213
TransCoastal Marine Services, Inc.+ ................. 11,000 266,750
Transcrypt Internaional, Inc.+....................... 5,200 111,150
USA Waste Services, Inc.+............................ 9,700 358,900
Vestcom International, Inc.+......................... 15,000 268,125
-----------
6,446,925
-----------
COMMUNICATION EQUIPMENT--4.9%
Advanced Fibre Communications, Inc.+................. 30,000 870,000
CIENA Corp.+......................................... 5,000 275,000
Concord Communications, Inc.+ 1,500 27,000
Digital Microwave Corp.+............................. 10,000 357,500
EchoStar Communications Corp., Class A+.............. 20,000 380,000
Newbridge Networks Corp.+............................ 10,000 530,000
Qwest Communications International, Inc.+............ 15,850 978,737
Tekelec, Inc.+....................................... 10,000 417,500
Tellabs, Inc.+....................................... 8,000 431,500
Yurie System, Inc.+.................................. 10,000 302,500
-----------
4,569,737
-----------
COMPUTERS & BUSINESS EQUIPMENT--2.0%
Dell Computer Corp.+................................. 18,450 1,478,306
Miller (Herman), Inc................................. 7,900 386,113
-----------
1,864,419
-----------
</TABLE>
<PAGE>
22
Aggressive Growth Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- --------------------------------------------------------------------------------
COMMON STOCK (CONTINUED)
<S> <C> <C>
DRUGS--3.8%
Gilead Sciences, Inc.+............................... 5,900 $ 199,863
IDEC Pharmaceuticals Corp.+.......................... 15,000 571,875
Lilly (Eli) & Co..................................... 7,950 531,656
Mylan Laboratories, Inc.............................. 5,000 109,688
Omnicare, Inc........................................ 18,875 524,961
Pfizer, Inc.......................................... 11,650 824,237
Sepracor, Inc.+...................................... 7,400 263,625
Teva Pharmaceutical Industries Ltd. ADR.............. 4,000 186,750
Watson Pharmaceuticals, Inc.+........................ 9,000 285,750
-----------
3,498,405
-----------
ELECTRIC UTILITIES--1.0%
AES Corp.+........................................... 23,525 932,178
-----------
ELECTRICAL EQUIPMENT--0.3%
Etec Systems, Inc.+.................................. 5,400 240,975
-----------
ELECTRONICS--7.9%
Aehr Test Systems+................................... 14,700 194,775
Alpha Industries, Inc.+(1)........................... 10,000 158,750
Altera Corp.+........................................ 5,100 225,994
ATMI, Inc.+.......................................... 17,100 453,150
Burr-Brown Corp.+.................................... 8,600 256,925
DII Group, Inc.+..................................... 20,000 487,500
GaSonics International Corp.+........................ 6,200 96,100
Intel Corp........................................... 5,900 454,300
KLA-Tencor Corp.+.................................... 7,600 332,500
Lam Research Corp.+.................................. 17,725 638,100
Maxim Integrated Products, Inc.+..................... 14,900 986,194
Microchip Technology, Inc.+.......................... 9,250 364,219
SIPEX Corp.+......................................... 24,500 805,437
SpeedFam International, Inc.+........................ 5,800 214,600
Teradyne, Inc.+(1)................................... 8,650 323,834
Uniphase Corp.+...................................... 2,500 164,375
Veeco Instruments, Inc.+............................. 8,700 343,650
Vitesse Semiconductor Corp.+......................... 14,600 633,275
Xilinx, Inc.+........................................ 7,800 264,713
-----------
7,398,391
-----------
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- --------------------------------------------------------------------------------
<S> <C> <C>
ENERGY SERVICES--6.6%
Diamond Offshore Drilling, Inc....................... 14,750 $ 918,187
EVI, Inc.+........................................... 5,425 348,217
Falcon Drilling Co., Inc.+........................... 9,050 329,194
Friede Goldman International, Inc.+.................. 20,000 792,500
Global Industries Ltd.+.............................. 13,600 272,000
Halliburton Co....................................... 15,100 900,338
National-Oilwell, Inc.+.............................. 4,150 317,734
Noble Drilling Corp.+................................ 10,225 363,627
Petroleum Geo-Services ADR+.......................... 7,100 491,675
Pride International, Inc.+........................... 15,400 508,200
Schlumberger Ltd..................................... 6,500 568,750
Transocean Offshore, Inc............................. 900 48,600
Trico Marine Services, Inc.+......................... 7,200 264,600
-----------
6,123,622
-----------
ENERGY SOURCES--0.9%
Brown (Tom), Inc.+................................... 9,200 225,400
Chieftain International, Inc.+....................... 11,300 276,850
KCS Energy, Inc...................................... 12,100 318,381
-----------
820,631
-----------
ENTERTAINMENT PRODUCTS--0.4%
Mattel, Inc.......................................... 10,000 388,750
-----------
FINANCIAL SERVICES--3.2%
American Express Co.................................. 6,450 503,100
Healthcare Financial Partners, Inc.+................. 13,600 459,000
Jackson Hewitt, Inc.+................................ 4,500 201,375
Legg Mason, Inc...................................... 4,667 228,958
Merrill Lynch & Co., Inc............................. 4,925 333,053
Morgan Stanley, Dean Witter, Discover & Co........... 11,750 575,750
Nationwide Financial Services, Inc., Class A......... 13,700 416,994
Price (T. Rowe) Associates, Inc...................... 4,100 271,625
-----------
2,989,855
-----------
FOOD, BEVERAGE & TOBACCO--1.7%
Coca-Cola Co......................................... 4,300 242,950
Consolidated Cigar Holdings, Inc., Class A+.......... 10,400 408,200
Fresh Del Monte Produce, Inc.+....................... 15,000 241,875
Sara Lee Corp........................................ 13,050 667,181
-----------
1,560,206
-----------
</TABLE>
<PAGE>
23
Aggressive Growth Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- --------------------------------------------------------------------------------
COMMON STOCK (CONTINUED)
<S> <C> <C>
HEALTH SERVICES--1.1%
HBO & Co............................................. 10,000 $ 433,750
HEALTHSOUTH Corp.+................................... 5,000 127,812
Mid Atlantic Medical Services, Inc.+ ................ 18,400 267,950
PhyCor, Inc.+........................................ 10,000 229,375
-----------
1,058,887
-----------
HOUSEHOLD PRODUCTS--3.0%
Alberto-Culver Co., Class A.......................... 9,200 238,625
Central Garden & Pet Co.+............................ 12,500 321,875
Gillette Co.......................................... 4,225 376,289
Sunbeam Corp......................................... 10,000 453,125
Warner-Lambert Co.................................... 9,675 1,385,339
-----------
2,775,253
-----------
HOUSING--0.3%
Furniture Brands International, Inc.+ ............... 10,000 167,500
Toll Brothers, Inc.+................................. 5,000 110,625
-----------
278,125
-----------
INSURANCE--1.8%
Allmerica Financial Corp............................. 7,251 339,890
American International Group, Inc.................... 2,862 292,103
Frontier Insurance Group, Inc........................ 8,100 272,869
Penncorp Financial Group, Inc........................ 5,100 166,069
Protective Life Corp................................. 5,000 264,375
Provident Cos., Inc.................................. 10,000 333,750
-----------
1,669,056
-----------
LEISURE & TOURISM--1.1%
Doubletree Corp.+.................................... 5,100 211,012
Premier Parks, Inc.+................................. 7,200 284,400
Ryan's Family Steak Houses, Inc.+ 19,000 161,500
Vistana, Inc.+....................................... 16,100 362,250
-----------
1,019,162
-----------
MACHINERY--0.8%
Kennametal, Inc...................................... 10,000 485,000
Smith International, Inc.+........................... 3,950 301,188
-----------
786,188
-----------
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- --------------------------------------------------------------------------------
<S> <C> <C>
MEDICAL PRODUCTS--2.9%
Andrx Corp.+......................................... 5,000 $ 186,875
Arterial Vascular Engineering, Inc.+ ................ 15,000 795,000
Bergen Brunswig Corp., Class A....................... 5,175 207,323
Cardinal Health, Inc................................. 3,275 243,169
Conceptus, Inc.+..................................... 11,200 78,400
ESC Medical Systems Ltd.+............................ 7,900 306,125
Guidant Corp......................................... 2,500 143,750
Henry Schein, Inc.+.................................. 6,400 207,200
Nitinol Medical Technologies, Inc.+ ................. 13,500 187,313
SangStat Medical Corp.+.............................. 10,400 317,200
-----------
2,672,355
-----------
METALS & MINERALS--0.5%
NS Group, Inc.+...................................... 15,800 422,650
-----------
MULTI-INDUSTRY--0.4%
Corning, Inc......................................... 5,000 225,625
General Electric Co.................................. 2,850 184,003
-----------
409,628
-----------
REAL ESTATE COMPANIES--1.2%
LaSalle Partners, Inc.+.............................. 31,375 1,147,148
-----------
REAL ESTATE INVESTMENT TRUSTS--0.5%
CarrAmerica Realty Corp.............................. 7,400 220,613
Security Capital Pacific Trust....................... 9,600 214,800
-----------
435,413
-----------
RETAIL--4.5%
Borders Group, Inc.+................................. 18,800 487,625
Gap, Inc............................................. 5,000 265,938
Guitar Center, Inc.+................................. 5,000 107,500
Home Depot, Inc...................................... 30,625 1,703,516
Kohl's Corp.+........................................ 5,000 335,625
Payless ShoeSource, Inc.+............................ 4,700 262,025
Proffitt's, Inc.+.................................... 20,000 573,750
Staples, Inc.+....................................... 12,100 316,112
Sunglass Hut International, Inc.+ 20,000 157,500
-----------
4,209,591
-----------
SOFTWARE--12.5%
Acceler8 Technology Corp.+........................... 4,925 97,884
Adobe Systems, Inc................................... 5,500 261,938
Aspect Development, Inc.+............................ 10,000 462,500
</TABLE>
<PAGE>
24
Aggressive Growth Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- --------------------------------------------------------------------------------
COMMON STOCK (CONTINUED)
<S> <C> <C>
SOFTWARE (CONTINUED)
Avant Corp.+......................................... 11,700 $ 304,200
BMC Software, Inc.+.................................. 9,400 565,175
Cambridge Technology Partners, Inc.+................. 6,900 251,850
CBT Group PLC ADR+................................... 14,150 1,086,012
Check Point Software Technologies, Ltd.+............. 10,000 425,000
Cisco Systems, Inc.+................................. 11,700 959,400
Compuware Corp.+..................................... 5,000 329,375
Dataworks Corp.+..................................... 8,100 160,481
Electronics For Imaging, Inc.+....................... 2,450 114,231
Harbinger Corp.+..................................... 6,050 176,206
Industri-Matematik International Corp.+.............. 10,000 212,500
JDA Software Group, Inc.............................. 5,000 155,625
Keane, Inc.+......................................... 6,000 177,750
Microsoft Corp.+..................................... 9,950 1,292,256
National Instruments Corp.+.......................... 7,100 315,950
Novell, Inc.+........................................ 7,000 58,625
PeopleSoft, Inc.+.................................... 8,000 502,000
PLATINUM Technology, Inc.+........................... 13,600 327,250
QuadraMed Corp.+..................................... 4,000 93,500
Sterling Commerce, Inc.+............................. 8,000 265,500
Structural Dynamics Research Corp.+(1) .............. 10,200 193,800
SunGard Data Systems, Inc.+.......................... 13,000 307,125
Technology Solutions Co.+............................ 9,350 292,188
Transaction Systems Architects, Inc., Class A+....... 10,500 406,875
VERITAS Software Corp.+.............................. 30,950 1,284,425
Visio Corp.+......................................... 8,000 294,000
Yahoo!, Inc.+........................................ 5,000 219,063
-----------
11,592,684
-----------
TELECOMMUNICATIONS--3.8%
Comdial Corp.+....................................... 10,000 113,750
ITC DeltaCom, Inc.+.................................. 5,000 96,250
Lucent Technologies, Inc............................. 22,750 1,875,453
MasTec, Inc.+........................................ 10,000 324,375
McLeodUSA, Inc., Class A+............................ 10,700 395,900
Teleport Communications Group Inc., Class A+......... 10,000 482,500
TTI Team Telecom International, Ltd.+................ 39,700 223,313
-----------
3,511,541
-----------
TRANSPORTATION--2.4%
Caliber System, Inc.................................. 15,000 781,875
CNF Transportation, Inc.............................. 5,000 223,125
<CAPTION>
SHARES/WARRANTS/
PRINCIPAL
AMOUNT
(IN VALUE
SECURITY DESCRIPTION THOUSANDS) (NOTE 3)
- --------------------------------------------------------------------------------
<S> <C> <C>
TRANSPORTATION (CONTINUED)
Coach USA, Inc.+..................................... 9,900 $ 294,525
Consolidated Freightways Corp.+...................... 4,000 56,500
Federal Express Corp.+............................... 325 21,694
Heartland Express, Inc.+............................. 9,200 243,800
M.S. Carriers, Inc.+................................. 11,200 280,000
Swift Transportation Co., Inc.+...................... 9,600 304,800
-----------
2,206,319
-----------
TOTAL COMMON STOCK
(cost $70,319,416)................................... 83,926,808
-----------
WARRANTS--0.0%+
REAL ESTATE COMPANIES--0.0%
Security Capital Group, Inc., Class B 9/18/98
(cost $4,486)...................................... 505 2,432
-----------
TOTAL INVESTMENT SECURITIES--90.2%
(cost $70,323,902)............................................. 83,929,240
-----------
SHORT-TERM SECURITIES--2.1%
Federal Home Loan Mortgage Discount Notes
5.65% due 11/03/97
(cost $1,999,372).................................. $ 2,000 1,999,372
-----------
REPURCHASE AGREEMENTS--8.9%
Agreement with State Street Bank and Trust Co.,
bearing 5.55% dated 10/31/97 to be repurchased
11/03/97 in the amount of $5,610,594,
collateralized by $5,670,000 U.S. Treasury Note
6.375%, due 4/30/99 approximate aggregate value
$5,731,234.
(cost $5,608,000) ................................. 5,608 5,608,000
Joint Repurchase Agreement Account (Note 3)
(cost $2,661,000).................................. 2,661 2,661,000
-----------
TOTAL REPURCHASE AGREEMENTS
(cost $8,269,000).................................... 8,269,000
-----------
TOTAL INVESTMENTS--
(cost $80,592,274) .................................. 101.2% 94,197,612
Liabilities in excess of other assets.................. (1.2) (1,127,251)
------- -----------
NET ASSETS-- 100.0% $93,070,361
------- -----------
------- -----------
</TABLE>
- ------------------
+ Non-income producing security
ADR ('American Depositary Receipt')
(1) Security is traded with rights attached
See Notes to Financial Statements
<PAGE>
25
Large-Cap Blend Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK--94.2%
AEROSPACE & MILITARY TECHNOLOGY--1.7%
AlliedSignal, Inc.................................... 6,600 $ 237,600
Boeing Co............................................ 2,000 95,750
Lockheed Martin Corp................................. 800 76,050
-----------
409,400
-----------
AUTOMOTIVE--0.7%
Chrysler Corp........................................ 2,400 84,600
General Motors Corp.................................. 1,500 96,281
-----------
180,881
-----------
BANKS--9.2%
Banc One Corp........................................ 1,300 67,763
Bank of New York Cos., Inc........................... 1,700 80,006
BankAmerica Corp..................................... 2,500 178,750
Bankers Trust New York Corp.......................... 800 94,400
Chase Manhattan Corp................................. 3,500 403,812
Citicorp............................................. 1,700 212,606
First Union Corp..................................... 3,000 147,188
Firstar Corp.(1)..................................... 1,000 36,125
Fleet Financial Group, Inc........................... 1,600 102,900
KeyCorp.............................................. 3,300 201,919
Mellon Bank Corp..................................... 4,900 252,656
National City Corp................................... 700 41,825
Summit Bancorp....................................... 3,000 128,063
Wells Fargo & Co..................................... 1,100 320,512
-----------
2,268,525
-----------
BROADCASTING & MEDIA--3.7%
Eastman Kodak Co..................................... 900 53,888
Gannett Co., Inc..................................... 2,600 136,662
Knight-Ridder, Inc................................... 2,200 114,950
New York Times Co.,
Class A............................................ 5,400 295,650
Readers Digest Association, Inc., Class A............ 2,500 56,875
Readers Digest Association, Inc., Class B............ 2,100 48,825
Reuters Holdings PLC, Class B ADR.................... 2,000 131,000
Vodafone Group PLC ADR............................... 1,400 76,825
-----------
914,675
-----------
BUSINESS SERVICES--1.9%
Cognizant Corp....................................... 2,500 97,969
Gartner Group, Inc., Class A+........................ 4,000 112,500
Newell Co............................................ 1,600 61,400
Service Corp. International.......................... 4,000 121,750
Waste Management, Inc................................ 3,500 81,812
-----------
475,431
-----------
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- --------------------------------------------------------------------------------
<S> <C> <C>
CHEMICALS--2.5%
Dow Chemical Co...................................... 1,100 $ 99,825
du Pont (E.I.) de Nemours & Co....................... 6,500 369,687
IMC Global, Inc...................................... 3,000 101,063
Schulman (A), Inc.................................... 1,900 42,750
-----------
613,325
-----------
COMMUNICATION EQUIPMENT--0.6%
MMC Networks, Inc.+.................................. 3,500 76,562
SBC Communications, Inc.............................. 1,100 69,988
-----------
146,550
-----------
COMPUTERS & BUSINESS EQUIPMENT--3.4%
Compaq Computer Corp................................. 1,500 95,625
Computer Sciences Corp.+............................. 1,500 106,406
Hewlett-Packard Co................................... 2,900 178,894
International Business Machines Corp................. 3,700 362,831
NCR Corp.+........................................... 3,100 93,969
-----------
837,725
-----------
DRUGS--6.2%
Abbott Laboratories, Inc............................. 2,500 153,281
American Home Products
Corp............................................... 3,900 289,087
Amgen, Inc.+......................................... 1,200 59,025
Astra AB ADR......................................... 5,300 84,469
Bristol-Myers Squibb Co.............................. 3,100 272,025
IDEC Pharmaceuticals Corp.+.......................... 2,000 76,250
Merck & Co., Inc..................................... 1,500 133,875
Pfizer, Inc.......................................... 4,500 318,375
Pharmacia & Upjohn, Inc.............................. 2,000 63,500
SmithKline Beecham PLC ADR........................... 1,700 80,963
-----------
1,530,850
-----------
ELECTRIC UTILITIES--3.8%
Dominion Resources, Inc.............................. 800 29,750
DQE, Inc............................................. 1,600 49,500
Duke Energy Corp..................................... 4,200 202,650
Edison International................................. 9,000 230,625
Entergy Corp......................................... 2,200 53,763
GPU, Inc............................................. 3,000 108,562
National Power PLC ADR............................... 3,600 119,700
Niagara Mohawk Power Corp............................ 2,800 27,125
Unicom Corp.......................................... 3,900 109,200
-----------
930,875
-----------
ELECTRICAL EQUIPMENT--2.0%
Honeywell, Inc....................................... 4,500 306,281
</TABLE>
<PAGE>
26
Large-Cap Blend Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- --------------------------------------------------------------------------------
COMMON STOCK (CONTINUED)
<S> <C> <C>
Hubbell, Inc., Class B............................... 4,400 $ 193,875
-----------
500,156
-----------
ELECTRONICS--2.0%
Advanced Micro Devices, Inc.+........................ 3,800 87,400
Emerson Electric Co.................................. 2,000 104,875
LSI Logic Corp.+..................................... 3,700 80,706
Micron Technology, Inc.+............................. 1,800 48,263
Millipore Corp....................................... 1,500 58,687
Motorola, Inc........................................ 2,000 123,500
-----------
503,431
-----------
ENERGY SERVICES--1.1%
ENSCO International, Inc............................. 3,000 126,188
Schlumberger Ltd..................................... 1,600 140,000
-----------
266,188
-----------
ENERGY SOURCES--7.3%
Atlantic Richfield Co................................ 2,700 222,244
British Petroleum Co.
