<PAGE>
<PAGE>
1
[STYLE SELECT SERIES(SM) LOGO]
A Message From The President
- --------------------------------------------------------------------------------
June 22, 1998
Dear Shareholder:
We are pleased to present to you the semiannual update of your Style Select
Series Portfolios. As you are aware, we added four new portfolios to Style
Select Series in October of 1997. We believe that the addition of those
portfolios greatly enhanced your ability to construct a more efficient
investment portfolio. With eight selections of style-based mutual funds to
choose from (each managed by the combined talents of three highly regarded money
managers), you have the ability to reduce risk and increase diversification in
an increasingly complex investment environment. Thus far, we hope that you have
been pleased with the results. While we are pleased, we are not satisfied. We
continue to monitor each of the investment professionals for each portfolio in
an effort to ensure that they maintain their integrity to style-based investing
while performing at a level that our investors expect.
Looking to the future, we will continue to strive for excellence for our
shareholders while seeking innovative ways to service their investment needs. We
believe style-based investing is not only innovative, but that it helps to
clarify the landscape of mutual fund investing. It is our intention to make
things easier for the investor, not more confusing. With that in mind, we
successfully launched our ninth portfolio of Style Select Series, the 'FOCUS'
Portfolio, on June 8, 1998. Focus Portfolio employs the same multi-managed
approach to investing as our other portfolios but with a more concentrated
growth strategy. We are very excited about this product as well as our other
Style Select offerings.
Thank you for contributing to the continuing success of the Style Select
Series. We value your confidence in us and look forward to serving your
investment needs in the future.
Sincerely,
Peter A. Harbeck
President
<PAGE>
2
[STYLE SELECT SERIES(SM) LOGO]
STATEMENT OF ASSETS AND LIABILITIES -- April 30, 1998 (unaudited)
<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*.................. $31,041,468 $86,765,660 $126,034,814 $29,595,559
Repurchase agreements (cost equals market)........ 456,000 -- 6,465,000 476,000
Short-term securities*............................ 100,000 8,101,677 3,600,000 555,472
Cash.............................................. 520,303 665 882,853 76,971
Receivable for shares of beneficial interest
sold............................................ 1,073,329 1,037,422 1,120,793 312,173
Receivable for investments sold................... -- 2,142,278 2,286,490 220,456
Deferred organizational expenses.................. 7,370 31,867 31,867 7,370
Receivable from investment adviser................ 17,158 24,099 34,536 17,118
Interest and dividends receivable................. 10,710 11,109 35,326 42,094
Prepaid expenses and other assets................. 28,797 738 961 28,797
----------- ----------- ------------ -----------
Total assets.................................... 33,255,135 98,115,515 140,492,640 31,332,010
----------- ----------- ------------ -----------
LIABILITIES:
Payable for fund shares repurchased............... 1,137,143 61,583 45,138 243,189
Other accrued expenses............................ 49,048 146,365 212,030 50,566
Investment advisory and management fees payable... 26,247 74,189 109,154 25,630
Distribution and service maintenance fees
payable......................................... 17,951 58,635 80,331 15,797
Payable for investments purchased................. -- 2,748,024 3,172,545 169,128
Written call options, at value (proceeds $16,034
on Aggressive Growth Portfolio)................. -- -- 24,000 --
----------- ----------- ------------ -----------
Total liabilities............................. 1,230,389 3,088,796 3,643,198 504,310
----------- ----------- ------------ -----------
Net assets.................................. $32,024,746 $95,026,719 $136,849,442 $30,827,700
----------- ----------- ------------ -----------
----------- ----------- ------------ -----------
NET ASSETS WERE COMPOSED OF:
Common Stock, $.0001 par value (1 billion shares
authorized)..................................... $ 229 $ 583 $ 754 $ 221
Paid-in capital................................... 28,422,813 74,864,767 106,386,975 27,556,970
----------- ----------- ------------ -----------
28,423,042 74,865,350 106,387,729 27,557,191
Accumulated undistributed net investment income
(loss).......................................... (151,763) (607,166) (733,607) 37,033
Accumulated undistributed net realized gain (loss)
on investments, foreign currency, other assets
and liabilities................................. (782,710) 4,746,326 1,342,858 1,280,516
Net unrealized appreciation of investments........ 4,536,177 16,022,209 29,860,428 1,952,960
Net unrealized depreciation on written options
contracts....................................... -- -- (7,966) --
----------- ----------- ------------ -----------
Net assets.................................... $32,024,746 $95,026,719 $136,849,442 $30,827,700
----------- ----------- ------------ -----------
----------- ----------- ------------ -----------
*Identified cost
Investment securities............................. $26,505,291 $70,743,451 $ 96,174,386 $27,642,599
----------- ----------- ------------ -----------
----------- ----------- ------------ -----------
Short-term securities............................. $ 100,000 $ 8,101,677 $ 3,600,000 $ 555,472
----------- ----------- ------------ -----------
----------- ----------- ------------ -----------
See Notes to Financial Statements
</TABLE>
<PAGE>
3
[STYLE SELECT SERIES(SM) LOGO]
STATEMENT OF ASSETS AND LIABILITIES -- April 30, 1998 (unaudited) -- (continued)
<TABLE>
<CAPTION>
LARGE-CAP MID-CAP AGGRESSIVE LARGE-CAP
GROWTH GROWTH GROWTH BLEND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------
<S> <C> <C> <C> <C>
CLASS A:
Net assets........................................ $13,251,092 $31,091,908 $ 55,092,094 $17,357,051
Shares outstanding................................ 943,575 1,895,126 3,019,210 1,239,924
Net asset value and redemption price per share.... $ 14.04 $ 16.41 $ 18.25 $ 14.00
Maximum sales charge (5.75% of offering price).... 0.86 1.00 1.11 0.85
----------- ----------- ------------ -----------
Maximum offering price to public.................. $ 14.90 $ 17.41 $ 19.36 $ 14.85
----------- ----------- ------------ -----------
----------- ----------- ------------ -----------
CLASS B:
Net assets........................................ $15,345,557 $55,516,179 $ 72,392,239 $11,895,319
Shares outstanding................................ 1,097,557 3,415,891 4,006,224 852,890
Net asset value, offering and redemption price per
share (excluding any applicable contingent
deferred sales charge).......................... $ 13.98 $ 16.25 $ 18.07 $ 13.95
----------- ----------- ------------ -----------
----------- ----------- ------------ -----------
CLASS C:
Net assets........................................ $ 3,428,097 $ 8,418,632 $ 9,338,526 $ 1,575,330
Shares outstanding................................ 245,214 517,329 516,363 113,017
Net asset value, offering and redemption price per
share (excluding any applicable contingent
deferred sales charge).......................... $ 13.98 $ 16.27 $ 18.09 $ 13.94
----------- ----------- ------------ -----------
----------- ----------- ------------ -----------
CLASS Z:
Net assets........................................ $ 26,583
Shares outstanding................................ 1,457
Net asset value, offering and redemption price per
share........................................... $ 18.25
------------
------------
</TABLE>
See Notes to Financial Statements
<PAGE>
4
[STYLE SELECT SERIES(SM) LOGO]
STATEMENT OF ASSETS AND LIABILITIES -- April 30, 1998 (unaudited) -- (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*.................. $33,666,697 $216,791,151 $42,099,273 $ 79,142,371
Repurchase agreements (cost equals market)........ 1,535,000 5,196,000 3,972,000 1,393,000
Short-term securities*............................ 897,000 7,090,914 1,192,000 1,600,000
Cash.............................................. 3,862 6,129 849 20,067
Foreign cash...................................... -- -- -- 583,995
Receivable for shares of beneficial interest
sold............................................ 729,843 1,585,361 917,406 568,026
Receivable for investments sold................... 24,620 381,058 248,444 827,743
Deferred organizational expenses.................. 7,370 31,867 7,370 31,867
Receivable from investment adviser................ 18,008 45,660 19,079 32,445
Interest and dividends receivable................. 43,093 171,278 42,238 299,511
Foreign currency contracts........................ -- -- -- 1,513,496
Prepaid expenses and other assets................. 28,797 1,597 28,797 1,708
Unrealized appreciation of foreign currency
contracts....................................... -- -- -- 234,791
----------- ------------ ----------- -------------
Total assets.................................... 36,954,290 231,301,015 48,527,456 86,249,020
----------- ------------ ----------- -------------
LIABILITIES:
Payable for investments purchased................. 153,046 2,317,310 2,280,314 1,078,989
Payable for fund shares repurchased............... 40,656 111,508 35,149 58,827
Other accrued expenses............................ 44,193 391,783 35,886 229,385
Investment advisory and management fees payable... 28,560 183,138 35,327 73,902
Distribution and service maintenance fees
payable......................................... 23,004 137,473 27,516 53,151
Foreign currency contracts........................ -- -- -- 1,514,076
Unrealized depreciation of foreign currency
contracts....................................... -- -- -- 142,138
----------- ------------ ----------- -------------
Total liabilities............................... 289,459 3,141,212 2,414,192 3,150,468
----------- ------------ ----------- -------------
Net assets.................................... $36,664,831 $228,159,803 $46,113,264 $ 83,098,552
----------- ------------ ----------- -------------
----------- ------------ ----------- -------------
NET ASSETS WERE COMPOSED OF:
Common Stock, $.0001 par value (1 billion shares
authorized)..................................... $ 267 $ 1,304 $ 342 $ 605
Paid-in capital................................... 33,916,432 194,466,925 43,585,340 77,146,035
----------- ------------ ----------- -------------
33,916,699 194,468,229 43,585,682 77,146,640
Accumulated undistributed net investment
income (loss)................................... (21,493) (422,206) 77,281 (161,272)
Accumulated undistributed net realized gain (loss)
on investments, foreign currency, other assets
and liabilities................................. 193,611 3,185,096 723,029 (1,870,873)
Net unrealized appreciation of investments........ 2,576,014 30,928,739 1,727,272 7,905,425
Net unrealized appreciation (depreciation) of
foreign currency, other assets and
liabilities..................................... -- (55) -- 78,632
----------- ------------ ----------- -------------
Net assets.................................... $36,664,831 $228,159,803 $46,113,264 $ 83,098,552
----------- ------------ ----------- -------------
----------- ------------ ----------- -------------
*Identified cost
Investment securities............................. $31,090,683 $185,862,412 $40,372,001 $ 71,236,946
----------- ------------ ----------- -------------
----------- ------------ ----------- -------------
Short-term securities............................. $ 897,000 $ 7,090,914 $ 1,192,000 $ 1,600,000
----------- ------------ ----------- -------------
----------- ------------ ----------- -------------
</TABLE>
<PAGE>
5
[STYLE SELECT SERIES(SM) LOGO]
STATEMENT OF ASSETS AND LIABILITIES -- April 30, 1998 (unaudited) -- (continued)
<TABLE>
<CAPTION>
LARGE-CAP SMALL-CAP INTERNATIONAL
VALUE VALUE VALUE EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-----------------------------------------------------------
<S> <C> <C> <C> <C>
CLASS A:
Net assets........................................ $10,931,405 $ 87,347,796 $15,536,234 $ 26,375,648
Shares outstanding................................ 793,844 4,965,332 1,148,275 1,908,242
Net asset value and redemption price per share.... $ 13.77 $ 17.59 $ 13.53 $ 13.82
Maximum sales charge (5.75% of offering price).... 0.84 1.07 0.83 0.84
----------- ------------ ----------- -------------
Maximum offering price to public.................. $ 14.61 $ 18.66 $ 14.36 $ 14.66
----------- ------------ ----------- -------------
----------- ------------ ----------- -------------
CLASS B:
Net assets........................................ $21,718,182 $124,047,765 $25,361,324 $ 50,212,754
Shares outstanding................................ 1,583,775 7,116,257 1,882,260 3,669,978
Net asset value, offering and redemption price per
share (excluding any applicable contingent
deferred sales charge).......................... $ 13.71 $ 17.43 $ 13.47 $ 13.68
----------- ------------ ----------- -------------
----------- ------------ ----------- -------------
CLASS C:
Net assets........................................ $ 3,991,628 $ 16,703,122 $ 5,192,590 $ 6,499,764
Shares outstanding................................ 290,964 958,265 385,126 474,965
Net asset value, offering and redemption price per
share (excluding any applicable contingent
deferred sales charge).......................... $ 13.72 $ 17.43 $ 13.48 $ 13.68
----------- ------------ ----------- -------------
----------- ------------ ----------- -------------
CLASS Z:
Net assets........................................ $ 23,616 $ 61,120 $ 23,116 $ 10,386
Shares outstanding................................ 1,715 3,474 1,708 751
Net asset value, offering and redemption price per
share........................................... $ 13.77 $ 17.59 $ 13.54 $ 13.83
----------- ------------ ----------- -------------
----------- ------------ ----------- -------------
</TABLE>
See Notes to Financial Statements
<PAGE>
6
[STYLE SELECT SERIES(SM) LOGO]
STATEMENT OF OPERATIONS -- For the six months ended April 30, 1998 (unaudited)
<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........................................ $ 13,708 $ 123,535 $ 240,785 $ 32,903
Dividends*...................................... 102,409 67,727 198,725 257,019
----------- ----------- ----------- -----------
Total investment income....................... 116,117 191,262 439,510 289,922
----------- ----------- ----------- -----------
Expenses:
Investment advisory and management fees......... 140,211 358,366 541,977 140,363
Distribution and service maintenance fees
Class A....................................... 34,970 39,302 77,869 36,688
Class B....................................... 33,623 215,548 283,629 31,878
Class C....................................... 6,673 30,527 35,855 3,660
Transfer agent fees and expenses
Class A....................................... 27,976 33,637 66,740 29,351
Class B....................................... 9,415 68,960 90,736 8,926
Class C....................................... 1,868 9,769 11,474 1,025
Class Z....................................... -- -- 1,260 --
Registration fees
Class A....................................... 14,951 18,244 23,726 15,196
Class B....................................... 11,636 38,044 29,841 11,549
Class C....................................... 9,927 9,999 8,395 9,776
Class Z....................................... -- -- 28 --
Audit and tax consulting fees................... 29,865 13,575 13,575 29,865
Printing expense................................ 27,150 11,765 45,250 27,150
Custodian fees and expenses..................... 23,836 60,922 92,135 23,862
Amortization of organizational expenses......... -- 4,453 4,453 --
Legal fees and expenses......................... 3,620 13,575 23,530 3,620
Trustees' fees and expenses..................... 1,218 6,976 16,516 1,230
Miscellaneous expenses.......................... 905 7,530 11,318 905
Insurance expense............................... -- 130 189 --
----------- ----------- ----------- -----------
Total expenses................................ 377,844 941,322 1,378,496 375,044
Less: expenses waived/reimbursed by investment
adviser..................................... (102,075) (143,537) (206,140) (102,098)
----------- ----------- ----------- -----------
Net expenses.................................. 275,769 797,785 1,172,356 272,946
----------- ----------- ----------- -----------
Net investment income (loss)...................... (159,652) (606,523) (732,846) 16,976
----------- ----------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Net realized gain (loss) on investments........... (598,145) 4,890,888 1,456,351 1,328,909
Net realized gain (loss) on foreign currency and
other assets and liabilities.................... -- 2 -- (33)
Net change in unrealized appreciation of
investments..................................... 5,805,583 9,225,917 16,255,090 2,994,960
Net change in unrealized depreciation on written
options contracts............................... -- -- (7,966) --
----------- ----------- ----------- -----------
Net realized and unrealized gain on investments,
foreign currency and other assets and
liabilities..................................... 5,207,438 14,116,807 17,703,475 4,323,836
----------- ----------- ----------- -----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS:..................................... $ 5,047,786 $13,510,284 $16,970,629 $ 4,340,812
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
*Net of foreign withholding taxes on dividends
of.............................................. $ 723 $ 136 -- $ 2,558
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
</TABLE>
- ------------------
@ Commenced operations October 15, 1997
# Commenced operations November 19, 1996
See Notes to Financial Statements
<PAGE>
7
[STYLE SELECT SERIES(SM) LOGO]
STATEMENT OF OPERATIONS -- For the six months ended April 30, 1998
(unaudited) -- (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........................................ $ 44,756 $ 364,423 $ 67,297 $ 197,901
Dividends*...................................... 204,634 1,126,897 297,230 421,629
----------- ----------- ----------- -------------
Total investment income....................... 249,390 1,491,320 364,527 619,530
----------- ----------- ----------- -------------
Expenses:
Investment advisory and management fees......... 138,601 873,550 151,184 402,979
Distribution and service maintenance fees
Class A....................................... 26,533 112,973 24,237 42,060
Class B....................................... 53,495 488,650 69,183 220,999
Class C....................................... 9,289 62,096 12,743 25,168
Transfer agent fees and expenses
Class A....................................... 21,226 96,789 19,390 32,426
Class B....................................... 14,979 156,358 19,371 64,090
Class C....................................... 2,601 19,871 3,568 7,299
Class Z....................................... 675 1,260 1,260 1,125
Registration fees
Class A....................................... 13,745 56,273 13,417 21,830
Class B....................................... 12,630 94,244 13,414 43,390
Class C....................................... 10,057 16,608 10,230 9,592
Class Z....................................... 15 28 28 25
Audit and tax consulting fees................... 29,865 7,125 29,865 13,575
Printing expense................................ 27,150 13,300 27,150 10,860
Custodian fees and expenses..................... 23,562 148,504 25,701 164,855
Amortization of organizational expenses......... -- 4,453 -- 4,453
Legal fees and expenses......................... 3,620 23,750 3,620 13,575
Trustees' fees and expenses..................... 1,214 16,700 1,215 13,134
Miscellaneous expenses.......................... 905 6,842 905 7,595
Insurance expense............................... -- 262 -- 123
----------- ----------- ----------- -------------
Total expenses................................ 390,162 2,199,636 426,481 1,099,153
Less: expenses waived/reimbursed by investment
adviser..................................... (102,648) (286,790) (104,127) (195,490)
----------- ----------- ----------- -------------
Net expenses.................................. 287,514 1,912,846 322,354 903,663
----------- ----------- ----------- -------------
Net investment income (loss)...................... (38,124) (421,526) 42,173 (284,133)
----------- ----------- ----------- -------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Net realized gain (loss) on investments+.......... 193,611 3,241,999 723,029 (1,822,173)
Net realized gain (loss) on foreign currency and
other assets and liabilities.................... -- (166) -- 392,448
Net change in unrealized appreciation of
investments..................................... 3,911,810 20,198,618 2,495,274 10,845,342
Net change in unrealized appreciation/depreciation
of foreign currency and other assets and
liabilities..................................... -- 16 -- (14,247)
----------- ----------- ----------- -------------
Net realized and unrealized gain on investments,
foreign currency and other assets and
liabilities..................................... 4,105,421 23,440,467 3,218,303 9,401,370
----------- ----------- ----------- -------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS: $ 4,067,297 $23,018,941 $ 3,260,476 $ 9,117,237
----------- ----------- ----------- -------------
----------- ----------- ----------- -------------
*Net of foreign withholding taxes on dividends
of.............................................. $ 1,897 $ 9,938 $ 560 $ 90,102
----------- ----------- ----------- -------------
----------- ----------- ----------- -------------
+Net of foreign withholding taxes on capital gains
of.............................................. $ -- $ -- $ -- $ 45,029
----------- ----------- ----------- -------------
----------- ----------- ----------- -------------
</TABLE>
- ------------------
@ Commenced operations October 15, 1997
# Commenced operations November 19, 1996
See Notes to Financial Statements
<PAGE>
8
[STYLE SELECT SERIES(SM) LOGO]
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
LARGE-CAP GROWTH
PORTFOLIO@ MID-CAP GROWTH PORTFOLIO#
-------------------------- --------------------------
FOR THE FOR THE
SIX MONTHS FOR THE SIX MONTHS FOR THE
ENDED PERIOD ENDED PERIOD
APRIL 30, ENDED APRIL 30, ENDED
1998 OCTOBER 31, 1998 OCTOBER 31,
(UNAUDITED) 1997 (UNAUDITED) 1997
--------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income (loss).................... $ (159,652) $ 3,674 $ (606,523) $ (595,692)
Net realized gain (loss) on investments......... (598,145) (184,565) 4,890,888 208,124
Net realized gain (loss) on foreign currency and
other assets and liabilities.................. -- -- 2 (1,597)
Net change in unrealized
appreciation/depreciation of investments...... 5,805,583 (1,269,406) 9,225,917 6,796,292
----------- ----------- ----------- -----------
Net increase (decrease) in net assets resulting
from operations............................... 5,047,786 (1,450,297) 13,510,284 6,407,127
----------- ----------- ----------- -----------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL
SHARE TRANSACTIONS (NOTE 9)..................... 2,428,401 25,998,856 22,688,237 52,396,071
----------- ----------- ----------- -----------
TOTAL INCREASE IN NET ASSETS...................... 7,476,187 24,548,559 36,198,521 58,803,198
NET ASSETS:
Beginning of period............................... 24,548,559 -- 58,828,198 25,000
----------- ----------- ----------- -----------
End of period [including undistributed net
investment income (loss) for April 30, 1998 and
October 31, 1997 of ($151,763), $7,889 and
($607,166), ($643), respectively]............... $32,024,746 $24,548,559 $95,026,719 $58,828,198
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
</TABLE>
- ------------------
@ Commenced operations October 15, 1997
# Commenced operations November 19, 1996
See Notes to Financial Statements
<PAGE>
9
[STYLE SELECT SERIES(SM) LOGO]
STATEMENT OF CHANGES IN NET ASSETS -- (continued)
<TABLE>
<CAPTION>
AGGRESSIVE GROWTH
PORTFOLIO# LARGE-CAP BLEND PORTFOLIO@
--------------------------- --------------------------
FOR THE FOR THE
SIX MONTHS FOR THE SIX MONTHS FOR THE
ENDED PERIOD ENDED PERIOD
APRIL 30, ENDED APRIL 30, ENDED
1998 OCTOBER 31, 1998 OCTOBER 31,
(UNAUDITED) 1997 (UNAUDITED) 1997
<S> <C> <C> <C> <C>
---------------------------------------------------------
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income (loss).................... $ (732,846) $ (597,946) $ 16,976 $ 15,564
Net realized gain (loss) on investments......... 1,456,351 1,155,918 1,328,909 (48,360)
Net realized gain (loss) on foreign currency and
other assets and liabilities.................. -- -- (33) 191
Net change in unrealized
appreciation/depreciation of investments...... 16,255,090 13,605,338 2,994,960 (1,042,000)
Net change in unrealized depreciation on written
option contracts.............................. (7,966) -- -- --
------------ ----------- ----------- -----------
Net increase (decrease) in net assets resulting
from operations............................... 16,970,629 14,163,310 4,340,812 (1,074,605)
------------ ----------- ----------- -----------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
From net realized gains on investments (Class
A)............................................ (291,095) -- -- --
From net realized gains on investments (Class
B)............................................ (365,194) -- -- --
From net realized gains on investments (Class
C)............................................ (45,708) -- -- --
------------ ----------- ----------- -----------
Total dividends and distributions to
shareholders.................................... (701,997) -- -- --
------------ ----------- ----------- -----------
NET INCREASE IN NET ASSETS RESULTING FROM CAPITAL
SHARE TRANSACTIONS (NOTE 9)..................... 27,510,449 78,882,051 1,809,908 25,751,585
------------ ----------- ----------- -----------
TOTAL INCREASE IN NET ASSETS...................... 43,779,081 93,045,361 6,150,720 24,676,980
NET ASSETS:
Beginning of period............................... 93,070,361 25,000 24,676,980 --
------------ ----------- ----------- -----------
End of period [including undistributed net
investment income (loss) for April 30, 1998 and
October 31, 1997 of ($733,607), ($761); and
$37,033, $20,057, respectively]................. $136,849,442 $93,070,361 $30,827,700 $24,676,980
------------ ----------- ----------- -----------
------------ ----------- ----------- -----------
</TABLE>
- ------------------
@ Commenced operations October 15, 1997
# Commenced operations November 19, 1996
See Notes to Financial Statements
<PAGE>
10
[STYLE SELECT SERIES(SM) LOGO]
STATEMENT OF CHANGES IN NET ASSETS -- (continued)
<TABLE>
<CAPTION>
LARGE-CAP VALUE PORTFOLIO@ VALUE PORTFOLIO#
-------------------------------- --------------------------------
FOR THE FOR THE
SIX MONTHS FOR THE SIX MONTHS FOR THE
ENDED PERIOD ENDED PERIOD
APRIL 30, ENDED APRIL 30, ENDED
1998 OCTOBER 31, 1998 OCTOBER 31,
(UNAUDITED) 1997 (UNAUDITED) 1997
--------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income (loss).................... $ (38,124) $ 12,304 $ (421,526) $ (249,203)
Net realized gain (loss) on investments......... 193,611 -- 3,241,999 5,614,072
Net realized gain (loss) on foreign currency and
other assets and liabilities.................. -- -- (166) (19)
Net change in unrealized
appreciation/depreciation of investments...... 3,911,810 (1,335,796) 20,198,618 10,730,121
Net change in unrealized
appreciation/depreciation of foreign currency
and other assets and liabilities.............. -- -- 16 (71)
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from operations............................... 4,067,297 (1,323,492) 23,018,941 16,094,900
-------------- -------------- -------------- --------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
From net realized gains on investments (Class
A)............................................ -- -- (1,938,244) --
From net realized gains on investments (Class
B)............................................ -- -- (3,147,503) --
From net realized gains on investments (Class
C)............................................ -- -- (364,243) --
-------------- -------------- -------------- --------------
Total dividends and distributions to
shareholders.................................... -- -- (5,449,990) --
-------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM CAPITAL SHARE TRANSACTIONS (NOTE 9)........ 7,860,184 26,060,842 75,295,406 119,175,546
-------------- -------------- -------------- --------------
TOTAL INCREASE IN NET ASSETS...................... 11,927,481 24,737,350 92,864,357 135,270,446
NET ASSETS:
Beginning of period............................... 24,737,350 -- 135,295,446 25,000
-------------- -------------- -------------- --------------
End of period [including undistributed net
investment income (loss) for April 30, 1998 and
October 31, 1997 of ($21,493), $16,631 and
($422,206), ($680), respectively]............... $ 36,664,831 $ 24,737,350 $ 228,159,803 $ 135,295,446
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
</TABLE>
- ------------------
@ Commenced operations October 15, 1997
# Commenced operations November 19, 1996
See Notes to Financial Statements
<PAGE>
11
[STYLE SELECT SERIES(SM) LOGO]
STATEMENT OF CHANGES IN NET ASSETS -- (continued)
<TABLE>
<CAPTION>
SMALL-CAP VALUE PORTFOLIO@ INTERNATIONAL EQUITY PORTFOLIO#
-------------------------------- --------------------------------
FOR THE FOR THE
SIX MONTHS FOR THE SIX MONTHS FOR THE
ENDED PERIOD ENDED PERIOD
APRIL 30, ENDED APRIL 30, ENDED
1998 OCTOBER 31, 1998 OCTOBER 31,
(UNAUDITED) 1997 (UNAUDITED) 1997
--------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS:
OPERATIONS:
Net investment income (loss).................... $ 42,173 $ 30,175 $ (284,133) $ (110,177)
Net realized gain (loss) on investments......... 723,029 -- (1,822,173) 843,851
Net realized gain (loss) on foreign currency and
other assets and liabilities.................. -- -- 392,448 209,293
Net change in unrealized
appreciation/depreciation of investments...... 2,495,274 (768,002) 10,845,342 (4,158,649)
Net change in unrealized
appreciation/depreciation of foreign currency
and other assets and liabilities.............. -- -- (14,247) 94,498
-------------- -------------- -------------- --------------
Net increase (decrease) in net assets resulting
from operations............................... 3,260,476 (737,827) 9,117,237 (3,121,184)
-------------- -------------- -------------- --------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
From net realized gains on investments (Class
A)............................................ -- -- (431,327) --
From net realized gains on investments (Class
B)............................................ -- -- (773,322) --
From net realized gains on investments (Class
C)............................................ -- -- (80,350) --
-------------- -------------- -------------- --------------
Total dividends and distributions to
shareholders.................................... -- -- (1,284,999) --
-------------- -------------- -------------- --------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM CAPITAL SHARE TRANSACTIONS (NOTE 9)........ 17,869,627 25,720,988 3,785,918 74,576,580
-------------- -------------- -------------- --------------
TOTAL INCREASE IN NET ASSETS...................... 21,130,103 24,983,161 11,618,156 71,455,396
NET ASSETS:
Beginning of period............................... 24,983,161 -- 71,480,396 25,000
-------------- -------------- -------------- --------------
End of period [including undistributed net
investment income (loss) for April 30, 1998 and
October 31, 1997 of $77,281, $35,108; and
($161,272), $122,861 respectively].............. $ 46,113,264 $ 24,983,161 $ 83,098,552 $ 71,480,396