PLC ADS............................................ 2,300 201,825
Burlington Resources, Inc............................ 2,400 117,450
Elf Aquitaine SA ADR................................. 2,000 123,500
Exxon Corp........................................... 2,000 122,875
Halliburton Co....................................... 3,800 226,575
Mobil Corp........................................... 2,600 189,312
Noble Affiliates, Inc................................ 2,200 90,337
Royal Dutch Petroleum Co.--
NY Registry Shares GDR............................. 2,000 105,250
Texaco, Inc.......................................... 4,100 233,444
Unocal Corp.......................................... 1,400 57,750
USX-Marathon Group, Inc.............................. 2,900 103,675
-----------
1,794,237
-----------
ENTERTAINMENT PRODUCTS--1.1%
EMI Group PLC ADR.................................... 6,500 106,438
Mattel, Inc.......................................... 4,000 155,500
-----------
261,938
-----------
FINANCIAL SERVICES--4.7%
American Express Co.................................. 3,100 241,800
Bear Stearns Cos., Inc............................... 1,700 67,469
Beneficial Corp.(1).................................. 700 53,681
ContiFinancial Corp.+................................ 2,000 56,875
Federal National Mortgage Association................ 5,100 247,031
First Data Corp...................................... 1,500 43,594
H&R Block, Inc....................................... 3,200 118,400
Household International, Inc......................... 2,000 226,500
Salomon, Inc......................................... 1,500 116,531
-----------
1,171,881
-----------
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- --------------------------------------------------------------------------------
<S> <C> <C>
FOOD, BEVERAGE & TOBACCO--6.6%
Anheuser-Busch Cos., Inc............................. 1,000 $ 39,938
Brown-Forman Corp., Class B.......................... 700 34,431
Cadbury Schweppes PLC ADR............................ 3,200 130,000
General Mills, Inc................................... 900 59,400
Heineken NV ADR...................................... 600 96,450
Heinz (H.J.) Co...................................... 2,900 134,669
McCormick & Co., Inc................................. 1,300 32,500
Nabisco Holdings Corp.,
Class A............................................ 1,100 45,238
PepsiCo, Inc......................................... 5,500 202,469
Philip Morris Cos., Inc.............................. 10,900 431,912
Ralston-Purina Group................................. 1,000 89,750
RJR Nabisco Holdings Corp............................ 1,800 57,037
Sara Lee Corp........................................ 2,200 112,475
Sysco Corp........................................... 2,000 80,000
UST, Inc............................................. 3,000 89,812
-----------
1,636,081
-----------
FOREST PRODUCTS--2.0%
Bowater, Inc......................................... 2,500 104,531
Champion International Corp.......................... 1,500 82,781
Fort James Corp...................................... 2,900 115,094
Georgia-Pacific Corp................................. 1,200 101,775
Owens-Illinois, Inc.+................................ 3,000 103,500
-----------
507,681
-----------
GAS & PIPELINE UTILITIES--0.5%
Enron Corp........................................... 3,000 114,000
-----------
HOUSEHOLD PRODUCTS--3.3%
Gillette Co.......................................... 1,500 133,594
International Flavors & Fragrances, Inc.............. 500 24,187
Kimberly-Clark Corp.................................. 3,300 171,394
Procter & Gamble Co.................................. 3,200 217,600
Sola International, Inc.+............................ 3,000 102,375
Tupperware Corp...................................... 1,100 27,569
Warner-Lambert Co.................................... 900 128,869
-----------
805,588
-----------
HOUSING--0.7%
American Standard Cos., Inc.+........................ 1,700 60,775
Home Depot, Inc...................................... 2,000 111,250
-----------
172,025
-----------
INSURANCE--5.4%
Aetna, Inc........................................... 1,500 106,594
Allstate Corp........................................ 2,800 232,225
American General Corp................................ 1,700 86,700
Chubb Corp........................................... 2,000 132,500
EXEL Ltd............................................. 900 54,394
Hartford Financial Services, Inc..................... 1,800 145,800
</TABLE>
<PAGE>
27
Large-Cap Blend Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- --------------------------------------------------------------------------------
INSURANCE (CONTINUED)
<S> <C> <C>
St. Paul Co., Inc.................................... 1,700 $ 135,894
Travelers Group, Inc................................. 3,100 217,000
Travelers Property Casualty Corp., Class A........... 2,100 75,862
UNUM Corp............................................ 1,300 63,375
Willis Corroon Group
PLC ADR............................................ 7,100 76,769
-----------
1,327,113
-----------
LEISURE & TOURISM--2.0%
Brunswick Corp....................................... 3,500 118,125
Host Marriott Corp.+................................. 2,300 48,013
McDonald's Corp...................................... 5,300 237,506
UAL Corp.+........................................... 1,100 96,387
-----------
500,031
-----------
MACHINERY--0.6%
Deere & Co........................................... 2,700 142,088
-----------
MEDICAL PRODUCTS--2.0%
Baxter International, Inc............................ 2,000 92,500
Johnson & Johnson Co................................. 3,700 212,288
Pall Corp............................................ 4,100 84,819
Smith & Nephew PLC................................... 17,000 49,485
St. Jude Medical, Inc.+.............................. 1,900 57,594
-----------
496,686
-----------
METALS & MINERALS--1.6%
Aluminum Co. of America.............................. 1,000 73,000
Great Lakes Chemical Corp............................ 2,800 131,600
Newmont Mining Corp.................................. 2,400 84,000
Nucor Corp........................................... 600 31,350
Reynolds Metals Co................................... 1,100 67,031
-----------
386,981
-----------
MULTI-INDUSTRY--2.7%
Cooper Industries, Inc............................... 1,400 72,975
Corning, Inc......................................... 5,100 230,137
FMC Corp............................................. 600 48,488
General Electric Co.................................. 4,600 296,987
Tomkins PLC.......................................... 5,000 25,670
-----------
674,257
-----------
REAL ESTATE COMPANIES--0.2%
Rouse Co............................................. 1,600 44,400
-----------
REAL ESTATE INVESTMENT TRUSTS--1.6%
Federal Realty Investment Trust...................... 1,600 40,500
Imperial Credit Commercial Mortgage Investment
Corp............................................... 5,500 90,062
Patriot American Hospitality, Inc.................... 2,300 75,900
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- --------------------------------------------------------------------------------
<S> <C> <C>
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
Reckson Associates Realty Corp....................... 1,400 $ 36,663
Security Capital Industrial Trust.................... 900 22,106
Simon De Bartolo Group, Inc.......................... 2,400 74,250
Spieker Properties, Inc.............................. 200 7,825
United Dominion Realty Trust, Inc.................... 2,800 38,850
-----------
386,156
-----------
RETAIL--5.8%
American Stores Co................................... 7,000 179,813
CVS Corp............................................. 2,000 122,625
Dayton Hudson Corp................................... 1,900 119,344
Federated Department Stores, Inc.+................... 3,200 140,800
Limited, Inc......................................... 1,500 35,344
Lowe's Co., Inc...................................... 2,200 91,575
Office Depot, Inc.+.................................. 2,000 41,250
Penney (J.C.), Inc................................... 3,800 223,012
Safeway, Inc.+....................................... 1,800 104,625
Sears, Roebuck & Co.................................. 2,700 113,063
Wal-Mart Stores, Inc................................. 7,500 263,437
-----------
1,434,888
-----------
SOFTWARE--1.8%
Cisco Systems, Inc.+................................. 1,500 123,000
Electronic Data Systems Corp.+....................... 2,900 112,194
Microsoft Corp.+..................................... 1,000 129,875
Novell, Inc.+........................................ 8,000 67,000
TJX Cos., Inc........................................ 200 5,925
-----------
437,994
-----------
TELECOMMUNICATIONS--0.5%
Lucent Technologies, Inc............................. 1,500 123,656
-----------
TELEPHONE--3.9%
Ameritech Corp....................................... 2,400 156,000
AT&T Corp............................................ 5,100 249,581
Bell Atlantic Corp................................... 3,800 303,525
BellSouth Corp....................................... 400 18,925
Frontier Corp........................................ 4,600 99,475
GTE Corp............................................. 3,200 135,800
-----------
963,306
-----------
TRANSPORTATION--1.1%
Burlington Northern Santa Fe......................... 2,900 275,500
-----------
TOTAL INVESTMENT SECURITIES (cost $24,276,499)......... 23,234,499
-----------
</TABLE>
<PAGE>
28
Large-Cap Blend Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
(IN VALUE
SECURITY DESCRIPTION THOUSANDS) (NOTE 3)
- --------------------------------------------------------------------------------
SHORT-TERM SECURITIES--3.3%
<S> <C> <C>
Schering Corp. 5.52% due 11/4/97..................... $ 255 $ 254,883
Student Loan Marketing Association Discount Note
5.48% due 11/12/97................................. 558 557,065
-----------
TOTAL SHORT-TERM SECURITIES (cost $811,948)............ 811,948
-----------
<CAPTION>
PRINCIPAL
AMOUNT
(IN VALUE
SECURITY DESCRIPTION THOUSANDS) (NOTE 3)
- --------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS--2.3%
Agreement with State Street Bank and Trust Co.,
bearing 5.55%, dated 10/31/97 to be repurchased
11/03/97 in the amount of $307,142, collateralized
by $290,000 U.S. Treasury Note 7.50%, due 11/15/01
approximate aggregate value $318,105 (cost
$307,000).......................................... $ 307 $ 307,000
Joint Repurchase Agreement Account (Note 3) (cost
$273,000).......................................... 273 273,000
-----------
TOTAL REPURCHASE AGREEMENTS (cost $580,000)............ 580,000
-----------
TOTAL INVESTMENTS-- (cost $25,668,447)................. 99.8% 24,626,447
Other assets less liabilities.......................... 0.2 50,533
------- -----------
NET ASSETS-- 100.0% $24,676,980
------- -----------
------- -----------
</TABLE>
- ------------------
+ Non-income producing security
ADR ('American Depositary Receipt')
ADS ('American Depositary Shares')
GDR ('Global Depositary Receipt')
(1) Security is traded with rights attached
See Notes to Financial Statements
<PAGE>
29
Large-Cap Value Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK--91.7%
AEROSPACE & MILITARY TECHNOLOGY--3.7%
Boeing Co.......................................... 7,500 $ 359,062
Goodrich (B.F.) Co................................. 1,800 80,212
Gulfstream Aerospace Corp.+........................ 1,500 43,500
Lockheed Martin Corp............................... 1,500 142,594
Northrop Grumman Corp.............................. 1,500 163,875
Precision Castparts Corp.(1)....................... 2,000 117,625
-----------
906,868
-----------
APPAREL & TEXTILES--1.4%
Nike, Inc., Class B................................ 2,200 103,400
Reebok International Ltd.+......................... 4,400 162,250
Tommy Hilfiger Corp.+.............................. 1,900 75,169
-----------
340,819
-----------
AUTOMOTIVE--1.7%
Dana Corp.......................................... 3,800 177,888
Goodyear Tire & Rubber Co.......................... 3,800 237,975
-----------
415,863
-----------
BANKS--9.5%
Banc One Corp...................................... 2,000 104,250
BankAmerica Corp................................... 4,300 307,450
Chase Manhattan Corp............................... 2,300 265,362
Citicorp........................................... 2,300 287,644
Coast Savings Financial, Inc.+..................... 1,400 82,162
First Union Corp................................... 2,000 98,125
Golden West Financial Corp......................... 500 43,375
National City Corp................................. 5,300 316,675
State Street Corp.................................. 1,200 66,900
TCF Financial Corp................................. 300 17,063
U.S. Bancorp....................................... 2,900 294,894
Wells Fargo & Co................................... 1,600 466,200
-----------
2,350,100
-----------
BROADCASTING & MEDIA--1.4%
360 Communications Co.+............................ 2,200 46,475
Eastman Kodak Co................................... 2,300 137,712
Gannett Co., Inc................................... 1,400 73,588
News Corp., Ltd. ADR............................... 3,300 58,575
Tribune Co.(1)..................................... 700 38,588
-----------
354,938
-----------
BUSINESS SERVICES--0.8%
Crescent Operating, Inc.+.......................... 300 6,975
Safety-Kleen Corp.................................. 8,800 194,700
-----------
201,675
-----------
CHEMICALS--2.7%
Air Products & Chemicals, Inc...................... 2,300 174,800
du Pont (E.I.) de Nemours & Co..................... 3,500 199,063
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- --------------------------------------------------------------------------------
<S> <C> <C>
CHEMICALS (CONTINUED)
Ferro Corp......................................... 1,500 $ 56,156
Millenium Chemicals, Inc........................... 4,300 101,050
Nalco Chemical Co.................................. 3,200 128,000
-----------
659,069
-----------
COMMUNICATION EQUIPMENT--1.4%
AirTouch Communications, Inc.+..................... 3,000 115,875
Loral Space & Communications Corp.+................ 600 12,600
Qwest Communications International, Inc.+.......... 1,000 61,750
SBC Communications, Inc............................ 2,300 146,338
-----------
336,563
-----------
COMPUTERS & BUSINESS EQUIPMENT--6.2%
Apple Computer, Inc.+.............................. 9,000 153,000
Harris Corp........................................ 1,200 52,350
Hewlett-Packard Co................................. 4,400 271,425
International Business Machines Corp............... 6,600 647,212
Wallace Computer Services, Inc..................... 5,600 215,250
Xerox Corp......................................... 2,400 190,350
-----------
1,529,587
-----------
DRUGS--2.1%
Bristol-Myers Squibb Co............................ 400 35,100
Lilly (Eli) & Co................................... 400 26,750
Merck & Co., Inc................................... 200 17,850
Novartis AG ADR.................................... 900 70,200
Pfizer, Inc........................................ 1,400 99,050
Pharmacia & Upjohn, Inc............................ 3,600 114,300
SmithKline Beecham PLC ADR......................... 3,300 157,163
-----------
520,413
-----------
ELECTRIC UTILITIES--3.2%
Central & South West Corp.......................... 3,000 64,687
Duke Energy Corp................................... 1,700 82,025
GPU, Inc........................................... 2,500 90,469
Illinova Corp...................................... 9,700 215,825
New England Electric Systems....................... 1,700 66,619
Southern Co........................................ 3,600 82,575
Texas Utilities Co................................. 5,600 200,900
-----------
803,100
-----------
ELECTRICAL EQUIPMENT--0.1%
Molex, Inc......................................... 500 18,750
-----------
ELECTRONICS--1.7%
Intel Corp......................................... 1,400 107,800
</TABLE>
<PAGE>
30
Large-Cap Value Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- --------------------------------------------------------------------------------
COMMON STOCK (CONTINUED)
<S> <C> <C>
ELECTRONICS (CONTINUED)
Motorola, Inc...................................... 1,500 $ 92,625
Novellus Systems, Inc.+............................ 1,400 62,125
Texas Instruments, Inc............................. 1,500 160,031
-----------
422,581
-----------
ENERGY SERVICES--2.8%
Cooper Cameron Corp.+.............................. 1,400 101,150
EVI, Inc.+......................................... 1,200 77,025
Halliburton Co..................................... 3,700 220,612
Nabors Industries, Inc.+........................... 300 12,338
Noble Drilling Corp.+.............................. 5,000 177,812
Schlumberger Ltd................................... 1,100 96,250
-----------
685,187
-----------
ENERGY SOURCES--5.2%
Amoco Corp......................................... 900 82,519
Atlantic Richfield Co.............................. 2,400 197,550
British Petroleum Co. PLC ADS...................... 600 52,650
Burlington Resources, Inc.......................... 2,100 102,769
Chevron Corp....................................... 1,000 82,937
Enron Oil & Gas Co................................. 3,400 71,613
Exxon Corp......................................... 200 12,288
Noble Affiliates, Inc.............................. 1,600 65,700
Royal Dutch Petroleum Co. NY-Registry Shares GDR... 3,600 189,450
Texaco, Inc........................................ 1,500 85,406
Tosco Corp......................................... 900 29,700
Union Texas Petroleum Holdings, Inc................ 5,000 113,750
USX-Marathon Group, Inc............................ 5,800 207,350
-----------
1,293,682
-----------
FINANCIAL SERVICES--6.7%
American Express Co................................ 5,500 429,000
Donaldson, Lufkin & Jenrette, Inc.................. 800 56,200
Federal Home Loan Mortgage Corp.................... 2,500 94,687
Federal National Mortgage Association.............. 1,800 87,188
Morgan (J.P.) & Co., Inc........................... 600 65,850
Morgan Stanley, Dean Witter, Discover & Co......... 5,400 264,600
Ryder System, Inc.................................. 2,300 80,500
Salomon, Inc....................................... 2,700 209,756
SLM Holding Corp................................... 1,200 168,450
Student Loan Corp.................................. 4,000 196,750
-----------
1,652,981
-----------
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- --------------------------------------------------------------------------------
<S> <C> <C>
FOOD, BEVERAGE & TOBACCO--3.8%
Archer-Daniels-Midland Co.......................... 9,800 $ 218,050
Coca-Cola Co....................................... 100 5,650
Flowers Industries, Inc............................ 5,900 112,100
Grand Metropolitan PLC ADR......................... 5,000 186,875
Nestle SA ADR...................................... 2,200 154,000
Philip Morris Cos., Inc............................ 4,200 166,425
Tyson Foods, Inc., Class A......................... 2,000 37,750
Universal Corp..................................... 1,500 57,656
-----------
938,506
-----------
FOREST PRODUCTS--2.9%
Mead Corp.......................................... 2,200 133,100
Potlatch Corp...................................... 4,000 199,500
Sonoco Products Co................................. 1,500 48,281
Weyerhaeuser Co.................................... 3,500 167,125
Willamette Industries, Inc.(1)..................... 5,200 171,925
-----------
719,931
-----------
GAS & PIPELINE UTILITIES--0.7%
Equitable Resources, Inc........................... 2,400 76,350
MCN Corp........................................... 2,800 96,950
-----------
173,300
-----------
HEALTH SERVICES--2.3%
Columbia/HCA Healthcare Corp....................... 4,300 121,475
Tenet Healthcare Corp.+............................ 6,600 201,712
United Healthcare Corp............................. 3,900 180,619
Wellpoint Health Networks, Inc., Class A+.......... 1,500 68,625
-----------
572,431
-----------
HOUSEHOLD PRODUCTS--0.4%
Kimberly-Clark Corp................................ 1,700 88,294
-----------
HOUSING--0.7%
Masco Corp......................................... 3,800 166,725
-----------
INSURANCE--10.0%
20th Century Industries............................ 1,100 27,500
Aetna, Inc......................................... 3,600 255,825
Allstate Corp...................................... 7,400 613,737
American International Group, Inc.................. 500 51,031
Berkley (W.R.) Corp................................ 1,500 60,938
Chubb Corp......................................... 3,600 238,500
Frontier Insurance Group, Inc...................... 500 16,844
General Re Corp.................................... 2,300 453,531
Progressive Corp................................... 700 72,975
Transamerica Corp.................................. 2,000 201,875
Transatlantic Holdings, Inc........................ 1,100 76,106
Travelers Group, Inc............................... 5,500 385,000
</TABLE>
<PAGE>
31
Large-Cap Value Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- --------------------------------------------------------------------------------
COMMON STOCK (CONTINUED)
<S> <C> <C>
INSURANCE (CONTINUED)
UNUM Corp.......................................... 400 $ 19,500
-----------
2,473,362
-----------
INVESTMENT COMPANIES--0.1%
Morgan Stanley Asia-Pacific Fund................... 3,500 28,219
-----------
LEISURE & TOURISM--2.5%
Brunswick Corp..................................... 4,000 135,000
Delta Air Lines, Inc............................... 900 90,675
KLM Royal Dutch Air Lines NV....................... 5,400 184,275
McDonald's Corp.................................... 4,900 219,581
-----------
629,531
-----------
MACHINERY--1.8%
Cincinnati Milacron, Inc........................... 1,800 49,950
Deere & Co......................................... 3,800 199,975
Kennametal, Inc.................................... 800 38,800
New Holland N.V.................................... 2,200 62,563
Smith International, Inc.+......................... 1,400 106,750
-----------
458,038
-----------
MEDICAL PRODUCTS--0.8%
Baxter International, Inc.......................... 2,000 92,500
Johnson & Johnson Co............................... 400 22,950
Mallinckrodt, Inc.................................. 2,300 86,250
-----------
201,700
-----------
METALS & MINERALS--2.5%
Alcan Aluminium Ltd. .............................. 3,300 94,256
Aluminum Co. of America............................ 4,100 299,300
Hanson PLC ADR..................................... 4,000 102,000
Martin Marietta Materials, Inc..................... 3,400 118,575
-----------
614,131
-----------
MULTI-INDUSTRY--0.3%
Cooper Industries, Inc............................. 1,500 78,188
General Electric Co................................ 100 6,456
-----------
84,644
-----------
REAL ESTATE COMPANIES--0.2%
Rouse Co........................................... 1,700 47,175
-----------
REAL ESTATE INVESTMENT TRUSTS--1.0%
Crescent Real Estate Equities Co................... 3,300 118,800
Federal Realty Investment Trust.................... 400 10,125
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- --------------------------------------------------------------------------------
<S> <C> <C>
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
General Growth Properties, Inc..................... 1,500 $ 51,750
Kimco Realty Corp.................................. 100 3,200
Saul Centers, Inc.................................. 200 3,525
United Dominion Realty Trust, Inc.................. 400 5,550
Vornado Realty Trust............................... 1,200 53,550
Weingarten Realty Investors........................ 100 3,981
-----------
250,481
-----------
RETAIL--6.2%
Harcourt General, Inc.............................. 5,000 250,312
Kmart Corp.+....................................... 14,600 192,538
Limited, Inc....................................... 8,600 202,637
May Department Stores Co........................... 2,200 118,525
Penney (J.C.), Inc................................. 5,500 322,781
Sears, Roebuck & Co................................ 3,800 159,125
The Sports Authority, Inc.+........................ 4,200 79,538
Toys 'R' Us, Inc.+................................. 3,700 126,031
Wal-Mart Stores, Inc............................... 2,400 84,300
-----------
1,535,787
-----------
SOFTWARE--0.2%
Sun Microsystems, Inc.+............................ 1,100 37,606
-----------
TELECOMMUNICATIONS--0.0%
Globalstar Telecommunications Ltd.+................ 200 9,250
-----------
TELEPHONE--1.3%
AT&T Corp.......................................... 4,600 225,112
Bell Atlantic Corp................................. 1,300 103,838
-----------
328,950
-----------
TRANSPORTATION--3.4%
Burlington Northern Santa Fe....................... 2,000 190,000
Canadian National Railway Co....................... 1,100 59,331
CSX Corp........................................... 2,200 120,313
Illinois Central Corp.............................. 1,600 57,000
Overseas Shipholding Group, Inc.................... 8,000 198,000
Union Pacific Corp................................. 3,400 208,250
-----------
832,894
-----------
TOTAL COMMON STOCK
(cost $24,017,971)............................................. 22,683,131
-----------
</TABLE>
<PAGE>
32
Large-Cap Value Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
SHARES/
PRINCIPAL
AMOUNT
(IN VALUE
SECURITY DESCRIPTION THOUSANDS) (NOTE 3)
- --------------------------------------------------------------------------------
PREFERRED STOCK--0.1%
<S> <C> <C>
COMMUNICATION EQUIPMENT--0.0%
AirTouch Communications, Inc. Series C 4.25%......... 200 $ 12,000
-----------
FINANCIAL SERVICES--0.1%
Devon Financing Trust 6.50%........................ 200 16,362
-----------
TOTAL PREFERRED STOCK
(cost $28,987)..................................... 28,362
-----------
BONDS & NOTES--0.0%
COMPUTERS & BUSINESS EQUIPMENT--0.0%
Hewlett-Packard Co.
zero coupon due 10/14/17 (cost $2,875)........... 5,000 2,544
-----------
TOTAL INVESTMENT SECURITIES--91.8%
(cost $24,049,833)................................. 22,714,037
-----------
SHORT-TERM SECURITIES--5.1%
Cayman Island Time Deposit with State Street Bank
and Trust Co.
3.00% due 11/03/97............................... $ 406 406,000
Federal National Mortgage Association Discount
Notes
5.48% due 11/05/97............................... 845 844,485
-----------
TOTAL SHORT-TERM SECURITIES
(cost $1,250,485).................................. 1,250,485
-----------
<CAPTION>
PRINCIPAL
AMOUNT
(IN VALUE
SECURITY DESCRIPTION THOUSANDS) (NOTE 3)
- --------------------------------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT--0.5%
Joint Repurchase Agreement Account (Note 3)
(cost $130,000).................................. $ 130 $ 130,000
-----------
TOTAL INVESTMENTS-- (cost $25,430,318)............... 97.4% 24,094,522
Other assets less liabilities........................ 2.6 642,828
--------- -----------
NET ASSETS-- 100.0% $24,737,350
--------- -----------
--------- -----------
</TABLE>
- ------------------
+ Non-income producing security
ADR ('American Depositary Receipt')
ADS ('American Depositary Shares')
GDR ('Global Depositary Receipt')
(1) Security is traded with rights attached
See Notes to Financial Statements
<PAGE>
33
Value Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK--93.2%
AEROSPACE & MILITARY TECHNOLOGY--0.8%
Boeing Co.......................................... 22,000 $ 1,053,250
------------
APPAREL & TEXTILES--1.6%
Burlington Industries, Inc.+....................... 53,300 796,169
Gucci Group NV-NY Registry Shares.................. 13,800 501,975
Nike, Inc., Class B................................ 17,800 836,600
------------
2,134,744
------------
AUTOMOTIVE--5.6%
Borg-Warner Automotive, Inc........................ 13,200 719,400
Chrysler Corp...................................... 30,500 1,075,125
Cummins Engine Co., Inc............................ 25,300 1,553,906
Ford Motor Co...................................... 16,250 709,922
General Motors Corp................................ 11,550 741,366
Goodyear Tire & Rubber Co.......................... 23,700 1,484,212
Lear Corp.+........................................ 10,100 485,431
PACCAR, Inc........................................ 19,800 891,000
------------
7,660,362
------------
BANKS--8.1%
Banc One Corp...................................... 11,100 578,588
BankAmerica Corp................................... 15,900 1,136,850
Barnett Banks, Inc................................. 100 6,900
Chase Manhattan Corp............................... 6,400 738,400
Citicorp........................................... 19,800 2,476,237
First Union Corp................................... 1,300 63,781
Golden West Financial Corp......................... 2,800 242,900
KeyCorp............................................ 13,400 819,913
Mellon Bank Corp................................... 17,300 892,031
National Bank of Canada............................ 50,400 715,223
Northern Trust Corp................................ 13,100 763,894
State Street Corp.................................. 6,400 356,800
TCF Financial Corp................................. 1,600 91,000
U.S. Bancorp....................................... 5,100 518,606
Wells Fargo & Co................................... 5,200 1,515,150
------------
10,916,273
------------
BROADCASTING & MEDIA--2.3%
360 Communications Co.+............................ 11,400 240,825
Comcast Corp., Class A............................. 32,500 889,687
Donnelley(RR) & Sons Co............................ 13,300 433,912
Gannett Co., Inc................................... 7,400 388,963
Knight-Ridder, Inc................................. 6,100 318,725
Scripps (E.W) Co., Class A......................... 16,700 700,356
Tribune Co.(1)..................................... 3,300 181,913
------------
3,154,381
------------
BUSINESS SERVICES--2.1%
ACNielson Corp.+................................... 16,500 377,438
Crescent Operating, Inc.+.......................... 1,470 34,178
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -------------------------------------------------------------------------------
<S> <C> <C>
BUSINESS SERVICES (CONTINUED)
Federal Express Corp.+............................. 13,350 $ 891,112
Owens Corning Co................................... 20,050 686,712
Philip Services Corp.+............................. 51,900 908,250
Waste Management, Inc.............................. 100 2,338
------------
2,900,028
------------
CHEMICALS--3.9%
Cabot Corp......................................... 36,500 896,531
Cyprus Amax Minerals Co............................ 35,800 749,563
du Pont (E.I.) de Nemours & Co..................... 16,000 910,000
Morton International, Inc.......................... 15,700 518,100
Praxair, Inc....................................... 21,000 914,812
Raychem Corp....................................... 7,500 679,219
W.R. Grace & Co.................................... 8,500 578,000
------------
5,246,225
------------
COMMUNICATION EQUIPMENT--2.0%
AirTouch Communications, Inc.+..................... 32,400 1,251,450
Loral Space & Communications Corp.+................ 2,400 50,400
Qwest Communications International, Inc.+.......... 5,200 321,100
SBC Communications, Inc............................ 11,750 747,594
Seagate Technology, Inc.+.......................... 11,800 320,075
------------
2,690,619
------------
COMPUTERS & BUSINESS EQUIPMENT--3.2%
Cabletron Systems, Inc.+........................... 12,100 350,900
Hewlett-Packard Co................................. 24,100 1,486,669
International Business Machines Corp............... 16,500 1,618,031
Komag, Inc.+....................................... 22,800 391,875
Western Digital Corp.+(1).......................... 17,200 514,925
------------
4,362,400
------------
DRUGS--3.2%
Alza Corp.+........................................ 15,400 401,362
American Home Products Corp........................ 100 7,413
Amgen, Inc.+....................................... 14,200 698,462
Biogen, Inc.+...................................... 17,800 591,850
Bristol-Myers Squibb Co............................ 2,000 175,500
Crescendo Pharmaceuticals Corp.+................... 770 8,663
Lilly (Eli) & Co................................... 2,200 147,125
Merck & Co., Inc................................... 800 71,400
Novartis AG ADR.................................... 10,859 842,299
Pfizer, Inc........................................ 7,400 523,550
SmithKline Beecham PLC ADR......................... 17,800 847,725
------------
4,315,349
------------
</TABLE>
<PAGE>
34
Value Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -------------------------------------------------------------------------------
COMMON STOCK (CONTINUED)
<S> <C> <C>
ELECTRIC UTILITIES--1.4%
Duke Energy Corp................................... 100 $ 4,825
Edison International............................... 100 2,562
Northeast Utilities+............................... 88,900 1,022,350
Southern Co........................................ 100 2,294
Western Resources, Inc............................. 22,400 834,400
------------
1,866,431
------------
ELECTRICAL EQUIPMENT--0.8%
Harman International Industries, Inc.+............. 18,400 993,600
Molex, Inc......................................... 2,250 84,375
------------
1,077,975
------------
ELECTRONICS--5.6%
Arrow Electronics, Inc.+........................... 29,800 845,575
Avnet, Inc......................................... 11,750 739,516
Intel Corp......................................... 7,800 600,600
Lam Research Corp.+................................ 11,800 424,800
LSI Logic Corp.+................................... 24,300 530,044
Micron Technology, Inc.+........................... 17,300 463,856
Millipore Corp..................................... 12,700 496,888
Motorola, Inc...................................... 9,400 580,450
Novellus Systems, Inc.+............................ 7,200 319,500
Philips Electronics NV-
NY Shares........................................ 9,350 732,806
Tektronix, Inc..................................... 16,200 638,550
Texas Instruments, Inc............................. 11,400 1,216,237
------------
7,588,822
------------
ENERGY SERVICES--3.7%
Amerada Hess Corp.+................................ 100 6,144
Cooper Cameron Corp.+.............................. 7,400 534,650
EVI, Inc.+......................................... 6,600 423,638
Gulf Canada Resources Ltd.+........................ 55,600 465,650
Halliburton Co..................................... 20,100 1,198,462
Nabors Industries, Inc.+........................... 1,500 61,688
Reading & Bates Corp.+............................. 24,900 1,055,137
Schlumberger Ltd................................... 5,800 507,500
YPF Sociedad Anonima, Class D ADR.................. 21,950 702,400
------------
4,955,269
------------
ENERGY SOURCES--4.6%
Atlantic Richfield Co.............................. 11,400 938,362
British Petroleum Co. PLC ADS...................... 3,100 272,025
Burlington Resources, Inc.......................... 13,000 636,188
Chevron Corp....................................... 200 16,588
Exxon Corp......................................... 700 43,006
Noble Affiliates, Inc.............................. 19,800 813,037
Phillips Petroleum Co.............................. 14,400 696,600
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -------------------------------------------------------------------------------
<S> <C> <C>
ENERGY SOURCES (CONTINUED)
Repsol SA ADR...................................... 19,900 $ 845,750
Sonat, Inc......................................... 100 4,594
Tosco Corp......................................... 4,700 155,100
Triton Energy Ltd.+................................ 6,500 254,313
Ultramar Diamond Shamrock Corp..................... 26,700 824,362
Union Pacific Resources Group, Inc................. 28,200 694,425
------------
6,194,350
------------
FINANCIAL SERVICES--4.8%
American Express Co................................ 17,100 1,333,800
Capital One Financial Corp......................... 11,400 520,125
Countrywide Credit Industries, Inc................. 16,400 562,725
Donaldson, Lufkin & Jenrette, Inc.................. 4,100 288,025
Federal Home Loan Mortgage Corp.................... 13,300 503,737
Kansas City Southern
Industries, Inc.................................. 12,300 375,150
Morgan (J.P.) & Co., Inc........................... 3,200 351,200
Morgan Stanley, Dean Witter, Discover & Co......... 34,502 1,690,598
Paine Webber Group, Inc............................ 18,100 799,794
Salomon, Inc....................................... 1,400 108,762
------------
6,533,916
------------
FOOD, BEVERAGE & TOBACCO--4.5%
Anheuser-Busch Cos., Inc........................... 15,100 603,056
Archer-Daniels-Midland Co.......................... 24,055 535,224
Coca-Cola Co....................................... 500 28,250
Gallaher Group PLC................................. 200 3,837
IBP, Inc........................................... 55,850 1,295,022
Nestle SA ADR...................................... 11,800 833,630
Philip Morris Cos., Inc............................ 43,700 1,731,612
Tyson Foods, Inc., Class A......................... 10,800 203,850
UST, Inc........................................... 28,900 865,194
------------
6,099,675
------------
FOREST PRODUCTS--2.8%
Asia Pulp & Paper Ltd. ADR+........................ 49,500 563,063
International Paper Co............................. 100 4,500
Mead Corp.......................................... 7,900 477,950
Owens Illinois, Inc.+.............................. 20,200 696,900
Temple-Inland, Inc................................. 7,400 424,575
Union Camp Corp.................................... 13,800 747,787
Weyerhaeuser Co.................................... 17,400 830,850
------------
3,745,625
------------
</TABLE>
<PAGE>
35
Value Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -------------------------------------------------------------------------------
COMMON STOCK (CONTINUED)
<S> <C> <C>
HEALTH SERVICES--0.7%
Columbia/HCA Healthcare Corp....................... 33,100 $ 935,075
------------
HOUSEHOLD PRODUCTS--0.4%
Singer Co., Inc.+.................................. 40,100 543,856
------------
HOUSING--1.9%
Armstrong World Industries, Inc. 13,300 885,281
Champion Enterprises, Inc.+........................ 43,500 763,969
Masco Corp......................................... 21,100 925,763
Maytag Corp........................................ 200 6,675
------------
2,581,688
------------
INSURANCE--8.3%
20th Century Industries............................ 5,900 147,500
Allstate Corp...................................... 13,300 1,103,069
American International Group, Inc.................. 2,450 250,053
Berkley (W.R.) Corp................................ 25,700 1,044,062
Chubb Corp......................................... 7,000 463,750
EXEL Ltd........................................... 11,500 695,031
General Re Corp.................................... 7,200 1,419,750
LaSalle Re Holdings Ltd............................ 20,900 700,150
Old Republic International Corp.................... 21,400 765,050
PartnerRe Ltd...................................... 34,400 1,410,400
Progressive Corp................................... 15,800 1,647,150
Transatlantic Holdings, Inc........................ 5,700 394,369
Travelers Group, Inc............................... 15,600 1,092,000
UNUM Corp.......................................... 2,400 117,000
------------
11,249,334
------------
INVESTMENT COMPANIES--0.1%
Morgan Stanley Asia-Pacific Fund 16,700 134,644
------------
LEISURE & TOURISM--4.2%
Continental Airlines, Inc., Class B+............... 13,400 579,550
Delta Air Lines, Inc............................... 8,200 826,150
Host Marriott Corp.+............................... 37,300 778,638
La Quinta Inns, Inc................................ 18,000 321,750
McDonald's Corp.................................... 42,200 1,891,087
Mirage Resorts, Inc.+.............................. 19,900 497,500
Southwest Airlines Co.............................. 25,500 831,937
------------
5,726,612
------------
MACHINERY--1.7%
Harnischfeger Industries, Inc...................... 20,700 815,062
New Holland N.V.................................... 31,350 891,516
Smith International, Inc.+......................... 7,700 587,125
------------
2,293,703
------------
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -------------------------------------------------------------------------------
<S> <C> <C>
MEDICAL PRODUCTS--0.1%
Johnson & Johnson Co............................... 1,900 $ 109,013
------------
METALS & MINERALS--4.6%
AK Steel Holding Corp.............................. 14,900 627,663
Carpenter Technology Corp.......................... 14,950 723,206
Cleveland-Cliffs, Inc.............................. 18,600 807,937
Crown, Cork & Seal Co., Inc........................ 23,700 1,067,981
Lafarge Corp....................................... 25,900 786,713
Martin Marietta Materials, Inc..................... 12,400 432,450
Southdown, Inc..................................... 15,150 838,931
UCAR International, Inc.+.......................... 23,700 888,750
------------
6,173,631
------------
MULTI-INDUSTRY--0.7%
Corning, Inc....................................... 9,200 415,150
Fortune Brands, Inc................................ 200 6,612
General Electric Co................................ 400 25,825
Tenneco, Inc....................................... 10,100 453,869
------------
901,456
------------
REAL ESTATE COMPANIES--0.2%
Rouse Co........................................... 10,200 283,050
------------
REAL ESTATE INVESTMENT TRUSTS--1.0%
Crescent Real Estate Equities Co................... 18,000 648,000
Federal Realty Investment
Trust............................................ 1,400 35,438
General Growth Properties, Inc..................... 8,800 303,600
Kimco Realty Corp.................................. 300 9,600
Saul Centers, Inc.................................. 800 14,100
United Dominion Realty Trust, Inc.................. 1,500 20,813
Vornado Realty Trust............................... 6,500 290,062
Weingarten Realty Investors........................ 500 19,906
------------
1,341,519
------------
RETAIL--3.1%
Costco Cos., Inc.+................................. 21,100 807,075
Harcourt General, Inc.............................. 23,900 1,196,494
May Department Stores Co........................... 16,250 875,469
TJX Cos., Inc...................................... 20,500 607,312
Wal-Mart Stores, Inc............................... 19,400 681,425
------------
4,167,775
------------
SOFTWARE--2.0%
Adobe Systems, Inc................................. 10,500 500,062
Autodesk, Inc...................................... 8,100 298,688
Electronic Data Systems Corp.+ . 23,400 905,287
Siebel Systems, Inc.+.............................. 35 1,400
Storage Technology Corp.+.......................... 16,500 968,344
------------
2,673,781
------------
</TABLE>
<PAGE>
36
Value Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -------------------------------------------------------------------------------
COMMON STOCK (CONTINUED)
<S> <C> <C>
TELECOMMUNICATIONS--0.0%
Globalstar Telecommunications Ltd.+................ 622 $ 28,768
------------
TELEPHONE--0.6%
GTE Corp........................................... 20,000 848,750
------------
TRANSPORTATION--2.6%
Burlington Northern Santa Fe....................... 28,050 2,664,750
Illinois Central Corp.............................. 8,300 295,688
Union Pacific Corp................................. 10,100 618,625
------------
3,579,063
------------
TOTAL COMMON STOCK
(cost $115,364,588)................................ 126,067,412
------------
PREFERRED STOCK--0.1%
BANKS--0.0%
Banc One Corp. Series C 3.50%...................... 200 19,875
------------
COMMUNICATION EQUIPMENT--0.0%
AirTouch Communications, Inc. Series C 4.25%....... 900 54,000
------------
FINANCIAL SERVICES--0.1%
Devon Financing Trust 6.50%........................ 1,000 81,813
------------
REAL ESTATE COMPANIES--0.0%
Rouse Co. Series B 3.00%........................... 400 18,800
------------
REAL ESTATE INVESTMENT TRUSTS--0.0%
Vornado Realty Trust Series A 6.50%................ 300 19,575
------------
TOTAL PREFERRED STOCK
(cost $166,766).................................... 194,063
------------
TOTAL INVESTMENT SECURITIES--93.3%
(cost $115,531,354)................................ 126,261,475
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN VALUE
SECURITY DESCRIPTION THOUSANDS) (NOTE 3)
- -----------------------------------------------------------------------------------
<S> <C> <C>
SHORT-TERM SECURITIES--4.0%
Cayman Island Time Deposit
with State Street Bank and Trust Co.