-------------- -------------- -------------- --------------
-------------- -------------- -------------- --------------
</TABLE>
- ------------------
@ Commenced operations October 15, 1997
# Commenced operations November 19, 1996
See Notes to Financial Statements
<PAGE>
12
[STYLE SELECT SERIES(SM) LOGO]
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
NET DIVIDENDS
NET GAIN (LOSS) TOTAL FROM DISTRI-
NET ASSET INVEST- ON INVEST- FROM NET BUTIONS
VALUE, MENT MENTS (BOTH INVEST- INVEST- FROM TOTAL
PERIOD BEGINNING INCOME REALIZED AND MENT MENT CAPITAL DISTRI-
ENDED OF PERIOD (LOSS)(1) UNREALIZED) OPERATIONS INCOME GAINS BUTIONS
- ------------------- ---------- ---------- ------------ ---------- --------- ------- -------
LARGE-CAP GROWTH PORTFOLIO
- --------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A
-------
10/15/97-10/31/97... $12.50 $ -- $(0.71) $(0.71) $-- $ -- $ --
4/30/98(5)......... 11.79 (0.06) 2.31 2.25 -- -- --
CLASS B
-------
10/15/97-10/31/97... 12.50 -- (0.71) (0.71) -- -- --
4/30/98(5)......... 11.79 (0.11) 2.30 2.19 -- -- --
CLASS C
-------
10/15/97-10/31/97... 12.50 -- (0.72) (0.72) -- -- --
4/30/98(5)......... 11.78 (0.10) 2.30 2.20 -- -- --
<CAPTION>
NET RATIO OF NET
ASSET NET ASSETS RATIO OF INVESTMENT
VALUE, END OF EXPENSES INCOME (LOSS)
PERIOD END OF TOTAL PERIOD TO AVERAGE TO AVERAGE NET PORTFOLIO
ENDED PERIOD RETURN(2) (000'S) NET ASSETS ASSETS(3)(4) TURNOVER
- ------------------- ------ --------- ---------- ------------ -------------- --------
LARGE-CAP GROWTH PORTFOLIO
- --------------------------
<S> <C> <C> <C> <C> <C> <C>
10/15/97-10/31/97.. $11.79 (5.68)% $ 23,609 1.78% 0.34% 1%
4/30/98(5)......... 14.04 12.32 13,251 1.78 (0.93) 19
10/15/97-10/31/97.. 11.79 (5.68) 773 2.43 (0.84) 1
4/30/98(5)......... 13.98 11.84 15,346 2.43 (1.67) 19
10/15/97-10/31/97.. 11.78 (5.76) 166 2.43 (0.42) 1
4/30/98(5)......... 13.98 11.84 3,428 2.43 (1.68) 19
<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 $-- $ -- $ --
4/30/98(5)......... 13.71 (0.09) 2.79 2.70 -- -- --
CLASS B
-------
11/19/96-10/31/97... 12.50 (0.25) 1.38 1.13 -- -- --
4/30/98(5)......... 13.63 (0.14) 2.76 2.62 -- -- --
CLASS C
-------
3/06/97-10/31/97... 11.93 (0.18) 1.89 1.71 -- -- --
4/30/98(5)......... 13.64 (0.14) 2.77 2.63 -- -- --
<CAPTION>
MID-CAP GROWTH PORTFOLIO
- ------------------------
<S> <C> <C> <C> <C> <C> <C>
11/19/96-10/31/97.. $13.71 9.68% $ 18,404 1.85% (1.19)% 97%
4/30/98(5)......... 16.41 31.28 31,092 1.78 (1.25) 57
11/19/96-10/31/97.. 13.63 9.04 35,739 2.47 (1.92) 97
4/30/98(5)......... 16.25 30.00 55,516 2.43 (1.90) 57
3/06/97-10/31/97... 13.64 14.33 4,685 2.45 (1.97) 97
4/30/98(5)......... 16.27 36.38 8,419 2.43 (1.90) 57
<CAPTION>
AGGRESSIVE GROWTH PORTFOLIO
- ---------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A
-------
11/19/96-10/31/97... $12.50 $(0.11) $ 3.51 $ 3.40 $-- $ -- $ --
4/30/98(5)......... 15.90 (0.08) 2.54 2.46 -- (0.11) (0.11)
CLASS B
-------
11/19/96-10/31/97... 12.50 (0.24) 3.54 3.30 -- -- --
4/30/98(5)......... 15.80 (0.13) 2.51 2.38 -- (0.11) (0.11)
CLASS C
-------
3/06/97-10/31/97... 13.38 (0.17) 2.59 2.42 -- -- --
4/30/98(5)......... 15.80 (0.13) 2.53 2.40 -- (0.11) (0.11)
CLASS Z
-------
4/3/98-4/30/98(5)... 18.30 (0.01) (0.04) (0.05) -- -- --
<CAPTION>
AGGRESSIVE GROWTH PORTFOLIO
- ---------------------------
<S> <C> <C> <C> <C> <C> <C>
11/19/96-10/31/97.. $15.90 27.20% $ 38,537 1.84% (0.77)% 150%
4/30/98(5)......... 18.25 47.09 55,092 1.78 (0.97) 80
11/19/96-10/31/97.. 15.80 26.40 48,594 2.47 (1.58) 150
4/30/98(5)......... 18.07 45.64 72,392 2.43 (1.62) 80
3/06/97-10/31/97... 15.80 18.09 5,939 2.45 (1.68) 150
4/30/98(5)......... 18.09 36.22 9,339 2.43 (1.62) 80
4/3/98-4/30/98(5).. 18.25 (0.27) 26 1.21 (0.49) 80
<CAPTION>
LARGE-CAP BLEND PORTFOLIO
- -------------------------
<S> <C> <C> <C> <C> <C> <C>
CLASS A
-------
10/15/97-10/31/97... $12.50 $ 0.01 $(0.53) $(0.52) $-- $ -- $ --
4/30/98(5)......... 11.98 0.02 2.00 2.02 -- -- --
CLASS B
-------
10/15/96-10/31/97... 12.50 -- (0.54) (0.54) -- -- --
4/30/98(5)......... 11.96 (0.03) 2.02 1.99 -- -- --
CLASS C
-------
10/15/97-10/31/97... 12.50 -- (0.53) (0.53) -- -- --
4/30/98(5)......... 11.97 (0.03) 2.00 1.97 -- -- --
<CAPTION>
LARGE-CAP BLEND PORTFOLIO
- -------------------------
<S> <C> <C> <C> <C> <C> <C>
10/15/97-10/31/97.. $11.98 (4.16)% $ 23,593 1.78% 1.35% 2%
4/30/98(5)......... 14.00 12.00 17,357 1.78 0.30 53
10/15/96-10/31/97.. 11.96 (4.32) 941 2.43 0.29 2
4/30/98(5)......... 13.95 11.60 11,895 2.43 (0.40) 53
10/15/97-10/31/97.. 11.97 (4.24) 143 2.43 0.54 2
4/30/98(5)......... 13.94 11.52 1,575 2.43 (0.41) 53
</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>
<CAPTION>
10/31/97 4/30/98
-------- -------
<S> <C> <C>
Large-Cap Growth A....... .59% .63%
Large-Cap Growth B....... 1.53% .79%
Large-Cap Growth C....... 3.29% 1.93%
Mid-Cap Growth A......... .34% .36%
Mid-Cap Growth B......... .42% .40%
Mid-Cap Growth C......... .96% .55%
(5) Unaudited
<CAPTION>
10/31/97 4/30/98
-------- -------
<S> <C> <C>
Aggressive Growth A...... .26% .36%
Aggressive Growth B...... .32% .38%
Aggressive Growth C...... .73% .51%
Aggressive Growth Z...... -- 127.47%
Large-Cap Blend A........ .58% .62%
Large-Cap Blend B........ 1.26% .82%
Large-Cap Blend C........ 3.12% 3.12%
</TABLE>
See Notes to Financial Statements
<PAGE>
13
[STYLE SELECT SERIES(SM) LOGO]
FINANCIAL HIGHLIGHTS -- (continued)
<TABLE>
<CAPTION>
NET DIVIDENDS
NET GAIN (LOSS) TOTAL FROM DISTRI- NET
NET ASSET INVEST- ON INVEST- FROM NET BUTIONS ASSET
VALUE, MENT MENTS (BOTH INVEST- INVEST- FROM TOTAL VALUE,
PERIOD BEGINNING INCOME REALIZED AND MENT MENT CAPITAL DISTRI- END OF TOTAL
ENDED OF PERIOD (LOSS)(1) UNREALIZED) OPERATIONS INCOME GAINS BUTIONS PERIOD RETURN(2)
- ------------------------- ---------- --------- ------------ ---------- --------- ------- ------- ------ ---------
LARGE-CAP VALUE PORTFOLIO
- -------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A
-------
10/15/97-10/31/97........ $12.50 $ 0.01 $(0.65) $(0.64) $-- $ -- $ -- $11.86 (5.12)%
4/30/98(5)............... 11.86 -- 1.91 1.91 -- -- -- 13.77 10.16
CLASS B
-------
10/15/96-10/31/97........ 12.50 -- (0.64) (0.64) -- -- -- 11.86 (5.12)
4/30/98(5)............... 11.86 (0.04) 1.89 1.85 -- -- -- 13.71 9.68
CLASS C
-------
10/15/97-10/31/97........ 12.50 -- (0.64) (0.64) -- -- -- 11.86 (5.12)
4/30/98(5)............... 11.86 (0.04) 1.90 1.86 -- -- -- 13.72 9.76
CLASS Z
-------
4/16/98-4/30/98(5)....... 13.86 -- (0.09) (0.09) -- -- -- 13.77 (0.65)
<CAPTION>
RATIO OF NET
NET ASSETS RATIO OF INVESTMENT
END OF EXPENSES INCOME (LOSS)
PERIOD PERIOD TO AVERAGE TO AVERAGE NET PORTFOLIO
ENDED (000'S) NET ASSETS ASSETS(3)(4) TURNOVER
- ------------------------- ---------- ----------- -------------- ---------
LARGE-CAP VALUE PORTFOLIO
- -------------------------
<S> <C> <C> <C> <C>
10/15/97-10/31/97........ $ 23,240 1.78% 1.07% --%
4/30/98(5)............... 10,931 1.78 0.03 15
10/15/96-10/31/97........ 1,325 2.43 0.22 --
4/30/98(5)............... 21,718 2.43 (0.65) 15
10/15/97-10/31/97........ 172 2.43 0.53 --
4/30/98(5)............... 3,992 2.43 (0.63) 15
4/16/98-4/30/98(5)....... 24 1.20 0.50 15
<CAPTION>
VALUE PORTFOLIO
- ---------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A
-------
11/19/96-10/31/97........ $12.50 $ -- $ 3.59 $ 3.59 $-- $ -- $ -- $16.09 28.72%
4/30/98(5)............... 16.09 (0.01) 2.10 2.09 -- (0.59) (0.59) 17.59 46.03
CLASS B
-------
11/19/96-10/31/97........ 12.50 (0.11) 3.61 3.50 -- -- -- 16.00 28.00
4/30/98(5)............... 16.00 (0.06) 2.08 2.02 -- (0.59) (0.59) 17.43 44.74
CLASS C
-------
3/06/97-10/31/97......... 13.56 (0.08) 2.52 2.44 -- -- -- 16.00 17.99
4/30/98(5)............... 16.00 (0.06) 2.08 2.02 -- (0.59) (0.59) 17.43 33.42
CLASS Z
-------
4/3/98-4/30/98(5)........ 17.62 -- (0.03) (0.03) -- -- -- 17.59 (0.17)
<CAPTION>
VALUE PORTFOLIO
- ---------------
<S> <C> <C> <C> <C>
11/19/96-10/31/97........ $ 48,377 1.84% --% 48%
4/30/98(5)............... 87,348 1.78 (0.08) 18
11/19/96-10/31/97........ 77,534 2.46 (0.74) 48
4/30/98(5)............... 124,048 2.43 (0.72) 18
3/06/97-10/31/97......... 9,384 2.45 (0.78) 48
4/30/98(5)............... 16,703 2.43 (0.73) 18
4/3/98-4/30/98(5)........ 61 1.20 0.35 18
<CAPTION>
SMALL-CAP VALUE PORTFOLIO
- -------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A
-------
10/15/97-10/31/97........ $12.50 $ 0.01 $(0.37) $(0.36) $-- $ -- $ -- $12.14 (2.88)%
4/30/98(5)............... 12.14 0.05 1.34 1.39 -- -- -- 13.53 8.24
CLASS B
-------
10/15/96-10/31/97........ 12.50 0.01 (0.38) (0.37) -- -- -- 12.13 (2.96)
4/30/98(5)............... 12.13 (0.01) 1.35 1.34 -- -- -- 13.47 7.76
CLASS C
-------
10/15/97-10/31/97........ 12.50 0.01 (0.37) (0.36) -- -- -- 12.14 (2.88)
4/30/98(5)............... 12.14 (0.02) 1.36 1.34 -- -- -- 13.48 7.84
<CAPTION>
CLASS Z
-------
4/3/98-4/30/98(5)........ 13.63 0.01 (0.10) (0.09) -- -- -- 13.54 (0.66)
<CAPTION>
SMALL-CAP VALUE PORTFOLIO
- -------------------------
<S> <C> <C> <C> <C>
10/15/97-10/31/97........ $ 21,346 1.78% 2.57% --%
4/30/98(5)............... 15,536 1.78 0.83 25
10/15/96-10/31/97........ 3,112 2.43 1.75 --
4/30/98(5)............... 25,361 2.43 (0.18) 25
10/15/97-10/31/97........ 525 2.43 1.75 --
4/30/98(5)............... 5,193 2.43 (0.26) 25
4/3/98-4/30/98(5)........ 23 1.21 0.59 25
<CAPTION>
INTERNATIONAL EQUITY PORTFOLIO
- ------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A
-------
11/19/96-10/31/97........ $12.50 $ 0.01 $(0.05) $(0.04) $-- $ -- $ -- $12.46 (0.32)%
4/30/98(5)............... 12.46 (0.03) 1.61 1.58 -- (0.22) (0.22) 13.82 12.63
CLASS B
-------
11/19/96-10/31/97........ 12.50 (0.09) (0.03) (0.12) -- -- -- 12.38 (0.96)
4/30/98(5)............... 12.38 (0.07) 1.59 1.52 -- (0.22) (0.22) 13.68 11.50
CLASS C
-------
3/06/97-10/31/97......... 12.60 (0.07) (0.15) (0.22) -- -- -- 12.38 (1.75)
4/30/98(5)............... 12.38 (0.06) 1.58 1.52 -- (0.22) (0.22) 13.68 10.62
CLASS Z
-------
4/1/98-4/30/98(5)........ 13.63 0.01 0.19 0.20 -- -- -- 13.83 1.47
<CAPTION>
<S> <C> <C> <C> <C>
11/19/96-10/31/97........ $ 24,365 2.10% 0.07% 70%
4/30/98(5)............... 26,376 2.03 (0.48) 79
11/19/96-10/31/97........ 42,656 2.72 (0.69) 70
4/30/98(5)............... 50,213 2.68 (1.11) 79
3/06/97-10/31/97......... 4,459 2.70 (0.75) 70
4/30/98(5)............... 6,500 2.68 (1.04) 79
4/1/98-4/30/98(5)........ 10 1.20 1.45 79
</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>
<CAPTION>
10/31/97 4/30/98
-------- -------
<S> <C> <C>
Large-Cap Value A........ .58% .67%
Large-Cap Value B........ 1.16% .69%
Large-Cap Value C........ 3.22% 1.53%
Large-Cap Value Z........ -- 74.55%
Value A.................. .28% .29%
Value B.................. .34% .34%
Value C.................. .63% .41%
Value Z.................. -- 54.60%
(5) Unaudited
<CAPTION>
10/31/97 4/30/98
-------- -------
<S> <C> <C>
Small-Cap Value A........ .57% .65%
Small-Cap Value B........ .74% .61%
Small-Cap Value C........ 1.42% 1.22%
Small-Cap Value Z........ -- 132.76%
International Equity A... .37% .49%
International Equity B... .45% .53%
International Equity C... .87% .71%
International Equity Z... -- 171.11%
</TABLE>
See Notes to Financial Statements
<PAGE>
14
[STYLE SELECT SERIES(SM) LOGO]
Large-Cap Growth Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 (unaudited)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK--96.9%
BANKS--2.8%
Bank of New York Co., Inc............................ 1,000 $ 59,063
BankAmerica Corp..................................... 1,400 119,000
Citicorp............................................. 900 135,450
State Street Corp.................................... 8,000 572,000
-----------
885,513
-----------
BROADCASTING & MEDIA--5.3%
CBS Corp............................................. 10,000 356,250
Interpublic Group of Cos.,
Inc................................................ 14,000 894,250
Time Warner, Inc..................................... 5,680 445,880
-----------
1,696,380
-----------
BUSINESS SERVICES--3.9%
Manpower, Inc........................................ 17,800 784,313
Service Corp. International(1)....................... 11,400 470,250
-----------
1,254,563
-----------
CHEMICALS--4.4%
du Pont (E.I.) de Nemours & Co....................... 5,725 416,852
Monsanto Co.......................................... 5,175 273,628
Sigma-Aldrich Corp................................... 9,800 390,775
Solutia, Inc......................................... 11,925 338,372
-----------
1,419,627
-----------
COMPUTERS & BUSINESS EQUIPMENT--3.0%
Dell Computer Corp.+................................. 5,550 447,816
Hewlett-Packard Co................................... 7,000 527,187
-----------
975,003
-----------
DRUGS--9.9%
Bristol-Myers Squibb Co.(1).......................... 7,425 786,122
Lilly (Eli) & Co.(1)................................. 14,500 1,008,656
Merck & Co., Inc..................................... 6,500 783,250
Pfizer, Inc.(1)...................................... 5,275 600,361
-----------
3,178,389
-----------
ELECTRONICS--8.1%
ASM Lithography Holdings NV+ . 3,500 319,375
Emerson Electric Co.(1).............................. 5,500 349,937
Intel Corp........................................... 11,575 935,405
Molex, Inc., Class A................................. 6,000 161,250
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- --------------------------------------------------------------------------------
<S> <C> <C>
ELECTRONICS (CONTINUED)
Motorola, Inc........................................ 5,400 $ 300,375
Solectron Corp.+..................................... 5,000 221,562
Teradyne, Inc.+(1)................................... 2,400 87,600
Texas Instruments, Inc............................... 3,500 224,219
-----------
2,599,723
-----------
ENERGY SERVICES--3.4%
Baker Hughes, Inc.................................... 4,500 182,250
Diamond Offshore Drilling, Inc. . 4,750 240,469
Schlumberger Ltd..................................... 8,150 675,431
-----------
1,098,150
-----------
ENERGY SOURCES--0.8%
Exxon Corp........................................... 3,300 240,694
-----------
ENTERTAINMENT PRODUCTS--2.3%
Mattel, Inc.......................................... 19,300 739,431
-----------
FINANCIAL SERVICES--5.7%
American Express Co.................................. 3,400 346,800
Charles Schwab Corp.................................. 6,000 210,000
Federal Home Loan Mortgage Corp...................... 6,650 307,978
Federal National Mortgage Association................ 4,350 260,456
Morgan Stanley, Dean Witter, Discover & Co........... 4,890 385,699
Newcourt Credit Group, Inc........................... 775 38,072
SLM Holding Corp..................................... 6,387 272,645
-----------
1,821,650
-----------
FOOD, BEVERAGE & TOBACCO--5.0%
Coca-Cola Co......................................... 9,300 705,637
Coca-Cola Enterprises, Inc........................... 10,375 391,656
Delta & Pine Land Co................................. 11,100 511,294
-----------
1,608,587
-----------
HOUSEHOLD PRODUCTS--5.0%
Gillette Co.(1)...................................... 4,900 565,644
Procter & Gamble Co.................................. 5,600 460,250
Warner-Lambert Co.(1)................................ 3,000 567,562
-----------
1,593,456
-----------
HOUSING--1.1%
Home Depot, Inc...................................... 5,100 355,088
-----------
</TABLE>
<PAGE>
15
[STYLE SELECT SERIES(SM) LOGO]
Large-Cap Growth Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 (unaudited) -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (CONTINUED)
INSURANCE--3.3%
American International Group, Inc.................... 6,000 $ 789,375
MGIC Investment Corp................................. 4,350 274,050
-----------
1,063,425
-----------
LEISURE & TOURISM--7.7%
Cracker Barrel Old Country Store, Inc................ 3,600 131,850
Delta Air Lines, Inc................................. 1,200 139,500
Disney (Walt) Co..................................... 5,265 654,505
Marriott International, Inc.......................... 4,100 135,300
Marriott International, Inc., Class A................ 4,100 131,200
McDonald's Corp.(1).................................. 16,100 996,187
UAL Corp.+........................................... 3,000 261,563
-----------
2,450,105
-----------
MEDICAL PRODUCTS--5.8%
Boston Scientific Corp.+............................. 5,500 397,719
Johnson & Johnson Co................................. 11,300 806,537
Medtronic, Inc.(1)................................... 12,500 657,813
-----------
1,862,069
-----------
MULTI-INDUSTRY--4.3%
General Electric Co.................................. 16,000 1,362,000
-----------
RETAIL--3.1%
Fred Meyer, Inc.+.................................... 3,200 143,600
Gap, Inc............................................. 6,600 339,488
Viking Office Products, Inc.+........................ 21,100 509,037
-----------
992,125
-----------
SOFTWARE--8.5%
American Power Conversion Corp.+..................... 21,000 673,312
Cadence Design Systems, Inc.+(1)..................... 5,950 216,059
Cisco Systems, Inc.+................................. 4,700 344,275
Electronic Arts, Inc.+............................... 5,000 230,625
Microsoft Corp.+..................................... 13,000 1,171,625
Parametric Technology Corp.+......................... 3,000 95,813
-----------
2,731,709
-----------
<CAPTION>
SHARES/
PRINCIPAL
AMOUNT
(IN VALUE
SECURITY DESCRIPTION THOUSANDS) (NOTE 3)
- --------------------------------------------------------------------------------
<S> <C> <C>
TELECOMMUNICATIONS--2.5%
Ericsson (L.M.)
Telecommunications Co.,
Class B ADR........................................ 10,900 $ 559,306
Hong Kong Telecommunications Ltd.
ADR................................................ 12,400 239,475
-----------
798,781
-----------
TRANSPORTATION--1.0%
Air Express International Corp....................... 12,000 315,000
-----------
TOTAL INVESTMENT SECURITIES--96.9%
(cost $26,505,291)................................... 31,041,468
-----------
SHORT-TERM SECURITIES--0.3%
Federal Home Loan Mortgage Discount Notes
5.45% due 5/01/98
(cost $100,000).................................... $ 100 100,000
-----------
REPURCHASE AGREEMENT--1.5%
Agreement with State Street
Bank and Trust Co., bearing
5.00%, dated 4/30/98 to be
repurchased 5/01/98 in the
amount of $456,063
collaterized by $465,000
U.S. Treasury Note 5.50%,
due 2/28/99 approximate
aggregate value $469,068
(cost $456,000).................................... 456 456,000
-----------
TOTAL INVESTMENTS--
(cost $27,061,291)................................... 98.7% 31,597,468
Other assets less liabilities.......................... 1.3 427,278
------- -----------
NET ASSETS-- 100.0% $32,024,746
------- -----------
------- -----------
</TABLE>
- ------------------
+ Non-income producing security
ADR ('American Depositary Receipt')
(1) Security is traded with rights attached
See Notes to Financial Statements
<PAGE>
16
[STYLE SELECT SERIES(SM) LOGO]
Mid-Cap Growth Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 (unaudited)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -----------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK--91.3%
AEROSPACE & MILITARY TECHNOLOGY--0.5%
BE Aerospace, Inc.+................................ 14,300 $ 445,088
-----------
APPAREL & TEXTILES--1.3%
Jones Apparel Group, Inc.+......................... 3,100 185,419
Polo Ralph Lauren Corp., Class A+.................. 7,800 219,375
Warnaco Group, Inc. Class A........................ 17,700 747,825
Wolverine World Wide, Inc.(1)...................... 3,300 95,287
-----------
1,247,906
-----------
AUTOMOTIVE--2.1%
AutoZone, Inc.+.................................... 13,100 395,456
Danaher Corp....................................... 9,500 682,812
Harley-Davidson, Inc.(1)........................... 7,400 266,400
OEA, Inc........................................... 3,000 57,188
Tower Automotive, Inc.+............................ 10,400 554,450
-----------
1,956,306
-----------
BANKS--0.4%
State Street Corp.................................. 4,800 343,200
-----------
BROADCASTING & MEDIA--6.7%
360 Communications Co.+............................ 7,800 238,388
At Home Corp., Series A+........................... 11,050 368,103
Cablevision Systems Corp., Class A+................ 4,700 288,756
CheckFree Holdings Corp.+.......................... 5,000 128,750
Cinar Films, Inc., Class B+........................ 18,200 343,525
Clear Channel Communications, Inc.+................ 1,700 160,225
Comcast Corp., Class A............................. 15,700 560,294
HA-LO Industries, Inc.+............................ 7,700 258,431
Heftel Broadcasting Corp., Class A+................ 8,400 362,250
Imax Corp.+........................................ 15,300 411,187
Jacor Communications, Inc.+........................ 14,900 846,506
Outdoor Systems, Inc.+............................. 24,250 769,937
Princeton Video Image, Inc.+....................... 1,500 9,000
Tele-Communications International, Inc. Series A+.. 11,800 224,200
Tele-Communications Liberty Media Group, Inc.,
Series A+........................................ 15,875 525,859
Tele-Communications, Inc., Series A+............... 10,362 334,175
Univision Communications, Inc., Class A+........... 6,300 241,369
Vanguard Cellular Systems, Inc., Class A+.......... 5,300 99,044
Ziff-Davis, Inc.+.................................. 11,800 212,400
-----------
6,382,399
-----------
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -----------------------------------------------------------------------------
<S> <C> <C>
BUSINESS SERVICES--10.3%
AccuStaff, Inc.+................................... 13,100 $ 469,962
ADVO, Inc.+........................................ 3,000 85,875
Allied Waste Industries, Inc.+..................... 31,600 869,000
American Disposal Services, Inc.+.................. 13,500 540,000
Apollo Group, Inc., Class A+....................... 14,400 486,000
Catalina Marketing Corp.+.......................... 4,900 254,800
Cendant Corp.+..................................... 4,900 122,507
Central Parking Corp............................... 11,600 543,750
Cintas Corp........................................ 8,900 421,081
Complete Busines Solutions, Inc.................... 12,200 416,325
Concord EFS, Inc.+................................. 11,700 365,625
Corporate Express, Inc.+........................... 31,000 310,000
Corrections Corp. of America+...................... 8,600 238,650
Diamond Technology Partners, Inc., Class A+........ 10,500 287,438
Gartner Group, Inc., Class A+...................... 7,900 261,194
Interim Services, Inc.+............................ 12,600 411,075
J. Ray McDermott SA+............................... 5,400 239,625
National Data Corp................................. 8,200 334,662
NOVA Corp.......................................... 6,800 231,200
Paychex, Inc....................................... 8,550 464,372
Romac International, Inc.+......................... 3,600 95,400
ServiceMaster Co................................... 3,300 94,256
Snyder Communications, Inc.+....................... 4,800 204,000
Sodexho Marriott Services, Inc.+................... 6,100 155,550
Solectron Corp.+................................... 3,500 155,094
Stewart Enterprises, Inc., Class A................. 10,200 263,288
Superior Services, Inc.+........................... 6,400 206,400
United Rentals, Inc.+.............................. 15,900 547,556
USA Waste Services, Inc.+.......................... 14,700 721,219
-----------
9,795,904
-----------
CHEMICALS--0.3%
Great Lakes Chemical Corp.(1)...................... 6,100 306,525
-----------
COMMUNICATION EQUIPMENT--5.1%
Advanced Fibre Communications, Inc.+............... 17,300 730,925
Anixter International, Inc.+....................... 8,400 167,475
Ascend Communications, Inc.+....................... 19,500 848,250
CIENA Corp.+....................................... 8,800 490,050
Computer Horizons Corp.+(1)........................ 15,800 598,425
Cox Communications, Inc., Class A+................. 7,000 312,375
First Virtual Corp.+............................... 1,700 26,775
Loral Space & Communications Corp.+................ 16,700 522,919
Qwest Communications International, Inc.+.......... 8,100 312,356
Tellabs, Inc.+..................................... 12,000 849,750
-----------
4,859,300
-----------
</TABLE>
<PAGE>
17
[STYLE SELECT SERIES(SM) LOGO]
Mid-Cap Growth Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 (unaudited) -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -----------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (CONTINUED)
COMPUTERS & BUSINESS EQUIPMENT--0.9%
Danka Business Systems PLC ADR..................... 6,800 $ 136,000
Geac Computer Corp., Ltd.+......................... 8,500 334,959
Ikon Office Solutions, Inc......................... 7,300 176,569
Security Dynamics Technologies, Inc.+.............. 7,900 190,094
-----------
837,622
-----------
DRUGS--2.7%
Agouron Pharmaceuticals, Inc.+..................... 4,900 166,600
ALZA Corp.+........................................ 8,000 383,500
Biogen, Inc.+(1)................................... 11,700 516,262
Dura Pharmaceuticals, Inc.+........................ 17,000 449,438
Gilead Sciences, Inc.+............................. 7,400 281,200
Medicis Pharmaceutical Corp., Class A+............. 3,100 132,138
Omnicare, Inc...................................... 8,700 297,975
R.P. Scherer Corp. ADR+............................ 4,900 357,700
-----------
2,584,813
-----------
ELECTRICAL EQUIPMENT--0.6%
Applied Power, Inc., Class A....................... 5,900 219,775
Jabil Circuit, Inc.+............................... 4,900 171,500
Microchip Technology, Inc.+........................ 7,900 223,175
-----------
614,450
-----------
ELECTRONICS--5.4%
Altera Corp.+...................................... 9,100 367,981
Analog Devices, Inc.+(1)........................... 12,600 490,612
ATMI, Inc.+........................................ 8,800 245,300
Avid Technology, Inc.+............................. 1,600 69,200
Berg Electronics Corp.+............................ 13,100 311,944
Broadcom Corp., Class A+........................... 300 14,400
Burr-Brown Corp.+(1)............................... 12,400 375,875
Etec Systems, Inc.+................................ 1,100 62,288
Linear Technology Corp............................. 6,100 490,287
Maxim Integrated Products, Inc.+................... 6,600 266,063
Novellus Systems, Inc.+............................ 5,300 253,075
PMC-Sierra, Inc.+.................................. 5,400 244,350
Rambus, Inc.+...................................... 7,000 314,562
Teleflex, Inc...................................... 8,500 361,250
Uniphase Corp.+.................................... 11,100 602,175
Vitesse Semiconductor Corp.+....................... 4,800 276,000
Waters Corp.+...................................... 3,000 160,500
Xilinx, Inc.+(1)................................... 5,800 264,988
-----------
5,170,850
-----------
ENERGY SERVICES--3.3%
BJ Services Co.+................................... 17,400 652,500
Camco International, Inc........................... 8,800 597,300
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -----------------------------------------------------------------------------
<S> <C> <C>
ENERGY SERVICES (CONTINUED)
Cliffs Drilling Co.+............................... 1,500 73,969
Cooper Cameron Corp.+.............................. 3,500 $ 232,531
Diamond Offshore Drilling, Inc..................... 5,200 263,250
Global Industries Ltd.+............................ 12,300 278,288
Nabors Industries, Inc.+........................... 14,200 357,662
Newpark Resources, Inc.+........................... 23,100 555,844
Santa Fe International Corp.+...................... 3,100 121,481
-----------
3,132,825
-----------
ENERGY SOURCES--1.3%
Burlington Resources, Inc.(1)...................... 6,900 324,300
EEX Corp.+......................................... 34,000 329,375
Ocean Energy, Inc.+................................ 13,070 320,215
ONIX Systems, Inc.+................................ 16,400 235,750
-----------
1,209,640
-----------
ENTERTAINMENT PRODUCTS--0.3%
Metro-Goldwyn-Mayer, Inc.+......................... 13,500 325,688
-----------
FINANCIAL SERVICES--4.3%
AMRESCO, Inc.+..................................... 13,000 469,625
Capital One Financial Corp......................... 5,000 480,312
FINOVA Group, Inc.................................. 12,600 737,887
FIRSTPLUS Financial Group, Inc.+................... 14,100 683,850
Franklin Resources, Inc............................ 6,100 326,350
Heller Financial, Inc.+............................ 1,600 43,200
Newcourt Credit Group, Inc......................... 3,500 171,938
Ocwen Financial Corp............................... 7,100 183,713
Providian Financial Corp........................... 2,100 126,394
Sirrom Capital Corp................................ 15,200 454,100
Tele-Communications TCI Ventures Group, Series
A+............................................... 22,376 365,008
-----------
4,042,377
-----------
FOOD, BEVERAGE & TOBACCO--1.8%
Beringer Wine Estates Holdings, Inc., Class B+..... 5,100 237,150
Earthgrains Co..................................... 5,300 247,775
Suiza Foods Corp.+................................. 12,000 711,000
US Foodservice, Inc.+.............................. 14,600 515,563
-----------
1,711,488
-----------
FOREST PRODUCTS--0.7%
EarthShell Corp.................................... 17,200 249,400
Sealed Air Corp.................................... 6,000 376,125
-----------
625,525
-----------
HEALTH SERVICES--7.1%
Covance, Inc.+..................................... 17,500 375,156
HBO & Co.(1)....................................... 18,400 1,099,400
Health Management Associates, Inc., Class A+....... 31,750 1,000,125
HEALTHSOUTH Corp.+................................. 10,500 316,969
</TABLE>
<PAGE>
18
[STYLE SELECT SERIES(SM) LOGO]
Mid-Cap Growth Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 (unaudited) -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -----------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (CONTINUED)
HEALTH SERVICES (CONTINUED)
Lincare Holdings, Inc.+............................ 13,000 $ 1,049,750
Orthodontic Centers of America, Inc.+.............. 16,900 361,237
Pediatrix Medical Group, Inc.+..................... 1,200 50,625
Province Healthcare Co.+........................... 1,000 27,000
Quintiles Transnational Corp.+..................... 17,300 855,269
Quorum Health Group, Inc.+......................... 13,150 419,156
Sunrise Assisted Living, Inc.+..................... 12,800 573,600
Total Renal Care Holdings, Inc.+................... 18,000 596,250
-----------
6,724,537
-----------
HOUSEHOLD PRODUCTS--1.6%
Culligan Water Technologies, Inc.+................. 8,900 516,756
Estee Lauder Cos., Inc., Class A................... 7,300 484,994
Omnipoint Corp. +.................................. 11,700 285,919
Rexall Sundown, Inc.+.............................. 7,500 239,531
-----------
1,527,200
-----------
INSURANCE--1.6%
Ace Co., Ltd....................................... 8,100 306,787
Fairfax Financial Holdings Ltd.+................... 1,000 375,538
Healthcare Recoveries, Inc.+....................... 13,700 325,375
PartnerRe Ltd...................................... 7,700 385,481
Protective Life Corp.(1)........................... 4,400 163,350
-----------
1,556,531
-----------
INVESTMENT COMPANIES--0.2%
Waddell & Reed Financial,
Inc.+............................................ 6,300 155,925
-----------
LEISURE & TOURISM--4.1%
AMF Bowling, Inc.+................................. 12,600 364,613
Friendly Ice Cream Corp., Ltd.+.................... 10,900 272,500
Galileo International, Inc......................... 13,500 545,062
La Quinta Inns, Inc................................ 1,800 39,600
Outback Steakhouse, Inc.+.......................... 8,400 319,200
Premier Parks, Inc.+............................... 25,400 1,412,875
Royal Caribbean Cruises Ltd........................ 7,500 512,813
Signature Resorts, Inc.+........................... 6,400 114,400