4.50% due 11/03/97............................... $2,696 $ 2,696,000
Federal Home Loan
Mortgage Discount Notes
5.50% due 11/06/97............................... 2,660 2,657,968
------------
TOTAL SHORT-TERM SECURITIES
(cost $5,353,968).................................. 5,353,968
------------
REPURCHASE AGREEMENTS--4.2%
Agreement with State Street Bank and Trust Co.,
bearing 5.00%, dated 10/31/97 to be repurchased
11/03/97 in the amount of $2,368,987
collateralized by $2,385,000 U.S. Treasury Note
6.25%, due 3/31/99 approximate aggregate value
$2,411,768 (cost $2,368,000)..................... 2,368 2,368,000
Agreement with State Street Bank and Trust Co.,
bearing 5.57%, dated 10/31/97 to be repurchased
11/03/97 in the amount of $3,311,536
collateralized by $3,275,000 Federal National
Mortgage Association 6.25%, due 11/10/99
approximate aggregate value $3,377,003 (cost
$3,310,000)...................................... 3,310 3,310,000
------------
TOTAL REPURCHASE AGREEMENTS
(cost $5,678,000).................................. 5,678,000
------------
TOTAL INVESTMENTS--
(cost $126,563,322)................................ 101.5% 137,293,443
Liabilities in excess of other assets.............. (1.5) (1,997,997)
------- ------------
NET ASSETS-- 100.0% $135,295,446
------- ------------
------- ------------
</TABLE>
- ------------------
+ Non-income producing security
ADR ('American Depositary Receipt')
ADS ('American Depositary Shares')
(1) Security is traded with rights attached
See Notes to Financial Statements
<PAGE>
37
Small-Cap Value Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -----------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK--79.0%
AEROSPACE & MILITARY TECHNOLOGY--0.6%
AAR Corp.(1)....................................... 3,200 $ 114,600
Moog, Inc., Class A................................ 1,100 41,250
-----------
155,850
-----------
APPAREL & TEXTILES--1.6%
Footstar, Inc.+.................................... 3,500 95,156
Just For Feet, Inc.+............................... 14,000 206,500
Kellwood Co........................................ 2,200 76,037
Tarrant Apparel Group, Inc.+....................... 2,700 32,063
-----------
409,756
-----------
AUTOMOTIVE--4.4%
Borg-Warner Automotive, Inc........................ 3,500 190,750
Breed Technologies, Inc............................ 2,600 57,362
Excel Industries, Inc.............................. 2,200 39,188
Polaris Industries, Inc............................ 4,800 146,100
Rollins Truck Leasing Corp......................... 7,800 129,675
Simpson Industries, Inc............................ 22,000 255,750
Titan International, Inc........................... 3,200 66,400
Tower Automotive, Inc.+............................ 3,000 125,625
Walbro Corp........................................ 4,000 83,000
-----------
1,093,850
-----------
BANKS--12.7%
Bank United Corp., Class A......................... 1,500 63,000
BankAtlantic Bancorp., Inc., Class A............... 1,700 23,375
Banknorth Group, Inc............................... 1,200 71,700
CCB Financial Corp.(1)............................. 4,000 364,000
CFX Corp........................................... 14,000 344,750
First Hawaiian, Inc................................ 1,500 58,500
First Republic Bank+............................... 11,300 319,225
HUBCO, Inc......................................... 3,300 114,675
Long Island Bancorp, Inc........................... 2,100 93,450
PonceBank.......................................... 14,000 279,125
Riverview Bancorp, Inc.+........................... 29,000 384,250
Trans Financial, Inc............................... 2,000 64,000
UST Corp........................................... 16,000 410,000
Vermont Financial Services......................... 14,000 353,500
Warren Bancorp, Inc................................ 12,000 231,000
-----------
3,174,550
-----------
BROADCASTING & MEDIA--2.5%
Carmike Cinemas, Inc., Class A+.................... 1,700 55,250
Jones Intercable, Inc., Class A+ .................. 31,000 395,250
Pulitzer Publishing Co............................. 1,700 91,587
Regal Cinemas, Inc.+............................... 3,800 87,163
-----------
629,250
-----------
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -----------------------------------------------------------------------------
<S> <C> <C>
BUSINESS SERVICES--2.7%
Banta Corp......................................... 8,000 $ 208,000
Bowne & Co., Inc................................... 3,400 118,575
CDI Corp.+......................................... 200 7,850
Flowserve Corp..................................... 3,300 98,175
Granite Construction, Inc.......................... 4,200 88,725
Pittston Brink's Group............................. 3,300 119,212
York Group, Inc.................................... 1,900 42,750
-----------
683,287
-----------
CHEMICALS--0.9%
ChemFirst, Inc..................................... 2,300 58,075
Mississippi Chemical Corp.......................... 3,800 69,825
Schulman (A), Inc.................................. 3,900 87,750
-----------
215,650
-----------
COMMUNICATION EQUIPMENT--1.9%
Anixter International, Inc.+....................... 5,700 107,587
Belden, Inc........................................ 4,200 143,850
Dynatech Corp.+.................................... 4,100 139,912
Glenayre Technologies, Inc.+....................... 3,300 42,488
Network Equipment Technologies, Inc.+(1)........... 2,000 34,000
-----------
467,837
-----------
COMPUTERS & BUSINESS EQUIPMENT--1.8%
Bell & Howell Co.+................................. 4,200 115,763
Data General Corp.+................................ 2,900 55,825
In Focus System, Inc.+............................. 2,400 78,600
Stratus Computer, Inc.+............................ 5,300 187,487
-----------
437,675
-----------
DRUGS--0.4%
Perrigo Co.+....................................... 6,800 102,850
-----------
ELECTRIC UTILITIES--0.8%
Calpine Corp.+..................................... 5,500 87,313
Eastern Enterprises................................ 800 31,350
Eastern Utilities Associates....................... 2,000 42,250
Public Service Co. of New Mexico................... 2,300 44,706
-----------
205,619
-----------
ELECTRICAL EQUIPMENT--2.1%
Helix Technology Corp.............................. 500 22,438
Juno Lighting, Inc.(1)............................. 12,000 210,000
Scotsman Industries, Inc........................... 2,500 66,094
Silicon Valley Group, Inc.+........................ 2,100 59,850
Watts Industries, Inc.,
Class A.......................................... 6,900 175,087
-----------
533,469
-----------
</TABLE>
<PAGE>
38
Small-Cap Value Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -----------------------------------------------------------------------------
COMMON STOCK (CONTINUED)
<S> <C> <C>
ELECTRONICS--1.8%
Allen Telecom, Inc.+............................... 5,300 $ 100,369
Benchmark Electronics,
Inc.+............................................ 1,100 27,431
Fluke Corp......................................... 3,000 72,188
International Rectifier
Corp.+........................................... 10,600 145,087
S3, Inc.+.......................................... 3,200 28,200
Watkins-Johnson Co................................. 1,900 58,900
Xicor, Inc.+....................................... 3,200 17,600
-----------
449,775
-----------
ENERGY SOURCES--1.8%
Barrett Resources Corp.+........................... 2,700 95,006
Belco Oil & Gas Corp.+............................. 2,800 60,550
Chieftain International, Inc.+..................... 5,000 122,500
Comstock Resources,
Inc.+............................................ 3,300 55,275
Tesoro Petroleum Corp.+............................ 2,500 40,625
Zeigler Coal Holding Co............................ 3,700 66,138
-----------
440,094
-----------
ENTERTAINMENT PRODUCTS--1.0%
Harman International Industries, Inc.+............. 4,600 248,400
-----------
FINANCIAL SERVICES--1.1%
AMRESCO, Inc.+..................................... 4,400 137,500
Pioneer Group, Inc................................. 5,000 148,125
-----------
285,625
-----------
FOOD, BEVERAGE & TOBACCO--1.5%
Canandaigua Brands, Inc., Class A+................. 1,900 94,287
Consolidated Cigar Holdings, Inc., Class A+........ 2,600 102,050
Swisher International Group, Inc., Class A+........ 4,100 81,231
Universal Corp..................................... 2,200 84,563
-----------
362,131
-----------
FOREST PRODUCTS--1.4%
Albany International Corp., Class A................ 3,300 80,437
Caraustar Industries, Inc.......................... 2,300 79,063
First Brands Corp.................................. 7,900 201,450
-----------
360,950
-----------
GAS & PIPELINE UTILITIES--0.7%
New Jersey Resources
Corp............................................. 1,700 55,037
Northwest Natural Gas Co........................... 1,100 27,088
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -----------------------------------------------------------------------------
<S> <C> <C>
GAS & PIPELINE UTILITIES (CONTINUED)
Piedmont Natural Gas,
Inc.............................................. 1,100 $ 30,800
Washington Gas Light Co............................ 1,100 28,256
WICOR, Inc......................................... 900 38,813
-----------
179,994
-----------
HEALTH SERVICES--3.9%
Apria Healthcare Group, Inc.+...................... 7,700 116,944
Integrated Health Services, Inc.................... 7,100 225,425
Magellan Health Services, Inc.+.................... 5,000 144,062
Mariner Health Group,
Inc.+............................................ 7,000 102,375
Sierra Health Services,
Inc.+............................................ 6,500 240,094
Sun Healthcare Group,
Inc.+............................................ 7,100 141,112
-----------
970,012
-----------
HOUSEHOLD PRODUCTS--0.8%
Libbey, Inc........................................ 2,900 108,387
Oakley, Inc.+...................................... 8,700 85,913
-----------
194,300
-----------
HOUSING--2.9%
American Buildings Co.............................. 2,300 62,100
Bassett Furniture Industries, Inc.................. 1,200 32,700
Cavalier Homes, Inc................................ 16,000 157,000
Furniture Brands International, Inc.+.............. 9,000 150,750
Homebase, Inc.+.................................... 3,500 32,156
Kaufman & Broad Home Corp.......................... 4,200 89,512
Kimball International, Inc., Class B............... 1,200 48,900
La-Z-Boy, Inc...................................... 900 33,638
Mohawk Industries, Inc.+........................... 3,800 115,900
-----------
722,656
-----------
INSURANCE--3.3%
American Bankers Insurance Group, Inc.............. 2,100 78,487
Amerin Corp.+...................................... 3,300 74,869
AmerUs Life Holdings, Inc., Class A................ 1,100 33,550
Enhance Financial Services Group, Inc.............. 2,000 105,625
Harleysville Group, Inc............................ 2,400 60,300
Lawyers Title Corp................................. 1,000 31,750
Liberty Corp....................................... 2,400 102,750
Orion Capital Corp................................. 2,800 126,000
Presidential Life Corp............................. 2,000 39,250
</TABLE>
<PAGE>
39
Small-Cap Value Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -----------------------------------------------------------------------------
COMMON STOCK (CONTINUED)
<S> <C> <C>
INSURANCE (CONTINUED)
Reliance Group Holdings, Inc....................... 7,800 $ 98,475
Selective Insurance Group, Inc..................... 1,300 69,388
-----------
820,444
-----------
INVESTMENT COMPANIES--1.9%
Emerging Markets
Telecommunications Fund, Inc..................... 9,000 143,438
G.T. Global Eastern European Fund.................. 8,000 131,000
Morgan Stanley Asia-Pacific Fund................... 25,000 201,562
-----------
476,000
-----------
LEISURE & TOURISM--0.9%
Applebee's International, Inc...................... 1,700 37,400
Bob Evans Farms, Inc............................... 3,000 56,438
Lone Star Steakhouse & Saloon, Inc.+............... 2,000 46,250
Sbarro, Inc........................................ 2,700 71,381
-----------
211,469
-----------
MACHINERY--3.2%
Briggs & Stratton Corp............................. 2,500 124,375
Cincinnati Milacron, Inc........................... 2,400 66,600
JLG Industries, Inc................................ 12,000 152,250
Kaydon Corp........................................ 3,400 103,275
McDermott International, Inc....................... 2,200 79,887
Regal-Beloit Corp.................................. 1,900 51,063
Stewart & Stevenson Services, Inc.................. 4,800 104,400
United Dominion Industries Ltd..................... 4,600 120,175
-----------
802,025
-----------
MEDICAL PRODUCTS--1.2%
CONMED Corp.+...................................... 2,000 41,000
Hologic, Inc.+..................................... 2,200 55,275
Sunrise Medical, Inc.+............................. 5,000 77,188
West Co., Inc...................................... 3,700 124,412
-----------
297,875
-----------
METALS & MINERALS--2.1%
Carpenter Technology
Corp............................................. 1,700 82,238
Cleveland-Cliffs, Inc.............................. 1,500 65,156
Intermet Corp...................................... 3,300 61,875
Lukens, Inc........................................ 6,100 109,800
Martin Marietta Materials, Inc..................... 2,400 83,700
Texas Industries, Inc.............................. 1,500 71,156
Titanium Metals Corp.+............................. 1,700 52,275
-----------
526,200
-----------
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -----------------------------------------------------------------------------
<S> <C> <C>
MULTI-INDUSTRY--2.7%
Carlisle Cos, Inc.................................. 1,700 $ 73,525
Crane Co........................................... 2,500 103,906
Dexter Corp........................................ 2,300 90,275
Eltron International, Inc.+........................ 4,000 114,500
Mark IV Industries, Inc............................ 4,300 104,275
Roper Industries, Inc.............................. 3,400 90,738
Standex International Corp.(1)..................... 1,500 52,500
Zurn Industries, Inc............................... 1,300 43,631
-----------
673,350
-----------
REAL ESTATE COMPANIES--0.2%
Insignia Financial Group, Inc., Class A+........... 2,500 54,063
-----------
REAL ESTATE INVESTMENT TRUSTS--4.5%
Amli Residential Properties Trust.................. 1,900 44,175
Apartment Investment &
Management Co., Class A.......................... 1,300 46,069
Arden Realty Group, Inc............................ 1,500 45,750
Bedford Property Investors, Inc.................... 2,900 59,450
Bradley Real Estate, Inc........................... 2,000 39,250
CBL & Associates Properties, Inc................... 1,900 45,837
Chateau Communities, Inc........................... 3,300 98,175
Chelsea GCA Realty, Inc............................ 1,300 53,137
FelCor Suite Hotels, Inc........................... 1,100 40,288
Glenborough Realty Trust, Inc...................... 7,800 199,875
Kilroy Realty Corp................................. 2,000 53,000
Koger Equity, Inc.................................. 2,000 43,250
Liberty Property Trust............................. 1,500 42,000
MGI Properties, Inc................................ 1,100 25,300
Pacific Gulf Properties, Inc....................... 1,500 33,938
Summit Properties, Inc............................. 6,000 124,125
TriNet Corporate Realty Trust, Inc................. 3,400 123,037
-----------
1,116,656
-----------
RETAIL--4.6%
AnnTaylor Stores Corp.+............................ 5,400 77,288
BJ's Wholesale Club, Inc.+......................... 1,900 54,863
Fingerhut Co., Inc................................. 4,000 88,500
Gibson Greetings, Inc.+............................ 3,400 82,025
Global DirectMail Corp.+........................... 5,600 102,900
Haverty Furniture Co., Inc......................... 2,400 30,600
Jostens, Inc.(1)................................... 17,000 396,312
K2, Inc............................................ 3,300 83,531
ShopKo Stores, Inc.+............................... 4,400 110,275
Toro Co............................................ 2,000 85,500
Wet Seal, Inc. Class A+............................ 1,800 41,175
-----------
1,152,969
-----------
</TABLE>
<PAGE>
40
Small-Cap Value Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -----------------------------------------------------------------------------
COMMON STOCK (CONTINUED)
<S> <C> <C>
SOFTWARE--1.2%
BancTec, Inc.+(1).................................. 2,900 $ 66,338
Policy Management Systems Corp.+................... 1,500 91,875
Sterling Software, Inc.+........................... 2,200 75,075
Symantec Corp.+.................................... 3,300 71,775
-----------
305,063
-----------
TELECOMMUNICATIONS--0.9%
General Communication, Inc., Class A+.............. 31,000 232,500
-----------
TELEPHONE--0.3%
Vanguard Cellular Systems, Inc., Class A+.......... 5,300 72,544
-----------
TRANSPORTATION--2.7%
Knightsbridge Tankers Ltd.......................... 13,000 385,125
Pittston Burlington Co............................. 5,000 135,937
Teekay Shipping Corp............................... 1,900 60,800
Trico Marine Services, Inc.+....................... 2,500 91,875
-----------
673,737
-----------
TOTAL INVESTMENT SECURITIES--79.0%
(cost $20,506,477)................................. 19,738,475
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN VALUE
SECURITY DESCRIPTION THOUSANDS) (NOTE 3)
- ----------------------------------------------------------------------------------
<S> <C> <C>
SHORT-TERM SECURITIES--6.8%
Cayman Island Time Deposit with State Street Bank
and Trust Co.
3.00% due 11/03/97............................... $ 701 $ 701,000
United States Treasury Bills 4.85% due 12/11/97.... 1,000 994,611
-----------
TOTAL SHORT-TERM SECURITIES
(cost $1,695,611).................................. 1,695,611
-----------
REPURCHASE
AGREEMENTS--13.5%
Agreement with State Street Bank and Trust Co.,
bearing 5.00%, dated 10/31/97 to be repurchased
11/03/97 in the amount of $2,438,015
collateralized by $2,090,000 U.S. Treasury Note
7.625% due 2/15/25 approximate aggregate value
$2,502,431 (cost $2,437,000)..................... 2,437 2,437,000
Agreement with State Street Bank and Trust Co.,
bearing 5.55%, dated 10/31/97 to be repurchased
11/03/97 in the amount of $941,435 collateralized
by $880,000 U.S. Treasury Note 7.50% due 11/15/01
approximate aggregate value $965,284 (cost
$941,000)........................................ 941 941,000
-----------
TOTAL REPURCHASE AGREEMENTS
(cost $3,378,000).................................. 3,378,000
-----------
TOTAL INVESTMENTS--
(cost $25,580,088)................................. 99.3% 24,812,086
Other assets less liabilities...................... 0.7 171,075
------- -----------
NET ASSETS-- 100.0% $24,983,161
------- -----------
------- -----------
</TABLE>
- ------------------
+ Non-income producing security
(1) Security is traded with rights attached
See Notes to Financial Statements
<PAGE>
41
International Equity Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK--88.5%
ARGENTINA--1.2%
Banco Frances del Rio de la Plata SA, Class B ADR
(Finance).............................................. 560 $ 13,790
Banco de Galicia y Buenos Aires SA de CV, Class B ADR
(Finance).............................................. 710 17,218
Banco Rio de La Plata SA, Class B ADR+ (Finance)......... 7,800 81,900
Freeport-McMoran Copper & Gold, Inc., Class B
(Materials)............................................ 6,000 143,250
Perez Cos. SA (Multi-industry) .......................... 5,053 31,651
Telefonica de Argentina SA, Class B ADR+ (Utilities)..... 5,120 144,000
TV Azteca SA de CV ADR+
(Information & Entertainment) 1,100 21,037
YPF Sociedad Anonima, Class D ADR (Energy)............... 11,766 376,512
-----------
829,358
-----------
AUSTRALIA--2.1%
AAPC Ltd.
(Information & Entertainment) 557,100 195,890
Australia & New Zealand Banking Group Ltd. (Finance)..... 2,000 13,952
Australian Gas Light Co., Ltd. (Utilities)............... 5,000 33,404
Boral Ltd. (Materials)................................... 4,000 10,521
Brambles Industries Ltd. (Multi-industry)................ 1,000 19,227
Broken Hill Proprietary Co., Ltd. (Materials)............ 4,400 43,630
Commonwealth Bank of Australia (Finance)................. 117 1,345
Commonwealth Installment Receipt Trustee Ltd. (Finance).. 3,000 22,174
Fairfax (John) Holdings Ltd.
(Information & Entertainment) 8,000 17,666
Fosters Brewing Group Ltd.
(Consumer Staples) .................................... 8,000 15,190
Lend Lease Corp., Ltd. (Finance)......................... 1,016 20,806
National Australia Bank Ltd. (Finance)................... 11,100 151,828
News Corp., Ltd.
(Information & Entertainment) 12,333 59,064
Normandy Mining Ltd.
(Energy)............................................... 324,366 353,571
Publishing & Broadcasting Ltd.
(Information & Entertainment) 4,000 23,207
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
<S> <C> <C>
AUSTRALIA (CONTINUED)
Ramsey Health Care, Inc. (Healthcare).................... 131,000 $ 177,803
Simeon Wines
(Consumer Staples) .................................... 3,000 7,384
St. George Bank Ltd. (Finance)........................... 2,068 12,528
TABCORP Holdings Ltd.
(Information & Entertainment) 3,000 13,756
Western Mining Corp. Holdings Ltd. (Materials)........... 3,000 10,654
Westpac Banking Corp., Ltd. (Finance).................... 4,000 23,292
Woodside Petroleum Ltd. (Energy)......................... 3,000 25,338
Woolworths Ltd.+
(Consumer Discretionary)............................... 82,300 265,658
-----------
1,517,888
-----------
AUSTRIA--0.9%
Austria Tabakwerke AG*
(Consumer Staples) .................................... 6,000 249,722
Boehler-Uddeholm AG (Materials).......................... 544 39,006
VA Technologie AG
(Industrial & Commercial) ............................. 930 165,022
VAE Eisenbahnsysteme AG (Industrial & Commercial) ...... 1,776 174,182
-----------
627,932
-----------
BELGIUM--0.4%
Credit Dexia/Communal Holding+ (Finance)................. 104 11,364
Generale de Banque Belge Pour l'Etranger SA (Finance).... 130 53,175
Kredietbank NV (Finance)................................. 430 180,428
UCB SA (Healthcare)...................................... 4 13,821
-----------
258,788
-----------
BRAZIL--0.7%
Centrais Eletricas Brasileiras SA ADR+ (Utilities)....... 2,000 42,179
Companhia de Saneamento Basico do Estado de Sao Paulo
(Utilities)............................................ 295,000 54,587
Compania Brasileira de Distribuidora GDR
(Industrial & Commercial) ............................. 1,000 19,048
Compania Energetica de Minas ADR (Materials) ............ 1,543 61,597
</TABLE>
<PAGE>
42
International Equity Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
COMMON STOCK (CONTINUED)
<S> <C> <C>
BRAZIL (CONTINUED)
Telecomunicacoes
Brasileras SA ADR
(Information Technology) .............................. 2,700 $ 274,050
Usinas Siderurgicas de Minas Gerais SA ADR
(Materials) ........................................... 6,000 44,900
-----------
496,361
-----------
CANADA--0.9%
Abitibi Consolidated, Inc.
(Consumer Discretionary) .............................. 1,460 20,719
Alcan Aluminium Ltd. (Materials)......................... 970 27,565
BCE, Inc. (Utilities).................................... 989 27,526
Bell Canada International, Inc.+ (Utilities)............. 11,000 184,250
Bombardier, Inc., Class B (Industrial & Commercial) ..... 1,284 24,598
CAE, Inc.
(Industrial & Commercial) ............................. 23,000 194,203
Inco Ltd. (Materials).................................... 1,015 20,813
Royal Bank of Canada (Finance)........................... 310 16,585
Seagram Co., Ltd.
(Consumer Staples) .................................... 755 25,500
Suncor Energy, Inc. (Energy) ............................ 1,087 39,142
Toronto Dominion Bank (Finance).......................... 933 34,193
TransCanada Pipelines Ltd. (Utilities)................... 1,550 28,760
Trizec Hahn Corp.