Transport World Entertainment Corp................. 11,600 311,750
-----------
3,892,813
-----------
MACHINERY--1.4%
Arterial Vascular Engineering, Inc.+............... 20,300 716,844
MSC Industrial Direct Co., Inc., Class A+.......... 5,500 279,812
Smith International, Inc.+(1)...................... 5,700 334,875
-----------
1,331,531
-----------
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -----------------------------------------------------------------------------
<S> <C> <C>
MEDICAL PRODUCTS--1.6%
Cardinal Health, Inc............................... 1,700 $ 163,625
Centocor, Inc.+.................................... 7,900 332,294
Henry Schein, Inc.+................................ 7,600 296,400
Steris Corp........................................ 1,500 88,125
Sybron International Corp.+........................ 11,900 315,350
US Surgical Corp................................... 9,300 292,950
-----------
1,488,744
-----------
METALS & MINERALS--0.5%
Battle Mountain Gold Co............................ 32,300 232,156
Cambior, Inc....................................... 13,400 105,525
TVX Gold, Inc.+.................................... 34,000 138,125
-----------
475,806
-----------
REAL ESTATE COMPANIES--1.2%
CB Commercial Real Estate Services Group, Inc.+.... 3,100 113,731
Security Capital Group, Inc., Class B+............. 14,400 435,600
Security Capital US Realty+........................ 2,000 26,200
Security Capital US Realty+........................ 5,500 72,050
Trammell Crow Co................................... 17,900 474,350
-----------
1,121,931
-----------
REAL ESTATE INVESTMENT TRUSTS--0.6%
INMC Mortgage Holdings, Inc........................ 11,600 281,300
Security Capital Industrial Trust.................. 12,872 314,560
-----------
595,860
-----------
RETAIL--6.8%
Bed Bath & Beyond, Inc.+........................... 5,400 263,925
BJ's Wholesale Club, Inc.+......................... 9,500 380,594
Borders Group, Inc.+............................... 20,900 671,412
Brylane, Inc....................................... 5,400 317,250
CDW Computer Centers, Inc.+........................ 2,800 135,800
Circuit City Stores, Inc.(1)....................... 10,400 422,500
Costco Cos., Inc.+................................. 6,200 345,650
CVS Corp........................................... 6,400 472,000
Fred Meyer, Inc.+.................................. 8,000 359,000
General Nutrition Cos., Inc.+...................... 10,500 376,031
Gymboree Corp.+.................................... 10,400 190,450
Hibbett Sporting Goods, Inc.+...................... 6,600 221,100
Kohl's Corp.+...................................... 6,800 280,925
Koninklijke Ahold NV ADR........................... 10,900 342,669
Nutraceutical International Corp.+................. 10,000 179,375
Richfood Holdings, Inc............................. 4,500 123,469
ShopKo Stores, Inc.+............................... 9,400 325,475
Stage Stores, Inc.................................. 3,200 164,600
Staples, Inc.+..................................... 7,200 177,750
Starbucks Corp.+................................... 15,600 749,775
-----------
6,499,750
-----------
</TABLE>
<PAGE>
19
[STYLE SELECT SERIES(SM) LOGO]
Mid-Cap Growth Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 (unaudited) -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -----------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (CONTINUED)
SOFTWARE--10.6%
Acceler8 Technology Corp.+......................... 8,600 $ 146,200
Affiliated Computer Services Inc., Class A+........ 16,400 576,050
America Online, Inc.+.............................. 600 208,000
BMC Software, Inc.+................................ 13,400 1,252,900
CBT Group PLC ADR+................................. 3,400 172,975
Check Point Software Technologies, Ltd.+........... 2,900 85,188
Citrix Systems, Inc. +............................. 5,100 316,837
Computer Sciences Corp.+(1)........................ 2,900 152,975
Compuware Corp.+................................... 3,700 180,606
CSG Systems International, Inc. +.................. 5,700 259,350
DST Systems, Inc.+................................. 7,600 418,950
Fiserv, Inc.+...................................... 7,900 513,500
J.D. Edwards & Co.+................................ 20,900 744,562
Keane, Inc.+....................................... 5,800 291,450
Mapics, Inc........................................ 21,000 372,750
Micro Focus Group PLC ADR+......................... 4,800 217,200
Networks Associates, Inc.+......................... 19,001 1,301,567
Orange PLC+........................................ 31,200 224,018
PeopleSoft, Inc.+.................................. 6,900 320,419
Rational Software Corp.+........................... 21,100 353,425
Sapient Corp.+..................................... 6,500 318,500
Sterling Commerce, Inc.+........................... 7,000 297,938
SunGard Data Systems, Inc.+........................ 11,000 391,875
Synopsys, Inc.+.................................... 8,200 351,575
Xylan Corp. +...................................... 22,000 625,625
-----------
10,094,435
-----------
TELECOMMUNICATIONS--5.3%
Cellular Communications International, Inc.+....... 8,500 372,937
General Instrument Corp.+.......................... 18,200 408,362
Globalstar Telecommunications Ltd.+................ 12,908 893,879
Intermedia Communications, Inc.+................... 4,000 291,500
Level 3 Communications, Inc.+...................... 4,600 284,913
Paging Network, Inc.+.............................. 43,000 604,687
Premiere Technologies, Inc.+....................... 3,600 114,750
RELTEC Corp.+...................................... 3,500 139,563
STAR Telecommunications, Inc.+..................... 21,200 572,400
Tekelec, Inc.+..................................... 8,200 412,050
<CAPTION>
SHARES/
PRINCIPAL
AMOUNT
(IN VALUE
SECURITY DESCRIPTION THOUSANDS) (NOTE 3)
- -----------------------------------------------------------------------------
<S> <C> <C> <C>
TELECOMMUNICATIONS (CONTINUED)
Tel-Save Holdings, Inc.+........................... 19,200 $ 436,800
Western Wireless Corp., Class A+................... 17,400 339,300
World Access, Inc.+................................ 5,400 207,900
-----------
5,079,041
-----------
TELEPHONE--0.7%
Cincinnati Bell, Inc............................... 10,200 390,150
NEXTLINK Communications, Inc., Class A+............ 8,000 239,500
-----------
629,650
-----------
TOTAL INVESTMENT SECURITIES--91.3%
(cost $70,743,451)................................. 86,765,660
-----------
SHORT-TERM SECURITIES--8.5%
Cayman Island Time Deposit with State Street Bank
and Trust Co.
4.50% due 5/01/98................................ $5,408 5,408,000
Federal Home Loan Mortgage Discount Notes
5.45% due 5/01/98................................ 706 706,000
Federal National Mortgage Association Discount
Notes
5.41% due 6/11/98................................ 2,000 1,987,677
-----------
TOTAL SHORT-TERM SECURITIES
(cost $8,101,677).................................. 8,101,677
-----------
TOTAL INVESTMENTS--
(cost $78,845,128)................................. 99.8% 94,867,337
Other assets less liabilities........................ 0.2 159,382
------- -----------
NET ASSETS-- 100.0% $95,026,719
------- -----------
------- -----------
</TABLE>
- ------------------
+ Non-income producing security
ADR ('American Depositary Receipt')
(1) Security is traded with rights attached
See Notes to Financial Statements
<PAGE>
20
Aggressive Growth Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 -- (unaudited)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK--92.1%
AEROSPACE & MILITARY TECHNOLOGY--0.7%
Aeroflex, Inc.+...................................... 34,500 $ 470,063
Gulfstream Aerospace Corp.+.......................... 11,400 478,087
------------
948,150
------------
APPAREL & TEXTILES--0.6%
Abercrombie & Fitch Co., Class A+.................... 10,000 445,000
Oakley, Inc.+........................................ 28,600 377,162
------------
822,162
------------
AUTOMOTIVE--0.7%
Ford Motor Co........................................ 19,590 897,467
------------
BANKS--6.3%
Bank United Corp., Class A........................... 6,700 346,725
BankAmerica Corp..................................... 32,200 2,737,000
Citicorp............................................. 4,495 676,497
City National Corp................................... 9,300 345,844
Crestar Financial Corp.(1)........................... 6,400 382,800
Cullen/Frost Bankers, Inc.(1)........................ 6,500 380,250
First American Corp.................................. 11,200 550,200
Fleet Financial Group, Inc........................... 4,600 397,325
Hamilton Bancorp, Inc.+.............................. 13,000 416,000
Hibernia Corp., Class A.............................. 10,000 204,375
Sovereign Bancorp, Inc............................... 20,000 377,500
Summit Bancorp....................................... 8,000 401,000
U.S. Bancorp......................................... 10,715 1,360,805
------------
8,576,321
------------
BROADCASTING & MEDIA--9.5%
At Home Corp., Series A+............................. 35,320 1,176,597
CBS Corp............................................. 41,105 1,464,366
Central European Media Enterprises Ltd., Class A+.... 13,100 365,981
Central Newspapers, Inc., Class A.................... 5,900 432,175
Chancellor Media Corp.+.............................. 44,885 2,126,427
Cinar Films, Inc., Class B+.......................... 16,000 302,000
Clear Channel Communications, Inc.+.................. 7,625 718,656
Clearnet Communications, Inc., Class A+.............. 25,100 346,694
DeVry, Inc.+......................................... 11,700 443,137
DoubleClick, Inc.+................................... 10,500 437,063
HA-LO Industries, Inc.+.............................. 16,500 553,781
Harte Hanks Communications Co........................ 14,500 328,969
Heftel Broadcasting Corp., Class A+.................. 12,200 526,125
IDT Corp.+........................................... 10,000 306,875
Jacor Communications, Inc.+.......................... 11,700 664,706
Metro One Telecomm, Inc.+............................ 8,400 109,725
Outdoor Systems, Inc.+............................... 17,587 558,387
Pulitzer Publishing Co............................... 3,700 315,888
The Petersen Cos., Inc.+............................. 14,400 374,400
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------------
<S> <C> <C>
BROADCASTING & MEDIA (CONTINUED)
Univision Communications, Inc., Class A+............. 7,800 $ 298,838
Valassis Communications, Inc......................... 9,000 353,250
Wiley (John) & Sons, Inc., Class A................... 6,000 332,250
WPP Group PLC........................................ 7,100 457,062
------------
12,993,352
------------
BUSINESS SERVICES--3.3%
Allied Waste Industries, Inc.+....................... 14,900 409,750
American Disposal Services, Inc.+.................... 20,000 800,000
CCC Information Services Group, Inc.+................ 10,000 238,750
Cendant Corp.+....................................... 19,790 494,750
Movado Group, Inc.................................... 12,500 375,000
North American Scientific, Inc....................... 14,500 507,500
Pre-Paid Legal Services, Inc.+....................... 10,000 378,125
QuickResponse Services, Inc.+........................ 9,000 423,000
Robert Half International, Inc.+(1).................. 12,200 660,325
Stewart Enterprises, Inc., Class A................... 8,000 206,500
------------
4,493,700
------------
COMMUNICATION EQUIPMENT--4.6%
Advanced Fibre Communications, Inc.+................. 34,175 1,443,894
Ascend Communications, Inc.+......................... 15,000 652,500
Loral Space & Communications Corp.+.................. 11,700 366,356
Qwest Communications International, Inc.+............ 55,150 2,126,722
Saville Systems PLC ADR+............................. 32,650 1,628,419
Tellabs, Inc.+....................................... 2,100 148,706
------------
6,366,597
------------
COMPUTERS & BUSINESS EQUIPMENT--3.4%
Dell Computer Corp.+................................. 40,680 3,282,367
Miller (Herman), Inc................................. 23,500 707,938
Reynolds & Reynolds Co. Class A...................... 18,500 425,500
SCM Microsystems, Inc................................ 4,550 308,831
------------
4,724,636
------------
DRUGS--5.4%
Amerisource Health Corp., Class A+................... 6,100 332,450
Barr Labs, Inc.+..................................... 8,400 340,725
Forest Labs, Inc.+................................... 9,200 332,925
Gilead Sciences, Inc.+............................... 7,900 300,200
Incyte Pharmacuticals, Inc.+......................... 8,700 391,500
Lilly (Eli) & Co.(1)................................. 17,930 1,247,256
Medicis Pharmaceutical Corp., Class A+............... 6,007 256,048
Medimmune, Inc....................................... 19,590 1,028,475
</TABLE>
<PAGE>
21
[STYLE SELECT SERIES(SM) LOGO]
Aggressive Growth Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 -- (unaudited) -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (CONTINUED)
DRUGS (CONTINUED)
Nanogen, Inc......................................... 10,000 $ 92,500
Pfizer, Inc.(1)...................................... 12,845 1,461,922
Pharmerica, Inc...................................... 45,000 624,375
Sepracor, Inc.+...................................... 11,400 525,825
Watson Pharmaceuticals, Inc.+........................ 10,100 434,300
------------
7,368,501
------------
ELECTRIC UTILITIES--1.3%
AES Corp.+........................................... 25,935 1,431,288
Niagara Mohawk Power Corp.+.......................... 30,000 367,500
------------
1,798,788
------------
ELECTRONICS--3.5%
ATMI, Inc.+.......................................... 12,000 334,500
Burr-Brown Corp.+(1)................................. 14,400 436,500
Essex International, Inc.+........................... 7,600 272,650
Intel Corp........................................... 6,505 525,685
KLA-Tencor Corp.+(1)................................. 4,000 160,750
Maxim Integrated Products, Inc.+..................... 23,800 959,437
SIPEX Corp.+......................................... 36,300 721,463
Uniphase Corp.+...................................... 16,000 868,000
Vitesse Semiconductor Corp.+......................... 9,100 523,250
------------
4,802,235
------------
ENERGY SERVICES--2.3%
BJ Services Co.+..................................... 8,800 330,000
EVI, Inc.+........................................... 7,500 399,375
Friede Goldman International, Inc.+.................. 4,500 180,563
Global Industries Ltd.+.............................. 18,100 409,512
Global Marine, Inc.+................................. 5,500 129,594
Nabors Industries, Inc.+............................. 5,500 138,531
Petroleum Geo-Services ADR+.......................... 10,700 703,525
Pride International, Inc.+........................... 17,400 423,037
Transocean Offshore, Inc............................. 4,000 223,500
Varco International, Inc.+........................... 5,500 169,125
------------
3,106,762
------------
ENERGY SOURCES--0.8%
Brown (Tom), Inc.+................................... 14,700 303,187
Chieftain International, Inc.+....................... 13,500 302,063
KCS Energy, Inc...................................... 1,800 27,900
Ocean Energy, Inc.+.................................. 16,500 404,250
------------
1,037,400
------------
ENTERTAINMENT PRODUCTS--0.3%
Lumen Technologies, Inc.............................. 45,000 424,688
------------
FINANCIAL SERVICES--4.4%
American Express Co.................................. 7,110 725,220
Associates First Capital Corp., Class A.............. 5,134 383,767
Healthcare Financial Partners, Inc.+................. 13,600 681,700
Legg Mason, Inc...................................... 6,000 354,000
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------------
<S> <C> <C>
FINANCIAL SERVICES (CONTINUED)
Lehman Brothers Holdings, Inc........................ 6,500 $ 461,906
Morgan Stanley, Dean Witter, Discover & Co........... 31,215 2,462,083
Nationwide Financial Services, Inc., Class A......... 15,000 650,625
Raymond James Financial, Inc......................... 10,000 325,625
------------
6,044,926
------------
FOOD, BEVERAGE & TOBACCO--0.5%
Consolidated Cigar Holdings, Inc., Class A+.......... 19,700 272,106
Keebler Foods Co.+................................... 1,000 28,500
Suiza Foods Corp.+................................... 5,500 325,875
------------
626,481
------------
GAS & PIPELINE UTILITIES--0.2%
KN Energy, Inc....................................... 5,100 299,306
------------
HEALTH SERVICES--2.5%
Advance Paradigm, Inc.+.............................. 7,500 299,063
Concentra Managed Care, Inc.+........................ 12,000 370,500
HBO & Co.(1)......................................... 10,000 597,500
Health Management Associates, Inc., Class A+......... 7,100 223,650
Medaphis Corp.+...................................... 49,500 448,594
Mid Atlantic Medical Services, Inc.+................. 28,600 366,437
Quorum Health Group, Inc.+........................... 10,000 318,750
Universal Health Services, Inc., Class B+............ 8,000 460,500
Vision Twenty One, Inc.+............................. 34,000 352,750
------------
3,437,744
------------
HOUSEHOLD PRODUCTS--1.4%
Central Garden & Pet Co.+............................ 12,500 428,125
Gillette Co.(1)...................................... 4,660 537,939
Warner-Lambert Co.(1)................................ 5,345 1,011,207
------------
1,977,271
------------
HOUSING--3.5%
D.R. Horton, Inc..................................... 20,000 371,250
Furniture Brands International, Inc.+................ 5,000 146,875
Home Depot, Inc...................................... 33,765 2,350,888
Hughes Supply, Inc................................... 9,000 348,750
Krause's Furniture, Inc.+............................ 25,000 93,750
Mohawk Industries, Inc.+............................. 32,400 1,000,350
Toll Brothers, Inc.+................................. 18,100 504,538
------------
4,816,401
------------
INSURANCE--2.0%
Allmerica Financial Corp............................. 9,251 579,344
American International Group, Inc.................... 6,242 821,213
</TABLE>
<PAGE>
22
[STYLE SELECT SERIES(SM) LOGO]
Aggressive Growth Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 -- (unaudited) -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (CONTINUED)
INSURANCE (CONTINUED)
Annuity And Life Re (Holdings)....................... 10,000 $ 238,125
Protective Life Corp.(1)............................. 14,000 519,750
Reliance Group Holdings, Inc......................... 20,000 346,250
Stirling Cooke Brown Holdings Ltd.+.................. 8,000 226,000
------------
2,730,682
------------
LEISURE & TOURISM--3.1%
Carnival Corp., Class A.............................. 4,500 313,031
Imax Corp.+.......................................... 10,500 282,188
Outback Steakhouse, Inc.+............................ 19,500 741,000
Premier Parks, Inc.+................................. 9,200 511,750
Preview Travel, Inc.................................. 20,000 570,000
Primadonna Resorts, Inc.............................. 22,000 391,875
Royal Caribbean Cruises Ltd.......................... 4,500 307,688
Signature Resorts, Inc.+............................. 19,900 355,712
Trans World Airlines, Inc. +......................... 12,400 120,125
Travel Services International, Inc.+................. 4,800 175,800
Vistana, Inc.+....................................... 19,300 487,325
------------
4,256,494
------------
MACHINERY--0.2%
Arterial Vascular Engineering, Inc.+................. 6,500 229,531
------------
MEDICAL PRODUCTS--0.9%
Cardinal Health, Inc................................. 3,610 347,462
Centocor, Inc.+...................................... 10,000 420,625
ESC Medical Systems Ltd.+............................ 8,710 283,075
Guidant Corp......................................... 2,500 167,188
------------
1,218,350
------------
MULTI-INDUSTRY--1.3%
General Electric Co.................................. 20,785 1,769,323
------------
REAL ESTATE INVESTMENT TRUSTS--0.5%
CarrAmerica Realty Corp.............................. 11,000 321,750
Security Capital Industrial Trust.................... 16,000 391,000
------------
712,750
------------
RETAIL--4.7%
Barnes & Noble, Inc.+................................ 10,000 338,750
Borders Group, Inc.+................................. 15,800 507,575
CDnow, Inc........................................... 5,000 159,688
Consolidated Stores+................................. 6,100 244,000
Dollar Tree Stores, Inc.+............................ 7,300 395,112
Gap, Inc............................................. 7,500 385,781
Office Depot, Inc.+.................................. 15,500 513,437
Payless ShoeSource, Inc.+............................ 5,200 371,800
Proffitt's, Inc.+.................................... 12,000 477,000
SportsLine USA, Inc.................................. 10,000 348,750
St. John Knits, Inc.................................. 5,000 223,125
Stage Stores, Inc.+.................................. 4,600 236,613
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------------
<S> <C> <C>
RETAIL (CONTINUED)
Staples, Inc.+....................................... 24,650 $ 608,547
Starbucks Corp.+..................................... 7,700 370,081
Sunglass Hut International, Inc.+.................... 46,000 437,000
The Kroll O'Gara Co.................................. 7,000 149,188
U.S. Vision, Inc.+................................... 10,000 130,625
Viking Office Products, Inc.+........................ 20,000 482,500
------------
6,379,572
------------
SOFTWARE--16.4%
Acceler8 Technology Corp.+........................... 9,565 162,605
America Online, Inc.+................................ 50,900 4,072,000
Applied Voice Technology, Inc.+...................... 6,000 264,000
BMC Software, Inc.+.................................. 9,400 878,900
Cambridge Technology Partners, Inc.+................. 6,900 359,231
CBT Group PLC ADR+................................... 20,300 1,032,762
Cisco Systems, Inc.+................................. 26,000 1,904,500
Citrix Systems, Inc. +............................... 8,600 534,275
CMG Information Services, Inc........................ 1,500 144,094
Compuware Corp.+..................................... 15,000 732,187
CSG Systems International, Inc.+..................... 10,000 455,000
Excite, Inc.......................................... 2,000 133,750
Icon CMT Corp........................................ 20,000 410,000
J.D. Edwards & Co.+.................................. 8,400 299,250
Keane, Inc.+......................................... 11,000 552,750
Lycos, Inc.+......................................... 7,000 432,250
Microsoft Corp.+..................................... 35,230 3,175,104
Mobius Management Systems, Inc....................... 7,500 137,813
National Instruments Corp.+.......................... 14,950 526,987
Network Appliance, Inc.+............................. 12,200 436,150
PeopleSoft, Inc.+.................................... 19,800 919,462
PLATINUM Technology, Inc.+........................... 16,100 406,525
PSINet, Inc.+........................................ 5,000 68,125
Segue Software, Inc. +............................... 2,300 34,069
Sterling Commerce, Inc.+............................. 8,000 340,500
SunGard Data Systems, Inc.+.......................... 13,000 463,125
Sylvan Learning Systems, Inc.+....................... 9,000 443,250
Technology Solutions Co.+............................ 14,850 471,488
Transaction Systems Architects, Inc., Class A+....... 13,500 563,625
VERITAS Software Corp.+.............................. 34,120 1,872,335
VocalTec Communications Ltd.+........................ 2,400 43,200
Yahoo!, Inc.+........................................ 1,500 178,313
------------
22,447,625
------------
TELECOMMUNICATIONS--6.2%
Dset Corp............................................ 26,400 438,900
Frontier Corp........................................ 12,000 359,250
Glenayre Technologies, Inc.+......................... 26,700 418,856
</TABLE>
<PAGE>
23
[STYLE SELECT SERIES(SM) LOGO]
Aggressive Growth Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 -- (unaudited) -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ---------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
GST Telecommunications, Inc+......................... 31,500 $ 486,281
Intermedia Communications, Inc.+..................... 11,000 801,625
Iwl Communications, Inc.............................. 6,000 111,000
Level 3 Communications, Inc.+........................ 15,495 959,722
Lucent Technologies, Inc............................. 25,620 1,950,322
McLeodUSA, Inc., Class A+............................ 11,700 538,200
Pacific Gateway Exchange, Inc.+...................... 7,500 425,625
Paging Network, Inc.+................................ 30,700 431,719
Source Media, Inc.................................... 18,000 346,500
STAR Telecommunications, Inc.+....................... 20,500 553,500
STARTEC Global Communications Corp................... 8,000 202,000
Whittman-Hart, Inc.+................................. 10,500 458,063
------------
8,481,563
------------
TELEPHONE--0.7%
Century Telephone Enterprises, Inc.(1)............... 8,550 363,909
Cincinnati Bell, Inc................................. 10,000 382,500
Primus Telecommunications Group, Inc.+............... 8,700 207,713
------------
954,122
------------
TRANSPORTATION--0.9%
Atlas Air, Inc.+..................................... 9,000 351,000
Coach USA, Inc.+..................................... 10,900 517,069
Swift Transportation Co., Inc.+...................... 17,800 407,175
------------
1,275,244
------------
TOTAL COMMON STOCK
(cost $96,126,594)................................... 126,018,144
------------
<CAPTION>
WARRANTS/OPTIONS/
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 $4,482)...................................... 505 $ 1,420
------------
OPTIONS--0.0%+
ELECTRONICS--0.0%
Semiconductor Index, Jun/1998
(cost $43,310)..................................... 2,000 15,250
------------
TOTAL INVESTMENT SECURITIES--92.1%
(cost $96,174,386)................................... 126,034,814
------------
SHORT-TERM SECURITIES--2.6%
Federal Home Loan Mortgage
Discount Notes
5.45% due 5/01/98
(cost: $3,600,000)................................. $ 3,600 3,600,000
------------
REPURCHASE AGREEMENTS--4.7%
Agreement with State Street Bank and Trust Co.,
bearing 5.40%, dated 4/30/98 to be repurchased
5/01/98 in the amount of $2,779,417, collateralized
by $2,810,000 U.S. Treasury Note 5.50%, due 2/28/99
approximate aggregate value $2,834,588
(cost $2,779,000) ................................. 2,779 2,779,000
Joint Repurchase Agreement Account (Note 2)
(cost 3,686,000)................................... 3,686 3,686,000
------------
TOTAL REPURCHASE AGREEMENTS
(cost $6,465,000).................................... 6,465,000
------------
TOTAL INVESTMENTS--
(cost $106,239,386) ................................. 99.4% 136,099,814
Total written call options............................. 0.0 (24,000)
Other assets less liabilities.......................... 0.6 773,628
------- ------------
NET ASSETS-- 100.0% $136,849,442
------- ------------
------- ------------
</TABLE>
- ------------------
+ Non-income producing security
ADR ('American Depositary Receipt')
(1) Security is traded with rights attached
See Notes to Financial Statements
<TABLE>
<CAPTION>
OPEN COVERED WRITTEN CALL OPTIONS
SHARES SUBJECT EXPIRATION EXERCISE
CALL OPTIONS TO CALL DATE PRICE VALUE
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
America Online, Inc.................................................. 3,000 July 1998 $80.00 $(24,000)
--------
--------
</TABLE>
<PAGE>
24
[STYLE SELECT SERIES(SM) LOGO]
Large-Cap Blend Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 (unaudited)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK--96.0%
AEROSPACE & MILITARY TECHNOLOGY--5.6%
AlliedSignal, Inc.................................... 5,000 $ 219,062
Gulfstream Aerospace Corp.+.......................... 4,300 180,331
Litton Industries, Inc............................... 2,500 150,000
Northrop Grumman Corp.(1)............................ 2,000 211,375
Thiokol Corp. Delaware............................... 2,400 129,300
United Technologies Corp.(1)......................... 8,500 836,719
-----------
1,726,787
-----------
APPAREL & TEXTILES--0.4%
Agribrands International, Inc........................ 100 3,806
Unifi, Inc........................................... 2,800 107,275
-----------
111,081
-----------
AUTOMOTIVE--3.4%
General Motors Corp.................................. 14,300 963,462
Republic Industries, Inc.+........................... 3,600 100,125
-----------
1,063,587
-----------
BANKS--7.1%
Banc One Corp........................................ 1,430 84,102
BankAmerica Corp..................................... 3,300 280,500
Bankers Trust New York Corp.......................... 800 103,300
Chase Manhattan Corp................................. 3,300 457,256
Citicorp............................................. 2,600 391,300
Firstar Corp......................................... 1,000 37,313
Fleet Financial Group, Inc........................... 600 51,825
Key Corp. Ltd........................................ 6,000 238,125
Mellon Bank Corp..................................... 2,400 172,800
National City Corp................................... 1,100 76,175
Wells Fargo & Co..................................... 820 302,170
-----------
2,194,866
-----------
BROADCASTING & MEDIA--4.2%
Chancellor Media Corp.+.............................. 500 23,687
Clear Channel Communications, Inc.+.................. 5,300 499,525
Eastman Kodak Co..................................... 900 64,969
Gannett Co., Inc..................................... 3,300 224,194
Knight-Ridder, Inc.(1)............................... 700 40,819
New York Times Co., Class A.......................... 2,100 148,969
Pulitzer Publishing Co............................... 900 76,837
Readers Digest Association, Inc., Class A(1)......... 2,500 67,187
Readers Digest Association, Inc., Class B............ 2,100 57,619
Time Warner, Inc..................................... 1,000 78,500
-----------
1,282,306
-----------
BUSINESS SERVICES--3.5%
Browning-Ferris Industries, Inc.(1).................. 3,400 116,025
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- --------------------------------------------------------------------------------
<S> <C> <C>
BUSINESS SERVICES (CONTINUED)
Cendant Corp.+....................................... 24,600 $ 615,000
Cognizant Corp....................................... 2,500 128,594
Newell Co.+(1)....................................... 1,600 77,300
Provant, Inc......................................... 800 14,900
Waste Management, Inc................................ 3,700 123,950
-----------
1,075,769
-----------
CHEMICALS--2.2%
Dow Chemical Co...................................... 1,100 106,356
du Pont (E.I.) de Nemours & Co....................... 5,200 378,625
Great Lakes Chemical Corp............................ 3,000 150,750
Schulman (A.), Inc................................... 1,900 42,275
-----------
678,006
-----------
COMMUNICATION EQUIPMENT--1.0%
3Com Corp.+(1)....................................... 2,500 85,625
SBC Communications, Inc.............................. 5,000 207,188
Tellabs, Inc.+....................................... 400 28,325
-----------
321,138
-----------
COMPUTERS & BUSINESS EQUIPMENT--4.1%
Bay Networks, Inc.+.................................. 2,400 56,250
Compaq Computer Corp................................. 2,800 78,575
Dell Computer Corp.+................................. 900 72,619
Gateway 2000, Inc.+.................................. 400 23,475
Hewlett-Packard Co................................... 2,100 158,156
Ingram Micro, Inc., Class A+......................... 2,300 104,938
International Business Machines Corp................. 2,500 289,687
Knoll, Inc.+......................................... 3,300 114,881
Mercury Computer Systems, Inc........................ 300 4,950
NCR Corp.+........................................... 4,100 150,419
Pitney Bowes, Inc.................................... 1,200 57,600
Xerox Corp........................................... 1,300 147,550
-----------
1,259,100
-----------
DRUGS--4.6%
Abbott Laboratories, Inc............................. 500 36,563
American Home Products Corp.......................... 4,500 419,062
Amgen, Inc.+(1)...................................... 2,700 160,819
Astra AB ADR+........................................ 5,300 108,981
Bristol-Myers Squibb Co.(1).......................... 1,500 158,812
Lilly (Eli) & Co.(1)................................. 700 48,694
Merck & Co., Inc..................................... 700 84,350
Pfizer, Inc.(1)...................................... 2,900 330,056
Pharmacia & Upjohn, Inc.............................. 2,000 84,125
-----------
1,431,462
-----------
</TABLE>
<PAGE>
25
[STYLE SELECT SERIES(SM) LOGO]
Large-Cap Blend Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 (unaudited) -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- --------------------------------------------------------------------------------
COMMON STOCK (CONTINUED)
<S> <C> <C>
ELECTRIC UTILITIES--4.0%
Consolidated Edison, Inc............................. 1,500 $ 67,875
Dominion Resources, Inc.............................. 900 35,606
DQE, Inc............................................. 1,900 65,313
Duke Energy Corp..................................... 2,700 156,263
Edison International................................. 9,000 268,312
Entergy Corp......................................... 2,200 54,725
Firstenergy Corp..................................... 4,525 136,881
GPU, Inc............................................. 1,400 55,475
Niagara Mohawk Power Corp.+.......................... 2,800 34,300
PacifiCorp........................................... 5,800 134,850
U.S. West Communications Group(1).................... 500 26,375
Unicom Corp.......................................... 3,900 135,525
WorldCom, Inc.+...................................... 1,600 68,400
-----------
1,239,900
-----------
ELECTRICAL EQUIPMENT--1.3%
Honeywell, Inc.(1)................................... 3,200 298,000
Hubbell, Inc., Class B............................... 1,900 93,694
-----------
391,694
-----------
ELECTRONICS--2.2%
Advanced Micro Devices, Inc.+........................ 2,400 66,600
Intel Corp........................................... 700 56,569
Linear Technology Corp............................... 1,000 80,375
LSI Logic Corp.+..................................... 3,700 100,363
Maxim Integrated Products, Inc.(1)................... 800 32,250
Motorola, Inc........................................ 2,100 116,812
Texas Instruments, Inc............................... 3,300 211,406
-----------
664,375
-----------
ENERGY SERVICES--1.6%
Diamond Offshore Drilling, Inc....................... 3,000 151,875
Dresser Industries, Inc.............................. 2,900 153,338
Schlumberger Ltd..................................... 2,200 182,325
-----------
487,538
-----------
ENERGY SOURCES--4.0%
Amoco Corp........................................... 1,000 44,250
Atlantic Richfield Co................................ 2,700 210,600
British Petroleum Co. PLC ADS........................ 1,200 113,400
Elf Aquitaine SA ADR................................. 2,000 129,875
Halliburton Co....................................... 1,800 99,000
Mobil Corp.(1)....................................... 3,300 260,700
Noble Affiliates, Inc................................ 2,200 94,875
Texaco, Inc.(1)...................................... 2,200 135,300
Unocal Corp.......................................... 1,400 57,313
USX-Marathon Group, Inc.............................. 2,900 103,856
-----------
1,249,169
-----------
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- --------------------------------------------------------------------------------
<S> <C> <C>
FINANCIAL SERVICES--5.2%
American Express Co.................................. 4,300 $ 438,600
Bear Stearns Cos., Inc............................... 1,700 97,006
Beneficial Corp.(1).................................. 700 91,262
Berkshire Hathaway, Inc., Class A+................... 3 205,800
Federal National Mortgage Association................ 2,200 131,725
First Data Corp...................................... 2,100 71,138
H&R Block, Inc....................................... 3,200 144,000
Heller Financial, Inc................................ 1,100 29,700
Household International, Inc......................... 1,000 131,437
Indigo Aviation AB ADR............................... 1,000 13,375
MBNA Corp............................................ 700 23,713
Merrill Lynch & Co., Inc.(1)......................... 1,000 87,750
SLM Holding Corp..................................... 2,400 102,450
Washington Mutual, Inc............................... 500 35,000
-----------
1,602,956
-----------
FOOD, BEVERAGE & TOBACCO--7.4%
Anheuser-Busch Cos., Inc.(1)......................... 1,000 45,813
Brown-Forman Corp.,
Class B............................................ 700 39,638
Cadbury Schweppes PLC ADR............................ 2,200 127,325
Coca-Cola Enterprises, Inc........................... 2,600 98,150
Diageo PLC ADR+...................................... 3,160 151,877
General Mills, Inc................................... 1,200 81,075
Heineken NV ADR...................................... 800 185,537
Heinz (H.J.) Co...................................... 800 43,600
Kellogg Co........................................... 900 37,125
McCormick & Co., Inc................................. 1,300 44,444
Nabisco Holdings Corp., Class A...................... 600 28,688
PepsiCo, Inc......................................... 5,800 230,187
Philip Morris Cos., Inc.............................. 17,700 660,431
Ralston-Purina Group................................. 1,800 190,800
RJR Nabisco Holdings Corp............................ 3,200 89,000
Sara Lee Corp.(1).................................... 2,200 131,037
UST, Inc............................................. 3,000 82,687
Wrigley, (Wm) Jr. Co................................. 300 26,644
-----------
2,294,058
-----------
FOREST PRODUCTS--0.9%
Champion International Corp.......................... 1,300 69,956
Fort James Corp...................................... 2,900 143,913
Georgia-Pacific Corp................................. 900 69,469
-----------
283,338
-----------
HEALTH SERVICES--0.3%
St. Jude Medical, Inc.+.............................. 2,900 102,769
-----------
</TABLE>
<PAGE>
26
[STYLE SELECT SERIES(SM) LOGO]
Large-Cap Blend Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 (unaudited) -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- --------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (CONTINUED)
HOUSEHOLD PRODUCTS--2.0%
Colgate-Palmolive Co................................. 1,000 $ 89,688
International Flavors & Fragrances, Inc.(1).......... 1,100 53,831
Kimberly-Clark Corp.(1).............................. 3,500 177,625
Procter & Gamble Co.................................. 1,200 98,625
Tupperware Corp...................................... 2,700 73,069
Warner-Lambert Co.(1)................................ 600 113,512
-----------
606,350
-----------
HOUSING--0.6%
Home Depot, Inc...................................... 1,800 125,325
Sunbeam Corp......................................... 2,000 50,250
-----------
175,575
-----------
INSURANCE--8.0%
Ace Co., Ltd......................................... 3,800 143,925
Aetna, Inc........................................... 1,500 121,219
Allstate Corp........................................ 3,900 375,375
American General Corp................................ 1,700 113,262
CMAC Investment Corp................................. 1,000 64,563
EXEL Ltd.+........................................... 900 67,219
Hartford Financial Services, Inc..................... 1,800 199,350
Loews Corp........................................... 3,600 360,225
Progressive Corp..................................... 300 40,631
Provident Cos., Inc.................................. 1,200 46,875
St. Paul Co., Inc.(1)................................ 2,913 246,879
Travelers Group, Inc................................. 6,692 409,467
Travelers Property Casualty Corp., Class A........... 2,300 96,600
UNUM Corp............................................ 1,300 69,875
Willis Corroon Group PLC ADR......................... 7,300 101,287
-----------
2,456,752
-----------
LEISURE & TOURISM--5.2%
Brinker International, Inc.+......................... 2,500 60,000
Brunswick Corp.(1)................................... 3,500 113,750
Continental Airlines, Inc., Class B+................. 14,300 841,912
Cracker Barrel Old Country Store, Inc................ 1,700 62,263
Hilton Hotels Corp................................... 500 15,969
Host Marriott Corp.+................................. 2,300 44,706
International Game Technology, Inc................... 1,700 47,281
McDonald's Corp.(1).................................. 2,500 154,688
UAL Corp.+........................................... 3,100 270,281
-----------
1,610,850
-----------
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- --------------------------------------------------------------------------------
<S> <C> <C>
MACHINERY--1.2%
Deere & Co.(1)....................................... 2,700 $ 157,782
Ingersoll-Rand Co.(1)................................ 1,600 73,700
ITT Industries, Inc.................................. 3,900 142,106
-----------
373,588
-----------
MEDICAL PRODUCTS--1.2%
Baxter International, Inc............................ 700 38,806
Johnson & Johnson Co................................. 2,200 157,025
Pall Corp.(1)........................................ 5,700 111,863
Smith & Nephew PLC................................... 17,000 49,052
-----------
356,746
-----------
METALS & MINERALS--1.0%
Aluminum Co. of America(1)........................... 1,000 77,500
Inco Ltd.(1)......................................... 2,700 47,419
Newmont Mining Corp.................................. 2,400 77,250
Nucor Corp........................................... 600 35,962
Reynolds Metals Co.(1)............................... 1,100 72,600
-----------
310,731
-----------
MULTI-INDUSTRY--2.7%
Cooper Industries, Inc............................... 1,400 93,625
Corning, Inc......................................... 5,100 204,000
FMC Corp............................................. 600 46,538
General Electric Co.................................. 2,700 229,837
Swire Pacific Ltd., Class A.......................... 4,000 19,985
Textron, Inc......................................... 1,300 101,725
Tomkins PLC.......................................... 7,000 41,215
Tyco International Ltd............................... 1,900 103,550
-----------
840,475
-----------
REAL ESTATE COMPANIES--0.2%
Rouse Co............................................. 1,600 49,400
-----------
REAL ESTATE INVESTMENT TRUSTS--1.3%
CarrAmerica Realty Corp.............................. 1,400 40,950
Federal Realty Investment
Trust.............................................. 1,900 46,194
Patriot American Hospitality, Inc.................... 2,300 58,075
Reckson Associates Realty
Corp............................................... 1,700 41,650
Security Capital Industrial
Trust.............................................. 900 21,994
Simon DeBartolo Group,
Inc................................................ 2,400 79,050
Spieker Properties, Inc.............................. 700 27,737
Starwood Lodging Trust............................... 700 35,131
United Dominion Realty Trust, Inc.................... 2,800 37,975
-----------
388,756
-----------
</TABLE>
<PAGE>
27
[STYLE SELECT SERIES(SM) LOGO]
Large-Cap Blend Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 (unaudited) -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- --------------------------------------------------------------------------------
COMMON STOCK (CONTINUED)
<S> <C> <C>
RETAIL--3.6%
American Stores Co.(1)............................... 8,700 $ 208,800
Circuit City Stores, Inc.(1)......................... 800 32,500
Dayton Hudson Corp.(1)............................... 2,000 174,625
Federated Department Stores, Inc.+................... 2,700 132,806
Limited, Inc......................................... 1,500 50,344
Lowe's Co., Inc...................................... 1,500 104,906
Penney (J.C.), Inc.(1)............................... 1,400 99,488
Sears, Roebuck & Co.................................. 2,200 130,487
Toys 'R' Us, Inc.+................................... 2,200 60,638
Wal-Mart Stores, Inc................................. 2,100 106,181
-----------
1,100,775
-----------
SOFTWARE--1.7%
America Online, Inc.+................................ 1,000 80,000
Cisco Systems, Inc.+................................. 850 62,262
Computer Associates International, Inc............... 1,000 58,563
Electronic Data Systems
Corp.+............................................. 2,900 124,700
Microsoft Corp.+..................................... 2,100 189,262
-----------
514,787
-----------
TELECOMMUNICATIONS--0.7%
Associated Group, Inc.,
Class B............................................ 1,300 45,663
Frontier Corp........................................ 5,000 149,687
Telecom Corp. of New Zealand Ltd. ADR................ 1,400 30,100
-----------
225,450
-----------
TELEPHONE--2.6%
Ameritech Corp....................................... 4,700 200,044
AT&T Corp............................................ 4,300 258,268
Bell Atlantic Corp.(1)............................... 2,400 224,550
BellSouth Corp.(1)................................... 900 57,769
GTE Corp............................................. 1,100 64,281
-----------
804,912
-----------
TRANSPORTATION--1.0%
Burlington Northern Santa Fe Corp.................... 1,400 138,600
FDX Corp.+........................................... 1,200 81,600
Norfolk Southern Corp................................ 3,000 100,313
-----------
320,513
-----------
TOTAL INVESTMENT SECURITIES--96.0%
(cost $27,642,599)................................... 29,595,559
-----------
<CAPTION>
PRINCIPAL
AMOUNT
(IN VALUE
SECURITY DESCRIPTION THOUSANDS) (NOTE 3)
- --------------------------------------------------------------------------------
<S> <C> <C>
SHORT-TERM SECURITIES--1.8%
Federal Home Loan Mortgage
Discount Notes
5.41% due 6/12/98
(cost: $555,472)................................... $ 559 $ 555,472
-----------
REPURCHASE AGREEMENTS--1.5%
Agreement with State Street Bank and Trust Co.,
bearing 5.45%, dated 4/30/98 to be repurchased
5/01/98 in the amount of $284,043 collateralized by
$290,000 U.S. Treasury Note 5.50%, due 2/28/99
approximate aggregate value $292,538 (cost
$284,000).......................................... 284 284,000
Agreement with State Street Bank and Trust Co.,
bearing 2.00%, dated 4/30/98 to be repurchased
5/01/98 in the amount of $192,011 collateralized by
$195,000 U.S. Treasury Note 5.50%, due 2/28/99
approximate aggregate value $196,706 (cost
$192,000).......................................... 192 192,000
-----------
TOTAL REPURCHASE AGREEMENTS
(cost $476,000)...................................... 476,000
-----------
TOTAL INVESTMENTS--
(cost $28,674,071)................................... 99.3% 30,627,031
Other assets less liabilities.......................... 0.7 200,669
------- -----------
NET ASSETS-- 100.0% $30,827,700
------- -----------
------- -----------
</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>
28
[STYLE SELECT SERIES(SM) LOGO
Large-Cap Value Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 (unaudited)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK--91.7%
AEROSPACE & MILITARY TECHNOLOGY--2.7%
Boeing Co.......................................... 10,100 $ 505,631
Lockheed Martin Corp............................... 2,000 222,750
Northrop Grumman Corp.(1).......................... 1,700 179,669
Precision Castparts Corp.(1)....................... 1,500 93,188
------------
1,001,238
------------
APPAREL & TEXTILES--1.0%
Nike, Inc., Class B................................ 2,200 105,050
Reebok International Ltd.+......................... 9,200 270,250
------------
375,300
------------
AUTOMOTIVE--1.7%
Dana Corp.......................................... 4,700 277,888
Goodyear Tire & Rubber Co.......................... 4,900 343,000
------------
620,888
------------
BANKS--10.4%
Ahmanson (H.F.) & Co............................... 1,331 101,489
Banc One Corp...................................... 2,300 135,269
BankAmerica Corp................................... 5,600 476,000
Chase Manhattan Corp............................... 2,000 277,125
Citicorp........................................... 3,800 571,900
First Chicago NBD Corp............................. 1,500 139,312
First Union Corp.(1)............................... 5,484 331,096
Golden West Financial Corp......................... 500 52,656
National City Corp................................. 6,600 457,050
State Street Corp.................................. 1,200 85,800
TCF Financial Corp................................. 600 19,538
U.S. Bancorp....................................... 3,000 381,000
Wells Fargo & Co................................... 2,100 773,850
------------
3,802,085
------------
BROADCASTING & MEDIA--2.3%
360 Communications Co.+............................ 2,200 67,238
AirTouch Communications, Inc....................... 3,000 159,375
Eastman Kodak Co................................... 5,000 360,937
Gannett Co., Inc................................... 1,400 95,113
News Corp., Ltd. ADR............................... 4,500 106,506
Tribune Co.(1)..................................... 700 46,200
------------
835,369
------------
BUSINESS SERVICES--0.2%
Crescent Operating, Inc.+.......................... 300 6,525
J. Ray McDermott SA+............................... 200 8,875
USA Waste Services, Inc.+.......................... 1,500 73,594
------------
88,994
------------
CHEMICALS--1.3%
du Pont (E.I.) de Nemours & Co..................... 3,700 269,406
Ferro Corp......................................... 1,350 38,897
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -------------------------------------------------------------------------------
<S> <C> <C>
CHEMICALS (CONTINUED)
Millenium Chemicals, Inc........................... 4,000 $ 143,500
Nalco Chemical Co.(1).............................. 600 23,850
------------
475,653
------------
COMMUNICATION EQUIPMENT--0.9%
Loral Space & Communications Corp.+................ 600 18,788
Qwest Communications International, Inc.+.......... 1,300 50,131
SBC Communications, Inc............................ 6,100 252,769
------------
321,688
------------
COMPUTERS & BUSINESS EQUIPMENT--6.9%
Apple Computer, Inc.+.............................. 10,100 275,856
Compaq Computer Corp............................... 5,100 143,119
Harris Corp........................................ 1,300 62,887
Hewlett-Packard Co................................. 7,100 534,719
International Business Machines Corp............... 8,200 950,175
Wallace Computer Services, Inc..................... 7,600 274,075
Xerox Corp......................................... 2,600 295,100
------------
2,535,931
------------
DRUGS--2.3%
American Home Products Corp........................ 700 65,188
Bristol-Myers Squibb Co.(1)........................ 400 42,350
Lilly (Eli) & Co.(1)............................... 400 27,825
Merck & Co., Inc................................... 200 24,100
Novartis AG ADR.................................... 900 79,762
Pfizer, Inc.(1).................................... 1,200 136,575
Pharmacia & Upjohn, Inc............................ 7,100 298,644
SmithKline Beecham PLC ADR......................... 3,000 178,687
------------
853,131
------------
ELECTRIC UTILITIES--3.7%
American Electric Power Company, Inc............... 500 23,875
Central & South West Corp.......................... 3,800 99,038
Consolidated Edison, Inc........................... 400 18,100
Duke Energy Corp................................... 3,100 179,412
GPU, Inc........................................... 4,600 182,275
Illinova Corp...................................... 10,000 305,625
New England Electric Systems ...................... 2,800 121,800
Pinnacle West Capital Corp......................... 100 4,425
Southern Co........................................ 4,600 121,900
Texas Utilities Co................................. 7,000 280,000
------------
1,336,450
------------
ELECTRONICS--2.9%
Advanced Micro Devices, Inc.+...................... 1,900 52,725
</TABLE>
<PAGE>
29
[STYLE SELECT SERIES(SM) LOGO]
Large-Cap Value Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 (unaudited) -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (CONTINUED)
ELECTRONICS (CONTINUED)
Applied Materials, Inc.+........................... 4,500 $ 162,562
Intel Corp......................................... 2,300 185,869
Molex, Inc......................................... 625 17,812
Motorola, Inc...................................... 3,000 166,875
Novellus Systems, Inc.+............................ 2,300 109,825
Texas Instruments, Inc............................. 5,500 352,344
------------
1,048,012
------------
ENERGY SERVICES--2.2%
Ashland, Inc....................................... 1,100 58,163
Cooper Cameron Corp.+.............................. 1,400 93,012
EVI, Inc.+......................................... 1,200 63,900
Halliburton Co..................................... 4,400 242,000
McDermott International, Inc....................... 100 4,138
Nabors Industries, Inc.+........................... 300 7,556
Noble Drilling Corp.+.............................. 2,400 77,550
Schlumberger Ltd................................... 3,300 273,487
------------
819,806
------------
ENERGY SOURCES--4.6%
Amoco Corp......................................... 1,800 79,650
Atlantic Richfield Co.............................. 3,700 288,600
British Petroleum Co. PLC ADS...................... 600 56,700
Burlington Resources, Inc.(1)...................... 3,000 141,000
Chevron Corp.(1)................................... 1,300 107,494
Enron Oil & Gas Co................................. 6,850 160,119
Exxon Corp......................................... 200 14,587
Noble Affiliates, Inc.............................. 1,600 69,000
Pioneer Natural Resources Co....................... 1,100 26,331
Royal Dutch Petroleum Co. NY Registry Shares GDR... 5,000 282,812
Texaco, Inc.(1).................................... 500 30,750
USX-Marathon Group, Inc............................ 12,300 440,494
------------
1,697,537
------------
ENTERTAINMENT PRODUCTS--0.0%
Hasbro, Inc.(1).................................... 300 11,044
------------
FINANCIAL SERVICES--6.9%
American Express Co................................ 7,000 714,000
Associates First Capital Corp., Class A............ 1,400 104,650
Bear Stearns Cos., Inc............................. 2,600 148,363
Coast Federal Litigation
Contingent Payment Rights Trust.................... 1,400 23,713
Donaldson, Lufkin & Jenrette, Inc.................. 800 75,850
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -------------------------------------------------------------------------------
<S> <C> <C>
FINANCIAL SERVICES (CONTINUED)
Federal Home Loan Mortgage Corp.................... 2,100 $ 97,256
Federal National Mortgage Association.............. 2,900 173,637
Household International, Inc....................... 100 13,144
Morgan (J.P.) & Co., Inc........................... 600 78,750
Morgan Stanley, Dean Witter, Discover & Co......... 5,700 449,587
Ryder System, Inc.(1).............................. 3,000 104,438
SLM Holding Corp................................... 6,100 260,394
Student Loan Corp.................................. 5,700 284,287
Washington Mutual, Inc............................. 200 14,000
------------
2,542,069
------------
FOOD, BEVERAGE & TOBACCO--3.2%
Archer-Daniels-Midland Co.......................... 13,900 298,850
Coca-Cola Co....................................... 100 7,588
Corn Products International, Inc.+................. 1,300 46,313
Diageo PLC ADR..................................... 6,020 289,336
Flowers Industries, Inc.(1)........................ 5,700 121,838
Nestle SA ADR...................................... 2,300 219,937
Philip Morris Cos., Inc............................ 4,200 156,712
Tyson Foods, Inc., Class A......................... 2,000 38,625
------------
1,179,199
------------
FOREST PRODUCTS--3.0%
Georgia Pacific Corp............................... 4,400 112,750
Potlatch Corp...................................... 6,200 293,725
Sonoco Products Co................................. 1,900 76,356
Temple-Inland, Inc................................. 600 38,738
Weyerhaeuser Co.................................... 4,800 276,600
Willamette Industries, Inc.(1) .................... 7,300 283,331
------------
1,081,500
------------
GAS & PIPELINE UTILITIES--1.2%
Equitable Resources, Inc........................... 7,200 234,000
KN Energy, Inc..................................... 300 17,606
MCN Corp........................................... 4,800 181,200
------------
432,806
------------
HEALTH SERVICES--2.8%
Columbia/HCA Healthcare Corp....................... 5,400 177,863
Tenet Healthcare Corp.+............................ 7,400 277,037
United Healthcare Corp............................. 4,100 288,025
Wellpoint Health Networks, Inc., Class A........... 3,700 266,862
------------
1,009,787
------------
</TABLE>
<PAGE>
30
[STYLE SELECT SERIES(SM) LOGO
Large-Cap Value Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 (unaudited) -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (CONTINUED)
HOUSING--0.6%
Foster Wheeler Corp.(1)............................ 500 $ 13,844
Masco Corp......................................... 3,800 220,400
------------
234,244
------------
INSURANCE--10.6%
20th Century Industries............................ 1,100 31,350
Aetna, Inc......................................... 4,700 379,819
Allstate Corp...................................... 7,300 702,625
American International Group, Inc.................. 500 65,781
Berkley (W.R.) Corp................................ 1,500 69,938
Chubb Corp......................................... 2,500 197,344
Frontier Insurance Group, Inc...................... 4,500 119,250
General Re Corp.................................... 3,800 849,538
Progressive Corp................................... 700 94,806
Provident Cos., Inc................................ 3,300 128,906
Transamerica Corp.................................. 2,400 277,200
Transatlantic Holdings, Inc........................ 1,700 130,581
Travelers Group, Inc............................... 13,526 827,622
UNUM Corp.(1)...................................... 400 21,500
------------
3,896,260
------------
INVESTMENT COMPANIES--0.1%
Morgan Stanley Asia-Pacific Fund................... 3,500 26,031
------------
LEISURE & TOURISM--3.0%
Brunswick Corp.(1)................................. 5,000 162,500
Delta Air Lines, Inc............................... 1,700 197,625
KLM Royal Dutch Airlines NV........................ 7,000 283,937
McDonald's Corp.(1)................................ 7,600 470,250
------------
1,114,312
------------
MACHINERY--1.8%
Cincinnati Milacron, Inc........................... 2,400 74,550
Deere & Co.(1)..................................... 5,600 327,250
Kennametal, Inc.................................... 900 47,981
New Holland N.V.................................... 5,000 122,500
Smith International, Inc.+(1)...................... 1,400 82,250
------------
654,531
------------
MEDICAL PRODUCTS--0.9%
Baxter International, Inc.......................... 3,300 182,944
DePuy, Inc......................................... 850 26,350
Johnson & Johnson Co............................... 400 28,550
Mallinckrodt, Inc.................................. 3,000 96,750
------------
334,594
------------
METALS & MINERALS--2.8%
Aluminum Co. of America(1)......................... 5,200 403,000
Hanson PLC ADR..................................... 4,900 145,163
Martin Marietta Materials, Inc..................... 3,900 183,056
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -------------------------------------------------------------------------------
<S> <C> <C>
METALS & MINERALS (CONTINUED)
USX-US Steel Group, Inc............................ 7,300 $ 285,612
------------
1,016,831
------------
MULTI-INDUSTRY--0.4%
Cooper Industries, Inc............................. 1,900 127,062
General Electric Co................................ 100 8,513
------------
135,575
------------
REAL ESTATE COMPANIES--0.2%
Rouse Co........................................... 2,900 89,538
------------
REAL ESTATE INVESTMENT TRUSTS--0.7%
Crescent Real Estate Equities Co................... 3,300 112,612
Federal Realty Investment Trust.................... 400 9,725
General Growth Properties, Inc..................... 2,000 71,750
Kimco Realty Corp.................................. 100 3,706
United Dominion Realty Trust, Inc.................. 400 5,425
Vornado Realty Trust............................... 1,200 48,075
Weingarten Realty Investors........................ 100 4,263
------------
255,556
------------
RETAIL--5.7%
Harcourt General, Inc.............................. 6,400 334,000
Kmart Corp.+....................................... 16,200 282,487
Limited, Inc....................................... 9,200 308,775
May Department Stores Co........................... 2,900 178,894
Penney (J.C.), Inc.(1)............................. 6,400 454,800
Sears, Roebuck & Co................................ 4,900 290,631
The Sports Authority, Inc.+........................ 5,200 91,325
Toys 'R' Us, Inc.+................................. 5,800 159,863
------------
2,100,775
------------
TELECOMMUNICATIONS--0.0%
Globalstar Telecommunications Ltd.+................ 200 13,850
------------
TELEPHONE--2.0%
Ameritech Corp..................................... 1,800 76,613
Bell Atlantic Corp.(1)............................. 3,600 336,825
GTE Corp........................................... 2,000 116,875
MCI Communications Corp............................ 3,700 185,925
------------
716,238
------------
TRANSPORTATION--2.7%
Burlington Northern Santa Fe Corp.................. 2,000 198,000
Canadian National Railway Co....................... 1,600 104,100
CSX Corp.(1)....................................... 7,600 399,000
Illinois Central Corp.............................. 1,600 63,600
Overseas Shipholding Group, Inc.................... 5,000 106,250
</TABLE>
<PAGE>
31
[STYLE SELECT SERIES(SM) LOGO]
Large-Cap Value Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 (unaudited) -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (CONTINUED)
TRANSPORTATION (CONTINUED)
Union Pacific Corp................................. 1,900 $ 104,025
------------
974,975
------------
TOTAL COMMON STOCK
(cost $31,056,403)................................. 33,631,797
------------
PREFERRED STOCK--0.1%
BROADCASTING & MEDIA--0.1%
AirTouch Communications, Inc. Series C 4.25%....... 200 15,362
------------
FINANCIAL SERVICES--0.0%
Devon Financing Trust 6.50%........................ 200 14,088
------------
TRANSPORTATION--0.0%
Union Pacific Capital
Trust 6.25% ..................................... 100 5,450
------------
TOTAL PREFERRED STOCK
(cost $34,280)..................................... 34,900
------------
TOTAL INVESTMENT SECURITIES--91.8%
(cost $31,090,683)........................................... 33,666,697
------------
<CAPTION>
PRINCIPAL
AMOUNT (IN VALUE
SECURITY DESCRIPTION THOUSANDS) (NOTE 3)
- -----------------------------------------------------------------------------------
<S> <C> <C>
SHORT-TERM SECURITIES--2.5%
Cayman Island Time Deposit with State Street Bank
and
Trust Co.