(Real Estate) ......................................... 1,373 34,438
-----------
678,292
-----------
CHILE--1.1%
Banco Santander-Chile, Class A ADR (Finance)............. 2,500 32,500
Chilectra SA ADR (Utilities)............................. 422 11,400
Chilgener SA ADR (Utilities) ............................ 589 16,050
Compania de Telecomunicaciones
de Chile SA ADR (Utilities)............................ 480 13,320
Distribucion y Servicio D&S SA+
(Consumer Discretionary) .............................. 14,500 254,656
Empresa Nacional de Electricidad
SA ADR (Utilities)..................................... 765 15,396
Enersis SA ADR (Energy).................................. 369 12,177
Maderas y Sinteticos SA ADR
(Consumer Discretionary) .............................. 1,267 15,521
Quinenco Sa (Multi-industry) ............................ 9,000 131,625
Santa Isabel SA ADR
(Consumer Discretionary) .............................. 11,175 206,737
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
<S> <C> <C>
CHILE (CONTINUED)
Sociedad Quimica Minera ADR (Materials).................. 2,100 $ 108,938
-----------
818,320
-----------
CHINA--0.3%
China Southern Airlines Ltd. ADR+
(Information & Entertainment) . 12,000 249,000
-----------
DENMARK--0.3%
Den Danske Bank+
(Finance).............................................. 280 31,614
Falck A/S
(Industrial & Commercial) ............................. 800 37,034
ISS International Service Systems A/S, Class B
(Industrial & Commercial) ............................. 1,900 57,690
Ostasiatiske Kompagnis Holdings+(Multi-industry) ........ 1,800 20,873
SAS Danmark A/S
(Industrial & Commercial) ............................. 4,700 81,035
Unidanmark A/S (Finance)................................. 200 13,518
-----------
241,764
-----------
FINLAND--1.2%
Huhtamaki Oy
(Consumer Staples) .................................... 6,541 269,315
Nokia Corp. AB, Class A ADR
(Information Technology) .............................. 770 67,277
Rauma Oy
(Industrial & Commercial) ............................. 6,137 115,070
UPM-Kymmene Oy (Materials) .............................. 7,134 158,725
Valmet Oyj
(Industrial & Commercial) ............................. 14,500 227,033
-----------
837,420
-----------
FRANCE--9.6%
Accor SA
(Information & Entertainment) 580 107,991
Alcatel Alsthom Compagnie Generael D' Electricite
(Information Technology) .............................. 770 92,909
Assurance General de France+ (Finance)................... 570 29,991
AXA SA de CV+
(Information Technology) .............................. 6,470 443,055
Banque Nationale de Paris (Finance)...................... 1,500 66,311
Bertrand Faure SA
(Consumer Discretionary) .............................. 1,700 102,561
Canal Plus
(Information & Entertainment) 220 38,292
</TABLE>
<PAGE>
43
International Equity Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
COMMON STOCK (CONTINUED)
<S> <C> <C>
FRANCE (CONTINUED)
Carrefour SA
(Consumer Discretionary) .............................. 133 $ 69,402
Castorama Dubois Investisse
(Consumer Discretionary) .............................. 2,300 239,639
Club Mediterranee SA
(Information & Entertainment) 500 36,406
Compagnie de St. Gobain (Materials)...................... 2,220 318,669
Compagnie Generale des Eaux (Industrial & Commercial) ... 3,387 395,172
Credit Commerce France (Finance)......................... 530 30,027
Credit Local de France+ (Finance)........................ 95 9,536
EDAP TMS SA ADR+ (Healthcare)............................ 25,000 175,000
Elf Aquitaine SA (Energy)................................ 760 94,074
France Telecom SA+ (Utilities) .......................... 40,000 1,513,804
Genset ADR+ (Healthcare)................................. 16,000 294,000
Groupe Danone
(Consumer Staples) .................................... 1,720 262,998
Guilbert SA
(Information Technology) .............................. 120 15,665
L' Oreal (Consumer Staples) ............................. 60 21,261
L'Air Liquide SA (Materials) ............................ 467 72,460
Lapeyre (Materials)...................................... 340 19,864
Legrand SA
(Information Technology) .............................. 130 24,205
Louis Dreyfus Citrus+
(Consumer Staples) .................................... 4,000 119,274
Louis Vuitton
(Consumer Staples) .................................... 316 53,687
Pathe SA
(Information & Entertainment) 50 8,972
Pernod-Ricard
(Consumer Staples) .................................... 1,400 64,876
Pinault Printemps Redoute
(Consumer Discretionary) .............................. 370 169,212
Primagaz Cie (Utilities)................................. 120 8,945
Rhone-Poulenc Ltd. (Healthcare).......................... 8,059 351,378
Sanofi SA (Healthcare)................................... 916 87,023
Schneider SA+
(Industrial & Commercial) ............................. 4,431 236,597
Societe Francaise d'Investissements Immobiliers et de
Gestion+ (Real Estate) ................................ 4,000 242,708
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
<S> <C> <C>
FRANCE (CONTINUED)
Societe Generale d'Enterprises SA+
(Industrial & Commercial) ............................. 10,500 $ 269,042
Societe Generale+ (Finance).............................. 2,539 347,733
Sodexho SA
(Information & Entertainment) 97 48,380
Television Francais (Utilities) ......................... 625 58,185
Total SA, Class B (Energy)............................... 2,990 331,747
-----------
6,871,051
-----------
GERMANY--4.7%
Adidas AG
(Information & Entertainment) 2,634 381,241
Allianz AG (Finance)..................................... 430 95,788
Ashanti Goldfields Co., Ltd. GDR (Materials)............. 10,158 100,310
Ava Allgemeneine Handelsgesellschaft
der Verbraucher AG
(Consumer Discretionary) .............................. 600 153,150
Bayer AG (Materials)..................................... 1,983 69,597
Bayerische Hypotheken Und Bank AG (Finance).............. 1,426 59,148
Bayerische Motoren Werke AG
(Consumer Discretionary) .............................. 118 85,361
Bayerische Vereinsbank AG (Finance)...................... 348 20,188
Bilfinger & Berger Bau AG (Industrial & Commercial) ..... 410 14,723
Commerzbank AG (Finance) ................................ 440 14,932
Deutsche Bank AG (Finance) .............................. 3,944 258,083
Deutsche Telekom AG
(Information Technology) .............................. 1,346 25,221
Fresenius Medical Care AG (Healthcare)................... 5,600 394,709
Gehe AG
(Consumer Discretionary) .............................. 1,930 100,766
Hoechst AG (Healthcare).................................. 10,530 400,724
Holsten Brauerei AG
(Consumer Staples) .................................... 900 180,125
Leica Camera AG+
(Information & Entertainment) 10,000 232,045
Mannesmann AG
(Industrial & Commercial) ............................. 61 25,762
Rhon-Klinikum AG
(Consumer Discretionary) .............................. 400 38,288
SAP AG
(Information Technology) .............................. 300 86,060
Siemens AG (Multi-industry).............................. 1,259 77,492
VEBA AG (Utilities)...................................... 7,670 427,594
</TABLE>
<PAGE>
44
International Equity Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
COMMON STOCK (CONTINUED)
<S> <C> <C>
GERMANY (CONTINUED)
Volkswagen AG
(Consumer Discretionary) .............................. 170 $ 100,493
-----------
3,341,800
-----------
HONG KONG--1.8%
CDL Hotels International Ltd.
(Information & Entertainment) 122,062 35,127
Cheung Kong (Holdings) Ltd.
(Real Estate) ......................................... 12,333 85,740
China Hong Kong Photo Products Holdings Ltd.
(Information & Entertainment) 110,000 27,744
China Light & Power Co., Ltd. (Utilities)................ 2,000 10,528
Dao Heng Bank Group Ltd. (Finance)....................... 11,000 25,325
First Pacific Co., Ltd.
(Industrial & Commercial) ............................. 190,000 119,802
Guoco Group Ltd. (Finance) .............................. 30,000 65,576
Henderson Land Development
Co., Ltd. (Real Estate) ............................... 3,000 16,607
Hong Kong Land Holdings Ltd. ADR (Finance)............... 42,946 97,917
HSBC Holdings PLC+ (Finance)............................. 2,133 48,280
Hutchison Whampoa Ltd. (Multi-industry).................. 27,000 186,833
Jardine Matheson Holdings Ltd. ADR (Industrial &
Commercial) 18,501 118,406
New World Development Co.,
Ltd. (Real Estate) .................................... 29,165 102,605
New World Infrastructure Ltd.+ (Industrial &
Commercial) ........................................... 62,000 122,693
Sun Hung Kai Properties Ltd.+
(Real Estate) ......................................... 1,000 7,372
Swire Pacific Ltd., Class A (Multi-industry)............. 11,000 58,760
Wharf Holdings Ltd.
(Real Estate) ......................................... 19,000 38,828
Wing Hang Bank Ltd (Finance)............................. 37,500 96,521
-----------
1,264,664
-----------
INDIA--1.2%
Hindalco Industries Ltd. GDR+* (Materials)............... 5,900 170,510
State Bank of India GDR+ (Finance)....................... 9,400 172,960
Tata Engineering & Locomotive Co., Ltd. GDR
(Consumer Discretionary) .............................. 21,650 189,619
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
<S> <C> <C>
INDIA (CONTINUED)
The Indian Smaller Companies Fund Ltd.
(Investment Companies)................................. 44,749 $ 364,253
-----------
897,342
-----------
INDONESIA--0.5%
Gulf Indonesia Resources Ltd. (Energy)................... 7,000 147,000
PT Indosat
(Information Technology) .............................. 31,500 70,995
PT Semen Cibinong TBK (Materials)........................ 280,000 36,893
Sampoerna International Finance Co. (Finance)............ 67,000 116,623
-----------
371,511
-----------
IRELAND--0.8%
Fyffes PLC
(Consumer Staples) .................................... 126,000 186,029
Kerry Group, Class A+
(Consumer Staples) .................................... 33,000 399,511
-----------
585,540
-----------
ISRAEL--0.9%
Blue Square Israel Ltd. ADR
(Consumer Staples) .................................... 4,100 47,662
ECI Telecommunications Ltd.
(Information Technology) .............................. 20,800 569,400
-----------
617,062
-----------
ITALY--3.6%
Assicurazione Generali SpA (Finance)..................... 13,900 310,759
Banca Commerciale Italiana+ (Finance).................... 3,000 8,186
Banca Popolar di Milano (Finance)........................ 10,000 55,227
BCA Fideuram SpA (Finance)............................... 3,198 12,184
Brembo SpA
(Consumer Discretionary) .............................. 20,000 199,055
Credito Italiano SpA (Finance) .......................... 32,408 86,428
CSP International Industria Calze SpA+
(Consumer Discretionary) .............................. 23,000 253,367
ENI SpA (Energy)......................................... 81,371 457,562
Industrie Natuzzi SpA ADR
(Consumer Discretionary) .............................. 11,700 261,787
Istituto Mobiliare Italiano (Finance).................... 4,000 35,771
Mediolanum SpA (Finance)................................. 1,756 29,457
</TABLE>
<PAGE>
45
International Equity Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
COMMON STOCK (CONTINUED)
<S> <C> <C>
ITALY (CONTINUED)
Parmalat Finanziar SpA+
(Consumer Staples) .................................... 55,600 $ 77,176
Telecom Italia SpA
(Information Technology) .............................. 41,000 152,085
Telecom Italia SpA
(Information Technology) .............................. 20,000 80,803
Telecom Italia SpA
(Information Technology) .............................. 54,777 343,287
Zucchini SpA
(Information Technology) .............................. 29,600 208,931
-----------
2,572,065
-----------
JAPAN--17.8%
Advantest Corp.
(Information Technology) .............................. 5,380 444,794
Aiwa Co., Ltd.
(Information Technology) .............................. 3,000 67,054
Alps Electric Co., Ltd.
(Information Technology) .............................. 4,000 44,869
Amada Co., Ltd.
(Industrial & Commercial) ............................. 4,000 21,271
Bank of Tokyo-Mitsubishi Ltd. (Finance).................. 23,000 300,042
Canon, Inc.
(Information Technology) .............................. 23,000 558,039
Citizen Watch Co.
(Consumer Discretionary) .............................. 3,000 19,144
Daiichi Pharmaceutical (Healthcare)...................... 6,000 85,251
Dainippon Screen MFG Co., Ltd.
(Information Technology) .............................. 5,000 40,548
Daiwa House Industry Co., Ltd.
(Consumer Discretionary) .............................. 8,000 77,108
DDI Corp. (Utilities).................................... 36 120,249
East Japan Railway Co. (Industrial & Commercial) ........ 19 92,356
Fanuc Ltd.
(Information Technology) .............................. 1,400 56,535
Fontaine Co., Ltd.
(Consumer Staples) .................................... 13,200 265,426
Fuji Bank Ltd. (Finance)................................. 22,000 190,112
Fujikura Ltd.
(Information Technology) .............................. 35,000 239,925
Fujitsu Denso
(Industrial & Commercial) ............................. 2,000 31,242
Fujitsu Ltd.
(Information Technology) .............................. 22,000 241,296
Hankyu Realty Co.
(Real Estate) ......................................... 17,000 110,320
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
<S> <C> <C>
JAPAN (CONTINUED)
Hitachi Ltd.+
(Information Technology) .............................. 9,000 $ 69,173
Hitachi Zosen Corp.
(Industrial & Commercial) ............................. 4,000 8,808
Honda Motor Co., Ltd.
(Consumer Discretionary) .............................. 13,000 437,474
Imagineer Co., Ltd.+
(Information & Entertainment) 3,600 40,382
Inax Corp.
(Consumer Staples) .................................... 2,000 8,708
Industrial Bank of Japan Ltd. (Finance).................. 21,000 207,644
Ito-Yokado Co., Ltd.
(Consumer Discretionary) .............................. 3,000 149,065
Japan Associate Finance EDR+ (Finance)................... 2,000 94,724
Jusco Co., Ltd.
(Consumer Discretionary) .............................. 2,000 44,703
KAO Corp.
(Consumer Staples) .................................... 22,000 307,104
Kokuyo Co., Ltd. (Materials) ............................ 3,000 70,794
Komatsu Ltd.
(Industrial & Commercial) ............................. 6,000 32,057
Komori Co., Ltd.
(Industrial & Commercial) ............................. 2,000 36,560
Kuraray Co., Ltd. (Healthcare) .......................... 7,000 62,817
Kyocera Corp.
(Information Technology) .............................. 8,000 457,998
Long-Term Credit Bank of
Japan Ltd. (Finance)................................... 6,000 20,291
Makita Corp.
(Industrial & Commercial) ............................. 4,000 56,170
Marui Co., Ltd.
(Consumer Discretionary) .............................. 6,000 101,205
Matsushita Electric
Industrial Co., Ltd.+
(Information Technology) .............................. 10,000 167,844
Matsushita Electric Works Ltd. (Industrial & Commercial)
...................................................... 24,000 217,366
Meiwa Estate Co.+ (Real Estate) ........................ 2,600 30,677
Mitsubishi Corp.
(Consumer Discretionary) .............................. 4,000 34,234
Mitsubishi Estate Co., Ltd.
(Real Estate) ......................................... 5,000 63,149
Mitsubishi Heavy Industries Ltd.
(Industrial & Commercial) ............................. 80,900 397,274
Mitsubishi Motor Corp.+
(Consumer Discretionary) .............................. 30,000 131,616
</TABLE>
<PAGE>
46
International Equity Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
COMMON STOCK (CONTINUED)
<S> <C> <C>
JAPAN (CONTINUED)
Mitsui Fudosan Co., Ltd.
(Real Estate) ......................................... 30,000 $ 339,011
Miyota Co.
(Information Technology) .............................. 13,000 140,424
Murata Manufacturing Co. Ltd.
(Information Technology) .............................. 3,000 121,645
Mycal Corp.
(Consumer Discretionary) .............................. 4,000 38,222
NEC Corp.
(Information Technology) .............................. 58,900 646,016
Nichiei Co., Ltd.
(Industrial & Commercial) ............................. 700 76,776
Nippon Denso Co., Ltd. (Industrial & Commercial) ........ 9,000 194,433
Nippon Steel Corp. (Materials) .......................... 41,000 84,487
Nippon Telegraph & Telephone Corp. (Utilities)........... 74 627,171
Nippon Television Network
(Information & Entertainment) 900 320,066
Nomura Securities Co., Ltd. (Finance).................... 10,000 116,327
Orix Corp. (Finance)..................................... 4,000 273,203
Pioneer Electronic Corp. (Industrial & Commercial) ...... 9,000 148,068
Rohm Co.
(Information Technology) .............................. 3,000 296,635
Sankyo Co., Ltd. (Healthcare) ........................... 12,000 395,845
Sega Enterprises Ltd.
(Information Technology) .............................. 900 22,135
Sekisui Chemical Co., Ltd. (Materials)................... 8,000 62,950
Sekisui House Ltd.
(Consumer Discretionary) .............................. 6,000 51,350
Seven-Eleven Japan Co., Ltd.
(Consumer Discretionary) .............................. 1,000 74,782
Sharp Corp.
(Information Technology) .............................. 8,000 62,152
Shin-Etsu Chemical Co. Ltd. (Materials).................. 5,000 122,144
Shiseido Co., Ltd.
(Consumer Staples) .................................... 1,000 13,627
Shohkoh Fund & Co., Ltd. (Investment Companies).......... 600 194,433
Sony Corp.
(Information Technology) .............................. 6,300 522,950
Sumitomo Corp.
(Industrial & Commercial) ............................. 11,000 78,604
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
<S> <C> <C>
JAPAN (CONTINUED)
Sumitomo Electric Industries Ltd.
(Industrial & Commercial) ............................. 19,000 $ 251,018
Sumitomo Forestry Co., Ltd. (Materials).................. 2,000 14,458
Sumitomo Trust & Banking
Co., Ltd. (Finance).................................... 20,000 212,713
TDK Corp.
(Information Technology) .............................. 2,000 165,850
Teijin Ltd.
(Consumer Discretionary) .............................. 13,000 42,667
Tokio Marine & Fire Insurance Co., Ltd. (Finance)........ 14,000 139,593
Tokyo Electron Ltd.
(Information Technology) .............................. 5,000 249,273
Tokyo Steel Manufacturing Co. (Materials)................ 2,000 14,125
Toppan Printing Co., Ltd.
(Information & Entertainment) 5,000 62,734
Toray Industries, Inc. (Materials)....................... 9,000 50,104
UNY Co., Ltd.
(Consumer Staples) .................................... 2,000 32,406
Yamanouchi Pharmaceutical
Co., Ltd. (Healthcare)................................. 8,000 196,759
-----------
12,708,574
-----------
KAZAKHSTAN--0.3%
Firebird Republics Fund Ltd. (1)
(Investment Companies)................................. 975 189,534
-----------
KOREA--0.4%
Housing & Commercial Bank, Korea GDR* (Finance).......... 25,400 219,075
Kookmin Bank GDR* (Finance).............................. 1 4
Korea Electric Power Corp. ADR (Utilities)............... 6,500 53,219
Korea Fund, Inc. (Investment Companies).................. 2,800 22,925
-----------
295,223
-----------
LUXEMBOURG--0.1%
Millicom International Cellular SA+
(Information & Entertainment) 1,000 41,750
-----------
MALAYSIA--0.1%
Berjaya Sports Toto Bhd
(Information & Entertainment) 11,000 30,029
Commerce Asset Holding Bhd (Finance)..................... 13,200 10,295
Resorts World Bhd
(Information & Entertainment) 5,000 8,925
</TABLE>
<PAGE>
47
International Equity Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
COMMON STOCK (CONTINUED)
<S> <C> <C>
MALAYSIA (CONTINUED)
Time Engineering Bhd+
(Information Technology) .............................. 6,000 $ 2,592
United Engineers Bhd
(Industrial & Commercial) ............................. 6,000 14,219
-----------
66,060
-----------
MEXICO--1.4%
Alfa SA de CV, Class A+ (Multi-industry)................. 22,240 162,324
Cemex SA de CV ADR (Materials)........................... 3,000 23,409
Cemex SA de CV, Class B ADR (Materials).................. 17,667 77,537
Cifra SA de CV ADR
(Consumer Staples) .................................... 1,455 2,834
Fomento Economico Mexicano SA de CV, Class B +
(Consumer Staples) .................................... 4,000 28,146
Grupo Mexico SA de CV,
Series L (Materials)................................... 46,100 136,348
Gruma SA ADR*
(Consumer Staples) .................................... 622 9,692
Gruma SA+
(Consumer Staples) .................................... 5,040 19,715
Grupo Financiero Banamex-Accival SA de CV., Class B
(Finance).............................................. 69,000 136,601
Grupo Industrial Maseca SA de CV, Class B
(Industrial & Commercial) ............................. 9,000 8,694
Grupo Modelo SA de CV, Class C (Consumer Staples) ...... 2,000 14,788
Kimberly-Clark de Mexico SA de CV ADR (Materials)........ 6,526 28,641
Panamerican Beverages, Inc., Class A ADR
(Consumer Staples) .................................... 7,400 229,400
Telefonos de Mexico SA ADR (Utilities)................... 3,100 134,075
-----------
1,012,204
-----------
NETHERLANDS--5.0%
ABN Amro Holdings NV (Finance)........................... 5,698 114,752
Ahrend NV
(Information Technology) .............................. 2,267 75,547
Akzo Nobel NV + (Multi-industry)......................... 180 31,717
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
<S> <C> <C>
NETHERLANDS (CONTINUED)
ASM Lithography Holdings NV+
(Information Technology) .............................. 2,200 $ 161,150
Baan Co NV+
(Information Technology) .............................. 583 41,289
Baan Co. NV+
(Information Technology) .............................. 250 17,531
CSM NV
(Consumer Staples) .................................... 1,700 77,579
Elsevier NV
(Consumer Discretionary) .............................. 19,520 306,650
Fortis Amev NV (Finance)................................. 2,120 83,315
Gucci Group NV-NY Registry Shares
(Consumer Discretionary) .............................. 532 19,352
Heineken NV
(Consumer Staples) .................................... 1,000 162,658
ING Groep NV (Finance)................................... 6,310 264,880
Koninkijke Nutricia Verenigde Bedrijuen NV
(Consumer Staples) .................................... 1,580 45,166
Koninklijke Ahold NV
(Consumer Discretionary) .............................. 2,054 52,580
Koninlijke PTT Nederland NV (Utilities).................. 290 11,083
Philips Electronics NV
(Information Technology) .............................. 5,300 414,937
PolyGram NV
(Information & Entertainment) 2,330 132,491
Royal Dutch Petroleum Co. (Energy)....................... 16,640 880,210
Unilever NV & PLC (Multi-industry)....................... 2,960 157,338
Volker Wessels Stevin NV+ (Industrial & Commercial) ..... 2,667 81,047
Wolters Kluwer NV+
(Information & Entertainment) 3,480 427,315
-----------
3,558,587
-----------
NEW ZEALAND--2.2%
Air New Zealand Ltd.+
(Information & Entertainment) 74,000 156,659
Brierley Investments Ltd. (Finance)...................... 314,900 243,130
Carter Holt Harvey Ltd.
(Consumer Staples) .................................... 4,000 6,974
CDL Hotels New Zealand Ltd.+
(Information & Entertainment) 575,000 150,370
Fletcher Challenge Ltd.
building shares+ (Multi-industry)...................... 4,000 12,079
</TABLE>
<PAGE>
48
International Equity Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
COMMON STOCK (CONTINUED)
<S> <C> <C>
NEW ZEALAND (CONTINUED)
Fletcher Challenge Ltd.
energy shares+ (Multi-industry)........................ 3,000 $ 13,449
Fletcher Challenge Ltd.
forest shares+ (Multi-industry)........................ 221,460 213,733
Fletcher Challenge Ltd.
paper shares+ (Multi-industry)......................... 5,900 9,698
Kiwi Income Property Trust
(Real Estate) ......................................... 275,000 196,913
Pacific Capital Assets Ltd.
(Real Estate) ......................................... 560,000 108,092
Restaurant Brands
New Zealand Ltd.
(Information & Entertainment) 330,000 427,387
Telecommunications Corp. of New Zealand Ltd.