3.00% due 05/01/98
(cost $897,000).................................. $ 897 $ 897,000
------------
REPURCHASE AGREEMENTS--4.2%
Agreement with State Street Bank and Trust Co.,
bearing 5.45%, dated 4/30/98 to be repurchased
5/01/98 in the amount of $1,415,214
collateralized by $1,410,000 U.S. Treasury Note
7.125%, due 9/30/99 approximate aggregate value
$1,446,434
(cost $1,415,000)................................ 1,415 1,415,000
Joint Repurchase Agreement Account (Note 2)
(cost $120,000).................................. 120 120,000
------------
TOTAL REPURCHASE AGREEMENTS
(cost $1,535,000).................................. 1,535,000
------------
TOTAL INVESTMENTS--
(cost $33,522,683)................................. 98.5% 36,098,697
Other assets less liabilities........................ 1.5 566,134
------- ------------
NET ASSETS-- 100.0% $ 36,664,831
------- ------------
------- ------------
</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>
32
[STYLE SELECT SERIES(SM) LOGO]
Value Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 (unaudited)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK--94.9%
AEROSPACE & MILITARY TECHNOLOGY--2.3%
Boeing Co.......................................... 64,500 $ 3,229,031
Rockwell Intl. Corp................................ 19,800 1,107,562
Sundstrand Corp.................................... 13,000 897,813
------------
5,234,406
------------
APPAREL & TEXTILES--0.9%
Burlington Industries, Inc.+....................... 40,500 708,750
Nike, Inc., Class B................................ 13,700 654,175
Unifi, Inc......................................... 20,000 766,250
------------
2,129,175
------------
AUTOMOTIVE--3.7%
AutoZone, Inc.+.................................... 39,000 1,177,312
Borg-Warner Automotive, Inc........................ 20,800 1,293,500
Cummins Engine Co., Inc............................ 27,300 1,484,437
Ford Motor Co...................................... 27,350 1,252,972
Goodyear Tire & Rubber Co.......................... 39,100 2,737,000
PACCAR, Inc.(1).................................... 8,500 500,438
------------
8,445,659
------------
BANKS--9.5%
Banc One Corp...................................... 13,884 816,575
BankAmerica Corp................................... 23,800 2,023,000
Chase Manhattan Corp............................... 10,400 1,441,050
Citicorp........................................... 36,300 5,463,150
First Chicago NBD Corp............................. 15,000 1,393,125
First Union Corp.(1)............................... 200 12,075
Golden West Financial Corp......................... 3,100 326,469
KeyCorp............................................ 29,300 1,162,844
Mellon Bank Corp................................... 17,900 1,288,800
National Bank of Canada............................ 71,300 1,470,926
NationsBank Corp................................... 17,318 1,311,838
Northern Trust Corp.(1)............................ 5,600 408,800
State Street Corp.................................. 6,900 493,350
TCF Financial Corp................................. 3,200 104,200
U.S. Bancorp....................................... 5,800 736,600
Wells Fargo & Co................................... 8,900 3,279,650
------------
21,732,452
------------
BROADCASTING & MEDIA--2.2%
360 Communications Co.+............................ 12,700 388,144
ACNielson Corp.+................................... 16,500 462,000
AirTouch Communications, Inc.+..................... 20,400 1,083,750
Donnelley(RR) & Sons Co.(1)........................ 17,800 784,312
Gannett Co., Inc................................... 8,300 563,881
Knight-Ridder, Inc.(1)............................. 9,600 559,800
News Corp., Ltd. ADR............................... 6,300 172,069
Scripps (E.W) Co., Class A......................... 13,000 736,938
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -------------------------------------------------------------------------------
<S> <C> <C>
BROADCASTING & MEDIA (CONTINUED)
Tribune Co.(1)..................................... 3,700 $ 244,200
------------
4,995,094
------------
BUSINESS SERVICES--1.7%
Crescent Operating, Inc.+.......................... 1,470 31,973
J.Ray McDermott SA+................................ 2,900 128,687
Owens Corning Co................................... 43,050 1,789,266
Philip Services Corp.+............................. 138,000 1,043,625
Waste Management, Inc.............................. 25,100 840,850
------------
3,834,401
------------
CHEMICALS--2.6%
Cabot Corp......................................... 36,500 1,311,719
du Pont (E.I.) de Nemours & Co..................... 14,800 1,077,625
Morton International, Inc.......................... 38,100 1,219,200
Praxair, Inc....................................... 25,400 1,277,937
Raychem Corp.(1)................................... 27,000 1,085,063
------------
5,971,544
------------
COMMUNICATION EQUIPMENT--0.6%
Loral Space & Communications Corp.+................ 3,500 109,594
Qwest Communications International, Inc.+.......... 7,200 277,650
SBC Communications, Inc............................ 25,100 1,040,081
------------
1,427,325
------------
COMPUTERS & BUSINESS EQUIPMENT--3.4%
Hewlett-Packard Co................................. 44,600 3,358,937
International Business Machines Corp............... 21,100 2,444,963
Komag, Inc.+....................................... 36,700 566,556
Teradyne, Inc.+(1)................................. 35,100 1,281,150
------------
7,651,606
------------
DRUGS--2.5%
American Home Products Corp........................ 4,800 447,000
Amgen, Inc.+(1).................................... 14,200 845,788
Biogen, Inc.+(1)................................... 28,200 1,244,325
Bristol-Myers Squibb Co.(1)........................ 2,300 243,513
Lilly (Eli) & Co.(1)............................... 2,600 180,863
Merck & Co., Inc................................... 1,100 132,550
Novartis AG ADR.................................... 5,700 471,218
Pfizer, Inc.(1).................................... 8,500 967,406
SmithKline Beecham PLC ADR......................... 20,600 1,226,987
------------
5,759,650
------------
ELECTRIC UTILITIES--1.0%
Duke Energy Corp................................... 100 5,787
Edison International............................... 100 2,981
Kansas City Power & Light Co....................... 35,500 1,056,125
Southern Co........................................ 100 2,650
</TABLE>
<PAGE>
33
[STYLE SELECT SERIES(SM) LOGO]
Value Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 (unaudited) -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (CONTINUED)
ELECTRIC UTILITIES (CONTINUED)
Western Resources, Inc............................. 33,500 $ 1,308,594
------------
2,376,137
------------
ELECTRONICS--8.5%
Applied Materials, Inc.+........................... 30,000 1,083,750
Arrow Electronics, Inc.+........................... 55,500 1,515,844
Avnet, Inc......................................... 25,800 1,591,537
Eaton Corp......................................... 16,000 1,478,000
Intel Corp......................................... 14,500 1,171,781
KLA-Tencor Corp.+(1)............................... 21,400 860,013
Millipore Corp..................................... 12,700 438,150
Molex, Inc......................................... 4,412 125,742
Motorola, Inc...................................... 19,300 1,073,563
National Semiconductor
Corp.+........................................... 40,000 880,000
Novellus Systems, Inc.+............................ 16,100 768,775
Philips Electronics NV-NY Shares................... 19,700 1,773,000
Quantum Corp.+(1).................................. 40,000 937,500
Tektronix, Inc..................................... 16,800 722,400
Texas Instruments, Inc............................. 56,800 3,638,750
Varian Associates, Inc.(1)......................... 27,900 1,365,356
------------
19,424,161
------------
ENERGY SERVICES--3.9%
Amerada Hess Corp.................................. 100 5,750
Cooper Cameron Corp.+.............................. 22,200 1,474,913
Diamond Offshore Drilling, Inc..................... 33,000 1,670,625
EVI, Inc.+......................................... 9,500 505,875
Halliburton Co..................................... 27,100 1,490,500
McDermott International, Inc....................... 26,700 1,104,713
Nabors Industries, Inc.+........................... 1,500 37,781
Schlumberger Ltd................................... 31,700 2,627,137
------------
8,917,294
------------
ENERGY SOURCES--6.1%
Atlantic Richfield Co.............................. 200 15,600
British Petroleum Co. PLC ADS...................... 14,421 1,362,784
Burlington Resources, Inc.(1)...................... 19,300 907,100
Chevron Corp.(1)................................... 200 16,538
Exxon Corp......................................... 700 51,056
Mobil Corp.(1)..................................... 100 7,900
Noble Affiliates, Inc.............................. 28,700 1,237,687
Oryx Energy Co.+................................... 30,000 783,750
Phillips Petroleum Co.(1).......................... 25,500 1,263,844
Pioneer Natural Resources Co....................... 6,400 153,200
R & B Falcon Corp.+................................ 52,422 1,680,780
Repsol SA ADR...................................... 27,700 1,514,844
Sonat, Inc......................................... 100 4,438
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -------------------------------------------------------------------------------
<S> <C> <C>
ENERGY SOURCES (CONTINUED)
Sun Co., Inc....................................... 38,200 $ 1,544,712
Tosco Corp......................................... 32,000 1,140,000
Ultramar Diamond Shamrock Corp..................... 39,200 1,266,650
Union Pacific Resources Group, Inc................. 43,300 1,033,788
------------
13,984,671
------------
ENTERTAINMENT PRODUCTS--1.4%
Callaway Golf Co................................... 47,800 1,302,550
Harman International Industries, Inc.+............. 40,000 1,720,000
Hasbro, Inc.(1).................................... 4,300 158,294
------------
3,180,844
------------
FINANCIAL SERVICES--4.8%
American Express Co................................ 27,600 2,815,200
Associates First Capital Corp., Class A............ 5,752 429,961
Countrywide Credit Industries, Inc.(1)............. 16,400 793,350
Donaldson, Lufkin & Jenrette, Inc.................. 4,800 455,100
Federal Home Loan Mortgage Corp.................... 15,400 713,213
Household International, Inc....................... 700 92,006
Morgan (J.P.) & Co., Inc........................... 3,700 485,625
Morgan Stanley, Dean Witter, Discover & Co......... 38,402 3,028,958
PaineWebber Group, Inc............................. 27,150 1,216,659
SLM Holding Corp................................... 20,000 853,750
Washington Mutual, Inc............................. 1,400 98,000
------------
10,981,822
------------
FOOD, BEVERAGE & TOBACCO--3.8%
Anheuser-Busch Cos., Inc.(1)....................... 28,100 1,287,331
Archer-Daniels-Midland Co.......................... 28,655 616,082
Coca-Cola Co....................................... 500 37,938
Corn Products International, Inc.+................. 1,900 67,688
Gallaher Group PLC ADR............................. 200 4,113
IBP, Inc........................................... 58,700 1,210,687
Nestle SA ADR...................................... 15,500 1,503,559
Philip Morris Cos., Inc............................ 60,400 2,253,675
Tyson Foods, Inc., Class A......................... 12,400 239,475
UST, Inc........................................... 53,700 1,480,106
------------
8,700,654
------------
FOREST PRODUCTS--2.6%
Asia Pulp & Paper Ltd. ADR+........................ 66,600 969,862
International Paper Co............................. 100 5,219
Mead Corp.......................................... 15,800 547,075
</TABLE>
<PAGE>
34
[STYLE SELECT SERIES(SM) LOGO]
Value Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 (unaudited) -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (CONTINUED)
FOREST PRODUCTS (CONTINUED)
Owens Illinois, Inc.+.............................. 15,000 $ 593,438
Temple-Inland, Inc................................. 18,000 1,162,125
Union Camp Corp.(1)................................ 28,300 1,708,612
Weyerhaeuser Co.................................... 17,400 1,002,675
------------
5,989,006
------------
GAS & PIPELINE UTILITIES--0.1%
KN Energy, Inc..................................... 2,400 140,850
------------
HOUSEHOLD PRODUCTS--0.5%
Kimberly-Clark Corp.(1)............................ 15,000 761,250
Singer Co., Inc.+.................................. 42,200 408,812
------------
1,170,062
------------
HOUSING--1.7%
Armstrong World Industries, Inc.................... 14,000 1,200,500
Champion Enterprises, Inc.+........................ 51,400 1,278,575
Masco Corp......................................... 24,700 1,432,600
Maytag Corp.(1).................................... 200 10,300
------------
3,921,975
------------
INSURANCE--9.0%
20th Century Industries............................ 5,900 168,150
Allstate Corp...................................... 14,000 1,347,500
American International Group, Inc.................. 2,750 361,797
Berkley (W.R.) Corp................................ 40,700 1,897,638
Chubb Corp......................................... 16,500 1,302,469
EXEL Ltd.+......................................... 20,000 1,493,750
General Re Corp.................................... 17,000 3,800,562
LaSalle Re Holdings Ltd............................ 19,600 716,625
Old Republic International Corp.................... 31,900 1,443,475
PartnerRe Ltd...................................... 41,300 2,067,581
Progressive Corp................................... 13,100 1,774,231
St. Paul Co., Inc.(1).............................. 14,500 1,228,875
Transatlantic Holdings, Inc........................ 12,000 921,750
Travelers Group, Inc............................... 29,673 1,815,617
UNUM Corp.(1)...................................... 2,400 129,000
------------
20,469,020
------------
INVESTMENT COMPANIES--0.1%
Morgan Stanley Asia-Pacific Fund................... 23,800 177,013
------------
LEISURE & TOURISM--4.9%
Continental Airlines, Inc., Class B+............... 13,400 788,925
Host Marriott Corp.+............................... 91,300 1,774,644
KLM Royal Dutch Airlines NV........................ 37,600 1,525,150
McDonald's Corp.(1)................................ 63,700 3,941,437
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -------------------------------------------------------------------------------
<S> <C> <C>
LEISURE & TOURISM (CONTINUED)
Mirage Resorts, Inc.+.............................. 63,500 $ 1,400,969
Northwest Airlines Corp., Class A+................. 20,500 1,076,250
Southwest Airlines Co.(1).......................... 21,850 599,509
------------
11,106,884
------------
MACHINERY--1.4%
Harnischfeger Industries, Inc...................... 40,100 1,132,825
New Holland N.V.................................... 61,300 1,501,850
Smith International, Inc.+(1)...................... 9,700 569,875
------------
3,204,550
------------
MEDICAL PRODUCTS--0.1%
Johnson & Johnson Co............................... 2,300 164,163
------------
METALS & MINERALS--4.7%
AK Steel Holding Corp.............................. 29,800 625,800
Cleveland-Cliffs, Inc.(1).......................... 25,300 1,416,800
Crown, Cork & Seal Co., Inc........................ 23,700 1,233,881
Inco Ltd........................................... 77,500 1,361,094
Lafarge Corp....................................... 37,200 1,488,000
Martin Marietta Materials, Inc..................... 19,500 915,281
Nucor Corp......................................... 19,300 1,156,794
Southdown, Inc..................................... 22,400 1,584,800
UCAR International, Inc.+.......................... 27,000 877,500
------------
10,659,950
------------
MULTI-INDUSTRY--0.7%
Corning, Inc....................................... 19,900 796,000
Fortune Brands, Inc................................ 200 7,375
General Electric Co................................ 400 34,050
Tenneco, Inc....................................... 17,300 744,981
------------
1,582,406
------------
REAL ESTATE COMPANIES--0.3%
Rouse Co........................................... 21,200 654,550
------------
REAL ESTATE INVESTMENT TRUSTS--0.7%
Crescent Real Estate Equities Co................... 20,400 696,150
Federal Realty Investment Trust.................... 1,400 34,037
General Growth Properties, Inc..................... 13,500 484,312
Kimco Realty Corp.................................. 300 11,119
United Dominion Realty Trust, Inc.................. 1,500 20,344
Vornado Realty Trust............................... 7,200 288,450
Weingarten Realty Investors........................ 500 21,313
------------
1,555,725
------------
RETAIL--2.9%
Consolidated Stores Corp.+......................... 25,000 1,000,000
Duane Reade, Inc.+................................. 17,800 422,750
Harcourt General, Inc.............................. 36,400 1,899,625
</TABLE>
<PAGE>
35
Value Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 (unaudited) -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (CONTINUED)
RETAIL (CONTINUED)
May Department Stores Co........................... 20,450 $ 1,261,509
Sears, Roebuck & Co................................ 35,000 2,075,938
------------
6,659,822
------------
SOFTWARE--1.2%
Electronic Data Systems Corp.+..................... 28,100 1,208,300
Storage Technology Corp.+.......................... 19,500 1,646,531
------------
2,854,831
------------
TELECOMMUNICATIONS--0.5%
DSC Communications Corp.+.......................... 58,000 1,040,375
Globalstar Telecommunications Ltd.+(1)............. 622 43,074
------------
1,083,449
------------
TELEPHONE--0.6%
GTE Corp........................................... 21,700 1,268,094
------------
TRANSPORTATION--4.0%
Burlington Northern Santa Fe Corp.................. 38,750 3,836,250
FDX Corp.+......................................... 40,500 2,754,000
Illinois Central Corp.............................. 9,100 361,725
Kansas City Southern Industries, Inc............... 34,600 1,563,487
Union Pacific Corp................................. 11,700 640,575
------------
9,156,037
------------
TOTAL COMMON STOCK
(cost $185,664,734)................................ 216,565,282
------------
PREFERRED STOCK--0.1%
BROADCASTING & MEDIA--0.0%
AirTouch Communications, Inc. Series C 4.25%....... 900 69,131
------------
FINANCIAL SERVICES--0.1%
Devon Financing Trust 6.50%........................ 1,000 70,438
------------
REAL ESTATE COMPANIES--0.0%
Rouse Co. Series B 3.00%........................... 400 20,000
------------
REAL ESTATE INVESTMENT TRUSTS--0.0%
Vornado Realty Trust Series A
6.50%............................................ 300 17,250
------------
TRANSPORTATION--0.0%
Union Pacific Capital Trust 6.25%.................. 900 49,050
------------
TOTAL PREFERRED STOCK
(cost $197,678).................................... 225,869
------------
TOTAL INVESTMENT SECURITIES--95.0%
(cost $185,862,412)................................ 216,791,151
------------
<CAPTION>
PRINCIPAL
AMOUNT (IN VALUE
SECURITY DESCRIPTION THOUSANDS) (NOTE 3)
- -----------------------------------------------------------------------------------
<S> <C> <C>
SHORT-TERM SECURITIES--3.1%
Cayman Island Time Deposit with State Street Bank
and Trust Co.
4.50% due 5/01/98................................ $3,183 $ 3,183,000
Federal National Mortgage Association Discount
Notes 5.43% due 5/13/98.......................... 3,915 3,907,914
------------
TOTAL SHORT-TERM SECURITIES
(cost $7,090,914).................................. 7,090,914
------------
REPURCHASE AGREEMENTS--2.3%
Agreement with State Street Bank and Trust Co.,
bearing 5.00%, dated 4/30/98 to be repurchased
5/01/98 in the amount of $1,116,000
collateralized by $1,130,000 U.S. Treasury Note
5.50%, due 2/28/99 approximate aggregate value
$1,139,888
(cost $1,116,000)................................ 1,116 1,116,000
Agreement with State Street Bank and Trust Co.,
bearing 5.45%, dated 4/30/98 to be repurchased
5/01/98 in the amount of $4,080,000
collateralized by $4,060,000 U.S. Treasury Note
7.125% due 9/30/99 approximate aggregate value
$4,164,910
(cost $4,080,000)................................ 4,080 4,080,000
------------
TOTAL REPURCHASE AGREEMENTS
(cost $5,196,000).................................. 5,196,000
------------
TOTAL INVESTMENTS--
(cost $198,149,326)................................ 100.4% 229,078,065
Liabilities in excess of other assets.............. (0.4) (918,262)
------- ------------
NET ASSETS-- 100.0% $228,159,803
------- ------------
------- ------------
</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>
36
[STYLE SELECT SERIES(SM) LOGO]
Small-Cap Value Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 (unaudited)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -----------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK--91.3%
AEROSPACE & MILITARY TECHNOLOGY--0.3%
Fairchild Corp., Class A+.......................... 1,400 $ 28,525
Moog, Inc., Class A................................ 2,300 99,475
------------
128,000
------------
APPAREL & TEXTILES--2.0%
Footstar, Inc.+.................................... 3,700 147,306
Just For Feet, Inc.+............................... 10,000 219,375
Kellwood Co.(1).................................... 4,000 127,750
Oakley, Inc.+...................................... 11,500 151,656
Spiegel, Inc., Class A+............................ 35,000 199,062
Tarrant Apparel Group, Inc.+....................... 3,000 91,500
------------
936,649
------------
AUTOMOTIVE--4.5%
Apogee Enterprises, Inc............................ 11,000 158,813
Borg-Warner Automotive, Inc........................ 5,100 317,156
Breed Technologies, Inc............................ 3,100 62,581
Excel Industries, Inc.............................. 3,600 75,150
Federal Signal Corp................................ 29,000 621,687
Polaris Industries, Inc............................ 6,800 242,250
Rollins Truck Leasing Corp......................... 1,600 21,200
Simpson Industries, Inc............................ 18,800 253,800
Titan International, Inc........................... 4,900 95,550
Tower Automotive, Inc.+............................ 4,300 229,244
------------
2,077,431
------------
BANKS--7.2%
Bank United Corp., Class A......................... 1,700 87,975
CCB Financial Corp.(1)............................. 6,400 696,000
Community Bank Systems, Inc........................ 2,800 99,575
First Hawaiian, Inc................................ 3,300 129,525
First Source Bancorp, Inc.......................... 15,000 157,500
Freedom Securities Corp.+.......................... 2,700 59,906
HUBCO, Inc......................................... 7,999 291,464
Long Island Bancorp, Inc........................... 2,200 144,925
Peoples Heritage Financial Group, Inc.............. 8,004 386,193
Resource Bancshares Mortgage Group, Inc............ 5,900 104,725
Riverview Bancorp, Inc.+........................... 29,000 493,000
St. Paul Bancorp, Inc.............................. 11,000 275,000
Vermont Financial Services Corp. .................. 14,000 407,750
------------
3,333,538
------------
BROADCASTING & MEDIA--3.2%
Cable Design Technologies Corp.+................... 5,000 133,125
CellStar Corp.+.................................... 3,600 117,000
Hollinger International, Inc., Class A............. 32,000 496,000
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -----------------------------------------------------------------------------
<S> <C> <C>
BROADCASTING & MEDIA (CONTINUED)
Jones Intercable, Inc., Class A+................... 31,000 $ 623,875
Regal Cinemas, Inc.+............................... 3,800 115,900
------------
1,485,900
------------
BUSINESS SERVICES--2.3%
Banta Corp......................................... 10,900 346,075
Bowne & Co., Inc................................... 4,000 165,250
CDI Corp.+......................................... 2,900 112,194
Granite Construction, Inc.......................... 4,700 138,943
Pittston Brink's Group............................. 8,200 320,825
------------
1,083,287
------------
CHEMICALS--0.8%
A. Schulman, Inc................................... 4,900 109,025
ChemFirst, Inc..................................... 4,700 125,138
Ferro Corp......................................... 5,000 144,062
------------
378,225
------------
COMMUNICATION EQUIPMENT--1.6%
Anixter International, Inc.+....................... 10,700 213,331
Belden, Inc........................................ 4,500 186,469
DSP Communications, Inc.+.......................... 6,800 113,475
Glenayre Technologies, Inc.+....................... 6,500 101,969
Leasing Solutions, Inc.+........................... 4,200 116,025
------------
731,269
------------
COMPUTERS & BUSINESS EQUIPMENT--3.1%
Bell & Howell Co.+................................. 6,100 168,512
Data General Corp.+(1)............................. 8,300 126,575
In Focus System, Inc.+............................. 5,400 46,069
Kemet Corp.+....................................... 8,300 149,400
Komag, Inc.+....................................... 10,400 161,200
Larscom Inc., Class A+............................. 3,900 35,588
Splash Technology Holdings, Inc.+.................. 18,000 335,250
Stratus Computer, Inc.+............................ 7,000 304,937
Xircom, Inc.+...................................... 5,000 85,312
------------
1,412,843
------------
DRUGS--1.1%
Perrigo Co.+....................................... 40,200 512,550
------------
ELECTRIC UTILITIES--1.4%
Calpine Corp.+..................................... 10,400 187,850
Eastern Enterprises................................ 1,400 59,325
Eastern Utilities Associates....................... 3,900 102,375
Public Service Co. of New Mexico................... 4,600 106,088
Sierra Pacific Resources Co........................ 4,900 171,500
------------
627,138
------------
ELECTRICAL EQUIPMENT--3.0%
Aeroquip-Vickers, Inc.............................. 1,900 120,769
Credence Systems Corp.+............................ 6,000 164,625
</TABLE>
<PAGE>
37
[STYLE SELECT SERIES(SM) LOGO]
Small-Cap Value Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 (unaudited) -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -----------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (CONTINUED)
ELECTRICAL EQUIPMENT (CONTINUED)
Flextronics International Ltd.+.................... 1,400 $ 65,100
Helix Technology Corp.............................. 2,200 43,725
Juno Lighting, Inc.(1)............................. 12,000 259,500
MagneTek, Inc.+.................................... 3,300 64,969
Robotic Vision Systems, Inc.+...................... 17,900 134,250
Scotsman Industries, Inc........................... 3,300 94,462
Silicon Valley Group, Inc.+........................ 9,900 188,100
Watts Industries, Inc., Class A.................... 9,800 251,125
------------
1,386,625
------------
ELECTRONICS--3.8%
Allen Telecom, Inc.+............................... 11,400 183,112
Benchmark Electronics, Inc.+....................... 1,800 40,387
Brooks Automation, Inc.+........................... 18,000 272,250
CFM Technologies, Inc.............................. 15,400 188,650
International Rectifier Corp.+..................... 9,000 105,750
Lam Research Corp.+................................ 5,300 163,969
Oak Industries, Inc.+.............................. 4,500 163,406
Oak Technology, Inc.+.............................. 10,000 57,500
Quanex Corp.+(1)................................... 1,800 52,763
SpeedFam International, Inc.+...................... 12,400 358,825
VLSI Technology, Inc.+............................. 8,700 179,437
------------
1,766,049
------------
ENERGY SERVICES--2.0%
Atwood Oceanics, Inc.+............................. 2,500 136,718
Cliffs Drilling Co.+............................... 2,300 113,419
Horizon Offshore, Inc.............................. 3,100 45,144
Key Energy Group, Inc.............................. 14,000 261,625
McDermott International, Inc....................... 2,300 95,162
New Jersey Resources Corp.......................... 3,000 113,250
Pool Energy Services Co.+.......................... 4,900 128,625
Tuboscope, Inc.+................................... 1,000 23,687
------------
917,630
------------
ENERGY SOURCES--3.8%
Barrett Resources Corp.+........................... 5,300 196,762
Belco Oil & Gas Corp.+............................. 3,200 56,200
Chieftain International, Inc.+..................... 16,000 358,000
Comstock Resources, Inc.+.......................... 8,100 104,288
Devon Energy Corp.................................. 4,800 191,400
Helmerich & Payne, Inc............................. 5,700 173,850
Seagull Energy Corp.+.............................. 17,000 290,062
Tesoro Petroleum Corp.+............................ 6,500 129,188
Vintage Petroleum, Inc............................. 9,900 193,050
Zeigler Coal Holding Co............................ 3,700 66,831
------------
1,759,631
------------
ENTERTAINMENT PRODUCTS--1.1%
Harman International Industries, Inc.+............. 10,000 430,000
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -----------------------------------------------------------------------------
<S> <C> <C>
ENTERTAINMENT PRODUCTS (CONTINUED)
Midway Games, Inc.+................................ 3,494 $ 64,645
------------
494,645
------------
FINANCIAL SERVICES--1.2%
AMRESCO, Inc.+..................................... 4,700 169,788
E.W. Blanch Holdings, Inc.......................... 4,500 157,500
Life Financial Corp.+.............................. 10,000 227,500
------------
554,788
------------
FOOD, BEVERAGE & TOBACCO--1.0%
Canandaigua Brands, Inc., Class A.................. 2,300 119,600
Consolidated Cigar Holdings, Inc., Class A......... 4,600 63,538
General Cigar Holdings, Inc., Class A+............. 7,400 102,213
Swisher International Group, Inc., Class A......... 4,100 50,481
Universal Corp..................................... 3,500 131,031
------------
466,863
------------
FOREST PRODUCTS--1.8%
Albany International Corp., Class A................ 5,400 153,900
Caraustar Industries, Inc.......................... 5,000 168,750
First Brands Corp.................................. 13,200 353,925
Rock-Tenn Co., Class A............................. 4,200 66,938
Wausau-Mosinee Paper Corp.......................... 4,600 97,462
------------
840,975
------------
GAS & PIPELINE UTILITIES--0.9%
Coflexip SA ADR.................................... 1,800 126,450
Northwest Natural Gas Co........................... 1,300 35,100
Nui Corp........................................... 3,000 76,875
Piedmont Natural Gas, Inc.......................... 1,600 54,500
Washington Gas Light Co............................ 2,000 54,375
WICOR, Inc......................................... 1,300 62,319
------------
409,619
------------
HEALTH SERVICES--3.5%
Apria Healthcare Group, Inc.+...................... 9,400 89,887
Integrated Health Services, Inc.................... 11,200 431,900
Magellan Health Services, Inc.+.................... 8,100 224,775
Mariner Health Group, Inc.+........................ 8,100 145,294
NovaCare, Inc.+.................................... 6,500 90,594
Sierra Health Services, Inc.+...................... 10,400 399,750
Sun Healthcare Group, Inc.+........................ 12,600 211,050
------------
1,593,250
------------
HOUSEHOLD PRODUCTS--0.5%
BMC Industries, Inc................................ 8,100 147,825
</TABLE>
<PAGE>
38
[STYLE SELECT SERIES(SM) LOGO]
Small-Cap Value Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 (unaudited) -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -----------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (CONTINUED)
HOUSEHOLD PRODUCTS (CONTINUED)
Libbey, Inc........................................ 1,700 $ 64,175
------------
212,000
------------
HOUSING--4.5%
American Buildings Co.............................. 2,300 78,200
Bassett Furniture Industries, Inc. ................ 5,400 166,050
Congoleum Corp., Class A+.......................... 30,000 305,625
Danka Business Systems PLC ADR..................... 5,900 118,000
Eagle Hardware & Garden, Inc.+ .................... 22,500 409,219
Furniture Brands International, Inc.+.............. 7,400 217,375
Homebase, Inc.+.................................... 7,300 61,138
Kaufman & Broad Home Corp.......................... 5,300 154,031
Kimball International, Inc., Class B............... 4,000 93,500
La-Z-Boy, Inc...................................... 1,700 88,931
Mohawk Industries, Inc.+........................... 3,600 111,150
Toll Brothers, Inc.+............................... 7,800 217,425
Walter Industries, Inc.+........................... 3,300 68,062
------------
2,088,706
------------
INSURANCE--5.0%
American Heritage Life Investment Corp............. 3,100 71,106
Amerin Corp.+...................................... 10,600 337,212
Capital Re Corp.................................... 1,900 140,244
Chartwell Re Corp.................................. 3,100 95,519
CMAC Investment Corp............................... 1,000 64,562
Delphi Financial Group, Inc.+...................... 714 40,698
Enhance Financial Services Group, Inc.............. 3,000 205,875
Frontier Insurance Group, Inc...................... 7,800 206,700
Harleysville Group, Inc............................ 3,000 80,250
HCC Insurance Holdings, Inc. ..................... 5,400 117,450
Horace Mann Educators Corp......................... 1,700 58,438
LandAmerica Financial Group, Inc................... 3,400 179,350
Liberty Corp.(1)................................... 1,386 71,032
NAC Reinsurance Corp.(1)........................... 1,900 95,000
Orion Capital Corp................................. 3,500 195,125
Presidential Life Corp............................. 4,000 81,500
Reliance Group Holdings, Inc....................... 8,300 143,694
Selective Insurance Group, Inc..................... 4,500 123,750
------------
2,307,505
------------
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -----------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT COMPANIES--2.6%
Central European Value Fund........................ 12,000 $ 154,500
Emerging Markets Telecommunications Fund, Inc...... 26,000 372,125
G.T. Global Eastern Europe Fund.................... 8,000 95,500
Latin America Equity Fund, Inc..................... 20,000 268,750
Morgan Stanley Asia-Pacific Fund................... 40,000 297,500
------------
1,188,375
------------
LEISURE & TOURISM--2.3%
Alaska Air Group, Inc.+............................ 1,600 89,800
America West Holding Corp., Class B+............... 2,300 69,575
Applebee's International, Inc...................... 5,800 143,912
Bob Evans Farms, Inc............................... 10,000 201,250
Lone Star Steakhouse & Saloon, Inc.+............... 9,400 197,987
Midwest Express Holdings, Inc.+.................... 1,200 57,075
Prime Hospitality Corp.+........................... 5,100 105,506
Ryan's Family Steak Houses, Inc.+.................. 10,100 100,369
Sbarro, Inc........................................ 2,700 79,650
------------
1,045,124
------------
MACHINERY--3.7%
Briggs & Stratton Corp............................. 3,400 153,850
Butler Manufacturing Co............................ 2,800 104,475
Cincinnati Milacron, Inc........................... 5,200 161,525
JLG Industries, Inc................................ 12,600 205,537
Kaydon Corp........................................ 3,500 153,344
Lincoln Electric Co................................ 1,800 85,050
PPT Vision, Inc.+.................................. 17,200 127,925
Regal-Beloit Corp.................................. 7,700 236,775
Stewart & Stevenson Services, Inc.................. 3,700 82,094
United Dominion Industries Ltd. . 6,400 218,800
Wyman-Gordon Co.................................... 8,300 168,075
------------
1,697,450
------------
MEDICAL PRODUCTS--1.2%
CONMED Corp.+...................................... 4,900 110,250
Hologic, Inc.+..................................... 4,600 107,525
Maxxim Medical, Inc................................ 3,500 91,438
Sunrise Medical, Inc.+............................. 5,300 78,506
West Co., Inc...................................... 6,000 185,250
------------
572,969
------------
</TABLE>
<PAGE>
39
[STYLE SELECT SERIES(SM) LOGO]
Small-Cap Value Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 (unaudited) -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -----------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (CONTINUED)
METALS & MINERALS--1.9%
Carpenter Technology Corp.......................... 2,600 $ 150,962
Cleveland-Cliffs, Inc.(1).......................... 2,500 140,000
Intermet Corp...................................... 6,600 136,125
Martin Marietta Materials, Inc..................... 2,400 112,650
Reliance Steel & Aluminum Co. ..................... 1,700 68,638
Texas Industries, Inc.............................. 3,000 193,312
Titanium Metals Corp.+............................. 2,400 63,600
------------
865,287
------------
MULTI-INDUSTRY--2.6%
ACX Technologies, Inc.+............................ 5,800 138,475
AptarGroup, Inc.................................... 2,200 137,500
Carlisle Cos., Inc................................. 2,500 126,875
Crane Co.(1)....................................... 3,300 177,581
Dexter Corp........................................ 4,100 169,381
Mark IV Industries, Inc............................ 10,500 221,156
Roper Industries, Inc.............................. 5,600 173,600
Standex International Corp.(1)..................... 1,800 54,788
------------
1,199,356
------------
REAL ESTATE COMPANIES--0.3%
Insignia Financial Group, Inc., Class A+........... 4,500 119,813
------------
REAL ESTATE INVESTMENT TRUSTS--6.2%
Amli Residential Properties Trust . 2,200 50,463
Apartment Investment & Management Co., Class A..... 3,300 123,337
Arden Realty Group, Inc............................ 2,400 67,350
Bedford Property Investors, Inc.................... 5,400 104,962
Bradley Real Estate, Inc........................... 4,300 89,494
CBL & Associates Properties,
Inc.............................................. 3,900 95,794
Chateau Communities, Inc........................... 3,500 103,469
Chelsea GCA Realty, Inc............................ 2,200 84,012
Federal Realty Investment Trust.................... 10,000 243,125
FelCor Suite Hotels, Inc........................... 1,300 45,500
Glenborough Realty Trust, Inc...................... 7,700 206,456
IRT Property Co.................................... 32,000 372,000
Kilroy Realty Corp................................. 5,000 132,500
Koger Equity, Inc.................................. 4,000 85,750
Liberty Property Trust............................. 3,200 81,800
MGI Properties, Inc................................ 1,100 26,675
Pacific Gulf Properties, Inc....................... 2,500 55,000
Prime Group Realty Trust........................... 4,800 100,500
Summit Properties, Inc............................. 22,000 449,625
Town & Country Trust............................... 8,000 138,500
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- -----------------------------------------------------------------------------
<S> <C> <C>
REAL ESTATE INVESTMENT TRUSTS (CONTINUED)
TriNet Corporate Realty Trust, Inc................. 6,000 $ 214,875
------------
2,871,187
------------
RETAIL--4.8%
AnnTaylor Stores Corp.+............................ 5,700 90,844
BJ's Wholesale Club, Inc.+......................... 4,300 172,268
Cole National Corp., Class A+...................... 2,300 85,531
Fingerhut Co., Inc................................. 8,000 237,000
Gibson Greetings, Inc.+............................ 4,800 124,800
Gymboree Corp.+.................................... 400 7,325
Haverty Furniture Co., Inc......................... 3,500 76,563
Heilig-Meyers Co................................... 16,000 225,000
Jostens, Inc.(1)................................... 29,000 686,937
K2, Inc............................................ 5,400 122,513
Movado Group, Inc.................................. 1,700 51,000
ShopKo Stores, Inc.+............................... 4,500 155,812
Toro Co............................................ 3,300 124,987
Wet Seal, Inc...................................... 1,800 49,725
------------
2,210,305
------------
SOFTWARE--1.1%
BancTec, Inc.+(1).................................. 3,100 67,619
Digi International, Inc............................ 1,375 36,266
Sterling Software, Inc.+........................... 4,200 111,037
Symantec Corp.+.................................... 6,000 174,000
Wang Laboratories, Inc.+........................... 4,800 129,600
------------
518,522
------------
TELECOMMUNICATIONS--1.1%
General Communication, Inc., Class A+.............. 60,000 418,125
NTL, Inc.+......................................... 2,600 100,100
------------
518,225
------------
TELEPHONE--1.0%
Centennial Cellular Corp., Class A+................ 11,000 364,375
Vanguard Cellular Systems, Inc., Class A+.......... 5,700 106,519
------------
470,894
------------
TRANSPORTATION--2.9%
Circle International Group,
Inc. ............................................ 5,300 140,450
CNF Transportation, Inc............................ 3,100 119,737
Knightsbridge Tankers Ltd.......................... 25,000 715,625
Pittston Burlington Co............................. 7,500 140,625
Teekay Shipping Corp............................... 3,200 98,400
Trico Marine Services, Inc.+....................... 4,500 101,813
------------
1,316,650
------------
TOTAL INVESTMENT SECURITIES--91.3%
(cost $40,372,001)................................. 42,099,273
------------
</TABLE>
<PAGE>
40
[STYLE SELECT SERIES(SM) LOGO]
Small-Cap Value Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 (unaudited) -- (continued)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT (IN VALUE
SECURITY DESCRIPTION THOUSANDS) (NOTE 3)
- -----------------------------------------------------------------------------------
<S> <C> <C>
SHORT-TERM SECURITIES--2.6%
Cayman Island Time Deposit with State Street Bank
and Trust Co.
4.50% due 5/01/98
(cost $1,192,000)................................ $1,192 $ 1,192,000
------------
REPURCHASE AGREEMENTS--8.6%
Agreement with State Street Bank and Trust Co.,
bearing 5.00%, dated 4/30/98 to be repurchased
5/01/98 in the amount of $2,317,322
collateralized by $2,345,000 U.S. Treasury Note
5.50%, due 2/28/99 approximate
aggregate value $2,365,519 (cost $2,317,000)..... 2,317 2,317,000
Agreement with State Street Bank and Trust Co.,
bearing 5.45%, dated 4/30/98 to be repurchased
5/01/98 in the amount of $1,655,250
collateralized by $1,675,000 U.S. Treasury Note
5.50%, due 2/28/99 approximate
aggregate value $1,689,656 (cost $1,655,000)..... 1,655 1,655,000
------------
TOTAL REPURCHASE AGREEMENTS
(cost $3,972,000).................................. 3,972,000
------------
TOTAL INVESTMENTS--
(cost $45,536,001)................................. 102.5% 47,263,273
Liabilities in excess of other assets.............. (2.5) (1,150,009)
------- ------------
NET ASSETS-- 100.0% $ 46,113,264
------- ------------
------- ------------
</TABLE>
- ------------------
+ Non-income producing security
ADR ('American Depositary Receipt')
(1) Security is traded with rights attached
See Notes to Financial Statements
<PAGE>
41
[STYLE SELECT SERIES(SM) LOGO]
International Equity Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 (unaudited)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK--92.4% VALUE
ARGENTINA--1.1%
Banco Frances del Rio de la Plata SA ADR (Finance)....... 560 $ 16,275
Banco de Galicia y Buenos Aires SA de CV ADR (Finance)... 834 20,381
Banco Rio de La Plata SA, Class B ADR+ (Finance)......... 5,800 79,750
Perez Cos. SA, Class B (Multi-industry).................. 5,053 30,373
Telefonica de Argentina SA ADR (Utilities)............... 5,120 197,440
TV Azteca SA de CV ADR+
(Information & Entertainment).......................... 2,100 39,112
YPF Sociedad Anonima ADR (Energy)........................ 15,066 525,427
-----------
908,758
-----------
AUSTRALIA--1.9%
Australian Gas Light Co., Ltd.
(Utilities)............................................ 5,082 37,828
Bank Austria AG (Finance)................................ 7,300 564,274
Brambles Industries Ltd.
(Multi-industry)....................................... 6,200 127,829
Broken Hill Proprietary Co.,
Ltd. (Materials)....................................... 4,477 43,802
Colonial Ltd. (Finance).................................. 5,000 17,611
Commonwealth Bank of Australia (Finance)................. 3,196 38,377
Fairfax (John) Holdings Ltd.
(Information & Entertainment).......................... 14,000 25,568
Fosters Brewing Group Ltd.
(Consumer Staples)..................................... 6,000 13,071
Goodman Fielder Ltd.
(Consumer Staples)..................................... 70,200 108,975
Lend Lease Corp., Ltd.
(Finance).............................................. 1,031 23,671
National Australia Bank Ltd.
(Finance).............................................. 1,025 14,575
National Mutual Holdings Ltd.
(Finance).............................................. 57,300 135,667
News Corp., Ltd.
(Information & Entertainment).......................... 9,685 64,939
Publishing & Broadcasting Ltd.
(Information & Entertainment) 4,000 19,124
TABCORP Holdings Ltd.
(Information & Entertainment) 21,100 114,917
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
<S> <C> <C>
AUSTRALIA (CONTINUED)
Telstra Corp., Ltd.+(Utilities).......................... 14,519 $ 34,092
Westpac Banking Corp., Ltd.
(Finance).............................................. 8,000 53,746
Woodside Petroleum Ltd.
(Energy)............................................... 16,500 107,944
-----------
1,546,010
-----------
AUSTRIA--1.1%
Erste Bank Der Oesterreichischen
Sparkassen AG+ (Finance)............................... 3,600 232,084
OMV AG (Energy).......................................... 1,000 148,418
VA Technologie AG
(Industrial & Commercial).............................. 2,280 327,739
VAE Eisenbahnsysteme AG
(Industrial & Commercial).............................. 1,776 171,179
-----------
879,420
-----------
BELGIUM--0.6%
Credit Dexia/Communal Holding+ (Finance)................. 1,119 153,342
Generale de Banque Belge Pour
l'Etranger SA (Finance) 130 75,105
Kredietbank NV (Finance)................................. 510 287,752
UCB SA (Healthcare)...................................... 4 19,125
-----------
535,324
-----------
BRAZIL--1.2%
Centrais Eletricas Brasileiras SA
ADR+ (Utilities)....................................... 2,000 41,520
Companhia de Saneamento Basico do Estado de Sao Paulo
(Utilities)............................................ 295,000 67,066
Compania Brasileira de Distribuidora GDR
(Industrial & Commercial).............................. 1,000 26,748
Compania Energetica de Minas Gerais ADR (Materials)...... 1,543 74,182
Telecomunicacoes
de Brasileiras SA ADR
(Information Technology)............................... 3,700 450,706
Telecomunicacoes de Brasilia SA
(Utilities)............................................ 896,000 88,922
Uniao De Banco Brasilieros SA GDR+ (Finance)............. 5,000 198,750
</TABLE>
<PAGE>
42
[STYLE SELECT SERIES(SM) LOGO]
International Equity Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 (unaudited) -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (CONTINUED)
BRAZIL (CONTINUED)
Usinas Siderurgicas de Minas
Gerais SA ADR (Materials).............................. 6,000 $ 41,432
-----------
989,326
-----------
CANADA--1.1%
Alcan Aluminium Ltd. (Materials)......................... 970 31,882
BCE, Inc. (Utilities).................................... 3,100 132,026
Cadillac Fairview Corp.+
(Real Estate).......................................... 4,000 88,534
Newcourt Credit Group, Inc.
(Finance).............................................. 7,300 358,376
Royal Bank of Canada (Finance)........................... 5,040 301,706
-----------
912,524
-----------
CHILE--0.2%
Banco Santander-Chile, Class A ADR (Finance)............. 9,000 126,000
Chilectra SA ADR (Utilities)............................. 422 11,446
Enersis SA ADR (Energy).................................. 369 10,862
-----------
148,308
-----------
CHINA--0.1%
Huaneng Power International, Inc. ADR+
(Industrial & Commercial).............................. 4,000 88,000
-----------
DENMARK--0.8%
Den Danske Bank+
(Finance).............................................. 280 33,961
ISS International Service Systems A/S, Class B
(Industrial & Commercial).............................. 1,700 91,917
SAS Danmark A/S
(Industrial & Commercial).............................. 4,700 83,792
Unidanmark A/S, Class A
(Finance).............................................. 5,200 436,933
-----------
646,603
-----------
FINLAND--1.2%
Huhtamaki Oy
(Consumer Staples)..................................... 6,541 378,294
Konecranes International Corp.+
(Industrial & Commercial).............................. 7,100 338,927
Nokia AB, Class A
(Information Technology)............................... 1,540 103,484
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
<S> <C> <C>
FINLAND (CONTINUED)
Rauma Oy
(Industrial & Commercial).............................. 8,137 $ 152,384
-----------
973,089
-----------
FRANCE--12.6%
Accor SA
(Information & Entertainment) 1,180 321,747
Alcatel Alsthom Compagnie
Generael D' Electricite
(Information Technology)............................... 1,700 315,339
AXA SA de CV+
(Information Technology)............................... 5,620 660,077
Banque Nationale de Paris
(Finance) 8,700 733,805
Canal Plus
(Information & Entertainment).......................... 1,100 229,479
Carrefour SA
(Consumer Discretionary)............................... 133 76,224
Compagnie de St. Gobain
(Materials)............................................ 2,810 468,411
Compagnie Financiere de Paris,
Class A (Finance)...................................... 3,000 319,414
Compagnie Generale des Eaux
(Industrial & Commercial).............................. 1,844 342,970
Compagnie Generale des
Etablissements Michelin (Consumer Discretionary)....... 4,700 296,262
Credit Commerce France (Finance)......................... 530 42,322
Credit Local de France+ (Finance)........................ 95 11,506
Dassault Systemes SA ADR
(Information Technology)............................... 6,800 261,800
Elf Aquitaine SA (Energy)................................ 6,060 795,432
Groupe Danone
(Consumer Staples)..................................... 450 106,305
L' Oreal (Consumer Staples).............................. 60 28,647
Lafarge SA (Materials)................................... 390 36,852
Lafarge SA (Materials)................................... 32 2,939
Lapeyre (Materials)...................................... 340 25,849
Legrand SA
(Information Technology)............................... 130 34,387
Moet Henessy Louis Vuitton
(Consumer Staples)..................................... 96 19,772
Pathe SA
(Information & Entertainment).......................... 50 10,880
</TABLE>
<PAGE>
43
[STYLE SELECT SERIES(SM) LOGO]
International Equity Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 (unaudited) -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (CONTINUED)
FRANCE (CONTINUED)
Pinault Printemps Redoute
(Consumer Discretionary)............................... 450 $ 335,235
Primagaz Cie (Utilities)................................. 120 10,361
Renault SA+
(Consumer Discretionary)............................... 8,300 385,244
Rhone-Poulenc Ltd., Class A
(Healthcare)........................................... 14,392 704,157
Sanofi SA (Healthcare)................................... 1,306 158,389
Schneider SA+
(Industrial & Commercial).............................. 6,598 493,944
Scor (Finance)........................................... 8,000 493,495
SEITA (Consumer Staples)................................. 4,100 184,162
Societe Generale d'Enterprises
SA+ (Finance).......................................... 706 147,049
Societe Generale d'Enterprises SA+
(Industrial & Commercial).............................. 21,200 827,051
Sodexho SA
(Information & Entertainment).......................... 828 151,660
Suez Lyonnaise des Eaux
(Industrial & Commercial).............................. 2,100 356,347
Television Francais (Utilities).......................... 625 87,860
Total SA, Class B (Energy)............................... 7,290 867,135
Union du Credit--Bail Immobilier SA
(Real Estate).......................................... 1,200 171,685
-----------
10,514,193
-----------
GERMANY--6.4%
Adidas AG
(Information & Entertainment).......................... 1,700 281,825
Allianz AG (Finance)..................................... 1,040 319,902
Bayer AG (Materials)..................................... 1,983 88,180
Bayerische Hypotheken Und Bank AG (Finance).............. 1,426 81,370
Bayerische Vereinsbank AG (Finance)...................... 5,038 383,209
Bilfinger & Berger Bau AG
(Industrial & Commercial).............................. 410 13,822
Commerzbank AG (Finance)................................. 440 16,967
Daimler-Benz AG
(Consumer Discretionary)............................... 2,800 273,361
Degussa AG (Materials)................................... 4,600 249,923
Deutsche Bank AG+ (Finance).............................. 1,914 147,292
Deutsche Lufthansa AG
(Industrial & Commercial).............................. 11,200 266,496
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
<S> <C> <C>
GERMANY (CONTINUED)
Deutsche Telekom AG
(Information Technology)............................... 4,246 $ 107,419
Dresdner Bank AG (Finance)............................... 1,797 97,233
Fresenius Medical Care AG
(Healthcare)........................................... 5,600 381,020
Gehe AG
(Consumer Discretionary)............................... 2,610 135,260
Hannover Rueckversicherungs AG
(Finance).............................................. 2,200 279,513
Hoechst AG (Healthcare).................................. 6,130 247,277
Mannesmann AG
(Industrial & Commercial).............................. 604 479,282
Munchener Ruckversicherungs AG
(Finance).............................................. 854 390,226
Preussag AG
(Industrial & Commercial).............................. 400 142,208
Rhon-Klinikum AG
(Consumer Discretionary)............................... 400 41,793
SAP AG
(Information Technology)............................... 300 142,097
Siemens AG (Multi-industry).............................. 829 48,505
VEBA AG (Utilities)...................................... 2,580 170,510
Viag AG (Utilities)...................................... 200 101,307
Volkswagen AG
(Consumer Discretionary)............................... 517 411,687
-----------
5,297,684
-----------
GREECE--0.1%
OTE Greek Telecommunications
(Utilities)............................................ 2,900 83,018
-----------
HONG KONG--2.0%
Cheung Kong (Holdings) Ltd.
(Real Estate).......................................... 5,000 33,243
CLP Holdings Ltd. (Utilities)............................ 10,000 48,025
Cosco Pacific Ltd.
(Industrial & Commercial).............................. 370,000 250,775
Dao Heng Bank Group Ltd. (Finance)....................... 11,000 32,520
First Pacific Co., Ltd.
(Industrial & Commercial).............................. 350,000 168,313
First Tractor Co., Ltd.
(Industrial & Commercial).............................. 56,000 31,268
Guangnan Holdings
(Consumer Staples)..................................... 54,000 34,857
Hang Seng Bank Ltd. (Finance)............................ 4,000 33,695
</TABLE>
<PAGE>
44
[STYLE SELECT SERIES(SM) LOGO]
International Equity Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 (unaudited) -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (CONTINUED)
HONG KONG (CONTINUED)
Henderson Land Development
Co., Ltd. (Real Estate)................................ 9,000 $ 40,201
Hong Kong & China Gas Co.
Ltd.+(Utilities)....................................... 23,100 31,462
Hong Kong Land Holdings Ltd. ADR (Finance)............... 16,000 22,560
HSBC Holdings PLC+ (Finance)............................. 13,866 395,609
Hutchison Whampoa Ltd.
(Multi-industry)....................................... 30,000 185,515
Jardine Matheson Holdings Ltd.
ADR (Industrial & Commercial).......................... 7,501 31,654
New World Development Co.,
Ltd. (Real Estate)..................................... 17,521 49,876
Ng Fung Hong Ltd.
(Consumer Staples)..................................... 78,000 70,488
Peregrine Investments Holdings Ltd.(1) (Finance)......... 91,000 0
Shanghai Industrial Holdings Ltd. (Consumer Staples)..... 13,000 44,558
Sun Hung Kai Properties Ltd.+
(Real Estate).......................................... 8,000 47,508
Swire Pacific Ltd., Class A (Multi-industry)............. 11,000 54,957
Wing Hang Bank Ltd. (Finance)............................ 18,000 50,658
-----------
1,657,742
-----------
HUNGARY--0.1%
MOL Magyar Olaj-es Gazipari Rt.* (Utilities)............. 4,200 127,620
-----------
INDIA--0.8%
Hindalco Industries Ltd. GDR*
(Materials)............................................ 5,900 112,161
Mahanagar Telephone Nigam
Ltd.+ (Information Technology) 2,000 32,250
State Bank of India GDR+
(Finance).............................................. 9,400 178,600
The Indian Smaller Companies
Fund Ltd.(1)
(Investment Companies)................................. 44,749 318,166
-----------
641,177
-----------
INDONESIA--0.1%
PT Telekomunikasi Indonesia ADR alien shares+ (Utilities) 6,700 53,600
-----------
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
<S> <C> <C>
IRELAND--1.7%
Bank of Ireland (Finance)................................ 17,900 $ 363,100
CRH PLC
(Industrial & Commercial).............................. 23,600 336,929
Greencore Group PLC
(Consumer Staples)..................................... 17,400 106,254
Jefferson Smurfit Group PLC
(Consumer Staples)..................................... 63,700 236,968
Kerry Group, Class A+
(Consumer Staples)..................................... 24,300 383,764
-----------
1,427,015
-----------
ISRAEL--0.6%
Blue Square Israel Ltd. ADR
(Consumer Staples)..................................... 4,100 65,600
ECI Telecommunications Ltd.
(Information Technology)............................... 11,200 341,600
Orbotech Ltd.+
(Information Technology)............................... 3,300 118,594
-----------
525,794
-----------
ITALY--6.4%
Assicurazione Generali SpA (Finance)..................... 13,980 420,659
Banca Commerciale Italiana+ (Finance) 3,000 15,175
Banca Nazionale del Lavoro
(Finance).............................................. 10,900 323,059
Banco di Roma SpA (Finance).............................. 220,100 405,694
Bulgari SpA
(Consumer Discretionary)............................... 34,600 211,153
Credito Italiano SpA (Finance)........................... 140,208 736,916
ENI SpA (Energy)......................................... 101,471 681,400
Industrie Natuzzi SpA ADR
(Consumer Discretionary)............................... 1,000 25,687
Istituto Mobiliare Italiano
(Finance).............................................. 4,000 65,487
Istituto Nazionale Delle Asazioni SpA (Finance).......... 11,000 32,882
Italgas SpA+ (Utilities)................................. 42,000 194,428
Mediolanum SpA (Finance)................................. 2,756 82,617
Parmalat Finanziar SpA+
(Consumer Staples)..................................... 242,400 546,695
Seat SpA
(Information & Entertainment).......................... 408,000 202,693
Telecom Italia Mobile SpA
(Information Technology)............................... 48,000 273,690
</TABLE>
<PAGE>
45
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- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 (unaudited) -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (CONTINUED)
ITALY (CONTINUED)
Telecom Italia SpA
(Information Technology)............................... 137,677 $ 1,029,847
Telecom Italia SpA+
(Information Technology)............................... 10,000 52,728
-----------
5,300,810
-----------
JAPAN--10.7%
Advantest Corp.
(Information Technology)............................... 6,100 410,231
AJL Peps Trust (Finance)................................. 3,900 35,344
Alps Electric Co., Ltd.
(Information Technology)............................... 4,000 41,711
Amada Co., Ltd.
(Industrial & Commercial).............................. 4,000 16,171
Canon, Inc.
(Information Technology)............................... 15,000 354,768
Citizen Watch Co.
(Consumer Discretionary)............................... 3,000 20,175
Daiichi Pharmaceutical
(Healthcare)........................................... 5,000 71,747
Dainippon Screen MFG Co., Ltd.
(Information Technology)............................... 5,000 23,236
Daiwa House Industry Co., Ltd.