(Information Technology) .............................. 3,000 14,533
Wrightson Ltd. (Multi-industry).......................... 112,000 59,973
-----------
1,612,990
-----------
NORWAY--1.6%
Alvern Norway ASA+
(Information & Entertainment) 9,000 56,755
Fred Olsen Energy ASA+ (Energy).......................... 13,000 327,916
Norsk Hydro ASA (Energy)................................. 3,760 207,739
Orkla ASA
(Consumer Discretionary) .............................. 2,260 208,270
Saga Petroleum ASA, Class B (Energy)..................... 770 13,684
SAS Norge ASA
(Information & Entertainment) 3,900 65,956
Smedvig ASA ADR (Energy)................................. 1,850 53,419
Smedvig ASA, Class B (Energy)............................ 6,300 186,000
-----------
1,119,739
-----------
PERU--0.3%
Cerveceria Per Backus Jo
(Consumer Staples) .................................... 218,872 199,927
Telefonica del Peru SA ADR (Industrial & Commercial) .... 346 6,834
-----------
206,761
-----------
PHILIPPINES--0.5%
Cosmos Bottling
(Consumer Staples) .................................... 1,400,000 229,055
San Miguel
(Consumer Staples) .................................... 98,000 109,196
-----------
338,251
-----------
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
<S> <C> <C>
PORTUGAL--0.6%
Cimpor-Cimentos de Portugal SA (Materials)............... 7,100 $ 179,670
Establecimentos Jeronimo Martins & Filho SA
(Consumer Discretionary) .............................. 519 33,941
Mota & Companhia SA (Industrial & Commercial) ........... 7,900 132,528
Portugal Telecom SA ADR (Utilities)...................... 2,500 103,125
-----------
449,264
-----------
SINGAPORE--2.2%
City Developments Ltd.
(Real Estate) ......................................... 3,333 13,967
Cycle & Carriage Ltd.
(Consumer Discretionary) .............................. 12,000 52,571
DBS Land Ltd.
(Real Estate) ......................................... 51,000 86,781
Development Bank of Singapore Ltd. alien shares
(Finance) ............................................. 67,500 630,000
FJ Benjamin Holdings Ltd.+
(Consumer Discretionary) .............................. 230,000 59,143
Fraser & Neave Ltd.
(Consumer Staples) .................................... 3,000 15,047
Keppel Bank (Finance).................................... 106,000 172,965
Overseas Chinese Banking Corp., Ltd. alien shares
(Finance).............................................. 1,200 6,667
Overseas Union Bank Ltd.
alien shares (Finance)................................. 6,000 20,000
Sembawang Shipyard Ltd. (Industrial & Commercial) ....... 61,000 187,454
Singapore Land Ltd.
(Real Estate) ......................................... 6,000 17,067
Singapore Press Holdings Ltd. alien shares
(Information & Entertainment) 4,667 64,301
United Overseas Bank Ltd.
alien shares (Finance)................................. 40,000 220,952
Want Want Holding, Class A
(Consumer Staples) .................................... 1,600 3,104
Want Want Holding+
(Consumer Staples) .................................... 8,000 16,000
-----------
1,566,019
-----------
SOUTH AFRICA--0.7%
De Beers Centenary AG (Industrial & Commercial) ......... 12,000 286,255
</TABLE>
<PAGE>
49
International Equity Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
COMMON STOCK (CONTINUED)
<S> <C> <C>
SOUTH AFRICA (CONTINUED)
Dimension Data Holdings Ltd.+
(Information Technology) .............................. 45,000 $ 187,013
-----------
473,268
-----------
SPAIN--0.9%
Banco Bilbao Vizcaya SA (Finance)........................ 540 14,440
Banco Popular Espanol SA (Finance)....................... 880 51,964
Banco Santander SA (Finance) ............................ 2,897 81,153
Baron de Ley
(Consumer Staples) .................................... 12,500 236,303
Centros Com Pryca
(Consumer Discretionary) .............................. 800 12,704
Corporation Bancaria de Espana SA (Finance).............. 540 29,994
Empresa Nacional de Electricidad SA (Utilities).......... 3,240 61,027
Gas Natural SDG SA (Utilities) .......................... 640 29,653
Iberdrola SA (Utilities)................................. 3,190 38,156
Repsol SA (Energy)....................................... 1,084 45,455
Telefonica de Espana SA (Utilities)...................... 2,517 68,691
-----------
669,540
-----------
SWEDEN--2.1%
ABB AB, Class A (Utilities).............................. 3,710 43,342
ABB AB + (Utilities)..................................... 120 156,401
Astra AB, Class A (Healthcare) .......................... 2,844 45,945
Astra AB, Class B (Healthcare) .......................... 13,330 206,449
Atlas Copco AB, Class B (Industrial & Commercial) ....... 2,280 67,731
Electrolux AB, Series B
(Consumer Discretionary) .............................. 7,520 622,491
Granges AB+ (Materials).................................. 380 6,215
Hennes & Mauritz AB, Class B
(Consumer Discretionary) .............................. 2,850 116,627
Nordbanken AB (Finance).................................. 1,330 41,729
Sandvik AB, Class B
(Industrial & Commercial) ............................. 2,240 68,188
Scania AB, Class A
(Consumer Discretionary) .............................. 2,133 51,546
Volvo AB, Class A
(Consumer Discretionary) .............................. 2,217 57,572
-----------
1,484,236
-----------
SWITZERLAND--5.0%
Adia SA+
(Industrial & Commercial) ............................. 290 92,162
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
<S> <C> <C>
SWITZERLAND (CONTINUED)
Alusuisse-Lonza Holdings AG (Materials).................. 67 $ 60,050
CS Holding AG+ (Finance)................................. 3,310 466,272
Julius Baer Holdings AG (Finance)........................ 339 505,988
Munters AB
(Industrial & Commercial) ............................. 10,000 101,470
Nestle SA+
(Consumer Staples) .................................... 180 253,626
Novartis AG (Healthcare)................................. 290 454,183
Oerlikon Buhrle Holding AG+ (Multi-industry)............. 2,100 268,452
Roche Holdings AG (Healthcare)........................... 63 553,626
SGS Societe Generale de Surance Holding SA (Finance)..... 100 192,823
SMH AG
(Consumer Discretionary) .............................. 730 407,163
Swiss Bank Corp.+ (Finance) ............................. 270 72,598
TAG Heuer International SA+
(Consumer Discretionary) .............................. 1,049 119,865
-----------
3,548,278
-----------
THAILAND--0.6%
Advanced Information Services PCL alien shares
(Information & Entertainment) 1,000 5,216
Industrial Finance Corp. of Thailand alien shares
(Finance).............................................. 303,200 251,281
Royal Garden Resort PLC
alien shares
(Information & Entertainment) 500,000 140,159
Siam City Cement PCL
alien shares (Materials)............................... 4,700 39,181
-----------
435,837
-----------
UNITED KINGDOM--14.5%
Abbey National PLC (Finance)............................. 5,000 79,525
Airtours PLC
(Information & Entertainment) 13,333 265,078
Argos PLC
(Consumer Staples) .................................... 9,000 95,883
Argyll Group PLC+
(Consumer Staples) .................................... 14,000 91,194
ASDA Group PLC
(Consumer Staples) .................................... 17,000 44,209
BG PLC (Utilities)....................................... 6,000 26,374
Biocompatibles International PLC (Healthcare)............ 3,400 32,515
</TABLE>
<PAGE>
50
International Equity Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
COMMON STOCK (CONTINUED)
<S> <C> <C>
UNITED KINGDOM (CONTINUED)
Bluebird Toys PLC
(Information & Entertainment) 125,000 $ 224,399
British Petroleum Co. PLC (Energy)....................... 7,000 102,880
Burton Group PLC
(Consumer Discretionary) .............................. 116,000 245,220
Cable & Wireless PLC
(Information Technology) .............................. 41,667 332,757
Cadbury Schweppes PLC
(Consumer Staples) .................................... 11,000 110,732
Caradon PLC (Materials).................................. 10,800 34,427
Centrica PLC+ (Utilities)................................ 6,000 8,431
Compass Group PLC
(Industrial & Commercial) ............................. 3,000 31,710
Cookson Group PLC (Multi-industry)....................... 58,400 235,154
Eidos
(Information Technology) .............................. 15,000 173,647
Electrocomponents PLC
(Information Technology) .............................. 6,000 46,809
General Electric Co. PLC (Industrial & Commercial) ...... 38,000 242,745
GKN PLC
(Consumer Discretionary) .............................. 1,000 22,432
Glaxo Wellcome PLC (Healthcare).......................... 26,333 564,623
Grand Metropolitan PLC
(Information & Entertainment) 21,000 189,552
Guinness PLC (Consumer Staples).......................... 18,000 160,963
Hanson PLC
(Industrial & Commercial) ............................. 22,125 113,217
Imperial Chemical Industries PLC
(Materials)............................................ 20,100 296,761
Inchcape PLC (Multi-industry) ........................... 66,000 241,395
Kingfisher PLC
(Consumer Staples) .................................... 19,000 273,507
Ladbroke Group PLC
(Information & Entertainment) 11,000 49,276
Laporte PLC (Materials).................................. 20,000 220,792
Legal & General PLC (Finance)............................ 36,667 304,515
Lonrho PLC (Multi-industry) ............................. 38,000 62,479
LucasVarity PLC
(Consumer Discretionary) .............................. 60,000 205,860
Medeva PLC (Healthcare).................................. 33,700 117,038
Morgan Stanley Emerging Market Fund, Inc.
(Investment Companies) ................................ 3,600 48,375
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
<S> <C> <C>
UNITED KINGDOM (CONTINUED)
National Westminster Bank PLC (Finance).................. 52,000 $ 747,673
Orange PLC+
(Information & Entertainment) 114,000 435,603
Pearson PLC
(Information & Entertainment) 34,000 444,940
Pilkington PLC
(Consumer Staples) .................................... 85,900 216,178
Randgold Resources Ltd. GDR (Materials).................. 10,000 95,000
Rank Group PLC
(Information & Entertainment) 12,000 67,043
Reed International PLC
(Information & Entertainment) 30,000 296,710
Rio Tinto PLC (Materials)................................ 8,000 103,081
Rolls Royce PLC
(Industrial & Commercial) ............................. 41,400 148,642
Sainsbury (J.) PLC+
(Consumer Staples) .................................... 35,000 292,138
Shell Transport & Trading Co. PLC (Energy)............... 44,000 312,078
Smith (David S) Holdings PLC (Materials)................. 5,000 19,126
Smith (W.H.) Group PLC
(Consumer Discretionary) .............................. 45,000 285,242
Smithkline Beecham PLC (Healthcare)...................... 42,800 405,714
T & N PLC
(Consumer Discretionary) .............................. 7,000 29,551
Tanjong PLC
(Information & Entertainment) 14,000 24,779
Tarmac PLC (Materials)................................... 133,333 261,729
Tesco PLC (Consumer Staples) ............................ 12,000 96,085
Thistle Hotels PLC
(Information & Entertainment).......................... 58,300 148,676
Tomkins PLC (Consumer Staples)........................... 33,000 169,419
United News & Media PLC (Information & Entertainment).... 13,000 163,581
Vickers PLC (Multi-industry)............................. 43,000 164,847
Williams Holdings PLC
(Industrial & Commercial) ............................. 28,724 172,526
-----------
10,394,835
-----------
VENEZUELA--0.0%
Compania Anon Nacional Tele de Venezuela ADR
(Utilities)............................................ 230 10,063
-----------
TOTAL COMMON STOCK
(cost $66,167,044)....................................... 63,257,171
-----------
</TABLE>
<PAGE>
51
International Equity Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
SHARES/WARRANTS/
PRINCIPAL
AMOUNT
(IN VALUE
SECURITY DESCRIPTION THOUSANDS) (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
PREFERRED STOCK--0.6%
AUSTRALIA--0.0%
News Corp., Ltd.
(Information & Entertainment) ................... 2,116 $ 9,390
Sydney Harbour Casualty (Finance).................. 12,600 12,848
-----------
22,238
-----------
GERMANY--0.1%
Fresenius AG (Healthcare).......................... 100 16,882
Hornbach Holding AG
(Consumer Discretionary) ........................ 250 16,823
SAP AG
(Information Technology) ........................ 90 26,810
-----------
60,515
-----------
ITALY--0.3%
Istituto Finanziario (Finance) ...................... 18,600 234,560
-----------
UNITED KINGDOM--0.2%
Simba Fund Ltd.
(Investment Companies)........................... 14,000 136,500
-----------
TOTAL PREFERRED STOCK
(cost $462,453).................................... 453,813
-----------
OPTIONS--0.0%+
SINGAPORE--0.0%
DBS 50 Index, Jan 1998/403 Call(1)................. 83 0
DBS 50 Index, Jan 1998/404 Call(1)................. 23 0
DBS 50 Index, Jan 1998/407 Call(1)................. 80 0
DBS 50 Index, Jan 1998/407 Call(1)................. 79 0
-----------
TOTAL OPTIONS (cost $11,500)......................... 0
-----------
WARRANTS--0.0%+
FRANCE--0.0%
Compagnie Generale des Eaux
5/02/01
(Industrial & Commercial)........................ 1,760 930
Rhone-Poulenc Ltd. 11/05/01
(Healthcare)..................................... 2,026 6,410
-----------
TOTAL WARRANTS (cost $338)........................... 7,340
-----------
CONVERTIBLE BONDS--0.3%
CHINA--0.2%
Qingling Motors Co., Ltd.
3.50% 2002....................................... $ 156 156,780
-----------
THAILAND--0.1%
Bangkok Bank PCL alien shares 3.25% 2004........... 37 19,795
-----------
TOTAL CONVERTIBLE BONDS
(cost $193,481).................................... 176,575
-----------
TOTAL INVESTMENT SECURITIES
(cost $66,834,816)................................. 63,894,899
-----------
<CAPTION>
PRINCIPAL
AMOUNT
(IN VALUE
SECURITY DESCRIPTION THOUSANDS) (NOTE 3)
- ---------------------------------------------------------------------------
<S> <C> <C>
SHORT-TERM SECURITIES--1.2%
Cayman Island Time Deposit with State Street Bank and
Trust Co. 3.00% due 11/03/97 (cost $835,000)....... $ 835 $ 835,000
-----------
REPURCHASE AGREEMENTS--9.3%
Agreement with State Street Bank and Trust Co.,
bearing 5.00%, dated 10/31/97 to be repurchased
11/03/97 in the amount of $5,256,189
collateralized by $5,310,000 U.S. Treasury Note
6.375%, due 4/30/99 approximate aggregate value
$5,366,419
(cost $5,254,000)................................ 5,254 5,254,000
Agreement with State Street Bank and Trust Co.,
bearing 5.55%, dated 10/31/97 to be repurchased
11/03/97 in the amount of $1,425,659
collateralized by $1,225,000 U.S. Treasury Note
7.625%, due 2/15/25 approximate aggregate value
$1,466,736
(cost $1,425,000)................................ 1,425 1,425,000
-----------
TOTAL REPURCHASE AGREEMENTS
(cost $6,679,000).................................. 6,679,000
-----------
TOTAL INVESTMENTS--
(cost $74,348,816)................................. 99.9% 71,408,899
Other assets less liabilities--.................... 0.1 71,497
------- -----------
NET ASSETS-- 100.0% $71,480,396
------- -----------
------- -----------
</TABLE>
- ------------------
+ Non-income producing security
* Resale restricted to qualified institutional buyers
ADR ('American Depositary Receipt')
EDR ('European Depositary Receipt')
GDR ('Global Depositary Receipt')
(1) Fair valued security, see Note 3
See Notes to Financial Statements
<PAGE>
52
NOTES TO FINANCIAL STATEMENTS -- October 31, 1997
Note 1. Organization
Style Select Series, Inc. (the 'Fund') is an open-end diversified management
investment company organized as a Maryland corporation on July 3, 1996. The Fund
is managed by SunAmerica Asset Management Corp. ('SunAmerica'), an indirect
wholly-owned subsidiary of SunAmerica Inc. The Fund currently offers eight
separate investment portfolios (each, a 'Portfolio'). The assets of each
Portfolio are normally allocated among at least three investment advisers (each,
an 'Adviser'), each of which will be independently responsible for advising its
respective portion of the Portfolio's assets. The investment objectives for each
of the Portfolios are as follows:
Large-Cap Growth Portfolio seeks long-term growth of capital by investing
generally in equity securities of large-sized companies.
Mid-Cap Growth Portfolio seeks long-term growth of capital by investing
primarily in equity securities which have a market capitalization of $1 billion
to $5 billion.
Aggressive Growth Portfolio seeks long-term growth of capital by investing
primarily in equity securities which have a market capitalization of less than
$1 billion.
Large-Cap Blend Portfolio seeks long-term growth of capital and a reasonable
level of current income by investing generally in equity securities of
large-sized companies.
Large-Cap Value Portfolio seeks long-term growth of capital by investing in
equity securities of large-sized companies using a 'value' style of investing.
Value Portfolio seeks long-term growth of capital by investing primarily in
equity securities using a 'value' style of investing.
Small-Cap Value Portfolio seeks long-term growth of capital by investing in
equity securities of small-sized companies using a 'value' style of investing.
International Equity Portfolio seeks long-term growth of capital by investing in
equity securities of issuers in countries other than the United States.
Each Portfolio currently offers three classes of shares. Class A shares are
offered at net asset value per share plus an initial sales charge. Class B
shares are offered without an initial sales charge, although a declining
contingent sales charge may be imposed on redemptions made within six years of
purchase. Any purchases of Class A shares in excess of $1,000,000 will be
subject to a contingent deferred sales charge on redemptions made within one
year of purchase. Class B shares of each Portfolio will convert automatically to
Class A shares on the first business day of the month after seven years from the
issuance of such Class B shares and at such time will be subject to the lower
distribution fee applicable to Class A shares. Class C shares are offered at net
asset value, although they may be subject to a contingent deferred sales charge
on redemptions made within one year of purchase. Each class of shares bears the
same voting, dividend, liquidation and other rights and conditions and each
makes distribution and account maintenance and service fee payments under the
distribution plans pursuant to Rule 12b-1 under the Investment Company Act of
1940 (the '1940 Act'), except that Class B shares and Class C shares are subject
to higher distribution fee rates.
Note 2. Reorganization
On September 29, 1997, International Equity Portfolio acquired all of the assets
and liabilities of SunAmerica Global Balanced Fund ('Global Balanced Fund'), a
regulated investment company registered under the 1940 Act. The agreement was
adopted as a tax-free reorganization of Global Balanced Fund. In exchange for
all of the assets of Global Balanced Fund, International Equity Portfolio issued
495,830 Class A shares and 1,063,431 Class B shares at net asset values of
$13.50 and $13.42, respectively, to Class A shareholders and Class B
<PAGE>
53
NOTES TO FINANCIAL STATEMENTS -- October 31, 1997 -- (continued)
shareholders of Global Balanced Fund. As of the close of business on September
29, 1997, the total net assets of Global Balanced were $20,964,949 (including
$1,218,731 of unrealized appreciation on investments and $1,619 of unrealized
depreciation of foreign currency). The net assets of International Equity
Portfolio were $56,392,003 on September 29, 1997.
Note 3. 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. The following is a summary of the
significant accounting policies followed by the Portfolios in the preparation of
their financial statements:
SECURITY VALUATIONS: Securities that are actively traded in the over-the-counter
market, including listed securities for which the primary market is believed by
the Adviser to be over-the-counter, are valued at the quoted bid price provided
by principal market makers. Securities listed on the New York Stock Exchange
('NYSE') or other national securities exchanges, are valued on the basis of the
last sale price on the exchange on which they are primarily traded. If there is
no sale on that day, then securities are valued at the closing bid price on the
NYSE or other primary exchange for that day. However, if the last sale price on
the NYSE is different than the last sale price on any other exchange, the NYSE
price is used. Securities that are traded on foreign exchanges are ordinarily
valued at the last quoted sales price available before the time when the assets
are valued. 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. Values of portfolio securities primarily traded on foreign exchanges
are already translated into U.S. dollars when received from a quotation service.
Options traded on national securities exchanges are valued as of the close of
the exchange on which they are traded. Futures and options traded on commodities
exchanges are valued at their last sale price as of the close of such exchange.
The Portfolios may make use of a pricing service in the determination of their
net asset values. Securities for which market quotations are not readily
available and other assets are valued at fair value as determined pursuant to
procedures adopted in good faith by the Directors. Short-term investments which
mature in less than 60 days are valued at amortized cost, if their original
maturity was 60 days or less, or by amortizing their value on the 61st day prior
to maturity, if their original term to maturity exceeded 60 days.
REPURCHASE AGREEMENTS: The Portfolios, along with other affiliated registered
investment companies, may transfer uninvested cash balances into a single joint
account, the daily aggregate balance of which is invested in one or more
repurchase agreements collateralized by U.S. Treasury or federal agency
obligations. The Portfolios' custodian takes possession of the collateral
pledged for investments in such repurchase agreements. The underlying collateral
is valued daily on a mark to market basis to ensure that the value, at the time
the agreement is entered into, is equal to at least 102% of the repurchase
price, including accrued interest. In the event of default of the obligation to
repurchase, a Portfolio 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
Portfolio may be delayed or limited.
Pursuant to exemptive relief granted by the Securities and Exchange Commission,
the Portfolios are permitted to participate in joint repurchase agreement
transactions with other affiliated mutual funds.
As of October 31, 1997, the Aggressive Growth Portfolio and the Large-Cap Blend
Portfolio had a 2.9% and 0.3% undivided interest, respectively, which
represented $2,661,000 and $273,000, respectively, in principal
<PAGE>
54
NOTES TO FINANCIAL STATEMENTS -- October 31, 1997 -- (continued)
amount in a joint repurchase agreement with PaineWebber, Inc. As of such date,
the repurchase agreement in the joint account and the collateral therefore were
as follows:
PaineWebber, Inc. Repurchase Agreement, 5.60% dated 10/31/97, in the principal
amount of $91,372,000 repurchase price $91,414,640 due 11/03/97, collateralized
by $93,235,000 U.S. Treasury Notes 5.625% due 10/31/99, approximate aggregate
value $93,249,918.