(Consumer Discretionary)............................... 6,000 48,511
DDI Corp. (Utilities).................................... 12 30,376
East Japan Railway Co.
(Industrial & Commercial).............................. 17 84,782
Fanuc Ltd.
(Information Technology)............................... 1,400 51,625
Fuji Photo Film Co. Ltd.
(Information Technology)............................... 5,000 177,951
Fujikura Ltd.
(Information Technology)............................... 1,200 61,841
Fujitsu Ltd.
(Information Technology)............................... 21,000 245,164
Hankyu Realty Co.
(Real Estate).......................................... 17,000 80,414
Hitachi Ltd.+
(Information Technology)............................... 9,000 64,538
Hitachi Zosen Corp.
(Industrial & Commercial).............................. 4,000 6,106
Honda Motor Co., Ltd.
(Consumer Discretionary)............................... 5,000 181,351
Inax Corp.
(Consumer Staples)..................................... 2,000 7,405
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
<S> <C> <C>
JAPAN (CONTINUED)
Ito-Yokado Co. Ltd.
(Consumer Discretionary)............................... 3,000 $ 155,282
KAO Corp.
(Consumer Staples)..................................... 4,000 58,788
Kokuyo Co., Ltd. (Materials)............................. 3,000 51,458
Komatsu Ltd.
(Industrial & Commercial).............................. 6,000 27,203
Komori Co., Ltd.
(Industrial & Commercial).............................. 2,000 34,003
Kuraray Co., Ltd. (Healthcare)........................... 7,000 59,136
Kyocera Corp.
(Information Technology)............................... 2,600 136,346
Makita Corp.
(Industrial & Commercial).............................. 4,000 43,524
Marui Co., Ltd.
(Consumer Discretionary)............................... 6,000 94,756
Matsushita Electric
Industrial Co., Ltd.+
(Information Technology)............................... 12,000 192,232
Minebea Co., Ltd.
(Industrial & Commercial).............................. 28,000 313,133
Mitsubishi Corp.
(Consumer Discretionary)............................... 4,000 30,225
Mitsubishi Heavy Industries Ltd.
(Industrial & Commercial).............................. 31,000 114,780
Mitsui Fudosan Co., Ltd.
(Real Estate).......................................... 18,000 164,304
Murata Manufacturing Co., Ltd.
(Information Technology)............................... 3,000 87,955
NEC Corp.
(Information Technology)............................... 53,600 603,476
Nichiei Co., Ltd.
(Industrial & Commercial).............................. 670 52,146
Nintendo Co., Ltd.
(Information & Entertainment).......................... 2,700 247,680
Nippon Denso Co., Ltd.
(Industrial & Commercial).............................. 11,000 189,096
Nippon Telegraph & Telephone Corp. (Utilities)........... 20 175,306
Nomura Securities Co., Ltd. (Finance).................... 10,000 122,034
Orix Corp. (Finance)..................................... 3,800 262,732
Pioneer Electronic Corp.
(Industrial & Commercial).............................. 3,000 49,192
Rohm Co.
(Information Technology)............................... 6,000 677,346
</TABLE>
<PAGE>
46
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- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 (unaudited) -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (CONTINUED)
JAPAN (CONTINUED)
Sankyo Co. Ltd. (Healthcare)............................. 14,000 $ 346,985
Sega Enterprises Ltd.
(Information Technology)............................... 900 14,961
Sekisui Chemical Co., Ltd. (Materials)................... 8,000 43,947
Sekisui House Ltd.
(Consumer Discretionary)............................... 6,000 46,879
Seven-Eleven Japan Co., Ltd.
(Consumer Discretionary)............................... 1,000 66,873
Sharp Corp.
(Information Technology)............................... 4,000 31,434
Shin-Etsu Chemical Co., Ltd. (Materials)................. 7,000 136,467
Shiseido Co., Ltd.
(Consumer Staples)..................................... 4,000 52,743
Sony Corp.
(Information Technology)............................... 8,300 690,517
Sumitomo Corp.
(Industrial & Commercial).............................. 11,000 63,171
Sumitomo Electric Industries Ltd.
(Industrial & Commercial).............................. 15,000 178,744
Sumitomo Forestry Co., Ltd. (Materials).................. 2,000 11,712
Sumitomo Trust & Banking
Co., Ltd. (Finance).................................... 300 2,834
Takeda Chemical Industries Ltd.
(Healthcare)........................................... 7,000 199,940
Takefuji Corp. (Finance)................................. 2,500 131,291
TDK Corp.
(Information Technology)............................... 7,000 553,272
Teijin Ltd.
(Consumer Discretionary)............................... 5,000 14,281
Tokio Marine & Fire Insurance Co., Ltd. (Finance)........ 2,000 21,762
Tokyo Electron Ltd.
(Information Technology)............................... 6,000 235,756
Tokyo Steel Manufacturing Co. (Materials)................ 2,000 8,811
Toppan Printing Co., Ltd.
(Information & Entertainment).......................... 5,000 59,430
UNY Co., Ltd.
(Consumer Staples)..................................... 2,000 32,190
-----------
8,899,580
-----------
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
<S> <C> <C>
JAPAN (CONTINUED)
KAZAKHSTAN--0.2%
Firebird Republica Fund Ltd. (1)
(Investment Companies)................................. 960 $ 161,651
-----------
KOREA--0.0%
Korea Fund, Inc.
(Investment Companies)................................. 2,800 21,525
-----------
MALAYSIA--0.1%
Berjaya Sports Toto Bhd
(Information & Entertainment).......................... 6,000 14,236
Genting Bhd
(Information & Entertainment).......................... 13,000 43,217
Magnum Corp. Bhd.
(Multi-industry)....................................... 59,000 39,544
-----------
96,997
-----------
MEXICO--1.0%
Cemex SA de CV ADR (Materials)........................... 3,000 29,825
Cemex SA de CV, Class B (Materials)...................... 12,834 77,185
Cifra SA de CV ADR
(Consumer Discretionary)............................... 161 2,826
Fomento Economico Mexicano SA de CV, Class B+
(Consumer Staples)..................................... 38,200 282,896
Gruma SA de CV ADR*
(Consumer Staples)..................................... 622 5,715
Gruma SA de CV, Class B+
(Consumer Staples)..................................... 5,040 11,578
Grupo Financiero Banamex-
Accival SA de CV., Class B
(Finance) 5,000 15,625
Grupo Industrial Maseca SA de CV, Class B
(Industrial & Commercial).............................. 9,000 6,495
Grupo Modelo SA de CV, Class C (Consumer Staples)........ 2,000 18,915
Grupo Televisa SA de CV GDR
(Information & Entertainment).......................... 3,800 155,800
Kimberly-Clark de Mexico SA de CV, Class A (Materials)... 6,526 32,053
Panamerican Beverages, Inc., Class A ADR
(Consumer Staples)..................................... 2,000 79,750
</TABLE>
<PAGE>
47
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International Equity Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 (unaudited) -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (CONTINUED)
MEXICO (CONTINUED)
Telefonos de Mexico SA ADR (Utilities)................... 2,550 $ 144,394
-----------
863,057
-----------
NETHERLANDS--7.8%
ABN Amro Holdings NV (Finance)........................... 5,548 135,947
Akzo Nobel NV (Multi-industry)........................... 180 36,577
ASM Lithography Holdings NV
(Information Technology)............................... 290 26,314
Baan Co. NV+
(Information Technology)............................... 1,166 51,198
Baan Co. NV+
(Information Technology)............................... 500 22,125
Benckiser NV
(Consumer Staples)..................................... 2,500 145,909
CSM NV
(Consumer Staples)..................................... 4,100 223,256
Elsevier NV
(Consumer Discretionary)............................... 13,500 203,827
Fortis Amev NV (Finance)................................. 2,120 123,730
Gucci Group NV-NY Registry Shares
(Consumer Discretionary)............................... 532 24,771
Hagemeyer NV (Multi-industry)............................ 12,500 595,886
Internatiionale Nedederlanden Groep NV (Finance)......... 23,190 1,502,683
Ispat International NV, Class A+
(Materials)............................................ 6,600 184,800
Koninklijke Ahold NV
(Consumer Discretionary)............................... 9,864 304,695
Koninklijke Numico NV
(Consumer Staples)..................................... 1,580 52,482
Koninklijke Pakhoed NV
(Industrial & Commercial).............................. 4,300 157,517
Koninlijke PTT Nederland NV (Utilities).................. 5,190 266,938
Nutreco Holding NV
(Consumer Staples)..................................... 4,800 171,318
Philips Electronics NV
(Information Technology)............................... 9,160 804,861
PolyGram NV
(Information & Entertainment).......................... 2,330 95,733
Royal Dutch Petroleum Co. (Energy)....................... 10,790 594,489
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
<S> <C> <C>
NETHERLANDS (CONTINUED)
Unilever NV & PLC (Multi-industry)....................... 3,990 $ 284,026
Wolters Kluwer NV+
(Information & Entertainment).......................... 3,416 447,271
-----------
6,456,353
-----------
NEW ZEALAND--0.6%
Brierley Investments Ltd.+ (Finance)..................... 459,100 265,231
Fletcher Challenge Ltd.
building shares+ (Multi-industry)...................... 4,063 8,216
Fletcher Challenge Ltd. energy
shares+ (Multi-industry)............................... 5,134 17,511
Telecommunications Corp. of New Zealand Ltd.
(Information Technology)............................... 21,600 57,954
Telecommunications Corp. of New Zealand Ltd.
(Information Technology)............................... 17,700 84,067
Wrightson Ltd. (Multi-industry).......................... 112,000 39,196
-----------
472,175
-----------
NORWAY--1.1%
Norsk Hydro ASA (Energy) 4,420 220,509
Orkla ASA, Class A
(Consumer Discretionary)............................... 3,010 356,846
Saga Petroleum ASA, Class B (Energy)..................... 770 13,734
Smedvig ASA, Class B (Energy)............................ 11,000 221,282
Smedvig ASA, Class B ADR (Energy)........................ 1,850 36,075
Sparebanken NOR+ (Finance)............................... 1,400 48,441
-----------
896,887
-----------
PHILIPPINES--0.1%
Philippine Long Distance Telephone Co. ADR (Utilities)... 2,420 65,340
-----------
PORTUGAL--2.4%
Banco Comercial Portugues SA+ (Finance).................. 5,200 182,304
Banco Mello SA (Finance)................................. 6,600 98,274
BPI-SGPS SA+ (Finance)................................... 4,900 227,752
Cimpor-Cimentos de Portugal
SA (Materials)......................................... 5,000 184,915
Electricidad de Portugal SA
(Utilities)............................................ 11,200 292,253
</TABLE>
<PAGE>
48
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International Equity Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 (unaudited) -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
COMMON STOCK (CONTINUED)
<S> <C> <C>
PORTUGAL (CONTINUED)
Jeronimo Martins SGPS SA
(Consumer Discretionary)............................... 1,296 $ 60,590
Mota & Companhia SA
(Industrial & Commercial).............................. 5,700 93,735
Portugal Telecom SA (Utilities).......................... 5,400 290,182
Portugal Telecom SA ADR (Utilities)...................... 2,500 134,375
Telecel-Comunicacaoes Pessoais SA+ (Utilities)........... 2,600 466,431
Telefonica del Peru SA, Class B
ADR (Industrial & Commercial).......................... 346 7,655
-----------
2,038,466
-----------
RUSSIA--0.2%
AO Tatneft ADS (Energy).................................. 6,000 119,448
Gazprom ADR (Energy)..................................... 1,080 19,926
Lukoil Holdings ADR (Energy)............................. 120 7,909
-----------
147,283
-----------
SINGAPORE--1.0%
Creative Technology Ltd.+
(Information Technology)............................... 3,300 67,650
DBS Land Ltd.
(Real Estate).......................................... 59,000 89,106
Development Bank of Singapore Ltd. alien shares
(Finance).............................................. 36,500 242,180
Development Bank of Singapore Ltd., Class A alien shares
(Finance).............................................. 15,150 100,521
Keppel Bank (Finance).................................... 106,000 137,984
Overseas Union Bank Ltd.
alien shares (Finance)................................. 5,000 18,957
Singapore Press Holdings Ltd.
(Information & Entertainment).......................... 5,530 61,153
Singapore Telecommunications
Ltd.+ (Information Technology)......................... 13,000 22,345
United Overseas Bank Ltd.
alien shares (Finance)................................. 4,000 18,957
Venture Manufacturing (Singapore) Ltd.
(Industrial & Commercial).............................. 19,600 71,217
-----------
830,070
-----------
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
<S> <C> <C>
SINGAPORE (CONTINUED)
SPAIN--3.5%
Aldeasa SA
(Consumer Discretionary)............................... 4,100 $ 148,063
Banco Bilbao Vizcaya SA (Finance)........................ 540 27,798
Banco de Santander SA, Class A ADR (Finance)............. 2,897 153,124
Banco Popular Espanol SA (Finance)....................... 5,051 414,560
Corporation Bancaria de Espana SA (Finance).............. 7,640 637,085
Endesa SA (Utilities).................................... 14,340 348,378
Fomento de Construcciones y Contratas SA
(Industrial & Commercial).............................. 7,300 372,909
Gas Natural SDG SA (Utilities)........................... 640 41,014
Iberdrola SA (Utilities)................................. 7,690 123,707
Repsol SA (Energy)....................................... 1,084 59,431
Tabacalera SA, Class A
(Consumer Staples)..................................... 8,700 187,367
Telefonica de Espana SA (Utilities)...................... 10,067 420,395
-----------
2,933,831
-----------
SWEDEN--4.1%
ABB AB+ (Utilities)...................................... 230 377,074
ABB AB, Class A (Utilities).............................. 3,710 60,140
Astra AB, Class B (Healthcare)........................... 15,020 298,770
Atlas Copco AB, Class B
(Industrial & Commercial).............................. 2,280 67,145
Biora AB ADR (Healthcare)................................ 4,100 126,588
Castellum AB (Real Estate)............................... 17,000 202,015
Electrolux AB, Series B
(Consumer Discretionary)............................... 9,820 913,252
Granges AB+ (Materials).................................. 380 6,921
Hennes & Mauritz AB, Class B
(Consumer Discretionary)............................... 3,660 190,517
Nordbanken AB (Finance).................................. 74,840 551,005
Sandvik AB, Class B
(Industrial & Commercial).............................. 2,240 64,521
SKF AB, Series B+
(Consumer Staples)..................................... 16,400 330,457
Stora Kopparbergs Bergslags Aktiebolag, Class A
(Materials)............................................ 15,300 261,851
-----------
3,450,256
-----------
</TABLE>
<PAGE>
49
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- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 (unaudited) -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
COMMON STOCK (CONTINUED)
SWITZERLAND--4.9%
<S> <C> <C>
Adecco SA
(Industrial & Commercial).............................. 290 $ 126,591
CS Holding AG+ (Finance)................................. 1,494 328,570
Gebrueder Sulzer AG+
(Consumer Staples)..................................... 322 230,690
Julius Baer Holdings AG (Finance)........................ 95 262,113
Nestle SA (Consumer Staples)............................. 230 446,051
Novartis AG (Healthcare)................................. 470 776,808
Oerlikon Buhrle Holding AG+ (Multi-industry)............. 1,600 272,976
Roche Holdings AG (Healthcare)........................... 37 374,932
Schweizerische Bank-Gesellschaft+
(Finance).............................................. 150 241,519
Schweizerische
Rueckversicherungs-Gesellschaft+
(Finance).............................................. 120 264,712
SIG Schweizerische
Industrie-Gesellschaft
Holdings AG+
(Industrial & Commercial).............................. 248 206,267
Swiss Bank Corp.+ (Finance).............................. 270 93,749
TAG Heuer International SA+
(Consumer Discretionary)............................... 1,550 163,212
Zurich Versicherungs-Gesellschaft+
(Finance).............................................. 500 304,565
-----------
4,092,755
-----------
THAILAND--0.1%
PTT Exploration & Production
PCL alien shares (Energy).............................. 4,000 42,225
Siam City Cement PCL
alien shares (Materials)............................... 900 12,714
Thai Farmers Bank alien shares (Finance)................. 20,000 45,796
-----------
100,735
-----------
UNITED KINGDOM--14.0%
Abbey National PLC (Finance)............................. 10,000 187,844
Argos PLC
(Consumer Staples)..................................... 9,000 97,401
Argyll Group PLC+
(Consumer Staples)..................................... 24,500 146,098
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
<S> <C> <C>
UNITED KINGDOM (CONTINUED)
ASDA Group PLC
(Consumer Staples)..................................... 33,000 $ 110,536
Barclays PLC (Finance)................................... 9,500 274,114
BG PLC (Utilities)....................................... 39,694 212,136
Biocompatibles International PLC (Healthcare)............ 5,900 15,001
British Aerospace PLC
(Industrial & Commercial).............................. 10,500 350,916
British Energy PLC (Utilities)........................... 20,900 190,529
British Land Co. PLC
(Real Estate).......................................... 18,800 234,907
British Petroleum Co. PLC (Energy)....................... 7,000 110,649
British Petroleum Co. PLC ADS
(Energy)............................................... 2,400 226,800
Cable & Wireless PLC
(Information Technology)............................... 28,334 324,651
Cadbury Schweppes PLC
(Consumer Staples)..................................... 11,000 160,445
Caradon PLC (Materials).................................. 10,800 34,956
Centrica PLC+ (Utilities)................................ 6,000 10,413
Compass Group PLC
(Industrial & Commercial).............................. 20,100 347,980
Cookson Group PLC (Multi-industry)....................... 124,500 559,154
Diageo PLC
(Consumer Staples)..................................... 33,696 401,307
Dixons Group PLC
(Consumer Discretionary)............................... 29,000 276,982
Electrocomponents PLC
(Information Technology)............................... 6,000 58,361
GKN PLC
(Consumer Discretionary)............................... 1,000 28,904
Glaxo Wellcome PLC (Healthcare).......................... 38,133 1,077,967
Guardian Royal Exchange PLC (Finance).................... 21,000 140,507
Imperial Chemical Industries PLC
(Materials)............................................ 3,800 69,029
Kingfisher PLC
(Consumer Staples)..................................... 19,000 345,145
Ladbroke Group PLC
(Information & Entertainment).......................... 11,000 60,489
Medeva PLC (Healthcare).................................. 33,700 100,339
</TABLE>
<PAGE>
50
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International Equity Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 (unaudited) -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
UNITED KINGDOM (CONTINUED)
<S> <C> <C>
Millennium & Copthorne Hotels PLC
(Information & Entertainment).......................... 17,000 $ 166,066
National Westminster Bank PLC (Finance).................. 42,000 840,933
Orange PLC+
(Information & Entertainment).......................... 49,400 354,695
Perpetual PLC
(Investment Companies)................................. 1,600 107,053
Pilkington PLC
(Consumer Staples)..................................... 116,900 245,401
Railtrack Group PLC+
(Consumer Discretionary)............................... 12,100 221,118
Rank Group PLC
(Information & Entertainment).......................... 12,000 77,680
Reed International PLC
(Information & Entertainment).......................... 39,000 344,768
Rio Tinto PLC+ (Materials)............................... 8,000 114,881
Rolls Royce PLC
(Industrial & Commercial).............................. 41,400 193,207
Royal & Sun Alliance Insurance Group PLC (Finance)....... 22,400 250,289
Shell Transport & Trading Co. PLC (Energy)............... 53,000 394,506
Siebe PLC
(Industrial & Commercial).............................. 5,700 127,379
Smith (David S) Holdings PLC (Materials)................. 5,000 19,236
Smithkline Beecham PLC (Healthcare)...................... 49,800 593,932
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES (NOTE 3)
- ------------------------------------------------------------------------------------
<S> <C> <C>
UNITED KINGDOM (CONTINUED)
SOCO International PLC+ (Energy)......................... 34,600 $ 158,289
Standard Chartered PLC (Finance)......................... 17,700 266,757
Tesco PLC (Consumer Staples)............................. 12,000 112,405
Thistle Hotels PLC
(Information & Entertainment).......................... 58,300 169,682
Tomkins PLC
(Consumer Staples)..................................... 43,000 253,180
United News & Media PLC
(Information & Entertainment).......................... 13,000 176,353
Williams Holdings PLC
(Industrial & Commercial).............................. 36,300 278,700
-----------
11,620,070
-----------
UNITED STATES--0.5%
Global Tele-Systems Group, Inc.+
(Utilities)............................................ 5,000 235,625
Transocean Offshore, Inc. (Energy)....................... 2,900 162,038
-----------
397,663
-----------
VENEZUELA--0.0%
Compania Anon Nacional Tele de Venezuela ADR
(Utilities)............................................ 722 24,187
-----------
TOTAL COMMON STOCK
(cost $69,091,918)....................................... 76,824,896
-----------
</TABLE>
<PAGE>
51
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- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS -- April 30, 1998 (unaudited) -- (continued)
<TABLE>
<CAPTION>
VALUE
SECURITY DESCRIPTION SHARES/WARRANTS (NOTE 3)
- -----------------------------------------------------------------------------
<S> <C> <C>
PREFERRED STOCK--2.5%
AUSTRALIA--0.0%
News Corp., Ltd.
(Information & Entertainment).................... 4,135 $ 23,302
Sydney Harbour Casualty (Finance).................. 21,600 15,357
-----------
38,659
-----------
BRAZIL--0.9%
Companhia Energetica de Minas Gerais ADR
(Utilities)...................................... 1,816,000 88,128
Companhia Vale do Rio Doce SA de CV (Materials).... 5,600 132,208
Petroleo Brasileiros SA
(Industrial & Commercial) 889,000 225,427
Telecomunicacoes de Sao Paulo SA (Utilities)....... 681,000 231,635
Telecomunicacoes do Rio de Janeiro SA+
(Utilities)...................................... 344,000 54,143
-----------
731,541
-----------
GERMANY--1.6%
Fresenius AG (Healthcare).......................... 100 23,989
GEA AG
(Industrial & Commercial)........................ 1,100 445,014
Hornbach Holding AG
(Consumer Discretionary)......................... 250 24,240
KSB AG+
(Industrial & Commercial)........................ 992 331,671
Moebel Walther AG
(Consumer Discretionary)......................... 4,000 169,402
SAP AG
(Information Technology)......................... 590 294,252
-----------
1,288,568
-----------
TOTAL PREFERRED STOCK
(cost $1,765,326) 2,058,768
-----------
OPTIONS--0.1%+
UNITED STATES--0.1%
Nikkei 225 Index zero coupon 1998(1)............... 249 59,713
Nikkei 225 Index zero coupon 1998(1)............... 48 28,384
-----------
TOTAL OPTIONS (cost $240,338)........................ 88,097
-----------
WARRANTS--0.0%+
GERMANY--0.0%
Dresdner Bank AG 4/30/02 (Finance)................. 1,485 37,238
HONG KONG--0.0%
Hongkong & China Gas Co. Ltd. 9/30/99
(Utilities)...................................... 1,050 1
-----------
TOTAL WARRANTS (cost $26,128)........................ 37,239
-----------
<CAPTION>
SHARES/
PRINCIPAL
AMOUNT
(IN VALUE
SECURITY DESCRIPTION THOUSANDS) (NOTE 3)
- -----------------------------------------------------------------------------
<S> <C> <C>
RIGHTS--0.0%+
SPAIN--0.0%
Telefonica de Espana SA
zero coupon 5/07/98
(cost $0).......................................... 10,067 $ 7,932
-----------
CONVERTIBLE BONDS--0.2%
SOUTH AFRICA--0.2%
Liblife Strategic Investments Ltd.
6.50% 2004 (cost $113,236)......................... $85 125,439
-----------
TOTAL INVESTMENT SECURITIES
(cost $71,113,694)................................. 79,142,371
-----------
SHORT TERM SECURITIES--1.9%
Cayman Island Time Deposit with State Street Bank
and Trust Co. 4.50% due 5/01/98 (cost
$1,600,000)...................................... 1,600 1,600,000
-----------
REPURCHASE AGREEMENTS--1.7%
Agreement with State Street Bank and Trust Co.,
bearing 5.00%, dated 4/30/98 to be repurchased
5/01/98 in the amount of $761,106 collateralized
by $770,000 U.S. Treasury Note 5.50%, due 2/28/99
approximate aggregate value $776,738 (cost
$776,738)........................................ 761 761,000
Agreement with State Street Bank and Trust Co.,
bearing 5.40%, dated 4/30/98 to be repurchased
5/01/98 in the amount of $632,095 collateralized
by $640,000 U.S. Treasury Note 5.50%, due 2/28/99
approximate aggregate value $645,600 (cost
$632,000)........................................ 632 632,000
-----------
TOTAL REPURCHASE AGREEMENTS
(cost $1,393,000).................................. 1,393,000
-----------
TOTAL INVESTMENTS--
(cost $74,229,946)................................. 98.8% 82,135,371
Other assets less liabilities...................... 1.2 963,181
--------- -----------
NET ASSETS--......................................... 100.0% $83,098,552
--------- -----------
--------- -----------
</TABLE>
- ------------------
+ Non-income producing security
* Resale restricted to qualified institutional buyers
ADR ('American Depositary Receipt')
ADS ('American Depositary Shares')
GDR ('Global Depositary Receipt')
(1) Fair valued security, see Note 3
See Notes to Financial Statements
<PAGE>
52
[STYLE SELECT SERIES(SM) LOGO]
NOTES TO FINANCIAL STATEMENTS -- April 30, 1998 (unaudited)
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
generally in equity securities of medium-sized companies.
Aggressive Growth Portfolio seeks long-term growth of capital by investing
generally in equity securities of small and medium-sized companies.
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 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 Class A, Class B, and Class C shares. Aggressive
Growth, Large-Cap Value, Value, Small-Cap Value and International Equity
Portfolios, respectively, offer Class 2 shares, exclusively for sale to
employees participating in the SunAmerica profit sharing and retirement plan.
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. Class Z shares are offered at
net asset value. 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. There are no distribution or service fee payments
applicable to Class Z.
<PAGE>
53
[STYLE SELECT SERIES(SM) LOGO]
NOTES TO FINANCIAL STATEMENTS -- April 30, 1998 (unaudited) -- (continued)
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
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.
<PAGE>
54
[STYLE SELECT SERIES(SM) LOGO]
NOTES TO FINANCIAL STATEMENTS -- April 30, 1998 (unaudited) -- (continued)
As of April 30, 1998, the Aggressive Growth Portfolio had a 1.7% undivided
interest which represented $3,686,000 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, 5.38% dated 4/30/98, in the principal
amount of $211,258,000 repurchase price $211,289,571 due 5/01/98, collateralized
by $37,800,000 U.S. Treasury Notes 5.875% due 1/31/99, $48,250,000 U.S. Treasury
Bonds 9.25% due 2/15/16, $36,100,000 U.S. Treasury Bonds 5.875% due 11/15/99,
and $58,165,000 U.S. Treasury Bonds 8.125% due 8/15/19, approximate aggregate
value $215,701,399.
As of April 30, 1998, the Large-Cap Value Portfolio had a 0.1% undivided
interest which represented $120,000 in principal amount in a joint repurchase
agreement with Swiss Bank Corp. As of such date, the repurchase agreement in the
joint account and the collateral therefore were as follows:
Swiss Bank Corp. Repurchase Agreement, 5.50% dated 4/30/98, in the principal
amount of $102,180,000 repurchase price $102,195,611 due 5/01/98 collateralized
by $19,762,000 U.S. Treasury Bond 6.00% due 8/15/00, $34,925,000 U.S. Treasury
Bond 9.125% due 5/15/09 and $26,517,000 U.S. Treasury Bond 11.25% due 2/15/15,
approximate aggregate value $104,278,799.
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.
<PAGE>
55
[STYLE SELECT SERIES(SM) LOGO]
NOTES TO FINANCIAL STATEMENTS -- April 30, 1998 (unaudited) -- (continued)
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>
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
<PAGE>
56
[STYLE SELECT SERIES(SM) LOGO]
NOTES TO FINANCIAL STATEMENTS -- April 30, 1998 (unaudited) -- (continued)
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.
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 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. Effective April 1, 1998 Morgan Stanley Asset
Management, Inc. assumed the role as subadviser from SunAmerica. 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. Effective March 1, 1998 Bankers Trust Company assumed the role
as subadvisor from Strong Capital Management, 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. For the six months ended April 30, 1998,
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, .59%; Mid-Cap Growth Portfolio, .50%; Aggressive Growth
Portfolio, .40%; Large-Cap Blend Portfolio, .34%; Large-Cap Value Portfolio,
.41%; Value Portfolio, .50%; Small-Cap Value Portfolio, .55% and International
Equity Portfolio, .65%.
<PAGE>
57
[STYLE SELECT SERIES(SM) LOGO]
NOTES TO FINANCIAL STATEMENTS -- April 30, 1998 (unaudited) -- (continued)
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. Aggressive Growth Portfolio, Large-Cap
Value Portfolio, Value Portfolio, Small-Cap Value Portfolio and International
Equity Portfolio 1.21% for Class Z 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 years, provided that the Portfolio is able to effect such payment
to SunAmerica and remain in compliance with the foregoing expense limitations.
For the six months ended April 30, 1998 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............. $ 62,500 $ --
Large-Cap Growth B............. 20,458 6,234
Large-Cap Growth C............. 4,061 8,822
Mid-Cap Growth A............... 36,039 4,830
Mid-Cap Growth B............... 77,280 8,636
Mid-Cap Growth C............... 11,967 4,785
Aggressive Growth A............ 78,977 840
Aggressive Growth B............ 101,302 5,614
Aggressive Growth C............ 13,791 4,327
Aggressive Growth Z............ -- 1,289
Large-Cap Blend A.............. 64,670 --
Large-Cap Blend B.............. 19,043 6,962
Large-Cap Blend C.............. 2,187 9,236
Large-Cap Value A.............. 49 1,786
Large-Cap Value B.............. 33,537 4,021
<CAPTION>
MANAGEMENT OTHER
FEES EXPENSES
REIMBURSED REIMBURSED
---------- ----------
<S> <C> <C>
Large-Cap Value C.............. $ 4,457 $ 8,716
Large-Cap Value Z.............. -- 693
Value A........................ 91,823 3,354
Value B........................ 147,373 17,623
Value C........................ 16,153 9,168
Value Z........................ -- 1,287
Small-Cap Value A.............. 42,947 2,080
Small-Cap Value B.............. 40,314 2,000
Small-Cap Value C.............. 7,347 8,149
Small-Cap Value Z.............. -- 1,290
International Equity A......... 53,411 6,040
International Equity B......... 101,324 15,611
International Equity C......... 12,463 5,488
International Equity Z......... -- 1,153
</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.