As of October 31, 1997, the Large Cap Value Portfolio had a 0.2% undivided
interest which represented $130,000 in principal amount in a joint repurchase
agreement with PaineWebber, Inc. As of such date, the repurchase agreement in
the joint account and the collateral therefore were as follows:
PaineWebber, Inc. Repurchase Agreement 5.67% dated 10/31/97, in the principal
amount of $65,665,000 repurchase price $65,696,027 due 11/03/97 collateralized
by $15,710,000 U.S. Treasury Notes 5.625% due 1/31/98 and $50,000,000 U.S.
Treasury Note 5.375% due 5/31/98, approximate aggregate value $67,016,362.
SECURITIES TRANSACTIONS, INVESTMENT INCOME, EXPENSES, DIVIDENDS AND
DISTRIBUTIONS TO SHAREHOLDERS: Securities transactions are recorded on a trade
date basis. Realized gains and losses on sales of investments are calculated on
the identified cost basis. Interest income is recorded on the accrual basis;
dividend income is recorded on the ex-dividend date. Portfolios investing in
foreign securities may be subject to taxes imposed by countries in which they
invest. Such taxes are generally based on either income or gains earned or
repatriated. The Portfolios accrue such taxes when the related income is earned.
The Portfolios amortize premiums and accrue discounts including original issue
discounts as required for federal income tax purposes.
Net investment income, other than class specific expenses and realized and
unrealized gains and losses, is allocated daily to each class of shares based
upon the relative net asset value of outstanding shares of each class of shares
at the beginning of the day (after adjusting for the current capital shares
activity of the respective class).
Expenses common to all Portfolios, not directly related to individual
Portfolios, are allocated among the Portfolios based upon their relative net
asset value or other appropriate methods.
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. Net investment income/loss, net
realized gain/loss, and net assets were not affected.
For the period ended October 31, 1997, the following reclassifications arising
from book/tax differences were primarily the result of reclassifications due to
net operating losses.
<TABLE>
<CAPTION>
ACCUMULATED ACCUMULATED
UNDISTRIBUTED UNDISTRIBUTED PAID
NET REALIZED NET INVESTMENT IN
GAIN/LOSS INCOME/LOSS CAPITAL
------------- -------------- ---------
<S> <C> <C> <C>
Large-Cap Growth Portfolio................................................ $ -- $ 4,215 $ (4,215)
Mid-Cap Growth Portfolio.................................................. (351,091) 595,049 (243,958)
Aggressive Growth Portfolio............................................... (567,414) 597,185 (29,771)
Large-Cap Blend Portfolio................................................. (191) 4,493 (4,302)
Large-Cap Value Portfolio................................................. -- 4,327 (4,327)
Value Portfolio........................................................... (220,800) 248,523 (27,723)
Small-Cap Value Portfolio................................................. -- 4,933 (4,933)
International Equity Portfolio............................................ (209,293) 233,038 (23,745)
</TABLE>
<PAGE>
55
NOTES TO FINANCIAL STATEMENTS -- October 31, 1997 -- (continued)
FOREIGN CURRENCY TRANSACTION: The books and records of the Fund 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 Fund 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 Fund 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 gains and losses on other assets and liabilities and
change in unrealized foreign exchange gains and losses on other assets and
liabilities include 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 a Portfolio'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 other assets and liabilities arising as a result of
changes in the exchange rate.
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 realized foreign exchange 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.
OPTIONS: 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 a 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 option 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 basis
of the security which the Portfolio purchased upon exercise of the option.
ORGANIZATIONAL EXPENSES: Costs incurred by SAAMCo in connection with the
organization of each Portfolio are being amortized on a straight line basis by
the Portfolios over a period not to exceed 60 months from the date the
Portfolios commenced operations.
<PAGE>
56
NOTES TO FINANCIAL STATEMENTS -- October 31, 1997 -- (continued)
Note 4. Investment Advisory and Management Agreement, Distribution Agreement and
Service Agreement
The Fund, on behalf of each Portfolio, has entered into an Investment Advisory
and Management Agreement (the 'Agreement') with SunAmerica. Under the Agreement,
SunAmerica provides continuous supervision of the respective Portfolios and
administers their corporate affairs, subject to general review by the Board of
Directors (the 'Directors'). In connection therewith, SunAmerica furnishes the
Fund with office facilities, maintains certain of the Fund's books and records,
and pays for the salaries and expenses of all personnel, including officers of
the Fund who are employees of SunAmerica and its affiliates. The annual rate of
the investment advisory and management fee payable by each Portfolio to
SunAmerica as full compensation for services and facilities furnished to the
Fund is as follows: 1.00% of the average daily net assets of the Large-Cap
Growth, Mid-Cap Growth, Aggressive Growth, Large-Cap Blend, Large-Cap Value,
Value and Small-Cap Value Portfolios, respectively, and 1.10% of the average
daily net assets of the International Equity Portfolio.
The organizations described below act as Advisers to the Fund pursuant to
Subadvisory Agreements with SunAmerica. Under the Subadvisory Agreements, the
Advisers manage the investment and reinvestment of the assets of the respective
Portfolios for which they are responsible. Each of the following Advisers is
independent of SunAmerica (with the exception of the Aggressive Growth and
Large-Cap Blend Portfolios, for which SunAmerica acts as an Adviser) and
discharges its responsibilities subject to the policies of the Directors and the
oversight and supervision of SunAmerica, which pays the Advisers' fees. The
Advisers for the Large-Cap Growth Portfolio are Janus Capital Corporation; L.
Roy Papp & Associates; and Montag & Caldwell, Inc. The Advisers for the Mid-Cap
Growth Portfolio are Miller Anderson & Sherrerd, LLP; Pilgrim Baxter &
Associates, Ltd.; and T. Rowe Price Associates, Inc. The Advisers for the
Aggressive Growth Portfolio are Janus Capital Corporation; SunAmerica; and
Warburg, Pincus Asset Management, Inc. The Advisers for the Large-Cap Blend
Portfolio are Lazard Asset Management; SunAmerica; and T. Rowe Price Associates,
Inc. The Advisers for the Large-Cap Value Portfolio are David L. Babson & Co.,
Inc.; Davis Selected Advisers, L.P; and Wellington Management. The Advisers for
the Value Portfolio are Davis Selected Advisers, L.P.; Neuberger & Berman, LLC.;
and Strong Capital Management, Inc. The Advisers for the Small-Cap Value are
Berger Associates, Inc.; Lazard Asset Management; and The Glenmede Trust
Company. The Advisers for the International Equity Portfolio are Rowe
Price-Fleming International, Inc.; Strong Capital Management, Inc.; and Warburg,
Pincus Counsellors, Inc. Each Adviser is paid monthly by SunAmerica a fee equal
to a percentage of the average daily net assets of the Portfolio allocated to
the Adviser. Through October 31, 1997, SunAmerica paid the Advisers for each
Portfolio the following, expressed as an annual percentage of the average daily
net assets of each Portfolio: Large-Cap Growth Portfolio, .48%; Mid-Cap Growth
Portfolio, .50%; Aggressive Growth Portfolio, .37%; Large-Cap Blend Portfolio,
.32%; Large-Cap Value Portfolio, .41%; Value Portfolio, .50%; Small-Cap Value
Portfolio, .55% and International Equity Portfolio, .65%.
SunAmerica has voluntarily agreed to waive fees or reimburse expenses, if
necessary, to keep annual operating expenses at or below the following
percentages of each Portfolio's average net assets: Large-Cap Growth Portfolio,
Mid-Cap Growth Portfolio, Aggressive Growth Portfolio, Large-Cap Blend
Portfolio, Large-Cap Value Portfolio, Value Portfolio and Small-Cap Value
Portfolio 1.78% for Class A shares and 2.43% for Class B shares and Class C
shares, respectively. International Equity Portfolio 2.03% for Class A shares
and 2.68% for Class B and Class C shares. Prior to June 17, 1997, SunAmerica
voluntarily agreed to waive fees or reimburse expenses, if necessary, to keep
annual operating expenses at or below an annual rate of 1.90% of the average
daily net assets of Class A and 2.55% of the average daily net assets of Class B
and Class C shares for the Mid-Cap Growth Portfolio, Aggressive Growth Portfolio
and Value Portfolio, and 2.15% of the average daily net assets of Class A shares
and 2.80% of the average daily net asets of Class B and Class C shares for the
International Equity Portfolio. SunAmerica also may voluntarily waive or
reimburse additional amounts to increase the investment return to a Portfolio's
investors. Further, any waivers or reimbursements made by SunAmerica with
respect to a Portfolio are subject to recoupment from that Portfolio within the
following two
<PAGE>
57
NOTES TO FINANCIAL STATEMENTS -- October 31, 1997 -- (continued)
years, provided that the Portfolio is able to effect such payment to SunAmerica
and remain in compliance with the foregoing expense limitations.
At October 31, 1997, expenses previously waived or reimbursed by SAAMCO that are
subject to recoupment are as follows:
<TABLE>
<CAPTION>
MANAGEMENT OTHER
FEES EXPENSES
REIMBURSED REIMBURSED
---------- ----------
<S> <C> <C>
Large-Cap Growth A............. $ 6,709 --
Large-Cap Growth B............. 102 $ 163
Large-Cap Growth C............. 35 158
Mid-Cap Growth A............... 71,761 --
Mid-Cap Growth B............... 55,863 13,191
Mid-Cap Growth C............... 5,072 9,168
Aggressive Growth A............ 78,040 --
Aggressive Growth B............ 53,505 12,588
Aggressive Growth C............ 4,955 9,084
Large-Cap Blend A.............. 6,679 --
Large-Cap Blend B.............. 139 163
Large-Cap Blend C.............. 36 158
<CAPTION>
MANAGEMENT OTHER
FEES EXPENSES
REIMBURSED REIMBURSED
---------- ----------
<S> <C> <C>
Large-Cap Value A.............. $ 6,656 --
Large-Cap Value B.............. 163 $ 163
Large-Cap Value C.............. 35 158
Value A........................ 95,010 --
Value B........................ 86,174 18,541
Value C........................ 7,801 9,906
Small-Cap Value A.............. 6,269 --
Small-Cap Value B.............. 516 153
Small-Cap Value C.............. 106 156
International Equity A......... 80,880 --
International Equity B......... 60,595 13,024
International Equity C......... 6,498 8,825
</TABLE>
The Fund, on behalf of each Portfolio, has entered into a Distribution Agreement
with SunAmerica Capital Services, Inc. ('SACS' or the 'Distributor'), an
indirect wholly-owned subsidiary of SunAmerica Inc. Each Portfolio has adopted a
Distribution Plan (the 'Plan') in accordance with the provisions of Rule 12b-1
under the Act. Rule 12b-1 under the Act permits an investment company directly
or indirectly to pay expenses associated with the distribution of its shares
('distribution expenses') in accordance with a plan adopted by the investment
company's Board of Directors. Pursuant to such rule, the Directors and the
shareholders of each class of shares of each Portfolio have adopted Distribution
Plans hereinafter referred to as the 'Class A Plan,' the 'Class B Plan' and the
'Class C Plan.' In adopting the Class A Plan, the Class B Plan and the Class C
Plan, the Directors determined that there was a reasonable likelihood that each
such Plan would benefit the Fund and the shareholders of the respective class.
The sales charge and distribution fees of a particular class will not be used to
subsidize the sale of shares of any other class.
Under the Class A Plan, the Distributor receives payments from a Portfolio at an
annual rate of up to 0.10% of average daily net assets of such Portfolio's Class
A shares to compensate the Distributor and certain securities firms for
providing sales and promotional activities for distributing that class of
shares. Under the Class B and Class C Plans, the Distributor may receive
payments from a Portfolio at the annual rate of up to 0.75% of the average daily
net assets of such Portfolio's Class B and Class C shares, respectively, to
compensate the Distributor and certain securities firms for providing sales and
promotional activities for distributing each such class of shares. The
distribution costs for which the Distributor may be reimbursed out of such
distribution fees include fees paid to broker-dealers that have sold Portfolio
shares, commissions, and other expenses such as those incurred for sales
literature, prospectus printing and distribution and compensation to
wholesalers. It is possible that in any given year the amount paid to the
Distributor under the Class A Plan, Class B Plan or Class C Plan may exceed the
Distributor's distribution costs as described above. The Distribution Plans also
provide that each class of shares of each Portfolio may also pay the Distributor
an account maintenance and service fee up to an annual rate of 0.25% of the
average daily net assets of such class of shares for payments to broker-dealers
for providing continuing account maintenance. Accordingly, through October 31,
1997, SACS received fees (see Statement of Operations) based upon the
aforementioned rates.
<PAGE>
58
NOTES TO FINANCIAL STATEMENTS -- October 31, 1997 -- (continued)
SACS receives sales charges on each Portfolio's Class A shares, portions of
which are reallowed to affiliated broker-dealers and non-affiliated
broker-dealers. SACS also receives the proceeds of contingent deferred sales
charges paid by investors in connection with certain redemptions of each
Portfolio's Class B and Class C shares. SACS has advised the Portfolios that for
the period ended October 31, 1997, the proceeds received from Class A sales (and
paid out to affiliated and non-affiliated broker-dealers), Class B and Class C
redemptions are as follows:
<TABLE>
<CAPTION>
CLASS B
CLASS A ----------- CLASS C
------------------------------------------ CONTINGENT -------------
AFFILIATED NON-AFFILIATED DEFERRED CONTINGENT
SALES BROKER- BROKER- SALES DEFERRED
CHARGES DEALERS DEALERS CHARGES SALES CHARGES
---------- ---------- -------------- ----------- -------------
<S> <C> <C> <C> <C> <C>
Large-Cap Growth Portfolio....... $ 15,599 $ 2,885 $ 10,059 $ -- $ --
Mid-Cap Growth Portfolio......... 802,237 257,754 440,666 25,643 268
Aggressive Growth Portfolio...... 1,394,623 545,170 668,387 26,249 937
Large-Cap Blend Portfolio........ 22,528 9,732 9,440 -- --
Large-Cap Value Portfolio........ 38,564 6,352 25,006 -- --
Value Portfolio.................. 1,925,092 715,034 949,290 30,795 945
Small-Cap Value Portfolio........ 59,419 18,399 32,100 -- --
International Equity Portfolio... 699,157 225,890 383,626 18,872 426
</TABLE>
The Fund, on behalf of each Portfolio, has entered into a Service Agreement with
SunAmerica Fund Services, Inc. ('SAFS'), an indirect wholly-owned subsidiary of
SunAmerica Inc. Under the Service Agreement, SAFS performs certain shareholder
account functions by assisting the Portfolios' transfer agent in connection with
the services that it offers to the shareholders of the Portfolios. The Service
Agreement, which permits the Portfolios to compensate SAFS for services rendered
based upon an annual rate of 0.22% of average daily net assets, is approved
annually by the Directors. For the period ended October 31, 1997, the Portfolios
incurred the following expenses, which are included in transfer agent fees in
the Statement of Operations, to compensate SAFS pursuant to the terms of the
Service Agreement.
<TABLE>
<CAPTION>
PAYABLE
EXPENSE OCTOBER 31, 1997
----------------------------- -----------------------------
CLASS A CLASS B CLASS C CLASS A CLASS B CLASS C
------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
Large-Cap Growth Portfolio....... $ 2,503 $ 38 $ 13 $ 2,503 $ 38 $ 13
Mid-Cap Growth Portfolio......... 46,320 36,275 3,253 3,822 6,805 895
Aggressive Growth Portfolio...... 66,865 46,155 4,252 7,311 9,373 1,113
Large-Cap Blend Portfolio........ 2,514 53 14 2,514 53 14
Large-Cap Value Portfolio........ 2,506 62 13 2,506 62 13
Value Portfolio.................. 73,489 67,984 6,227 9,217 14,451 1,665
Small-Cap Value Portfolio........ 2,419 198 40 2,419 198 40
International Equity Portfolio... 48,437 35,815 3,883 4,983 8,495 897
</TABLE>
Note 5. Purchases and Sales of Investment Securities
The aggregate cost of purchase and proceeds from sales and maturities of
investments (excluding U.S. Government securities and short-term investments)
through October 31, 1997 were as follows:
<TABLE>
<CAPTION>
LARGE-CAP MID-CAP AGGRESSIVE LARGE-CAP
GROWTH GROWTH GROWTH BLEND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------ ------------ -----------
<S> <C> <C> <C> <C>
Aggregate purchases... $25,441,617 $ 82,570,008 $138,188,608 $24,729,190
----------- ------------ ------------ -----------
----------- ------------ ------------ -----------
Aggregate sales....... $ 193,228 $ 33,441,496 $ 68,985,566 $ 404,332
----------- ------------ ------------ -----------
----------- ------------ ------------ -----------
</TABLE>
<PAGE>
59
NOTES TO FINANCIAL STATEMENTS -- October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
LARGE-CAP SMALL-CAP INTERNATIONAL
VALUE VALUE VALUE EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------ ------------ -----------
<S> <C> <C> <C> <C>
Aggregate purchases... $24,049,833 $138,953,561 $ 20,506,477 $79,766,373
----------- ------------ ------------ -----------
----------- ------------ ------------ -----------
Aggregate sales....... $ -- $ 29,039,505 $ -- $24,762,382
----------- ------------ ------------ -----------
----------- ------------ ------------ -----------
</TABLE>
Note 6. Transactions with Affiliates
The following Portfolios incurred brokerage commissions with an affiliated
broker:
<TABLE>
<CAPTION>
ROWE-PRICE FLEMING
NEUBERGER & WARBURG, PINCUS INTERNATIONAL,
BERMAN LLC COUNSELLORS, INC. INC.
----------- ----------------- ------------------
<S> <C> <C> <C>
Value Portfolio...................................................... $47,675 $ -- $ --
International Equity Portfolio....................................... -- 29,176 32,083
</TABLE>
Note 7. Federal Income Taxes
The Portfolios intend to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and distribute all of their
taxable income, including any net realized gain on investments, to their
shareholders. Therefore, no federal tax provision is required.
The amounts of aggregate unrealized gain (loss) and the cost of investment
securities, including short-term securities, for federal income tax purposes
were as follows:
<TABLE>
<CAPTION>
LARGE-CAP MID-CAP AGGRESSIVE LARGE-CAP
GROWTH GROWTH GROWTH BLEND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------ ----------- -----------
<S> <C> <C> <C> <C>
Cost.................... $25,668,948 $ 51,758,783 $80,701,326 $25,703,119
----------- ------------ ----------- -----------
----------- ------------ ----------- -----------
Appreciation............ $ 340,711 $ 8,133,111 $15,848,328 $ 155,425
Depreciation............ (1,635,303) (1,481,383) (2,352,042) (1,232,097)
----------- ------------ ----------- -----------
Net unrealized
appreciation
(depreciation)........ $(1,294,592) $ 6,651,728 $13,496,286 $(1,076,672)
----------- ------------ ----------- -----------
----------- ------------ ----------- -----------
</TABLE>
<TABLE>
<CAPTION>
LARGE-CAP SMALL-CAP INTERNATIONAL
VALUE VALUE VALUE EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------ ----------- -----------
<S> <C> <C> <C> <C>
Cost.................... $25,430,318 $126,615,682 $25,580,088 $74,567,051
----------- ------------ ----------- -----------
----------- ------------ ----------- -----------
Appreciation............ $ 88,336 $ 14,096,438 $ 155,011 $ 4,195,553
Depreciation............ (1,424,132) (3,418,677) (923,013) (7,353,705)
----------- ------------ ----------- -----------
Net unrealized
appreciation
(depreciation)........ $(1,335,796) $ 10,677,761 $ (768,002) $(3,158,152)
----------- ------------ ----------- -----------
----------- ------------ ----------- -----------
</TABLE>
At October 31, 1997, Large-Cap Growth and Large-Cap Blend had capital loss
carryforwards of $159,379 and $13,688, respectively, which are available to the
extent provided in the regulations and which will expire 2005.
<PAGE>
60
NOTES TO FINANCIAL STATEMENTS -- October 31, 1997 -- (continued)
Note 8. Open Forward Currency Contracts
At October 31, 1997, the International Equity Portfolio held forward foreign
currency exchange contracts ('forward contracts') in order to hedge against
changes in future foreign exchange rates and enhance return. Forward contracts
involve elements of market risk in excess of the amount reflected in the
Statement of Assets and Liabilities. The Portfolio bears the risk of an
unfavorable change in the foreign exchange rate underlying the forward
contracts. International Equity Portfolio held the following forward currency
contracts at October 31, 1997.
<TABLE>
<CAPTION>
GROSS
CONTRACT IN DELIVERY UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
- --------------- -------------- -------- -----------
<S> <C> <C> <C>
JPY 359,766,450 USD 3,106,791 11/28/97 $ 105,458
*JPY 25,102,350 USD 216,773 11/28/97 7,358
*JPY 19,161,200 USD 165,468 11/28/97 5,617
*USD 566,866 FRF 3,300,000 12/12/97 6,170
-----------
124,603
-----------
<CAPTION>
GROSS
CONTRACT IN DELIVERY UNREALIZED
TO DELIVER EXCHANGE FOR DATE DEPRECIATION
- --------------- -------------- -------- -----------
<S> <C> <C> <C>
JPY 161,114,900 USD 1,340,000 11/28/97 $ (4,093)
*USD 210,000 JPY 25,102,350 11/28/97 (585)
*USD 160,000 JPY 19,161,200 11/28/97 (149)
*FRF 3,300,000 USD 538,503 12/12/97 (34,533)
-----------
(39,360)
-----------
Net Appreciation........................... $ 85,243
-----------
-----------
</TABLE>
* Represents open forward foreign currency contracts and offsetting open forward
foreign currency contracts that do not have additional market risk but have
continued counterparty settlement risk.
<TABLE>
<S> <C>
FRF --French Franc
JPY --Japanese Yen
USD --United States Dollar
</TABLE>
Note 9. Capital Share Transactions
At October 31, 1997, SunAmerica Inc. owned shares in each class as follows:
<TABLE>
<CAPTION>
SHARES PERCENTAGE OF NET ASSETS
------------------------------------ --------------------------------
CLASS A CLASS B CLASS C CLASS A CLASS B CLASS C
------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
Large-Cap Growth Portfolio 1,946,082 8,000 8,000 93.46% .38% .38%
Mid-Cap Growth Portfolio 1,000 1,000 838 .02 .02 .02
Aggressive Growth Portfolio 1,000 1,000 747 .02 .02 .01
Large-Cap Blend Portfolio 1,919,330 8,000 8,000 93.18 .39 .39
Large-Cap Value Portfolio 1,859,065 8,000 8,000 89.13 .38 .38
Value Portfolio 1,000 1,000 737 .01 .01 .01
Small-Cap Value Portfolio 1,601,147 8,000 8,000 77.80 .39 .39
International Equity Portfolio 282,513 1,000 794 4.92 .02 .01
</TABLE>
<PAGE>
61
NOTES TO FINANCIAL STATEMENTS -- October 31, 1997 -- (continued)
Transactions in shares of each class of each series were as follows:
<TABLE>
<CAPTION>
LARGE-CAP GROWTH PORTFOLIO
-------------------------------------------------------------------------------
CLASS A CLASS B CLASS C
------------------------- ------------------------ ----------------------
FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD
OCTOBER 15, 1997* OCTOBER 15, 1997 OCTOBER 15, 1997
THROUGH THROUGH THROUGH
OCTOBER 31, 1997 OCTOBER 31, 1997 OCTOBER 31, 1997
------------------------- ------------------------ ----------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ----------- --------- ----------- -------- ----------
<S> <C> <C> <C> <C> <C> <C>
Shares sold............ 2,056,806 $25,693,489 65,591 $ 793,598 14,084 $ 172,781
Reinvested dividends... -- -- -- -- -- --
Shares redeemed........ (53,919) (661,012) -- -- -- --
---------- ----------- --------- ----------- -------- ----------
Net increase........... 2,002,887 $25,032,477 65,591 $ 793,598 14,084 $ 172,781
---------- ----------- --------- ----------- -------- ----------
---------- ----------- --------- ----------- -------- ----------
<CAPTION>
MID-CAP GROWTH PORTFOLIO
-------------------------------------------------------------------------------
CLASS A CLASS B CLASS C
------------------------- ------------------------ ----------------------
FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD
NOVEMBER 19, 1996* NOVEMBER 19, 1996 MARCH 6, 1997
THROUGH THROUGH THROUGH
OCTOBER 31, 1997 OCTOBER 31, 1997 OCTOBER 31, 1997
------------------------- ------------------------ ----------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ----------- --------- ----------- -------- ----------
<S> <C> <C> <C> <C> <C> <C>
Shares sold............ 3,264,892 $40,663,001 2,969,116 $37,170,139 458,934 $5,975,048
Reinvested dividends... -- -- -- -- -- --
Shares redeemed........ (1,923,538) (25,255,844) (348,034) (4,559,436) (115,441) (1,596,837)
---------- ----------- --------- ----------- -------- ----------
Net increase........... 1,341,354 $15,407,157 2,621,082 $32,610,703 343,493 $4,378,211
---------- ----------- --------- ----------- -------- ----------
---------- ----------- --------- ----------- -------- ----------
<CAPTION>
AGGRESSIVE GROWTH PORTFOLIO
-------------------------------------------------------------------------------
CLASS A CLASS B CLASS C
------------------------- ------------------------ ----------------------
FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD
NOVEMBER 19, 1996* NOVEMBER 19, 1996 MARCH 6, 1997
THROUGH THROUGH THROUGH
OCTOBER 31, 1997 OCTOBER 31, 1997 OCTOBER 31, 1997
------------------------- ------------------------ ----------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ----------- --------- ----------- -------- ----------
<S> <C> <C> <C> <C> <C> <C>
Shares sold............ 3,856,767 $52,508,769 3,420,491 $48,609,878 411,297 $5,980,151
Reinvested dividends... -- -- -- -- -- --
Shares redeemed........ (1,433,429) (22,546,557) (345,988) (5,157,472) (35,505) (512,718)
---------- ----------- --------- ----------- -------- ----------
Net increase........... 2,423,338 $29,962,212 3,074,503 $43,452,406 375,792 $5,467,433
---------- ----------- --------- ----------- -------- ----------
---------- ----------- --------- ----------- -------- ----------
<CAPTION>
LARGE-CAP BLEND PORTFOLIO
-------------------------------------------------------------------------------
CLASS A CLASS B CLASS C
------------------------- ------------------------ ----------------------
FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD
OCTOBER 15, 1997* OCTOBER 15, 1997 OCTOBER 15, 1997
THROUGH THROUGH THROUGH
OCTOBER 31, 1997 OCTOBER 31, 1997 OCTOBER 31, 1997
------------------------- ------------------------ ----------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ----------- --------- ----------- -------- ----------
<S> <C> <C> <C> <C> <C> <C>
Shares sold............ 2,050,665 $25,623,294 78,691 $ 969,619 11,932 $ 148,672
Reinvested dividends... -- -- -- -- -- --
Shares redeemed........ (80,670) (990,000) -- -- -- --
---------- ----------- --------- ----------- -------- ----------
Net increase........... 1,969,995 $24,633,294 78,691 $ 969,619 11,932 $ 148,672
---------- ----------- --------- ----------- -------- ----------
---------- ----------- --------- ----------- -------- ----------
<PAGE>
</TABLE>
62
NOTES TO FINANCIAL STATEMENTS -- October 31, 1997 -- (continued)
<TABLE>
<CAPTION>
LARGE-CAP VALUE PORTFOLIO
-------------------------------------------------------------------------------
CLASS A CLASS B CLASS C
------------------------- ------------------------ ----------------------
FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD
OCTOBER 15, 1997* OCTOBER 15, 1997 OCTOBER 15, 1997
THROUGH THROUGH THROUGH
OCTOBER 31, 1997 OCTOBER 31, 1997 OCTOBER 31, 1997
------------------------- ------------------------ ----------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ----------- --------- ----------- -------- ----------
Shares sold............ 2,100,495 $26,218,938 111,740 $ 1,361,527 14,544 $ 178,760
<S> <C> <C> <C> <C> <C> <C>
Reinvested dividends... -- -- -- -- -- --
Shares redeemed........ (141,051) (1,698,383) -- -- -- --
---------- ----------- --------- ----------- -------- ----------
Net increase........... 1,959,444 $24,520,555 111,740 $ 1,361,527 14,544 $ 178,760
---------- ----------- --------- ----------- -------- ----------
---------- ----------- --------- ----------- -------- ----------
<CAPTION>
VALUE PORTFOLIO
-------------------------------------------------------------------------------
CLASS A CLASS B CLASS C
------------------------- ------------------------ ----------------------
FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD
NOVEMBER 19, 1996* NOVEMBER 19, 1996 MARCH 6, 1997
THROUGH THROUGH THROUGH
OCTOBER 31, 1997 OCTOBER 31, 1997 OCTOBER 31, 1997
------------------------- ------------------------ ----------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ----------- --------- ----------- -------- ----------
<S> <C> <C> <C> <C> <C> <C>
Shares sold............ 4,671,463 $65,290,119 5,001,111 $73,400,374 633,085 $9,591,079
Reinvested dividends... -- -- -- -- -- --
Shares redeemed........ (1,665,401) (26,013,487) (155,252) (2,394,393) (46,506) (698,146)
---------- ----------- --------- ----------- -------- ----------
Net increase........... 3,006,062 $39,276,632 4,845,859 $71,005,981 586,579 $8,892,933
---------- ----------- --------- ----------- -------- ----------
---------- ----------- --------- ----------- -------- ----------
<CAPTION>
SMALL-CAP VALUE PORTFOLIO
-------------------------------------------------------------------------------
CLASS A CLASS B CLASS C
------------------------- ------------------------ ----------------------
FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD
OCTOBER 15, 1997* OCTOBER 15, 1997 OCTOBER 15, 1997
THROUGH THROUGH THROUGH
OCTOBER 31, 1997 OCTOBER 31, 1997 OCTOBER 31, 1997
------------------------- ------------------------ ----------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ----------- --------- ----------- -------- ----------
<S> <C> <C> <C> <C> <C> <C>
Shares sold............ 2,177,614 $27,190,002 256,511 $ 3,168,460 43,289 $ 536,921
Reinvested dividends... -- -- -- -- -- --
Shares redeemed........ (419,530) (5,174,050) (28) (345) -- --
---------- ----------- --------- ----------- -------- ----------
Net increase........... 1,758,084 $22,015,952 256,483 $ 3,168,115 43,289 $ 536,921
---------- ----------- --------- ----------- -------- ----------
---------- ----------- --------- ----------- -------- ----------
<CAPTION>
INTERNATIONAL EQUITY PORTFOLIO
-------------------------------------------------------------------------------
CLASS A CLASS B CLASS C
------------------------- ------------------------ ----------------------
FOR THE PERIOD FOR THE PERIOD FOR THE PERIOD
NOVEMBER 19, 1996* NOVEMBER 19, 1996 MARCH 6, 1997
THROUGH THROUGH THROUGH
OCTOBER 31, 1997 OCTOBER 31, 1997 OCTOBER 31, 1997
------------------------- ------------------------ ----------------------
SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT
---------- ----------- --------- ----------- -------- ----------
<S> <C> <C> <C> <C> <C> <C>
Shares sold............ 3,085,642 $39,324,047 2,566,019 $33,369,226 404,951 $5,319,147
Shares issued in
acquisition of the
Global Balanced Fund
(Note 2)............. 495,830 6,693,711 1,063,431 14,271,238 -- --
Reinvested dividends... -- -- -- -- -- --
Shares redeemed........ (1,626,511) (21,418,365) (183,548) (2,395,962) (44,682) (586,462)
---------- ----------- --------- ----------- -------- ----------
Net increase........... 1,954,961 $24,599,393 3,445,902 $45,244,502 360,269 $4,732,685
---------- ----------- --------- ----------- -------- ----------
---------- ----------- --------- ----------- -------- ----------
</TABLE>
*Date of commencement of operations
<PAGE>
63
NOTES TO FINANCIAL STATEMENTS -- October 31, 1997 -- (continued)
Note 10. Directors' Retirement Plan
The Directors (and Trustees) of the SunAmerica Family of Mutual Funds have
adopted the SunAmerica Disinterested Trustees' and Directors' Retirement Plan
(the 'Retirement Plan') effective January 1, 1993 for the unafilliated
Directors. The Retirement Plan provides generally that if a disinterested
Director who has at least 10 years of consecutive service as a Disinterested
Director of any of the SunAmerica mutual funds (an 'Eligible Director') retires
after reaching age 60 but before age 70 or dies while a Director, such person
will be eligible to receive a retirement or death benefit from each SunAmerica
mutual fund with respect to which he or she is an Eligible Director. As of each
birthday, prior to the 70th birthday, but in no event for a period greater than
10 years, each Eligible Director will be credited with an amount equal to 50% of
his or her regular fees (excluding committee fees) for services as a
Disinterested Director of each SunAmerica mutual fund for the calendar year in
which such birthday occurs. In addition, an amount equal to 8.5% of any amounts
credited under the preceding clause during prior years, is added to each
Eligible Director's account until such Eligible Trustee reaches his or her 70th
birthday. An Eligible Director may receive any benefits payable under the
Retirement Plan, at his or her election, either in one lump sum or in up to
fifteen annual installments. As of October 31, 1997, Mid-Cap Growth Portfolio,
Aggressive Growth Portfolio, Value Portfolio and International Equity Portfolio
had accrued $643, $761, $680 and $637, respectively, for the Retirement Plan,
which is included in accrued expenses on the Statement of Assets and
Liabilities, and as of October 31, 1997 expensed $643, $761, $680 and $637,
respectively, for the Retirement Plan, which is included in Directors' fees and
expenses on the Statement of Operations.
<PAGE>
64
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE BOARD OF DIRECTORS AND SHAREHOLDERS OF STYLE SELECT SERIES, INC.
In our opinion, the accompanying statement of assets and liabilities, including
the portfolios of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Large-Cap Growth Portfolio, Mid-Cap
Growth Portfolio, Aggressive Growth Portfolio, Large-Cap Blend Portfolio,
Large-Cap Value Portfolio, Value Portfolio, Small-Cap Value Portfolio and
International Equity Portfolio (constituting the eight portfolios of Style
Select Series, Inc., hereafter referred to as the 'Fund') at October 31, 1997,
and the results of each of their operations, the changes in each of their net
assets and the financial highlights for each of the periods indicated, in
conformity with generally accepted accounting principles. These financial
statements and financial highlights (hereafter referred to as 'financial
statements') are the responsibility of the Fund's management; our responsibility
is to express an opinion on these financial statements based on our audit. We
conducted our audit of these financial statements in accordance with generally
accepted auditing standards which require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audit, which included confirmation of securities at October 31, 1997 by
correspondence with the custodian and brokers and the application of alternative
auditing procedures where confirmations from brokers were not received, provides
a reasonable basis for the opinion expressed above.
PRICE WATERHOUSE LLP
1177 Avenue of the Americas
New York, New York
December 4, 1997
<PAGE>
65
Comparisons: Portfolios vs. the Indexes
As required by the Securities and Exchange Commission, the following graphs
compare the performance of a $10,000 investment in each Style Select Series,
Inc. portfolio to the growth of a similar investment in an appropriate benchmark
index. Please note, the graphs represent the performance of the two classes of
shares which have been in existence since the portfolios' commencement of
operation. It is important to also note that the portfolios are professionally
managed mutual funds, while the indices are unmanaged and, in any case, are not
available for investment. The maximum sales charge for Class A is 5.75% of the
public offering price. The maximum contingent deferred sales charges ("CDSC")
for Class B and Class C is 4% and 1%, respectively. Class B's CDSC is reduced to
0% after six years; Class C's CDSC is reduced to 0% after one year. All classes
bear ongoing 12b-1 distribution and service fees.
[MID-CAP GROWTH PORTFOLIO PERFORMANCE GRAPH]
Russell Morningstar
Mid-Cap Mid-Cap
Growth Growth Class A Class B
------- ----------- ------- -------
10000 10000 10000 10000
Oct-96 10000 10000 9425 10000
Nov-96 10168 10188 9492.86 10072
Dec-96 9997.18 10027 9319.44 9872
Jan-97 10440 10452.2 9470.24 10032
Feb-97 10210.4 9921.21 8859.5 9376
Mar-97 9633.49 9290.22 8256.3 8744
Apr-97 9869.51 9403.56 8309.08 8792
May-97 10753.8 10334.5 9183.72 9712
Jun-97 11051.7 10734.5 9575.8 10120
Jul-97 12109.3 11653.3 10231.8 10808
Aug-97 11990.7 11492.5 10103.6 10672
Sep-97 12597.4 12267.1 10865.1 11464
Oct-97 11966.3 11647.6 10337.3 10504
Mid-Cap Growth Portfolio
Average Annual Return+ Class A* Class B* Class C**
- ------------------------ -------- -------- ---------
Since Inception 3.37% 5.04% 13.33%
+ Includes any applicable sales charges
* Inception date for Class A and Class B is 11/19/96
** Inception date for Class C is 3/6/97
Mid-Cap Growth Portfolio
The Mid-Cap Growth Portfolio seeks long-term growth of capital by investing
primarily in the equity securities of medium-sized companies. The first six
months of the fiscal year were dominated by investors' concerns regarding
inflation, corporate earnings, the direction of interest rates, and market
valuation levels. Thus mid-cap growth stocks in general underperformed large-cap
stocks, and the Portfolio in particular underperformed its Russell Mid-Cap
Growth benchmark index and Morningstar category average for the twelve month
period. However, mid-cap growth stocks and the Portfolio recovered somewhat in
the last six months. In fact, the Portfolio closely tracked the performance of
its category average for the quarter ending October 31, 1997, supporting our
belief that, while volatility will likely continue, both mid-cap growth stocks
and the Portfolio are well positioned for solid participation in this style as
we head into 1998. Our managers will continue to select individual securities on
a long-term, bottom-up basis.
<PAGE>
66
Comparisons: Portfolios vs. the Indexes--(continued)
[AGGRESSIVE GROWTH PORTFOLIO PERFORMANCE GRAPH]
Russell Morningstar
2500 Aggressive
Growth Growth Class A Class B
------- ----------- ------- -------
10000 10000 10000 10000
Oct-96 10000 10000 9425 10000
Nov-96 10183 10165 9523.02 10104
Dec-96 10232.9 10034.9 9726.6 10320
Jan-97 10538 10535.6 10442.9 11064
Feb-97 10077.3 9949.85 9884.94 10480
Mar-97 9414.17 9323.01 9342.06 9888
Apr-97 9456.54 9376.15 9432.54 9984
May-97 10590.4 10349.4 10284.6 10880
Jun-97 10945.2 10795.5 10744.5 11360
Jul-97 11640.2 11719.5 11837.3 12504
Aug-97 11924.2 11635.2 11792.6 12448
Sep-97 12766 12407.7 12682.3 13392
Oct-97 11969.4 11722.8 11988.6 12240
Aggressive Growth Portfolio
Average Annual Return+ Class A* Class B* Class C**
- --------------------------- -------- -------- ---------
Since Inception 19.88% 22.40% 17.09%
+ Includes any applicable sales charges
* Inception date for Class A and Class B is 11/19/96
** Inception date for Class C is 3/6/97
Aggressive Growth Portfolio
The Aggressive Growth Portfolio seeks long-term growth of capital by investing
generally in equity securities of small capitalization companies, although
managers can seek out growth companies of any size. The Portfolio performed well
overall, closely tracking its Russell 2500 Growth benchmark index and
outperforming its Morningstar category average for the fiscal year. Similar to
the Mid-Cap Growth Portfolio, this Portfolio's growth-oriented investment style
hampered performance during the first half of the fiscal year. However, from May
through October, as its investment style returned to favor, small-cap stocks
rebounded even stronger than mid-caps, and within the small-cap sector, growth
outperformed value. These factors, plus effective stock picking and sector
positioning, enabled the Portfolio to significantly outperform its category
average for the fourth fiscal quarter. Given the ongoing positive backdrop for
these equities, our managers anticipate solid performance for the Aggressive
Growth Portfolio into 1998.
<PAGE>
67
Comparisons: Portfolios vs. the Indexes--(continued)
[VALUE PORTFOLIO PERFORMANCE GRAPH]
Morningstar Russell
Mid-Cap Mid-Cap
Value Value Class A Class B
----------- ------- ------- -------
Oct-96 10000 10000 9425 10000
Nov-96 10305 10147 9643.66 10232
Dec-96 10373 10104.4 9636.12 10216
Jan-97 10723.6 10421.7 10058.4 10656
Feb-97 10806.2 10597.8 10118.7 10720
Mar-97 10446.4 10275.6 9779.38 10352
Apr-97 10674.1 10534.6 10209.2 10800
May-97 11409.5 11157 10842.5 11464
Jun-97 11837.4 11570 11242.1 11880
Jul-97 12638.8 12429.6 12184.6 12872
Aug-97 12474.5 12284.2 11950.9 12616
Sep-97 13150.6 13045.8 12659.7 13360
Oct-97 12656.1 12649.2 12131.9 12400
Value Portfolio
Average Annual Return+ Class A* Class B* Class C**
- ---------------------- -------- -------- ---------
Since Inception 21.31% 24.00% 16.99%
+ Includes any applicable sales charges
* Inception date for Class A and Class B is 11/19/96
** Inception date for Class C is 3/6/97
Value Portfolio
The Value Portfolio seeks long-term growth of capital by investing in equity
securities, without regard to the size of the issuer, using a value style of
investing. The Portfolio's holdings throughout the fiscal year provided a
mid-cap value orientation. The Portfolio closely tracked its category average
and benchmark index for the fiscal year. As the market broadened and the
Portfolio was diversified across industry sectors, the Portfolio outperformed
its category average for the year to date ended October 31, 1997. Our managers'
strategy going forward is to continue to use comprehensive fundamental research
and quantitative analysis to identify attractive value oriented investment
opportunities.
<PAGE>
68
Comparisons: Portfolios vs. the Indexes--(continued)
[INTERNATIONAL EQUITY PORTFOLIO PERFORMANCE GRAPH]
Morningstar
Foreign MSCI EAFE
Stock USD Index Class A Class B
----------- --------- ------- -------
10000 10000 10000 10000
Oct-96 10000 10000 9425 10000
Nov-96 10205 10160 9477.78 10058
Dec-96 10239 10032 9470.24 10040
Jan-97 10244.8 9682.87 9417.46 9968
Feb-97 10393.4 9843.61 9545.64 10104
Mar-97 10409 9882 9447.62 10000
Apr-97 10417.3 9936.35 9409.92 9952
May-97 11025.6 10585.2 9922.64 10488
Jun-97 11521.8 11171.6 10390.1 10976
Jul-97 11824.8 11354.8 10608.8 11200
Aug-97 11004.2 10508.9 9741.68 10280
Sep-97 11658.9 11099.5 10231.8 10792
Oct-97 10784.5 10249.3 9394.84 9504
International Equity Portfolio
Average Annual Return+ Class A* Class B* Class C**
- ------------------------------ -------- -------- ---------
Since Inception (6.06)% (4.96)% (2.75)%
+ Includes any applicable sales charges
* Inception date for Class A and Class B is 11/19/96
** Inception date for Class C is 3/6/97
International Equity Portfolio
The International Equity Portfolio seeks long-term growth of capital by
investing in equity securities of issuers in countries other than the United
States. As MSCI EAFE Index returns indicate, it was a difficult fiscal period
for international equities as a whole. The Portfolio slightly underperformed
primarily because of its weighting in Southeast Asian equity markets and, to a
lesser extent, in Latin America. The Japanese stock market also produced
disappointing performance. However, at fiscal year-end, the Portfolio was
overweighted in the European markets, and was underweighted in Latin America and
the Far East. Given our current outlook, our managers intend to maintain this
overall allocation strategy in the near term.