<PAGE>
58
[STYLE SELECT SERIES(SM) LOGO]
NOTES TO FINANCIAL STATEMENTS -- April 30, 1998 (unaudited) -- (continued)
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, for the six months
ended April 30, 1998, SACS received fees (see Statement of Operations) based
upon the aforementioned rates.
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 six months ended April 30, 1998, 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 C
CLASS A ----------- -----------
------------------------------------------ CONTINGENT CONTINGENT
AFFILIATED NON-AFFILIATED DEFERRED DEFERRED
SALES BROKER- BROKER- SALES SALES
CHARGES DEALERS DEALERS CHARGES CHARGES
---------- ---------- -------------- ----------- -----------
<S> <C> <C> <C> <C> <C>
Large-Cap Growth Portfolio....... $ 284,491 $ 59,550 $ 188,538 $ 2,072 $ 130
Mid-Cap Growth Portfolio......... 375,878 94,924 228,226 44,573 4,401
Aggressive Growth Portfolio...... 457,454 177,925 222,410 62,972 3,896
Large-Cap Blend Portfolio........ 321,999 83,042 200,154 9,484 140
Large-Cap Value Portfolio........ 449,764 98,009 296,620 8,713 495
Value Portfolio.................. 1,801,744 425,251 1,153,637 102,137 5,869
Small-Cap Value Portfolio........ 643,522 128,835 436,790 22,584 399
International Equity Portfolio... 209,826 85,539 98,447 67,394 3,730
</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 six months ended April 30, 1998, 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 APRIL 30, 1998
----------------------------- -----------------------------
CLASS A CLASS B CLASS C CLASS A CLASS B CLASS C
------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
Large-Cap Growth Portfolio....... $21,981 $ 7,397 $ 1,468 $ 2,808 $ 2,438 $ 529
Mid-Cap Growth Portfolio......... 24,704 47,421 6,716 5,265 9,646 1,411
Aggressive Growth Portfolio...... 48,946 62,398 7,888 9,752 12,634 1,626
Large-Cap Blend Portfolio........ 23,061 7,013 805 3,328 2,045 266
</TABLE>
<PAGE>
59
[STYLE SELECT SERIES(SM) LOGO]
NOTES TO FINANCIAL STATEMENTS -- April 30, 1998 (unaudited) -- (continued)
<TABLE>
<CAPTION>
PAYABLE
EXPENSE APRIL 30, 1998
----------------------------- -----------------------------
CLASS A CLASS B CLASS C CLASS A CLASS B CLASS C
------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
Large-Cap Value Portfolio........ $16,678 $11,769 $ 2,044 $ 1,877 $ 3,736 $ 668
Value Portfolio.................. 71,012 107,503 13,661 15,452 21,877 2,956
Small-Cap Value Portfolio........ 15,235 15,220 2,803 2,640 4,303 826
International Equity Portfolio... 26,437 48,620 5,537 4,675 8,968 1,136
</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)
during the six months ended April 30, 1998 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... $7,105,284 $55,406,985 $104,955,077 $16,044,716
---------- ----------- ------------ -----------
---------- ----------- ------------ -----------
Aggregate sales....... $5,065,673 $39,202,051 $ 80,576,226 $14,025,688
---------- ----------- ------------ -----------
---------- ----------- ------------ -----------
<CAPTION>
LARGE-CAP SMALL-CAP INTERNATIONAL
VALUE VALUE VALUE EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Aggregate purchases... $10,736,496 $96,808,386 $26,155,550 $58,365,192
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
Aggregate sales....... $ 3,866,153 $29,720,989 $ 7,002,936 $51,826,829
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
</TABLE>
Note 6. Transactions with Affiliates
The following Portfolios incurred brokerage commissions with an affiliated
broker:
<TABLE>
<CAPTION>
INTERNATIONAL
MID-CAP GROWTH LARGE-CAP BLEND LARGE-CAP VALUE VALUE EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- --------------- --------------- --------- -------------
<S> <C> <C> <C> <C> <C>
Morgan Stanley & Co., Inc..................... $954 $ -- $-- $ -- $ --
Lazard Freres & Co. LLC....................... -- 270 -- -- --
Shelby Cullom Davis & Co. .................... -- -- 36 2,772 --
Neuburger & Berman LLC........................ -- -- -- 42,237 --
Bowe-Price Fleming International, Inc. ....... -- -- -- -- 18,208
</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.
<PAGE>
60
[STYLE SELECT SERIES(SM) LOGO]
NOTES TO FINANCIAL STATEMENTS -- April 30, 1998 (unaudited) -- (continued)
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.................... $27,061,291 $78,845,128 $106,239,386 $28,674,071
----------- ----------- ------------ -----------
----------- ----------- ------------ -----------
Appreciation............ $ 4,922,681 $17,270,520 $ 31,314,055 $ 2,674,681
Depreciation............ (386,504) (1,248,311) (1,453,627) (721,721)
----------- ----------- ------------ -----------
Net unrealized
appreciation.......... $ 4,536,177 $16,022,209 $ 29,860,428 $ 1,952,960
----------- ----------- ------------ -----------
----------- ----------- ------------ -----------
<CAPTION>
LARGE-CAP SMALL-CAP INTERNATIONAL
VALUE VALUE VALUE EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ------------ ------------ -----------
<S> <C> <C> <C> <C>
Cost.................... $33,522,683 $198,149,326 $ 45,536,001 $74,229,946
----------- ------------ ------------ -----------
----------- ------------ ------------ -----------
Appreciation............ $ 3,151,608 $ 35,374,414 $ 3,310,211 $11,478,007
Depreciation............ (575,594) (4,445,675) (1,582,939) (3,572,582)
----------- ------------ ------------ -----------
Net unrealized
appreciation.......... $ 2,576,014 $ 30,928,739 $ 1,727,272 $ 7,905,425
----------- ------------ ------------ -----------
----------- ------------ ------------ -----------
</TABLE>
For the six months ended April 30, 1998, 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.
Note 8. Open Forward Currency Contracts
At April 30, 1998, 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 April 30, 1998.
<TABLE>
<CAPTION>
GROSS
CONTRACT IN DELIVERY UNREALIZED
TO DELIVER EXCHANGE FOR DATE APPRECIATION
- ----------------- --------------- -------- -----------
<S> <C> <C> <C>
*GBP 774,593 USD 1,300,000 5/12/98 $ 5,091
*USD 1,276,220 GBP 774,593 5/12/98 18,689
MYR 314,000 USD 83,827 5/29/98 242
JPY 378,500,000 USD 2,979,728 5/29/98 107,234
*JPY 24,000,000 USD 188,939 5/29/98 6,800
*JPY 70,000,000 USD 551,073 5/29/98 19,832
*USD 529,237 JPY 70,000,000 5/29/98 2,004
*JPY 144,543,500 USD 1,150,000 6/12/98 50,966
*USD 455,353 SGD 759,528 6/17/98 23,933
-----------
234,791
-----------
<CAPTION>
GROSS
CONTRACT IN DELIVERY UNREALIZED
TO DELIVER EXCHANGE FOR DATE DEPRECIATION
- ---------------- ---------------- -------- -----------
<S> <C> <C> <C>
DEM 940,000 USD 512,111 5/29/98 $ (12,552)
*USD 185,816 JPY 24,000,000 5/29/98 (3,676)
*USD 1,185,657 JPY 144,543,500 6/12/98 (86,624)
*SGD 759,528 USD 440,000 6/17/98 (39,286)
-----------
(142,138)
-----------
Net Appreciation........................... $ 92,653
-----------
-----------
</TABLE>
<PAGE>
61
[STYLE SELECT SERIES(SM) LOGO]
NOTES TO FINANCIAL STATEMENTS -- April 30, 1998 (unaudited) -- (continued)
- ------------------
* 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.
DEM -- Deutsche Mark
GBP -- Pound Sterling
JPY -- Japanese Yen
MYR -- Malaysian Ringgit
SGD -- Singapore Dollar
USD -- United States Dollar
Note 9. Capital Share Transactions
For the six months ended April 30, 1998, SunAmerica Inc. owned shares in each
class as follows:
<TABLE>
<CAPTION>
PERCENTAGE
SHARES 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....... -- 8,000 3,666 --% .35% .16%
Mid-Cap Growth Portfolio......... 1,000 1,000 -- .02 .02 --
Aggressive Growth Portfolio...... 1,007 1,007 -- .01 .01 --
Large-Cap Blend Portfolio........ 551,254 8,000 8,000 24.99 .36 .36
Large-Cap Value Portfolio........ -- 8,000 -- -- .38 --
Value Portfolio.................. 1,038 1,038 -- .01 .01 --
Small-Cap Value Portfolio........ -- 8,000 -- -- .23 --
International Equity Portfolio... 1,019 1,019 -- .02 .02 --
</TABLE>
Transactions in shares of each class of each series were as follows:
<TABLE>
<CAPTION>
LARGE-CAP GROWTH PORTFOLIO
--------------------------------------------------
CLASS A
--------------------------------------------------
FOR THE FOR THE PERIOD
SIX MONTHS ENDED OCTOBER 15, 1997
APRIL 30, 1998 THROUGH
(UNAUDITED) OCTOBER 31, 1997
------------------------ ------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold............ 516,614 $ 6,618,404 2,056,806 $ 25,693,489
Reinvested dividends... -- -- -- --
Shares redeemed........ (1,575,926) (20,457,254) (53,919) (661,012)
---------- ------------ ---------- ------------
Net increase
(decrease)........... (1,059,312) $(13,838,850) 2,002,887 $ 25,032,477
---------- ------------ ---------- ------------
---------- ------------ ---------- ------------
<CAPTION>
CLASS B
---------------------------------------------
FOR THE FOR THE PERIOD
SIX MONTHS ENDED OCTOBER 15, 1997
APRIL 30, 1998 THROUGH
(UNAUDITED) OCTOBER 31, 1997
--------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT
--------- ----------- --------- -----------
<S> <C> <C> <C> <C>
Shares sold............1,050,607 $13,521,157 65,591 $ 793,598
Reinvested dividends... -- -- -- --
Shares redeemed........ (18,641) (248,279) -- --
--------- ----------- --------- -----------
Net increase
(decrease)...........1,031,966 $13,272,878 65,591 $ 793,598
--------- ----------- --------- -----------
--------- ----------- --------- -----------
<CAPTION>
--------------------------------------------------
CLASS C
--------------------------------------------------
FOR THE FOR THE PERIOD
SIX MONTHS ENDED OCTOBER 15, 1997
APRIL 30, 1998 THROUGH
(UNAUDITED) OCTOBER 31, 1997
------------------------ ------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold............ 239,639 $ 3,105,500 14,084 $ 172,781
Reinvested dividends... -- -- -- --
Shares redeemed........ (8,509) (111,127) -- --
---------- ------------ ---------- ------------
Net increase........... 231,130 $ 2,994,373 14,084 $ 172,781
---------- ------------ ---------- ------------
---------- ------------ ---------- ------------
</TABLE>
<PAGE>
62
[STYLE SELECT SERIES(SM) LOGO]
NOTES TO FINANCIAL STATEMENTS -- April 30, 1998 (unaudited) -- (continued)
<TABLE>
<CAPTION>
MID-CAP GROWTH PORTFOLIO
--------------------------------------------------
CLASS A
--------------------------------------------------
FOR THE FOR THE PERIOD
SIX MONTHS ENDED NOVEMBER 19, 1996
APRIL 30, 1998 THROUGH
(UNAUDITED) OCTOBER 31, 1997
------------------------ ------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold............ 729,344 $ 11,055,852 3,264,892 $ 40,663,001
Reinvested dividends... -- -- -- --
Shares redeemed........ (176,572) (2,581,577) (1,923,538) (25,255,844)
---------- ------------ ---------- ------------
Net increase........... 552,772 $ 8,474,275 1,341,354 $ 15,407,157
---------- ------------ ---------- ------------
---------- ------------ ---------- ------------
<CAPTION>
CLASS B
---------------------------------------------
FOR THE FOR THE PERIOD
SIX MONTHS ENDED NOVEMBER 19, 1996
APRIL 30, 1998 THROUGH
(UNAUDITED) OCTOBER 31, 1997
--------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT
--------- ----------- --------- -----------
<S> <C> <C> <C> <C>
Shares sold............1,188,670 $17,492,795 2,969,116 $37,170,139
Reinvested dividends... -- -- -- --
Shares redeemed........ (394,861) (5,826,009) (384,034) (4,559,436)
--------- ----------- --------- -----------
Net increase........... 793,809 $11,666,786 2,621,082 $32,610,703
--------- ----------- --------- -----------
--------- ----------- --------- -----------
<CAPTION>
--------------------------------------------------
CLASS C
--------------------------------------------------
FOR THE FOR THE PERIOD
SIX MONTHS ENDED MARCH 6, 1997
APRIL 30, 1998 THROUGH
(UNAUDITED) OCTOBER 31, 1997
------------------------ ------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold............ 476,195 $ 6,976,256 458,834 $ 5,975,048
Reinvested dividends... -- -- -- --
Shares redeemed........ (302,359) (4,429,080) (115,441) (1,596,837)
---------- ------------ ---------- ------------
Net increase........... 173,836 $ 2,547,176 343,493 $ 4,378,211
---------- ------------ ---------- ------------
---------- ------------ ---------- ------------
<CAPTION>
AGGRESSIVE GROWTH
--------------------------------------------------
CLASS A
--------------------------------------------------
FOR THE FOR THE PERIOD
SIX MONTHS ENDED NOVEMBER 19, 1996
APRIL 30, 1998 THROUGH
(UNAUDITED) OCTOBER 31, 1997
------------------------ ------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold............ 920,439 $ 15,220,840 3,856,767 $ 52,508,769
Reinvested dividends... 15,149 232,082 -- --
Shares redeemed........ (340,716) (5,665,072) (1,433,429) (22,546,557)
---------- ------------ ---------- ------------
Net increase........... 594,872 $ 9,787,850 2,423,338 $ 29,962,212
---------- ------------ ---------- ------------
---------- ------------ ---------- ------------
<CAPTION>
CLASS B
---------------------------------------------
FOR THE FOR THE PERIOD
SIX MONTHS ENDED NOVEMBER 19, 1996
APRIL 30, 1998 THROUGH
(UNAUDITED) OCTOBER 31, 1997
--------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT
--------- ----------- --------- -----------
<S> <C> <C> <C> <C>
Shares sold............1,230,018 $20,337,866 3,420,491 $48,609,878
Reinvested dividends... 21,234 323,184 -- --
Shares redeemed........ (320,531) (5,268,425) (345,988) (5,157,472)
--------- ----------- --------- -----------
Net increase........... 930,721 $15,392,625 3,074,503 $43,452,406
--------- ----------- --------- -----------
--------- ----------- --------- -----------
<CAPTION>
--------------------------------------------------
CLASS C
--------------------------------------------------
FOR THE FOR THE PERIOD
SIX MONTHS ENDED MARCH 6, 1997
APRIL 30, 1998 THROUGH
(UNAUDITED) OCTOBER 31, 1997
------------------------ ------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold............ 199,452 $ 3,271,748 411,297 $ 5,980,151
Reinvested dividends... 1,904 28,983 -- --
Shares redeemed........ (60,785) (997,338) (35,505) (512,718)
---------- ------------ ---------- ------------
Net increase........... 140,571 $ 2,303,393 375,792 $ 5,467,433
---------- ------------ ---------- ------------
---------- ------------ ---------- ------------
<CAPTION>
CLASS Z
---------------------
FOR THE PERIOD
APRIL 1, 1998*
THROUGH
APRIL 30, 1998
(UNAUDITED)
---------------------
SHARES AMOUNT
--------- -----------
<S> <C> <C>
Shares sold............ 1,457 $ 26,581
Reinvested dividends... -- --
Shares redeemed........ -- --
--------- -----------
Net increase........... 1,457 $ 26,581
--------- -----------
--------- -----------
</TABLE>
<PAGE>
63
[STYLE SELECT SERIES(SM) LOGO]
NOTES TO FINANCIAL STATEMENTS -- April 30, 1998 (unaudited) -- (continued)
<TABLE>
<CAPTION>
LARGE-CAP BLEND
--------------------------------------------------
CLASS A
--------------------------------------------------
FOR THE FOR THE PERIOD
SIX MONTHS ENDED OCTOBER 15, 1997
APRIL 30, 1998 THROUGH
(UNAUDITED) OCTOBER 31, 1997
------------------------ ------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold............ 469,120 $ 6,138,464 2,050,665 $ 25,623,294
Reinvested dividends... -- -- -- --
Shares redeemed........ (1,199,191) (15,704,724) (80,670) (990,000)
---------- ------------ ---------- ------------
Net increase
(decrease)........... (730,071) $ (9,566,260) 1,969,995 $ 24,633,294
---------- ------------ ---------- ------------
---------- ------------ ---------- ------------
<CAPTION>
CLASS B
---------------------------------------------
FOR THE FOR THE PERIOD
SIX MONTHS ENDED OCTOBER 15, 1997
APRIL 30, 1998 THROUGH
(UNAUDITED) OCTOBER 31, 1997
--------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT
--------- ----------- --------- -----------
<S> <C> <C> <C> <C>
Shares sold............ 813,497 $10,572,920 78,691 $ 969,619
Reinvested dividends... -- -- -- --
Shares redeemed........ (39,298) (530,858) -- --
--------- ----------- --------- -----------
Net increase
(decrease)........... 774,199 $10,042,062 78,691 $ 969,619
--------- ----------- --------- -----------
--------- ----------- --------- -----------
<CAPTION>
--------------------------------------------------
CLASS C
--------------------------------------------------
FOR THE FOR THE PERIOD
SIX MONTHS ENDED OCTOBER 15, 1997
APRIL 30, 1998 THROUGH
(UNAUDITED) OCTOBER 31, 1997
------------------------ ------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold............ 103,395 $ 1,364,802 11,932 $ 148,672
Reinvested dividends... -- -- -- --
Shares redeemed........ (2,310) (30,696) -- --
---------- ------------ ---------- ------------
Net increase........... 101,085 $ 1,334,106 11,932 $ 148,672
---------- ------------ ---------- ------------
---------- ------------ ---------- ------------
</TABLE>
* Inception of the class
<TABLE>
<CAPTION>
LARGE-CAP VALUE PORTFOLIO
--------------------------------------------------
CLASS A
--------------------------------------------------
FOR THE FOR THE PERIOD
SIX MONTHS ENDED OCTOBER 15, 1997
APRIL 30, 1998 THROUGH
(UNAUDITED) OCTOBER 31, 1997
------------------------ ------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold............ 760,642 $ 9,671,178 2,100,495 $ 26,218,938
Reinvested dividends... -- -- -- --
Shares redeemed........ (1,926,242) (23,979,477) (141,051) (1,698,383)
---------- ------------ ---------- ------------
Net increase
(decrease)........... (1,165,600) $(14,308,299) 1,959,444 $ 24,520,555
---------- ------------ ---------- ------------
---------- ------------ ---------- ------------
<CAPTION>
CLASS B
---------------------------------------------
FOR THE FOR THE PERIOD
SIX MONTHS ENDED OCTOBER 15, 1997
APRIL 30, 1998 THROUGH
(UNAUDITED) OCTOBER 31, 1997
--------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT
--------- ----------- --------- -----------
<S> <C> <C> <C> <C>
Shares sold............1,597,973 $20,321,186 111,740 $ 1,361,527
Reinvested dividends... -- -- -- --
Shares redeemed........ (125,938) (1,668,006) -- --
--------- ----------- --------- -----------
Net increase
(decrease)...........1,472,035 $18,653,180 111,740 $ 1,361,527
--------- ----------- --------- -----------
--------- ----------- --------- -----------
<CAPTION>
--------------------------------------------------
CLASS C
--------------------------------------------------
FOR THE FOR THE PERIOD
SIX MONTHS ENDED OCTOBER 15, 1997
APRIL 30, 1998 THROUGH
(UNAUDITED) OCTOBER 31, 1997
------------------------ ------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold............ 290,819 $ 3,669,584 14,544 $ 178,760
Reinvested dividends... -- -- -- --
Shares redeemed........ (14,399) (178,186) -- --
---------- ------------ ---------- ------------
Net increase........... 276,420 $ 3,491,398 14,544 $ 178,760
---------- ------------ ---------- ------------
---------- ------------ ---------- ------------
<CAPTION>
CLASS Z
---------------------
FOR THE PERIOD
APRIL 1, 1998*
THROUGH
APRIL 30, 1998
(UNAUDITED)
---------------------
SHARES AMOUNT
--------- -----------
<S> <C> <C>
Shares sold............ 1,715 $ 23,905
Reinvested dividends... -- --
Shares redeemed........ -- --
--------- -----------
Net increase........... 1,715 $ 23,905
--------- -----------
--------- -----------
</TABLE>
<PAGE>
64
[STYLE SELECT SERIES(SM) LOGO]
NOTES TO FINANCIAL STATEMENTS -- April 30, 1998 (unaudited) -- (continued)
<TABLE>
<CAPTION>
VALUE PORTFOLIO
--------------------------------------------------
CLASS A
--------------------------------------------------
FOR THE FOR THE PERIOD
SIX MONTHS ENDED NOVEMBER 19, 1997
APRIL 30, 1998 THROUGH
(UNAUDITED) OCTOBER 31, 1997
------------------------ ------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold............ 2,220,596 $ 36,634,921 4,671,463 $ 65,290,119
Reinvested dividends... 113,683 1,775,725 -- --
Shares redeemed........ (376,009) (6,249,341) (1,665,401) (26,013,487)
---------- ------------ ---------- ------------
Net increase........... 1,958,270 $ 32,161,305 3,006,062 $ 39,276,632
---------- ------------ ---------- ------------
---------- ------------ ---------- ------------
<CAPTION>
CLASS B
---------------------------------------------
FOR THE FOR THE PERIOD
SIX MONTHS ENDED NOVEMBER 19, 1997
APRIL 30, 1998 THROUGH
(UNAUDITED) OCTOBER 31, 1997
--------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT
--------- ----------- --------- -----------
<S> <C> <C> <C> <C>
Shares sold............2,488,098 $40,808,271 5,001,111 $73,400,374
Reinvested dividends... 181,420 2,813,830 -- --
Shares redeemed........ (400,120) (6,570,162) (155,252) $(2,394,393)
--------- ----------- --------- -----------
Net increase...........2,269,398 $37,051,939 4,845,859 $71,005,981
--------- ----------- --------- -----------
--------- ----------- --------- -----------
<CAPTION>
--------------------------------------------------
CLASS C
--------------------------------------------------
FOR THE FOR THE PERIOD
SIX MONTHS ENDED NOVEMBER 19, 1997
APRIL 30, 1998 THROUGH
(UNAUDITED) OCTOBER 31, 1997
------------------------ ------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold............ 427,904 $ 6,984,466 633,085 $ 9,591,079
Reinvested dividends... 16,910 262,283 -- --
Shares redeemed........ (73,128) (1,226,003) (46,506) (698,146)
---------- ------------ ---------- ------------
Net increase........... 371,686 $ 6,020,746 586,579 $ 8,892,993
---------- ------------ ---------- ------------
---------- ------------ ---------- ------------
<CAPTION>
CLASS Z
---------------------
FOR THE PERIOD
APRIL 1, 1998*
THROUGH
APRIL 30, 1998
(UNAUDITED)
---------------------
SHARES AMOUNT
--------- -----------
<S> <C> <C>
Shares sold............ 3,474 $ 61,416
Reinvested dividends... -- --
Shares redeemed........ -- --
--------- -----------
Net increase........... 3,474 $ 61,416
--------- -----------
--------- -----------
</TABLE>
* Inception of the class
<TABLE>
<CAPTION>
SMALL-CAP VALUE PORTFOLIO
--------------------------------------------------
CLASS A
--------------------------------------------------
FOR THE FOR THE PERIOD
SIX MONTHS ENDED OCTOBER 15, 1997
APRIL 30, 1998 THROUGH
(UNAUDITED) OCTOBER 31, 1997
------------------------ ------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold............ 1,072,166 $ 13,663,861 2,177,614 $ 27,190,002
Reinvested dividends... -- -- -- --
Shares redeemed........ (1,681,975) (20,653,821) (419,530) (5,174,050)
---------- ------------ ---------- ------------
Net increase
(decrease)........... (609,809) $ (6,989,960) 1,758,084 $ 22,015,952
---------- ------------ ---------- ------------
---------- ------------ ---------- ------------
<CAPTION>
CLASS B
---------------------------------------------
FOR THE FOR THE PERIOD
SIX MONTHS ENDED OCTOBER 15, 1997
APRIL 30, 1998 THROUGH
(UNAUDITED) OCTOBER 31, 1997
--------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT
--------- ----------- --------- -----------
<S> <C> <C> <C> <C>
Shares sold............1,702,506 $21,480,346 256,511 $ 3,168,460
Reinvested dividends... -- -- -- --
Shares redeemed........ (76,729) (981,686) (28) (345)
--------- ----------- --------- -----------
Net increase
(decrease)...........1,625,777 $20,498,660 256,483 $ 3,168,115
--------- ----------- --------- -----------
--------- ----------- --------- -----------
<CAPTION>
--------------------------------------------------
CLASS C
--------------------------------------------------
FOR THE FOR THE PERIOD
SIX MONTHS ENDED OCTOBER 15, 1997
APRIL 30, 1998 THROUGH
(UNAUDITED) OCTOBER 31, 1997
------------------------ ------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold............ 366,816 $ 4,650,885 43,289 $ 536,921
Reinvested dividends... -- -- -- --
Shares redeemed........ (24,979) (313,164) -- --
---------- ------------ ---------- ------------
Net increase........... 341,837 $ 4,337,721 43,289 $ 536,921
---------- ------------ ---------- ------------
---------- ------------ ---------- ------------
<CAPTION>
CLASS Z
---------------------
FOR THE PERIOD
APRIL 1, 1998*
THROUGH
APRIL 30, 1998
(UNAUDITED)
---------------------
SHARES AMOUNT
--------- -----------
<S> <C> <C>
Shares sold............ 1,708 $ 23,206
Reinvested dividends... -- --
Shares redeemed........ -- --
--------- -----------
Net increase........... 1,708 $ 23,206
--------- -----------
--------- -----------
</TABLE>
<PAGE>
65
[STYLE SELECT SERIES(SM) LOGO]
NOTES TO FINANCIAL STATEMENTS -- April 30, 1998 (unaudited) -- (continued)
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY PORTFOLIO
--------------------------------------------------
CLASS A
--------------------------------------------------
FOR THE FOR THE PERIOD
SIX MONTHS ENDED NOVEMBER 19, 1997
APRIL 30, 1998 THROUGH
(UNAUDITED) OCTOBER 31, 1997
------------------------ ------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold............ 508,860 $ 6,528,424 3,085,642 $ 39,324,047
Shares issued in
acquisition of the
Global Balanced Fund
(Note 2)............. -- -- 495,830 6,693,711
Reinvested dividends... 34,215 406,818 -- --
Shares redeemed........ (590,794) (7,468,183) (1,626,511) (21,418,365)
---------- ------------ ---------- ------------
Net increase
(decrease)........... (47,719) $ (532,941) 1,954,961 $ 24,599,393
---------- ------------ ---------- ------------
---------- ------------ ---------- ------------
<CAPTION>
CLASS B
---------------------------------------------
FOR THE FOR THE PERIOD
SIX MONTHS ENDED NOVEMBER 19, 1997
APRIL 30, 1998 THROUGH
(UNAUDITED) OCTOBER 31, 1997
--------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT
--------- ----------- --------- -----------
<S> <C> <C> <C> <C>
Shares sold............ 759,872 $ 9,615,820 2,566,019 $33,369,226
Shares issued in
acquisition of the
Global Balanced Fund
(Note 2)............. -- -- 1,063,431 14,271,238
Reinvested dividends... 58,618 691,698 -- --
Shares redeemed........ (595,414) (7,459,308) (183,548) (2,395,962)
--------- ----------- --------- -----------
Net increase
(decrease)........... 223,076 $ 2,848,210 3,445,902 $45,244,502
--------- ----------- --------- -----------
--------- ----------- --------- -----------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------
CLASS C
--------------------------------------------------
FOR THE FOR THE PERIOD
SIX MONTHS ENDED MARCH 6, 1997
APRIL 30, 1998 THROUGH
(UNAUDITED) OCTOBER 31, 1997
------------------------ ------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold............ 181,839 $ 2,303,893 404,951 $ 5,319,147
Reinvested dividends... 3,865 45,600 --
Shares redeemed........ (71,008) (889,135) (44,682) (586,462)
---------- ------------ ---------- ------------
Net increase........... 114,696 $ 1,460,358 360,269 $ 4,732,685
---------- ------------ ---------- ------------
---------- ------------ ---------- ------------
<CAPTION>
CLASS Z
---------------------
FOR THE PERIOD
APRIL 6, 1998*
THROUGH
APRIL 30, 1998
(UNAUDITED)
---------------------
SHARES AMOUNT
--------- -----------
<S> <C> <C>
Shares sold............ 751 $ 10,291
Reinvested dividends... -- --
Shares redeemed........ -- --
--------- -----------
Net increase........... 751 $ 10,291
--------- -----------
--------- -----------
</TABLE>
* Inception of the class
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 April 30, 1998, 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 had accrued $312, $1,540, $2,077,
$325, $309, $2,654, $310, $3,926, respectively, for the Retirement Plan, which
is included in accrued expenses on the Statement of Assets and Liabilities, and
as of April 30, 1998 expensed $312, $896, $1,316, $325, $309, $1,975, $310,
$974, respectively, for the Retirement Plan, which is included in Directors'
fees and expenses on the Statement of Operations.
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